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: June 30, 2007
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.
W E A L T H B U I L D I N G O P P O R T U N I T Y Ohio National Fund, Inc. Semi-Annual Report JUNE 30,2007 Ohio National Fund, Inc. Ohio National Financial Services. |
OHIO NATIONAL FUND, INC.
TABLE OF CONTENTS
President’s Message | 1 | |
Directors and Officers of Ohio National Fund, Inc. | 2 | |
The following pages contain Management’s Discussion of Fund Performance, Portfolio Composition, and Financial Statements (Unaudited) for each of the Fund’s Portfolios: | ||
Equity Portfolio | 3 | |
Money Market Portfolio | 10 | |
Bond Portfolio | 15 | |
Omni Portfolio | 23 | |
International Portfolio | 31 | |
Capital Appreciation Portfolio | 38 | |
Millennium Portfolio | 44 | |
International Small Company Portfolio | 50 | |
Aggressive Growth Portfolio | 58 | |
Small Cap Growth Portfolio | 64 | |
Mid Cap Opportunity Portfolio | 71 | |
S&P 500 Index Portfolio | 79 | |
Blue Chip Portfolio | 90 | |
High Income Bond Portfolio | 96 | |
Capital Growth Portfolio | 109 | |
Nasdaq-100 Index Portfolio | 116 | |
Bristol Portfolio | 122 | |
Bryton Growth Portfolio | 128 | |
U.S. Equity Portfolio | 134 | |
Balanced Portfolio | 140 | |
Income Opportunity Portfolio (formerly the Covered Call Portfolio) | 147 | |
Target VIP Portfolio | 159 | |
Target Equity/Income Portfolio | 166 | |
Bristol Growth Portfolio | 172 | |
Notes to Financial Statements (Unaudited) | 178 | |
Additional Information (Unaudited) | 195 | |
Information About Directors and Officers (Unaudited) | 198 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
President’s Message |
Dear Investor,
The current bull market is more than two years old, and it is still churning out impressive numbers. Most indices realized significant increases in the past six months, with mid-caps in particular showing strong performance. Foreign markets also did well, as the economic growth cycle in Europe continued its upward trend and the emerging market economies showed few signs of slowing.
The U.S. bond market had a positive, but low total return for the first six months of 2007. The Treasury yield curve began to return to its normal upward sloping shape from being flat to inverted. Longer maturity Treasury yields increased because of fears of an increase in inflation. Credit spreads widened because of a steady stream of leveraged corporate buyouts which negatively impacted credit quality, and concerns in the housing and mortgage markets which negatively affected certain asset-backed securities, collateralized debit obligations, and corporate bonds in the finance and homebuilding sectors. The environment for fixed income investing will continue to be challenging because absolute yields are low.
As predicted, economic growth slowed during the first half of 2007, but there are plenty of signs that the economy remains strong. Demand for labor is unabated with more than 850,000 jobs added to payrolls in the first half of 2007. The unemployment rate remains steady at 4.5 percent. The strong labor market is expected to drive consumer spending upward at a moderate pace, which in turn will help rev the domestic economic engine. Although both energy and food prices have increased significantly, core inflation remains low — a strong positive for the economy.
The Ohio National Fund
All of the Ohio National Fund’s equity portfolios continued their positive performance, with growth-oriented funds generally outpacing their value peers over the first half of the year. Of particular note, the small-cap and the mid-cap portfolios of the Fund posted strong double-digit returns that beat their respective benchmarks.
The fixed-income portfolios tracked their indices, and all returned positive performance. While the fixed income portfolios were fairly consistent through the first half, none had a stellar performance — as you would expect given the current bond market conditions.
Looking Ahead
With core inflation low and positive economic growth despite our continuing issues with energy prices, there seems to be every reason to be positive about a continued bull market. However, there are risks that must be monitored.
One risk is that the ongoing housing correction might prove to be stronger and longer than expected. This could curtail consumer spending in the future and put significant pressure on the economy. Another potential risk is that energy prices may continue to rise, creating attendant increases in other costs. While U. S. consumers have been able to ride out increases in energy so far, there is a breaking point. If energy costs consume too much disposable income, or if the continued increases become embedded in long-term inflation projections, the economy could slow or even grind to a halt.
1
However, these are only possibilities, and most experts seem to feel that the near future is a positive one. As always, thank you for entrusting your assets to the Ohio National Fund. We look forward to continuing to serve your investment needs.
Sincerely,
John J. Palmer, FSA
President
Directors and Officers of Ohio National Fund, Inc.
John J. Palmer, President and Director
L. Ross Love, Director
James E. Bushman, Director
George M. Vredeveld, Director
Thomas A. Barefield, Vice President
Christopher A. Carlson, Vice President
Dennis R. Taney, Chief Compliance Officer
R. Todd Brockman, Treasurer
Catherine E. Gehr, Assistant Treasurer
Kimberly A. Plante, Assistant Secretary
The Statement of Additional Information of Ohio National Fund, Inc. includes additional information about the Fund Directors 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, 2007, 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.
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
Equity Portfolio
Objective
The Equity Portfolio seeks long-term growth of capital by investing primarily in common stocks or other equity securities.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 17.67% | |||
Five year | 13.45% | |||
Ten year | 5.98% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Equity Portfolio returned 4.98% versus 6.96% for the current benchmark, the S&P 500 Index.
Our 198-basis point underperformance was due to unfavorable results in the Information Technology and Utilities sectors. Also on the downside, absence from the strong Energy and Materials sectors weighed on returns. On the upside, rebounds by a number of the Portfolio’s Consumer Discretionary stocks — most notably Amazon.com Inc. — partially offset negative effects elsewhere. The top five performers were Amazon.com Inc., Expedia, Inc., General Motors Corp., Qwest Communications International, Inc., and Aetna, Inc.(1)
The 73% surge in Amazon.com Inc. translated into an exceptional performance contribution from a single holding. The outsized share price gain was matched in magnitude only by the extreme pessimism regarding Amazon.com Inc.’s margins prior to its first quarter report. We have long argued that the company’s margin compression in the past year reflected short-term pressures from its aggressive investment in technology & content, spending we believe has tapered off. Judging from the pre-reporting spike in Amazon.com Inc.’s short interest ratio to its highest level since 1998, our constructive view was definitely not the consensus! To the great dismay of the short sellers (and great delight of long-term investors), Amazon.com Inc. reported a first quarter operating margin expansion to 5.9% from 5.1% a year earlier, demonstrated market share gains in the U.S. (and likely abroad), significantly boosted its full year profit guidance, and announced the completion of a $500 million stock repurchase program. Despite the strong move, there is little evidence that Amazon.com Inc.’s stock has become a darling in the eyes of investors, as its short interest ratio ran as high as 18% of the float in May, placing the Internet retailer in 5th place on Wall Street’s most-hated list of stocks.(1)
Online travel provider Expedia, Inc. announced plans to spend as much as $3.5 billion to buy back 42% of its shares outstanding, spurring a 40% jump in its share price. The tender offer, made at a price range between $27.50 and $30.00 per share, signaled the strong confidence of Expedia, Inc.’s management, led by Chairman Barry Diller, and follows a $3 billion tender executed earlier this year. As a cyclically depressed company emerging from a heavy capital spending cycle, we believe investors can expect further upside from Expedia, Inc. going forward, as margins and revenues return to more normalized levels.(1)
Shares of General Motors Corp. zoomed ahead by 24% on increasing optimism about potential wins in labor negotiations. Having successfully settled the Delphi labor issues with the United Auto Workers (“UAW”), General Motors Corp. further bolstered its balance sheet with the sale of its Allison Transmission unit to a private equity group for $5.6 billion, strengthening its bargaining position in this summer’s UAW negotiations.
A backdrop of strong leveraged buy-out activity punctuated by the $25 billion offer for Alltel Corp. underpinned the strong performance of telecom position Qwest Communications International, Inc., which has maintained the strong upward trajectory that began last year, adding another 16% so far in 2007. Investors took the company’s fourth quarter margin decline in stride, interpreting the setback that followed four quarters of sequential expansion as a brief interruption in Qwest Communications International, Inc.’s journey towards its long-term mid-30% margin goal. Their hopes were proved correct, as the company’s first quarter report showed an adjusted quarterly EBITDA margin of 34%. Most recently, the company nabbed important government contract wins, which we believe are likely to produce ripple effects as enterprise corporate customers gain confidence in the Qwest data platform.(1)
In the Health Care sector, Aetna, Inc. rose 14% during the first half of the year after the managed care provider delighted investors with better-than-expected earnings in April and showed improving medical loss trends in its commercial business. The company’s $750 million addition to its share repurchase program also helped engender optimism. Meanwhile, the firm’s $535 million acquisition of Schaller Anderson catapulted the company into the ranks of the top 10 players in the Medicaid market, further diversifying the business model.(1)
Weakness from our homebuilder positions continued in the second quarter, leaving shares of Pulte Homes, Inc., Centex Corp., Ryland Group, Inc., and Beazer Homes USA, Inc. down more than 28% since the start of the year, caused, in part, by a soft spring selling season. The panic surrounding collateralized debt obligations (“CDOs”) and subprime loans only added pressure on the industry, pushing shares of the group below previous lows touched in the summer of 2006. Meanwhile, double-digit annual declines in housing starts and widespread home price weakness did little to boost investor confidence. None of these issues, however, is new to the market. In fact, the homebuilder stocks are now trading near their underlying asset liquidation values, implying that the market ascribes little, if any, value to their future cash generating abilities. Given such low expectations and that these companies have historically performed well in periods following valuation contraction, we believe the odds are clearly in favor of long-term investors.(1)
(continued)
3
Ohio National Fund, Inc.
Equity Portfolio (Continued)
Equity Portfolio (Continued)
In a similar vein, mortgage lender Countrywide Financial Corp. slumped 14%, mostly due to subprime concerns that we believe are exaggerated. Although Countrywide Financial Corp. is a leading player in the subprime market, it is important to recognize that subprime loans represented only 8% of the company’s total mortgage origination volume and 6% of its total revenue in 2006, while non-mortgage businesses account for more than half of Countrywide’s pretax earnings. The company’s well-respected management team, led by founder and industry veteran Angelo Mozilo, and its conservative accounting policies also point to a lower risk profile than has been discounted in its current valuation profile. With its stock price at bargain levels, Countrywide Financial Corp.’s shares have since been boosted by buyout rumors, with suspected suitors including Bank of America and Warren Buffett’s Berkshire Hathaway.(1)
Outside of the housing arena, data storage vendor Seagate Technology fell 17% year-to-date, as shares suffered following the April earnings release showing a weaker-than-expected demand environment and higher-than-expected price competition among desktop class drives. Meanwhile, expected synergies and lower intensity of competition from the Maxtor deal have yet to fully materialize. Nevertheless, news such as TDK Corp.’s acquisition of Alps Electric Co. and Hitachi’s reorganization of its hard disk drive business suggest that our thesis of industry consolidation and capacity rationalization may be more likely to play out in the intermediate future than not, to the benefit of industry-wide pricing.(1)
We firmly believe that the rest of 2007 will see a good performance for the U.S. equity market. While the economy has clearly slowed, we do not believe a recession is forthcoming. Inflation is moderating, the Federal Reserve has likely concluded its campaign to ratchet up interest rates, and corporate profit growth should still come in somewhere in the mid to high single digit range this year. Employment is still strong, and despite continued concerns about the housing market and subprime CDOs, we do not think a “contagion” will spill over to the broader economy.
We have been encouraged by the Portfolio’s ability to rebound since August, and we view the attractive valuation profile of large and mega-cap U.S. stocks, particularly those on the growth end of the scale, as reason for optimism for our investors going forward. We continue to adjust the Portfolio on the margin towards securities we find attractive, but the low turnover in the Portfolio speaks volumes about our confidence in the equities we already hold.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented herein includes the effects of reinvested dividends.
(continued)
4
Ohio National Fund, Inc.
Equity Portfolio (Continued)
Equity Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 99.5 | ||
Repurchase Agreements and Other Net Assets | 0.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Amazon.com Inc. | 7.6 | |||||
2. | Tyco International Ltd. | 5.7 | |||||
3. | Sprint Nextel Corp. | 5.3 | |||||
4. | The AES Corp. | 5.2 | |||||
5. | Google, Inc. Class A | 5.1 | |||||
6. | Qwest Communications International, Inc. | 4.8 | |||||
7. | UnitedHealth Group, Inc. | 4.4 | |||||
8. | JPMorgan Chase & Co. | 4.3 | |||||
9. | Sears Holdings Corp. | 4.0 | |||||
10. | Aetna, Inc. | 3.9 |
(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 | |||
Consumer Discretionary | 30.2 | ||
Information Technology | 20.7 | ||
Financials | 13.9 | ||
Health Care | 11.7 | ||
Telecommunication Services | 10.1 | ||
Industrials | 7.7 | ||
Utilities | 5.2 | ||
99.5 | |||
5
Ohio National Fund, Inc.
Equity Portfolio
Equity Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.5% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 30.2% | ||||||||
Automobiles – 0.5% | ||||||||
General Motors Corp. | 82,200 | $ | 3,107,160 | |||||
Household Durables – 3.1% | ||||||||
Beazer Homes USA, Inc. | 65,700 | 1,620,819 | ||||||
Centex Corp. | 169,300 | 6,788,930 | ||||||
Pulte Homes, Inc. | 301,400 | 6,766,430 | ||||||
Ryland Group, Inc. | 56,600 | 2,115,142 | ||||||
17,291,321 | ||||||||
Internet & Catalog Retail – 13.0% | ||||||||
Amazon.com Inc. (a) | 629,200 | 43,043,572 | ||||||
Expedia, Inc. (a) | 514,100 | 15,057,989 | ||||||
IAC/InterActiveCorp (a) | 447,000 | 15,470,670 | ||||||
73,572,231 | ||||||||
Leisure Equipment & Products – 2.9% | ||||||||
Eastman Kodak Co. | 593,200 | 16,508,756 | ||||||
Media – 4.4% | ||||||||
The DIRECTV Group Inc. (a) | 472,800 | 10,926,408 | ||||||
Time Warner, Inc. | 654,000 | 13,760,160 | ||||||
24,686,568 | ||||||||
Multiline Retail – 4.0% | ||||||||
Sears Holdings Corp. (a) | 133,900 | 22,696,050 | ||||||
Specialty Retail – 2.3% | ||||||||
The Home Depot, Inc. | 324,700 | 12,776,945 | ||||||
TOTAL CONSUMER DISCRETIONARY | 170,639,031 | |||||||
FINANCIALS – 13.9% | ||||||||
Consumer Finance – 1.7% | ||||||||
Capital One Financial Corp. | 121,600 | 9,538,304 | ||||||
Diversified Financial Services – 6.9% | ||||||||
Citigroup, Inc. | 282,000 | 14,463,780 | ||||||
JPMorgan Chase & Co. | 504,800 | 24,457,560 | ||||||
38,921,340 | ||||||||
Insurance – 2.3% | ||||||||
American International Group, Inc. | 191,400 | 13,403,742 | ||||||
Thrifts & Mortgage Finance – 3.0% | ||||||||
Countrywide Financial Corp. | 464,000 | 16,866,400 | ||||||
TOTAL FINANCIALS | 78,729,786 | |||||||
HEALTH CARE – 11.7% | ||||||||
Health Care Providers & Services – 10.1% | ||||||||
Aetna, Inc. | 441,800 | 21,824,920 | ||||||
Health Net, Inc. (a) | 198,500 | 10,480,800 | ||||||
UnitedHealth Group, Inc. | 490,200 | 25,068,828 | ||||||
57,374,548 | ||||||||
Pharmaceuticals – 1.6% | ||||||||
Pfizer, Inc. | 343,400 | 8,780,738 | ||||||
TOTAL HEALTH CARE | 66,155,286 | |||||||
INDUSTRIALS – 7.7% | ||||||||
Industrial Conglomerates – 7.7% | ||||||||
General Electric Co. | 286,100 | 10,951,908 | ||||||
Tyco International Ltd. | 958,000 | 32,370,820 | ||||||
TOTAL INDUSTRIALS | 43,322,728 | |||||||
INFORMATION TECHNOLOGY – 20.7% | ||||||||
Communications Equipment – 2.2% | ||||||||
Cisco Systems, Inc. (a) | 317,000 | 8,828,450 | ||||||
Motorola, Inc. | 206,600 | 3,656,820 | ||||||
12,485,270 | ||||||||
Computers & Peripherals – 4.6% | ||||||||
Hewlett-Packard Co. | 233,000 | 10,396,460 | ||||||
International Business Machines Corp. | 79,300 | 8,346,325 | ||||||
Seagate Technology | 336,400 | 7,323,428 | ||||||
26,066,213 | ||||||||
Internet Software & Services – 11.1% | ||||||||
eBay, Inc. (a) | 485,800 | 15,633,044 | ||||||
Google, Inc. Class A (a) | 54,600 | 28,576,548 | ||||||
Yahoo!, Inc. (a) | 681,800 | 18,497,234 | ||||||
62,706,826 | ||||||||
Software – 2.8% | ||||||||
CA, Inc. | 283,700 | 7,327,971 | ||||||
Electronic Arts, Inc. (a) | 179,700 | 8,503,404 | ||||||
15,831,375 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 117,089,684 | |||||||
TELECOMMUNICATION SERVICES – 10.1% | ||||||||
Diversified Telecommunication Services – 4.8% | ||||||||
Qwest Communications International, Inc. (a) | 2,783,900 | 27,003,830 | ||||||
Wireless Telecommunication Services – 5.3% | ||||||||
Sprint Nextel Corp. | 1,436,700 | 29,754,057 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 56,757,887 | |||||||
UTILITIES – 5.2% | ||||||||
Independent Power Producers & Energy Traders – 5.2% | ||||||||
The AES Corp. (a) | 1,340,500 | 29,330,140 | ||||||
TOTAL UTILITIES | 29,330,140 | |||||||
Total Common Stocks (Cost $372,032,307) | $ | 562,024,542 | ||||||
(continued)
6
Ohio National Fund, Inc.
Equity Portfolio (Continued)
Equity Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Repurchase Agreements – 0.5% | Amount | Value | ||||||
Bank of America 5.230% 07/02/2007 | $ | 2,849,482 | $ | 2,849,482 | ||||
Repurchase price $2,850,724 | ||||||||
Collateralized by: | ||||||||
Federal National Mortgage Association 4.500%, 08/01/2035 | ||||||||
Fair Value: $2,903,005 | ||||||||
Total Repurchase Agreements (Cost $2,849,482) | $ | 2,849,482 | ||||||
Total Investments – 100.0% (Cost $374,881,789) (b) | $ | 564,874,024 | ||||||
Other Assets in Excess of Liabilities – 0.0% | 193,267 | |||||||
Net Assets – 100.0% | $ | 565,067,291 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
7
Ohio National Fund, Inc.
Equity Portfolio
Equity Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $374,881,789) | $ | 564,874,024 | ||
Receivable for fund shares sold | 368,654 | |||
Dividends and accrued interest receivable | 270,262 | |||
Prepaid expenses and other assets | 2,323 | |||
Total assets | 565,515,263 | |||
Liabilities: | ||||
Payable for investment management services | 375,487 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 5,164 | |||
Accrued professional fees | 8,125 | |||
Accrued accounting fees | 29,387 | |||
Accrued printing and filing fees | 28,522 | |||
Other accrued expenses | 909 | |||
Total liabilities | 447,972 | |||
Net assets | $ | 565,067,291 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 17,075,681 | ||
Paid-in capital in excess of par value | 383,174,091 | |||
Accumulated net realized loss on investments | (25,081,125 | ) | ||
Net unrealized appreciation on investments | 189,992,235 | |||
Accumulated net investment loss | (93,591 | ) | ||
Net assets | $ | 565,067,291 | ||
Shares outstanding | 17,075,681 | |||
Authorized Fund shares allocated to Portfolio | 30,000,000 | |||
Net asset value per share | $ | 33.09 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 128,154 | ||
Dividends | 2,176,431 | |||
Total investment income | 2,304,585 | |||
Expenses: | ||||
Management fees | 2,195,992 | |||
Custodian fees | 18,955 | |||
Directors’ fees | 13,347 | |||
Professional fees | 13,037 | |||
Accounting fees | 88,382 | |||
Printing and filing fees | 29,982 | |||
Compliance expense | 2,358 | |||
Other | 4,738 | |||
Total expenses | 2,366,791 | |||
Net investment loss | (62,206 | ) | ||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | 8,458,318 | |||
Foreign currency related transactions | (31,385 | ) | ||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 18,757,491 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 27,184,424 | |||
Change in net assets from operations | $ | 27,122,218 | ||
The accompanying notes are an integral part of these financial statements.
8
Ohio National Fund, Inc.
Equity Portfolio
Equity Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (62,206 | ) | $ | (192,798 | ) | ||
Net realized gain (loss) on investments and foreign currency related transactions | 8,426,933 | 26,682,487 | ||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 18,757,491 | 6,482,873 | ||||||
Change in net assets from operations | 27,122,218 | 32,972,562 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 23,041,723 | 40,698,211 | ||||||
Paid for shares redeemed | (35,161,630 | ) | (64,320,663 | ) | ||||
Change in net assets from capital transactions | (12,119,907 | ) | (23,622,452 | ) | ||||
Change in net assets | 15,002,311 | 9,350,110 | ||||||
Net Assets: | ||||||||
Beginning of period | 550,064,980 | 540,714,870 | ||||||
End of period | $ | 565,067,291 | $ | 550,064,980 | ||||
Accumulated net investment loss | $ | (93,591 | ) | $ | — | |||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | �� | |||||||||||||||||||
Net asset value, beginning of period | $ | 31.52 | $ | 29.55 | $ | 27.85 | $ | 24.78 | $ | 17.20 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | — | (0.01 | ) | (0.01 | ) | 0.02 | 0.04 | |||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 1.57 | 1.98 | 1.71 | 3.06 | 7.58 | |||||||||||||||
Total from operations | 1.57 | 1.97 | 1.70 | 3.08 | 7.62 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | — | (0.01 | ) | (0.04 | ) | |||||||||||||
Net asset value, end of period | $ | 33.09 | $ | 31.52 | $ | 29.55 | $ | 27.85 | $ | 24.78 | ||||||||||
Total return | 4.98 | %(b) | 6.67 | % | 6.10 | % | 12.44 | % | 44.35 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 565.1 | $ | 550.1 | $ | 540.7 | $ | 502.1 | $ | 413.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.86 | %(a) | 0.86 | % | 0.88 | % | 0.92 | % | 0.94 | % | ||||||||||
Net investment income (loss) | (0.02 | )%(a) | (0.04 | )% | (0.03 | )% | 0.09 | % | 0.18 | % | ||||||||||
Portfolio turnover rate | 4 | % | 13 | % | 20 | % | 10 | % | 6 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
9
Ohio National Fund, Inc.
Money Market Portfolio
Money Market Portfolio
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Short-Term Notes (2) | 95.4 | ||
Repurchase Agreements Less Net Liabilities | 4.6 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1)
% of Net Assets | |||||||
1. | International Business Machines Corp. 5.150% 07/02/2007 | 4.2 | |||||
2. | UBS Finance Delaware LLC 5.260% 07/06/2007 | 4.0 | |||||
3. | MetLife Funding Inc. 5.210% 07/18/2007 | 4.0 | |||||
4. | Chevron Funding Corp. 5.230% 07/19/2007 | 4.0 | |||||
5. | General Electric Capital Corp. 5.240% 07/20/2007 | 4.0 | |||||
6. | E.I. du Pont de Nemours & Co. 5.220% 07/25/2007 | 4.0 | |||||
7. | AT&T Inc. 5.260% 07/30/2007 | 4.0 | |||||
8. | Societe Generale 5.240% 07/31/2007 | 3.9 | |||||
9. | American Honda Finance Corp. 5.230% 08/13/2007 | 3.9 | |||||
10. | Merck & Co., Inc. 5.190% 08/16/2007 | 3.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Sectors: |
% of Net Assets | |||
Financials | 47.7 | ||
Consumer Staples | 16.0 | ||
Health Care | 11.6 | ||
Information Technology | 4.2 | ||
Energy | 4.0 | ||
Materials | 4.0 | ||
Telecommunication Services | 4.0 | ||
Industrials | 3.9 | ||
95.4 | |||
10
Ohio National Fund, Inc.
Money Market Portfolio
Money Market Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Amortized | |||||||
Short-Term Notes – 95.4% | Amount | Cost | ||||||
CONSUMER STAPLES – 16.0% | ||||||||
Beverages – 4.0% | ||||||||
The Coca-Cola Co. 5.220%, 07/06/2007 (a) | $ | 5,690,000 | $ | 5,685,875 | ||||
5.220%, 07/09/2007 (a) | 6,300,000 | 6,292,692 | ||||||
11,978,567 | ||||||||
Food & Staples Retailing – 4.0% | ||||||||
Wal-Mart Stores, Inc. 5.210%, 07/24/2007 (a) | 7,000,000 | 6,976,700 | ||||||
5.190%, 08/21/2007 (a) | 5,000,000 | 4,963,237 | ||||||
11,939,937 | ||||||||
Food Products – 4.1% | ||||||||
Nestle Capital Corp. 5.220%, 07/12/2007 (a) | 10,290,000 | 10,273,588 | ||||||
5.205%, 07/23/2007 (a) | 2,000,000 | 1,993,638 | ||||||
12,267,226 | ||||||||
Household Products – 3.9% | ||||||||
The Procter & Gamble Co. 5.230%, 08/20/2007 (a) | 12,000,000 | 11,912,833 | ||||||
TOTAL CONSUMER STAPLES | 48,098,563 | |||||||
ENERGY – 4.0% | ||||||||
Oil, Gas & Consumable Fuels – 4.0% | ||||||||
Chevron Funding Corp. 5.230%, 07/19/2007 | 12,000,000 | 11,968,620 | ||||||
TOTAL ENERGY | 11,968,620 | |||||||
FINANCIALS – 47.7% | ||||||||
Capital Markets – 4.0% | ||||||||
UBS Finance Delaware LLC 5.260%, 07/06/2007 | 12,000,000 | 11,991,233 | ||||||
Consumer Finance – 15.9% | ||||||||
American Express Credit Corp. | ||||||||
5.270%, 07/09/2007 | 4,200,000 | 4,195,081 | ||||||
5.260%, 07/13/2007 | 3,300,000 | 3,294,214 | ||||||
5.270%, 07/05/2007 | 4,500,000 | 4,497,365 | ||||||
American Honda Finance Corp. | ||||||||
5.230%, 08/13/2007 | 12,000,000 | 11,925,037 | ||||||
John Deere Capital Corp. | ||||||||
5.260%, 07/06/2007 (a) | 2,000,000 | 1,998,539 | ||||||
5.210%, 08/06/2007 (a) | 10,000,000 | 9,947,900 | ||||||
Toyota Credit Corp. | ||||||||
5.230%, 07/03/2007 | 1,535,000 | 1,534,554 | ||||||
5.270%, 07/10/2007 | 1,000,000 | 998,683 | ||||||
5.230%, 07/11/2007 | 9,379,000 | 9,365,374 | ||||||
47,756,747 | ||||||||
Diversified Financial Services – 15.9% | ||||||||
Citigroup Funding Inc. | ||||||||
5.240%, 07/10/2007 | 10,000,000 | 9,986,900 | ||||||
5.280%, 07/11/2007 | 2,000,000 | 1,997,067 | ||||||
General Electric Capital Corp. | ||||||||
5.240%, 07/20/2007 | 12,000,000 | 11,966,813 | ||||||
HSBC Finance Corp. | ||||||||
5.260%, 07/05/2007 | 10,911,000 | 10,904,623 | ||||||
5.280%, 07/11/2007 | 1,000,000 | 998,534 | ||||||
Diversified Financial Services (continued) | ||||||||
Societe Generale | ||||||||
5.240%, 07/31/2007 | 12,000,000 | 11,947,600 | ||||||
47,801,537 | ||||||||
Insurance – 11.9% | ||||||||
AIG Funding Inc. | ||||||||
5.250%, 07/13/2007 | 7,000,000 | 6,987,750 | ||||||
American General Finance Corp. | ||||||||
5.280%, 07/16/2007 | 5,000,000 | 4,989,000 | ||||||
MetLife Funding | ||||||||
5.210%, 07/18/2007 | 12,000,000 | 11,970,477 | ||||||
Prudential Funding LLC | ||||||||
5.240%, 07/16/2007 | 2,000,000 | 1,995,633 | ||||||
5.220%, 07/17/2007 | 10,000,000 | 9,976,800 | ||||||
35,919,660 | ||||||||
TOTAL FINANCIALS | 143,469,177 | |||||||
HEALTH CARE – 11.6% | ||||||||
Pharmaceuticals – 11.6% | ||||||||
Abbott Laboratories | ||||||||
5.210%, 07/09/2007 (a) | 3,000,000 | 2,996,527 | ||||||
5.250%, 07/16/2007 (a) | 9,000,000 | 8,980,312 | ||||||
Johnson & Johnson | ||||||||
5.190%, 07/16/2007 (a) | 8,200,000 | 8,182,268 | ||||||
5.190%, 08/29/2007 (a) | 3,000,000 | 2,974,482 | ||||||
Merck & Co., Inc. | ||||||||
5.190%, 08/16/2007 | 12,000,000 | 11,920,420 | ||||||
TOTAL HEALTH CARE | 35,054,009 | |||||||
INDUSTRIALS – 3.9% | ||||||||
Commercial Services & Supplies – 3.9% | ||||||||
Cintas Corp. No 2 | ||||||||
5.245%, 07/02/2007 | 6,525,000 | 6,524,049 | ||||||
5.250%, 07/03/2007 | 5,400,000 | 5,398,425 | ||||||
TOTAL INDUSTRIALS | 11,922,474 | |||||||
INFORMATION TECHNOLOGY – 4.2% | ||||||||
Computers & Peripherals – 4.2% | ||||||||
International Business Machines Corp. 5.150%, 07/02/2007 (a) | 12,575,000 | 12,573,198 | ||||||
TOTAL INFORMATION TECHNOLOGY | 12,573,198 | |||||||
MATERIALS – 4.0% | ||||||||
Chemicals – 4.0% | ||||||||
E.I. du Pont de Nemours & Co. | ||||||||
5.220%, 07/25/2007 (a) | 12,000,000 | 11,958,240 | ||||||
TOTAL MATERIALS | 11,958,240 | |||||||
TELECOMMUNICATION SERVICES – 4.0% | ||||||||
Diversified Telecommunication Services – 4.0% | ||||||||
AT&T Inc. | ||||||||
5.260%, 07/30/2007 (a) | 12,000,000 | 11,949,153 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 11,949,153 | |||||||
Total Short-Term Notes (Cost $286,993,434) | $ | 286,993,434 | ||||||
(continued)
11
Ohio National Fund, Inc.
Money Market Portfolio (Continued)
Money Market Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Amortized | |||||||
Repurchase Agreements – 5.6% | Amount | Cost | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 16,958,000 | $ | 16,958,000 | ||||
Repurchase price $16,963,794 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $17,297,290 | ||||||||
Total Repurchase Agreements (Cost $16,958,000) | $ | 16,958,000 | ||||||
Total Investments – 101.0% (Cost $303,951,434) (b) | $ | 303,951,434 | ||||||
Liabilities in Excess of Other Assets – (1.0)% | (3,105,995 | ) | ||||||
Net Assets – 100.0% | $ | 300,845,439 | ||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Security exempt from registration under Section 4 (2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2007, the value of these securities totaled $119,659,182 or 39.8% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(b) | Represents cost for Federal income tax and financial reporting purposes. See also Note 2 to Financial Statements regarding the use of amortized cost for valuation of this Portfolio. |
The accompanying notes are an integral part of these financial statements.
12
Ohio National Fund, Inc.
Money Market Portfolio
Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at amortized cost | $ | 303,951,434 | ||
Cash | 355 | |||
Receivable for fund shares sold | 95,110 | |||
Accrued interest receivable | 3,863 | |||
Prepaid expenses and other assets | 85 | |||
Total assets | 304,050,847 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 3,066,777 | |||
Payable for dividends | 40,885 | |||
Payable for investment management services | 59,405 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 3,045 | |||
Accrued professional fees | 6,392 | |||
Accrued accounting fees | 14,939 | |||
Accrued printing and filing fees | 13,195 | |||
Other accrued expenses | 392 | |||
Total liabilities | 3,205,408 | |||
Net assets | $ | 300,845,439 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 30,084,557 | ||
Paid-in capital in excess of par value | 270,760,882 | |||
Net assets | $ | 300,845,439 | ||
Shares outstanding | 30,084,557 | * | ||
Authorized Fund shares allocated to Portfolio | 30,000,000 | * | ||
Net asset value per share | $ | 10.00 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 7,302,102 | ||
Expenses: | ||||
Management fees | 366,429 | |||
Custodian fees | 10,211 | |||
Directors’ fees | 6,852 | |||
Professional fees | 8,931 | |||
Accounting fees | 45,188 | |||
Printing and filing fees | 14,338 | |||
Compliance expense | 2,358 | |||
Other | 300 | |||
Total expenses | 454,607 | |||
Less expenses voluntarily reduced or reimbursed by adviser | (24,795 | ) | ||
Net expenses | 429,812 | |||
Net investment income | 6,872,290 | |||
Change in net assets from operations | $ | 6,872,290 | ||
* | As presented in Note 1 of the Notes to Financial Statements, the Fund had 350 miillion authorized shares at period end. Approximately 175 miillion shares were un-issued at period end. As such, the shares in the Money Market Portfolio class in excess of the “Authorized Fund Shares allocated to the Portfolio” do not represent unauthorized shares of the Fund. Un-issued shares of other Fund Portfolios were subsequently re-allocated to the Money Market Portfolio, upon proper approval of the Board. |
The accompanying notes are an integral part of these financial statements.
13
Ohio National Fund, Inc.
Money Market Portfolio
Money Market Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 6,872,290 | $ | 9,582,399 | ||||
Net realized gain on investments | — | 623 | ||||||
Change in net assets from operations | 6,872,290 | 9,583,022 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | (6,872,290 | ) | (9,582,399 | ) | ||||
Distributions of net realized capital gains | — | (623 | ) | |||||
Total distributions to shareholders | (6,872,290 | ) | (9,583,022 | ) | ||||
Capital transactions: | ||||||||
Received from shares sold | 179,526,424 | 233,252,250 | ||||||
Received from dividends reinvested | 6,899,920 | 9,514,506 | ||||||
Paid for shares redeemed | (139,958,968 | ) | (157,951,404 | ) | ||||
Change in net assets from capital transactions | 46,467,376 | 84,815,352 | ||||||
Change in net assets | 46,467,376 | 84,815,352 | ||||||
Net Assets: | ||||||||
Beginning of period | 254,378,063 | 169,562,711 | ||||||
End of period | $ | 300,845,439 | $ | 254,378,063 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.25 | 0.47 | 0.27 | 0.09 | 0.07 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | (0.25 | ) | (0.47 | ) | (0.27 | ) | (0.09 | ) | (0.07 | ) | ||||||||||
Net asset value, end of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||
Total return | 2.50 | %(b) | 4.79 | % | 2.92 | % | 1.01 | % | 0.74 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 300.8 | $ | 254.4 | $ | 169.6 | $ | 141.0 | $ | 129.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.31 | %(a) | 0.32 | % | 0.33 | % | 0.36 | % | 0.41 | % | ||||||||||
Net investment income | 4.99 | %(a) | 4.72 | % | 2.92 | % | 1.03 | % | 0.74 | % | ||||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.33 | %(a) | 0.35 | % | 0.37 | % | 0.40 | % | 0.44 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
14
Ohio National Fund, Inc.
Bond Portfolio
Bond Portfolio
Objective
The Bond Portfolio seeks to obtain a high level of income and opportunity for capital appreciation consistent with the preservation of capital by investing primarily in intermediate-term and long-term fixed income securities.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 6.16% | |||
Five year | 5.21% | |||
Ten year | 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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Bond Portfolio returned 1.18% versus 1.36% for the current benchmark, the Merrill Lynch U.S. Corporate Bond Index 1-10 Year (“the Merrill Lynch Index”).
The Bond Portfolio underperformed the Merrill Lynch Index due to the announcements of leveraged buy-outs (“LBOs”) of two companies held in the Bond Portfolio (SLM Corp. and Nuveen Investments, Inc.), the widening of credit spreads in the finance sector as a result of these two LBOs, and an over-weighting in the homebuilding sector, which performed poorly.(1)
There were two dominant themes in the fixed income market during the first half of 2007. There has been a meltdown in the subprime mortgage market. This meltdown does not directly impact the Bond Portfolio because the Bond Portfolio only invests in corporate bonds. The Bond Portfolio, however, has been affected to the extent that the problems in the subprime market impact corporate credit. The subprime lending problem has negatively impacted mortgage lenders, brokerage firms, and homebuilders. The other dominant theme in the fixed income market has been continued LBOs of investment grade companies by private-equity funds.(1)
The announcements of the LBOs of SLM Corp. and Nuveen Investments, Inc. negatively impacted the Bond Portfolio and explains much of the under-performance of the Bond Portfolio. Both of these LBOs occurred in the Finance sector, which here-to-fore, was believed to be a sector safe from LBOs.(1)
During the first half of 2007, the Treasury yield curve began its return to a normal upward sloping shape. At the start of the year, the Treasury yield curve was slightly inverted. By June 30, the Treasury curve had a 16 basis point positive slope from 2-year to 10-year Treasuries. The change was the result of an increase in the yields of longer maturity Treasuries. The Bond Portfolio was properly positioned for this change in Treasury yields because the Bond Portfolio’s duration was slightly short of the benchmark’s duration for much of the first half of the year.(1)
After being very tight for a long period of time, credit spreads began to widen during the first half of 2007. The credit spread for the Merrill Lynch Index widened 10 basis points during the period. The average credit quality of the Bond Portfolio was BBB+ versus mid-A for the Merrill Lynch Index. During the first half, lower quality bonds outperformed higher quality bonds, thus the overall credit quality of the Bond Portfolio benefited performance.(1)
Several industry weightings impacted performance. It has already been mentioned that the over-weighting in homebuilders negatively impacted performance. The Bond Portfolio benefited from its under-weighting in banks and brokers because they underperformed. The Bond Portfolio also benefited from its over-weighting in electric utilities and REITs, which outperformed. The poorest performing securities held in the Bond Portfolio were SLM Corp. and Nuveen Investments, Inc., which were the subject of LBO announcements. Other poor performers included GMAC LLC and Pulte Homes, Inc., on weakness in the subprime lending and homebuilding markets. Securities owned by the Bond Portfolio that performed very well included HCA, Inc., Clear Channel Communications, Inc., Rogers Cable, Inc., The Rouse Co. and Hospira, Inc.(1)
We expect the growth rate of the U.S. economy to slow because of the cumulative impact of the tightening moves on the part of the Federal Reserve, high gasoline prices, and problems in the subprime mortgage market and in homebuilding. Because of a slowing economy, the Federal Reserve will likely begin to cut its Fed Funds rate, allowing the yield curve to continue to steepen. For this reason, the duration of the Bond Portfolio will be shortened. We expect that credit spreads will continue to widen from very tight levels because of the weakening economy, and demand on the part of investors for more spread to compensate them for the risk of leveraging events. Due to widening credit spreads and a continuation of equity-friendly actions taken by companies, purchases will be made in higher quality names having change-of-control protections for bondholders. We will maintain an over-weighting in REITs and electric utilities and increase purchases in the bank sector because it is difficult to significantly increase leverage in these entities. We will sell investments in companies that have a greater likelihood of being acquired through an LBO. We will also trade into securities that offer change-of-control covenant protection.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
(continued)
15
Ohio National Fund, Inc.
Bond Portfolio (Continued)
Bond Portfolio (Continued)
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
Merrill Lynch U.S. Corporate Bond Index 1-10 Year represents $150 million issue or greater investment grade bonds maturing in 1 to 10 years.
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Monsanto Co. 7.375% 08/15/2012 | 1.1 | |||||
2. | TransAlta Corp. 6.750% 07/15/2012 | 1.1 | |||||
3. | Verizon Communications Inc. 5.350% 02/15/2011 | 1.0 | |||||
4. | Keycorp 4.700% 05/21/2009 | 1.0 | |||||
5. | DaimlerChrysler N.A. Holding Corp. 4.050% 06/04/2008 | 1.0 | |||||
6. | FIA Credit Services NA 4.625% 08/03/2009 | 1.0 | |||||
7. | General Electric Capital Corp. 4.875% 10/21/2010 | 1.0 | |||||
8. | Pemex Project Funding Master Trust 5.750% 12/15/2015 | 1.0 | |||||
9. | Merrill Lynch & Co., Inc. 4.790% 08/04/2010 | 0.9 | |||||
10. | Lehman Brothers Holdings, Inc. 3.500% 08/07/2008 | 0.9 |
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Corporate Bonds (3) (4) | 96.3 | ||
Asset-Backed Securities (3) (4) | 0.3 | ||
Foreign Government Bonds (4) | 0.7 | ||
Short-Term Notes and Other Net Assets | 2.7 | ||
100.0 | |||
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Financials | 42.4 | ||
Consumer Discretionary | 14.6 | ||
Utilities | 12.8 | ||
Telecommunication Services | 6.6 | ||
Industrials | 6.3 | ||
Energy | 5.2 | ||
Consumer Staples | 2.9 | ||
Materials | 2.9 | ||
Health Care | 1.6 | ||
Information Technology | 1.3 | ||
96.6 | |||
(4) | Bond Credit Quality (Standard & Poor’s Ratings): |
% of Total Bonds | |||
AAA | 2.0 | ||
AA | 10.7 | ||
A | 24.3 | ||
BBB | 57.7 | ||
BB | 4.9 | ||
B | 0.4 | ||
100.0 | |||
16
Ohio National Fund, Inc.
Bond Portfolio
Bond Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 96.3% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 14.6% | ||||||||
Auto Components – 0.7% | ||||||||
Johnson Controls, Inc. 5.250%, 01/15/2011 | $ | 1,250,000 | $ | 1,238,155 | ||||
Automobiles – 1.0% | ||||||||
DaimlerChrysler N.A. Holding Corp. 4.050%, 06/04/2008 | 1,750,000 | 1,725,829 | ||||||
Hotels, Restaurants & Leisure – 1.6% | ||||||||
Harrah’s Operating Co. Inc. 5.500%, 07/01/2010 | 1,000,000 | 969,408 | ||||||
Mirage Resorts, Inc. 6.750%, 02/01/2008 | 700,000 | 704,375 | ||||||
Wyndham Worldwide Corp. 6.000%, 12/01/2016 | 1,250,000 | 1,207,715 | ||||||
2,881,498 | ||||||||
Household Durables – 3.3% | ||||||||
Centex Corp. 5.125%, 10/01/2013 | 1,000,000 | 927,358 | ||||||
Lennar Corp. 5.950%, 03/01/2013 | 1,000,000 | 976,054 | ||||||
Mohawk Industries, Inc. 5.750%, 01/15/2011 | 1,000,000 | 1,000,014 | ||||||
Newell Rubbermaid, Inc. 4.625%, 12/15/2009 | 1,000,000 | 982,332 | ||||||
Pulte Homes, Inc. 8.125%, 03/01/2011 | 1,000,000 | 1,060,453 | ||||||
7.875%, 08/01/2011 | 1,000,000 | 1,038,665 | ||||||
5,984,876 | ||||||||
Leisure Equipment & Products – 0.4% | ||||||||
Eastman Kodak Co. 3.625%, 05/15/2008 | 750,000 | 733,125 | ||||||
Media – 5.1% | ||||||||
Clear Channel Communications, Inc. 5.750%, 01/15/2013 | 1,000,000 | 901,430 | ||||||
Comcast Corp. 5.875%, 02/15/2018 | 1,750,000 | 1,698,193 | ||||||
Cox Communications, Inc. 6.750%, 03/15/2011 | 1,500,000 | 1,553,566 | ||||||
Rogers Cable, Inc. 5.500%, 03/15/2014 | 1,500,000 | 1,456,592 | ||||||
Time Warner Cable, Inc. 5.850%, 05/01/2017 (a) | 1,000,000 | 974,436 | ||||||
Time Warner, Inc. 6.875%, 05/01/2012 | 1,000,000 | 1,044,336 | ||||||
Viacom, Inc. 5.750%, 04/30/2011 | 1,500,000 | 1,499,097 | ||||||
9,127,650 | ||||||||
Multiline Retail – 1.0% | ||||||||
Federated Retail Holdings, Inc. 5.900%, 12/01/2016 | 1,750,000 | 1,708,631 | ||||||
Specialty Retail – 1.5% | ||||||||
Staples, Inc. 7.375%, 10/01/2012 | 1,000,000 | 1,070,165 | ||||||
The Home Depot, Inc. 5.250%, 12/16/2013 | 1,750,000 | 1,690,299 | ||||||
2,760,464 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 26,160,228 | |||||||
CONSUMER STAPLES – 2.9% | ||||||||
Food & Staples Retailing – 1.2% | ||||||||
CVS Caremark Corporation 5.750%, 06/01/2017 | 1,750,000 | 1,691,571 | ||||||
Safeway, Inc. 5.800%, 08/15/2012 | 500,000 | 500,654 | ||||||
2,192,225 | ||||||||
Food Products – 1.7% | ||||||||
Bunge N.A. Finance LP 5.900%, 04/01/2017 | 1,500,000 | 1,456,017 | ||||||
Tyson Foods, Inc. 6.600%, 04/01/2016 | 1,500,000 | 1,547,610 | ||||||
3,003,627 | ||||||||
TOTAL CONSUMER STAPLES | 5,195,852 | |||||||
ENERGY – 5.2% | ||||||||
Oil, Gas & Consumable Fuels – 5.2% | ||||||||
Anadarko Petroleum Corp. 5.950%, 09/15/2016 | 1,500,000 | 1,467,189 | ||||||
Atlantic Richfield Co. 8.550%, 03/01/2012 | 200,000 | 224,538 | ||||||
Energy Transfer Partners LP 5.650%, 08/01/2012 | 1,000,000 | 989,421 | ||||||
Enterprise Products Operating L.P. 4.625%, 10/15/2009 | 1,500,000 | 1,469,919 | ||||||
Marathon Oil Corp. 6.125%, 03/15/2012 | 750,000 | 764,281 | ||||||
Ocean Energy, Inc. 7.250%, 10/01/2011 | 1,000,000 | 1,053,485 | ||||||
Pemex Project Funding Master Trust 5.750%, 12/15/2015 | 1,750,000 | 1,718,937 | ||||||
Valero Energy Corp. 6.875%, 04/15/2012 | 750,000 | 786,219 | ||||||
XTO Energy, Inc. 4.900%, 02/01/2014 | 1,000,000 | 947,650 | ||||||
TOTAL ENERGY | 9,421,639 | |||||||
FINANCIALS – 42.4% | ||||||||
Capital Markets – 9.1% | ||||||||
Allied Capital Corp. 6.625%, 07/15/2011 | 1,500,000 | 1,515,924 | ||||||
Amvescap PLC 4.500%, 12/15/2009 | 1,500,000 | 1,464,603 | ||||||
Credit Suisse (USA), Inc. 5.250%, 03/02/2011 | 1,500,000 | 1,490,278 | ||||||
Jefferies Group Inc. 5.875%, 06/08/2014 | 1,500,000 | 1,484,279 | ||||||
Lehman Brothers Holdings, Inc. 3.500%, 08/07/2008 | 1,750,000 | 1,713,985 | ||||||
Merrill Lynch & Co., Inc. 4.790%, 08/04/2010 | 1,750,000 | 1,716,069 |
(continued)
17
Ohio National Fund, Inc.
Bond Portfolio (Continued)
Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 96.3% | Amount | Value | ||||||
Capital Markets (continued) | ||||||||
Morgan Stanley 4.750%, 04/01/2014 | $ | 1,750,000 | $ | 1,636,525 | ||||
Nuveen Investments, Inc. 5.000%, 09/15/2010 | 1,000,000 | 919,494 | ||||||
The Bear Stearns Companies, Inc. 3.250%, 03/25/2009 | 1,750,000 | 1,688,486 | ||||||
The Goldman Sachs Group LP 4.500%, 06/15/2010 | 1,750,000 | 1,707,391 | ||||||
Waddell & Reed Financial, Inc. 5.600%, 01/15/2011 | 1,000,000 | 990,231 | ||||||
16,327,265 | ||||||||
Commercial Banks – 8.1% | ||||||||
BB&T Corp. 5.200%, 12/23/2015 | 1,500,000 | 1,431,373 | ||||||
BOI Capital Funding No. 2 5.571%, Perpetual (a) (c) | 1,000,000 | 949,765 | ||||||
Deutsche Bank Capital Funding Trust VII 5.628%, Perpetual (a) (c) | 1,500,000 | 1,430,505 | ||||||
Fifth Third Bancorp 4.500%, 06/01/2018 | 1,750,000 | 1,547,159 | ||||||
Firstar Bank NA 7.125%, 12/01/2009 | 1,500,000 | 1,559,601 | ||||||
Keycorp 4.700%, 05/21/2009 | 1,750,000 | 1,729,679 | ||||||
PNC Funding Corp. 5.250%, 11/15/2015 | 1,500,000 | 1,443,433 | ||||||
SunTrust Bank 5.000%, 09/01/2015 | 1,500,000 | 1,417,769 | ||||||
Wachovia Capital Trust III 5.800%, Perpetual (c) | 1,500,000 | 1,494,690 | ||||||
Wells Fargo Bank, NA 6.450%, 02/01/2011 | 1,500,000 | 1,547,867 | ||||||
14,551,841 | ||||||||
Consumer Finance – 6.1% | ||||||||
American Express Credit Corp. 5.000%, 12/02/2010 | 1,500,000 | 1,483,861 | ||||||
American General Finance Corp. 4.875%, 05/15/2010 | 1,000,000 | 983,359 | ||||||
Capital One Bank 5.125%, 02/15/2014 | 1,000,000 | 961,180 | ||||||
Discover Financial Services 6.450%, 06/12/2017 (a) | 1,500,000 | 1,500,705 | ||||||
FIA Credit Services NA 4.625%, 08/03/2009 | 1,750,000 | 1,724,599 | ||||||
GMAC LLC 7.250%, 03/02/2011 | 1,500,000 | 1,496,265 | ||||||
HSBC Finance Corp. 6.375%, 11/27/2012 | 1,500,000 | 1,541,753 | ||||||
SLM Corp. 5.375%, 05/15/2014 | 1,500,000 | 1,287,168 | ||||||
10,978,890 | ||||||||
Diversified Financial Services – 3.9% | ||||||||
Capmark Financial Group Inc. 6.300%, 05/10/2017 (a) | 1,000,000 | 985,833 | ||||||
Citigroup, Inc. 4.625%, 08/03/2010 | 1,500,000 | 1,469,325 | ||||||
Diversified Financial Services (continued) | ||||||||
General Electric Capital Corp. 4.875%, 10/21/2010 | 1,750,000 | 1,724,088 | ||||||
ILFC E-Capital Trust I 5.900%, 12/21/2065 (a) (b) | 1,500,000 | 1,492,789 | ||||||
JPMorgan Chase & Co. 5.150%, 10/01/2015 | 1,500,000 | 1,428,692 | ||||||
7,100,727 | ||||||||
Insurance – 4.7% | ||||||||
Assurant, Inc. 5.625%, 02/15/2014 | 1,500,000 | 1,469,985 | ||||||
Axis Capital Holdings Ltd. 5.750%, 12/01/2014 | 1,000,000 | 972,954 | ||||||
Liberty Mutual Group 5.750%, 03/15/2014 (a) | 1,000,000 | 968,764 | ||||||
Lincoln National Corp. 6.500%, 03/15/2008 | 1,250,000 | 1,255,256 | ||||||
Loews Corp. 5.250%, 03/15/2016 | 750,000 | 719,850 | ||||||
Marsh & McLennan Cos. Inc. 3.625%, 02/15/2008 | 1,000,000 | 987,132 | ||||||
Prudential Financial Inc. 6.100%, 06/15/2017 | 1,500,000 | 1,519,723 | ||||||
StanCorp Financial Group, Inc. 6.875%, 10/01/2012 | 500,000 | 521,597 | ||||||
8,415,261 | ||||||||
Real Estate Investment Trusts – 7.5% | ||||||||
AvalonBay Communities, Inc. 6.625%, 01/15/2008 | 1,000,000 | 1,005,821 | ||||||
Camden Property Trust 4.375%, 01/15/2010 | 1,000,000 | 971,232 | ||||||
Developers Diversified Realty Corp. 5.375%, 10/15/2012 | 1,250,000 | 1,226,312 | ||||||
Equity One Inc. 6.250%, 01/15/2017 | 1,250,000 | 1,250,947 | ||||||
Health Care Property Investors, Inc. 4.875%, 09/15/2010 | 1,500,000 | 1,454,701 | ||||||
iStar Financial, Inc. 5.700%, 03/01/2014 | 1,000,000 | 976,943 | ||||||
Mack-Cali Realty L.P. 4.600%, 06/15/2013 | 1,000,000 | 937,633 | ||||||
Post Apartment Homes L.P. 5.125%, 10/12/2011 | 750,000 | 728,720 | ||||||
Potlatch Corp. 13.000%, 12/01/2009 | 1,000,000 | 1,130,632 | ||||||
ProLogis 5.750%, 04/01/2016 | 1,500,000 | 1,482,036 | ||||||
Simon Property Group L.P. 4.875%, 08/15/2010 | 1,250,000 | 1,227,523 | ||||||
The Rouse Co. 7.200%, 09/15/2012 | 1,000,000 | 1,031,329 | ||||||
13,423,829 | ||||||||
Real Estate Management & Development – 0.8% | ||||||||
ERP Operating L.P. 4.750%, 06/15/2009 | 1,500,000 | 1,478,405 | ||||||
(continued)
18
Ohio National Fund, Inc.
Bond Portfolio (Continued)
Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 96.3% | Amount | Value | ||||||
Thrifts & Mortgage Finance – 2.2% | ||||||||
Countrywide Home Loans, Inc. 4.125%, 09/15/2009 | $ | 1,500,000 | $ | 1,455,639 | ||||
Radian Group, Inc. 7.750%, 06/01/2011 | 1,000,000 | 1,068,982 | ||||||
Washington Mutual, Inc. 4.625%, 04/01/2014 | 1,500,000 | 1,380,625 | ||||||
3,905,246 | ||||||||
TOTAL FINANCIALS | 76,181,464 | |||||||
HEALTH CARE – 1.6% | ||||||||
Health Care Equipment & Supplies – 0.8% | ||||||||
Hospira, Inc. 4.950%, 06/15/2009 | 1,500,000 | 1,485,822 | ||||||
Health Care Providers & Services – 0.8% | ||||||||
WellPoint, Inc. 4.250%, 12/15/2009 | 1,500,000 | 1,453,815 | ||||||
TOTAL HEALTH CARE | 2,939,637 | |||||||
INDUSTRIALS – 6.0% | ||||||||
Aerospace & Defense – 0.3% | ||||||||
Boeing Capital Corp. 5.400%, 11/30/2009 | 500,000 | 499,471 | ||||||
Building Products – 0.8% | ||||||||
Owens Corning Inc. 6.500%, 12/01/2016 | 1,500,000 | 1,503,539 | ||||||
Industrial Conglomerates – 0.8% | ||||||||
Hutchison Whampoa International Ltd. 6.250%, 01/24/2014 (a) | 1,500,000 | 1,523,250 | ||||||
Machinery – 1.4% | ||||||||
Caterpillar Inc. 5.700%, 08/15/2016 | 1,500,000 | 1,493,060 | ||||||
Timken Co. 5.750%, 02/15/2010 | 1,000,000 | 994,943 | ||||||
2,488,003 | ||||||||
Road & Rail – 2.7% | ||||||||
CSX Corp. 5.600%, 05/01/2017 | 1,500,000 | 1,453,083 | ||||||
ERAC USA Finance Co. 6.200%, 11/01/2016 (a) | 1,500,000 | 1,491,096 | ||||||
Ryder System, Inc. 4.625%, 04/01/2010 | 1,000,000 | 970,512 | ||||||
Union Pacific Corp. 3.625%, 06/01/2010 | 1,000,000 | 949,775 | ||||||
4,864,466 | ||||||||
TOTAL INDUSTRIALS | 10,878,729 | |||||||
INFORMATION TECHNOLOGY – 1.3% | ||||||||
Computers & Peripherals – 0.6% | ||||||||
NCR Corp. 7.125%, 06/15/2009 | 1,000,000 | 1,022,013 | ||||||
IT Services – 0.7% | ||||||||
Fiserv, Inc. 4.000%, 04/15/2008 | 1,250,000 | 1,235,504 | ||||||
TOTAL INFORMATION TECHNOLOGY | 2,257,517 | |||||||
MATERIALS – 2.9% | ||||||||
Chemicals – 1.8% | ||||||||
ICI Wilmington, Inc. 4.375%, 12/01/2008 | 1,000,000 | 983,482 | ||||||
Monsanto Co. 7.375%, 08/15/2012 | 2,000,000 | 2,155,516 | ||||||
3,138,998 | ||||||||
Metals & Mining – 0.6% | ||||||||
Teck Cominco Ltd. 7.000%, 09/15/2012 | 1,000,000 | 1,054,187 | ||||||
Paper & Forest Products – 0.5% | ||||||||
International Paper Co. 5.300%, 04/01/2015 | 1,000,000 | 945,800 | ||||||
TOTAL MATERIALS | 5,138,985 | |||||||
TELECOMMUNICATION SERVICES – 6.6% | ||||||||
Diversified Telecommunication Services – 4.8% | ||||||||
AT&T Corp. 7.300%, 11/15/2011 | 500,000 | 532,737 | ||||||
BellSouth Corp. 4.200%, 09/15/2009 | 1,000,000 | 974,445 | ||||||
Embarq Corp. 6.738%, 06/01/2013 | 1,500,000 | 1,530,461 | ||||||
France Telecom SA 7.750%, 03/01/2011 | 1,000,000 | 1,069,225 | ||||||
Telecom Italia Capital SA 5.250%, 10/01/2015 | 1,500,000 | 1,397,076 | ||||||
Telefonos de Mexico SAB de CV 4.750%, 01/27/2010 | 1,500,000 | 1,464,917 | ||||||
Verizon Communications Inc. 5.350%, 02/15/2011 | 1,750,000 | 1,741,115 | ||||||
8,709,976 | ||||||||
Wireless Telecommunication Services – 1.8% | ||||||||
America Movil S.A.B. de C.V. 5.750%, 01/15/2015 | 1,000,000 | 991,496 | ||||||
AT&T Wireless Services, Inc. 7.875%, 03/01/2011 | 750,000 | 807,025 | ||||||
Sprint Nextel Corp. 6.000%, 12/01/2016 | 1,500,000 | 1,425,483 | ||||||
3,224,004 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 11,933,980 | |||||||
UTILITIES – 12.8% | ||||||||
Electric Utilities – 7.4% | ||||||||
Appalachian Power Co. 5.550%, 04/01/2011 | 1,500,000 | 1,494,613 | ||||||
Commonwealth Edison Co. 5.950%, 08/15/2016 | 1,500,000 | 1,471,014 | ||||||
Entergy Mississippi, Inc. 5.920%, 02/01/2016 | 1,000,000 | 986,026 | ||||||
IPALCO Enterprises, Inc. 8.625%, 11/14/2011 | 1,000,000 | 1,075,000 | ||||||
Kansas City Power & Light Co. 5.850%, 06/15/2017 | 1,500,000 | 1,484,372 | ||||||
Metropolitan Edison Co. 4.875%, 04/01/2014 | 750,000 | 702,933 |
(continued)
19
Ohio National Fund, Inc.
Bond Portfolio (Continued)
Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 96.3% | Amount | Value | ||||||
Electric Utilities (continued) | ||||||||
Pepco Holdings, Inc. 4.000%, 05/15/2010 | $ | 750,000 | $ | 718,294 | ||||
PSEG Power LLC 5.000%, 04/01/2014 | 750,000 | 710,447 | ||||||
Scottish Power plc 4.910%, 03/15/2010 | 1,000,000 | 986,116 | ||||||
Tenaska Georgia Partners L.P. 9.500%, 02/01/2030 | 498,124 | 610,984 | ||||||
Union Electric Co. 6.400%, 06/15/2017 | 1,500,000 | 1,533,114 | ||||||
Virginia Electric & Power Co. 5.400%, 01/15/2016 | 1,500,000 | 1,449,299 | ||||||
13,222,212 | ||||||||
Gas Utilities – 1.8% | ||||||||
Atmos Energy Corp. 4.000%, 10/15/2009 | 1,000,000 | 966,881 | ||||||
CenterPoint Energy Resources Corp. 5.950%, 01/15/2014 | 500,000 | 495,470 | ||||||
Duke Capital Corp. 5.500%, 03/01/2014 | 750,000 | 721,030 | ||||||
Southwest Gas Corp. 7.625%, 05/15/2012 | 1,000,000 | 1,066,267 | ||||||
3,249,648 | ||||||||
Independent Power Producers & Energy Traders – 1.5% | ||||||||
Texas Utilities Electric Co. 7.480%, 01/01/2017 | 694,000 | 705,507 | ||||||
TransAlta Corp. 6.750%, 07/15/2012 | 2,000,000 | 2,063,356 | ||||||
2,768,863 | ||||||||
Multi-Utilities – 2.1% | ||||||||
Avista Corp. 9.750%, 06/01/2008 | 500,000 | 518,529 | ||||||
Baltimore Gas & Electric Co. 6.200%, 04/08/2008 | 1,000,000 | 1,005,855 | ||||||
Consumers Energy Co. 6.000%, 02/15/2014 | 1,000,000 | 1,011,326 | ||||||
Multi-Utilities (continued) | ||||||||
Sempra Energy 4.750%, 05/15/2009 | 1,250,000 | 1,236,259 | ||||||
3,771,969 | ||||||||
TOTAL UTILITIES | 23,012,692 | |||||||
Total Corporate Bonds (Cost $174,585,770) | $ | 173,120,723 |
Face | Fair | |||||||
Asset Backed Securities – 0.3% | Amount | Value | ||||||
INDUSTRIALS – 0.3% | ||||||||
Air Freight & Logistics – 0.3% | ||||||||
FedEx Corp. Series 1998-1, 7.020%, 01/15/2016 | $ | 517,875 | $ | 535,971 | ||||
Total Asset Backed Securities (Cost $532,409) | $ | 535,971 | ||||||
Face | Fair | |||||||
Foreign Government Bonds – 0.7% | Amount | Value | ||||||
United Mexican States 5.875%, 01/15/2014 | $ | 1,250,000 | $ | 1,259,375 | ||||
Total Foreign Government Bonds (Cost $1,255,027) | $ | 1,259,375 | ||||||
Face | Fair | |||||||
Short-Term Notes – 1.4% | Amount | Value | ||||||
Prudential Funding LLC 5.280%, 07/02/2007 | $ | 2,556,000 | $ | 2,555,626 | ||||
Total Short-Term Notes (Cost $2,555,626) | $ | 2,555,626 | ||||||
Total Investments – 98.7% (Cost $178,928,832) (d) | $ | 177,471,695 | ||||||
Other Assets in Excess of Liabilities – 1.3% | 2,266,010 | |||||||
Net Assets – 100.0% | $ | 179,737,705 | ||||||
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. At June 30, 2007, the value of these securities totaled $11,317,143 or 6.3% 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 fixed-to-floating rate bond. The coupon rate is fixed at 5.900% through 12/21/2010. Thereafter, the rate is a variable rate based on the highest rate among the three month U.S. LIBOR and the 10-year and 30-year Constant Maturity Treasury rates. | |
(c) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at June 30, 2007. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
20
Ohio National Fund, Inc.
Bond Portfolio
Bond Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $178,928,832) | $ | 177,471,695 | ||
Cash | 503 | |||
Receivable for fund shares sold | 6,028 | |||
Accrued interest receivable | 2,484,006 | |||
Prepaid expenses and other assets | 60 | |||
Total assets | 179,962,292 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 112,004 | |||
Payable for investment management services | 82,361 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,761 | |||
Accrued professional fees | 6,224 | |||
Accrued accounting fees | 12,665 | |||
Accrued printing and filing fees | 8,908 | |||
Other accrued expenses | 286 | |||
Total liabilities | 224,587 | |||
Net assets | $ | 179,737,705 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 16,101,564 | ||
Paid-in capital in excess of par value | 155,564,367 | |||
Accumulated net realized loss on investments | (2,697,807 | ) | ||
Net unrealized depreciation on investments | (1,457,137 | ) | ||
Undistributed net investment income | 12,226,718 | |||
Net assets | $ | 179,737,705 | ||
Shares outstanding | 16,101,564 | |||
Authorized Fund shares allocated to Portfolio | 20,000,000 | |||
Net asset value per share | $ | 11.16 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 4,961,681 | ||
Expenses: | ||||
Management fees | 489,969 | |||
Custodian fees | 5,670 | |||
Directors’ fees | 4,281 | |||
Professional fees | 7,934 | |||
Accounting fees | 37,886 | |||
Printing and filing fees | 9,018 | |||
Compliance expense | 2,358 | |||
Other | 215 | |||
Total expenses | 557,331 | |||
Net investment income | 4,404,350 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 93,060 | |||
Change in unrealized appreciation/depreciation on investments | (2,402,487 | ) | ||
Net realized/unrealized gain (loss) on investments | (2,309,427 | ) | ||
Change in net assets from operations | $ | 2,094,923 | ||
The accompanying notes are an integral part of these financial statements.
21
Ohio National Fund, Inc.
Bond Portfolio
Bond Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 4,404,350 | $ | 7,819,874 | ||||
Net realized gain (loss) on investments | 93,060 | (522,752 | ) | |||||
Change in unrealized appreciation/depreciation on investments | (2,402,487 | ) | (182,739 | ) | ||||
Change in net assets from operations | 2,094,923 | 7,114,383 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (6,237,402 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 15,919,295 | 35,854,344 | ||||||
Received from dividends reinvested | — | 6,237,402 | ||||||
Paid for shares redeemed | (9,394,709 | ) | (10,845,383 | ) | ||||
Change in net assets from capital transactions | 6,524,586 | 31,246,363 | ||||||
Change in net assets | 8,619,509 | 32,123,344 | ||||||
Net Assets: | ||||||||
Beginning of period | 171,118,196 | 138,994,852 | ||||||
End of period | $ | 179,737,705 | $ | 171,118,196 | ||||
Undistributed net investment income | $ | 12,226,718 | $ | 7,822,368 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 11.03 | $ | 10.96 | $ | 11.33 | $ | 10.70 | $ | 10.25 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.26 | 0.55 | (a) | 0.56 | (a) | 0.51 | 0.61 | |||||||||||||
Net realized and unrealized gain (loss) on investments | (0.13 | ) | (0.06 | ) | (0.51 | ) | 0.12 | 0.45 | ||||||||||||
Total from operations | 0.13 | 0.49 | 0.05 | 0.63 | 1.06 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.42 | ) | (0.42 | ) | — | (0.61 | ) | ||||||||||||
Net asset value, end of period | $ | 11.16 | $ | 11.03 | $ | 10.96 | $ | 11.33 | $ | 10.70 | ||||||||||
Total return | 1.18 | %(c) | 4.44 | % | 0.42 | % | 5.89 | % | 10.46 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 179.7 | $ | 171.1 | $ | 139.0 | $ | 114.4 | $ | 90.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.63 | %(b) | 0.65 | % | 0.68 | % | 0.72 | % | 0.77 | % | ||||||||||
Net investment income | 5.00 | %(b) | 4.99 | % | 4.97 | % | 5.22 | % | 5.66 | % | ||||||||||
Portfolio turnover rate | 5 | % | 25 | % | 13 | % | 19 | % | 30 | % |
(a) | Calculated using the average daily shares method. | |
(b) | Annualized. | |
(c) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
22
Ohio National Fund, Inc.
Omni Portfolio
Omni Portfolio
Objective
The Omni Portfolio seeks a high level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 16.98% | |||
Five year | 10.12% | |||
Ten year | 2.30% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Omni Portfolio returned 5.57% versus 5.13% for the current benchmark, which is composed of 70% S&P 500 Index and 30% Merrill Lynch U.S. Corporate Master Bond Index (“Merrill Lynch Index”).
This outperformance of 44 basis points is the result of three factors. First, the equity component of the Omni Portfolio outperformed the S&P 500 Index. Second, the bond component of the Omni Portfolio underperformed the Merrill Lynch Corporate Master Bond Index. Third, the Omni Portfolio was slightly over-weighted in stocks, and stocks outperformed bonds during the first half of 2007.
Uncertainty and mixed economic data marked the first half of 2007. The stock market indices had a rough start early in the year with declining consumer sentiment, escalating gasoline prices, and currency worries causing the indices to take their biggest fall in four years. Subprime mortgage industry concerns also contributed to the apprehensive environment. While home sales looked to be improving early in the year, they returned to declines later in the period with prices falling. However, the overall economy continued to remain somewhat healthy and the market indices rebounded in the second quarter, proving their resiliency. Job growth bounced back in March and the unemployment rate dropped to a six-year low of 4.4%, holding fairly steady through the end of the period. Consumer spending also remained strong until June when the pressure from higher gasoline prices took a toll on retail sales. An increase in treasury yields and wider credit spreads resulted in low returns from bonds. Treasury yields rose because the core inflation rate was at the high end of the Federal Reserve’s range for this measure of inflation. Credit spreads widened because of concerns over subprime lending and continued leveraged buy-out (“LBO”) activity.
The equity component of the Omni Portfolio had a return of 7.95% versus 6.96% for the S&P 500. This nearly 100 basis points of outperformance was primarily the result of specific stock selection rather than sector selection. The major contributors to equity outperformance included Rio Tinto PLC up 33%, Apple Inc. up 44%, Baker Hughes, Inc., up 32%, Honeywell International, Inc., up 23% and Occidental Petroleum Corp. up 33%. Detractors from equity performance included Constellation Brands, Inc. down 28%, Human Genome Sciences, Inc. down 28%, Alcatel-Lucent down 19% and Vertex Pharmaceuticals, Inc. down 16%.(1)
The composition of the equity component of the Omni Portfolio has not changed significantly since the beginning of the year. The weighting in financial stocks was decreased to a 7% under-weight. The weighting in Industrials stocks was also reduced to a substantial under-weight. Slight additions were made to Information Technology stocks, increasing the over-weight in this sector. Early in the year, the weighting in Consumer Staples was reduced, but then added substantially to, bringing the Consumer Staples sector to an over-weight.(1)
The bond component of the Omni Portfolio had a return of 0.60%, underperforming the Merrill Lynch Corporate Master Bond Index by 22 basis points. This underperformance in bonds was due to two holdings in the Portfolio, SLM Corp. and Nuveen Investments, Inc., both of which were the subject of LBO announcements. Other poorly performing bonds included Residential Capital LLC, Nevada Power Co. and The Bear Stearns Companies Inc. Bonds that performed well included Rogers Cable, Inc., DaimlerChrysler N.A. Holding Corp., Pemex Project Funding Master Trust, America Movil S.A.B. de C.V. and Embarq Corp. The duration of Omni’s bond component was properly positioned short of the Merrill Lynch Index since interest rates rose during the first half of the year. The bond component of the Omni Portfolio was over-weighted versus the Merrill Lynch Index in cable, electric utilities and REITs, all of which outperformed. The bond component was under-weighted in the banking sector, which underperformed.(1)
While the U.S. economy continues to grow, it is exhibiting signs of stress caused by high gasoline costs, problems in subprime lending and homebuilding, and recent concerns about loan quality at financial institutions. The stock component is positioned somewhat defensively going into the second half of the year. The stock component is over-weighted in Consumer Staples, Health Care and Information Technology, and under-weighted in Financials and Industrials. The strategy for the bond component of the Omni Portfolio includes maintaining a duration that is short of the bond index because the yield curve is expected to continue steepening, increasing the average credit quality of the bond component given tight credit spreads, and swapping into bonds that have change-of-control covenant protection. We will also over-weight bond sectors that are less susceptible to LBOs, such as electric utilities and REITs.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
(continued)
23
Ohio National Fund, Inc.
Omni Portfolio (Continued)
Omni Portfolio (Continued)
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
Merrill Lynch U.S. Corporate Master Bond 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 $150 million.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic market through changes in the aggregate market value of 500 stocks representing all major industries. The index presented herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 72.6 | ||
Corporate Bonds (3) | 24.7 | ||
Repurchase Agreements and Other Net Assets | 2.7 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Cisco Systems, Inc. | 1.9 | |||||
2. | The Procter & Gamble Co. | 1.8 | |||||
3. | NIKE, Inc. Class B | 1.5 | |||||
4. | Applied Materials, Inc. | 1.5 | |||||
5. | Microsoft Corp. | 1.5 | |||||
6. | Occidental Petroleum Corp. | 1.5 | |||||
7. | Vertex Pharmaceuticals, Inc. | 1.5 | |||||
8. | Wyeth | 1.5 | |||||
9. | The Chubb Corp. | 1.5 | |||||
10. | International Business Machines Corp. | 1.4 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Financials | 20.7 | ||
Information Technology | 18.3 | ||
Health Care | 13.7 | ||
Consumer Discretionary | 11.6 | ||
Consumer Staples | 9.6 | ||
Energy | 9.2 | ||
Telecommunication Services | 4.7 | ||
Materials | 4.1 | ||
Utilities | 3.4 | ||
Industrials | 2.0 | ||
97.3 | |||
24
Ohio National Fund, Inc.
Omni Portfolio
Omni Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 72.6% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 8.1% | ||||||||
Auto Components – 0.9% | ||||||||
Johnson Controls, Inc. | 4,900 | $ | 567,273 | |||||
Hotels, Restaurants & Leisure – 2.3% | ||||||||
Hilton Hotels Corp. | 8,600 | 287,842 | ||||||
Royal Caribbean Cruises Ltd. | 11,300 | 485,674 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 11,100 | 744,477 | ||||||
1,517,993 | ||||||||
Media – 1.3% | ||||||||
Citadel Broadcasting Corp. | 5 | 32 | ||||||
The Walt Disney Co. | 25,400 | 867,156 | ||||||
867,188 | ||||||||
Multiline Retail – 1.4% | ||||||||
J.C. Penney Co. Inc. | 12,700 | 919,226 | ||||||
Specialty Retail – 0.6% | ||||||||
Abercrombie & Fitch Co. Class A | 5,600 | 408,688 | ||||||
Textiles, Apparel & Luxury Goods – 1.6% | ||||||||
NIKE, Inc. Class B | 17,400 | 1,014,246 | ||||||
TOTAL CONSUMER DISCRETIONARY | 5,294,614 | |||||||
CONSUMER STAPLES – 8.8% | ||||||||
Beverages – 2.9% | ||||||||
PepsiCo, Inc. | 14,500 | 940,325 | ||||||
The Coca-Cola Co. | 18,300 | 957,273 | ||||||
1,897,598 | ||||||||
�� | ||||||||
Food Products – 3.3% | ||||||||
General Mills, Inc. | 14,900 | 870,458 | ||||||
Kraft Foods, Inc. Class A | 22,100 | 779,025 | ||||||
Unilever NV – ADR | 17,800 | 552,156 | ||||||
2,201,639 | ||||||||
Household Products – 2.6% | ||||||||
Colgate-Palmolive Co. | 8,200 | 531,770 | ||||||
The Procter & Gamble Co. | 19,200 | 1,174,848 | ||||||
1,706,618 | ||||||||
TOTAL CONSUMER STAPLES | 5,805,855 | |||||||
ENERGY – 7.5% | ||||||||
Energy Equipment & Services – 2.2% | ||||||||
Baker Hughes, Inc. | 11,100 | 933,843 | ||||||
Grant Prideco, Inc. (a) | 9,300 | 500,619 | ||||||
1,434,462 | ||||||||
Oil, Gas & Consumable Fuels – 5.3% | ||||||||
Apache Corp. | 8,200 | 669,038 | ||||||
Cameco Corp. | 11,900 | 603,806 | ||||||
Hess Corp. | 15,200 | 896,192 | ||||||
Noble Energy, Inc. | 5,000 | 311,950 | ||||||
Occidental Petroleum Corp. | 17,000 | 983,960 | ||||||
3,464,946 | ||||||||
TOTAL ENERGY | 4,899,408 | |||||||
FINANCIALS – 9.8% | ||||||||
Capital Markets – 2.7% | ||||||||
Morgan Stanley | 10,800 | 905,904 | ||||||
Capital Markets (continued) | ||||||||
The Goldman Sachs Group, Inc. | 4,000 | 867,000 | ||||||
1,772,904 | ||||||||
Commercial Banks – 1.3% | ||||||||
Wachovia Corp. | 17,000 | 871,250 | ||||||
Consumer Finance – 1.4% | ||||||||
Capital One Financial Corp. | 11,900 | 933,436 | ||||||
Diversified Financial Services – 1.2% | ||||||||
JPMorgan Chase & Co. | 15,600 | 755,820 | ||||||
Insurance – 2.7% | ||||||||
The Chubb Corp. | 17,700 | 958,278 | ||||||
The Hartford Financial Services Group, Inc. | 8,100 | 797,931 | ||||||
1,756,209 | ||||||||
Thrifts & Mortgage Finance – 0.5% | ||||||||
The PMI Group Inc. | 7,900 | 352,893 | ||||||
TOTAL FINANCIALS | 6,442,512 | |||||||
HEALTH CARE – 12.9% | ||||||||
Biotechnology – 3.5% | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 42,100 | 755,274 | ||||||
Human Genome Sciences, Inc. (a) | 64,300 | 573,556 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 34,000 | 971,040 | ||||||
2,299,870 | ||||||||
Health Care Equipment & Supplies – 1.7% | ||||||||
Cooper Cos. Inc. | 15,800 | 842,456 | ||||||
Gen-Probe, Inc. (a) | 5,000 | 302,100 | ||||||
1,144,556 | ||||||||
Life Sciences Tools & Services – 2.0% | ||||||||
Applera Corp – Applied Biosystems Group | 12,800 | 390,912 | ||||||
Thermo Fisher Scientific, Inc. (a) | 17,900 | 925,788 | ||||||
1,316,700 | ||||||||
Pharmaceuticals – 5.7% | ||||||||
Abbott Laboratories | 16,600 | 888,930 | ||||||
Johnson & Johnson | 14,900 | 918,138 | ||||||
Merck & Co., Inc. | 18,900 | 941,220 | ||||||
Wyeth | 16,800 | 963,312 | ||||||
3,711,600 | ||||||||
TOTAL HEALTH CARE | 8,472,726 | |||||||
INDUSTRIALS – 0.8% | ||||||||
Industrial Conglomerates – 0.8% | ||||||||
Textron, Inc. | 4,600 | 506,506 | ||||||
TOTAL INDUSTRIALS | 506,506 | |||||||
INFORMATION TECHNOLOGY – 18.3% | ||||||||
Communications Equipment – 3.3% | ||||||||
Cisco Systems, Inc. (a) | 44,500 | 1,239,325 | ||||||
Corning, Inc. (a) | 13,500 | 344,925 | ||||||
QUALCOMM, Inc. | 13,300 | 577,087 | ||||||
2,161,337 | ||||||||
(continued)
25
Ohio National Fund, Inc.
Omni Portfolio (Continued)
Omni Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 72.6% | Shares | Value | ||||||
Computers & Peripherals – 3.8% | ||||||||
Apple Inc. (a) | 5,200 | $ | 634,608 | |||||
Hewlett-Packard Co. | 20,700 | 923,634 | ||||||
International Business Machines Corp. | 9,100 | 957,775 | ||||||
2,516,017 | ||||||||
Electronic Equipment & Instruments – 0.5% | ||||||||
AU Optronics Corp. – ADR | 18,600 | 319,920 | ||||||
Internet Software & Services – 3.1% | ||||||||
eBay, Inc. (a) | 18,700 | 601,766 | ||||||
Google, Inc. Class A (a) | 1,700 | 889,746 | ||||||
Yahoo!, Inc. (a) | 20,000 | 542,600 | ||||||
2,034,112 | ||||||||
IT Services – 0.8% | ||||||||
Hewitt Associates, Inc. Class A (a) | 16,400 | 524,800 | ||||||
Semiconductor & Semiconductor Equipment – 5.3% | ||||||||
Applied Materials, Inc. | 50,100 | 995,487 | ||||||
Intel Corp. | 39,600 | 940,896 | ||||||
Maxim Integrated Products, Inc. | 27,400 | 915,434 | ||||||
Texas Instruments, Inc. | 17,300 | 650,999 | ||||||
3,502,816 | ||||||||
Software – 1.5% | ||||||||
Microsoft Corp. | 33,500 | 987,245 | ||||||
TOTAL INFORMATION TECHNOLOGY | 12,046,247 | |||||||
MATERIALS – 3.7% | ||||||||
Chemicals – 3.7% | ||||||||
Agrium, Inc. | 17,400 | 761,250 | ||||||
Cytec Industries, Inc. | 11,900 | 758,863 | ||||||
Rohm & Haas Co. | 17,200 | 940,496 | ||||||
TOTAL MATERIALS | 2,460,609 | |||||||
TELECOMMUNICATION SERVICES – 2.4% | ||||||||
Diversified Telecommunication Services – 2.4% | ||||||||
AT&T Inc. | 20,600 | 854,900 | ||||||
Verizon Communications, Inc. | 17,800 | 732,826 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 1,587,726 | |||||||
UTILITIES – 0.3% | ||||||||
Electric Utilities – 0.3% | ||||||||
FirstEnergy Corp. | 2,900 | 187,717 | ||||||
TOTAL UTILITIES | 187,717 | |||||||
Total Common Stocks (Cost $44,426,995) | $ | 47,703,920 | ||||||
Face | Fair | |||||||
Corporate Bonds – 24.7% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 3.5% | ||||||||
Automobiles – 0.4% | ||||||||
DaimlerChrysler N.A. Holding Corp. 6.500%, 11/15/2013 | $ | 250,000 | $ | 258,534 | ||||
Hotels, Restaurants & Leisure – 0.4% | ||||||||
Harrah’s Operating Co. Inc. 5.500%, 07/01/2010 | 250,000 | 242,352 | ||||||
Household Durables – 0.4% | ||||||||
Centex Corp. 5.125%, 10/01/2013 | 250,000 | 231,839 | ||||||
Leisure Equipment & Products – 0.4% | ||||||||
Eastman Kodak Co. 3.625%, 05/15/2008 | 250,000 | 244,375 | ||||||
Media – 1.7% | ||||||||
Clear Channel Communications Inc. 4.250%, 05/15/2009 | 250,000 | 241,729 | ||||||
Comcast Corp. 5.875%, 02/15/2018 | 150,000 | 145,559 | ||||||
Cox Communications, Inc. 6.750%, 03/15/2011 | 250,000 | 258,928 | ||||||
Rogers Cable, Inc. 5.500%, 03/15/2014 | 250,000 | 242,765 | ||||||
The Walt Disney Co. 6.200%, 06/20/2014 | 250,000 | 258,923 | ||||||
1,147,904 | ||||||||
Multiline Retail – 0.2% | ||||||||
Federated Retail Holdings, Inc. 5.900%, 12/01/2016 | 150,000 | 146,454 | ||||||
TOTAL CONSUMER DISCRETIONARY | 2,271,458 | |||||||
CONSUMER STAPLES – 0.8% | ||||||||
Food & Staples Retailing – 0.6% | ||||||||
CVS Caremark Corporation 5.750%, 06/01/2017 | 150,000 | 144,992 | ||||||
Safeway, Inc. 5.800%, 08/15/2012 | 250,000 | 250,326 | ||||||
395,318 | ||||||||
Food Products – 0.2% | ||||||||
Bunge N.A. Finance LP 5.900%, 04/01/2017 | 150,000 | 145,602 | ||||||
TOTAL CONSUMER STAPLES | 540,920 | |||||||
ENERGY – 1.7% | ||||||||
Oil, Gas & Consumable Fuels – 1.7% | ||||||||
Anadarko Petroleum Corp. 5.950%, 09/15/2016 | 150,000 | 146,719 | ||||||
Boardwalk Pipelines LLC 5.500%, 02/01/2017 | 250,000 | 238,622 | ||||||
Enterprise Products Operating LP 5.000%, 03/01/2015 | 150,000 | 140,230 | ||||||
Pemex Project Funding Master Trust 5.750%, 12/15/2015 | 150,000 | 147,337 | ||||||
Valero Energy Corp. 4.750%, 06/15/2013 | 250,000 | 237,408 | ||||||
XTO Energy, Inc. 4.900%, 02/01/2014 | 250,000 | 236,913 | ||||||
TOTAL ENERGY | 1,147,229 | |||||||
FINANCIALS – 10.9% | ||||||||
Capital Markets – 2.4% | ||||||||
Jefferies Group Inc. 5.875%, 06/08/2014 | 150,000 | 148,428 |
(continued)
26
Ohio National Fund, Inc.
Omni Portfolio (Continued)
Omni Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 24.7% | Amount | Value | ||||||
Capital Markets (continued) | ||||||||
Lehman Brothers Holdings, Inc. 5.750%, 05/17/2013 | $ | 250,000 | $ | 250,174 | ||||
Mellon Funding Corp. 5.500%, 11/15/2018 | 250,000 | 242,787 | ||||||
Merrill Lynch & Co, Inc. 6.050%, 05/16/2016 | 150,000 | 148,620 | ||||||
Morgan Stanley 4.750%, 04/01/2014 | 250,000 | 233,789 | ||||||
Nuveen Investments, Inc. 5.500%, 09/15/2015 | 250,000 | 203,836 | ||||||
The Bear Stearns Companies Inc. 5.550%, 01/22/2017 | 150,000 | 142,007 | ||||||
The Goldman Sachs Group, Inc. 5.150%, 01/15/2014 | 250,000 | 240,554 | ||||||
1,610,195 | ||||||||
Commercial Banks – 1.8% | ||||||||
BB&T Corp. 5.200%, 12/23/2015 | 150,000 | 143,137 | ||||||
Deutsche Bank Capital Funding Trust VII 5.628%, Perpetual (b) (c) | 250,000 | 238,418 | ||||||
KeyBank NA 5.700%, 11/01/2017 | 150,000 | 147,018 | ||||||
PNC Funding Corp. 5.250%, 11/15/2015 | 150,000 | 144,343 | ||||||
RBS Capital Trust III 5.512%, Perpetual (c) | 250,000 | 240,630 | ||||||
Wachovia Capital Trust III 5.800%, Perpetual (c) | 250,000 | 249,115 | ||||||
1,162,661 | ||||||||
Consumer Finance – 1.4% | ||||||||
American General Finance Corp. 5.400%, 12/01/2015 | 150,000 | 144,798 | ||||||
Capital One Bank 5.125%, 02/15/2014 | 250,000 | 240,295 | ||||||
Discover Financial Services 6.450%, 06/12/2017 (b) | 150,000 | 150,070 | ||||||
HSBC Finance Corp. 6.375%, 11/27/2012 | 250,000 | 256,959 | ||||||
SLM Corp. 5.375%, 05/15/2014 | 150,000 | 128,717 | ||||||
920,839 | ||||||||
Diversified Financial Services – 1.4% | ||||||||
Bank of America Corp. 5.750%, 08/15/2016 | 150,000 | 148,260 | ||||||
Capmark Financial Group Inc. 6.300%, 05/10/2017 (b) | 150,000 | 147,875 | ||||||
Citigroup, Inc. 5.850%, 08/02/2016 | 150,000 | 150,259 | ||||||
General Electric Capital Corp. 5.000%, 01/08/2016 | 250,000 | 237,224 | ||||||
JPMorgan Chase & Co. 5.150%, 10/01/2015 | 250,000 | 238,115 | ||||||
921,733 | ||||||||
Insurance – 1.1% | ||||||||
Assurant, Inc. 5.625%, 02/15/2014 | 250,000 | 244,997 | ||||||
Liberty Mutual Group 5.750%, 03/15/2014 (b) | 250,000 | 242,191 | ||||||
MetLife, Inc. 5.375%, 12/15/2012 | 250,000 | 247,254 | ||||||
734,442 | ||||||||
Real Estate Investment Trusts – 1.6% | ||||||||
Colonial Realty L.P. 6.050%, 09/01/2016 | 150,000 | 149,418 | ||||||
Duke Realty L.P. 4.625%, 05/15/2013 | 250,000 | 237,303 | ||||||
Health Care Property Investors, Inc. 6.000%, 01/30/2017 | 150,000 | 147,124 | ||||||
iStar Financial, Inc. 6.000%, 12/15/2010 | 250,000 | 251,248 | ||||||
Post Apartment Homes L.P. 5.125%, 10/12/2011 | 250,000 | 242,907 | ||||||
1,028,000 | ||||||||
Thrifts & Mortgage Finance – 1.2% | ||||||||
Countrywide Financial Corp. 6.250%, 05/15/2016 | 150,000 | 147,562 | ||||||
Radian Group, Inc. 5.375%, 06/15/2015 | 250,000 | 232,869 | ||||||
Residential Capital LLC 6.875%, 06/30/2015 | 150,000 | 145,707 | ||||||
Washington Mutual, Inc. 4.625%, 04/01/2014 | 250,000 | 230,104 | ||||||
756,242 | ||||||||
TOTAL FINANCIALS | 7,134,112 | |||||||
HEALTH CARE – 0.8% | ||||||||
Health Care Equipment & Supplies – 0.2% | ||||||||
Hospira, Inc. 6.050%, 03/30/2017 | 150,000 | 147,977 | ||||||
Health Care Providers & Services – 0.2% | ||||||||
WellPoint, Inc. 5.875%, 06/15/2017 | 150,000 | 148,435 | ||||||
Pharmaceuticals – 0.4% | ||||||||
Wyeth 6.950%, 03/15/2011 | 250,000 | 261,844 | ||||||
TOTAL HEALTH CARE | 558,256 | |||||||
INDUSTRIALS – 1.2% | ||||||||
Building Products – 0.2% | ||||||||
Owens Corning Inc. 6.500%, 12/01/2016 | 150,000 | 150,354 | ||||||
Industrial Conglomerates – 0.4% | ||||||||
Hutchison Whampoa International Ltd. 6.250%, 01/24/2014 (b) | 250,000 | 253,875 | ||||||
Road & Rail – 0.6% | ||||||||
CSX Corp. 5.600%, 05/01/2017 | 150,000 | 145,308 |
(continued)
27
Ohio National Fund, Inc.
Omni Portfolio (Continued)
Omni Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 24.7% | Amount | Value | ||||||
Road & Rail (continued) | ||||||||
ERAC USA Finance Co. 6.200%, 11/01/2016 (b) | $ | 250,000 | $ | 248,516 | ||||
393,824 | ||||||||
TOTAL INDUSTRIALS | 798,053 | |||||||
MATERIALS – 0.4% | ||||||||
Paper & Forest Products – 0.4% | ||||||||
International Paper Co. 5.300%, 04/01/2015 | 250,000 | 236,450 | ||||||
TOTAL MATERIALS | 236,450 | |||||||
TELECOMMUNICATION SERVICES – 2.3% | ||||||||
Diversified Telecommunication Services – 1.9% | ||||||||
AT&T Corp. 7.300%, 11/15/2011 | 250,000 | 266,369 | ||||||
Embarq Corp. 6.738%, 06/01/2013 | 250,000 | 255,077 | ||||||
Telecom Italia Capital 5.250%, 10/01/2015 | 250,000 | 232,846 | ||||||
Telefonos de Mexico S.A.B. de CV 5.500%, 01/27/2015 | 250,000 | 244,246 | ||||||
Verizon Florida, Inc. 6.125%, 01/15/2013 | 250,000 | 252,322 | ||||||
1,250,860 | ||||||||
Wireless Telecommunication Services – 0.4% | ||||||||
America Movil S.A.B. de C.V. 5.750%, 01/15/2015 | 250,000 | 247,874 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 1,498,734 | |||||||
UTILITIES – 3.1% | ||||||||
Electric Utilities – 2.3% | ||||||||
Commonwealth Edison Co. 5.950%, 08/15/2016 | 150,000 | 147,102 | ||||||
Kansas City Power & Light Co. 5.850%, 06/15/2017 | 150,000 | 148,437 | ||||||
Nevada Power Co. 5.950%, 03/15/2016 | 150,000 | 147,407 | ||||||
Pepco Holdings, Inc. 4.000%, 05/15/2010 | 250,000 | 239,431 | ||||||
Electric Utilities (continued) | ||||||||
PSEG Power LLC 5.000%, 04/01/2014 | 250,000 | 236,816 | ||||||
Southern Power Co. 4.875%, 07/15/2015 | 250,000 | 232,585 | ||||||
Union Electric Co. 6.400%, 06/15/2017 | 150,000 | 153,311 | ||||||
Virginia Electric and Power Co. 4.750%, 03/01/2013 | 250,000 | 238,056 | ||||||
1,543,145 | ||||||||
Gas Utilities – 0.4% | ||||||||
Duke Capital Corp. 5.500%, 03/01/2014 | 250,000 | 240,344 | ||||||
Multi-Utilities – 0.4% | ||||||||
Consumers Energy Co. 6.000%, 02/15/2014 | 250,000 | 252,831 | ||||||
TOTAL UTILITIES | 2,036,320 | |||||||
Total Corporate Bonds (Cost $16,672,993) | $ | 16,221,532 | ||||||
Face | Fair | |||||||
Repuchase Agreements – 2.5% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 1,676,000 | $ | 1,676,000 | ||||
Repurchase price $1,676,573 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $1,709,533 | ||||||||
Total Repurchase Agreements (Cost $1,676,000) | $ | 1,676,000 | ||||||
Total Investments – 99.8% (Cost $62,775,988) (d) | $ | 65,601,452 | ||||||
Other Assets in Excess of Liabilities – 0.2% | 117,680 | |||||||
Net Assets – 100.0% | $ | 65,719,132 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository 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. At June 30, 2007, the value of these securities totaled $1,280,945 or 1.9% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at June 30, 2007. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
28
Ohio National Fund, Inc.
Omni Portfolio
Omni Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $62,775,988) | $ | 65,601,452 | ||
Cash | 1,886 | |||
Receivable for securities sold | 875,819 | |||
Receivable for fund shares sold | 3,050 | |||
Dividends and accrued interest receivable | 273,767 | |||
Prepaid expenses and other assets | 281 | |||
Total assets | 66,756,255 | |||
Liabilities: | ||||
Payable for securities purchased | 888,275 | |||
Payable for fund shares redeemed | 99,028 | |||
Payable for investment management services | 32,767 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,558 | |||
Accrued professional fees | 5,701 | |||
Accrued accounting fees | 5,790 | |||
Accrued printing and filing fees | 3,513 | |||
Other accrued expenses | 113 | |||
Total liabilities | 1,037,123 | |||
Net assets | $ | 65,719,132 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 3,942,162 | ||
Paid-in capital in excess of par value | 56,486,073 | |||
Accumulated net realized gain on investments | 1,614,744 | |||
Net unrealized appreciation on investments | 2,825,464 | |||
Undistributed net investment income | 850,689 | |||
Net assets | $ | 65,719,132 | ||
Shares outstanding | 3,942,162 | |||
Authorized Fund shares allocated to Portfolio | 15,000,000 | |||
Net asset value per share | $ | 16.67 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 483,105 | ||
Dividends (net of withholding tax of $234) | 318,325 | |||
Total investment income | 801,430 | |||
Expenses: | ||||
Management fees | 197,819 | |||
Custodian fees | 4,744 | |||
Directors’ fees | 1,602 | |||
Professional fees | 6,454 | |||
Accounting fees | 17,558 | |||
Printing and filing fees | 3,534 | |||
Compliance expense | 2,358 | |||
Other | 602 | |||
Total expenses | 234,671 | |||
Net investment income | 566,759 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 3,939,359 | |||
Change in unrealized appreciation/depreciation on investments | (908,770 | ) | ||
Net realized/unrealized gain (loss) on investments | 3,030,589 | |||
Change in net assets from operations | $ | 3,597,348 | ||
The accompanying notes are an integral part of these financial statements.
29
Ohio National Fund, Inc.
Omni Portfolio
Omni Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 566,759 | $ | 1,121,885 | ||||
Net realized gain (loss) on investments | 3,939,359 | 4,986,433 | ||||||
Change in unrealized appreciation/depreciation on investments | (908,770 | ) | 2,135,108 | |||||
Change in net assets from operations | 3,597,348 | 8,243,426 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (837,955 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 1,461,343 | 4,418,279 | ||||||
Received from dividends reinvested | — | 837,955 | ||||||
Paid for shares redeemed | (6,417,837 | ) | (11,817,923 | ) | ||||
Change in net assets from capital transactions | (4,956,494 | ) | (6,561,689 | ) | ||||
Change in net assets | (1,359,146 | ) | 843,782 | |||||
Net Assets: | ||||||||
Beginning of period | 67,078,278 | 66,234,496 | ||||||
End of period | $ | 65,719,132 | $ | 67,078,278 | ||||
Undistributed net investment income | $ | 850,689 | $ | 283,930 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 15.79 | $ | 14.11 | $ | 13.05 | $ | 12.35 | $ | 9.96 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.15 | 0.27 | 0.25 | 0.24 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.73 | 1.61 | 0.99 | 0.64 | 2.39 | |||||||||||||||
Total from operations | 0.88 | 1.88 | 1.24 | 0.88 | 2.59 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.20 | ) | (0.18 | ) | (0.18 | ) | (0.20 | ) | |||||||||||
Net asset value, end of period | $ | 16.67 | $ | 15.79 | $ | 14.11 | $ | 13.05 | $ | 12.35 | ||||||||||
Total return | 5.57 | %(b) | 13.32 | % | 9.49 | % | 7.11 | % | 26.19 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 65.7 | $ | 67.1 | $ | 66.2 | $ | 71.4 | $ | 66.4 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.71 | %(a) | 0.71 | % | 0.71 | % | 0.71 | % | 0.71 | % | ||||||||||
Net investment income | 1.72 | %(a) | 1.69 | % | 1.66 | % | 1.97 | % | 1.80 | % | ||||||||||
Portfolio turnover rate | 81 | % | 178 | % | 180 | % | 240 | % | 177 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
30
Ohio National Fund, Inc.
International Portfolio
International Portfolio
Objective
The International Portfolio seeks total return on assets by investing primarily in equity securities of foreign companies.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 18.67 | % | ||
Five year | 12.23 | % | ||
Ten year | 3.89 | % |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the International Portfolio returned 8.51% versus 11.94% for the current benchmark, the MSCI EAFE Growth (Net-USD) Index.
The world equity markets rose strongly in the first half of 2007, with the MSCI EAFE Growth (Net-USD) Index up 11.94%. By region, the strongest performer was again in emerging markets, with the MSCI Emerging Markets Growth Index up 16.45%. Within emerging markets, MSCI Emerging Market Latin America Growth was the best performer, up 29.19%. MSCI Europe Growth rose 13.67%, which outpaced the S&P 500 Index’s return of 6.96%, while MSCI Japan Growth once again disappointed, and was up a mere 2.38%.
Despite continued fears surrounding the U.S. subprime mortgage market, the depth of the U.S. mid-cycle slowdown, and pockets of inflationary pressure, the international equity markets steadily climbed higher. The continued flood of liquidity into global financial markets from trade surpluses in Asia and oil producing nations, the continuation of the “carry trade”, the continued boom in takeovers, mergers, leveraged buyouts, and the gradual rise in global interest rates versus an aggressive posture, all helped to offset investors concerns.
By sector, areas that were most exposed to the improving economic cycle were the best performers: Energy, Materials, and Industrials returned between 18.55% and 26.39%. On the other side, Financials and Health Care were major laggards. Financials were negatively impacted by the detioration in the U.S. subprime mortgage market and Health Care was hit by negative drug pipeline data out of GlaxoSmithKline PLC and Sanofi-Aventis SA.(1)
The dominant themes in the Portfolio centered on the increased weighting in emerging markets, 13.70% versus 5.36% at the start of the year, which was funded by reducing the Portfolio’s Japanese exposure from 24.58% to 14.42%. On a sector basis, the relative weighting in Financials was increased from 3.36% to 6.94%, which was driven by the Portfolio’s increased exposure to emerging market financials. In Health Care, following negative drug pipeline data from several firms, the Portfolio reduced its over-weight from .64% to an under-weight of (1.80%). In Industrials, given the sector’s strong relative performance, the Portfolio further increased its under-weight from (3.49%) to (5.34%).(1)
In the first half of 2007, equity markets were slightly volatile, but still trended higher. The markets shrugged off further interest rate tightening in the Eurozone, the United Kingdom, North America, and in China. In addition, the continued climb in crude oil, the mounting pressure of the U.S. subprime mortgage market on consumers, the escalating turmoil in the Middle East, and periodic terrorist attacks were all digested rather calmly. However, over the last six months, market risk as measured by the VIX Index rose sharply, up over 40%, from 11.56 to 16.23. As a result, this environment helped the Portfolio produce a high single digit return for the reporting period, but it also impacted our ability to keep up with the benchmark and peers. In general, the style of investing applied to this Portfolio attempts to balance both risk and reward; in an environment where risk is being priced far below its long term average, such as in the last 18 months, the Portfolio is likely to under-perform.(1)
There has been a minor change to the overall risk level and makeup of the Portfolio. As of the end of 2006, the Portfolio had 24.58% in Japan and was 2.66% over-weighted. However, at the end of June 2007, the Portfolio has reduced its weighting to 14.42% and is (6.90%) under-weight. This reduction in Japan funded the increased weighting in emerging markets. At year-end 2006, emerging markets accounted for 5.36% and now is 13.70%, with Brazil, Mexico, and South Korea as the main beneficiaries. This reallocation was driven by our belief that economic growth will continue to be strong, with emerging markets as a driver, and we have become increasingly frustrated with the pace of growth, and of overall change, in Japan.(1)
The second adjustment is related to the Portfolio’s weight in Europe. At the beginning of the reporting period, the Portfolio had 55.43% of its assets in Europe and now has 64.14%, which reduces the under-weight from (14.25%) to (5.34%). European Financials, which were negatively impacted by U.S. subprime mortgage worries and acquisition/integration risk, were the key beneficiary of the asset reallocation. The Portfolio added HSBC Holdings plc, Unicredito Italiano SpA, and Erste Bank Der Oesterreichischen Sparkassen.(1)
On the positive side, the Portfolio’s over-weight in Latin America (Brazil and Mexico), stock picking in Europe (France, UK, and Germany), and our over-weight in Canada provided relative country outperformance. On a sector basis, the Portfolio’s over-weight in Energy and Consumer Discretionary, along with an under-weight in Telecommunication Services were the best performers. The five best performing Portfolio holdings were Siemens AG, Rio Tinto plc, Companhia Vale Do Rio Doce, Encana Corp., and Transocean Inc.(1)
(continued)
31
Ohio National Fund, Inc.
International Portfolio (Continued)
International Portfolio (Continued)
On the negative side, which outweighed the positives, the Portfolio was hurt by stock picking in Japan and its under-weight in resource-heavy Australia. On a sector basis, the Portfolio’s over-weight in Information Technology (mainly Japanese) and its under-weight in Materials and Consumer Staples hindered performance. The worst performing Portfolio holdings, four of which were Japanese, were Advantest Corp., Tokyo Seimitsu Co. Ltd., Mitsubishi UFJ Financial Group, Inc., United Arrows Ltd., and SAP AG.(1)
For all of 2007, we are forecasting better than consensus returns for the stock market, in the mid-teens. The forecasts presumes the U.S. economy will remain in slow growth mode in the first half of 2007, then resume faster growth later in the year as the Fed begins to cut interest rates. In this environment, we expect the bond market to be relatively well-behaved, and support an expansion in the U.S. equity market multiple.
Outside the U.S., we expect Europe and emerging markets to continue to climb higher, and we are becoming increasingly frustrated with the pace of growth, and of overall change, in Japan. We have been disappointed in Japan’s earnings and economic growth. However, we are keeping a close eye on Japanese equities, which have been a relative underperformer since the beginning of 2006.
We also anticipate a continued decline in the U.S. dollar, as the twin deficits continue to worsen and foreign investors continue to look to diversify their foreign currency holdings. We think much of this dollar weakness will finally come at the hands of the Yen, not the Euro, in 2007.
Despite our optimism for the full year, we are somewhat cautious about the near term. Earnings disappointments could be forthcoming with second quarter earnings due to the deceleration in the U.S. economy, continued weakness in the U.S. housing market, and inflationary pressures on raw materials. However, if we do see a significant market pullback, we would view it as a buying opportunity.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The MSCI EAFE Growth Index (Net-USD) is a subset of securities derived from the MSCI EAFE Index, which is generally representative of performance of stock markets in that region, using a two dimensional framework for style segmentation. The Index presented herein includes the effect of minimum reinvestment of dividends.
(continued)
32
Ohio National Fund, Inc.
International Portfolio (Continued)
International Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 96.0 | ||
Exchange Traded Funds (3) | 2.4 | ||
Repurchase Agreements and Other Net Assets | 1.6 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Novartis AG – Reg. shares | 2.9 | |||||
2. | Rio Tinto plc | 2.5 | |||||
3. | Banco Santander Central Hispano, SA | 2.4 | |||||
4. | iShares MSCI Japan Index Fund | 2.4 | |||||
5. | Siemens AG | 2.3 | |||||
6. | Nestle SA | 2.1 | |||||
7. | Allianz SE | 2.1 | |||||
8. | Technip SA | 2.1 | |||||
9. | Vivendi SA | 2.0 | |||||
10. | Unicredito Italiano SpA | 2.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. |
(3) | Top 10 Country Weightings (combined): |
% of Net Assets | |||
United Kingdom | 15.6 | ||
Japan | 14.6 | ||
Switzerland | 12.5 | ||
France | 9.2 | ||
Germany | 7.2 | ||
Brazil | 5.4 | ||
Spain | 4.1 | ||
Mexico | 3.2 | ||
Netherlands | 3.2 | ||
Italy | 2.9 |
33
Ohio National Fund, Inc.
International Portfolio
International Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 96.0% | Shares | Value | ||||||
United Kingdom – 15.6% | ||||||||
Anglo American plc (a) (b) (8) | 69,200 | $ | 4,062,832 | |||||
ARM Holdings plc (b) (7) | 2,302,400 | 6,735,135 | ||||||
Britvic plc (b) (2) | 350,908 | 2,711,054 | ||||||
Diageo plc (b) (2) | 347,682 | 7,226,498 | ||||||
HSBC Holdings plc (b) (4) | 350,800 | 6,423,282 | ||||||
Reckitt Benckiser plc (b) (2) | 72,464 | 3,967,059 | ||||||
Rio Tinto plc (b) (8) | 132,000 | 10,098,445 | ||||||
Serco Group plc (b) (6) | 675,200 | 6,086,651 | ||||||
Shire plc (b) (5) | 203,600 | 5,025,646 | ||||||
Smiths Group plc (b) (6) | 131,054 | 3,108,021 | ||||||
WPP Group plc (b) (1) | 460,769 | 6,891,439 | ||||||
62,336,062 | ||||||||
Switzerland – 12.5% | ||||||||
ABB Ltd. (b) (6) | 231,131 | 5,211,491 | ||||||
Credit Suisse Group (b) (4) | 102,900 | 7,304,981 | ||||||
Nestle SA (b) (2) | 22,448 | 8,529,646 | ||||||
Novartis AG – Reg. Shares (b) (5) | 204,650 | 11,489,171 | ||||||
Roche Holding AG – Genusschein (b) (5) | 39,963 | 7,080,907 | ||||||
Syngenta AG (b) (8) | 27,100 | 5,283,166 | ||||||
Synthes Inc. (b) (5) | 40,300 | 4,831,588 | ||||||
49,730,950 | ||||||||
Japan – 12.2% | ||||||||
Advantest Corp. (b) (7) | 162,900 | 7,092,673 | ||||||
JSR Corp. (b) (8) | 165,000 | 3,981,451 | ||||||
Mitsubishi Estate Co. Ltd. (b) (4) | 131,000 | 3,554,114 | ||||||
Mitsubishi UFJ Financial Group, Inc. (b) (4) | 540 | 5,951,171 | ||||||
Nidec Corp. (b) (7) | 104,600 | 6,136,773 | ||||||
Nitori Co. Ltd. (b) (1) | 71,450 | 3,566,962 | ||||||
Sumitomo Electric Industries Ltd. (b) (6) | 237,400 | 3,534,590 | ||||||
Taiyo Nippon Sanso Corp. (b) (8) | 427,000 | 3,301,603 | ||||||
Tokuyama Corp. (b) (8) | 468,000 | 6,083,833 | ||||||
Tokyo Seimitsu Co. Ltd. (b) (7) | 57,300 | 2,214,393 | ||||||
United Arrows Ltd. (b) (1) | 202,600 | 3,266,293 | ||||||
48,683,856 | ||||||||
France – 9.2% | ||||||||
Accor SA (b) (1) | 61,200 | 5,410,105 | ||||||
AXA SA (b) (4) | 107,050 | 4,601,596 | ||||||
BNP Paribas SA (b) (4) | 35,400 | 4,204,922 | ||||||
Schneider Electric SA (b) (6) | 44,217 | 6,195,141 | ||||||
Technip SA (b) (3) | 101,900 | 8,422,257 | ||||||
Vivendi SA (b) (1) | 186,675 | 8,030,300 | ||||||
36,864,321 | ||||||||
Germany – 7.2% | ||||||||
Allianz SE (b) (4) | 36,190 | 8,439,378 | ||||||
Commerzbank AG (b) (4) | 126,400 | 6,028,712 | ||||||
Fresenius AG, Pfd. (a) (b) (5) | 65,800 | 5,008,781 | ||||||
Siemens AG (b) (6) | 65,500 | 9,379,671 | ||||||
28,856,542 | ||||||||
Brazil – 5.4% | ||||||||
All America Latina Logistica SA (a) (b) (6) | 356,200 | 4,849,047 | ||||||
Companhia Vale Do Rio Doce – ADR (8) | 166,600 | 6,280,820 | ||||||
Brazil (continued) | ||||||||
NET Servicos de Comunicaco SA, Preference (a) (b) (1) | 372,207 | 6,145,564 | ||||||
Unibanco Uniao de Bancos Brasileiros SA – GDR (4) | 38,100 | 4,300,347 | ||||||
21,575,778 | ||||||||
Spain – 4.1% | ||||||||
Banco Santander Central Hispano, SA (b) (4) | 514,960 | 9,465,948 | ||||||
Enagas (b) (10) | 282,000 | 6,964,749 | ||||||
16,430,697 | ||||||||
Mexico – 3.2% | ||||||||
America Movil SAB. de CV – ADR Class L (9) | 59,300 | 3,672,449 | ||||||
Cemex SAB de CV – ADR (8) | 157,500 | 5,811,750 | ||||||
Wal-Mart de Mexico SAB de CV (b) (2) | 894,500 | 3,394,687 | ||||||
12,878,886 | ||||||||
Netherlands – 3.2% | ||||||||
Koninklijke Philips Electronics NV (b) (1) | 145,334 | 6,158,786 | ||||||
Koninklijke Numico NV (b) (2) | 124,552 | 6,472,391 | ||||||
12,631,177 | ||||||||
Italy – 2.9% | ||||||||
Geox SpA (b) (1) | 205,900 | 3,792,280 | ||||||
Unicredito Italiano SpA (b) (4) | 893,000 | 7,975,889 | ||||||
11,768,169 | ||||||||
South Korea – 2.8% | ||||||||
Hana Financial Group Inc. (b) (4) | 93,000 | 4,526,277 | ||||||
Samsung Electronics Co. Ltd. (b) (7) | 11,072 | 6,768,895 | ||||||
11,295,172 | ||||||||
United States of America – 2.6% | ||||||||
Amdocs Ltd. (a) (7) | 142,300 | 5,666,386 | ||||||
Transocean Inc. (a) (3) | 45,000 | 4,769,100 | ||||||
10,435,486 | ||||||||
Canada – 2.4% | ||||||||
EnCana Corp. (b) (3) | 48,800 | 3,001,527 | ||||||
Talisman Energy, Inc. (b) (3) | 332,900 | 6,437,681 | ||||||
9,439,208 | ||||||||
Sweden – 1.6% | ||||||||
Hennes & Mauritz AB Class B (b) (1) | 34,500 | 2,039,848 | ||||||
Rezidor Hotel Group AB (b) (1) | 503,800 | 4,386,518 | ||||||
6,426,366 | ||||||||
Luxembourg – 1.6% | ||||||||
Millicom International Cellular SA (a) (9) | 68,400 | 6,268,176 | ||||||
Norway – 1.3% | ||||||||
Aker Kvaerner ASA (b) (3) | 210,200 | 5,320,637 | ||||||
Austria – 1.3% | ||||||||
Erste Bank Der Oesterreichischen Sparkassen AG (b) (4) | 67,621 | 5,270,420 | ||||||
Greece – 1.1% | ||||||||
EFG Eurobank Ergasias SA (b) (4) | 137,140 | 4,467,891 | ||||||
(continued)
34
Ohio National Fund, Inc.
International Portfolio (Continued)
International Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 96.0% | Shares | Value | ||||||
Egypt – 1.1% | ||||||||
Orascom Telecom Holding SAE – GDR (9) | 66,300 | $ | 4,290,642 | |||||
India – 1.1% | ||||||||
Satyam Computer Services Ltd. – ADR (7) | 170,100 | 4,211,676 | ||||||
Belgium – 1.0% | ||||||||
InBev NV (b) (2) | 50,300 | 3,984,030 | ||||||
Denmark – 0.9% | ||||||||
Vestas Wind Systems A/S (a) (b) (6) | 56,100 | 3,681,407 | ||||||
Hungary – 0.8% | ||||||||
Ablon Group (a) (b) (4) | 594,410 | 3,360,083 | ||||||
Hong Kong – 0.7% | ||||||||
China Properties Group Ltd. (a) (b) (4) | 1,135,000 | 474,659 | ||||||
Dah Sing Banking Group Ltd. (b) (4) | 1,051,600 | 2,324,918 | ||||||
2,799,577 | ||||||||
Taiwan – 0.2% | ||||||||
Taiwan Semiconductor Manufacturing Co. – ADR (7) | 72,300 | 804,699 | ||||||
Total Common Stocks (Cost $331,265,886) | $ | 383,811,908 | ||||||
Fair | ||||||||
Exchange Traded Funds – 2.4% | Shares | Value | ||||||
Japan – 2.4% | ||||||||
iShares MSCI Japan Index Fund | 649,500 | $ | 9,424,245 | |||||
Total Exchange Traded Funds (Cost $8,662,515) | $ | 9,424,245 |
Face | Fair | |||||||
Repurchase Agreements – 1.1% | Amount | Value | ||||||
State Street Bank 2.500% 07/02/2007 | $ | 4,441,000 | $ | 4,441,000 | ||||
Repurchase price $4,441,925 | ||||||||
Collateralized by: | ||||||||
Federal National Mortgage Association 6.000%, 04/18/2036 | ||||||||
Fair Value $4,533,288 | ||||||||
Total Repurchase Agreements (Cost $4,441,000) | $ | 4,441,000 | ||||||
Total Investments – 99.5% (Cost $344,369,401) (c) | $ | 397,677,153 | ||||||
Other Assets in Excess of Liabilities – 0.5% | 1,794,810 | |||||||
Net Assets – 100.0% | $ | 399,471,963 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
GDR: Global Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Securities denominated in foreign currency and traded on a foreign exchange have been subjected to fair value procedures approved by the Fund Board of Directors. These securities represent $337,735,863 or 84.5% of the Portfolio’s net assets. As discussed in Note 2 of the Notes to Financial Statements, not all investments that are subjected to fair value procedures are valued at an estimate of fair value 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 a holding is below the 75% threshold. The Portfolio’s securities that are not subjected to fair value procedures are traded on exchanges whose local close times are consistent with the 4:00pm Eastern Time U.S. market close. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
Sector Classifications:
(1) Consumer Discretionary | 12.4% | ||
(2) Consumer Staples | 9.1% | ||
(3) Energy | 7.0% | ||
(4) Financials | 22.2% | ||
(5) Health Care | 8.4% | ||
(6) Industrials | 10.5% | ||
(7) Information Technology | 9.9% | ||
(8) Materials | 11.2% | ||
(9) Telecommunication Services | 3.6% | ||
(10) Utilities | 1.7% | ||
96.0% |
The accompanying notes are an integral part of these financial statements.
35
Ohio National Fund, Inc.
International Portfolio
International Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $344,369,401) | $ | 397,677,153 | ||
Cash | 578 | |||
Foreign currency (Cost $4,153,670) | 4,153,670 | |||
Receivable for securities sold | 14,583,607 | |||
Receivable for fund shares sold | 497,109 | |||
Dividends and accrued interest receivable | 399,375 | |||
Prepaid expenses and other assets | 1,348 | |||
Total assets | 417,312,840 | |||
Liabilities: | ||||
Unrealized depreciation on forward currency contracts | 622,424 | |||
Payable for securities purchased | 16,876,908 | |||
Payable for fund shares redeemed | 157 | |||
Payable for investment management services | 249,652 | |||
Payable for compliance services | 378 | |||
Accrued accounting and custody fees | 67,205 | |||
Accrued professional fees | 6,403 | |||
Accrued printing and filing fees | 17,213 | |||
Other accrued expenses | 537 | |||
Total liabilities | 17,840,877 | |||
Net assets | $ | 399,471,963 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 28,740,998 | ||
Paid-in capital in excess of par value | 299,673,523 | |||
Accumulated net realized gain on investments | 14,127,443 | |||
Net unrealized appreciation/depreciation on: | ||||
Investments | 53,307,752 | |||
Forward currency contracts | (622,424 | ) | ||
Other foreign currency related transactions | 15,181 | |||
Undistributed net investment income | 4,229,490 | |||
Net assets | $ | 399,471,963 | ||
Shares outstanding | 28,740,998 | |||
Authorized Fund shares allocated to Portfolio | 30,000,000 | |||
Net asset value per share | $ | 13.90 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 148,329 | ||
Dividends (net of $621,976 foreign taxes withheld) | 4,307,424 | |||
Total investment income | 4,455,753 | |||
Expenses: | ||||
Management fees | 1,396,012 | |||
Custodian fees | 274,405 | |||
Directors’ fees | 8,879 | |||
Professional fees | 9,778 | |||
Accounting fees | 100,845 | |||
Printing and filing fees | 18,935 | |||
Compliance expense | 2,358 | |||
Other | 2,763 | |||
Total expenses | 1,813,975 | |||
Net investment income | 2,641,778 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | 15,151,711 | |||
Foreign currency related transactions | 835,694 | |||
Change in unrealized appreciation/depreciation on: | ||||
Investments | 12,274,261 | |||
Foreign currency related transactions | (1,059,188 | ) | ||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 27,202,478 | |||
Change in net assets from operations | $ | 29,844,256 | ||
The accompanying notes are an integral part of these financial statements.
36
Ohio National Fund, Inc.
International Portfolio
International Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 2,641,778 | $ | 1,552,665 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | 15,987,405 | 22,964,593 | ||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 11,215,073 | 22,249,859 | ||||||
Change in net assets from operations | 29,844,256 | 46,767,117 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (484,510 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 45,657,851 | 90,098,900 | ||||||
Received from dividends reinvested | — | 484,510 | ||||||
Paid for shares redeemed | (8,988,411 | ) | (16,093,157 | ) | ||||
Change in net assets from capital transactions | 36,669,440 | 74,490,253 | ||||||
Change in net assets | 66,513,696 | 120,772,860 | ||||||
Net Assets: | ||||||||
Beginning of period | 332,958,267 | 212,185,407 | ||||||
End of period | $ | 399,471,963 | $ | 332,958,267 | ||||
Undistributed net investment income | $ | 4,229,490 | $ | 752,018 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.81 | $ | 10.76 | $ | 9.84 | $ | 8.71 | $ | 6.60 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.09 | 0.05 | 0.05 | 0.03 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 1.00 | 2.02 | 0.87 | 1.10 | 2.12 | |||||||||||||||
Total from operations | 1.09 | 2.07 | 0.92 | 1.13 | 2.14 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.02 | ) | — | — | (0.01 | ) | |||||||||||||
Return of capital distributions | — | — | — | — | (0.02 | ) | ||||||||||||||
Total distributions | — | (0.02 | ) | — | — | (0.03 | ) | |||||||||||||
Net asset value, end of period | $ | 13.90 | $ | 12.81 | $ | 10.76 | $ | 9.84 | $ | 8.71 | ||||||||||
Total return | 8.51 | %(b) | 19.23 | % | 9.40 | % | 12.97 | % | 32.59 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 399.5 | $ | 333.0 | $ | 212.2 | $ | 123.1 | $ | 71.5 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.00 | %(a) | 1.03 | % | 1.11 | % | 1.11 | % | 1.19 | % | ||||||||||
Net investment income | 1.45 | %(a) | 0.58 | % | 0.61 | % | 0.36 | % | 0.67 | % | ||||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 1.00 | %(a) | 1.03 | % | 1.12 | % | 1.16 | % | 1.24 | % | ||||||||||
Portfolio turnover rate | 39 | % | 72 | % | 117 | % | 76 | % | 165 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
37
Ohio National Fund, Inc.
Capital Appreciation Portfolio
Capital Appreciation Portfolio
Objective
The Capital Appreciation Portfolio seeks long-term capital growth by investing primarily in common stocks of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 23.43 | % | ||
Five year | 12.53 | % | ||
Ten year | 10.93 | % |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Capital Appreciation Portfolio returned 12.28% versus 6.96% for the current benchmark, the S&P 500 Index.
We build our Portfolio from the bottom up, based on proprietary, fundamental research. While a theme may emerge in the Portfolio, it is a by-product of our individual stock selection process. As an absolute-return strategy, it is not managed to any particular benchmark. The S&P 500 Index serves only as a broad market proxy. Across all market capitalizations, growth outperformed value.
The S&P 500 Index finished the first six months of 2007 up nearly 7%. Energy, Materials, Telecommunication Services and Industrials had the largest absolute gains, posting double-digit returns. The Financials sector landed in negative territory. Performance was broad based; every sector added to the Portfolio’s absolute return. The Consumer Discretionary and Energy sectors made the strongest positive impact. On a relative basis, every sector, with the exceptions of Information Technology and Telecommunication Services, was a source of gain.
The five best performers were National Oilwell Varco, Inc., NRG Energy, Inc., Discovery Holding Co., Bally Technologies, Inc. and Liberty Global Inc. The five worst performers were Xinhua Finance Media Ltd., Amgen, Inc., Warner Music Group, SLM Corp. and Medicis Pharmaceutical Corp.(1)
The top five contributors to absolute return were NRG Energy, Inc., National Oilwell Varco, Inc., Discovery Holding Co., Liberty Global Inc. and Career Education Corp. The bottom five detractors from absolute return were Amgen, Inc., SLM, Warner Music Group, Xinhua Finance Media Ltd. and Medicis Pharmaceutical Corp.(1)
In the current market environment, where volatility is a factor for stocks across market capitalizations and investment styles, stock selection is proving to be the key driver for outperformance over market indices, such as the S&P 500 Index. Through our fundamental research, we are identifying many new ideas across the board that have been overlooked by the market and possess company-specific catalysts that we believe will drive value realization. While we construct our Portfolio from the bottom up, we are mindful of macroeconomic trends that may adversely affect our holdings. While we continue to monitor vigilantly the economy, we currently see it as somewhat balanced, albeit slowing in the U.S., especially where directly or indirectly tied to the consumer. New stock ideas are coming from any area of the market, continued to be driven by stock specific stories.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented herein includes the effects of reinvested dividends.
(continued)
38
Ohio National Fund, Inc.
Capital Appreciation Portfolio (Continued)
Capital Appreciation Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 99.1 | ||
Repurchase Agreements Less Net Liabilities | 0.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Baker Hughes, Inc. | 2.3 | |||||
2. | American International Group, Inc. | 2.2 | |||||
3. | Diebold, Inc. | 2.2 | |||||
4. | Allied Waste Industries, Inc. | 2.1 | |||||
5. | Wyeth | 2.0 | |||||
6. | Occidental Petroleum Corp. | 1.8 | |||||
7. | H&R Block, Inc. | 1.8 | |||||
8. | Dover Corp. | 1.7 | |||||
9. | The Charles Schwab Corp. | 1.7 | |||||
10. | The Bank of New York Co., Inc. | 1.7 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. |
(3) | Sectors: |
% of Net Assets | |||
Consumer Discretionary | 19.4 | ||
Information Technology | 16.1 | ||
Financials | 15.8 | ||
Health Care | 12.2 | ||
Industrials | 10.9 | ||
Energy | 9.4 | ||
Consumer Staples | 8.4 | ||
Materials | 4.6 | ||
Telecommunication Services | 1.2 | ||
Utilities | 1.1 | ||
99.1 | |||
39
Ohio National Fund, Inc.
Capital Appreciation Portfolio
Capital Appreciation Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 19.4% | ||||||||
Diversified Consumer Services – 3.4% | ||||||||
Career Education Corp. (a) | 109,200 | $ | 3,687,684 | |||||
H&R Block, Inc. | 178,000 | 4,159,860 | ||||||
7,847,544 | ||||||||
Hotels, Restaurants & Leisure – 1.0% | ||||||||
Bally Technologies, Inc. (a) | 91,000 | 2,404,220 | ||||||
Household Durables – 0.8% | ||||||||
Sony Corp. – ADR | 38,200 | 1,962,334 | ||||||
Internet & Catalog Retail – 1.0% | ||||||||
IAC/InterActiveCorp (a) | 68,900 | 2,384,629 | ||||||
Media – 10.2% | ||||||||
Discovery Holding Co. Class A (a) | 143,400 | 3,296,766 | ||||||
Gemstar-TV Guide International, Inc. (a) | 327,700 | 1,612,284 | ||||||
Liberty Global Inc – Series C (a) | 92,296 | 3,627,233 | ||||||
Pearson PLC – ADR | 220,900 | 3,719,956 | ||||||
Radio One, Inc. Class D (a) | 255,000 | 1,800,300 | ||||||
Viacom, Inc. Class B (a) | 56,644 | 2,358,090 | ||||||
Warner Music Group Corp. | 185,300 | 2,677,585 | ||||||
Xinhua Finance Media Ltd. – ADR (a) | 137,000 | 1,132,990 | ||||||
XM Satellite Radio Holdings, Inc. Class A (a) | 300,700 | 3,539,239 | ||||||
23,764,443 | ||||||||
Specialty Retail – 3.0% | ||||||||
Best Buy Co., Inc. | 75,100 | 3,504,917 | ||||||
Urban Outfitters, Inc. (a) | 142,000 | 3,412,260 | ||||||
6,917,177 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 45,280,347 | |||||||
CONSUMER STAPLES – 8.4% | ||||||||
Food & Staples Retailing – 4.5% | ||||||||
Performance Food Group Co. (a) | 110,000 | 3,573,900 | ||||||
The Kroger Co. | 121,800 | 3,426,234 | ||||||
Wal-Mart Stores, Inc. | 73,400 | 3,531,274 | ||||||
10,531,408 | ||||||||
Food Products – 2.8% | ||||||||
Cadbury Schweppes PLC (c) | 219,300 | 2,976,432 | ||||||
ConAgra Foods, Inc. | 135,800 | 3,647,588 | ||||||
6,624,020 | ||||||||
Household Products – 1.1% | ||||||||
Kimberly-Clark Corp. | 37,100 | 2,481,619 | ||||||
TOTAL CONSUMER STAPLES | 19,637,047 | |||||||
ENERGY – 9.4% | ||||||||
Energy Equipment & Services – 4.6% | ||||||||
Baker Hughes, Inc. | 62,700 | 5,274,951 | ||||||
National Oilwell Varco, Inc. (a) | 21,900 | 2,282,856 | ||||||
Schlumberger Ltd. | 36,800 | 3,125,792 | ||||||
10,683,599 | ||||||||
Oil, Gas & Consumable Fuels – 4.8% | ||||||||
Massey Energy Co. | 109,100 | 2,907,515 | ||||||
Occidental Petroleum Corp. | 73,100 | 4,231,028 | ||||||
Peabody Energy Corp. | 46,100 | 2,230,318 | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Range Resources Corp. | 51,300 | 1,919,133 | ||||||
11,287,994 | ||||||||
TOTAL ENERGY | 21,971,593 | |||||||
FINANCIALS – 15.8% | ||||||||
Capital Markets – 7.1% | ||||||||
KKR Private Equity Investors LLP – RDU (b) | 75,200 | 1,690,263 | ||||||
Lazard Ltd. Class A | 34,200 | 1,540,026 | ||||||
Nuveen Investments, Inc. Class A | 48,900 | 3,039,135 | ||||||
State Street Corp. | 34,400 | 2,352,960 | ||||||
The Bank of New York Co., Inc. | 94,500 | 3,916,080 | ||||||
The Charles Schwab Corp. | 200,400 | 4,112,208 | ||||||
16,650,672 | ||||||||
Commercial Banks – 1.5% | ||||||||
Royal Bank of Scotland Group plc (c) | 274,572 | 3,474,293 | ||||||
Diversified Financial Services – 1.5% | ||||||||
Citigroup, Inc. | 68,700 | 3,523,623 | ||||||
Insurance – 5.7% | ||||||||
American International Group, Inc. | 72,900 | 5,105,187 | ||||||
Axis Capital Holdings Ltd. | 49,700 | 2,020,305 | ||||||
MBIA, Inc. | 38,400 | 2,389,248 | ||||||
StanCorp Financial Group, Inc. | 70,100 | 3,678,848 | ||||||
13,193,588 | ||||||||
TOTAL FINANCIALS | 36,842,176 | |||||||
HEALTH CARE – 12.2% | ||||||||
Biotechnology – 0.9% | ||||||||
Amgen, Inc. (a) | 36,900 | 2,040,201 | ||||||
Health Care Equipment & Supplies – 1.3% | ||||||||
St. Jude Medical, Inc. (a) | 76,400 | 3,169,836 | ||||||
Health Care Providers & Services – 0.7% | ||||||||
Omnicare, Inc. | 45,200 | 1,629,912 | ||||||
Pharmaceuticals – 9.3% | ||||||||
Abbott Laboratories | 47,900 | 2,565,045 | ||||||
Endo Pharmaceuticals Holdings, Inc. (a) | 82,300 | 2,817,129 | ||||||
Medicis Pharmaceutical Corp. Class A | 115,700 | 3,533,478 | ||||||
Novartis AG – ADR | 59,600 | 3,341,772 | ||||||
Pfizer, Inc. | 87,100 | 2,227,147 | ||||||
Watson Pharmaceuticals, Inc. (a) | 75,500 | 2,456,015 | ||||||
Wyeth | 83,100 | 4,764,954 | ||||||
21,705,540 | ||||||||
TOTAL HEALTH CARE | 28,545,489 | |||||||
INDUSTRIALS – 10.9% | ||||||||
Aerospace & Defense – 1.4% | ||||||||
Honeywell International, Inc. | 56,500 | 3,179,820 | ||||||
Airlines – 1.1% | ||||||||
JetBlue Airways Corp. (a) | 221,600 | 2,603,800 | ||||||
Commercial Services & Supplies – 4.6% | ||||||||
Allied Waste Industries, Inc. (a) | 361,400 | 4,864,444 | ||||||
Navigant Consulting, Inc. (a) | 127,700 | 2,370,112 | ||||||
Waste Management, Inc. | 90,700 | 3,541,835 | ||||||
10,776,391 | ||||||||
(continued)
40
Ohio National Fund, Inc.
Capital Appreciation Portfolio (Continued)
Capital Appreciation Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.1% | Shares | Value | ||||||
Construction & Engineering – 0.5% | ||||||||
Aecom Technology Corp. (a) | 44,400 | $ | 1,101,564 | |||||
Machinery – 3.3% | ||||||||
Actuant Corp. Class A | 58,000 | 3,657,480 | ||||||
Dover Corp. | 81,100 | 4,148,265 | ||||||
7,805,745 | ||||||||
TOTAL INDUSTRIALS | 25,467,320 | |||||||
INFORMATION TECHNOLOGY – 16.1% | ||||||||
Communications Equipment – 3.6% | ||||||||
Corning, Inc. (a) | 92,900 | 2,373,595 | ||||||
Motorola, Inc. | 130,600 | 2,311,620 | ||||||
QUALCOMM, Inc. | 83,700 | 3,631,743 | ||||||
8,316,958 | ||||||||
Computers & Peripherals – 2.1% | ||||||||
Diebold, Inc. | 96,500 | 5,037,300 | ||||||
IT Services – 0.9% | ||||||||
CACI International, Inc. – Class A (a) | 41,400 | 2,022,390 | ||||||
Semiconductor & Semiconductor Equipment – 2.5% | ||||||||
Integrated Device Technology, Inc. (a) | 194,400 | 2,968,488 | ||||||
Marvell Technology Group Ltd. (a) | 159,500 | 2,904,495 | ||||||
5,872,983 | ||||||||
Software – 7.0% | ||||||||
BEA Systems, Inc. (a) | 189,200 | 2,590,148 | ||||||
Check Point Software Technologies Ltd. (a) | 116,900 | 2,666,489 | ||||||
Fair Isaac Corp. | 90,800 | 3,642,896 | ||||||
Manhattan Associates, Inc. (a) | 68,700 | 1,917,417 | ||||||
Symantec Corp. (a) | 121,500 | 2,454,300 | ||||||
TIBCO Software, Inc. (a) | 342,300 | 3,097,815 | ||||||
16,369,065 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 37,618,696 | |||||||
MATERIALS – 4.6% | ||||||||
Chemicals – 2.4% | ||||||||
E.I. du Pont de Nemours & Co. | 72,800 | 3,701,152 | ||||||
Nalco Holding Company | 71,000 | 1,948,950 | ||||||
5,650,102 | ||||||||
Containers & Packaging – 1.0% | ||||||||
Temple-Inland, Inc. | 39,000 | 2,399,670 | ||||||
Metals & Mining – 1.2% | ||||||||
Alcoa, Inc. | 69,200 | 2,804,676 | ||||||
TOTAL MATERIALS | 10,854,448 | |||||||
TELECOMMUNICATION SERVICES – 1.2% | ||||||||
Wireless Telecommunication Services – 1.2% | ||||||||
Sprint Nextel Corp. | 132,900 | 2,752,359 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 2,752,359 | |||||||
UTILITIES – 1.1% | ||||||||
Independent Power Producers & Energy Traders – 1.1% | ||||||||
NRG Energy, Inc. (a) | 63,200 | 2,627,224 | ||||||
TOTAL UTILITIES | 2,627,224 | |||||||
Total Common Stocks (Cost $198,777,943) | $ | 231,596,699 | ||||||
Face | Fair | |||||||
Repurchase Agreements–1.0% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 2,294,000 | $ | 2,294,000 | ||||
Repurchase price $2,294,784 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $2,339,898 | ||||||||
Total Repurchase Agreements (Cost $2,294,000) | $ | 2,294,000 | ||||||
Total Investments – 100.1% (Cost $201,071,943) (d) | $ | 233,890,699 | ||||||
Liabilities in Excess of Other Assets – (0.1)% | (142,175 | ) | ||||||
Net Assets – 100.0% | $ | 233,748,524 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
RDU: Restricted Depository Unit
Footnotes:
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2007, the value of this security totaled $1,690,263 or 0.7% of the Portfolio’s net assets. This security was deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | Security denominated in foreign currency and traded on a foreign exchange has been subjected to fair value procedures approved by the Fund Board of Directors. These securities represent $6,450,725 or 2.8% of the Portfolio’s net assets. As discussed in Note 2 of the Notes to Financial Statements, not all investments are valued at an estimate of fair value 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 a holding is below the 75% threshold. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
41
Ohio National Fund, Inc.
Capital Appreciation Portfolio
Capital Appreciation Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $201,071,943) | $ | 233,890,699 | ||
Cash | 710 | |||
Receivable for fund shares sold | 4,928 | |||
Dividends and accrued interest receivable | 123,445 | |||
Prepaid expenses and other assets | 892 | |||
Total assets | 234,020,674 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 87,344 | |||
Payable for investment management services | 150,577 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 2,578 | |||
Accrued professional fees | 6,448 | |||
Accrued accounting fees | 12,887 | |||
Accrued printing and filing fees | 11,569 | |||
Other accrued expenses | 369 | |||
Total liabilities | 272,150 | |||
Net assets | $ | 233,748,524 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 10,521,809 | ||
Paid-in capital in excess of par value | 159,488,482 | |||
Accumulated net realized gain on investments | 30,096,260 | |||
Net unrealized appreciation on investments | 32,818,756 | |||
Undistributed net investment income | 823,217 | |||
Net assets | $ | 233,748,524 | ||
Shares outstanding | 10,521,809 | |||
Authorized Fund shares allocated to Portfolio | 20,000,000 | |||
Net asset value per share | $ | 22.22 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 89,003 | ||
Dividends (net of withholding tax of $6,638) | 1,372,863 | |||
Total investment income | 1,461,866 | |||
Expenses: | ||||
Management fees | 880,398 | |||
Custodian fees | 7,870 | |||
Directors’ fees | 5,567 | |||
Professional fees | 8,605 | |||
Accounting fees | 38,887 | |||
Printing and filing fees | 11,861 | |||
Compliance expense | 2,358 | |||
Other | 1,904 | |||
Total expenses | 957,450 | |||
Net investment income | 504,416 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | 14,721,244 | |||
Foreign currency related transactions | (347 | ) | ||
Change in unrealized appreciation/depreciation on investments | 11,229,589 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 25,950,486 | |||
Change in net assets from operations | $ | 26,454,902 | ||
The accompanying notes are an integral part of these financial statements.
42
Ohio National Fund, Inc.
Capital Appreciation Portfolio
Capital Appreciation Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 504,416 | $ | 1,284,582 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | 14,720,897 | 15,758,034 | ||||||
Change in unrealized appreciation/depreciation on investments | 11,229,589 | 13,206,529 | ||||||
Change in net assets from operations | 26,454,902 | 30,249,145 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (973,184 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 3,518,235 | 33,962,491 | ||||||
Received from dividends reinvested | — | 973,184 | ||||||
Paid for shares redeemed | (18,731,475 | ) | (11,317,621 | ) | ||||
Change in net assets from capital transactions | (15,213,240 | ) | 23,618,054 | |||||
Change in net assets | 11,241,662 | 52,894,015 | ||||||
Net Assets: | ||||||||
Beginning of period | 222,506,862 | 169,612,847 | ||||||
End of period | $ | 233,748,524 | $ | 222,506,862 | ||||
Undistributed net investment income | $ | 823,217 | $ | 319,148 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 19.79 | $ | 17.08 | $ | 16.31 | $ | 14.55 | $ | 11.09 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.05 | 0.12 | 0.08 | 0.08 | 0.03 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 2.38 | 2.68 | 0.78 | 1.74 | 3.46 | |||||||||||||||
Total from operations | 2.43 | 2.80 | 0.86 | 1.82 | 3.49 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.09 | ) | (0.09 | ) | (0.06 | ) | (0.03 | ) | |||||||||||
Net asset value, end of period | $ | 22.22 | $ | 19.79 | $ | 17.08 | $ | 16.31 | $ | 14.55 | ||||||||||
Total return | 12.28 | %(b) | 16.37 | % | 5.27 | % | 12.50 | % | 31.52 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 233.7 | $ | 222.5 | $ | 169.6 | $ | 129.4 | $ | 109.5 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.84 | %(a) | 0.85 | % | 0.88 | % | 0.91 | % | 0.95 | % | ||||||||||
Net investment income | 0.44 | %(a) | 0.64 | % | 0.60 | % | 0.54 | % | 0.25 | % | ||||||||||
Portfolio turnover rate | 37 | % | 80 | % | 86 | % | 100 | % | 108 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
43
Ohio National Fund, Inc.
Millennium Portfolio
Millennium Portfolio
Objective
The Millennium Portfolio seeks maximum capital growth by investing primarily in common stocks of small sized companies.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 20.66 | % | ||
Five year | 9.06 | % | ||
Ten year | 8.64 | % |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Millennium Portfolio returned 15.70% versus 9.33% for the current benchmark, the Russell 2000 Growth Index.
Our holdings within Consumer Discretionary continued to be the largest contributor to relative performance as several themes in the Portfolio continue to do well such as: secondary education, video games, and hotels & leisure. Holdings within Information Technology and Financials were also contributory towards relative performance. Within Information Technology, application software and IT services companies performed well. Investment brokerage and property management companies performed well within Financials. Telecommunication Services and Energy was also a contributor to performance with wireless communications and oil & gas drilling and exploration, respectively, performing particularly well on a year-to-date basis.(1)
In terms of specific stocks that were top Portfolio performers during this time period Vail Resorts, Inc. and Orient-Express Hotels Ltd., representative of high end hotels and leisure, were among the top Portfolio performers. Also, BE Aerospace, Inc. which is part of our aviation cycle theme was a top performer. aQuantive, Inc., which was taken out by Microsoft this quarter was also one of the top five performing stocks. Lastly, The GEO Group Inc., an outsourcing correctional facilities holding, was a top performer.(1)
Security selection within Health Care was the largest detractor from the Portfolio’s relative performance. Within Health Care, names in the medical staffing & outsourcing services and diagnostic substances performed particularly weak this time period.(1)
In terms of specific stock underperformers year to date, PeopleSupport Inc., an outsourcing services company, lowered guidance and was sold from the Portfolio. Other weak performers included: I2 Technologies Inc. and Daktronics, Inc. Both companies reported had weakening outlooks and were sold from the Portfolio.(1)
After an unclear start to the year, the U.S. economy appears to be on steadier ground despite the sub prime worries, rising energy and food costs. The consumer, thus far, appears to be relatively resilient to these developments likely due to healthy wage gains. Stocks continued their march upwards in the second quarter of 2007, with private equity firms continuing to fuel acquisitions. Large- and mid-cap shares continued to lead smaller issues and growth style results outpaced value across the capitalization spectrum.
In terms of sectors, we continue to find good growth potential in the Telecommunication Services sector and remain in an over-weight position. Consumer Discretionary, Information Technology and Financials are also in an over-weight position. We are relatively market-weighted in the Industrials sector. Energy, Materials, Health Care and Consumer Staples sectors remain in an under-weight position.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Growth Index 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)
44
Ohio National Fund, Inc.
Millennium Portfolio (Continued)
Millennium Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 96.6 | ||
Repurchase Agreements and Other Net Assets | 3.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | CAE, Inc. | 4.4 | |||||
2. | Orient-Express Hotels Ltd. Class A | 4.0 | |||||
3. | BE Aerospace, Inc. | 3.8 | |||||
4. | Gaylord Entertainment Co. | 2.9 | |||||
5. | Jones Lang LaSalle, Inc. | 2.7 | |||||
6. | ValueClick, Inc. | 2.6 | |||||
7. | Affiliated Managers Group, Inc. | 2.3 | |||||
8. | The GEO Group Inc. | 2.2 | |||||
9. | Core Laboratories N.V. | 2.2 | |||||
10. | SBA Communications Corp. Class A | 2.2 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 25.3 | ||
Industrials | 22.0 | ||
Consumer Discretionary | 20.9 | ||
Health Care | 11.2 | ||
Financials | 10.0 | ||
Energy | 5.0 | ||
Telecommunication Services | 2.2 | ||
96.6 | |||
45
Ohio National Fund, Inc.
Millennium Portfolio
Millennium Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 96.6% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 20.9% | ||||||||
Diversified Consumer Services – 8.3% | ||||||||
Capella Education Company (a) | 26,800 | $ | 1,233,604 | |||||
Career Education Corp. (a) | 23,400 | 790,218 | ||||||
Service Corp. International | 81,700 | 1,044,126 | ||||||
Sotheby’s | 17,050 | 784,641 | ||||||
Steiner Leisure Ltd. (a) | 16,800 | 825,216 | ||||||
Strayer Education, Inc. | 6,300 | 829,773 | ||||||
5,507,578 | ||||||||
Hotels, Restaurants & Leisure – 10.8% | ||||||||
Ctrip.com International Ltd. – ADR | 8,200 | 644,766 | ||||||
Gaylord Entertainment Co. (a) | 35,600 | 1,909,584 | ||||||
Orient-Express Hotels Ltd. Class A | 48,700 | 2,600,580 | ||||||
Vail Resorts, Inc. (a) | 18,800 | 1,144,356 | ||||||
WMS Industries, Inc. (a) | 28,050 | 809,523 | ||||||
7,108,809 | ||||||||
Specialty Retail – 1.8% | ||||||||
GameStop Corp. Class A (a) | 30,400 | 1,188,640 | ||||||
TOTAL CONSUMER DISCRETIONARY | 13,805,027 | |||||||
ENERGY – 5.0% | ||||||||
Energy Equipment & Services – 2.2% | ||||||||
Core Laboratories N.V. (a) | 14,300 | 1,454,167 | ||||||
Oil, Gas & Consumable Fuels – 2.8% | ||||||||
Arena Resources, Inc. (a) | 13,300 | 772,863 | ||||||
Carrizo Oil & Gas, Inc. (a) | 25,800 | 1,069,926 | ||||||
1,842,789 | ||||||||
TOTAL ENERGY | 3,296,956 | |||||||
FINANCIALS – 10.0% | ||||||||
Capital Markets – 4.2% | ||||||||
Affiliated Managers Group, Inc. (a) | 12,000 | 1,545,120 | ||||||
GFI Group, Inc. (a) | 16,800 | 1,217,664 | ||||||
2,762,784 | ||||||||
Consumer Finance – 1.8% | ||||||||
Advanta Corp. Class B | 38,550 | 1,200,447 | ||||||
Insurance – 1.3% | ||||||||
ProAssurance Corp. (a) | 15,700 | 874,019 | ||||||
Real Estate Management & Development – 2.7% | ||||||||
Jones Lang LaSalle, Inc. | 15,400 | 1,747,900 | ||||||
TOTAL FINANCIALS | 6,585,150 | |||||||
HEALTH CARE – 11.2% | ||||||||
Health Care Equipment & Supplies – 2.2% | ||||||||
ArthroCare Corp. (a) | 19,850 | 871,614 | ||||||
Integra LifeSciences Holdings Corp. (a) | 12,400 | 612,808 | ||||||
1,484,422 | ||||||||
Health Care Providers & Services – 3.7% | ||||||||
Bio-Reference Labs, Inc. (a) | 28,200 | 771,270 | ||||||
Medcath Corp. (a) | 18,400 | 585,120 | ||||||
VCA Antech, Inc. (a) | 28,400 | 1,070,396 | ||||||
2,426,786 | ||||||||
Health Care Technology – 2.4% | ||||||||
Allscripts Healthcare Solutions, Inc. (a) | 29,200 | 744,016 | ||||||
Omnicell, Inc. (a) | 40,600 | 843,668 | ||||||
1,587,684 | ||||||||
Life Sciences Tools & Services – 2.9% | ||||||||
ICON plc – ADR (a) | 24,500 | 1,071,630 | ||||||
Techne Corp. (a) | 15,000 | 858,150 | ||||||
1,929,780 | ||||||||
TOTAL HEALTH CARE | 7,428,672 | |||||||
INDUSTRIALS – 22.0% | ||||||||
Aerospace & Defense – 9.4% | ||||||||
AAR Corp. (a) | 22,100 | 729,521 | ||||||
BE Aerospace, Inc. (a) | 60,900 | 2,515,170 | ||||||
CAE, Inc. | 219,600 | 2,929,464 | ||||||
6,174,155 | ||||||||
Commercial Services & Supplies – 11.1% | ||||||||
Cornell Companies, Inc. (a) | 48,500 | 1,191,160 | ||||||
FTI Consulting, Inc. (a) | 36,200 | 1,376,686 | ||||||
Huron Consulting Group, Inc. (a) | 10,200 | 744,702 | ||||||
Kenexa Corp. (a) | 22,100 | 833,391 | ||||||
Mobile Mini, Inc. (a) | 32,025 | 935,130 | ||||||
The GEO Group Inc. (a) | 50,500 | 1,469,550 | ||||||
Watson Wyatt Worldwide Inc. | 15,900 | 802,632 | ||||||
7,353,251 | ||||||||
Marine – 1.5% | ||||||||
Kirby Corp. (a) | 26,600 | 1,021,174 | ||||||
TOTAL INDUSTRIALS | 14,548,580 | |||||||
INFORMATION TECHNOLOGY – 25.3% | ||||||||
Communications Equipment – 1.1% | ||||||||
Ciena Corp. (a) | 19,300 | 697,309 | ||||||
Electronic Equipment & Instruments – 3.1% | ||||||||
Flir Systems, Inc. (a) | 16,000 | 740,000 | ||||||
Trimble Navigation Ltd. (a) | 41,000 | 1,320,200 | ||||||
2,060,200 | ||||||||
Internet Software & Services – 9.8% | ||||||||
DealerTrack Holdings, Inc. (a) | 26,600 | 979,944 | ||||||
Equinix, Inc. (a) | 13,200 | 1,207,404 | ||||||
Liquidity Services, Inc. (a) | 35,300 | 662,934 | ||||||
NaviSite, Inc. (a) | 88,900 | 675,640 | ||||||
ValueClick, Inc. (a) | 59,100 | 1,741,086 | ||||||
Vocus, Inc. (a) | 48,200 | 1,210,302 | ||||||
6,477,310 | ||||||||
IT Services – 1.4% | ||||||||
Perot Systems Corp. Class A (a) | 53,900 | 918,456 | ||||||
Semiconductor & Semiconductor Equipment – 4.0% | ||||||||
Atheros Communications, Inc. (a) | 31,800 | 980,712 | ||||||
Microsemi Corp. (a) | 31,600 | 756,820 | ||||||
Varian Semiconductor Equipment Associates, Inc. (a) | 23,150 | 927,389 | ||||||
2,664,921 | ||||||||
(continued)
46
Ohio National Fund, Inc.
Millennium Portfolio (Continued)
Millennium Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 96.6% | Shares | Value | ||||||
Software – 5.9% | ||||||||
Concur Technologies, Inc. (a) | 34,200 | $ | 781,470 | |||||
Nuance Communications, Inc. (a) | 56,300 | 941,899 | ||||||
THQ, Inc. (a) | 27,400 | 836,248 | ||||||
Ultimate Software Group, Inc. (a) | 37,000 | 1,070,410 | ||||||
Unica Corp. (a) | 17,100 | 282,150 | ||||||
3,912,177 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 16,730,373 | |||||||
TELECOMMUNICATION SERVICES – 2.2% | ||||||||
Wireless Telecommunication Services – 2.2% | ||||||||
SBA Communications Corp. Class A (a) | 42,500 | 1,427,575 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 1,427,575 | |||||||
Total Common Stocks (Cost $53,113,211) | $ | 63,822,333 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.9% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 1,240,000 | $ | 1,240,000 | ||||
Repurchase price $1,240,424 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $1,264,810 | ||||||||
Total Repurchase Agreements (Cost $1,240,000) | $ | 1,240,000 | ||||||
Total Investments – 98.5% (Cost $54,353,211) (b) | $ | 65,062,333 | ||||||
Other Assets in Excess of Liabilities – 1.5% | 962,504 | |||||||
Net Assets – 100.0% | $ | 66,024,837 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
47
Ohio National Fund, Inc.
Millennium Portfolio
Millennium Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $54,353,211) | $ | 65,062,333 | ||
Cash | 547 | |||
Receivable for securities sold | 1,376,542 | |||
Receivable for fund shares sold | 4,534 | |||
Dividends and accrued interest receivable | 5,341 | |||
Prepaid expenses and other assets | 271 | |||
Total assets | 66,449,568 | |||
Liabilities: | ||||
Payable for securities purchased | 350,169 | |||
Payable for fund shares redeemed | 16,544 | |||
Payable for investment management services | 43,215 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,174 | |||
Accrued professional fees | 5,692 | |||
Accrued accounting fees | 4,168 | |||
Accrued printing and filing fees | 3,284 | |||
Other accrued expenses | 107 | |||
Total liabilities | 424,731 | |||
Net assets | $ | 66,024,837 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,862,194 | ||
Paid-in capital in excess of par value | 75,639,216 | |||
Accumulated net realized loss on investments | (22,963,317 | ) | ||
Net unrealized appreciation on investments | 10,709,122 | |||
Accumulated net investment loss | (222,378 | ) | ||
Net assets | $ | 66,024,837 | ||
Shares outstanding | 2,862,194 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 23.07 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 6,029 | ||
Dividends (net of withholding tax of $370) | 54,211 | |||
Total investment income | 60,240 | |||
Expenses: | ||||
Management fees | 252,714 | |||
Custodian fees | 3,165 | |||
Directors’ fees | 1,533 | |||
Professional fees | 6,422 | |||
Accounting fees | 12,657 | |||
Printing and filing fees | 3,191 | |||
Compliance expense | 2,358 | |||
Other | 578 | |||
Total expenses | 282,618 | |||
Net investment loss | (222,378 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 4,649,620 | |||
Change in unrealized appreciation/depreciation on investments | 4,824,088 | |||
Net realized/unrealized gain (loss) on investments | 9,473,708 | |||
Change in net assets from operations | $ | 9,251,330 | ||
The accompanying notes are an integral part of these financial statements.
48
Ohio National Fund, Inc.
Millennium Portfolio
Millennium Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (222,378 | ) | $ | (400,823 | ) | ||
Net realized gain (loss) on investments | 4,649,620 | 1,774,936 | ||||||
Change in unrealized appreciation/depreciation on investments | 4,824,088 | 3,488,977 | ||||||
Change in net assets from operations | 9,251,330 | 4,863,090 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 2,010,640 | 2,336,483 | ||||||
Paid for shares redeemed | (7,827,135 | ) | (15,986,311 | ) | ||||
Change in net assets from capital transactions | (5,816,495 | ) | (13,649,828 | ) | ||||
Change in net assets | 3,434,835 | (8,786,738 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 62,590,002 | 71,376,740 | ||||||
End of period | $ | 66,024,837 | $ | 62,590,002 | ||||
Accumulated net investment loss | $ | (222,378 | ) | $ | — | |||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 19.94 | $ | 18.57 | $ | 18.57 | $ | 16.74 | $ | 12.16 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.08 | ) | (0.13 | ) | (0.10 | ) | (0.12 | ) | (0.10 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 3.21 | 1.50 | 0.10 | 1.95 | 4.68 | |||||||||||||||
Total from operations | 3.13 | 1.37 | — | 1.83 | 4.58 | |||||||||||||||
Net asset value, end of period | $ | 23.07 | $ | 19.94 | $ | 18.57 | $ | 18.57 | $ | 16.74 | ||||||||||
Total return | 15.70 | %(b) | 7.38 | % | 0.00 | % | 10.93 | % | 37.66 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 66.0 | $ | 62.6 | $ | 71.4 | $ | 89.0 | $ | 93.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.89 | %(a) | 0.89 | % | 0.90 | % | 0.91 | % | 0.95 | % | ||||||||||
Net investment loss | (0.70 | )%(a) | (0.59 | )% | (0.53 | )% | (0.64 | )% | (0.71 | )% | ||||||||||
Portfolio turnover rate | 65 | % | 219 | % | 179 | % | 104 | % | 128 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
49
Ohio National Fund, Inc.
International Small Company Portfolio
International Small Company Portfolio
Objective
The International Small Company Portfolio seeks to provide long-term growth of capital by investing primarily in equity securities of foreign companies having a market capitalization at the time of purchase of $5 billion or less.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 35.40 | % | ||
Five year | 24.80 | % | ||
Ten year | 12.64 | % |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the International Small Company Portfolio returned 17.95% versus 12.55% for the current benchmark, the S&P/Citigroup Extended Market (EMI) Growth World ex-U.S. Index.
The international markets continued to post positive performances despite the U.S. markets remaining sluggish this year. However, the gains seen abroad have not been a smooth upward move. Periodic market corrections stemmed largely from China growth controls, the U.S. subprime mortgage market meltdown, and rising oil prices. The oil price per barrel headed higher by 15.8% during the first-half of the year reaching a high of $70.68, a level not seen since August 2006. The U.S. Federal Reserve Bank continued to hold rates steady during this period. The European Central Bank (ECB) raised rates twice for a total of 50 basis points.
Against this backdrop, European and Asia Pacific small cap stocks’ total return performances continued to move ahead, albeit at different paces during this reporting period. The S&P/Citigroup EMI European Growth Index returned 11.8% while the S&P/Citigroup EMI Asia Pacific, ex-Japan Growth Index gained 29.3%, all in U.S. dollar terms. Japanese small caps continued their underperformance from last year posting a meaningless 0.1% gain during this review period.
The U.S. dollar continued to post mixed performances against other major currencies. The euro gained 2.6%, while the yen lost 3.5% against the dollar during the first-half of the year. The most notable major currency move was in the Canadian dollar which gained 8.6% against the U.S. dollar, reaching near parity levels.
For the first-half of 2007, the International Small Company Portfolio had a return of 17.95% which outperformed the S&P/Citigroup Extended Market (EMI) Growth World ex-U.S. Index. The Portfolio had a much lower weighting than the index in one of the worst performing markets this period – Japan.(1)
Top performing relative markets in the Portfolio include Germany, United Kingdom, and Spain. Weaker relative investments were in South Korea, Australia, and United States of America.(1)
Industrials, Financials, and Consumer Discretionary stocks led the highest relative performing sectors for the Portfolio’s investments. Individual stocks contributing to the Portfolio’s performance include: Boehler-Uddeholm AG, an Austrian specialty steel company, which gained 46.9% during the period. The company is currently the target of an acquisition offer. General de Alquiler de Maquinaria, a Spanish machinery rental company, rose 80.5% during the period. The company continued to benefit from the strong construction industry cycle as the government continues to spend on civil works projects. The company made two strategic acquisitions expanding their rental coverage of Spain and Portugal. Panalpina Weltransport Holding AG is a Swiss freight-forwarding company. Its stock gained 57.1% during the period. The company reported that first quarter profit doubled as global economic growth fueled demand for cargo services. Panalpina Weltransport Holding AG cited sales growth was driven by exports from China to the European Union and the United States of America.(1)
In general, most of our weighted sectors outperformed relative to the index. However, a few individual stocks that held back performance included: Vueling Airlines SA and Tokyo Seimitsu Co. Ltd. Vueling Airlines SA, a Spanish low-cost airline, declined 14.6% during the period. The stock came under pressure when another low-cost competitor began a fare war in the same markets. Consequently, yields declined on the lower fares. Tokyo Seimitsu Co. Ltd., a Japanese semiconductor production equipment manufacturer, fell 17.6% during this year’s first-half period. Concerns of the company’s business weighed on the stock until they reported their fiscal year results in May. That announcement included news that net income nearly tripled from the year earlier. The company guided towards a 14 percent increase in profits this year on the introduction of new equipment.(1)
We are pleased with the Portfolio’s performance. The Japanese equity market has continued to underperform most major global markets. As such, we are comfortable with our low exposure to this market. Our belief that the global economy is growing, despite the laggardness of the U.S., has guided our investments towards the capital goods sectors where we continue to find high growth small companies.(1)
The Portfolio is invested for the continuation of global economic growth. Should the global growth outlook alter significantly, the Portfolio could be negatively impacted. The Portfolio has moderated its weighting in Energy and Materials in comparison to a year ago. Additionally, we have further reduced our exposure to Japan throughout the first-half of this year while incrementally building investments in emerging markets, principally, Malaysia.(1)
We continue to seek investment opportunities using a bottom-up approach of stock picking. Periodically, we review attractive government policies and initiatives that stimulate business investments as presenting opportunities for the Portfolio.
(continued)
50
Ohio National Fund, Inc.
International Small Company Portfolio (Continued)
International Small Company Portfolio (Continued)
Nonetheless, many of our investments are expected to produce earnings growth of at least 15% per annum.(1)
Longer term, we continue to believe that our international small cap investments are well-poised to continue to grow and participate in this healthy global economy. The decreasing role of the U.S. in global trade is providing companies abroad with opportunities. Consider that the U.S. was Japan’s largest trading partner until two years ago only to be replaced by China. As stated earlier, logistics companies are seeing an increase in global business—despite higher fuel costs. We continue to be constructive in the Materials, Energy, and Industrial sectors. The U.S. dollar is likely to continue to weaken, especially if the Fed begins cutting interest rates once again. Against this scenario, our stock price gains will be further enhanced with positive currency returns.(1)
We have witnessed a rising interest rate environment abroad with increasing oil prices. However, consumer discretionary spending continues its pace as current interest rates and oil prices are still manageable. A continuation of rising interest rates could at some point negatively impact consumers and companies, but that has not been the case thus far.
We continue to invest in international small companies that benefit and contribute to this global economic expansion.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
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/Citigroup Extended Market (EMI) Growth World ex-U.S. Index is a subset of the Global S&P/Citigroup Broad Market Index (BMI). The BMI includes all companies with a float capital of at least USD $100 million. The EMI represents the bottom 20% of the index capitalization within each country in the index. The World excluding U.S. composite includes all developed countries except the United States. S&P/Citigroup uses a proprietary multi-factor model to determine each companys relative position on a growth-value continuum. The S&P/Citigroup Extended Market (EMI) Growth World Ex-U.S. Index reflects each companys available market capitalization weighted by its growth probability. The index presented herein includes the effects of reinvested dividends.
(continued)
51
Ohio National Fund, Inc.
International Small Company Portfolio (Continued)
International Small Company Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 96.6 | ||
Repurchase Agreements | |||
Less Net Liabilities | 3.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Boehler-Uddeholm AG | 1.9 | |||||
2. | Agrium, Inc. | 1.8 | |||||
3. | Umicore | 1.5 | |||||
4. | Haulotte Group | 1.4 | |||||
5. | K+S AG | 1.4 | |||||
6. | Abengoa SA | 1.4 | |||||
7. | Panalpina Welttransport Holding AG | 1.4 | |||||
8. | Neopost SA | 1.3 | |||||
9. | Q-Cells AG | 1.3 | |||||
10. | General de Alquiler de Maquinaria | 1.3 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Top 10 Country Weightings: |
% of Net Assets | |||
Germany | 12.4 | ||
United Kingdom | 10.4 | ||
Spain | 9.5 | ||
France | 8.5 | ||
Canada | 7.4 | ||
Switzerland | 5.4 | ||
Italy | 5.0 | ||
Singapore | 5.0 | ||
Malaysia | 4.3 | ||
Japan | 4.2 |
52
Ohio National Fund, Inc.
International Small Company Portfolio
International Small Company Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 96.6% | Shares | Value | ||||||
Germany – 12.4% | ||||||||
Arques Industries AG (b) (4) | 24,661 | $ | 1,058,963 | |||||
Bauer AG (b) (6) | 9,793 | 781,987 | ||||||
Demag Cranes AG (b) (6) | 13,934 | 908,269 | ||||||
Freenet AG (a) (b) (9) | 21,100 | 694,525 | ||||||
Interhyp AG (b) (4) | 4,551 | 495,537 | ||||||
K+S AG (b) (8) | 9,441 | 1,447,780 | ||||||
MTU Aero Engines Holding AG (b) (6) | 15,979 | 1,038,966 | ||||||
Puma AG Rudolf Dassler Sport (b) (1) | 1,333 | 594,214 | ||||||
Q-Cells AG (a) (b) (6) | 15,898 | 1,353,650 | ||||||
Software AG – Bearer (b) (7) | 11,595 | 1,125,408 | ||||||
Solarworld AG (b) (6) | 21,000 | 966,598 | ||||||
Stada Arzneimittel AG (b) (5) | 11,520 | 733,843 | ||||||
Wacker Construction Equipment AG (a) (b) (6) | 21,534 | 800,909 | ||||||
Wincor Nixdorf AG (b) (7) | 7,690 | 701,187 | ||||||
12,701,836 | ||||||||
United Kingdom – 10.4% | ||||||||
Ashtead Group plc (b) (6) | 188,555 | 572,373 | ||||||
Autonomy Corp. plc (a) (b) (7) | 69,912 | 1,002,820 | ||||||
Blinkx Plc (a) (b) (7) | 69,912 | 61,070 | ||||||
Charter plc (a) (b) (6) | 49,900 | 1,101,092 | ||||||
CSR plc (a) (b) (7) | 65,589 | 1,027,493 | ||||||
easyJet plc (a) (b) (6) | 65,823 | 689,371 | ||||||
Enterprise Inns plc (b) (1) | 57,790 | 796,268 | ||||||
Fenner plc (b) (6) | 99,547 | 472,515 | ||||||
Hunting plc (b) (3) | 33,457 | 489,770 | ||||||
John Wood Group plc (b) (3) | 87,100 | 587,676 | ||||||
Michael Page International plc (b) (6) | 90,508 | 950,868 | ||||||
Punch Taverns plc (b) (1) | 34,302 | 841,540 | ||||||
Southern Cross Healthcare Ltd. (b) (5) | 93,339 | 1,056,912 | ||||||
William Hill plc (b) (1) | 32,774 | 402,214 | ||||||
Wolfson Microelectronics plc (a) (b) (7) | 92,500 | 560,275 | ||||||
10,612,257 | ||||||||
Spain – 9.5% | ||||||||
Abengoa SA (b) (6) | 34,581 | 1,415,180 | ||||||
Gamesa Corp. Tecnologica SA (b) (6) | 36,593 | 1,323,780 | ||||||
General de Alquiler de Maquinaria (a) (b) (6) | 39,000 | 1,339,193 | ||||||
Grifols SA (a) (b) (5) | 48,687 | 1,054,778 | ||||||
Indra Sistemas SA (b) (7) | 34,790 | 867,530 | ||||||
Obrascon Huarte Lain, SA (b) (6) | 22,696 | 1,020,551 | ||||||
Sol Melia SA (b) (1) | 29,652 | 658,462 | ||||||
Tubacex (b) (8) | 79,700 | 669,155 | ||||||
Uralita SA (b) (6) | 102,731 | 957,258 | ||||||
Vueling Airlines SA (a) (b) (6) | 10,590 | 386,654 | ||||||
9,692,541 | ||||||||
France – 8.5% | ||||||||
Business Objects SA, ADR (a) (7) | 20,600 | 800,104 | ||||||
Geodis SA (b) (6) | 3,074 | 634,097 | ||||||
Haulotte Group (b) (6) | 35,319 | 1,461,201 | ||||||
Imerys SA (b) (8) | 3,424 | 346,614 | ||||||
Ipsen SA (b) (5) | 18,970 | 973,348 | ||||||
Kaufman & Broad SA (b) (1) | 9,744 | 753,935 | ||||||
Neopost SA (b) (7) | 9,358 | 1,369,250 | ||||||
Nexans SA (a) (b) (6) | 4,651 | 772,031 | ||||||
France (continued) | ||||||||
SeLoger.com (a) (b) (1) | 10,225 | 567,690 | ||||||
Technip SA (b) (3) | 5,600 | 462,852 | ||||||
Zodiac SA (b) (6) | 7,300 | 560,839 | ||||||
8,701,961 | ||||||||
Canada – 7.4% | ||||||||
Agnico – Eagle Mines, Ltd. (8) | 20,100 | 733,650 | ||||||
Agrium, Inc. (b) (8) | 41,000 | 1,797,034 | ||||||
AUR Resources, Inc. (b) (8) | 14,500 | 431,495 | ||||||
Gildan Activewear, Inc. (a) (1) | 20,000 | 685,800 | ||||||
HudBay Minerals, Inc. (a) (b) (8) | 30,700 | 641,523 | ||||||
Industrial Alliance Life Insurance And Financial Services, Inc. (b) (4) | 16,782 | 622,285 | ||||||
Lundin Mining Corp. (a) (b) (8) | 65,166 | 786,702 | ||||||
Roca Mines, Inc. (a) (b) (8) | 82,400 | 220,455 | ||||||
SNC-Lavalin Group, Inc. (b) (6) | 19,518 | 712,744 | ||||||
TSX Group, Inc. (b) (4) | 9,800 | 383,628 | ||||||
Uranium One Inc. (a) (b) (3) | 43,700 | 556,685 | ||||||
7,572,001 | ||||||||
Switzerland – 5.4% | ||||||||
Actelion Ltd. (a) (b) (5) | 23,365 | 1,040,608 | ||||||
Geberit AG (b) (6) | 6,050 | 1,030,843 | ||||||
Kuehne & Nagel International AG (b) (6) | 7,990 | 735,903 | ||||||
Lindt & Spruengli AG (b) (2) | 158 | 429,326 | ||||||
Logitech International SA (a) (b) (7) | 10,872 | 289,165 | ||||||
Panalpina Welttransport Holding AG (b) (6) | 6,666 | 1,406,316 | ||||||
Sulzer AG (b) (6) | 496 | 641,097 | ||||||
5,573,258 | ||||||||
Italy – 5.0% | ||||||||
Beni Stabili SpA (b) (4) | 517,509 | 753,059 | ||||||
Davide Campari – Milano SpA (b) (2) | 54,450 | 570,080 | ||||||
Ducati Motor Holding SpA (a) (b) (1) | 443,412 | 1,089,246 | ||||||
ERG SpA (b) (3) | 17,100 | 464,232 | ||||||
Geox SpA (b) (1) | 61,612 | 1,134,774 | ||||||
IMMSI SpA (b) (1) | 171,908 | 531,440 | ||||||
Tod’s SpA (b) (1) | 7,053 | 629,384 | ||||||
5,172,215 | ||||||||
Singapore – 5.0% | ||||||||
Bukit Sembawang Estate Ltd. (b) (4) | 70,000 | 553,688 | ||||||
Cosco Corp (Singapore) Ltd. (b) (6) | 429,000 | 1,047,762 | ||||||
FJ Benjamin Holdings Ltd. (b) (1) | 1,662,000 | 955,493 | ||||||
Keppel Corp. Ltd. (b) (6) | 101,200 | 827,871 | ||||||
Labroy Marine Ltd. (b) (6) | 289,000 | 497,154 | ||||||
SembCorp Marine Ltd. (b) (6) | 372,000 | 1,192,978 | ||||||
5,074,946 | ||||||||
Malaysia – 4.3% | ||||||||
E & O Property Development BHD (a) (b) (6) | 865,900 | 956,246 | ||||||
Kuala Lumpur Kepong BHD (b) (2) | 198,600 | 742,766 | ||||||
Mah Sing Group BHD (b) (4) | 1,075,000 | 788,656 | ||||||
Malaysian Resources Corp. BHD (a) (b) (6) | 1,271,000 | 998,229 |
(continued)
53
Ohio National Fund, Inc.
International Small Company Portfolio (Continued)
International Small Company Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 96.6% | Shares | Value | ||||||
Malaysia (continued) | ||||||||
YTL Corp. BHD (b) (10) | 374,200 | $ | 895,502 | |||||
4,381,399 | ||||||||
Japan – 4.2% | ||||||||
Atrium Co. Ltd. (b) (4) | 14,400 | 390,492 | ||||||
Exedy Corp. (a) (b) (1) | 30,000 | 816,555 | ||||||
Joint Corp. (b) (4) | 14,800 | 464,600 | ||||||
K.K. DaVinci Advisors (a) (b) (4) | 560 | 488,882 | ||||||
Mori Seiki Co. Ltd. (b) (6) | 19,700 | 610,934 | ||||||
Square Enix Co. Ltd. (b) (7) | 36,200 | 914,327 | ||||||
Tokuyama Corp. (b) (8) | 24,000 | 311,991 | ||||||
Tokyo Seimitsu Co. Ltd. (b) (7) | 8,300 | 320,758 | ||||||
4,318,539 | ||||||||
Netherlands – 3.7% | ||||||||
Arcadis NV (b) (6) | 8,176 | 692,894 | ||||||
Boskalis Westminster NV (b) (6) | 18,000 | 714,503 | ||||||
Fugro NV (b) (3) | 11,398 | 722,084 | ||||||
SBM Offshore NV (b) (3) | 15,204 | 579,878 | ||||||
USG People NV (b) (6) | 22,024 | 1,033,350 | ||||||
3,742,709 | ||||||||
Austria – 3.6% | ||||||||
Andritz AG (b) (6) | 13,992 | 921,466 | ||||||
Boehler-Uddeholm AG (b) (8) | 19,208 | 1,917,930 | ||||||
Sparkassen Immobilien AG (a) (b) (4) | 59,652 | 849,352 | ||||||
3,688,748 | ||||||||
Belgium – 3.1% | ||||||||
Bekaert NV (b) (6) | 3,936 | 577,246 | ||||||
EVS Broadcast Equipment SA (b) (7) | 12,895 | 1,058,584 | ||||||
Umicore (b) (8) | 7,028 | 1,523,811 | ||||||
3,159,641 | ||||||||
Finland – 1.6% | ||||||||
Konecranes Oyj (b) (6) | 15,950 | 666,544 | ||||||
Nokian Renkaat Oyj (b) (1) | 28,300 | 991,448 | ||||||
1,657,992 | ||||||||
Bermuda – 1.5% | ||||||||
Central European Media Enterprises Ltd. Class A (a) (1) | 3,800 | 370,804 | ||||||
SeaDrill Ltd. (a) (b) (3) | 16,800 | 360,406 | ||||||
Synear Food Holdings Ltd. (b) (2) | 686,000 | 811,632 | ||||||
1,542,842 | ||||||||
Ireland – 1.4% | ||||||||
IAWS Group plc (b) (2) | 23,084 | 483,992 | ||||||
Kingspan Group (b) (6) | 32,201 | 903,178 | ||||||
1,387,170 | ||||||||
Panama – 1.1% | ||||||||
Copa Holdings SA – Class A (6) | 17,400 | 1,169,976 | ||||||
Cayman Islands – 1.1% | ||||||||
Agile Property Holdings Ltd. (b) (4) | 844,000 | 1,105,334 | ||||||
KWG Property Holding Ltd. (a) (b) (4) | 18,000 | 16,759 | ||||||
1,122,093 | ||||||||
Norway – 1.0% | ||||||||
Fred Olsen Energy ASA (b) (3) | 11,550 | 599,764 | ||||||
ProSafe SE (b) (3) | 27,780 | 444,200 | ||||||
1,043,964 | ||||||||
Australia – 0.9% | ||||||||
Moly Mines Ltd. (a) (b) (8) | 80,000 | 264,351 | ||||||
Paladin Resources Ltd. (a) (b) (3) | 102,200 | 709,955 | ||||||
974,306 | ||||||||
Mexico – 0.9% | ||||||||
Alsea SAB de CV (b) (1) | 264,460 | 465,103 | ||||||
Consorcio ARA SAB de CV (b) (1) | 270,400 | 437,506 | ||||||
902,609 | ||||||||
Brazil – 0.8% | ||||||||
NET Servicos de Comunicao SA, Preference (a) (b) (1) | 49,709 | 820,753 | ||||||
Sweden – 0.8% | ||||||||
Getinge AB – Class B (b) (5) | 16,311 | 351,400 | ||||||
KappAhl Holdings AB (b) (1) | 40,900 | 459,535 | ||||||
810,935 | ||||||||
Hong Kong – 0.8% | ||||||||
Shun Tak Holdings (b) (4) | 524,000 | 771,210 | ||||||
Cyprus – 0.7% | ||||||||
Bank of Cyprus Ltd. (b) (4) | 44,342 | 747,079 | ||||||
Luxembourg – 0.7% | ||||||||
Orco Property Group (b) (4) | 4,306 | 680,454 | ||||||
Denmark – 0.5% | ||||||||
Novozymes A/S Class B (b) (8) | 4,475 | 518,661 | ||||||
Greece – 0.3% | ||||||||
Intralot SA (b) (1) | 9,805 | 313,796 | ||||||
Total Common Stocks (Cost $68,237,519) | $ | 98,855,891 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 3.5% | Amount | Value | ||||||
State Street Bank 2.500% 07/02/2007 | $ | 3,529,000 | $ | 3,529,000 | ||||
Repurchase price $3,529,735 | ||||||||
Collateralized by: | ||||||||
Federal National Mortgage Association 6.000%, 04/18/2036 Fair Value $3,600,494 | ||||||||
Total Repurchase Agreements (Cost $3,529,000) | $ | 3,529,000 | ||||||
Total Investments – 100.1% (Cost $71,766,519) (c) | $ | 102,384,891 | ||||||
Liabilities in Excess of Other Assets – (0.1%) | (57,320 | ) | ||||||
Net Assets – 100.0% | $ | 102,327,571 | ||||||
(continued)
54
Ohio National Fund, Inc.
International Small Company Portfolio (Continued)
International Small Company Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts |
Footnotes:
(a) | Non-income producing security. | |
(b) | Securities denominated in foreign currency and traded on a foreign exchange have been subjected to fair value procedures approved by the Fund Board of Directors. These securities represent $95,095,557 or 92.9% of the Portfolio’s net assets. As discussed in Note 2 of the Notes to Financial Statements, not all investments that are subjected to fair value procedures are valued at an estimate of fair value 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 a holding is below the 75% threshold. The Portfolio’s securities that are not subjected to fair value procedures are traded on exchanges whose local close times are consistent with the 4:00pm Eastern Time U.S. market close. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
Sector Classifications:
(1 | ) | Consumer Discretionary | 14.0% | ||||
(2 | ) | Consumer Staples | 3.0% | ||||
(3 | ) | Energy | 5.8% | ||||
(4 | ) | Financials | 9.9% | ||||
(5 | ) | Health Care | 5.1% | ||||
(6 | ) | Industrials | 36.0% | ||||
(7 | ) | Information Technology | 9.9% | ||||
(8 | ) | Materials | 11.3% | ||||
(9 | ) | Telecommunication Services | 0.7% | ||||
(10 | ) | Utilities | 0.9% | ||||
96.6% | |||||||
The accompanying notes are an integral part of these financial statements.
55
Ohio National Fund, Inc.
International Small Company Portfolio
International Small Company Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $71,766,519) | $ | 102,384,891 | ||
Cash | 929 | |||
Foreign currency (Cost $9,996) | 9,996 | |||
Receivable for securities sold | 895,567 | |||
Receivable for fund shares sold | 170,375 | |||
Dividends and accrued interest receivable | 49,703 | |||
Prepaid expenses and other assets | 275 | |||
Total assets | 103,511,736 | |||
Liabilities: | ||||
Payable for securities purchased | 1,069,687 | |||
Payable for fund shares redeemed | 5 | |||
Payable for investment management services | 81,684 | |||
Payable for compliance services | 229 | |||
Accrued accounting and custody fees | 22,688 | |||
Accrued professional fees | 5,843 | |||
Accrued printing and filing fees | 3,908 | |||
Other accrued expenses | 121 | |||
Total liabilities | 1,184,165 | |||
Net assets | $ | 102,327,571 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 3,734,155 | ||
Paid-in capital in excess of par value | 56,430,178 | |||
Accumulated net realized gain on investments | 11,462,864 | |||
Net unrealized appreciation/depreciation on: | ||||
Investments | 30,618,372 | |||
Foreign currency related transactions | (7,632 | ) | ||
Undistributed net investment income | 89,634 | |||
Net assets | $ | 102,327,571 | ||
Shares outstanding | 3,734,155 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 27.40 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 38,636 | ||
Dividends (net of $109,734 foreign taxes withheld) | 749,420 | |||
Total investment income | 788,056 | |||
Expenses: | ||||
Management fees | 433,402 | |||
Custodian fees | 77,469 | |||
Directors’ fees | 2,109 | |||
Professional fees | 6,792 | |||
Accounting fees | 42,419 | |||
Printing and filing fees | 4,422 | |||
Compliance expense | 2,358 | |||
Other | 588 | |||
Total expenses | 569,559 | |||
Net investment income | 218,497 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | 5,315,836 | |||
Foreign currency related transactions | (41,592 | ) | ||
Change in unrealized appreciation/depreciation on: | ||||
Investments | 8,803,572 | |||
Foreign currency related transactions | (7,346 | ) | ||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 14,070,470 | |||
Change in net assets from operations | $ | 14,288,967 | ||
The accompanying notes are an integral part of these financial statements.
56
Ohio National Fund, Inc.
International Small Company Portfolio
International Small Company Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | 218,497 | $ | (6,299 | ) | |||
Net realized gain (loss) on investments and foreign currency related transactions | 5,274,244 | 6,119,608 | ||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 8,796,226 | 8,515,534 | ||||||
Change in net assets from operations | 14,288,967 | 14,628,843 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (85,415 | ) | |||||
Distributions of net realized capital gains | — | (1,849,958 | ) | |||||
Total distributions to shareholders | — | (1,935,373 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 17,599,128 | 20,928,321 | ||||||
Received from dividends reinvested | — | 1,935,373 | ||||||
Paid for shares redeemed | (4,935,918 | ) | (10,090,319 | ) | ||||
Change in net assets from capital transactions | 12,663,210 | 12,773,375 | ||||||
Change in net assets | 26,952,177 | 25,466,845 | ||||||
Net Assets: | �� | |||||||
Beginning of period | 75,375,394 | 49,908,549 | ||||||
End of period | $ | 102,327,571 | $ | 75,375,394 | ||||
Undistributed net investment income (Accumulated net investment loss) | $ | 89,634 | $ | (87,271 | ) | |||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 23.23 | $ | 18.87 | $ | 14.69 | $ | 12.27 | $ | 7.99 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.06 | (0.01 | ) | 0.03 | 0.02 | 0.01 | ||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 4.11 | 4.98 | 4.23 | 2.54 | 4.29 | |||||||||||||||
Total from operations | 4.17 | 4.97 | 4.26 | 2.56 | 4.30 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.03 | ) | (0.08 | ) | (0.14 | ) | (0.02 | ) | |||||||||||
Distributions of net realized capital gains | — | (0.58 | ) | — | — | — | ||||||||||||||
Total distributions | — | (0.61 | ) | (0.08 | ) | (0.14 | ) | (0.02 | ) | |||||||||||
Net asset value, end of period | $ | 27.40 | $ | 23.23 | $ | 18.87 | $ | 14.69 | $ | 12.27 | ||||||||||
Total return | 17.95 | %(b) | 26.35 | % | 28.99 | % | 20.87 | % | 53.91 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 102.3 | $ | 75.4 | $ | 49.9 | $ | 30.4 | $ | 24.7 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.31 | %(a) | 1.34 | % | 1.47 | % | 1.47 | % | 1.59 | % | ||||||||||
Net investment income (loss) | 0.50 | %(a) | (0.01 | )% | 0.36 | % | 0.16 | % | 0.10 | % | ||||||||||
Portfolio turnover rate | 23 | % | 69 | % | 85 | % | 82 | % | 87 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
57
Ohio National Fund, Inc.
Aggressive Growth Portfolio
Aggressive Growth Portfolio
Objective
The Aggressive Growth Portfolio seeks long-term capital growth by investing primarily in equity securities with attractive growth opportunities.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 22.88% | |||
Five year | 10.74% | |||
Ten year | −1.61% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Aggressive Growth Portfolio returned 13.59% versus 6.96% for the current benchmark, the S&P 500 Index.
Strong stock selection across a number of sectors drove Portfolio outperformance during the period, with holdings in the Information Technology, Health Care, Materials and Consumer Discretionary sectors posting strong returns. Select names within Financials, as well as an under-weight position to the group as a whole, also bolstered relative results. In terms of detractors, a zero weight to Energy weighed on relative performance during the period, as did certain underperforming holdings within the Industrials sector.(1)
Within the Health Care sector, the top contributor to outperformance during the period was Dade Behring Holdings, Inc. This leading player in the clinical diagnostics industry is in the early stages of rolling out a new high-volume integrated chemistry and immunochemistry analyzer. We believe the Dimension Vista analyzer should enable large hospitals to deliver faster, more accurate test results with less labor than current alternatives. In our opinion, the market underestimated the impact of the Dimension Vista, and at the same time, did not give Dade Behring Holdings, Inc. credit for its potential ability to execute in the small- to mid-size hospital market. We believe the clinical diagnostics industry has great potential for growth over the long term, especially as initial pilot results from larger hospital tests look positive.(1)
Within the Materials sector, another top-five contributor during the period was Potash Corp. of Saskatchewan, Inc. As the world’s largest owner of potash, an essential fertilizer ingredient, Potash Corp. of Saskatchewan, Inc. continued to benefit from higher fertilizer prices. We believe supply constraints as well as improving fundamentals and pricing power are likely to continue to transform the Canadian company into a long-term secular growth story.(1)
Within the Industrials group, The Corporate Executive Board Co. was the main detractor from performance during the six-month period. The company, which provides a number of corporate strategy resources and best-practices research to executives from public and private organizations, reported a disappointing quarter following a period of high growth. As the potential for slowing in the number of bookings in this growth company could lead to slowing revenue, we are monitoring developments at The Corporate Executive Board Co. closely.(1)
While Financials holdings in the aggregate contributed to performance during the period, another key detractor was specialized commercial finance company CapitalSource, Inc. The company suffered from concerns of subprime mortgage problems spilling over into other parts of the economy, and was also hurt by the selloff in Real Estate Investment Trusts (“REITs”)—specifically mortgage- oriented REITs. While real estate lending is a small portion of CapitalSource, Inc.’s business, the company sold off in sympathy with most other lending businesses. We believe operating in the high margin, niche, middle market commercial lending business should positively impact results going forward.(1)
Going forward, we remain cautiously optimistic on the market and mindful of macroeconomic conditions. Above all, we remain committed to our stock selection process, relying on hands-on research, rigorous financial analysis, and close monitoring of valuation and risk as we work to identify companies that are in the early stages of transformational growth.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented herein includes the effects of reinvested dividends.
(continued)
58
Ohio National Fund, Inc.
Aggressive Growth Portfolio (Continued)
Aggressive Growth Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 98.1 | ||
Short-Term Notes | 1.5 | ||
Repurchase Agreements and | |||
Other Net Assets | 0.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Dade Behring Holdings, Inc. | 9.0 | |||||
2. | ABB Ltd. | 6.2 | |||||
3. | Potash Corp. of Saskatchewan, Inc. | 4.1 | |||||
4. | Celgene Corp. | 3.7 | |||||
5. | Sony Corp. | 3.5 | |||||
6. | America Movil S.A.B. de C.V. – ADR | 3.4 | |||||
7. | Nordstrom, Inc. | 3.4 | |||||
8. | Davide Campari-Milano SpA | 3.4 | |||||
9. | Apple Inc. | 3.3 | |||||
10. | Trimble Navigation Ltd. | 3.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Health Care | 19.5 | ||
Information Technology | 19.2 | ||
Financials | 15.0 | ||
Industrials | 13.2 | ||
Consumer Discretionary | 11.4 | ||
Telecommunication Services | 10.8 | ||
Consumer Staples | 4.9 | ||
Materials | 4.1 | ||
98.1 | |||
59
Ohio National Fund, Inc.
Aggressive Growth Portfolio
Aggressive Growth Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 11.4% | ||||||||
Hotels, Restaurants & Leisure – 1.4% | ||||||||
Galaxy Entertainment Group Ltd. (a) (c) | 63,000 | $ | 61,403 | |||||
Scientific Games Corp. Class A (a) | 6,110 | 213,545 | ||||||
274,948 | ||||||||
Household Durables – 3.5% | ||||||||
Sony Corp. (c) | 13,615 | 698,882 | ||||||
Internet & Catalog Retail – 1.2% | ||||||||
Submarino SA – GDR (b) | 2,900 | 241,667 | ||||||
Media – 1.9% | ||||||||
Lamar Advertising Co. Class A | 3,035 | 190,477 | ||||||
News Corp. Class A | 8,740 | 185,375 | ||||||
375,852 | ||||||||
Multiline Retail – 3.4% | ||||||||
Nordstrom, Inc. | 13,170 | 673,250 | ||||||
TOTAL CONSUMER DISCRETIONARY | 2,264,599 | |||||||
CONSUMER STAPLES – 4.9% | ||||||||
Beverages – 3.3% | ||||||||
Davide Campari-Milano SpA (a) (c) | 63,680 | 666,718 | ||||||
Household Products – 1.6% | ||||||||
Reckitt Benckiser PLC (c) | 5,677 | 310,791 | ||||||
TOTAL CONSUMER STAPLES | 977,509 | |||||||
FINANCIALS – 15.0% | ||||||||
Capital Markets – 3.4% | ||||||||
The Goldman Sachs Group, Inc. | 1,505 | 326,209 | ||||||
UBS AG (c) | 5,835 | 348,958 | ||||||
675,167 | ||||||||
Diversified Financial Services – 3.1% | ||||||||
Chicago Mercantile Exchange Holdings, Inc. | 695 | 371,381 | ||||||
MarketAxess Holdings, Inc. (a) | 13,675 | 246,013 | ||||||
617,394 | ||||||||
Insurance – 5.6% | ||||||||
Assurant, Inc. | 9,545 | 562,391 | ||||||
National Financial Partners Corp. | 11,625 | 538,354 | ||||||
1,100,745 | ||||||||
Real Estate Investment Trusts – 2.9% | ||||||||
CapitalSource, Inc. | 23,690 | 582,537 | ||||||
TOTAL FINANCIALS | 2,975,843 | |||||||
HEALTH CARE – 19.5% | ||||||||
Biotechnology – 3.7% | ||||||||
Celgene Corp. (a) | 12,775 | 732,391 | ||||||
Health Care Equipment & Supplies – 13.1% | ||||||||
Dade Behring Holdings, Inc. | 33,490 | 1,778,989 | ||||||
Intuitive Surgical, Inc. (a) | 3,980 | 552,304 | ||||||
Varian Medical Systems, Inc. (a) | 5,935 | 252,297 | ||||||
2,583,590 | ||||||||
Pharmaceuticals – 2.7% | ||||||||
Roche Holding AG (c) | 3,052 | 540,773 | ||||||
TOTAL HEALTH CARE | 3,856,754 | |||||||
INDUSTRIALS – 13.2% | ||||||||
Air Freight & Logistics – 1.7% | ||||||||
FedEx Corp. | 3,130 | 347,336 | ||||||
Commercial Services & Supplies – 5.3% | ||||||||
The Corporate Executive Board Co. | 4,435 | 287,876 | ||||||
CoStar Group, Inc. (a) | 5,120 | 270,746 | ||||||
Mobile Mini, Inc. (a) | 13,045 | 380,914 | ||||||
Park 24 Co. Ltd. (c) | 10,200 | 102,401 | ||||||
1,041,937 | ||||||||
Electrical Equipment – 6.2% | ||||||||
ABB Ltd. (c) | 54,438 | 1,227,456 | ||||||
TOTAL INDUSTRIALS | 2,616,729 | |||||||
INFORMATION TECHNOLOGY – 19.2% | ||||||||
Communications Equipment – 4.2% | ||||||||
Corning, Inc. (a) | 18,570 | 474,463 | ||||||
QUALCOMM, Inc. | 8,220 | 356,666 | ||||||
831,129 | ||||||||
Computers & Peripherals – 3.3% | ||||||||
Apple Inc. (a) | 5,385 | 657,186 | ||||||
Electronic Equipment & Instruments – 3.2% | ||||||||
Trimble Navigation Ltd. (a) | 19,480 | 627,256 | ||||||
Internet Software & Services – 5.6% | ||||||||
Equinix, Inc. (a) | 3,755 | 343,470 | ||||||
VistaPrint Limited (a) | 6,465 | 247,286 | ||||||
Yahoo!, Inc. (a) | 19,475 | 528,357 | ||||||
1,119,113 | ||||||||
Semiconductor & Semiconductor Equipment – 1.7% | ||||||||
Cypress Semiconductor Corp. (a) | 14,560 | 339,102 | ||||||
Software – 1.2% | ||||||||
NAVTEQ Corp. (a) | 5,415 | 229,271 | ||||||
TOTAL INFORMATION TECHNOLOGY | 3,803,057 | |||||||
MATERIALS – 4.1% | ||||||||
Chemicals – 4.1% | ||||||||
Potash Corp. of Saskatchewan, Inc. | 10,425 | 812,837 | ||||||
TOTAL MATERIALS | 812,837 | |||||||
TELECOMMUNICATION SERVICES – 10.8% | ||||||||
Diversified Telecommunication Services – 3.6% | ||||||||
NeuStar, Inc. Class A (a) | 11,670 | 338,080 | ||||||
Time Warner Telecom, Inc. (a) | 17,965 | 361,096 | ||||||
699,176 | ||||||||
Wireless Telecommunication Services – 7.2% | ||||||||
America Movil S.A.B. de C.V. – ADR | 10,900 | 675,037 | ||||||
Cellcom Israel Ltd. (a) | 6,880 | 182,114 | ||||||
Crown Castle International Corp. (a) | 15,855 | 575,061 | ||||||
1,432,212 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 2,131,388 | |||||||
Total Common Stocks (Cost $15,005,607) | $ | 19,438,716 | ||||||
(continued)
60
Ohio National Fund, Inc.
Aggressive Growth Portfolio (Continued)
Aggressive Growth Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Short-Term Notes – 1.5% | Amount | Value | ||||||
Rabobank Nederland 5.320%, 07/02/2007 | $ | 300,000 | $ | 299,955 | ||||
Total Short-Term Notes (Cost $299,955) | $ | 299,955 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 0.4% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 70,000 | $ | 70,000 | ||||
Repurchase price $70,024 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $71,401 | ||||||||
Total Repurchase Agreements (Cost $70,000) | $ | 70,000 | ||||||
Total Investments – 100.0% (Cost $15,375,562) (d) | $ | 19,808,671 | ||||||
Other Assets in Excess of Liabilities – 0.0% | 4,736 | |||||||
Net Assets – 100.0% | $ | 19,813,407 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
GDR: Global Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2007, the value of this security totaled $241,667 or 1.2% of the Portfolio’s net assets. This security was deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | Security denominated in foreign currency and traded on a foreign exchange has been subjected to fair value procedures approved by the Fund Board of Directors. These securities represent $3,957,382 or 20.0% of the Portfolio’s net assets. As discussed in Note 2 of the Notes to Financial Statements, not all investments are valued at an estimate of fair value 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 a holding is below the 75% threshold. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
61
Ohio National Fund, Inc.
Aggressive Growth Portfolio
Aggressive Growth Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $15,375,562) | $ | 19,808,671 | ||
Cash | 890 | |||
Receivable for fund shares sold | 17,158 | |||
Dividends and accrued interest receivable | 10,790 | |||
Prepaid expenses and other assets | 72 | |||
Total assets | 19,837,581 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 1,557 | |||
Payable for investment management services | 13,179 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 555 | |||
Accrued professional fees | 5,416 | |||
Accrued accounting fees | 2,100 | |||
Accrued printing and filing fees | 959 | |||
Other accrued expenses | 30 | |||
Total liabilities | 24,174 | |||
Net assets | $ | 19,813,407 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,443,906 | ||
Paid-in capital in excess of par value | 26,058,061 | |||
Accumulated net realized loss on investments | (13,208,495 | ) | ||
Net unrealized appreciation on investments | 4,433,110 | |||
Undistributed net investment income | 86,825 | |||
Net assets | $ | 19,813,407 | ||
Shares outstanding | 2,443,906 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 8.11 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 16,937 | ||
Dividends (net of withholding tax of $6,802) | 124,197 | |||
Total investment income | 141,134 | |||
Expenses: | ||||
Management fees | 74,627 | |||
Custodian fees | 1,336 | |||
Directors’ fees | 452 | |||
Professional fees | 5,763 | |||
Accounting fees | 6,095 | |||
Printing and filing fees | 966 | |||
Compliance expense | 2,358 | |||
Other | 152 | |||
Total expenses | 91,749 | |||
Net investment income | 49,385 | |||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on investments | 78,474 | |||
Change in unrealized appreciation/depreciation on investments | 2,249,547 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 2,328,021 | |||
Change in net assets from operations | $ | 2,377,406 | ||
The accompanying notes are an integral part of these financial statements.
62
Ohio National Fund, Inc.
Aggressive Growth Portfolio
Aggressive Growth Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 49,385 | $ | 37,353 | ||||
Net realized gain (loss) on investments and foreign currency related transactions | 78,474 | 1,543,354 | ||||||
Change in unrealized appreciation/depreciation on investments | 2,249,547 | (564,090 | ) | |||||
Change in net assets from operations | 2,377,406 | 1,016,617 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 1,882,867 | 3,701,816 | ||||||
Paid for shares redeemed | (2,217,650 | ) | (3,527,661 | ) | ||||
Change in net assets from capital transactions | (334,783 | ) | 174,155 | |||||
Change in net assets | 2,042,623 | 1,190,772 | ||||||
Net Assets: | ||||||||
Beginning of period | 17,770,784 | 16,580,012 | ||||||
End of period | $ | 19,813,407 | $ | 17,770,784 | ||||
Undistributed net investment income | $ | 86,825 | $ | 37,440 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, | ||||||||||||||||||||
2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 7.14 | $ | 6.75 | $ | 5.96 | $ | 5.47 | $ | 4.16 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | 0.02 | 0.02 | (0.02 | ) | — | (0.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 0.95 | 0.37 | 0.81 | 0.49 | 1.32 | |||||||||||||||
Total from operations | 0.97 | 0.39 | 0.79 | 0.49 | 1.31 | |||||||||||||||
Net asset value, end of period | $ | 8.11 | $ | 7.14 | $ | 6.75 | $ | 5.96 | $ | 5.47 | ||||||||||
Total return | 13.59 | %(b) | 5.78 | % | 13.28 | % | 8.96 | % | 31.49 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 19.8 | $ | 17.8 | $ | 16.6 | $ | 16.1 | $ | 16.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.98 | %(a) | 1.06 | % | 1.03 | % | 0.95 | % | 1.04 | % | ||||||||||
Net investment income (loss) | 0.52 | %(a) | 0.22 | % | (0.35 | )% | 0.03 | % | (0.12 | )% | ||||||||||
Portfolio turnover rate | 11 | % | 105 | % | 139 | % | 87 | % | 94 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
63
Ohio National Fund, Inc.
Small Cap Growth Portfolio
Small Cap Growth Portfolio
Objective
The Small Cap Growth Portfolio seeks long-term capital appreciation by investing in stocks of small companies with strong business franchises and competitive positions that generate rapidly rising earnings or profits.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 33.94% | |||
Five year | 16.41% | |||
Ten year | 6.63% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Small Cap Growth Portfolio returned 14.72% versus 9.33% for the current benchmark, the Russell 2000 Growth Index.
Strong stock selection across a number of sectors was the main driver of Portfolio outperformance. Individual holdings within the Financials, Information Technology and Consumer Discretionary sectors boosted relative performance during the period. In terms of detractors, select names within the Industrials sector were the main laggards. Certain Energy holdings, coupled with an under-weight position, also weighed on performance, as did a zero weight to Materials.(1)
While the Industrials sector in the aggregate detracted from performance, Huron Consulting Group, Inc. was the top contributor. During the period, Huron Consulting Group, Inc., which offers financial and operations consulting services, posted strong results and offered stronger than expected guidance as many analysts had underestimated the tremendous strength of the underlying core business. The company continued to grow rapidly as their consulting services have been in demand and we believe a strong management team warrants sustained investment in the company.(1)
Strong stock selection within the Financials sector was the biggest driver of outperformance during the six-month period. Within Financials, growth holding International Securities Exchange, Inc. was another top-five contributor to the Portfolio. The company benefited from its announcement that it would be acquired by Deutsche Boerse, creating the largest trans-Atlantic derivatives market. Our investment thesis prior to the take out centered on the company’s attractive risk-reward profile and an increasingly large addressable market for capital markets trading business.(1)
Select names within the Health Care sector weighed on performance during the period, including the biggest detractor, Radiation Therapy Services, Inc. The company provides a full spectrum of radiation therapy services to cancer patients. While Radiation Therapy Services, Inc. underperformed during the six-month period after posting lower-than-expected results during the second quarter, the primary catalyst for the downturn appears to have been concern about government reimbursement rates for Radiation Therapy Services, Inc.’s services. We believe the concern to be overblown and remain confident in the large addressable market for radiation therapy services and that the company will continue to add market share through its free-standing patient centers.(1)
While holdings within Consumer Discretionary boosted relative performance in the aggregate, Century Casinos, Inc. was another major detractor during the period. The company, which operates a number of casinos around the world including the Rocky Mountain region of the U.S. as well as South Africa and Edmonton, suffered from the severe weather during the winter months in the Rocky Mountains as patrons were unable to reach the casinos. However, we have added to the position, as we still believe that the company, with most pre-opening expenses behind it, offers opportunity for revenue growth across its locations.(1)
Looking ahead, as we remain optimistic about the small-cap universe, we’ll continue to focus on investing in companies we believe have solid growth potential and represent opportunities for positive shareholder returns.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Growth Index 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)
64
Ohio National Fund, Inc.
Small Cap Growth Portfolio (Continued)
Small Cap Growth Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 99.9 | ||
Short-Term Notes | 0.8 | ||
Repurchase Agreements | |||
Less Net Liabilities | (0.7) | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Ultimate Software Group, Inc. | 2.9 | |||||
2. | Equinix, Inc. | 2.6 | |||||
3. | VistaPrint Limited | 2.6 | |||||
4. | Jarden Corp. | 2.5 | |||||
5. | CoStar Group, Inc. | 2.2 | |||||
6. | Huron Consulting Group, Inc. | 2.0 | |||||
7. | J. Crew Group, Inc. | 1.9 | |||||
8. | Lions Gate Entertainment Corp. | 1.9 | |||||
9. | Orient-Express Hotels Ltd. Class A | 1.9 | |||||
10. | Infocrossing, 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 | 32.2 | ||
Consumer Discretionary | 22.9 | ||
Industrials | 17.9 | ||
Health Care | 15.8 | ||
Financials | 6.7 | ||
Energy | 3.2 | ||
Telecommunication Services | 1.2 | ||
99.9 | |||
65
Ohio National Fund, Inc.
Small Cap Growth Portfolio
Small Cap Growth Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.9% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 22.9% | ||||||||
Auto Components – 0.5% | ||||||||
Motorcar Parts of America Inc. (a) | 9,495 | $ | 125,809 | |||||
Diversified Consumer Services – 2.5% | ||||||||
Anhangeura Educacional Participacoes SA (a) (b) | 9,500 | 132,970 | ||||||
Capella Education Company (a) | 725 | 33,372 | ||||||
Jackson Hewitt Tax Service, Inc. | 6,505 | 182,856 | ||||||
Sotheby’s | 5,665 | 260,703 | ||||||
609,901 | ||||||||
Hotels, Restaurants & Leisure – 4.8% | ||||||||
Bally Technologies, Inc. (a) | 4,745 | 125,363 | ||||||
Century Casinos, Inc. (a) | 24,305 | 218,502 | ||||||
Great Canadian Gaming Corp. (a) (b) | 13,625 | 165,764 | ||||||
Kingdom Hotel Investments – GDR (a) | 16,350 | 146,862 | ||||||
Orient-Express Hotels Ltd. Class A | 8,570 | 457,638 | ||||||
PokerTek, Inc. (Private Placement) (a) (c) | 7,139 | 76,094 | ||||||
1,190,223 | ||||||||
Household Durables – 2.5% | ||||||||
Jarden Corp. (a) | 14,120 | 607,301 | ||||||
Internet & Catalog Retail – 2.7% | ||||||||
Baby Universe Inc. (Private Placement) (a) (c) (d) | 11,790 | 81,793 | ||||||
GSI Commerce, Inc. (a) | 11,345 | 257,645 | ||||||
ValueVision Media, Inc. (a) | 28,085 | 317,922 | ||||||
657,360 | ||||||||
Leisure Equipment & Products – 2.4% | ||||||||
Polaris Industries, Inc. | 3,995 | 216,369 | ||||||
Smith & Wesson Holding Corp. (a) | 8,630 | 144,553 | ||||||
Sturm, Ruger & Co, Inc. (a) | 15,100 | 234,352 | ||||||
595,274 | ||||||||
Media – 4.9% | ||||||||
comScore, Inc. (a) | 1,275 | 29,516 | ||||||
Genius Products, Inc. (a) | 93,475 | 261,730 | ||||||
Lions Gate Entertainment Corp. (a) | 41,535 | 458,131 | ||||||
Marvel Entertainment, Inc. (a) | 8,220 | 209,446 | ||||||
National CineMedia, Inc. (a) | 9,205 | 257,832 | ||||||
1,216,655 | ||||||||
Specialty Retail – 2.6% | ||||||||
J. Crew Group, Inc. (a) | 8,495 | 459,494 | ||||||
Zumiez, Inc. (a) | 4,615 | 174,355 | ||||||
633,849 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 5,636,372 | |||||||
ENERGY – 3.2% | ||||||||
Energy Equipment & Services – 0.4% | ||||||||
Basic Energy Services, Inc. (a) | 3,270 | 83,614 | ||||||
Oil, Gas & Consumable Fuels – 2.8% | ||||||||
Carrizo Oil & Gas, Inc. (a) | 4,145 | 171,893 | ||||||
Gasco Energy, Inc. (a) | 34,205 | 81,066 | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
World Fuel Services Corp. | 10,335 | 434,690 | ||||||
687,649 | ||||||||
TOTAL ENERGY | 771,263 | |||||||
FINANCIALS – 6.7% | ||||||||
Capital Markets – 2.6% | ||||||||
Evercore Partners, Inc. | 5,465 | 162,693 | ||||||
FCStone Group, Inc. (a) | 1,425 | 81,667 | ||||||
Hercules Technology Growth Capital, Inc. | 8,230 | 111,187 | ||||||
HFF, Inc. (a) | 8,845 | 137,186 | ||||||
optionsXpress Holdings, Inc. | 5,890 | 151,138 | ||||||
643,871 | ||||||||
Consumer Finance – 0.8% | ||||||||
Nelnet, Inc. | 8,065 | 197,109 | ||||||
Diversified Financial Services – 0.8% | ||||||||
MarketAxess Holdings, Inc. (a) | 11,070 | 199,149 | ||||||
Insurance – 0.2% | ||||||||
Greenlight Capital Re Ltd. (a) | 1,480 | 33,344 | ||||||
Real Estate Investment Trusts – 0.3% | ||||||||
PDG Realty SA (a) (b) | 7,355 | 80,070 | ||||||
Real Estate Management & Development – 2.0% | ||||||||
Iguatemi Empresa de Shopping Centers SA (a) (b) | 3,040 | 55,615 | ||||||
LPS Brasil – Consultoria de Imoveis SA (a) (b) | 28,945 | 375,880 | ||||||
Rodobens Negocious Imobiliarious SA (a) (b) | 4,980 | 67,768 | ||||||
499,263 | ||||||||
TOTAL FINANCIALS | 1,652,806 | |||||||
HEALTH CARE – 15.8% | ||||||||
Biotechnology – 0.8% | ||||||||
Metabolix, Inc. (a) | 3,100 | 77,593 | ||||||
United Therapeutics Corp. (a) | 1,990 | 126,883 | ||||||
204,476 | ||||||||
Health Care Equipment & Supplies – 2.2% | ||||||||
Accuray, Inc. (a) | 2,485 | 55,117 | ||||||
I-Flow Corp. (a) | 15,010 | 251,267 | ||||||
Sirona Dental Systems, Inc. (a) | 4,765 | 180,260 | ||||||
TomoTherapy, Inc. (a) | 2,445 | 53,595 | ||||||
540,239 | ||||||||
Health Care Providers & Services – 10.0% | ||||||||
Animal Health International Inc. (a) | 4,990 | 72,305 | ||||||
Bio-Reference Labs, Inc. (a) | 2,635 | 72,067 | ||||||
Dialysis Corporation of America (a) | 650 | 6,727 | ||||||
Health Grades, Inc. (a) | 22,635 | 147,354 | ||||||
HealthExtras, Inc. (a) | 7,945 | 235,013 | ||||||
Healthways, Inc. (a) | 4,825 | 228,560 | ||||||
Hythiam, Inc. (Private Placement Issue) (a) (c) | 9,521 | 74,121 | ||||||
Hythiam, Inc. (a) | 22,080 | 190,992 | ||||||
LHC Group, Inc. (a) | 8,040 | 210,648 |
(continued)
66
Ohio National Fund, Inc.
Small Cap Growth Portfolio (Continued)
Small Cap Growth Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.9% | Shares | Value | ||||||
Health Care Providers & Services (continued) | ||||||||
MWI Veterinary Supply, Inc. (a) | 3,755 | $ | 149,787 | |||||
Pediatrix Medical Group, Inc. (a) | 2,750 | 151,663 | ||||||
The Providence Service Corp. (a) | 3,360 | 89,779 | ||||||
PSS World Medical, Inc. (a) | 13,235 | 241,142 | ||||||
Psychiatric Solutions, Inc. (a) | 3,085 | 111,862 | ||||||
Radiation Therapy Services, Inc. (a) | 12,070 | 317,924 | ||||||
RadNet, Inc. (a) | 4,100 | 39,073 | ||||||
Skilled Healthcare Group, Inc. (a) | 7,500 | 116,325 | ||||||
2,455,342 | ||||||||
Health Care Technology – 2.4% | ||||||||
Allscripts Healthcare Solutions, Inc. (a) | 2,730 | 69,560 | ||||||
Omnicell, Inc. (a) | 17,580 | 365,313 | ||||||
Systems Xcellence, Inc. (a) | 5,110 | 147,015 | ||||||
581,888 | ||||||||
Life Sciences Tools & Services – 0.4% | ||||||||
Ventana Medical Systems Inc. (a) | 1,405 | 108,564 | ||||||
TOTAL HEALTH CARE | 3,890,509 | |||||||
INDUSTRIALS – 17.9% | ||||||||
Aerospace & Defense – 1.1% | ||||||||
Ceradyne, Inc. (a) | 3,045 | 225,208 | ||||||
Stanley, Inc. (a) | 2,465 | 43,434 | ||||||
268,642 | ||||||||
Air Freight & Logistics – 0.2% | ||||||||
Forward Air Corp. | 1,370 | 46,703 | ||||||
Commercial Services & Supplies – 13.4% | ||||||||
American Reprographics Co. (a) | 9,550 | 294,044 | ||||||
Barrett Business Services, Inc. | 6,110 | 157,821 | ||||||
CoStar Group, Inc. (a) | 10,401 | 550,005 | ||||||
The GEO Group Inc. (a) | 10,520 | 306,132 | ||||||
Huron Consulting Group, Inc. (a) | 6,855 | 500,484 | ||||||
IHS, Inc. (a) | 7,755 | 356,730 | ||||||
Innerworkings, Inc. (a) | 23,990 | 384,320 | ||||||
Intermap Technologies Ltd. (a) (b) | 33,883 | 192,436 | ||||||
Kenexa Corp. (a) | 6,240 | 235,310 | ||||||
On Assignment, Inc. (a) | 9,715 | 104,145 | ||||||
Resources Connection, Inc. (a) | 4,280 | 142,010 | ||||||
UTEK Corp. | 5,240 | 74,932 | ||||||
3,298,369 | ||||||||
Construction & Engineering – 0.8% | ||||||||
Flint Energy Services Ltd. (a) (b) | 7,510 | 200,925 | ||||||
Electrical Equipment – 0.0% | ||||||||
China High Speed Transmission Equipment Group Co., Ltd. (a) (b) | 5,000 | 4,573 | ||||||
Road & Rail – 0.4% | ||||||||
Heartland Express, Inc. | 6,420 | 104,646 | ||||||
Trading Companies & Distributors – 2.0% | ||||||||
Nuco2, Inc. (a) | 11,635 | 298,670 | ||||||
TransDigm Group, Inc. (a) | 4,475 | 181,059 | ||||||
479,729 | ||||||||
TOTAL INDUSTRIALS | 4,403,587 | |||||||
INFORMATION TECHNOLOGY – 32.2% | ||||||||
Communications Equipment – 2.7% | ||||||||
Acme Packet, Inc. (a) | 4,610 | 52,969 | ||||||
Infinera Corporation (a) | 6,050 | 150,766 | ||||||
Riverbed Technology, Inc. (a) | 9,250 | 405,335 | ||||||
Starent Networks Corp. (a) | 4,135 | 60,785 | ||||||
669,855 | ||||||||
Computers & Peripherals – 0.3% | ||||||||
Data Domain, Inc. (a) | 3,190 | 73,370 | ||||||
Electronic Equipment & Instruments – 3.2% | ||||||||
DTS, Inc. (a) | 4,015 | 87,407 | ||||||
IPG Photonics Corp. (a) | 9,830 | 196,108 | ||||||
L-1 Identity Solutions, Inc. (a) | 9,685 | 198,058 | ||||||
Trimble Navigation Ltd. (a) | 9,540 | 307,188 | ||||||
788,761 | ||||||||
Internet Software & Services – 15.0% | ||||||||
Bankrate, Inc. (a) | 6,180 | 296,146 | ||||||
Chordiant Software, Inc. (a) | 5,814 | 91,047 | ||||||
DealerTrack Holdings, Inc. (a) | 6,790 | 250,144 | ||||||
DivX, Inc. (a) | 2,605 | 39,075 | ||||||
Equinix, Inc. (a) | 7,080 | 647,608 | ||||||
Internap Network Services Corp. (a) | 1,685 | 24,298 | ||||||
Limelight Networks, Inc. (a) | 5,160 | 102,065 | ||||||
Liquidity Services, Inc. (a) | 3,275 | 61,504 | ||||||
LivePerson, Inc. (a) | 44,595 | 238,583 | ||||||
NaviSite, Inc. (a) | 47,260 | 359,176 | ||||||
Omniture, Inc. (a) | 17,240 | 395,141 | ||||||
SAVVIS, Inc. (a) | 1,850 | 91,593 | ||||||
Switch & Data Facilities Co. (a) | 5,715 | 109,671 | ||||||
TechTarget, Inc. (a) | 5,970 | 76,714 | ||||||
Think Partnership, Inc. (a) | 32,375 | 96,801 | ||||||
ValueClick, Inc. (a) | 2,910 | 85,729 | ||||||
VistaPrint Limited (a) | 16,690 | 638,392 | ||||||
Workstream, Inc. (a) | 66,915 | 70,261 | ||||||
3,673,948 | ||||||||
IT Services – 2.6% | ||||||||
EnerNOC, Inc. (a) | 955 | 36,414 | ||||||
Euronet Worldwide, Inc. (a) | 3,805 | 110,954 | ||||||
Infocrossing, Inc. (a) | 24,540 | 453,254 | ||||||
Wright Express Corp. (a) | 1,305 | 44,722 | ||||||
645,344 | ||||||||
Semiconductor & Semiconductor Equipment – 2.7% | ||||||||
AuthenTec, Inc. (a) | 3,400 | 35,190 | ||||||
Hittite Microwave Corp. (a) | 1,280 | 54,694 | ||||||
Microsemi Corp. (a) | 13,540 | 324,283 | ||||||
SiRF Technology Holdings, Inc. (a) | 10,525 | 218,289 | ||||||
Spreadtrum Communications, Inc. – ADR (a) | 2,300 | 33,419 | ||||||
665,875 | ||||||||
Software – 5.7% | ||||||||
Quest Software, Inc. (a) | 9,720 | 157,367 | ||||||
Salary.com, Inc. (a) | 3,385 | 40,620 | ||||||
Solera Holdings, Inc. (a) | 14,980 | 290,312 |
(continued)
67
Ohio National Fund, Inc.
Small Cap Growth Portfolio (Continued)
Small Cap Growth Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.9% | Shares | Value | ||||||
Software (continued) | ||||||||
Synchronoss Technologies, Inc. (a) | 5,985 | $ | 175,600 | |||||
Ultimate Software Group, Inc. (a) | 25,025 | 723,973 | ||||||
1,387,872 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 7,905,025 | |||||||
TELECOMMUNICATION SERVICES – 1.2% | ||||||||
Diversified Telecommunication Services – 1.2% | ||||||||
NeuStar, Inc. Class A (a) | 9,170 | 265,655 | ||||||
UCN, Inc. (a) | 6,840 | 29,412 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 295,067 | |||||||
Total Common Stocks (Cost $18,890,551) | $ | 24,554,629 | ||||||
Fair | ||||||||
Warrants – 0.0% | Value | |||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||
Hotels, Restaurants & Leisure – 0.0% | ||||||||
PokerTek, Inc. (c) | ||||||||
Expiration: April 2012, Exercise Price: $10.80, 2,172 underlying shares | $ | 3,779 | ||||||
Total Warrants (Cost $10,537) | $ | 3,779 | ||||||
Fair | ||||||||
Purchased Options – 0.0% | Value | |||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||
Internet Retail – 0.0% | ||||||||
Baby Universe Inc. (c) (d) | ||||||||
Expiration: October 2009, Exercise Price: $6.40, 1,203 underlying shares | $ | 2,571 | ||||||
Total Purchased Options (Cost $3,188) | $ | 2,571 | ||||||
Face | Fair | |||||||
Short-Term Notes – 0.8% | Amount | Value | ||||||
Rabobank Nederland 5.320%, 07/02/2007 | $ | 200,000 | $ | 199,971 | ||||
Total Short-Term Notes (Cost $199,971) | $ | 199,971 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 0.1% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 16,000 | $ | 16,000 | ||||
Repurchase price $16,005 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $16,320 | ||||||||
Total Repurchase Agreements (Cost $16,000) | $ | 16,000 | ||||||
Total Investments – 100.8% (Cost $19,120,247) (e) | $ | 24,776,950 | ||||||
Liabilities in Excess of Other Assets – (0.8)% | (185,092 | ) | ||||||
Net Assets – 100.0% | $ | 24,591,858 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
GDR: Global Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security denominated in foreign currency and traded on a foreign exchange has been subjected to fair value procedures approved by the Fund Board of Directors. These securities represent $1,276,001 or 5.2% of the Portfolio’s net assets. As discussed in Note 2 of the Notes to Financial Statements, not all investments are valued at an estimate of fair value 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 a holding is below the 75% threshold. | |
(c) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. A market quotation for these investments was not readily available at June 30, 2007. As discussed in Note 2 of the Notes to Financial Statements, the price 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. These securities represent $238,358 or 1.0% of the Portfolio’s net assets. | |
(d) | All or a portion of this security was purchased on a “when-issued” basis. See Note 2 of the Notes to Financial Statements for further information regarding when-issued securities. | |
(e) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
68
Ohio National Fund, Inc.
Small Cap Growth Portfolio
Small Cap Growth Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $19,120,247) | $ | 24,776,950 | ||
Cash | 46,497 | |||
Receivable for securities sold | 27,000 | |||
Receivable for fund shares sold | 1,182 | |||
Dividends and accrued interest receivable | 1,562 | |||
Prepaid expenses and other assets | 74 | |||
Total assets | 24,853,265 | |||
Liabilities: | ||||
Payable for securities purchased | 215,954 | |||
Payable for fund shares redeemed | 16,064 | |||
Payable for investment management services | 19,050 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 686 | |||
Accrued professional fees | 5,412 | |||
Accrued accounting fees | 2,709 | |||
Accrued printing and filing fees | 1,119 | |||
Other accrued expenses | 35 | |||
Total liabilities | 261,407 | |||
Net assets | $ | 24,591,858 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,959,440 | ||
Paid-in capital in excess of par value | 30,605,118 | |||
Accumulated net realized loss on investments | (13,550,895 | ) | ||
Net unrealized appreciation on investments | 5,656,703 | |||
Accumulated net investment loss | (78,508 | ) | ||
Net assets | $ | 24,591,858 | ||
Shares outstanding | 1,959,440 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 12.55 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 9,789 | ||
Dividends (net of withholding tax of $1,946) | 42,608 | |||
Total investment income | 52,397 | |||
Expenses: | ||||
Management fees | 106,457 | |||
Custodian fees | 3,388 | |||
Directors’ fees | 542 | |||
Professional fees | 5,792 | |||
Accounting fees | 8,322 | |||
Printing and filing fees | 1,277 | |||
Compliance expense | 2,358 | |||
Other | 159 | |||
Total expenses | 128,295 | |||
Net investment loss | (75,898 | ) | ||
Realized/unrealized gain (loss) on investments and foreign currency related transactions: | ||||
Net realized gain (loss) on: | ||||
Investments | 1,076,658 | |||
Foreign currency related transactions | (558 | ) | ||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 2,142,753 | |||
Net realized/unrealized gain (loss) on investments and foreign currency related transactions | 3,218,853 | |||
Change in net assets from operations | $ | 3,142,955 | ||
The accompanying notes are an integral part of these financial statements.
69
Ohio National Fund, Inc.
Small Cap Growth Portfolio
Small Cap Growth Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (75,898 | ) | $ | (168,595 | ) | ||
Net realized gain (loss) on investments and foreign currency related transactions | 1,076,100 | 2,574,933 | ||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 2,142,753 | 1,737,681 | ||||||
Change in net assets from operations | 3,142,955 | 4,144,019 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 2,915,605 | 4,003,777 | ||||||
Paid for shares redeemed | (2,217,892 | ) | (4,489,613 | ) | ||||
Change in net assets from capital transactions | 697,713 | (485,836 | ) | |||||
Change in net assets | 3,840,668 | 3,658,183 | ||||||
Net Assets: | ||||||||
Beginning of period | 20,751,190 | 17,093,007 | ||||||
End of period | $ | 24,591,858 | $ | 20,751,190 | ||||
Accumulated net investment loss | $ | (78,508 | ) | $ | (2,052 | ) | ||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 8.71 | $ | 8.18 | $ | 7.34 | $ | 5.05 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.04 | ) | (0.09 | ) | (0.07 | ) | (0.05 | ) | (0.04 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 1.65 | 2.32 | 0.60 | 0.89 | 2.33 | |||||||||||||||
Total from operations | 1.61 | 2.23 | 0.53 | 0.84 | 2.29 | |||||||||||||||
Net asset value, end of period | $ | 12.55 | $ | 10.94 | $ | 8.71 | $ | 8.18 | $ | 7.34 | ||||||||||
Total return | 14.72 | %(b) | 25.60 | % | 6.48 | % | 11.44 | % | 45.35 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 24.6 | $ | 20.8 | $ | 17.1 | $ | 18.2 | $ | 18.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.14 | %(a) | 1.16 | % | 1.11 | % | 1.11 | % | 1.19 | % | ||||||||||
Net investment loss | (0.68 | )%(a) | (0.92 | )% | (0.77 | )% | (0.69 | )% | (0.72 | )% | ||||||||||
Portfolio turnover rate | 31 | % | 93 | % | 93 | % | 38 | % | 40 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
70
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio
Mid Cap Opportunity Portfolio
Objective
The Mid Cap Opportunity Portfolio seeks long-term total return by investing in equity and debt securities focusing on small- and mid-cap companies that offer potential for capital appreciation, current income, or both.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 19.62% | |||
Five year | 15.64% | |||
Ten year | 11.06% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Mid Cap Opportunity Portfolio returned 14.67% versus 10.97% for the current benchmark, the Russell Midcap Growth Index.
Stock market volatility continued through the second quarter, especially in June as investors’ hope turned to anxiety. A re-accelerating domestic and world economy has again raised the spectre of inflation, and a sagging U.S. housing market is once again fueling fears of a subprime mortgage meltdown. Despite the angst, the first half of 2007 was strong for the Portfolio.
In the Consumer Discretionary sector the Portfolio generated approximately 130 basis points of relative outperformance during the first half of 2007 due primarily to good stock selection. Our big winner was aQuantive Inc., which was recently acquired by Microsoft for an 85% premium. We were originally attracted to aQuantive’s online advertising technologies and interactive advertising agency, which we estimated had the potential to gain share in a rapidly growing market. When aQuantive’s direct competitors DoubleClick, 24/7 Real Media and Digitas were all acquired at premiums to aQuantive, we felt the scarcity value of the aQuantive’s business segments was overlooked and we became more confident in our upside valuation target for the shares.(1)
Offsetting our gains in aQuantive Inc. was our exposure to the teenage specialty retailer Abercrombie & Fitch Co., which detracted from performance during the first half of 2007. Abercrombie & Fitch Co. operates over 900 stores in 49 states and Canada targeting the 15 to 35 year demographic through several retail concepts. Going into the summer, we noticed that shopping mall traffic was deteriorating and promotional activity had accelerated, which would put earnings estimates at risk. Although the stock was trading at relatively low valuations vs. its historical averages, there were no near-term catalysts to re-accelerate revenues and earnings so we decided to sell our position and redeploy the capital into better ideas.(1)
Health Care has been a challenging sector during 2007 and the second quarter saw a continuation of volatile performance. One of the Portfolio’s largest health care holdings, MedImmune, Inc., was acquired by AstraZeneca during the quarter for a significant premium. MedImmune, Inc. is a biotechnology company focused on the therapeutic areas of infectious disease, cancer and inflammatory disease. We made a timely investment in MedImmune, Inc. after the company reported fourth quarter 2006 results that disappointed Wall Street and the stock suffered big losses. We felt investors were placing too much emphasis on short-term sales trends of their lead product Synagis and were completely ignoring the embedded value of the company’s flu vaccine manufacturing assets, cash and venture investments, and their late-stage product pipeline. In fact, shortly after we made our initial investment, the company hired Goldman Sachs to explore strategic alternatives, which resulted in the company being acquired for a 70% gain from our cost basis.(1)
A Health Care stock that performed poorly during the second quarter and a detractor year-to-date was Psychiatric Solutions, Inc. Psychiatric Solutions, Inc. owns and operates psychiatric inpatient hospitals and manages psychiatric units within general acute care hospitals. While the company has a balanced business model of de novo and acquired growth, a recent facility expansion wasn’t completed on time that lead to lower than expected same-facility revenue growth. Despite the recent weakness, we continue to hold shares of Psychiatric Solutions, Inc. because of strong macro trends in the behavioral health industry where capacity expansion is limited, pricing power is strong and demand is non-cyclical. We believe that Psychiatric Solutions, Inc. has significant operating leverage to its model as the company continues to lower operating costs while increasing revenues with new services and programs, and with facility expansions in core markets.(1)
Financials is another sector that has underperformed the broader market averages. The Portfolio has been slightly over-weighted in this sector during the year with the majority of our investments in companies that are not exposed to the yield curve or deteriorating consumer credit trends. Companies in the Portfolio that are exposed to consumer credit had mixed performance during the second quarter. One of the Portfolio’s best performers during the first half of 2007 was Alliance Data Systems Corp., which has exposure to consumer credit through its private label credit card programs. We were originally attracted to Alliance Data Systems Corp. because of its unique capabilities to provide private label credit programs with a tightly integrated processing platform that allows the company to offer higher margin analytics-based marketing programs. The company’s business model was evolving into one with high organic revenue growth, expanding margins and significant cash flow generation, which is why Blackstone Group made an offer to take the company private.(1)
A financial stock that detracted from year-to-date performance was E*TRADE Financial Corp. E*TRADE Financial Corp. provides online brokerage and banking services to retail, corporate and institutional customers. E*TRADE Financial Corp. stock has recently underperformed due to its loan exposure in the subprime
(continued)
71
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio (Continued)
Mid Cap Opportunity Portfolio (Continued)
real estate markets, which we estimate at less than 1% of its total loan portfolio. We are closely monitoring the performance of its non-subprime loans for any signs of deterioration that, if detected, will most likely lead us to sell our position.(1)
As the second quarter ended, the U.S. economy appears to be improving and investors are debating whether this is good or bad news. In our opinion, the subprime “crisis”, although a big headline grabber, seems to be contained. Oil prices are still within their $55 to $70 range and gas prices have marginally declined. Unemployment is low and job growth continues above consensus rates. Domestic and global money supply growth continues to be strong.(1)
We have stated for several quarters that the U.S. economy has been stronger than most investors have thought. As we enter the last half of 2007, the economy has started to reaccelerate. There is no change to our economic outlook – U.S. gross domestic product growth should remain positive into 2008. Recent Federal Reserve Board commentary has highlighted inflation risk as a key threat to further tightening monetary policy, which has caused equity valuations to remain historically low relative to bond yields. Strong commodity prices, tight credit spreads and low real interest rates are all suggestive of accommodative financial conditions and general liquidity, which we think is a key factor to sustaining the current cyclical bull market.
The Portfolio’s 2008 forecasted earnings-per-share multiple is approximately 18 times, slightly higher than the benchmark. Our forecasted earnings-per-share growth is approximately 25%. At these valuation levels, we believe that the Portfolio’s risk/reward ratio remains compelling. We know that we are in the latter innings of both the market and economic cycles and will not be afraid to adjust the Portfolio if we are wrong on our soft-landing thesis, or if earnings momentum starts to decelerate.(1)
We remain focused on our bottom-up process and will attempt to find companies that can grow earnings above market trend in a slowing environment. As fellow investors in the strategy, we remain focused and committed to our investment goal: long-term growth of capital. We appreciate your continued confidence and support.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell Midcap Growth Index is a subset of the Russell Midcap Index, which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Russell Midcap Growth Index measures the performance of those stocks of the Russell Midcap Index with higher price-to-book ratios and higher relative forecasted growth rates. The Index presented herein includes the effects of reinvested dividends.
(continued)
72
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio (Continued)
Mid Cap Opportunity Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 99.7 | ||
Repurchase Agreements | |||
Less Net Liabilities | 0.3 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Quanex Corp. | 1.6 | |||||
2. | AerCap Holdings NV | 1.6 | |||||
3. | Clearwire Corp. | 1.5 | |||||
4. | Pharmaceutical Product Development, Inc. | 1.5 | |||||
5. | Apollo Group, Inc. Class A | 1.4 | |||||
6. | ValueClick, Inc. | 1.4 | |||||
7. | Chicago Bridge & Iron Co. NV, New York Shares | 1.4 | |||||
8. | Foundry Networks, Inc. | 1.4 | |||||
9. | Cephalon, Inc. | 1.4 | |||||
10. | Autodesk, Inc. | 1.3 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 26.4 | ||
Health Care | 18.3 | ||
Industrials | 16.8 | ||
Energy | 12.8 | ||
Financials | 8.4 | ||
Consumer Discretionary | 7.4 | ||
Materials | 4.4 | ||
Telecommunication Services | 2.7 | ||
Consumer Staples | 2.5 | ||
99.7 | |||
73
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio
Mid Cap Opportunity Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 7.4% | ||||||||
Diversified Consumer Services – 1.4% | ||||||||
Apollo Group, Inc. Class A (a) | 23,000 | $ | 1,343,890 | |||||
Hotels, Restaurants & Leisure – 0.7% | ||||||||
Scientific Games Corp. Class A (a) | 20,000 | 699,000 | ||||||
Internet & Catalog Retail – 1.0% | ||||||||
Nutri/System Inc. (a) | 14,000 | 977,760 | ||||||
Media – 0.9% | ||||||||
Lions Gate Entertainment Corp. (a) | 75,000 | 827,250 | ||||||
Multiline Retail – 0.9% | ||||||||
Family Dollar Stores, Inc. | 25,000 | 858,000 | ||||||
Specialty Retail – 2.5% | ||||||||
Aeropostale, Inc. (a) | 15,000 | 625,200 | ||||||
GameStop Corp. Class A (a) | 23,500 | 918,850 | ||||||
Men’s Wearhouse, Inc. | 15,500 | 791,585 | ||||||
2,335,635 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 7,041,535 | |||||||
CONSUMER STAPLES – 2.5% | ||||||||
Beverages – 0.6% | ||||||||
Hansen Natural Corp. (a) | 13,000 | 558,740 | ||||||
Food Products – 1.1% | ||||||||
Corn Products International, Inc. | 24,500 | 1,113,525 | ||||||
Personal Products – 0.8% | ||||||||
Avon Products, Inc. | 20,500 | 753,375 | ||||||
TOTAL CONSUMER STAPLES | 2,425,640 | |||||||
ENERGY – 12.8% | ||||||||
Energy Equipment & Services – 5.6% | ||||||||
Cameron International Corp. (a) | 11,000 | 786,170 | ||||||
ENSCO International, Inc. | 20,000 | 1,220,200 | ||||||
GlobalSantaFe Corp. | 14,100 | 1,018,725 | ||||||
Smith International, Inc. | 17,500 | 1,026,200 | ||||||
Superior Energy Services, Inc. (a) | 31,500 | 1,257,480 | ||||||
5,308,775 | ||||||||
Oil, Gas & Consumable Fuels – 7.2% | ||||||||
Anadarko Petroleum Corp. | 16,000 | 831,840 | ||||||
Cameco Corp. | 23,000 | 1,167,020 | ||||||
El Paso Corp. | 70,000 | 1,206,100 | ||||||
Frontier Oil Corp. | 18,000 | 787,860 | ||||||
Holly Corp. | 10,000 | 741,900 | ||||||
Plains Exploration & Production Co. (a) | 23,000 | 1,099,630 | ||||||
Southwestern Energy Co. (a) | 22,000 | 979,000 | ||||||
6,813,350 | ||||||||
TOTAL ENERGY | 12,122,125 | |||||||
FINANCIALS – 8.4% | ||||||||
Capital Markets – 4.3% | ||||||||
Affiliated Managers Group, Inc. (a) | 7,000 | 901,320 | ||||||
E*TRADE Financial Corp. (a) | 44,000 | 971,960 | ||||||
Northern Trust Corp. | 18,000 | 1,156,320 | ||||||
T. Rowe Price Group, Inc. | 20,000 | 1,037,800 | ||||||
4,067,400 | ||||||||
Diversified Financial Services – 2.5% | ||||||||
Interactive Brokers Group, Inc. (a) | 36,700 | 995,671 | ||||||
IntercontinentalExchange Inc. (a) | 5,000 | 739,250 | ||||||
Diversified Financial Services (continued) | ||||||||
The Nasdaq Stock Market, Inc. (a) | 21,000 | 623,910 | ||||||
2,358,831 | ||||||||
Real Estate Management & Development – 1.6% | ||||||||
CB Richard Ellis Group, Inc. (a) | 20,000 | 730,000 | ||||||
Jones Lang LaSalle, Inc. | 7,000 | 794,500 | ||||||
1,524,500 | ||||||||
TOTAL FINANCIALS | 7,950,731 | |||||||
HEALTH CARE – 18.3% | ||||||||
Biotechnology – 4.2% | ||||||||
Amylin Pharmaceuticals, Inc. (a) | 21,000 | 864,360 | ||||||
Celgene Corp. (a) | 20,000 | 1,146,600 | ||||||
Cephalon, Inc. (a) | 16,100 | 1,294,279 | ||||||
PDL BioPharma, Inc. (a) | 31,000 | 722,300 | ||||||
4,027,539 | ||||||||
Health Care Equipment & Supplies – 4.0% | ||||||||
Hologic, Inc. (a) | 19,600 | 1,084,076 | ||||||
Intuitive Surgical, Inc. (a) | 6,000 | 832,620 | ||||||
Kyphon, Inc. (a) | 21,000 | 1,011,150 | ||||||
West Pharmaceutical Services, Inc. | 18,000 | 848,700 | ||||||
3,776,546 | ||||||||
Health Care Providers & Services – 4.4% | ||||||||
Express Scripts, Inc. (a) | 17,000 | 850,170 | ||||||
Pediatrix Medical Group, Inc. (a) | 17,500 | 965,125 | ||||||
Psychiatric Solutions, Inc. (a) | 27,000 | 979,020 | ||||||
Sunrise Senior Living, Inc. (a) | 15,000 | 599,850 | ||||||
VCA Antech, Inc. (a) | 21,000 | 791,490 | ||||||
4,185,655 | ||||||||
Health Care Technology – 1.1% | ||||||||
Cerner Corp. (a) | 18,400 | 1,020,648 | ||||||
Life Sciences Tools & Services – 3.6% | ||||||||
Millipore Corp. (a) | 13,000 | 976,170 | ||||||
Pharmaceutical Product Development, Inc. | 36,800 | 1,408,336 | ||||||
Thermo Fisher Scientific, Inc. (a) | 20,000 | 1,034,400 | ||||||
3,418,906 | ||||||||
Pharmaceuticals – 1.0% | ||||||||
Allergan, Inc. | 16,000 | 922,240 | ||||||
TOTAL HEALTH CARE | �� | 17,351,534 | ||||||
INDUSTRIALS – 16.8% | ||||||||
Aerospace & Defense – 3.9% | ||||||||
AerCap Holdings NV (a) | 47,500 | 1,520,000 | ||||||
L-3 Communications Holdings, Inc. | 11,500 | 1,119,985 | ||||||
Spirit Aerosystems Holdings, Inc. (a) | 30,000 | 1,081,500 | ||||||
3,721,485 | ||||||||
Air Freight & Logistics – 1.6% | ||||||||
C.H. Robinson Worldwide, Inc. | 16,000 | 840,320 | ||||||
Expeditors International of Washington, Inc. | 17,000 | 702,100 | ||||||
1,542,420 | ||||||||
Building Products – 1.2% | ||||||||
Simpson Manufacturing Co., Inc. | 32,000 | 1,079,680 | ||||||
(continued)
74
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio (Continued)
Mid Cap Opportunity Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 99.7% | Shares | Value | ||||||
Commercial Services & Supplies – 2.0% | ||||||||
Stericycle, Inc. (a) | 21,000 | $ | 933,660 | |||||
Watson Wyatt Worldwide Inc. | 19,500 | 984,360 | ||||||
1,918,020 | ||||||||
Construction & Engineering – 1.4% | ||||||||
Chicago Bridge & Iron Co. NV, New York Shares | 35,000 | 1,320,900 | ||||||
Electrical Equipment – 2.9% | ||||||||
Ametek, Inc. | 26,000 | 1,031,680 | ||||||
The Genlyte Group, Inc. (a) | 8,500 | 667,590 | ||||||
SunPower Corp. (a) | 16,500 | 1,040,325 | ||||||
2,739,595 | ||||||||
Machinery – 2.0% | ||||||||
Mueller Water Products, Inc. Class A | 57,000 | 972,420 | ||||||
Valmont Industries, Inc. | 12,500 | 909,500 | ||||||
1,881,920 | ||||||||
Marine – 1.0% | ||||||||
Kirby Corp. (a) | 25,000 | 959,750 | ||||||
Trading Companies & Distributors – 0.8% | ||||||||
MSC Industrial Direct Co., Inc. Class A | 14,000 | 770,000 | ||||||
TOTAL INDUSTRIALS | 15,933,770 | |||||||
INFORMATION TECHNOLOGY – 26.4% | ||||||||
Communications Equipment – 4.7% | ||||||||
F5 Networks, Inc. (a) | 10,000 | 806,000 | ||||||
Foundry Networks, Inc. (a) | 78,000 | 1,299,480 | ||||||
Harris Corp. | 21,000 | 1,145,550 | ||||||
Juniper Networks, Inc. (a) | 47,100 | 1,185,507 | ||||||
4,436,537 | ||||||||
Computers & Peripherals – 3.1% | ||||||||
Brocade Communications Systems, Inc. (a) | 151,200 | 1,182,384 | ||||||
Electronics for Imaging (a) | 22,000 | 620,840 | ||||||
SanDisk Corp. (a) | 22,000 | 1,076,680 | ||||||
2,879,904 | ||||||||
Electronic Equipment & Instruments – 4.2% | ||||||||
Amphenol Corp. | 27,500 | 980,375 | ||||||
Flir Systems, Inc. (a) | 20,000 | 925,000 | ||||||
National Instruments Corp. | 26,000 | 846,820 | ||||||
Trimble Navigation Ltd. (a) | 39,000 | 1,255,800 | ||||||
4,007,995 | ||||||||
Internet Software & Services – 1.9% | ||||||||
Sina Corp. (a) | 12,000 | 502,320 | ||||||
ValueClick, Inc. (a) | 45,000 | 1,325,700 | ||||||
1,828,020 | ||||||||
IT Services – 0.8% | ||||||||
Cognizant Technology Solutions Corp. Class A (a) | 10,000 | 750,900 | ||||||
Semiconductor & Semiconductor Equipment – 8.3% | ||||||||
AMIS Holdings, Inc. (a) | 66,100 | 827,572 | ||||||
Atheros Communications, Inc. (a) | 32,000 | 986,880 | ||||||
Semiconductor & Semiconductor Equipment (continued) | ||||||||
Lam Research Corp. (a) | 15,700 | 806,980 | ||||||
MEMC Electronic Materials, Inc. (a) | 17,600 | 1,075,712 | ||||||
NVIDIA Corp. (a) | 29,000 | 1,197,990 | ||||||
PMC – Sierra, Inc. (a) | 125,000 | 966,250 | ||||||
Tessera Technologies, Inc. (a) | 23,000 | 932,650 | ||||||
Varian Semiconductor Equipment Associates, Inc. (a) | 26,800 | 1,073,608 | ||||||
7,867,642 | ||||||||
Software – 3.4% | ||||||||
Autodesk, Inc. (a) | 27,000 | 1,271,160 | ||||||
Citrix Systems, Inc. (a) | 30,500 | 1,026,935 | ||||||
FactSet Research Systems, Inc. | 14,000 | 956,900 | ||||||
3,254,995 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 25,025,993 | |||||||
MATERIALS – 4.4% | ||||||||
Construction Materials – 1.0% | ||||||||
Texas Industries, Inc. | 12,000 | 940,920 | ||||||
Metals & Mining – 3.4% | ||||||||
Allegheny Technologies, Inc. | 9,200 | 964,896 | ||||||
Commercial Metals Co. | 20,000 | 675,400 | ||||||
Quanex Corp. | 32,000 | 1,558,400 | ||||||
3,198,696 | ||||||||
TOTAL MATERIALS | 4,139,616 | |||||||
TELECOMMUNICATION SERVICES – 2.7% | ||||||||
Diversified Telecommunication Services – 1.2% | ||||||||
NeuStar, Inc. Class A (a) | 40,000 | 1,158,800 | ||||||
Wireless Telecommunication Services – 1.5% | ||||||||
Clearwire Corp. (a) | 59,300 | 1,448,699 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 2,607,499 | |||||||
Total Common Stocks (Cost $85,322,924) | $ | 94,598,443 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.6% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 1,557,000 | $ | 1,557,000 | ||||
Repurchase price $1,557,532 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $1,588,152 | ||||||||
Total Repurchase Agreements (Cost $1,557,000) | $ | 1,557,000 | ||||||
Total Investments – 101.3% (Cost $86,879,924) (b) | $ | 96,155,443 | ||||||
Liabilities in Excess of Other Assets – (1.3)% | (1,230,879 | ) | ||||||
Net Assets – 100.0% | $ | 94,924,564 | ||||||
(continued)
75
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio (Continued)
Mid Cap Opportunity Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
76
��
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio
Mid Cap Opportunity Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $86,879,924) | $ | 96,155,443 | ||
Cash | 1,537 | |||
Receivable for securities sold | 2,348,337 | |||
Receivable for fund shares sold | 82,521 | |||
Dividends and accrued interest receivable | 30,796 | |||
Prepaid expenses and other assets | 367 | |||
Total assets | 98,619,001 | |||
Liabilities: | ||||
Payable for securities purchased | 3,586,113 | |||
Payable for fund shares redeemed | 24,300 | |||
Payable for investment management services | 65,800 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,723 | |||
Accrued professional fees | 5,813 | |||
Accrued accounting fees | 5,630 | |||
Accrued printing and filing fees | 4,530 | |||
Other accrued expenses | 150 | |||
Total liabilities | 3,694,437 | |||
Net assets | $ | 94,924,564 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 4,335,712 | ||
Paid-in capital in excess of par value | 63,741,603 | |||
Accumulated net realized gain on investments | 17,715,169 | |||
Net unrealized appreciation on investments | 9,275,519 | |||
Accumulated net investment loss | (143,439 | ) | ||
Net assets | $ | 94,924,564 | ||
Shares outstanding | 4,335,712 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 21.89 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 33,144 | ||
Dividends (net of withholding tax of $654) | 240,956 | |||
Total investment income | 274,100 | |||
Expenses: | ||||
Management fees | 377,917 | |||
Custodian fees | 6,107 | |||
Directors’ fees | 2,161 | |||
Professional fees | 6,765 | |||
Accounting fees | 17,029 | |||
Printing and filing fees | 4,417 | |||
Compliance expense | 2,358 | |||
Other | 785 | |||
Total expenses | 417,539 | |||
Net investment loss | (143,439 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 11,004,759 | |||
Change in unrealized appreciation/depreciation on investments | 1,316,293 | |||
Net realized/unrealized gain (loss) on investments | 12,321,052 | |||
Change in net assets from operations | $ | 12,177,613 | ||
The accompanying notes are an integral part of these financial statements.
77
Ohio National Fund, Inc.
Mid Cap Opportunity Portfolio
Mid Cap Opportunity Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (143,439 | ) | $ | (399,742 | ) | ||
Net realized gain (loss) on investments | 11,004,759 | 12,759,101 | ||||||
Change in unrealized appreciation/depreciation on investments | 1,316,293 | (4,028,073 | ) | |||||
Change in net assets from operations | 12,177,613 | 8,331,286 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 4,620,419 | 5,152,986 | ||||||
Paid for shares redeemed | (8,486,558 | ) | (16,861,366 | ) | ||||
Change in net assets from capital transactions | (3,866,139 | ) | (11,708,380 | ) | ||||
Change in net assets | 8,311,474 | (3,377,094 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 86,613,090 | 89,990,184 | ||||||
End of period | $ | 94,924,564 | $ | 86,613,090 | ||||
Accumulated net investment loss | $ | (143,439 | ) | $ | — | |||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 19.09 | $ | 17.40 | $ | 15.83 | $ | 13.94 | $ | 9.53 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.03 | ) | (0.09 | ) | (0.07 | ) | (0.05 | ) | (0.02 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 2.83 | 1.78 | 1.64 | 1.94 | 4.43 | |||||||||||||||
Total from operations | 2.80 | 1.69 | 1.57 | 1.89 | 4.41 | |||||||||||||||
Net asset value, end of period | $ | 21.89 | $ | 19.09 | $ | 17.40 | $ | 15.83 | $ | 13.94 | ||||||||||
Total return | 14.67 | %(b) | 9.71 | % | 9.92 | % | 13.56 | % | 46.34 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 94.9 | $ | 86.6 | $ | 90.0 | $ | 96.6 | $ | 89.4 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.94 | %(a) | 0.94 | % | 0.95 | % | 0.96 | % | 1.01 | % | ||||||||||
Net investment loss | (0.32 | )%(a) | (0.45 | )% | (0.40 | )% | (0.36 | )% | (0.20 | )% | ||||||||||
Portfolio turnover rate | 137 | % | 209 | % | 205 | % | 206 | % | 261 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
78
Ohio National Fund, Inc.
S&P 500 Index Portfolio
S&P 500 Index Portfolio
Objective
The S&P 500 Index Portfolio seeks total return that approximates that of the Standard & Poor’s 500 Index.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 20.03% | |||
Five year | 10.23% | |||
Ten year | 6.96% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the S&P 500 Index Portfolio returned 6.75% versus 6.96% for the current benchmark, the S&P 500 Index.
The Portfolio’s correlation with the S&P 500 Index was 99.9%. The high correlation is due to the fact that the Portfolio invests in each of the 500 stocks in the index. The Portfolio also invests in S&P 500 Depository Receipts (“Spiders”) which mimic the return of the index. At June 30, 2007, Spiders accounted for 1.3% of the Portfolio’s net assets.(1)
The top five holdings in the Portfolio were Exxon Mobil Corp., General Electric Co., AT&T Inc., Citigroup, Inc., and Microsoft Corp. The largest contributors to the index return for the first six months of 2007 were AT&T Inc., Exxon Mobil Corp., Apple Inc., Schlumberger Ltd, and Chevron Corp. The largest detractors for the index for the first six months of 2007 were Citigroup, Inc., Bank of America Corp., Amgen, Inc., Johnson & Johnson, and Wachovia Corp.(1)
Solid earnings growth could mean positive gains for equities in the second half of 2007. The weak housing market and sub-prime mortgage problems are areas of concern for the last six months of the year as these could trickle down into the consumer space. Inflation is another concern for the rest of 2007. Moderate inflation coupled with continued earnings growth may be able to support higher stock prices in 2007.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting. Investors cannot invest directly in an index, although they can invest in its underlying securities or funds.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The Index presented herein includes the effects of reinvested dividends.
(continued)
79
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 98.6 | ||
Exchange Traded Funds | 1.3 | ||
Short-Term Notes and Other Net Assets | 0.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Exxon Mobil Corp. | 3.5 | |||||
2. | General Electric Co. | 2.9 | |||||
3. | AT&T Inc. | 1.9 | |||||
4. | Citigroup, Inc. | 1.9 | |||||
5. | Microsoft Corp. | 1.8 | |||||
6. | Bank of America Corp. | 1.6 | |||||
7. | The Procter & Gamble Co. | 1.4 | |||||
8. | American International Group, Inc. | 1.4 | |||||
9. | Chevron Corp. | 1.3 | |||||
10. | Pfizer, Inc. | 1.3 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Financials | 20.6 | ||
Information Technology | 15.2 | ||
Health Care | 11.5 | ||
Industrials | 11.2 | ||
Energy | 10.6 | ||
Consumer Discretionary | 10.0 | ||
Consumer Staples | 9.2 | ||
Telecommunication Services | 3.7 | ||
Utilities | 3.5 | ||
Materials | 3.1 | ||
98.6 | |||
80
Ohio National Fund, Inc.
S&P 500 Index Portfolio
S&P 500 Index Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 10.0% | ||||||||
Auto Components – 0.2% | ||||||||
Johnson Controls, Inc. | 2,700 | $ | 312,579 | |||||
The Goodyear Tire & Rubber Co. (a) | 2,800 | 97,328 | ||||||
409,907 | ||||||||
Automobiles – 0.4% | ||||||||
Ford Motor Co. | 25,987 | 244,798 | ||||||
General Motors Corp. | 7,800 | 294,840 | ||||||
Harley-Davidson, Inc. | 3,600 | 214,596 | ||||||
754,234 | ||||||||
Distributors – 0.1% | ||||||||
Genuine Parts Co. | 2,400 | 119,040 | ||||||
Diversified Consumer Services – 0.1% | ||||||||
Apollo Group, Inc. Class A (a) | 1,900 | 111,017 | ||||||
H&R Block, Inc. | 4,500 | 105,165 | ||||||
216,182 | ||||||||
Hotels, Restaurants & Leisure – 1.5% | ||||||||
Carnival Corp. | 6,100 | 297,497 | ||||||
Darden Restaurants, Inc. | 2,000 | 87,980 | ||||||
Harrah’s Entertainment, Inc. | 2,600 | 221,676 | ||||||
Hilton Hotels Corp. | 5,400 | 180,738 | ||||||
International Game Technology | 4,600 | 182,620 | ||||||
Marriott International, Inc. Class A | 4,500 | 194,580 | ||||||
McDonald’s Corp. | 16,500 | 837,540 | ||||||
Starbucks Corp. (a) | 10,200 | 267,648 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3,000 | 201,210 | ||||||
Wendy’s International, Inc. | 1,200 | 44,100 | ||||||
Wyndham Worldwide Corp. (a) | 2,560 | 92,826 | ||||||
Yum! Brands, Inc. | 7,200 | 235,584 | ||||||
2,843,999 | ||||||||
Household Durables – 0.6% | ||||||||
Centex Corp. | 1,600 | 64,160 | ||||||
D.R. Horton, Inc. | 3,800 | 75,734 | ||||||
Fortune Brands, Inc. | 2,100 | 172,977 | ||||||
Harman International Industries, Inc. | 900 | 105,120 | ||||||
KB Home | 1,100 | 43,307 | ||||||
Leggett & Platt, Inc. | 2,400 | 52,920 | ||||||
Lennar Corp. Class A | 1,900 | 69,464 | ||||||
Newell Rubbermaid, Inc. | 3,800 | 111,834 | ||||||
Pulte Homes, Inc. | 2,900 | 65,105 | ||||||
Snap-on, Inc. | 800 | 40,408 | ||||||
The Black & Decker Corp. | 900 | 79,479 | ||||||
The Stanley Works | 1,200 | 72,840 | ||||||
Whirlpool Corp. | 1,055 | 117,316 | ||||||
1,070,664 | ||||||||
Internet & Catalog Retail – 0.2% | ||||||||
Amazon.com Inc. (a) | 4,300 | 294,163 | ||||||
IAC/InterActiveCorp (a) | 3,000 | 103,830 | ||||||
397,993 | ||||||||
Leisure Equipment & Products – 0.2% | ||||||||
Brunswick Corp. | 1,200 | 39,156 | ||||||
Eastman Kodak Co. | 4,000 | 111,320 | ||||||
Hasbro, Inc. | 2,200 | 69,102 | ||||||
Leisure Equipment & Products (continued) | ||||||||
Mattel, Inc. | 5,400 | 136,566 | ||||||
356,144 | ||||||||
Media – 3.3% | ||||||||
CBS Corp. Class B | 10,150 | 338,198 | ||||||
Clear Channel Communications, Inc. | 6,800 | 257,176 | ||||||
Comcast Corp. Class A (a) | 42,953 | 1,207,838 | ||||||
Dow Jones & Co., Inc. | 900 | 51,705 | ||||||
Gannett Co., Inc. | 3,200 | 175,840 | ||||||
Interpublic Group of Companies, Inc. (a) | 6,423 | 73,222 | ||||||
Meredith Corp. | 500 | 30,800 | ||||||
News Corp. Class A | 32,100 | 680,841 | ||||||
Omnicom Group, Inc. | 4,600 | 243,432 | ||||||
The DIRECTV Group Inc. (a) | 10,600 | 244,966 | ||||||
The E.W. Scripps Co. Class A | 1,200 | 54,828 | ||||||
The McGraw-Hill Companies, Inc. | 4,700 | 319,976 | ||||||
The New York Times Co. Class A | 2,000 | 50,800 | ||||||
The Walt Disney Co. | 27,300 | 932,022 | ||||||
Time Warner, Inc. | 52,200 | 1,098,288 | ||||||
Tribune Co. | 1,215 | 35,721 | ||||||
Viacom, Inc. Class B (a) | 9,550 | 397,567 | ||||||
6,193,220 | ||||||||
Multiline Retail – 1.1% | ||||||||
Big Lots, Inc. (a) | 1,500 | 44,130 | ||||||
Dillard’s Inc. Class A | 800 | 28,744 | ||||||
Dollar General Corp. | 4,300 | 94,256 | ||||||
Family Dollar Stores, Inc. | 2,100 | 72,072 | ||||||
J.C. Penney Co. Inc. | 3,100 | 224,378 | ||||||
Kohl’s Corp. (a) | 4,500 | 319,635 | ||||||
Macys, Inc. | 6,376 | 253,637 | ||||||
Nordstrom, Inc. | 3,100 | 158,472 | ||||||
Sears Holdings Corp. (a) | 1,101 | 186,620 | ||||||
Target Corp. | 11,700 | 744,120 | ||||||
2,126,064 | ||||||||
Specialty Retail – 1.9% | ||||||||
Abercrombie & Fitch Co. Class A | 1,200 | 87,576 | ||||||
AutoNation, Inc. (a) | 2,100 | 47,124 | ||||||
AutoZone, Inc. (a) | 700 | 95,634 | ||||||
Bed Bath & Beyond, Inc. (a) | 3,800 | 136,762 | ||||||
Best Buy Co., Inc. | 5,575 | 260,185 | ||||||
Circuit City Stores, Inc. | 1,900 | 28,652 | ||||||
Limited Brands, Inc. | 4,700 | 129,015 | ||||||
Lowe’s Companies. Inc. | 20,800 | 638,352 | ||||||
Office Depot, Inc. (a) | 3,800 | 115,140 | ||||||
OfficeMax Inc. | 1,000 | 39,300 | ||||||
RadioShack Corp. | 1,900 | 62,966 | ||||||
Staples, Inc. | 9,900 | 234,927 | ||||||
The Gap Inc. | 7,350 | 140,385 | ||||||
The Home Depot, Inc. | 27,200 | 1,070,320 | ||||||
The Sherwin-Williams Co. | 1,500 | 99,705 | ||||||
The TJX Cos., Inc. | 6,300 | 173,250 | ||||||
Tiffany & Co. | 1,900 | 100,814 | ||||||
3,460,107 | ||||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
Coach, Inc. (a) | 5,100 | 241,689 | ||||||
Jones Apparel Group, Inc. | 1,500 | 42,375 |
(continued)
81
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
Textiles, Apparel & Luxury Goods (continued) | ||||||||
Liz Claiborne, Inc. | 1,400 | $ | 52,220 | |||||
NIKE, Inc. Class B | 5,200 | 303,108 | ||||||
Polo Ralph Lauren Corp. | 800 | 78,488 | ||||||
V.F. Corp. | 1,200 | 109,896 | ||||||
827,776 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 18,775,330 | |||||||
CONSUMER STAPLES – 9.2% | ||||||||
Beverages – 2.0% | ||||||||
Anheuser-Busch Companies, Inc. | 10,500 | 547,680 | ||||||
Brown-Forman Corp. Class B | 1,100 | 80,388 | ||||||
Coca-Cola Enterprises, Inc. | 3,800 | 91,200 | ||||||
Constellation Brands, Inc. Class A (a) | 2,700 | 65,556 | ||||||
Molson Coors Brewing Co. Class B | 700 | 64,722 | ||||||
PepsiCo, Inc. | 22,500 | 1,459,125 | ||||||
The Coca-Cola Co. | 27,700 | 1,448,987 | ||||||
The Pepsi Bottling Group, Inc. | 1,800 | 60,624 | ||||||
3,818,282 | ||||||||
Food & Staples Retailing – 2.3% | ||||||||
Costco Wholesale Corp. | 6,200 | 362,824 | ||||||
CVS Caremark Corporation | 21,320 | 777,114 | ||||||
Safeway, Inc. | 6,100 | 207,583 | ||||||
SUPERVALU, Inc. | 2,819 | 130,576 | ||||||
Sysco Corp. | 8,500 | 280,415 | ||||||
The Kroger Co. | 9,800 | 275,674 | ||||||
Walgreen Co. | 13,800 | 600,852 | ||||||
Wal-Mart Stores, Inc. | 33,500 | 1,611,685 | ||||||
Whole Foods Market, Inc. | 2,000 | 76,600 | ||||||
4,323,323 | ||||||||
Food Products – 1.5% | ||||||||
Archer-Daniels-Midland Co. | 9,050 | 299,465 | ||||||
Campbell Soup Co. | 3,000 | 116,430 | ||||||
ConAgra Foods, Inc. | 6,900 | 185,334 | ||||||
Dean Foods Co. | 1,800 | 57,366 | ||||||
General Mills, Inc. | 4,800 | 280,416 | ||||||
H.J. Heinz Co. | 4,500 | 213,615 | ||||||
Kellogg Co. | 3,500 | 181,265 | ||||||
Kraft Foods, Inc. Class A | 22,176 | 781,704 | ||||||
McCormick & Co., Inc. | 1,800 | 68,724 | ||||||
Sara Lee Corp. | 10,100 | 175,740 | ||||||
The Hershey Company | 2,400 | 121,488 | ||||||
Tyson Foods, Inc. Class A | 3,500 | 80,640 | ||||||
Wm. Wrigley Jr. Co. Class B | 3,000 | 165,930 | ||||||
2,728,117 | ||||||||
Household Products – 2.0% | ||||||||
Colgate-Palmolive Co. | 7,100 | 460,435 | ||||||
Kimberly-Clark Corp. | 6,300 | 421,407 | ||||||
The Clorox Co. | 2,100 | 130,410 | ||||||
The Procter & Gamble Co. | 43,422 | 2,656,992 | ||||||
3,669,244 | ||||||||
Personal Products – 0.2% | ||||||||
Avon Products, Inc. | 6,100 | 224,175 | ||||||
The Estee Lauder Cos. Inc. Class A | 1,600 | 72,816 | ||||||
296,991 | ||||||||
Tobacco – 1.2% | ||||||||
Altria Group, Inc. | 29,000 | 2,034,060 | ||||||
Reynolds American, Inc. | 2,400 | 156,480 | ||||||
UST, Inc. | 2,200 | 118,162 | ||||||
2,308,702 | ||||||||
TOTAL CONSUMER STAPLES | 17,144,659 | |||||||
ENERGY – 10.6% | ||||||||
Energy Equipment & Services – 2.1% | ||||||||
Baker Hughes, Inc. | 4,400 | 370,172 | ||||||
BJ Services Co. | 4,000 | 113,760 | ||||||
ENSCO International, Inc. | 2,100 | 128,121 | ||||||
Halliburton Co. | 12,600 | 434,700 | ||||||
Nabors Industries Ltd. (a) | 3,900 | 130,182 | ||||||
National Oilwell Varco, Inc. (a) | 2,500 | 260,600 | ||||||
Noble Corp. | 1,800 | 175,536 | ||||||
Rowan Cos., Inc. | 1,500 | 61,470 | ||||||
Schlumberger Ltd. | 16,300 | 1,384,522 | ||||||
Smith International, Inc. | 2,800 | 164,192 | ||||||
Transocean, Inc. (a) | 4,000 | 423,920 | ||||||
Weatherford International Ltd. (a) | 4,700 | 259,628 | ||||||
3,906,803 | ||||||||
Oil, Gas & Consumable Fuels – 8.5% | ||||||||
Anadarko Petroleum Corp. | 6,400 | 332,736 | ||||||
Apache Corp. | 4,522 | 368,950 | ||||||
Chesapeake Energy Corp. | 5,700 | 197,220 | ||||||
Chevron Corp. | 29,638 | 2,496,705 | ||||||
ConocoPhillips | 22,600 | 1,774,100 | ||||||
CONSOL Energy, Inc. | 2,500 | 115,275 | ||||||
Devon Energy Corp. | 6,100 | 477,569 | ||||||
El Paso Corp. | 9,700 | 167,131 | ||||||
EOG Resources, Inc. | 3,400 | 248,404 | ||||||
Exxon Mobil Corp. | 77,700 | 6,517,476 | ||||||
Hess Corp. | 3,800 | 224,048 | ||||||
Marathon Oil Corp. | 9,520 | 570,819 | ||||||
Murphy Oil Corp. | 2,600 | 154,544 | ||||||
Occidental Petroleum Corp. | 11,500 | 665,620 | ||||||
Peabody Energy Corp. | 3,700 | 179,006 | ||||||
Spectra Energy Corp. | 8,718 | 226,319 | ||||||
Sunoco, Inc. | 1,700 | 135,456 | ||||||
Valero Energy Corp. | 7,600 | 561,336 | ||||||
Williams Cos., Inc. | 8,300 | 262,446 | ||||||
XTO Energy, Inc. | 5,333 | 320,514 | ||||||
15,995,674 | ||||||||
TOTAL ENERGY | 19,902,477 | |||||||
FINANCIALS – 20.6% | ||||||||
Capital Markets – 3.6% | ||||||||
Ameriprise Financial, Inc. | 3,280 | 208,510 | ||||||
E*TRADE Financial Corp. (a) | 5,900 | 130,331 | ||||||
Federated Investors, Inc. Class B | 1,200 | 45,996 | ||||||
Franklin Resources, Inc. | 2,300 | 304,681 | ||||||
Janus Capital Group, Inc. | 2,600 | 72,384 | ||||||
Legg Mason, Inc. | 1,800 | 177,084 | ||||||
Lehman Brothers Holdings, Inc. | 7,300 | 543,996 | ||||||
Mellon Financial Corp. | 5,700 | 250,800 | ||||||
Merrill Lynch & Co., Inc. | 12,000 | 1,002,960 | ||||||
Morgan Stanley | 14,500 | 1,216,260 |
(continued)
82
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
Capital Markets (continued) | ||||||||
Northern Trust Corp. | 2,600 | $ | 167,024 | |||||
State Street Corp. | 4,600 | 314,640 | ||||||
The Bank of New York Co., Inc. | 10,400 | 430,976 | ||||||
The Bear Stearns Companies Inc. | 1,600 | 224,000 | ||||||
The Charles Schwab Corp. | 14,000 | 287,280 | ||||||
The Goldman Sachs Group, Inc. | 5,600 | 1,213,800 | ||||||
T. Rowe Price Group, Inc. | 3,700 | 191,993 | ||||||
6,782,715 | ||||||||
Commercial Banks – 3.7% | ||||||||
BB&T Corp. | 7,500 | 305,100 | ||||||
Comerica, Inc. | 2,200 | 130,834 | ||||||
Commerce Bancorp Inc. (NJ) | 2,600 | 96,174 | ||||||
Compass Bancshares, Inc. | 1,800 | 124,164 | ||||||
Fifth Third Bancorp | 7,550 | 300,263 | ||||||
First Horizon National Corp. | 1,700 | 66,300 | ||||||
Huntington Bancshares, Inc. | 4,800 | 109,152 | ||||||
KeyCorp | 5,400 | 185,382 | ||||||
M&T Bank Corp. | 1,000 | 106,900 | ||||||
Marshall & Ilsley Corp. | 3,600 | 171,468 | ||||||
National City Corp. | 7,900 | 263,228 | ||||||
PNC Financial Services Group, Inc. | 4,800 | 343,584 | ||||||
Regions Financial Corp. | 9,675 | 320,242 | ||||||
SunTrust Banks Inc. | 4,900 | 420,126 | ||||||
Synovus Financial Corp. | 4,500 | 138,150 | ||||||
U.S. Bancorp | 23,990 | 790,471 | ||||||
Wachovia Corp. | 26,394 | 1,352,693 | ||||||
Wells Fargo & Co. | 46,100 | 1,621,337 | ||||||
Zions Bancorporation | 1,500 | 115,365 | ||||||
6,960,933 | ||||||||
Consumer Finance – 1.0% | ||||||||
American Express Co. | 16,400 | 1,003,352 | ||||||
Capital One Financial Corp. | 5,673 | 444,990 | ||||||
SLM Corp. | 5,700 | 328,206 | ||||||
1,776,548 | ||||||||
Diversified Financial Services – 5.0% | ||||||||
Bank of America Corp. | 61,262 | 2,995,099 | ||||||
Chicago Mercantile Exchange Holdings, Inc. | 500 | 267,180 | ||||||
CIT Group, Inc. | 2,600 | 142,558 | ||||||
Citigroup, Inc. | 68,269 | 3,501,517 | ||||||
JPMorgan Chase & Co. | 47,152 | 2,284,514 | ||||||
Moody’s Corp. | 3,200 | 199,040 | ||||||
9,389,908 | ||||||||
Insurance – 4.7% | ||||||||
ACE Ltd. | 4,500 | 281,340 | ||||||
AFLAC, Inc. | 6,700 | 344,380 | ||||||
Ambac Financial Group, Inc. | 1,400 | 122,066 | ||||||
American International Group, Inc. | 35,800 | 2,507,074 | ||||||
Aon Corp. | 4,100 | 174,701 | ||||||
Assurant, Inc. | 1,400 | 82,488 | ||||||
Cincinnati Financial Corp. | 2,366 | 102,684 | ||||||
Genworth Financial, Inc. Class A | 5,800 | 199,520 | ||||||
Lincoln National Corp. | 3,786 | 268,617 | ||||||
Loews Corp. | 6,200 | 316,076 | ||||||
Insurance (continued) | ||||||||
Marsh & McLennan Companies, Inc. | 7,700 | 237,776 | ||||||
MBIA, Inc. | 1,800 | 111,996 | ||||||
MetLife, Inc. | 10,200 | 657,696 | ||||||
Principal Financial Group, Inc. | 3,700 | 215,673 | ||||||
Prudential Financial, Inc. | 6,500 | 631,995 | ||||||
Safeco Corp. | 1,500 | 93,390 | ||||||
Torchmark Corp. | 1,300 | 87,100 | ||||||
The Allstate Corp. | 8,400 | 516,684 | ||||||
The Chubb Corp. | 5,500 | 297,770 | ||||||
The Hartford Financial Services Group, Inc. | 4,400 | 433,444 | ||||||
The Progressive Corp. | 10,200 | 244,086 | ||||||
Travelers Companies, Inc. | 9,159 | 490,007 | ||||||
Unum Group | 4,700 | 122,717 | ||||||
XL Capital Ltd. Class A | 2,600 | 219,154 | ||||||
8,758,434 | ||||||||
Real Estate Investment Trusts – 1.2% | ||||||||
Apartment Investment & Management Co. Class A | 1,300 | 65,546 | ||||||
Archstone-Smith Trust | 3,100 | 183,241 | ||||||
AvalonBay Communities, Inc. | 1,100 | 130,768 | ||||||
Boston Properties, Inc. | 1,600 | 163,408 | ||||||
Developers Diversified Realty Corp. | 1,700 | 89,607 | ||||||
Equity Residential | 4,000 | 182,520 | ||||||
General Growth Properties, Inc. | 3,200 | 169,440 | ||||||
Host Hotels & Resorts, Inc. | 7,200 | 166,464 | ||||||
Kimco Realty Corp. | 3,100 | 118,017 | ||||||
Plum Creek Timber Co. Inc. | 2,400 | 99,984 | ||||||
ProLogis | 3,500 | 199,150 | ||||||
Public Storage, Inc. | 1,700 | 130,594 | ||||||
Simon Property Group, Inc. | 3,100 | 288,424 | ||||||
Vornado Realty Trust | 1,800 | 197,712 | ||||||
2,184,875 | ||||||||
Real Estate Management & Development – 0.1% | ||||||||
CB Richard Ellis Group, Inc. (a) | 2,600 | 94,900 | ||||||
Thrifts & Mortgage Finance – 1.3% | ||||||||
Countrywide Financial Corp. | 8,198 | 297,997 | ||||||
Fannie Mae | 13,400 | 875,422 | ||||||
Freddie Mac | 9,100 | 552,370 | ||||||
Hudson City Bancorp, Inc. | 6,700 | 81,874 | ||||||
MGIC Investment Corp. | 1,100 | 62,546 | ||||||
Sovereign Bancorp, Inc. | 4,970 | 105,066 | ||||||
Washington Mutual, Inc. | 12,252 | 522,425 | ||||||
2,497,700 | ||||||||
TOTAL FINANCIALS | 38,446,013 | |||||||
HEALTH CARE – 11.5% | ||||||||
Biotechnology – 1.1% | ||||||||
Amgen, Inc. (a) | 16,006 | 884,972 | ||||||
Biogen Idec, Inc. (a) | 4,045 | 216,407 | ||||||
Celgene Corp. (a) | 5,200 | 298,116 | ||||||
Genzyme Corp. (a) | 3,600 | 231,840 | ||||||
Gilead Sciences, Inc. (a) | 12,800 | 496,256 | ||||||
2,127,591 | ||||||||
(continued)
83
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
Health Care Equipment & Supplies – 1.6% | ||||||||
Bausch & Lomb, Inc. | 700 | $ | 48,608 | |||||
Baxter International, Inc. | 9,000 | 507,060 | ||||||
Becton, Dickinson & Co. | 3,400 | 253,300 | ||||||
Biomet, Inc. | 3,400 | 155,448 | ||||||
Boston Scientific Corp. (a) | 16,403 | 251,622 | ||||||
C.R. Bard, Inc. | 1,400 | 115,682 | ||||||
Hospira, Inc. (a) | 2,110 | 82,375 | ||||||
Medtronic, Inc. | 15,900 | 824,574 | ||||||
St. Jude Medical, Inc. (a) | 4,700 | 195,003 | ||||||
Stryker Corp. | 4,100 | 258,669 | ||||||
Varian Medical Systems, Inc. (a) | 1,800 | 76,518 | ||||||
Zimmer Holdings, Inc. (a) | 3,270 | 277,590 | ||||||
3,046,449 | ||||||||
Health Care Providers & Services – 2.2% | ||||||||
Aetna, Inc. | 7,100 | 350,740 | ||||||
AmerisourceBergen Corp. | 2,600 | 128,622 | ||||||
Cardinal Health, Inc. | 5,300 | 374,392 | ||||||
CIGNA Corp. | 4,000 | 208,880 | ||||||
Coventry Health Care, Inc. (a) | 2,200 | 126,830 | ||||||
Express Scripts, Inc. (a) | 3,800 | 190,038 | ||||||
Humana, Inc. (a) | 2,300 | 140,093 | ||||||
Laboratory Corp. Of America Holdings (a) | 1,600 | 125,216 | ||||||
Manor Care, Inc. | 1,000 | 65,290 | ||||||
McKesson Corp. | 4,100 | 244,524 | ||||||
Medco Health Solutions, Inc. (a) | 3,888 | 303,225 | ||||||
Patterson Cos., Inc. (a) | 1,900 | 70,813 | ||||||
Quest Diagnostics, Inc. | 2,200 | 113,630 | ||||||
Tenet Healthcare Corp. (a) | 6,550 | 42,640 | ||||||
UnitedHealth Group, Inc. | 18,500 | 946,090 | ||||||
WellPoint, Inc. (a) | 8,500 | 678,555 | ||||||
4,109,578 | ||||||||
Health Care Technology – 0.1% | ||||||||
IMS Health, Inc. | 2,700 | 86,751 | ||||||
Life Sciences Tools & Services – 0.3% | ||||||||
Applera Corp – Applied Biosystems Group | 2,500 | 76,350 | ||||||
Millipore Corp. (a) | 700 | 52,563 | ||||||
PerkinElmer, Inc. | 1,700 | 44,302 | ||||||
Thermo Fisher Scientific, Inc. (a) | 5,800 | 299,976 | ||||||
Waters Corp. (a) | 1,400 | 83,104 | ||||||
556,295 | ||||||||
Pharmaceuticals – 6.2% | ||||||||
Abbott Laboratories | 21,300 | 1,140,615 | ||||||
Allergan, Inc. | 4,200 | 242,088 | ||||||
Barr Pharmaceuticals, Inc. (a) | 1,500 | 75,345 | ||||||
Bristol-Myers Squibb Co. | 27,200 | 858,432 | ||||||
Eli Lilly & Co. | 13,600 | 759,968 | ||||||
Forest Laboratories, Inc. Class A (a) | 4,400 | 200,860 | ||||||
Johnson & Johnson | 40,000 | 2,464,800 | ||||||
King Pharmaceuticals, Inc. (a) | 3,400 | 69,564 | ||||||
Merck & Co., Inc. | 29,900 | 1,489,020 | ||||||
Mylan Laboratories Inc. | 3,400 | 61,846 | ||||||
Pfizer, Inc. | 96,830 | 2,475,943 | ||||||
Schering-Plough Corp. | 20,600 | 627,064 | ||||||
Pharmaceuticals (continued) | ||||||||
Watson Pharmaceuticals, Inc. (a) | 1,400 | 45,542 | ||||||
Wyeth | 18,600 | 1,066,524 | ||||||
11,577,611 | ||||||||
TOTAL HEALTH CARE | 21,504,275 | |||||||
INDUSTRIALS – 11.2% | ||||||||
Aerospace & Defense – 2.6% | ||||||||
General Dynamics Corp. | 5,600 | 438,032 | ||||||
Goodrich Corp. | 1,700 | 101,252 | ||||||
Honeywell International, Inc. | 10,800 | 607,824 | ||||||
L-3 Communications Holdings, Inc. | 1,700 | 165,563 | ||||||
Lockheed Martin Corp. | 4,900 | 461,237 | ||||||
Northrop Grumman Corp. | 4,800 | 373,776 | ||||||
Precision Castparts Corp. | 1,900 | 230,584 | ||||||
Raytheon Co. | 6,100 | 328,729 | ||||||
Rockwell Collins, Inc. | 2,300 | 162,472 | ||||||
The Boeing Co. | 10,900 | 1,048,144 | ||||||
United Technologies Corp. | 13,700 | 971,741 | ||||||
4,889,354 | ||||||||
Air Freight & Logistics – 0.9% | ||||||||
C.H. Robinson Worldwide, Inc. | 2,400 | 126,048 | ||||||
FedEx Corp. | 4,200 | 466,074 | ||||||
United Parcel Service, Inc. Class B | 14,600 | 1,065,800 | ||||||
1,657,922 | ||||||||
Airlines – 0.1% | ||||||||
Southwest Airlines Co. | 10,800 | 161,028 | ||||||
Building Products – 0.1% | ||||||||
American Standard Companies, Inc. | 2,400 | 141,552 | ||||||
Masco Corp. | 5,200 | 148,044 | ||||||
289,596 | ||||||||
Commercial Services & Supplies – 0.5% | ||||||||
Allied Waste Industries, Inc. (a) | 3,500 | 47,110 | ||||||
Avery Dennison Corp. | 1,300 | 86,424 | ||||||
Cintas Corp. | 1,900 | 74,917 | ||||||
Equifax, Inc. | 2,000 | 88,840 | ||||||
Monster Worldwide, Inc. (a) | 1,800 | 73,980 | ||||||
Pitney Bowes, Inc. | 3,000 | 140,460 | ||||||
R.R. Donnelley & Sons Co. | 3,000 | 130,530 | ||||||
Robert Half International, Inc. | 2,300 | 83,950 | ||||||
Waste Management, Inc. | 7,100 | 277,255 | ||||||
1,003,466 | ||||||||
Construction & Engineering – 0.1% | ||||||||
Fluor Corp. | 1,200 | 133,644 | ||||||
Electrical Equipment – 0.4% | ||||||||
Cooper Industries Ltd. Class A | 2,500 | 142,725 | ||||||
Emerson Electric Co. | 11,000 | 514,800 | ||||||
Rockwell Automation, Inc. | 2,200 | 152,768 | ||||||
810,293 | ||||||||
Industrial Conglomerates – 4.0% | ||||||||
3M Co. | 9,900 | 859,221 | ||||||
General Electric Co. | 142,000 | 5,435,760 | ||||||
Textron, Inc. | 1,700 | 187,187 |
(continued)
84
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
Industrial Conglomerates (continued) | ||||||||
Tyco International Ltd. | 27,400 | $ | 925,846 | |||||
7,408,014 | ||||||||
Machinery – 1.7% | ||||||||
Caterpillar, Inc. | 8,800 | 689,040 | ||||||
Cummins, Inc. | 1,400 | 141,694 | ||||||
Danaher Corp. | 3,300 | 249,150 | ||||||
Deere & Co. | 3,100 | 374,294 | ||||||
Dover Corp. | 2,800 | 143,220 | ||||||
Eaton Corp. | 2,000 | 186,000 | ||||||
Illinois Tool Works, Inc. | 5,700 | 308,883 | ||||||
Ingersoll-Rand Co. Ltd. Class A | 4,200 | 230,244 | ||||||
ITT Industries, Inc. | 2,500 | 170,700 | ||||||
PACCAR, Inc. | 3,475 | 302,464 | ||||||
Pall Corp. | 1,700 | 78,183 | ||||||
Parker Hannifin Corp. | 1,600 | 156,656 | ||||||
Terex Corp. (a) | 1,400 | 113,820 | ||||||
3,144,348 | ||||||||
Road & Rail – 0.8% | ||||||||
Burlington Northern Santa Fe Corp. | 4,900 | 417,186 | ||||||
CSX Corp. | 6,000 | 270,480 | ||||||
Norfolk Southern Corp. | 5,400 | 283,878 | ||||||
Ryder System, Inc. | 800 | 43,040 | ||||||
Union Pacific Corp. | 3,700 | 426,055 | ||||||
1,440,639 | ||||||||
Trading Companies & Distributors – 0.0% | ||||||||
W.W. Grainger, Inc. | 1,000 | 93,050 | ||||||
TOTAL INDUSTRIALS | 21,031,354 | |||||||
INFORMATION TECHNOLOGY – 15.2% | ||||||||
Communications Equipment – 2.6% | ||||||||
Avaya, Inc. (a) | 6,201 | 104,425 | ||||||
Ciena Corp. (a) | 1,142 | 41,261 | ||||||
Cisco Systems, Inc. (a) | 83,800 | 2,333,830 | ||||||
Corning, Inc. (a) | 21,700 | 554,435 | ||||||
JDS Uniphase Corp. (a) | 2,875 | 38,611 | ||||||
Juniper Networks, Inc. (a) | 7,800 | 196,326 | ||||||
Motorola, Inc. | 31,900 | 564,630 | ||||||
QUALCOMM, Inc. | 23,000 | 997,970 | ||||||
Tellabs, Inc. (a) | 6,000 | 64,560 | ||||||
4,896,048 | ||||||||
Computers & Peripherals – 3.9% | ||||||||
Apple Inc. (a) | 11,900 | 1,452,276 | ||||||
Dell, Inc. (a) | 31,300 | 893,615 | ||||||
EMC Corp. (a) | 29,000 | 524,900 | ||||||
Hewlett-Packard Co. | 36,100 | 1,610,782 | ||||||
International Business Machines Corp. | 18,800 | 1,978,700 | ||||||
Lexmark International, Inc. Class A (a) | 1,300 | 64,103 | ||||||
NCR Corp. (a) | 2,500 | 131,350 | ||||||
Network Appliance, Inc. (a) | 5,100 | 148,920 | ||||||
QLogic Corp. (a) | 2,200 | 36,630 | ||||||
SanDisk Corp. (a) | 3,100 | 151,714 | ||||||
Sun Microsystems, Inc. (a) | 49,300 | 259,318 | ||||||
7,252,308 | ||||||||
Electronic Equipment & Instruments – 0.2% | ||||||||
Agilent Technologies, Inc. (a) | 5,500 | 211,420 | ||||||
Jabil Circuit, Inc. | 2,500 | 55,175 | ||||||
Molex, Inc. | 2,000 | 60,020 | ||||||
Solectron Corp. (a) | 12,500 | 46,000 | ||||||
Tektronix, Inc. | 1,100 | 37,114 | ||||||
409,729 | ||||||||
Internet Software & Services – 1.4% | ||||||||
eBay, Inc. (a) | 15,600 | 502,008 | ||||||
Google, Inc. Class A (a) | 2,975 | 1,557,055 | ||||||
VeriSign, Inc. (a) | 3,400 | 107,882 | ||||||
Yahoo!, Inc. (a) | 16,700 | 453,071 | ||||||
2,620,016 | ||||||||
IT Services – 1.1% | ||||||||
Affiliated Computer Services, Inc. Class A (a) | 1,400 | 79,408 | ||||||
Automatic Data Processing, Inc. | 7,600 | 368,372 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 2,000 | 150,180 | ||||||
Computer Sciences Corp. (a) | 2,400 | 141,960 | ||||||
Convergys Corp. (a) | 1,900 | 46,056 | ||||||
Electronic Data Systems Corp. | 7,000 | 194,110 | ||||||
Fidelity National Information Services Inc. | 2,300 | 124,844 | ||||||
First Data Corp. | 10,447 | 341,303 | ||||||
Fiserv, Inc. (a) | 2,300 | 130,640 | ||||||
Paychex, Inc. | 4,700 | 183,864 | ||||||
The Western Union Co. | 10,647 | 221,777 | ||||||
Unisys Corp. (a) | 4,800 | 43,872 | ||||||
2,026,386 | ||||||||
Office Electronics – 0.1% | ||||||||
Xerox Corp. (a) | 12,900 | 238,392 | ||||||
Semiconductor & Semiconductor Equipment – 2.7% | ||||||||
Advanced Micro Devices, Inc. (a) | 7,600 | 108,680 | ||||||
Altera Corp. | 4,900 | 108,437 | ||||||
Analog Devices, Inc. | 4,500 | 169,380 | ||||||
Applied Materials, Inc. | 19,100 | 379,517 | ||||||
Broadcom Corp. Class A (a) | 6,450 | 188,663 | ||||||
Intel Corp. | 80,200 | 1,905,552 | ||||||
KLA-Tencor Corp. | 2,600 | 142,870 | ||||||
Linear Technology Corp. | 3,500 | 126,630 | ||||||
LSI Logic Corp. (a) | 10,600 | 79,606 | ||||||
Maxim Integrated Products, Inc. | 4,400 | 147,004 | ||||||
MEMC Electronic Materials, Inc. (a) | 3,100 | 189,472 | ||||||
Micron Technology, Inc. (a) | 10,400 | 130,312 | ||||||
National Semiconductor Corp. | 3,900 | 110,253 | ||||||
Novellus Systems, Inc. (a) | 1,700 | 48,229 | ||||||
NVIDIA Corp. (a) | 5,000 | 206,550 | ||||||
Teradyne, Inc. (a) | 2,600 | 45,708 | ||||||
Texas Instruments, Inc. | 19,800 | 745,074 | ||||||
Xilinx, Inc. | 4,100 | 109,757 | ||||||
4,941,694 | ||||||||
Software – 3.2% | ||||||||
Adobe Systems, Inc. (a) | 8,100 | 325,215 | ||||||
Autodesk, Inc. (a) | 3,200 | 150,656 | ||||||
BMC Software, Inc. (a) | 2,800 | 84,840 |
(continued)
85
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
Software (continued) | ||||||||
CA, Inc. | 5,700 | $ | 147,231 | |||||
Citrix Systems, Inc. (a) | 2,500 | 84,175 | ||||||
Compuware Corp. (a) | 4,200 | 49,812 | ||||||
Electronic Arts, Inc. (a) | 4,300 | 203,476 | ||||||
Intuit, Inc. (a) | 4,700 | 141,376 | ||||||
Microsoft Corp. | 116,200 | 3,424,414 | ||||||
Novell, Inc. (a) | 4,800 | 37,392 | ||||||
Oracle Corp. (a) | 54,600 | 1,076,166 | ||||||
Symantec Corp. (a) | 12,394 | 250,359 | ||||||
5,975,112 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 28,359,685 | |||||||
MATERIALS – 3.1% | ||||||||
Chemicals – 1.6% | ||||||||
Air Products and Chemicals, Inc. | 3,000 | 241,110 | ||||||
Ashland Inc. | 800 | 51,160 | ||||||
E.I. du Pont de Nemours & Co. | 12,700 | 645,668 | ||||||
Eastman Chemical Co. | 1,200 | 77,196 | ||||||
Ecolab, Inc. | 2,400 | 102,480 | ||||||
Hercules, Inc. (a) | 1,600 | 31,440 | ||||||
International Flavors & Fragrances, Inc. | 1,100 | 57,354 | ||||||
Monsanto Co. | 7,486 | 505,605 | ||||||
PPG Industries, Inc. | 2,300 | 175,053 | ||||||
Praxair, Inc. | 4,400 | 316,756 | ||||||
Rohm & Haas Co. | 2,000 | 109,360 | ||||||
Sigma-Aldrich Corp. | 1,800 | 76,806 | ||||||
The Dow Chemical Co. | 13,200 | 583,704 | ||||||
2,973,692 | ||||||||
Construction Materials – 0.1% | ||||||||
Vulcan Materials Co. | 1,300 | 148,902 | ||||||
Containers & Packaging – 0.2% | ||||||||
Ball Corp. | 1,400 | 74,438 | ||||||
Bemis Co., Inc | 1,400 | 46,452 | ||||||
Pactiv Corp. (a) | 1,800 | 57,402 | ||||||
Sealed Air Corp. | 2,200 | 68,244 | ||||||
Temple-Inland, Inc. | 1,500 | 92,295 | ||||||
338,831 | ||||||||
Metals & Mining – 0.9% | ||||||||
Alcoa, Inc. | 12,000 | 486,360 | ||||||
Allegheny Technologies, Inc. | 1,400 | 146,832 | ||||||
Freeport-McMoRan Copper & Gold, Inc. Class B | 5,176 | 428,676 | ||||||
Newmont Mining Corp. | 6,200 | 242,172 | ||||||
Nucor Corp. | 4,200 | 246,330 | ||||||
United States Steel Corp. | 1,600 | 174,000 | ||||||
1,724,370 | ||||||||
Paper & Forest Products – 0.3% | ||||||||
International Paper Co. | 6,000 | 234,300 | ||||||
MeadWestvaco Corp. | 2,500 | 88,300 | ||||||
Weyerhaeuser Co. | 3,000 | 236,790 | ||||||
559,390 | ||||||||
TOTAL MATERIALS | 5,745,185 | |||||||
TELECOMMUNICATION SERVICES – 3.7% | ||||||||
Diversified Telecommunication Services – 3.1% | ||||||||
AT&T Inc. | 85,078 | 3,530,737 | ||||||
CenturyTel, Inc. | 1,500 | 73,575 | ||||||
Citizens Communications Co. | 4,700 | 71,769 | ||||||
Embarq Corp. | 2,051 | 129,972 | ||||||
Qwest Communications International, Inc. (a) | 21,400 | 207,580 | ||||||
Verizon Communications, Inc. | 40,100 | 1,650,917 | ||||||
Windstream Corp. | 6,596 | 97,357 | ||||||
5,761,907 | ||||||||
Wireless Telecommunication Services – 0.6% | ||||||||
ALLTEL Corp. | 4,800 | 324,240 | ||||||
Sprint Nextel Corp. | 39,932 | 826,991 | ||||||
1,151,231 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 6,913,138 | |||||||
UTILITIES – 3.5% | ||||||||
Electric Utilities – 1.8% | ||||||||
Allegheny Energy, Inc. (a) | 2,300 | 119,002 | ||||||
American Electric Power Co., Inc. | 5,500 | 247,720 | ||||||
Duke Energy Corp. | 17,336 | 317,249 | ||||||
Edison International | 4,500 | 252,540 | ||||||
Entergy Corp. | 2,700 | 289,845 | ||||||
Exelon Corp. | 9,300 | 675,180 | ||||||
FirstEnergy Corp. | 4,200 | 271,866 | ||||||
FPL Group, Inc. | 5,600 | 317,744 | ||||||
Pinnacle West Capital Corp. | 1,400 | 55,790 | ||||||
PPL Corp. | 5,300 | 247,987 | ||||||
Progress Energy, Inc. | 3,500 | 159,565 | ||||||
The Southern Co. | 10,400 | 356,616 | ||||||
3,311,104 | ||||||||
Gas Utilities – 0.1% | ||||||||
Nicor, Inc. | 600 | 25,752 | ||||||
Questar Corp. | 2,400 | 126,840 | ||||||
152,592 | ||||||||
Independent Power Producers & Energy Traders – 0.5% | ||||||||
Constellation Energy Group, Inc. | 2,500 | 217,925 | ||||||
Dynegy Inc. Class A (a) | 5,599 | 52,854 | ||||||
The AES Corp. (a) | 9,200 | 201,296 | ||||||
TXU Corp. | 6,300 | 423,990 | ||||||
896,065 | ||||||||
Multi-Utilities – 1.1% | ||||||||
Ameren Corp. | 2,800 | 137,228 | ||||||
CenterPoint Energy, Inc. | 4,400 | 76,560 | ||||||
CMS Energy Corp. | 3,100 | 53,320 | ||||||
Consolidated Edison, Inc. | 3,700 | 166,944 | ||||||
Dominion Resources Inc. | 4,800 | 414,288 | ||||||
DTE Energy Co. | 2,400 | 115,728 | ||||||
Integrys Energy Group, Inc. | 1,012 | 51,339 | ||||||
KeySpan Corp. | 2,400 | 100,752 | ||||||
NiSource, Inc. | 3,800 | 78,698 | ||||||
PG&E Corp. | 4,900 | 221,970 | ||||||
Public Service Enterprise Group, Inc. | 3,500 | 307,230 | ||||||
Sempra Energy | 3,600 | 213,228 | ||||||
TECO Energy, Inc. | 2,900 | 49,822 |
(continued)
86
Ohio National Fund, Inc.
S&P 500 Index Portfolio (Continued)
S&P 500 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.6% | Shares | Value | ||||||
Multi-Utilities (continued) | ||||||||
Xcel Energy, Inc. | 5,600 | $ | 114,632 | |||||
2,101,739 | ||||||||
TOTAL UTILITIES | 6,461,500 | |||||||
Total Common Stocks (Cost $142,647,239) | $ | 184,283,616 | ||||||
Fair | ||||||||
Exchange Traded Funds – 1.3% | Shares | Value | ||||||
Standard & Poor’s Depository Receipts (SPDRs) | 15,925 | $ | 2,395,598 | |||||
Total Exchange Traded Funds (Cost $2,423,547) | $ | 2,395,598 | ||||||
Face | Fair | |||||||
Short-Term Notes – 0.1% | Amount | Value | ||||||
Prudential Funding LLC 5.280%, 07/02/2007 | $ | 235,000 | $ | 234,966 | ||||
Total Short-Term Notes (Cost $234,965) | $ | 234,966 | ||||||
Total Investments – 100.0% (Cost $145,305,751) (b) | $ | 186,914,180 | ||||||
Other Assets in Excess of Liabilities – 0.0% | 24,798 | |||||||
Net Assets – 100.0% | $ | 186,938,978 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
87
Ohio National Fund, Inc.
S&P 500 Index Portfolio
S&P 500 Index Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $145,305,751) | $ | 186,914,180 | ||
Cash | 1,869 | |||
Receivable for securities sold | 127,270 | |||
Receivable for fund shares sold | 8,322 | |||
Dividends and accrued interest receivable | 209,303 | |||
Prepaid expenses and other assets | 759 | |||
Total assets | 187,261,703 | |||
Liabilities: | ||||
Payable for securities purchased | 203,825 | |||
Payable for fund shares redeemed | 27,817 | |||
Payable for investment management services | 58,453 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 3,218 | |||
Accrued professional fees | 6,325 | |||
Accrued accounting fees | 12,934 | |||
Accrued printing and filing fees | 9,477 | |||
Other accrued expenses | 298 | |||
Total liabilities | 322,725 | |||
Net assets | $ | 186,938,978 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 11,817,587 | ||
Paid-in capital in excess of par value | 159,045,985 | |||
Accumulated net realized loss on investments | (27,510,268 | ) | ||
Net unrealized appreciation on investments | 41,608,429 | |||
Undistributed net investment income | 1,977,245 | |||
Net assets | $ | 186,938,978 | ||
Shares outstanding | 11,817,587 | |||
Authorized Fund shares allocated to Portfolio | 30,000,000 | |||
Net asset value per share | $ | 15.82 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 9,369 | ||
Dividends | 1,734,725 | |||
Total investment income | 1,744,094 | |||
Expenses: | ||||
Management fees | 343,452 | |||
Custodian fees | 7,558 | |||
Directors’ fees | 4,411 | |||
Professional fees | 8,074 | |||
Accounting fees | 38,761 | |||
Printing and filing fees | 9,526 | |||
Compliance expense | 2,358 | |||
Other | 1,618 | |||
Total expenses | 415,758 | |||
Net investment income | 1,328,336 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized/unrealized gain (loss) on investments | 1,469,853 | |||
Change in unrealized appreciation/depreciation on investments | 9,043,521 | |||
Net realized/unrealized gain (loss) on investments | 10,513,374 | |||
Change in net assets from operations | $ | 11,841,710 | ||
The accompanying notes are an integral part of these financial statements.
88
Ohio National Fund, Inc.
S&P 500 Index Portfolio
S&P 500 Index Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,328,336 | $ | 2,611,943 | ||||
Net realized gain (loss) on investments and futures contracts | 1,469,853 | 1,228,609 | ||||||
Change in unrealized appreciation/depreciation on investments | 9,043,521 | 21,867,652 | ||||||
Change in net assets from operations | 11,841,710 | 25,708,204 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (1,924,394 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 9,718,892 | 7,789,650 | ||||||
Received from dividends reinvested | — | 1,924,394 | ||||||
Paid for shares redeemed | (16,733,935 | ) | (41,877,407 | ) | ||||
Change in net assets from capital transactions | (7,015,043 | ) | (32,163,363 | ) | ||||
Change in net assets | 4,826,667 | (8,379,553 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 182,112,311 | 190,491,864 | ||||||
End of period | $ | 186,938,978 | $ | 182,112,311 | ||||
Undistributed net investment income | $ | 1,977,245 | $ | 648,909 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 14.82 | $ | 12.99 | $ | 12.56 | $ | 11.51 | $ | 9.11 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.11 | 0.22 | 0.19 | 0.18 | 0.12 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and futures contracts | 0.89 | 1.77 | 0.37 | 1.00 | 2.40 | |||||||||||||||
Total from operations | 1.00 | 1.99 | 0.56 | 1.18 | 2.52 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.16 | ) | (0.13 | ) | (0.13 | ) | (0.12 | ) | |||||||||||
Net asset value, end of period | $ | 15.82 | $ | 14.82 | $ | 12.99 | $ | 12.56 | $ | 11.51 | ||||||||||
Total return | 6.75 | %(b) | 15.30 | % | 4.47 | % | 10.30 | % | 27.84 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 186.9 | $ | 182.1 | $ | 190.5 | $ | 195.9 | $ | 182.5 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.46 | %(a) | 0.47 | % | 0.47 | % | 0.50 | % | 0.53 | % | ||||||||||
Net investment income | 1.46 | %(a) | 1.45 | % | 1.39 | % | 1.52 | % | 1.21 | % | ||||||||||
Portfolio turnover rate | 4 | % | 7 | % | 9 | % | 8 | % | 21 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
89
Ohio National Fund, Inc.
Blue Chip Portfolio
Blue Chip Portfolio
Objective
The Blue Chip Portfolio seeks growth of capital and income by investing primarily in securities of high quality companies.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 18.47% | |||
Five year | 8.93% | |||
Since inception (5/1/98) | 4.31% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Blue Chip Portfolio returned 2.90% versus 7.37% for the current benchmark, the S&P 500/Citigroup Value Index.
During the first half of the year, the U.S. equity market continued its strong performance from the second half of 2006. The tug of war between rising inflation and slowing growth should have put investors into a somewhat unfamiliar territory. Their response, however, has mainly been that of denial of the growth slowdown and what it could mean for the overall economic picture.
Even as real GDP growth slowed to just 0.7% in the first quarter, the market took solace in the fact that the earnings per share growth came in at high single-digits and that overseas economies continued their robust growth. Disregarding the fact that the economy is operating at peak margin levels, which had already started to turn down in first quarter, investors have been willing to pay above normal valuation multiple for peak earnings. Moreover, when one considers that more than half of the 9% earnings per share growth number came from earnings buybacks and currency gains, the quality of the number should not inspire much confidence. Momentum investing has ruled the day.
The Portfolio underperformed its benchmark, the S&P 500/Citigroup Value Index. The main reason for the underperformance was weak stock selection. Our macro positioning helped relative returns, but was not enough to offset negative stock selection.
The best performing sector within the index during the period was Materials, up 20%, followed by Energy, up 18.7% and Telecommunication Services, up 15.8%. Among the laggards were Financials, down 1.3%, and Consumer Discretionary, up 3.8%. Our over-weight positioning in Health Care and Information Technology helped relative returns. So did our under-weight in Financials. We were hurt by our under-weight in Materials and Industrials, as those two outperformed the benchmark.(1)
Biggest positive contributor to Portfolio’s performance was Verizon Communications, Inc., a telecom service provider, which was up 13%. The company reported a good first quarter earnings number and the distrust surrounding its deployment of capital evaporated through the period. It was followed by Dell, Inc., technology hardware manufacturer, which was up 14%. The company continues to execute well on its turnaround strategy that is based more on a closer-to-consumer effort. Tyson Foods, Inc., largest chicken producer in the world, was up 41% on the back of an improved pricing environment. The other notable positive contributors were Chevron Corp., a diversified energy company, up 16%, and The Goodyear Tire & Rubber Co., up 25%.(1)
On the negative side, the Portfolio was hurt the most by Lexmark International, Inc., a printer manufacturer, which was down 33% after a strong run in the second half of 2006. The company continued to struggle in its inkjet market and renewed R&D efforts have yet to bear fruit. We continue to own the stock as we like the long-term risk/reward. MBIA Inc., a mortgage insurer, was down 14% on the back of renewed fears over the quality of mortgages it has guaranteed. The other notable underperformers were Jones Apparel Group, Inc., an apparel manufacturer, down 15%, Amgen, Inc., a biotech, down 19%, and Citigroup, Inc., a diversified financial conglomerate, down 6%.(1)
Despite what the pundits are saying, the domestic economy is at a tipping point of sorts. Economic fundamentals are not as strong as they appear. Residential investment decelerated at a double-digit pace in the second quarter, which has added uncertainty to the overall market outlook. Core pricing pressures appear to have abated to a low 2% range when measured ex- food and energy, but the headline inflation has remained stubbornly high. The most troubling aspect of the headline number is that it has eroded real purchasing power of the consumer, and that is evident in higher credit balances and lower numbers at the retail register. It looks like 2/3 of the economy is getting sick and is hoping that the other 1/3 will be able balance it out. Yet the other 1/3 is hiring and spending mainly overseas. The problem is that picture only gets worse from here, not better. Inventories of new and used homes are still rising, putting more pressure on housing values, which is in turn still yet to impact the wallets of the consumers. Residential woes could also increase the likelihood of a credit event given that more than half of bank loans are to the residential market. The housing market will be like a blanket that wraps around and extinguishes this equity market that has been on fire. The only question is when.
The cracks in the foundation are showing. Bear Stearns’ hedge fund trouble in the second quarter reflected problems in the subprime mortgage market. Investors have been comforting themselves that mortgage troubles will be limited to this low-quality sub-sector. The truth is that subprime is only a piece of a larger pool of adjustable-rate mortgages that are starting to re-price. These are re-pricing right at the time when long-term interest rates are moving up, like they did in the second quarter, up 40 bps on the 10 yr note. This is not a cocktail for a strong bull market.
It has also become more evident that the current Chairman of the Federal Reserve, Mr. Ben Bernanke, is not as eager as his predecessor to respond to every financial crisis with a lower Fed Funds rate. Mr. Bernanke has been grappling with high capacity utilization rates, a tight labor market, and rising income expectations. His main focus has remained inflation. It looks as if
(continued)
90
Ohio National Fund, Inc.
Blue Chip Portfolio (Continued)
Blue Chip Portfolio (Continued)
he would attend to a financial problem only after the fact. As market comes to the realization that the “Greenspan Put” is no longer in play, volatility will rise. It already did in second quarter. With it will come a cyclical change in sector performance.
We have positioned the Portfolio to benefit from such a scenario. Our over-weight in Information Technology, Health Care, and Consumer Staples, traditional “growth” sectors of the market, should do well given this macro outlook. We are under-weighted in the traditional “value” sectors of the market, such as Financials, Materials, and Utilities, which offer unattractive risk/reward. Our exposure to Industrials and Energy names is selective as we see these two sectors trading at very unappealing normalized valuations. In Telecommunication Services, we specifically like Verizon Communications, Inc. and Sprint Nextel Corp. given their valuation and unappreciated growth potential. (1)
Our performance year-to-date has been disappointing. However, we have continued to stay the course with our investment positioning. Our investment philosophy and methodology is not dependent on the whims of the market. We are focused on having a Portfolio populated with good businesses selling at attractive valuations based on our projected value of future cash-flows. More importantly, we continue to search for attractive risk/reward opportunities where probabilities are skewed to the upside.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500/Citigroup Value Index methodology measures style across seven different growth and value factors, and acknowledges that some companies exhibit neither strong growth nor value attributes, whereas the S&P/Barra methodology assigns stocks to value or growth indices based on price-to-book ratios, and only identifies stocks as pure growth or pure value. The new methodology’s manner of arriving at stock-level style scores is the same as that for the S&P 500/Citigroup benchmark series style methodology, although the index construction is different and there are two style series (Style and Pure Style) to which stocks may be assigned.
The S&P 500/Citigroup Value Index is exhaustive, containing the full market cap of the S&P 500. The S&P/Citigroup multifactor methodology is used to score constituents, which are weighted according to market cap and classified growth, value, or a mix of growth and value. The Index has a relatively low turnover. The Index presented herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 98.0 | ||
Repurchase Agreements and Other Net Assets | 2.0 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Verizon Communications, Inc. | 5.0 | |||||
2. | Citigroup, Inc. | 4.6 | |||||
3. | International Business Machines Corp. | 3.9 | |||||
4. | Kraft Foods, Inc. Class A | 3.8 | |||||
5. | Dell, Inc. | 3.6 | |||||
6. | Gannett Co., Inc. | 3.1 | |||||
7. | Sprint Nextel Corp. | 2.8 | |||||
8. | Chevron Corp. | 2.8 | |||||
9. | American International Group, Inc. | 2.8 | |||||
10. | Wyeth | 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 | 19.2 | ||
Information Technology | 18.5 | ||
Health Care | 16.1 | ||
Consumer Discretionary | 13.2 | ||
Consumer Staples | 9.7 | ||
Telecommunication Services | 7.7 | ||
Industrials | 7.5 | ||
Energy | 6.1 | ||
98.0 | |||
91
Ohio National Fund, Inc.
Blue Chip Portfolio
Blue Chip Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.0% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 13.2% | ||||||||
Auto Components – 1.8% | ||||||||
Magna International, Inc. | 6,900 | $ | 627,831 | |||||
Automobiles – 2.1% | ||||||||
Ford Motor Co. | 76,900 | 724,398 | ||||||
Media – 3.1% | ||||||||
Gannett Co., Inc. | 19,700 | 1,082,515 | ||||||
Specialty Retail – 4.3% | ||||||||
The Gap Inc. | 32,000 | 611,200 | ||||||
The Home Depot, Inc. | 22,500 | 885,375 | ||||||
1,496,575 | ||||||||
Textiles, Apparel & Luxury Goods – 1.9% | ||||||||
Jones Apparel Group, Inc. | 23,700 | 669,525 | ||||||
TOTAL CONSUMER DISCRETIONARY | 4,600,844 | |||||||
CONSUMER STAPLES – 9.7% | ||||||||
Beverages – 1.4% | ||||||||
The Coca-Cola Co. | 9,300 | 486,483 | ||||||
Food Products – 8.3% | ||||||||
General Mills, Inc. | 9,000 | 525,780 | ||||||
Kraft Foods, Inc. Class A | 38,100 | 1,343,025 | ||||||
Sara Lee Corp. | 31,800 | 553,320 | ||||||
Tyson Foods, Inc. Class A | 20,700 | 476,928 | ||||||
2,899,053 | ||||||||
TOTAL CONSUMER STAPLES | 3,385,536 | |||||||
ENERGY – 6.1% | ||||||||
Oil, Gas & Consumable Fuels – 6.1% | ||||||||
Apache Corp. | 7,000 | 571,130 | ||||||
Chevron Corp. | 11,700 | 985,608 | ||||||
Exxon Mobil Corp. | 6,912 | 579,779 | ||||||
TOTAL ENERGY | 2,136,517 | |||||||
FINANCIALS – 19.2% | ||||||||
Commercial Banks – 2.0% | ||||||||
Wachovia Corp. | 14,000 | 717,500 | ||||||
Diversified Financial Services – 7.0% | ||||||||
Bank of America Corp. | 17,165 | 839,197 | ||||||
Citigroup, Inc. | 31,533 | 1,617,327 | ||||||
2,456,524 | ||||||||
Insurance – 8.3% | ||||||||
ACE Ltd. | 11,500 | 718,980 | ||||||
American International Group, Inc. | 13,900 | 973,417 | ||||||
MBIA, Inc. | 10,900 | 678,198 | ||||||
XL Capital Ltd. Class A | 6,400 | 539,456 | ||||||
2,910,051 | ||||||||
Thrifts & Mortgage Finance – 1.9% | ||||||||
Freddie Mac | 10,700 | 649,490 | ||||||
TOTAL FINANCIALS | 6,733,565 | |||||||
HEALTH CARE – 16.1% | ||||||||
Biotechnology – 1.4% | ||||||||
Amgen, Inc. (a) | 9,000 | 497,610 | ||||||
Health Care Equipment & Supplies – 2.6% | ||||||||
Boston Scientific Corp. (a) | 59,400 | 911,196 | ||||||
Health Care Providers & Services – 4.6% | ||||||||
Cardinal Health, Inc. | 10,800 | 762,912 | ||||||
UnitedHealth Group, Inc. | 13,200 | 675,048 | ||||||
WellPoint, Inc. (a) | 2,200 | 175,626 | ||||||
1,613,586 | ||||||||
Pharmaceuticals – 7.5% | ||||||||
Johnson & Johnson | 12,800 | 788,736 | ||||||
Pfizer, Inc. | 34,000 | 869,380 | ||||||
Wyeth | 16,700 | 957,578 | ||||||
2,615,694 | ||||||||
TOTAL HEALTH CARE | 5,638,086 | |||||||
INDUSTRIALS – 7.5% | ||||||||
Aerospace & Defense – 3.7% | ||||||||
L-3 Communications Holdings, Inc. | 2,800 | 272,692 | ||||||
Northrop Grumman Corp. | 6,756 | 526,090 | ||||||
United Technologies Corp. | 6,900 | 489,417 | ||||||
1,288,199 | ||||||||
Building Products – 1.2% | ||||||||
Masco Corp. | 14,700 | 418,509 | ||||||
Commercial Services & Supplies – 2.0% | ||||||||
Avery Dennison Corp. | 5,400 | 358,992 | ||||||
Cintas Corp. | 8,900 | 350,927 | ||||||
709,919 | ||||||||
Industrial Conglomerates – 0.6% | ||||||||
3M Co. | 2,200 | 190,938 | ||||||
TOTAL INDUSTRIALS | 2,607,565 | |||||||
INFORMATION TECHNOLOGY – 18.5% | ||||||||
Communications Equipment – 1.9% | ||||||||
Alcatel-Lucent – ADR | 17,700 | 247,800 | ||||||
Nortel Networks Corp. (a) | 17,400 | 418,470 | ||||||
666,270 | ||||||||
Computers & Peripherals – 8.7% | ||||||||
Dell, Inc. (a) | 44,500 | 1,270,475 | ||||||
International Business Machines Corp. | 12,800 | 1,347,200 | ||||||
Lexmark International, Inc. Class A (a) | 8,800 | 433,928 | ||||||
3,051,603 | ||||||||
IT Services – 3.3% | ||||||||
Computer Sciences Corp. (a) | 10,700 | 632,905 | ||||||
Fiserv, Inc. (a) | 9,500 | 539,600 | ||||||
1,172,505 | ||||||||
Office Electronics – 1.3% | ||||||||
Xerox Corp. (a) | 23,700 | 437,976 | ||||||
Semiconductor & Semiconductor Equipment – 1.7% | ||||||||
Applied Materials, Inc. | 30,600 | 608,022 | ||||||
Software – 1.6% | ||||||||
Symantec Corp. (a) | 27,200 | 549,440 | ||||||
TOTAL INFORMATION TECHNOLOGY | 6,485,816 | |||||||
(continued)
92
Ohio National Fund, Inc.
Blue Chip Portfolio (Continued)
Blue Chip Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.0% | Shares | Value | ||||||
TELECOMMUNICATION SERVICES – 7.7% | ||||||||
Diversified Telecommunication Services – 4.9% | ||||||||
Verizon Communications, Inc. | 41,730 | $ | 1,718,024 | |||||
Wireless Telecommunication Services – 2.8% | ||||||||
Sprint Nextel Corp. | 47,700 | 987,867 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 2,705,891 | |||||||
Total Common Stocks (Cost $31,158,477) | $ | 34,293,820 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.5% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 549,000 | $ | 549,000 | ||||
Repurchase price $549,188 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $559,984 | ||||||||
Total Repurchase Agreements (Cost $549,000) | $ | 549,000 | ||||||
Total Investments – 99.5% (Cost $31,707,477) (b) | $ | 34,842,820 | ||||||
Other Assets in Excess of Liabilities – 0.5% | 158,841 | |||||||
Net Assets – 100.0% | $ | 35,001,661 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
93
Ohio National Fund, Inc.
Blue Chip Portfolio
Blue Chip Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $31,707,477) | $ | 34,842,820 | ||
Cash | 3,643 | |||
Receivable for securities sold | 396,131 | |||
Receivable for fund shares sold | 6,636 | |||
Dividends and accrued interest receivable | 32,296 | |||
Prepaid expenses and other assets | 127 | |||
Total assets | 35,281,653 | |||
Liabilities: | ||||
Payable for securities purchased | 247,439 | |||
Payable for fund shares redeemed | 10 | |||
Payable for investment management services | 21,796 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 386 | |||
Accrued professional fees | 5,487 | |||
Accrued accounting fees | 2,599 | |||
Accrued printing and filing fees | 1,841 | |||
Other accrued expenses | 56 | |||
Total liabilities | 279,992 | |||
Net assets | $ | 35,001,661 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,596,831 | ||
Paid-in capital in excess of par value | 26,512,266 | |||
Accumulated net realized gain on investments | 2,445,471 | |||
Net unrealized appreciation on investments | 3,135,343 | |||
Undistributed net investment income | 311,750 | |||
Net assets | $ | 35,001,661 | ||
Shares outstanding | 2,596,831 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 13.48 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 21,531 | ||
Dividends (net of withholding tax of $2,880) | 330,569 | |||
Total investment income | 352,100 | |||
Expenses: | ||||
Management fees | 128,761 | |||
Custodian fees | 1,346 | |||
Directors’ fees | 826 | |||
Professional fees | 5,968 | |||
Accounting fees | 7,986 | |||
Printing and filing fees | 2,058 | |||
Compliance expense | 2,358 | |||
Other | 271 | |||
Total expenses | 149,574 | |||
Net investment income | 202,526 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 2,369,373 | |||
Change in unrealized appreciation/depreciation on investments | (1,588,894 | ) | ||
Net realized/unrealized gain (loss) on investments | 780,479 | |||
Change in net assets from operations | $ | 983,005 | ||
The accompanying notes are an integral part of these financial statements.
94
Ohio National Fund, Inc.
Blue Chip Portfolio
Blue Chip Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 202,526 | $ | 419,510 | ||||
Net realized gain (loss) on investments | 2,369,373 | 2,209,063 | ||||||
Change in unrealized appreciation/depreciation on investments | (1,588,894 | ) | 2,084,284 | |||||
Change in net assets from operations | 983,005 | 4,712,857 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (310,286 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 1,767,516 | 5,029,690 | ||||||
Received from dividends reinvested | — | 310,286 | ||||||
Paid for shares redeemed | (2,540,112 | ) | (5,073,664 | ) | ||||
Change in net assets from capital transactions | (772,596 | ) | 266,312 | |||||
Change in net assets | 210,409 | 4,668,883 | ||||||
Net Assets: | ||||||||
Beginning of period | 34,791,252 | 30,122,369 | ||||||
End of period | $ | 35,001,661 | $ | 34,791,252 | ||||
Undistributed net investment income | $ | 311,750 | $ | 109,224 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.10 | $ | 11.36 | $ | 10.95 | $ | 10.12 | $ | 8.10 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.08 | 0.16 | 0.15 | 0.15 | 0.12 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.30 | 1.70 | 0.37 | 0.82 | 2.02 | |||||||||||||||
Total from operations | 0.38 | 1.86 | 0.52 | 0.97 | 2.14 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.12 | ) | (0.11 | ) | (0.14 | ) | (0.12 | ) | |||||||||||
Net asset value, end of period | $ | 13.48 | $ | 13.10 | $ | 11.36 | $ | 10.95 | $ | 10.12 | ||||||||||
Total return | 2.90 | %(b) | 16.35 | % | 4.74 | % | 9.61 | % | 26.58 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 35.0 | $ | 34.8 | $ | 30.1 | $ | 32.2 | $ | 28.1 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.87 | %(a) | 0.88 | % | 0.92 | % | 0.84 | % | 0.97 | % | ||||||||||
Net investment income | 1.18 | %(a) | 1.38 | % | 1.27 | % | 1.45 | % | 1.36 | % | ||||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.87 | %(a) | 0.88 | % | 0.92 | % | 0.99 | % | 1.10 | % | ||||||||||
Portfolio turnover rate | 29 | % | 65 | % | 55 | % | 52 | % | 70 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
95
Ohio National Fund, Inc.
High Income Bond Portfolio
High Income Bond Portfolio
Objective
The High Income Bond Portfolio seeks high current income by investing primarily in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated Baa or lower by Moodys, or BBB or lower by Standard & Poor’s or Fitch.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 10.82% | |||
Five year | 10.50% | |||
Since inception (5/1/98) | 5.46% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the High Income Bond Portfolio returned 2.99% versus 2.96% for the current benchmark, the Lehman Brothers 2% Issuer Constrained High Yield Index (“the Index”).
The high yield market generated attractive relative returns during the period. For example, the index returned 2.96% compared to a 0.98% total return for the Lehman Brothers Aggregate Bond Index, a measure of high quality bond performance. Both indices’ absolute returns were negatively impacted by an increase in general interest rate levels during the period. For example, the yield on 10-year U.S. Treasury securities rose 32 basis points during the period. The bulk of the outperformance for the index came from the higher income levels paid by high yield securities.
Credit conditions remained good during the period. First quarter GDP growth came in well below potential but expectations are that the second quarter will register a strong rebound. Taken together, the first half of 2007 will be characterized as a period of modest economic growth consistent with a mid-cycle slowdown. Given the reasonable economic backdrop, corporate earnings continue to advance and default rates continue to run substantially below historical averages. Given this positive environment for corporate creditworthiness, credit spreads were relatively stable during the period and remain well below their long term average. For example, the difference in yields between the Credit Suisse High Yield Bond Index and comparable maturity U.S. Treasury securities decreased slightly from 3.18% on December 31, 2006 to 3.16% on June 30, 2007.
Within the high yield market, lower rated bonds continued to outpace higher rated bonds given good credit conditions and low default rates. For example, CCC-rated bonds returned 5.40%, B-rated bonds returned 3.14% while higher quality BB-rated bonds returned 1.40%. From an industry perspective within the index, building materials, transportation, industrial-other and media — cable generated strong returns while home construction, aerospace and electric and natural gas utility underperformed.
The Portfolio outperformed the index. Several factors positively impacted overall returns. Security selection was positive especially in gaming, media-non cable and technology. The Portfolio’s lack of exposure to the poor performing home construction industry positively impacted returns. The Portfolio also maintained a shorter duration than the benchmark which aided performance in a rising interest rate environment. Specific Portfolio holdings which substantially outperformed the index included: 155 East Tropicana, LLC/155 East Tropicana Finance Corp., Stanadyne Holdings, Inc., Cooper-Standard Automotive Inc., NBC Acquisition Corp. and CDRV Investors Inc.(1)
Detracting from Portfolio performance relative to the index was poor security selection in electric utility, retail and telecommunication (both wireless and wireline). Specific holdings which substantially underperformed the index included GMAC LLC., TXU Corp., Leiner Health Products Inc., Claires Stores, Inc. and long duration El Paso Corp. securities.(1)
As we look forward to the second half of 2007, the economy appears to be rebounding from a slow first quarter. Job growth remains healthy and the strength in foreign economies, especially developing economies, appears to be aiding the U.S. economy. However, high energy prices, troubles in the subprime mortgage market and weak overall housing conditions, pose some difficulties for the U.S. economy. From a high yield market perspective, good credit conditions illustrated by low default rates need to be balanced against tight credit spreads and deteriorating quality of new issues coming to market.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
(continued)
96
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. All returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of Portfolio management or trading. Neither the Portfolio nor the Index is open to direct investment.
The Lehman Brothers 2% Issuer Constrained High Yield Index is the 2% Issuer Cap component of the U.S. Corporate High Yield Index. The Lehman Brothers U.S. Corporate High Yield Index covers the universe of fixed rate, non-investment grade debt. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, and 144-As are also included.
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Qwest Corp. 8.875% 03/15/2012 | 1.5 | |||||
2. | HCA, Inc. 9.625% 11/15/2016 | 1.2 | |||||
3. | Dow Jones CDX High Yield Pass Through Certificates Series 2005-T3 8.250% 12/29/2010 | 1.1 | |||||
4. | Jostens IH Corp. 7.625% 10/01/2012 | 0.9 | |||||
5. | Targeted Return Index Securities (TRAINS) HY-1-2006 3.539% 05/01/2016 | 0.8 | |||||
6. | Allied Waste North America, Inc. 7.125% 05/15/2016 | 0.8 | |||||
7. | Michael Foods, Inc. 8.000% 11/15/2013 | 0.8 | |||||
8. | Intelsat Bermuda Ltd. 11.250% 06/15/2016 | 0.7 | |||||
9. | Tennessee Gas Pipeline Co. 8.375% 06/15/2032 | 0.7 | |||||
10. | General Motors Corp. 7.400% 09/01/2025 | 0.7 |
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Corporate Bonds (3) (4) | 88.7 | ||
Credit-Linked Certificates | 1.1 | ||
Targeted Return Index Securities | 0.8 | ||
Common Stocks (3) | 0.1 | ||
Repurchase Agreements and | |||
Other Net Assets | 9.3 | ||
100.0 | |||
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Consumer Discretionary | 26.9 | ||
Industrials | 11.3 | ||
Consumer Staples | 8.9 | ||
Materials | 8.4 | ||
Energy | 8.0 | ||
Health Care | 7.3 | ||
Telecommunication Services | 4.8 | ||
Financials | 4.4 | ||
Utilities | 4.6 | ||
Information Technology | 4.2 | ||
88.8 | |||
(4) | Bond Credit Quality (Standard & Poor’s Ratings): |
% of Total Bonds | |||
BBB | 2.4 | ||
BB | 20.3 | ||
B | 49.7 | ||
CCC | 27.6 | ||
100.0 | |||
97
Ohio National Fund, Inc.
High Income Bond Portfolio
High Income Bond Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 26.9% | ||||||||
Auto Components – 1.1% | ||||||||
Cooper-Standard Automotive Inc. 8.375%, 12/15/2014 | $ | 150,000 | $ | 140,625 | ||||
Goodyear Tire & Rubber Co. 9.000%, 07/01/2015 | 6,000 | 6,300 | ||||||
Hawk Corp. 8.750%, 11/01/2014 | 100,000 | 103,500 | ||||||
Stanadyne Holdings, Inc. 0.000% to 08/15/2009 then 12.000%, 02/15/2015 | 125,000 | 104,375 | ||||||
Stanadyne Corp. 10.000%, 08/15/2014 | 125,000 | 132,813 | ||||||
Tenneco Automotive, Inc. 8.625%, 11/15/2014 | 100,000 | 103,500 | ||||||
United Components, Inc. 9.375%, 06/15/2013 | 400,000 | 415,000 | ||||||
1,006,113 | ||||||||
Automobiles – 1.3% | ||||||||
Ford Motor Co. 7.450%, 07/16/2031 | 350,000 | 281,312 | ||||||
General Motors Corp. 7.125%, 07/15/2013 | 75,000 | 70,594 | ||||||
8.375%, 07/15/2033 | 225,000 | 206,438 | ||||||
7.400%, 09/01/2025 | 775,000 | 656,812 | ||||||
1,215,156 | ||||||||
Distributors – 0.3% | ||||||||
Baker & Taylor Inc. 11.500%, 07/01/2013 (b) | 300,000 | 315,000 | ||||||
Diversified Consumer Services – 1.0% | ||||||||
Education Management LLC 10.250%, 06/01/2016 | 525,000 | 555,188 | ||||||
Knowledge Learning Corp. 7.750%, 02/01/2015 (b) | 425,000 | 413,312 | ||||||
968,500 | ||||||||
Hotels, Restaurants & Leisure – 6.7% | ||||||||
Boyd Gaming Corp. 7.125%, 02/01/2016 | 125,000 | 121,875 | ||||||
Dave & Busters, Inc. 11.250%, 03/15/2014 | 275,000 | 283,250 | ||||||
El Pollo Loco, Inc. 11.750%, 11/15/2013 | 125,000 | 132,500 | ||||||
Fontainebleau Las Vegas Holdings LLC/ Fontainebleau Las Vegas Capital Corp. 10.250%, 06/15/2015 (b) | 275,000 | 272,250 | ||||||
Gaylord Entertainment Co. 8.000%, 11/15/2013 | 75,000 | 76,406 | ||||||
6.750%, 11/15/2014 | 175,000 | 172,813 | ||||||
Great Canadian Gaming Corp. 7.250%, 02/15/2015 (b) | 350,000 | 350,000 | ||||||
Herbst Gaming, Inc. 7.000%, 11/15/2014 | 325,000 | 306,313 | ||||||
Jacobs Entertainment, Inc. 9.750%, 06/15/2014 | 325,000 | 339,219 | ||||||
Hotels, Restaurants & Leisure (continued) | ||||||||
Mandalay Resort Group 10.250%, 08/01/2007 | 175,000 | 175,656 | ||||||
9.375%, 02/15/2010 | 190,000 | 201,400 | ||||||
MGM Mirage Inc. 6.000%, 10/01/2009 | 25,000 | 24,906 | ||||||
8.500%, 09/15/2010 | 75,000 | 78,844 | ||||||
8.375%, 02/01/2011 | 100,000 | 102,750 | ||||||
5.875%, 02/27/2014 | 500,000 | 455,000 | ||||||
7.500%, 06/01/2016 | 325,000 | 309,969 | ||||||
MTR Gaming Group, Inc. 9.750%, 04/01/2010 | 100,000 | 104,500 | ||||||
9.000%, 06/01/2012 | 275,000 | 290,812 | ||||||
Penn National Gaming Inc. 6.750%, 03/01/2015 | 400,000 | 412,000 | ||||||
Royal Caribbean Cruises Ltd. 7.000%, 06/15/2013 | 75,000 | 75,695 | ||||||
7.250%, 06/15/2016 | 275,000 | 273,076 | ||||||
San Pasqual Casino Development Group 8.000%, 09/15/2013 (b) | 250,000 | 253,750 | ||||||
Seminole Hard Rock International Inc./ Seminole Hard Rock International LLC 7.860%, 03/15/2014 (b) (c) | 175,000 | 177,187 | ||||||
Shingle Springs Tribal Gaming Authority 9.375%, 06/15/2015 (b) | 225,000 | 228,094 | ||||||
Station Casinos, Inc. 7.750%, 08/15/2016 | 175,000 | 174,125 | ||||||
Tunica-Biloxi Gaming Authority 9.000%, 11/15/2015 (b) | 225,000 | 236,250 | ||||||
Universal City Development Partners, Ltd./UCDP Finance, Inc. 11.750%, 04/01/2010 | 200,000 | 212,500 | ||||||
Universal City Florida Holding Co. I/II 10.110%, 05/01/2010 (c) | 50,000 | 51,250 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. 6.625%, 12/01/2014 | 425,000 | 411,719 | ||||||
6,304,109 | ||||||||
Household Durables – 1.6% | ||||||||
American Greetings Corp. 7.375%, 06/01/2016 | 325,000 | 329,875 | ||||||
Da-Lite Screen Co, Inc. 9.500%, 05/15/2011 | 150,000 | 158,250 | ||||||
Jarden Corp. 7.500%, 05/01/2017 | 400,000 | 397,000 | ||||||
Norcraft Companies Finance Corp. 9.000%, 11/01/2011 | 75,000 | 77,812 | ||||||
Norcraft Holdings L.P. / Norcraft Capital Corp. 0.000% to 09/01/2008 then 9.750%, 09/01/2012 | 150,000 | 138,000 | ||||||
Sealy Mattress Co. 8.250%, 06/15/2014 | 350,000 | 360,500 | ||||||
1,461,437 | ||||||||
(continued)
98
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Leisure Equipment & Products – 1.8% | ||||||||
Jostens Holding Corp. 0.000% to 12/01/2008 then 10.250%, 12/01/2013 | $ | 375,000 | $ | 345,938 | ||||
Jostens IH Corp. 7.625%, 10/01/2012 | 875,000 | 875,000 | ||||||
True Temper Sports, Inc. 8.375%, 09/15/2011 | 275,000 | 242,000 | ||||||
Visant Holding Corp. 8.750%, 12/01/2013 | 250,000 | 261,250 | ||||||
1,724,188 | ||||||||
Media – 10.7% | ||||||||
AAC Group Holding Corp. 0.000% to 10/01/2008 then 10.250%, 10/01/2012 | 350,000 | 316,750 | ||||||
14.750%, 10/01/2012 | 110,694 | 122,040 | ||||||
Affinity Group, Inc. 9.000%, 02/15/2012 | 175,000 | 187,250 | ||||||
American Achievement Corp. 8.250%, 04/01/2012 | 275,000 | 278,438 | ||||||
CBD Media Holdings LLC/CBD Holdings Finance, Inc. 9.250%, 07/15/2012 | 200,000 | 208,000 | ||||||
CBD Media, Inc./CBD Finance Inc. 8.625%, 06/01/2011 | 200,000 | 203,000 | ||||||
CCH II LLC/CCH II Capital Corp. 10.250%, 10/01/2013 | 100,000 | 107,500 | ||||||
Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp. 10.250%, 09/15/2010 | 525,000 | 551,250 | ||||||
Cinemark, Inc. 0.000% to 03/15/2009 then 9.750%, 03/15/2014 | 275,000 | 251,625 | ||||||
CSC Holdings, Inc. 7.250%, 07/15/2008 | 150,000 | 151,500 | ||||||
8.125%, 08/15/2009 | 200,000 | 204,500 | ||||||
Dex Media East LLC/Dex Media East Finance Co. 12.125%, 11/15/2012 | 130,000 | 140,238 | ||||||
Dex Media West LLC/Dex Media Finance Co. 9.875%, 08/15/2013 | 297,000 | 319,275 | ||||||
Dex Media, Inc. 0.000% to 11/15/2008 then 9.000%, 11/15/2013 | 275,000 | 260,219 | ||||||
DIRECTV Holdings LLC/DirecTV Financing Co., Inc. 8.375%, 03/15/2013 | 146,000 | 153,483 | ||||||
6.375%, 06/15/2015 | 200,000 | 188,500 | ||||||
EchoStar DBS Corp. 5.750%, 10/01/2008 | 200,000 | 200,000 | ||||||
6.625%, 10/01/2014 | 325,000 | 311,188 | ||||||
Idearc, Inc. 8.000%, 11/15/2016 | 625,000 | 634,375 | ||||||
Media (continued) | ||||||||
Intelsat Bermuda Ltd. 8.872%, 01/15/2015 (c) | 275,000 | 282,219 | ||||||
11.250%, 06/15/2016 | 625,000 | 703,125 | ||||||
Intelsat Intermediate Holding Co., Ltd. 0.000% to 02/01/2010 then 9.250% 02/01/2015 | 675,000 | 558,562 | ||||||
Intelsat Subsidiary Holding Co. Ltd. 8.625% to 01/23/2006, then 8.875% to 03/13/2006 then 8.625% to 01/15/2015 | 200,000 | 206,000 | ||||||
Kabel Deutschland GmbH 10.625%, 07/01/2014 | 450,000 | 495,000 | ||||||
Lamar Media Corp. 7.250%, 01/01/2013 | 50,000 | 50,125 | ||||||
6.625%, 08/15/2015 | 400,000 | 380,999 | ||||||
Local TV Finance LLC 9.250%, 06/15/2015 (b) | 200,000 | 199,000 | ||||||
MediMedia USA Inc. 11.375%, 11/15/2014 (b) | 275,000 | 296,312 | ||||||
PanAmSat Corp. 9.000%, 08/15/2014 | 82,000 | 85,895 | ||||||
Quebecor Media, Inc. 7.750%, 03/15/2016 | 225,000 | 229,500 | ||||||
R.H. Donnelley Finance Corp. 10.875%, 12/15/2012 | 100,000 | 106,875 | ||||||
6.875%, 01/15/2013 | 375,000 | 357,187 | ||||||
8.875%, 01/15/2016 | 150,000 | 156,750 | ||||||
Rainbow National Services LLC 10.375%, 09/01/2014 (b) | 175,000 | 192,937 | ||||||
Sinclair Broadcast Group, Inc. 8.000%, 03/15/2012 | 3,000 | 3,090 | ||||||
The Reader’s Digest Association, Inc. 9.000%, 02/15/2017 (b) | 275,000 | 258,500 | ||||||
Univision Communications, Inc. 9.750%, 03/15/2015 (b) | 75,000 | 74,438 | ||||||
Videotron Ltee 6.375%, 12/15/2015 | 100,000 | 95,500 | ||||||
WDAC Subsidiary Corp. 8.375%, 12/01/2014 (b) | 400,000 | 422,000 | ||||||
XM Satellite Radio Inc. 9.750%, 05/01/2014 | 125,000 | 123,125 | ||||||
10,066,270 | ||||||||
Specialty Retail – 2.3% | ||||||||
Affinity Group, Inc. 10.875%, 02/15/2012 | 213,862 | 228,832 | ||||||
AutoNation, Inc. 7.360%, 04/15/2013 (c) | 300,000 | 300,750 | ||||||
7.000%, 04/15/2014 | 50,000 | 49,625 | ||||||
Claire’s Stores, Inc. 10.500%, 06/01/2017 (b) | 350,000 | 321,125 | ||||||
FTD, Inc. 7.750%, 02/15/2014 | 250,000 | 248,750 | ||||||
NBC Acquisition Corp. 0.000% to 03/15/2008 then 11.000% 03/15/2013 | 350,000 | 323,750 |
(continued)
99
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Specialty Retail (continued) | ||||||||
Nebraska Book Co., Inc. 8.625%, 03/15/2012 | $ | 425,000 | $ | 423,938 | ||||
United Auto Group, Inc. 7.750%, 12/15/2016 | 275,000 | 275,000 | ||||||
2,171,770 | ||||||||
Textiles, Apparel & Luxury Goods – 0.1% | ||||||||
The Warnaco Group, Inc. 8.875%, 06/15/2013 | 100,000 | 106,000 | ||||||
TOTAL CONSUMER DISCRETIONARY | 25,338,543 | |||||||
CONSUMER STAPLES – 8.9% | ||||||||
Beverages – 0.9% | ||||||||
Constellation Brands, Inc. 8.000%, 02/15/2008 | 75,000 | 75,750 | ||||||
7.250%, 09/01/2016 | 175,000 | 171,500 | ||||||
7.250%, 05/15/2017 (b) | 150,000 | 147,000 | ||||||
Cott Beverages, Inc. 8.000%, 12/15/2011 | 475,000 | 482,125 | ||||||
876,375 | ||||||||
Food & Staples Retailing – 1.0% | ||||||||
Couche-Tard U.S. L.P./Couche-Tard Finance Corp. 7.500%, 12/15/2013 | 550,000 | 556,875 | ||||||
General Nutrition Centers, Inc. 9.796%, 03/15/2014 (b) (c) | 350,000 | 339,500 | ||||||
896,375 | ||||||||
Food Products – 5.5% | ||||||||
ASG Consolidated LLC/ASG Finance Inc. 0.000% to 11/01/2008 then 11.500%, 11/01/2011 | 600,000 | 561,000 | ||||||
B&G Foods Inc. 8.000%, 10/01/2011 | 650,000 | 653,250 | ||||||
Dean Foods Co. 7.000%, 06/01/2016 | 500,000 | 480,000 | ||||||
Del Monte Corp. 6.750%, 02/15/2015 | 450,000 | 430,875 | ||||||
Eurofresh, Inc. 11.500%, 01/15/2013 (b) | 275,000 | 275,000 | ||||||
Michael Foods, Inc. 8.000%, 11/15/2013 | 700,000 | 710,500 | ||||||
Nutro Products Inc. 10.750%, 04/15/2014 (b) | 225,000 | 262,584 | ||||||
Pierre Foods, Inc. 9.875%, 07/15/2012 | 300,000 | 306,000 | ||||||
Pilgrims Pride Corp. 8.375%, 05/01/2017 | 475,000 | 472,625 | ||||||
Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. 9.250%, 04/01/2015 (b) | 200,000 | 194,000 | ||||||
10.625%, 04/01/2017 (b) | 200,000 | 193,500 | ||||||
Reddy Ice Holdings, Inc. 0.000% to 11/01/2008 then 10.500%, 11/01/2012 | 225,000 | 212,625 | ||||||
Food Products (continued) | ||||||||
Smithfield Foods, Inc. 8.000%, 10/15/2009 | 100,000 | 103,500 | ||||||
7.750%, 05/15/2013 | 125,000 | 127,500 | ||||||
7.750%, 07/01/2017 | 225,000 | 226,125 | ||||||
5,209,084 | ||||||||
Household Products – 0.5% | ||||||||
Church & Dwight Co., Inc./Church & Dwight Co. 6.000%, 12/15/2012 | 350,000 | 337,312 | ||||||
Spectrum Brands, Inc. 7.375%, 02/01/2015 | 125,000 | 101,094 | ||||||
438,406 | ||||||||
Personal Products – 0.4% | ||||||||
Playtex Products, Inc. 9.375%, 06/01/2011 | 375,000 | 387,188 | ||||||
Tobacco – 0.6% | ||||||||
Reynolds American Inc. 7.750%, 06/01/2018 | 500,000 | 536,034 | ||||||
TOTAL CONSUMER STAPLES | 8,343,462 | |||||||
ENERGY – 8.0% | ||||||||
Energy Equipment & Services – 0.9% | ||||||||
Basic Energy Services, Inc. 7.125%, 04/15/2016 | 425,000 | 408,000 | ||||||
CGG-Veritas 7.750%, 05/15/2017 | 225,000 | 228,937 | ||||||
Complete Production Services Inc. 8.000%, 12/15/2016 (b) | 150,000 | 152,250 | ||||||
Grant Prideco, Inc. 6.125%, 08/15/2015 | 50,000 | 47,625 | ||||||
836,812 | ||||||||
Oil, Gas & Consumable Fuels – 7.1% | ||||||||
Chesapeake Energy Corp. 7.500%, 09/15/2013 | 325,000 | 332,313 | ||||||
6.875%, 11/15/2020 | 450,000 | 433,125 | ||||||
Cimarex Energy Co. 7.125%, 05/01/2017 | 250,000 | 245,000 | ||||||
El Paso Corp. 7.800%, 08/01/2031 | 225,000 | 228,973 | ||||||
Forest Oil Corp. 7.250%, 06/15/2019 (b) | 275,000 | 268,125 | ||||||
Hilcorp Energy I LP/Hilcorp Finance Co. 7.750%, 11/01/2015 (b) | 125,000 | 121,875 | ||||||
9.000%, 06/01/2016 (b) | 250,000 | 260,000 | ||||||
Holly Energy Partners L.P. 6.250%, 03/01/2015 | 475,000 | 446,500 | ||||||
Inergy L.P./Inergy Finance Corp. 6.875%, 12/15/2014 | 575,000 | 547,687 | ||||||
Pacific Energy Partners L.P./Pacific Energy Finance Corp. 7.125%, 06/15/2014 | 100,000 | 103,569 | ||||||
6.250%, 09/15/2015 | 100,000 | 98,388 |
(continued)
100
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Oil, Gas & Consumable Fuels (continued) | ||||||||
Petroplus Finance Ltd. 6.750%, 05/01/2014 (b) | $ | 75,000 | $ | 72,562 | ||||
7.000%, 05/01/2017 (b) | 225,000 | 217,687 | ||||||
Pioneer Natural Resources Co. 6.875%, 05/01/2018 | 300,000 | 285,921 | ||||||
Plains Exploration & Production Co. 7.750%, 06/15/2015 | 450,000 | 448,875 | ||||||
7.000%, 03/15/2017 | 125,000 | 119,063 | ||||||
Range Resources Corp. 7.375%, 07/15/2013 | 125,000 | 126,875 | ||||||
6.375%, 03/15/2015 | 100,000 | 95,250 | ||||||
7.500%, 05/15/2016 | 150,000 | 152,625 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. 8.375%, 12/15/2013 (b) | 250,000 | 258,750 | ||||||
Southern Star Central Corp. 6.750%, 03/01/2016 | 225,000 | 222,750 | ||||||
Tennessee Gas Pipeline Co. 8.375%, 06/15/2032 | 560,000 | 659,455 | ||||||
Transcontinental Gas Pipe Line Corp. 8.875%, 07/15/2012 | 50,000 | 56,250 | ||||||
6.400%, 04/15/2016 | 175,000 | 176,313 | ||||||
Williams Cos., Inc. 7.625%, 07/15/2019 | 450,000 | 477,000 | ||||||
7.875%, 09/01/2021 | 250,000 | 270,000 | ||||||
6,724,931 | ||||||||
TOTAL ENERGY | 7,561,743 | |||||||
FINANCIALS – 4.4% | ||||||||
Consumer Finance – 2.6% | ||||||||
Ford Motor Credit Co. LLC 9.875%, 08/10/2011 | 125,000 | 131,314 | ||||||
7.250%, 10/25/2011 | 375,000 | 361,238 | ||||||
8.105%, 01/13/2012 (c) | 550,000 | 549,120 | ||||||
8.000%, 12/15/2016 | 350,000 | 335,789 | ||||||
GMAC LLC 6.875%, 09/15/2011 | 475,000 | 467,655 | ||||||
8.000%, 11/01/2031 | 575,000 | 589,573 | ||||||
2,434,689 | ||||||||
Real Estate Investment Trusts – 1.4% | ||||||||
Host Hotels & Resorts LP 6.875%, 11/01/2014 | 150,000 | 149,063 | ||||||
Host Marriott L.P. 7.125%, 11/01/2013 | 200,000 | 200,750 | ||||||
6.375%, 03/15/2015 | 175,000 | 168,875 | ||||||
6.750%, 06/01/2016 | 100,000 | 98,500 | ||||||
Ventas Realty L.P./Ventas Capital Corp. 6.625%, 10/15/2014 | 325,000 | 322,156 | ||||||
7.125%, 06/01/2015 | 175,000 | 177,187 | ||||||
6.500%, 06/01/2016 | 75,000 | 73,500 | ||||||
6.750%, 04/01/2017 | 125,000 | 124,063 | ||||||
1,314,094 | ||||||||
Real Estate Management & Development – 0.4% | ||||||||
American Real Estate Partners, L.P./ American Real Estate Finance Corp. 7.125%, 02/15/2013 | 250,000 | 242,500 | ||||||
HRP Myrtle Beach Operations LLC/HRP Myrtle Beach Capital Corp. 10.070%, 04/01/2012 (b) (c) | 150,000 | 150,750 | ||||||
393,250 | ||||||||
TOTAL FINANCIALS | 4,142,033 | |||||||
HEALTH CARE – 7.3% | ||||||||
Health Care Equipment & Supplies – 0.9% | ||||||||
Accellent, Inc. 10.500%, 12/01/2013 | 250,000 | 249,375 | ||||||
Advanced Medical Optics, Inc. 7.500%, 05/01/2017 (b) | 275,000 | 261,250 | ||||||
Varietal Distribution Merger Sub, Inc. 10.250%, 07/15/2015 (b) | 300,000 | 300,750 | ||||||
811,375 | ||||||||
Health Care Providers & Services – 5.8% | ||||||||
AMR HoldCo, Inc./EmCare Holdco, Inc. 10.000%, 02/15/2015 | 250,000 | 271,250 | ||||||
CRC Health Corp. 10.750%, 02/01/2016 | 275,000 | 303,875 | ||||||
HCA, Inc. 6.375%, 01/15/2015 | 250,000 | 213,125 | ||||||
9.250%, 11/15/2016 (b) | 475,000 | 507,063 | ||||||
9.625%, 11/15/2016 (b) | 1,075,000 | 1,158,313 | ||||||
7.500%, 11/06/2033 | 225,000 | 191,813 | ||||||
National Mentor Holdings, Inc. 11.250%, 07/01/2014 | 425,000 | 461,125 | ||||||
Omnicare, Inc. 6.875%, 12/15/2015 | 375,000 | 358,125 | ||||||
Psychiatric Solutions, Inc. 7.750%, 07/15/2015 (b) | 350,000 | 347,812 | ||||||
Triad Hospitals, Inc. 7.000%, 11/15/2013 | 9,000 | 9,483 | ||||||
United Surgical Partners International Inc. 8.875%, 05/01/2017 (b) | 50,000 | 50,375 | ||||||
9.250%, 05/01/2017 (b) | 375,000 | 377,812 | ||||||
Universal Hospital Services Inc. 8.759%, 06/01/2015 (b) (c) | 50,000 | 50,250 | ||||||
8.500%, 06/01/2015 (b) | 75,000 | 74,625 | ||||||
Vanguard Health Holding Co., I, LLC 9.000%, 10/01/2014 | 250,000 | 248,750 | ||||||
Viant Holdings Inc. 10.125%, 07/15/2017 (b) | 381,000 | 384,810 | ||||||
Yankee Acquisition Corp. 8.500%, 02/15/2015 | 75,000 | 73,125 | ||||||
9.750%, 02/15/2017 | 350,000 | 340,375 | ||||||
5,422,106 | ||||||||
Life Sciences Tools & Services – 0.5% | ||||||||
Bio-Rad Laboratories, Inc. 6.125%, 12/15/2014 | 275,000 | 259,875 |
(continued)
101
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Life Sciences Tools & Services (continued) | ||||||||
Fisher Scientific International, Inc. 6.125%, 07/01/2015 | $ | 225,000 | $ | 221,273 | ||||
481,148 | ||||||||
Pharmaceuticals – 0.1% | ||||||||
Leiner Health Products Inc. 11.000%, 06/01/2012 | 125,000 | 118,750 | ||||||
TOTAL HEALTH CARE | 6,833,379 | |||||||
INDUSTRIALS – 11.3% | ||||||||
Aerospace & Defense – 2.1% | ||||||||
Alliant Techsystems, Inc. 6.750%, 04/01/2016 | 300,000 | 292,500 | ||||||
DRS Technologies, Inc. 6.625%, 02/01/2016 | 200,000 | 194,000 | ||||||
Hawker Beechcraft Acquisition Co./ Hawker Beechcraft Notes Co. 8.875%, 04/01/2015 (b) | 275,000 | 283,937 | ||||||
9.750%, 04/01/2017 (b) | 200,000 | 209,500 | ||||||
K & F Acquisition, Inc. 7.750%, 11/15/2014 | 150,000 | 159,750 | ||||||
L-3 Communications Corp. 6.125%, 01/15/2014 | 500,000 | 473,750 | ||||||
5.875%, 01/15/2015 | 100,000 | 93,250 | ||||||
6.375%, 10/15/2015 | 225,000 | 213,750 | ||||||
1,920,437 | ||||||||
Building Products – 0.8% | ||||||||
Goodman Global Holdings, Inc. 8.360%, 06/15/2012 (c) | 35,000 | 35,350 | ||||||
7.875%, 12/15/2012 | 250,000 | 248,750 | ||||||
Nortek, Inc. 8.500%, 09/01/2014 | 50,000 | 47,875 | ||||||
NTK Holdings, Inc. 0.000% to 09/01/2009 then 10.750% 03/01/2014 | 75,000 | 54,750 | ||||||
Panolam Industries International, Inc. 10.750%, 10/01/2013 (b) | 375,000 | 393,750 | ||||||
780,475 | ||||||||
Commercial Services & Supplies – 3.6% | ||||||||
Allied Waste North America, Inc. 7.125%, 05/15/2016 | 725,000 | 712,312 | ||||||
ARAMARK Corp. 8.500%, 02/01/2015 (b) | 150,000 | 153,375 | ||||||
8.860%, 02/01/2015 (b) (c) | 250,000 | 255,000 | ||||||
Browning-Ferris Industries Inc. 9.250%, 05/01/2021 | 150,000 | 160,500 | ||||||
Clean Harbors, Inc. 11.250%, 07/15/2012 | 65,000 | 72,104 | ||||||
Danka Business Systems PLC 11.000%, 06/15/2010 | 50,000 | 52,937 | ||||||
Deluxe Corp. 5.125%, 10/01/2014 | 200,000 | 171,000 | ||||||
7.375%, 06/01/2015 (b) | 50,000 | 50,000 | ||||||
Commercial Services & Supplies (continued) | ||||||||
Global Cash Access LLC/Global Cash Finance Corp. 8.750%, 03/15/2012 | 81,000 | 84,443 | ||||||
Norcross Safety Products LLC/Norcross Capital Corp. 9.875%, 08/15/2011 | 100,000 | 105,500 | ||||||
Rental Service Corp. 9.500%, 12/01/2014 (b) | 200,000 | 205,000 | ||||||
Safety Products Holdings, Inc. 11.750%, 01/01/2012 | 183,074 | 193,143 | ||||||
SGS International, Inc. 12.000%, 12/15/2013 | 400,000 | 438,000 | ||||||
West Corp. 9.500%, 10/15/2014 | 175,000 | 180,250 | ||||||
11.000%, 10/15/2016 | 550,000 | 577,500 | ||||||
3,411,064 | ||||||||
Electrical Equipment – 1.3% | ||||||||
Baldor Electric Co. 8.625%, 02/15/2017 | 325,000 | 345,313 | ||||||
Belden CDT, Inc. 7.000%, 03/15/2017 (b) | 125,000 | 123,750 | ||||||
General Cable Corp. 7.725%, 04/01/2015 (b) (c) | 325,000 | 326,625 | ||||||
7.125%, 04/01/2017 (b) | 100,000 | 99,500 | ||||||
Sensus Metering Systems Inc. 8.625%, 12/15/2013 | 125,000 | 127,500 | ||||||
Superior Essex Communications LLC/Essex Group Inc. 9.000%, 04/15/2012 | 175,000 | 179,375 | ||||||
1,202,063 | ||||||||
Machinery – 1.6% | ||||||||
ALH Finance LLC/ALH Finance Corp. 8.500%, 01/15/2013 | 475,000 | 473,813 | ||||||
Case New Holland Inc. 9.250%, 08/01/2011 | 250,000 | 263,300 | ||||||
Esco Corp. 8.625%, 12/15/2013 (b) | 250,000 | 263,750 | ||||||
9.230%, 12/15/2013 (b) (c) | 75,000 | 76,875 | ||||||
Mueller Water Products Inc. 7.375%, 06/01/2017 (b) | 150,000 | 149,491 | ||||||
Valmont Industries, Inc. 6.875%, 05/01/2014 | 275,000 | 271,563 | ||||||
1,498,792 | ||||||||
Marine – 0.3% | ||||||||
Stena AB 7.000%, 12/01/2016 | 275,000 | 276,375 | ||||||
Road & Rail – 0.7% | ||||||||
Hertz Corp. 8.875%, 01/01/2014 | 400,000 | 419,000 | ||||||
10.500%, 01/01/2016 | 225,000 | 249,750 | ||||||
668,750 | ||||||||
(continued)
102
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Trading Companies & Distributors – 0.9% | ||||||||
American Tire Distributors Holdings Inc. 10.750%, 04/01/2013 | $ | 225,000 | $ | 230,625 | ||||
Interline Brands, Inc. 8.125%, 06/15/2014 | 375,000 | 379,687 | ||||||
TransDigm, Inc. 7.750%, 07/15/2014 (b) | 275,000 | 279,125 | ||||||
889,437 | ||||||||
TOTAL INDUSTRIALS | 10,647,393 | |||||||
INFORMATION TECHNOLOGY – 4.2% | ||||||||
Computers & Peripherals – 0.4% | ||||||||
Seagate Technology HDD Holdings 6.800%, 10/01/2016 | 325,000 | 313,625 | ||||||
Smart Modular Technologies, Inc. 10.860%, 04/01/2012 (c) | 114,000 | 120,840 | ||||||
434,465 | ||||||||
IT Services – 1.5% | ||||||||
CHR Intermediate Holding Corp. 12.610%, 06/01/2013 (b) (c) | 175,000 | 174,344 | ||||||
CompuCom Systems, Inc. 12.000%, 11/01/2014 (b) | 200,000 | 216,000 | ||||||
iPayment, Inc. 9.750%, 05/15/2014 | 225,000 | 226,125 | ||||||
SunGard Data Systems, Inc. 9.125%, 08/15/2013 | 200,000 | 205,750 | ||||||
10.250%, 08/15/2015 | 550,000 | 584,375 | ||||||
1,406,594 | ||||||||
Office Electronics – 0.5% | ||||||||
Xerox Corp. 9.750%, 01/15/2009 | 175,000 | 185,186 | ||||||
7.625%, 06/15/2013 | 100,000 | 104,796 | ||||||
6.400%, 03/15/2016 | 200,000 | 201,566 | ||||||
491,548 | ||||||||
Semiconductor & Semiconductor Equipment – 0.3% | ||||||||
Freescale Semiconductor, Inc. 8.875%, 12/15/2014 (b) | 175,000 | 168,000 | ||||||
MagnaChip Semiconductor S.A./MagnaChip Semiconductor Finance Co. | ||||||||
8.000%, 12/15/2014 | 150,000 | 110,250 | ||||||
278,250 | ||||||||
Software – 1.5% | ||||||||
Activant Solutions, Inc. 9.500%, 05/01/2016 | 400,000 | 395,000 | ||||||
Open Solutions, Inc. 9.750%, 02/01/2015 (b) | 350,000 | 355,250 | ||||||
Serena Software, Inc. 10.375%, 03/15/2016 | 300,000 | 324,750 | ||||||
SS&C Technologies, Inc. 11.750%, 12/01/2013 | 275,000 | 309,375 | ||||||
1,384,375 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 3,995,232 | |||||||
MATERIALS – 8.3% | ||||||||
Chemicals – 4.4% | ||||||||
Basell AF SCA 8.375%, 08/15/2015 (b) | 300,000 | 288,750 | ||||||
Chemtura Corp. 6.875%, 06/01/2016 | 350,000 | 332,500 | ||||||
Equistar Chemicals L.P. 8.750%, 02/15/2009 | 100,000 | 104,000 | ||||||
Equistar Chemicals L.P./Equistar Funding Corp. 10.125%, 09/01/2008 | 79,000 | 82,555 | ||||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC 9.750%, 11/15/2014 | 450,000 | 468,000 | ||||||
Invista | ||||||||
9.250%, 05/01/2012 (b) | 275,000 | 292,187 | ||||||
Koppers Inc. 9.875%, 10/15/2013 | 251,000 | 269,197 | ||||||
Lyondell Chemical Co. 8.250%, 09/15/2016 | 375,000 | 393,750 | ||||||
6.875%, 06/15/2017 | 300,000 | 291,000 | ||||||
Nalco Finance Holdings Inc. 0.000% to 02/01/2009 then 9.000% 02/01/2014 | 66,000 | 60,390 | ||||||
Nalco Co. 7.750%, 11/15/2011 | 150,000 | 151,875 | ||||||
8.875%, 11/15/2013 | 225,000 | 234,563 | ||||||
PQ Corp. 7.500%, 02/15/2013 | 250,000 | 266,250 | ||||||
Terra Capital, Inc. 7.000%, 02/01/2017 | 525,000 | 509,250 | ||||||
The Mosaic Co. 7.375%, 12/01/2014 (b) | 75,000 | 76,125 | ||||||
7.625%, 12/01/2016 (b) | 175,000 | 179,812 | ||||||
Union Carbide Chemical & Plastics Co, Inc. 7.875%, 04/01/2023 | 100,000 | 106,458 | ||||||
Union Carbide Corp. 7.500%, 06/01/2025 | 50,000 | 51,321 | ||||||
4,157,983 | ||||||||
Construction Materials – 0.2% | ||||||||
Texas Industries, Inc. 7.250%, 07/15/2013 | 150,000 | 151,125 | ||||||
Containers & Packaging – 2.1% | ||||||||
Ball Corp. 6.625%, 03/15/2018 | 350,000 | 336,875 | ||||||
Berry Plastic Holdings Corp. 8.875%, 09/15/2014 | 375,000 | 381,563 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. 7.750%, 11/15/2015 | 375,000 | 378,750 | ||||||
Graphic Packaging International Corp. 9.500%, 08/15/2013 | 350,000 | 365,313 | ||||||
Jefferson Smurfit Corp. 8.250%, 10/01/2012 | 108,000 | 107,730 |
(continued)
103
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Containers & Packaging (continued) | ||||||||
Owens-Brockway Glass Container Inc. 8.250%, 05/15/2013 | $ | 150,000 | $ | 156,000 | ||||
6.750%, 12/01/2014 | 125,000 | 122,500 | ||||||
Plastipak Holdings, Inc. 8.500%, 12/15/2015 (b) | 75,000 | 78,000 | ||||||
Russell-Stanley Holdings, Inc. 9.000%, 11/30/2008 (Acquired 11/20/2001 and 05/30/2005, Cost $4,325) (a) (b) (d) (e) (f) | 3,643 | 423 | ||||||
Smurfit Kappa Funding plc 9.625%, 10/01/2012 | 23,000 | 24,207 | ||||||
1,951,361 | ||||||||
Metals & Mining – 1.1% | ||||||||
Aleris International, Inc. 9.000%, 12/15/2014 (b) | 175,000 | 177,406 | ||||||
10.000%, 12/15/2016 (b) | 250,000 | 249,375 | ||||||
Compass Minerals International, Inc. 0.000% to 12/15/2007 then 12.750% 12/15/2012 | 50,000 | 51,625 | ||||||
0.000% to 06/01/2008 then 12.000% 06/01/2013 | 100,000 | 99,750 | ||||||
Freeport-McMoRan Copper & Gold, Inc. 8.375%, 04/01/2017 | 250,000 | 267,500 | ||||||
Novelis, Inc. 7.250%, 02/15/2015 | 209,000 | 215,532 | ||||||
1,061,188 | ||||||||
Paper & Forest Products – 0.5% | ||||||||
NewPage Corp. 12.000%, 05/01/2013 | 425,000 | 466,437 | ||||||
TOTAL MATERIALS | 7,788,094 | |||||||
TELECOMMUNICATION SERVICES – 4.8% | ||||||||
Diversified Telecommunication Services – 2.2% | ||||||||
Citizens Communications Co. 6.250%, 01/15/2013 | 200,000 | 192,750 | ||||||
9.000%, 08/15/2031 | 100,000 | 103,500 | ||||||
Qwest Corp. 8.875%, 03/15/2012 | 1,275,000 | 1,380,188 | ||||||
Valor Telecommunications Enterprises, LLC/Valor Telecommunications Finance Corp. 7.750%, 02/15/2015 | 100,000 | 105,264 | ||||||
Windstream Corp. 8.625%, 08/01/2016 | 300,000 | 318,750 | ||||||
2,100,452 | ||||||||
Wireless Telecommunication Services – 2.6% | ||||||||
Centennial Communications Corp. 10.000%, 01/01/2013 | 225,000 | 242,438 | ||||||
11.110%, 01/01/2013 (c) | 275,000 | 288,750 | ||||||
Digicel Group Ltd. 9.125%, 01/15/2015 (b) | 325,000 | 321,344 | ||||||
Digicel Ltd. 9.250%, 09/01/2012 (b) | 200,000 | 211,750 | ||||||
Wireless Telecommunication Services (continued) | ||||||||
MetroPCS Wireless, Inc. 9.250%, 11/01/2014 (b) | 200,000 | 207,500 | ||||||
9.250%, 11/01/2014 (b) | 175,000 | 181,563 | ||||||
Nextel Communications, Inc. 7.375%, 08/01/2015 | 275,000 | 275,120 | ||||||
Rogers Wireless Inc. 8.000%, 12/15/2012 | 100,000 | 106,522 | ||||||
6.375%, 03/01/2014 | 500,000 | 506,017 | ||||||
US Unwired, Inc. 10.000%, 06/15/2012 | 100,000 | 108,310 | ||||||
2,449,314 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 4,549,766 | |||||||
UTILITIES – 4.6% | ||||||||
Electric Utilities – 2.0% | ||||||||
Edison Mission Energy 7.750%, 06/15/2016 | 425,000 | 425,000 | ||||||
7.000%, 05/15/2017 (b) | 400,000 | 379,000 | ||||||
Nevada Power Co. | ||||||||
6.500%, 04/15/2012 | 200,000 | 204,663 | ||||||
5.875%, 01/15/2015 | 50,000 | 49,093 | ||||||
6.500%, 05/15/2018 | 175,000 | 177,689 | ||||||
PSEG Energy Holdings Inc. 10.000%, 10/01/2009 | 325,000 | 351,045 | ||||||
Sierra Pacific Resources 6.750%, 08/15/2017 | 275,000 | 271,716 | ||||||
1,858,206 | ||||||||
Gas Utilities – 0.6% | ||||||||
AmeriGas Partners L.P. 7.250%, 05/20/2015 | 150,000 | 149,250 | ||||||
7.125%, 05/20/2016 | 250,000 | 246,875 | ||||||
SEMCO Energy, Inc. 7.125%, 05/15/2008 | 175,000 | 176,565 | ||||||
572,690 | ||||||||
Independent Power Producers & Energy Traders – 1.5% | ||||||||
Dynegy Holdings Inc. 7.750%, 06/01/2019 (b) | 450,000 | 420,750 | ||||||
NRG Energy, Inc. 7.250%, 02/01/2014 | 75,000 | 75,375 | ||||||
7.375%, 02/01/2016 | 450,000 | 452,250 | ||||||
7.375%, 01/15/2017 | 200,000 | 201,250 | ||||||
TXU Corp. 5.550%, 11/15/2014 | 275,000 | 234,830 | ||||||
1,384,455 | ||||||||
Multi-Utilities – 0.5% | ||||||||
FPL Energy National Wind Portfolio 6.125%, 03/25/2019 (b) | 87,614 | 85,552 | ||||||
NorthWestern Corp. 5.875%, 11/01/2014 | 150,000 | 145,778 |
(continued)
104
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 88.7% | Amount | Value | ||||||
Multi-Utilities (continued) | ||||||||
TECO Energy, Inc. 6.750%, 05/01/2015 | $ | 50,000 | $ | 51,249 | ||||
282,579 | ||||||||
TOTAL UTILITIES | 4,097,930 | |||||||
Total Corporate Bonds (Cost $82,579,520) | $ | 83,297,575 | ||||||
Face | Fair | |||||||
Credit-Linked Trust Certificates – 1.1% | Amount | Value | ||||||
Dow Jones CDX High Yield Pass through Certificates Series 2005-T3 8.250%, 12/29/2010 (b) | $ | 1,000,000 | $ | 1,042,500 | ||||
Total Credit-Linked Trust Certificates (Cost $995,000) | $ | 1,042,500 | ||||||
Face | Fair | |||||||
Targeted Return Index Securities – 0.8% | Amount | Value | ||||||
Targeted Return Index Securities (TRAINS) HY-1-2006 3.539%, 05/01/2016 (b) | $ | 767,850 | $ | 755,784 | ||||
Total Targeted Return Index Securities (Cost $792,074) | $ | 755,784 | ||||||
Fair | ||||||||
Common Stocks – 0.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||
Media – 0.0% | ||||||||
Virgin Media, Inc. | 507 | $ | 12,356 | |||||
TOTAL CONSUMER DISCRETIONARY | 12,356 | |||||||
MATERIALS – 0.1% | ||||||||
Chemicals – 0.1% | ||||||||
General Chemical Industrial Products, Inc. (Acquired 06/24/2004, Cost $19,773) (a) (e) (f) | 17 | 29,402 | ||||||
Containers & Packaging – 0.0% | ||||||||
Smurfit Kappa Group plc (a) | 260 | 6,556 | ||||||
TOTAL MATERIALS | 48,314 | |||||||
Total Common Stocks (Cost $23,413) | $ | 48,314 | ||||||
Fair | ||||||||
Warrants – 0.0% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||
Media – 0.0% | ||||||||
XM Satellite Radio, Inc. Expiration: March 2010, Exercise Price: $45.24 (a) | 50 | $ | 144 | |||||
TOTAL CONSUMER DISCRETIONARY | 144 | |||||||
INDUSTRIALS – 0.0% | ||||||||
Building Products – 0.0% | ||||||||
ACP Holding Co. Expiration: September 2013, Exercise Price: $0.01 (Acquired 10/09/2003, Cost $0) (a) (b) (e) | 9,945 | 12,182 | ||||||
TOTAL INDUSTRIALS | 12,182 | |||||||
MATERIALS – 0.0% | ||||||||
Chemicals – 0.0% | ||||||||
General Chemical Industrial Products, Inc. | ||||||||
Expiration: June 2010, Exercise Price: $195.43 (Acquired 06/24/2004; Cost $11,435) (a) (e) (f) | 10 | 15,341 | ||||||
Expiration: June 2010, Exercise Price: $376.02 (Acquired 06/24/2004; Cost $8,472) (a) (e) (f) | 7 | 9,475 | ||||||
TOTAL MATERIALS | 24,816 | |||||||
Total Warrants (Cost $19,907) | $ | 37,142 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 6.9% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 6,473,000 | $ | 6,473,000 | ||||
Repurchase price $6,475,212 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $6,602,510 | ||||||||
Total Repurchase Agreements (Cost $6,473,000) | $ | 6,473,000 | ||||||
Total Investments – 97.6% (Cost $90,882,914) (g) | $ | 91,654,315 | ||||||
Other Assets in Excess of Liabilities – 2.4% | 2,236,437 | |||||||
Net Assets – 100.0% | $ | 93,890,752 | ||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers. At June 30, 2007, the value of these securities totaled $19,180,073 or 20.4% of the Portfolio’s net assets. Unless otherwise noted by (e) below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(continued)
105
Ohio National Fund, Inc.
High Income Bond Portfolio (Continued)
High Income Bond Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
(c) | Security is a variable rate instrument in which the coupon rate is adjusted quarterly or semi-annually in concert with U.S. LIBOR. Interest rates stated are those in effect at June 30, 2007. | |
(d) | Represents a security that is in default. | |
(e) | Represents a security deemed to be illiquid. At June 30, 2007, the value of illiquid securities in the Portfolio totaled $66,823 or 0.1% of the Portfolio’s net assets. | |
(f) | Market quotations for these investments were not readily available at June 30, 2007. As discussed in Note 2 of the Notes to Financial Statements, prices for theses issues were derived from estimates of fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. At June 30, 2007, the value of these securities totaled $54,641 or 0.1% of the Portfolio’s net assets. | |
(g) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
106
Ohio National Fund, Inc.
High Income Bond Portfolio
High Income Bond Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $90,882,914) | $ | 91,654,315 | ||
Cash | 729 | |||
Receivable for securities sold | 1,256,363 | |||
Receivable for fund shares sold | 52,228 | |||
Dividends and accrued interest receivable | 1,564,559 | |||
Prepaid expenses and other assets | 286 | |||
Total assets | 94,528,480 | |||
Liabilities: | ||||
Payable for securities purchased | 549,309 | |||
Payable for fund shares redeemed | 8,176 | |||
Payable for investment management services | 57,535 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,003 | |||
Accrued professional fees | 5,652 | |||
Accrued accounting fees | 11,664 | |||
Accrued printing and filing fees | 3,890 | |||
Other accrued expenses | 121 | |||
Total liabilities | 637,728 | |||
Net assets | $ | 93,890,752 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 9,748,532 | ||
Paid-in capital in excess of par value | 78,561,931 | |||
Accumulated net realized loss on investments | (2,571,341 | ) | ||
Net unrealized appreciation on investments | 771,401 | |||
Undistributed net investment income | 7,380,229 | |||
Net assets | $ | 93,890,752 | ||
Shares outstanding | 9,748,532 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 9.63 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 3,228,831 | ||
Dividends | 25 | |||
Total investment income | 3,228,856 | |||
Expenses: | ||||
Management fees | 309,613 | |||
Custodian fees | 3,444 | |||
Directors’ fees | 2,014 | |||
Professional fees | 6,553 | |||
Accounting fees | 34,840 | |||
Printing and filing fees | 4,135 | |||
Compliance expense | 2,358 | |||
Other | 611 | |||
Total expenses | 363,568 | |||
Net investment income | 2,865,288 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 550,930 | |||
Change in unrealized appreciation/depreciation on investments | (1,226,164 | ) | ||
Net realized/unrealized gain (loss) on investments | (675,234 | ) | ||
Change in net assets from operations | $ | 2,190,054 | ||
The accompanying notes are an integral part of these financial statements.
107
Ohio National Fund, Inc.
High Income Bond Portfolio
High Income Bond Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 2,865,288 | $ | 4,543,909 | ||||
Net realized gain (loss) on investments | 550,930 | 34,440 | ||||||
Change in unrealized appreciation/depreciation on investments | (1,226,164 | ) | 1,731,036 | |||||
Change in net assets from operations | 2,190,054 | 6,309,385 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 22,640,484 | 23,761,108 | ||||||
Paid for shares redeemed | (5,244,439 | ) | (9,751,687 | ) | ||||
Change in net assets from capital transactions | 17,396,045 | 14,009,421 | ||||||
Change in net assets | 19,586,099 | 20,318,806 | ||||||
Net Assets: | ||||||||
Beginning of period | 74,304,653 | 53,985,847 | ||||||
End of period | $ | 93,890,752 | $ | 74,304,653 | ||||
Undistributed net investment income | $ | 7,380,229 | $ | 4,514,941 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 9.35 | $ | 8.49 | $ | 8.65 | $ | 7.84 | $ | 6.88 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.33 | (a) | 0.47 | 0.60 | (a) | 0.52 | 0.59 | (a) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.05 | ) | 0.39 | (0.34 | ) | 0.32 | 0.94 | |||||||||||||
Total from operations | 0.28 | 0.86 | 0.26 | 0.84 | 1.53 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | — | (0.42 | ) | (0.03 | ) | (0.57 | ) | ||||||||||||
Net asset value, end of period | $ | 9.63 | $ | 9.35 | $ | 8.49 | $ | 8.65 | $ | 7.84 | ||||||||||
Total return | 2.99 | %(c) | 10.13 | % | 2.99 | % | 10.67 | % | 22.78 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 93.9 | $ | 74.3 | $ | 54.0 | $ | 42.0 | $ | 28.3 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 0.87 | %(b) | 0.91 | % | 0.97 | % | 0.93 | % | 1.04 | % | ||||||||||
Net investment income | 6.89 | %(b) | 7.12 | % | 6.89 | % | 7.20 | % | 7.88 | % | ||||||||||
Portfolio turnover rate | 19 | % | 32 | % | 36 | % | 40 | % | 47 | % |
(a) | Calculated using the average daily shares method. | |
(b) | Annualized. | |
(c) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
108
Ohio National Fund, Inc.
Capital Growth Portfolio
Capital Growth Portfolio
Objective
The Capital Growth Portfolio seeks capital appreciation by investing in and actively managing equity securities in small-cap growth companies.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 28.73% | |||
Five year | 14.26% | |||
Since inception (5/1/98) | 11.82% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Capital Growth Portfolio returned 16.09% versus 9.33% for the current benchmark, the Russell 2000 Growth Index.
The small-cap portion of the market, as measured by the Russell 2000 Growth Index, returned a notable 9.3% during the first half of 2007. The first quarter witnessed increased volatility in the market partly due to rising energy costs and mounting fears that troubles in the subprime mortgage market could spill over into other segments of the economy. Most major indices finished the first quarter in positive territory despite these woes. During the second quarter 2007, the bond market experienced an unexpected rate increase. The rates later alleviated, somewhat reducing the impact on borrowing costs. The yield curve also returned to its pre-2006 non-inverted state (there are higher yields for longer-term bonds to reward investors for essentially lending money over a longer period). This could be viewed as a positive economic indicator since many observers consider inverted yield curves as a pre-cursor to a recession. During the first half of the year, the continued favorable rate environment more than offset the news about the subprime meltdown and the rising cost of energy, which accounts for the strong market returns.
Notably, the June quarter marked the second consecutive quarter in which growth stocks outperformed value stocks in the small-cap segment since the first quarter of 2006. During the first half of the year, the Russell 2000 Growth Index outpaced the Russell 2000 Value Index, 9.3% and 3.8%, respectively. This indicates to us that perhaps growth is back in style.
Another positive driver for the small-cap market is the continued spate of merger-and-acquisition activity. Small-cap stocks certainly have benefited from the activity this year, which may top a record-setting 2006.
We are off to a strong first half of the year in both absolute and relative returns. The Portfolio was up 16.1%, beating the solid performance of the Russell 2000 Growth Index, which was up 9.3%. Most major sectors in the Portfolio had positive absolute returns, with the Energy, Industrials, Materials and Consumer Discretionary sectors each achieving double-digit returns. Our top contributors, relative to the benchmark, were Consumer Discretionary, Industrials and Materials. Top picks within the Consumer Discretionary sector were specialty retailer Genesco, Inc., remote-control supplier Universal Electronics, Inc. and Volcom, Inc., an apparel producer. Our winners in the Industrials sector were mining-equipment producer Bucyrus International, Inc., industrial tire manufacturer Titan International, Inc., cable producer General Cable Corp. and Corrections Corp. of America. In the Materials sector, Terra Industries, Inc., a fertilizer producer, was our strongest stock.(1)
The Portfolio lagged the benchmark in the Information Technology and Health Care sectors. We did not have any notable laggards in the Information Technology sector; the Portfolio simply failed to exceed the sector returns of the index. Our biggest laggard in the Health Care sector was Vital Images, Inc.(1)
Terra Industries, Inc. manufactures nitrogen fertilizers for use in agriculture. Terra Industries, Inc. is near a pure-play in U.S. nitrogen and thus looks to us to be well-positioned to benefit from the growing demand for ethanol through increased corn acreage over the next several years. Nitrogen fertilizer prices continue to strengthen on expectations of greater U.S. plantings of nitrogen-intensive corn. We believe the company should be able to achieve significant margin expansion with nitrogen pricing improving and natural-gas costs moderating.(1)
Universal Electronics, Inc. produces preprogrammed universal remote controls. Universal Electronics, Inc. has patent-protected technologies and strong market penetration. The company is benefiting from the growing popularity of high-definition televisions and digital-video recorders.(1)
Volcom, Inc. designs and sells apparel and accessories for board sports such as skateboarding, snowboarding and surfing. The company has one of the strongest brands in the industry and is poised for earnings acceleration in the second half of this year from its push into European markets.(1)
Cash America International, Inc., owns pawn shops throughout the United States and Europe. The company continues to benefit from dramatic growth in its payday-loan business, but the stock corrected somewhat in the first quarter following almost two years among our best performing investments. The company slipped and has not yet recovered from a slight miss on fourth-quarter earnings based on weaker-than-expected merchandise sales and lower recoveries, both related to the pawn business. The pawn business represents solid, moderate growth with strong cash flow while the payday-loan operation, in our view, still shows high growth as the business matures.(1)
Physicians Formula Holdings, Inc. develops and sells cosmetics products through mass-market retailers. The company’s stock price pulled back during the quarter on disappointing second-quarter guidance. We believe this is a short-term concern because Physicians Formula Holdings, Inc. is growing through
(continued)
109
Ohio National Fund, Inc.
Capital Growth Portfolio (Continued)
Capital Growth Portfolio (Continued)
additional stores, increasing shelf space, infomercial marketing and international distribution.(1)
Vital Images, Inc. provides 3-D medical imaging for diagnostic purposes, enabling physicians to better explain planned treatment with patients prior to surgery. The market reacted negatively to the company’s first-quarter earnings report although it was in line with expectations. We believe the company will be able to significantly grow revenues and earnings as the market for advanced visualization develops.(1)
We expect three financial themes – interest-rate volatility, credit-quality concerns and the merger-and-acquisitions implications of developments in private equity – to continue to be significant in the third quarter. The Consumer Discretionary sector is taking its cues from the Financials sector and we believe this will continue to influence consumer-discretionary spending. We believe issues related to housing (e.g., home prices, mortgage rates, etc.) will continue to be a key determinant in how resilient consumer spending is through the remainder of 2007 and into 2008. We would also highlight the recent increase in interest rates as a heightened risk for this market.
Overall, our optimism for growth in the small-cap markets in 2007 continues. We believe there are ample opportunities for equity investors as several sectors have produced – and are expected to continue to produce – solid returns. We expect the strong gains of the first half of the year in the Energy, Information Technology, Industrials and Materials sectors to continue for the duration of 2007. We continue to believe a multiyear cycle for agricultural commodities has just begun within the energy and materials industries. In our view, the rising global demand for biofuels and the improving standard of living in emerging economies has led to a significant increase in demand for grains. This demand-driven cycle is unprecedented in the agricultural industry and, in our view, is likely to provide sustainable support to continued increases in agricultural-commodity prices. In the technology space, the outlook remains positive to us. We believe there will be a pickup in demand as companies not only turn to technology to expand their margins but also because many companies have under spent on technology in recent years and will look to “catch up.”
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Growth Index 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)
110
Ohio National Fund, Inc.
Capital Growth Portfolio (Continued)
Capital Growth Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 97.1 | ||
Repurchase Agreements | |||
Less Net Liabilities | 2.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Terra Industries, Inc. | 4.0 | |||||
2. | Universal Electronics, Inc. | 3.6 | |||||
3. | Volcom, Inc. | 3.3 | |||||
4. | Bucyrus International, Inc. Class A | 2.9 | |||||
5. | OYO Geospace Corp. | 2.8 | |||||
6. | Genesco, Inc. | 2.8 | |||||
7. | Coherent, Inc. | 2.5 | |||||
8. | Titan International, Inc. | 2.4 | |||||
9. | General Cable Corp. | 2.3 | |||||
10. | Waste Connections, Inc. | 2.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 22.2 | ||
Industrials | 18.5 | ||
Consumer Discretionary | 17.6 | ||
Health Care | 16.6 | ||
Materials | 7.7 | ||
Financials | 7.1 | ||
Energy | 6.5 | ||
Consumer Staples | 0.9 | ||
97.1 | |||
111
Ohio National Fund, Inc.
Capital Growth Portfolio
Capital Growth Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 17.6% | ||||||||
Hotels, Restaurants & Leisure – 2.9% | ||||||||
BJ’s Restaurants, Inc. (a) | 9,745 | $ | 192,366 | |||||
Red Robin Gourmet Burgers, Inc. (a) | 7,870 | 317,712 | ||||||
Vail Resorts, Inc. (a) | 9,975 | 607,178 | ||||||
1,117,256 | ||||||||
Household Durables – 3.6% | ||||||||
Universal Electronics, Inc. (a) | 37,445 | 1,360,002 | ||||||
Internet & Catalog Retail – 0.4% | ||||||||
U.S. Auto Parts Network, Inc. (a) | 16,120 | 152,495 | ||||||
Leisure Equipment & Products – 0.7% | ||||||||
Pool Corporation | 6,845 | 267,160 | ||||||
Media – 1.2% | ||||||||
Entravision Communications Corp. Class A (a) | 43,215 | 450,733 | ||||||
Specialty Retail – 4.4% | ||||||||
Build-A-Bear Workshop (a) | 23,865 | 623,831 | ||||||
Genesco, Inc. (a) | 20,095 | 1,051,170 | ||||||
1,675,001 | ||||||||
Textiles, Apparel & Luxury Goods – 4.4% | ||||||||
Carter’s, Inc. (a) | 16,060 | 416,597 | ||||||
Volcom, Inc. (a) | 24,785 | 1,242,472 | ||||||
1,659,069 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 6,681,716 | |||||||
CONSUMER STAPLES – 0.9% | ||||||||
Personal Products – 0.9% | ||||||||
Physicians Formula Holdings, Inc. (a) | 20,825 | 327,473 | ||||||
TOTAL CONSUMER STAPLES | 327,473 | |||||||
ENERGY – 6.5% | ||||||||
Energy Equipment & Services – 4.7% | ||||||||
Core Laboratories N.V. (a) | 4,640 | 471,842 | ||||||
Lufkin Industries, Inc. | 3,975 | 256,586 | ||||||
TETRA Technologies, Inc. (a) | 23,139 | 652,520 | ||||||
Unit Corp. (a) | 6,690 | 420,868 | ||||||
1,801,816 | ||||||||
Oil, Gas & Consumable Fuels – 1.8% | ||||||||
Edge Petroleum Corp. (a) | 6,770 | 94,848 | ||||||
Goodrich Petroleum Corp. (a) | 16,515 | 571,914 | ||||||
666,762 | ||||||||
TOTAL ENERGY | 2,468,578 | |||||||
FINANCIALS – 7.1% | ||||||||
Capital Markets – 3.6% | ||||||||
Cowen Group, Inc. (a) | 22,545 | 403,781 | ||||||
Greenhill & Co, Inc. | 8,150 | 559,986 | ||||||
Investment Technology Group, Inc. (a) | 9,205 | 398,853 | ||||||
1,362,620 | ||||||||
Commercial Banks – 0.4% | ||||||||
Boston Private Financial Holdings, Inc. | 5,250 | 141,067 | ||||||
Consumer Finance – 2.0% | ||||||||
Cash America International, Inc. | 19,495 | 772,977 | ||||||
Insurance – 1.1% | ||||||||
American Safety Insurance Holdings Ltd. (a) | 8,735 | 208,155 | ||||||
First Mercury Financial Corp. (a) | 11,085 | 232,453 | ||||||
440,608 | ||||||||
TOTAL FINANCIALS | 2,717,272 | |||||||
HEALTH CARE – 16.6% | ||||||||
Biotechnology – 1.1% | ||||||||
Cubist Pharmaceuticals, Inc. (a) | 9,615 | 189,511 | ||||||
Myriad Genetics, Inc. (a) | 6,215 | 231,136 | ||||||
420,647 | ||||||||
Health Care Equipment & Supplies – 8.3% | ||||||||
American Medical Systems Holdings, Inc. (a) | 32,715 | 590,179 | ||||||
Arrow International, Inc. | 20,195 | 773,065 | ||||||
Cutera, Inc. (a) | 20,875 | 520,205 | ||||||
DJO Inc. (a) | 6,790 | 280,223 | ||||||
Respironics, Inc. (a) | 14,750 | 628,202 | ||||||
Thoratec Corp. (a) | 20,310 | 373,501 | ||||||
3,165,375 | ||||||||
Health Care Providers & Services – 3.5% | ||||||||
Animal Health International Inc. (a) | 14,680 | 212,713 | ||||||
Centene Corp. (a) | 22,075 | 472,847 | ||||||
Matria Healthcare, Inc. (a) | 15,365 | 465,252 | ||||||
MWI Veterinary Supply, Inc. (a) | 4,800 | 191,472 | ||||||
1,342,284 | ||||||||
Health Care Technology – 2.8% | ||||||||
Eclipsys Corp. (a) | 38,900 | 770,220 | ||||||
Vital Images, Inc. (a) | 10,450 | 283,822 | ||||||
1,054,042 | ||||||||
Life Sciences Tools & Services – 0.9% | ||||||||
ICON plc – ADR (a) | 7,520 | 328,925 | ||||||
TOTAL HEALTH CARE | 6,311,273 | |||||||
INDUSTRIALS – 18.5% | ||||||||
Commercial Services & Supplies – 6.4% | ||||||||
Corrections Corp. of America (a) | 13,567 | 856,213 | ||||||
The GEO Group Inc. (a) | 8,860 | 257,826 | ||||||
School Specialty, Inc. (a) | 12,445 | 441,051 | ||||||
Waste Connections, Inc. (a) | 28,593 | 864,652 | ||||||
2,419,742 | ||||||||
Construction & Engineering – 1.6% | ||||||||
Infrasource Services, Inc. (a) | 16,495 | 611,965 | ||||||
Electrical Equipment – 2.3% | ||||||||
General Cable Corp. (a) | 11,490 | 870,367 | ||||||
Machinery – 8.2% | ||||||||
Actuant Corp. Class A | 8,255 | 520,561 | ||||||
Bucyrus International, Inc. Class A | 15,677 | 1,109,618 | ||||||
Kaydon Corp. | 10,875 | 566,805 | ||||||
Titan International, Inc. | 29,320 | 926,805 | ||||||
3,123,789 | ||||||||
TOTAL INDUSTRIALS | 7,025,863 | |||||||
(continued)
112
Ohio National Fund, Inc.
Capital Growth Portfolio (Continued)
Capital Growth Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.1% | Shares | Value | ||||||
INFORMATION TECHNOLOGY – 22.2% | ||||||||
Communications Equipment – 1.9% | ||||||||
EMS Technologies, Inc. (a) | 16,570 | $ | 365,534 | |||||
Ixia (a) | 29,200 | 270,392 | ||||||
Sirenza Microdevices, Inc. (a) | 8,040 | 95,435 | ||||||
731,361 | ||||||||
Computers & Peripherals – 1.2% | ||||||||
Avid Technology, Inc. (a) | 12,595 | 445,233 | ||||||
Electronic Equipment & Instruments – 7.0% | ||||||||
Coherent, Inc. (a) | 30,940 | 943,979 | ||||||
Daktronics, Inc. | 5,180 | 111,266 | ||||||
Dolby Laboratories, Inc. Class A (a) | 15,080 | 533,983 | ||||||
OYO Geospace Corp. (a) | 14,520 | 1,077,239 | ||||||
2,666,467 | ||||||||
Internet Software & Services – 2.8% | ||||||||
CNET Networks, Inc. (a) | 62,600 | 512,694 | ||||||
Internet Capital Group, Inc. (a) | 24,230 | 300,452 | ||||||
Switch & Data Facilities Co. (a) | 13,505 | 259,161 | ||||||
1,072,307 | ||||||||
IT Services – 2.7% | ||||||||
EnerNOC, Inc. (a) | 5,955 | 227,064 | ||||||
Global Cash Access Holdings, Inc. (a) | 49,985 | 800,760 | ||||||
1,027,824 | ||||||||
Semiconductor & Semiconductor Equipment – 1.9% | ||||||||
Advanced Energy Industries, Inc. (a) | 9,135 | 206,999 | ||||||
Eagle Test Systems, Inc. (a) | 13,985 | 224,599 | ||||||
Trident Microsystems, Inc. (a) | 15,885 | 291,490 | ||||||
723,088 | ||||||||
Software – 4.7% | ||||||||
ANSYS, Inc. (a) | 27,220 | 721,330 | ||||||
FactSet Research Systems, Inc. | 7,942 | 542,836 | ||||||
The9 Ltd. – ADR (a) | 10,865 | 502,615 | ||||||
1,766,781 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 8,433,061 | |||||||
MATERIALS – 7.7% | ||||||||
Chemicals – 5.0% | ||||||||
Quaker Chemical Corp. | 8,075 | 190,570 | ||||||
Terra Industries, Inc. (a) | 59,280 | 1,506,897 | ||||||
Zoltek Cos, Inc. (a) | 4,645 | 192,907 | ||||||
1,890,374 | ||||||||
Construction Materials – 1.6% | ||||||||
Texas Industries, Inc. | 7,595 | 595,524 | ||||||
Metals & Mining – 1.1% | ||||||||
Claymont Steel Holdings, Inc. (a) | 14,110 | 301,813 | ||||||
Northwest Pipe Co. (a) | 3,810 | 135,522 | ||||||
437,335 | ||||||||
TOTAL MATERIALS | 2,923,233 | |||||||
Total Common Stocks (Cost $26,360,916) | $ | 36,888,469 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 3.9% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 1,486,000 | $ | 1,486,000 | ||||
Repurchase price $1,486,508 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $1,515,731 | ||||||||
Total Repurchase Agreements (Cost $1,486,000) | $ | 1,486,000 | ||||||
Total Investments – 101.0% (Cost $27,846,916) (b) | $ | 38,374,469 | ||||||
Liabilities in Excess of Other Assets – (1.0)% | (370,615 | ) | ||||||
Net Assets – 100.0% | $ | 38,003,854 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
113
Ohio National Fund, Inc.
Capital Growth Portfolio
Capital Growth Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $27,846,916) | $ | 38,374,469 | ||
Cash | 110 | |||
Receivable for securities sold | 6,805 | |||
Dividends and accrued interest receivable | 1,790 | |||
Prepaid expenses and other assets | 124 | |||
Total assets | 38,383,298 | |||
Liabilities: | ||||
Payable for securities purchased | 231,185 | |||
Payable for fund shares redeemed | 109,304 | |||
Payable for investment management services | 27,664 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 848 | |||
Accrued professional fees | 5,475 | |||
Accrued accounting fees | 2,788 | |||
Accrued printing and filing fees | 1,747 | |||
Other accrued expenses | 55 | |||
Total liabilities | 379,444 | |||
Net assets | $ | 38,003,854 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,545,055 | ||
Paid-in capital in excess of par value | 40,672,207 | |||
Accumulated net realized loss on investments | (14,624,182 | ) | ||
Net unrealized appreciation on investments | 10,527,553 | |||
Accumulated net investment loss | (116,779 | ) | ||
Net assets | $ | 38,003,854 | ||
Shares outstanding | 1,545,055 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 24.60 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 19,847 | ||
Dividends | 42,510 | |||
Total investment income | 62,357 | |||
Expenses: | ||||
Management fees | 156,673 | |||
Custodian fees | 2,598 | |||
Directors’ fees | 842 | |||
Professional fees | 5,963 | |||
Accounting fees | 8,551 | |||
Printing and filing fees | 1,887 | |||
Compliance expense | 2,358 | |||
Other | 264 | |||
Total expenses | 179,136 | |||
Net investment loss | (116,779 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 2,258,960 | |||
Change in unrealized appreciation/depreciation on investments | 3,147,926 | |||
Net realized/unrealized gain (loss) on investments | 5,406,886 | |||
Change in net assets from operations | $ | 5,290,107 | ||
The accompanying notes are an integral part of these financial statements.
114
Ohio National Fund, Inc.
Capital Growth Portfolio
Capital Growth Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (116,779 | ) | $ | (241,206 | ) | ||
Net realized gain (loss) on investments | 2,258,960 | 3,761,511 | ||||||
Change in unrealized appreciation/depreciation on investments | 3,147,926 | 1,876,596 | ||||||
Change in net assets from operations | 5,290,107 | 5,396,901 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 3,417,709 | 5,387,064 | ||||||
Paid for shares redeemed | (3,651,302 | ) | (6,012,468 | ) | ||||
Change in net assets from capital transactions | (233,593 | ) | (625,404 | ) | ||||
Change in net assets | 5,056,514 | 4,771,497 | ||||||
Net Assets: | ||||||||
Beginning of period | 32,947,340 | 28,175,843 | ||||||
End of period | $ | 38,003,854 | $ | 32,947,340 | ||||
Accumulated net investment loss | $ | (116,779 | ) | $ | — | |||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 21.19 | $ | 17.64 | $ | 17.19 | $ | 14.36 | $ | 10.25 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment loss | (0.08 | ) | (0.16 | ) | (0.14 | ) | (0.12 | ) | (0.11 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 3.49 | 3.71 | 0.59 | 2.95 | 4.22 | |||||||||||||||
Total from operations | 3.41 | 3.55 | 0.45 | 2.83 | 4.11 | |||||||||||||||
Net asset value, end of period | $ | 24.60 | $ | 21.19 | $ | 17.64 | $ | 17.19 | $ | 14.36 | ||||||||||
Total return | 16.09 | %(b) | 20.12 | % | 2.62 | % | 19.71 | % | 40.10 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 38.0 | $ | 32.9 | $ | 28.2 | $ | 30.0 | $ | 26.6 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Expenses | 1.03 | %(a) | 1.03 | % | 1.03 | % | 1.03 | % | 1.11 | % | ||||||||||
Net investment loss | (0.67 | )%(a) | (0.81 | )% | (0.78 | )% | (0.74 | )% | (0.89 | )% | ||||||||||
Portfolio turnover rate | 28 | % | 69 | % | 52 | % | 64 | % | 236 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
115
Ohio National Fund, Inc.
Nasdaq-100 Index Portfolio
Nasdaq-100 Index Portfolio
Objective
The Nasdaq-100 Index Portfolio seeks long-term growth of capital by investing primarily in stocks that are included in the Nasdaq 100 Index. Unlike other portfolios, the Nasdaq-100 Index Portfolio is a non-diversified portfolio.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 22.41% | |||
Five year | 12.81% | |||
Since inception (5/1/00) | −9.30% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Nasdaq-100 Index Portfolio returned 9.96% versus 10.32% for the current benchmark, the Nasdaq-100 Index.
The Portfolio’s correlation to the index year-to-date was 99.5%. 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. PowerShares QQQ represent ownership in the Nasdaq-100 Trust, which is a unit investment trust established to provide the investment returns of the Nasdaq 100 Index. At June 30, 2007, 2.8% of the Portfolio was invested in PowerShares QQQ.
The top five stock holdings at June 30, 2007 were Apple Inc., Microsoft Corp., QUALCOMM, Inc., Google, Inc. and Cisco Systems, Inc. The largest contributors to the index return for the first six months of 2007 were Apple Inc., Research In Motion Ltd., QUALCOMM, Inc., Google, Inc. and Amazon.com Inc. The largest detractors from the index for the first six months of 2007 were Starbucks Corp., Amgen, Inc., Network Appliance, Inc., Sepracor, Inc., and Microsoft Corp.(1)
Solid earnings growth could mean positive gains for equities in the second half of 2007. The weak housing market and sub-prime mortgage problems are areas of concern for the last six months of the year as these could trickle down into the consumer space. Inflation is another concern for the rest of 2007. Moderate inflation coupled with continued earnings growth may be able to support higher stock prices in 2007.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting. Investors cannot invest in an index. Although they can invest in its underlying securities or funds.
The Nasdaq-100 Index is a modified capitalization-weighted index of the 100 largest domestic and international non-financial companies listed on the National Market tier of the NASDAQ stock market. The index presented herein includes the effects of reinvested dividends.
(continued)
116
Ohio National Fund, Inc.
Nasdaq-100 Index Portfolio (Continued)
Nasdaq-100 Index Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 97.1 | ||
Exchange Traded Funds | 2.8 | ||
Short-Term Notes | |||
Less Net Liabilities | 0.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Apple Inc. | 8.7 | |||||
2. | Microsoft Corp. | 5.7 | |||||
3. | QUALCOMM, Inc. | 5.2 | |||||
4. | Google, Inc. Class A | 4.4 | |||||
5. | Cisco Systems, Inc. | 3.6 | |||||
6. | Intel Corp. | 2.9 | |||||
7. | PowerShares QQQ | 2.8 | |||||
8. | Oracle Corp. | 2.5 | |||||
9. | Comcast Corp. Class A | 2.4 | |||||
10. | Research In Motion Ltd. | 2.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 61.0 | ||
Consumer Discretionary | 15.4 | ||
Health Care | 12.7 | ||
Industrials | 4.5 | ||
Telecommunication Services | 1.8 | ||
Consumer Staples | 1.1 | ||
Materials | 0.3 | ||
Energy | 0.3 | ||
97.1 | |||
117
Ohio National Fund, Inc.
Nasdaq-100 Index Portfolio
Nasdaq-100 Index Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 15.4% | ||||||||
Diversified Consumer Services – 0.6% | ||||||||
Apollo Group, Inc. Class A (a) | 5,150 | $ | 300,914 | |||||
Hotels, Restaurants & Leisure – 2.2% | ||||||||
Starbucks Corp. (a) | 30,250 | 793,760 | ||||||
Wynn Resorts Ltd. | 3,275 | 293,735 | ||||||
1,087,495 | ||||||||
Household Durables – 0.9% | ||||||||
Garmin Ltd. | 5,900 | 436,423 | ||||||
Internet & Catalog Retail – 3.0% | ||||||||
Amazon.com Inc. (a) | 7,975 | 545,570 | ||||||
Expedia, Inc. (a) | 8,800 | 257,752 | ||||||
IAC/InterActiveCorp (a) | 8,777 | 303,772 | ||||||
Liberty Media Corp. | 17,600 | 393,008 | ||||||
1,500,102 | ||||||||
Media – 5.1% | ||||||||
Comcast Corp. Class A (a) | 42,522 | 1,195,719 | ||||||
Discovery Holding Co. Class A (a) | 7,000 | 160,930 | ||||||
EchoStar Communications Corp. Class A (a) | 6,310 | 273,665 | ||||||
Lamar Advertising Co. Class A | 2,325 | 145,917 | ||||||
Liberty Global, Inc. Class A (a) | 5,700 | 233,928 | ||||||
Sirius Satellite Radio, Inc. (a) | 46,475 | 140,354 | ||||||
Virgin Media, Inc. | 10,500 | 255,885 | ||||||
XM Satellite Radio Holdings, Inc. Class A (a) | 9,275 | 109,167 | ||||||
2,515,565 | ||||||||
Multiline Retail – 1.6% | ||||||||
Sears Holdings Corp. (a) | 4,675 | 792,412 | ||||||
Specialty Retail – 2.0% | ||||||||
Bed Bath & Beyond, Inc. (a) | 10,950 | 394,090 | ||||||
Pet Smart, Inc. | 3,950 | 128,178 | ||||||
Ross Stores, Inc. | 4,005 | 123,354 | ||||||
Staples, Inc. | 14,100 | 334,593 | ||||||
980,215 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 7,613,126 | |||||||
CONSUMER STAPLES – 1.1% | ||||||||
Food & Staples Retailing – 1.1% | ||||||||
Costco Wholesale Corp. | 6,910 | 404,373 | ||||||
Whole Foods Market, Inc. | 4,075 | 156,073 | ||||||
TOTAL CONSUMER STAPLES | 560,446 | |||||||
ENERGY – 0.3% | ||||||||
Energy Equipment & Services – 0.3% | ||||||||
Patterson-UTI Energy, Inc. | 4,650 | 121,877 | ||||||
TOTAL ENERGY | 121,877 | |||||||
HEALTH CARE – 12.7% | ||||||||
Biotechnology – 8.5% | ||||||||
Amgen, Inc. (a) | 15,872 | 877,563 | ||||||
Amylin Pharmaceuticals, Inc. (a) | 3,725 | 153,321 | ||||||
Biogen Idec, Inc. (a) | 10,950 | 585,825 | ||||||
Celgene Corp. (a) | 11,050 | 633,496 | ||||||
Cephalon, Inc. (a) | 1,900 | 152,741 | ||||||
Genzyme Corp. (a) | 9,725 | 626,290 | ||||||
Gilead Sciences, Inc. (a) | 27,000 | 1,046,790 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 4,025 | 114,954 | ||||||
4,190,980 | ||||||||
Health Care Equipment & Supplies – 1.5% | ||||||||
Biomet, Inc. | 9,700 | 443,484 | ||||||
DENTSPLY International, Inc. | 4,275 | 163,561 | ||||||
Intuitive Surgical, Inc. (a) | 1,100 | 152,647 | ||||||
759,692 | ||||||||
Health Care Providers & Services – 1.0% | ||||||||
Express Scripts, Inc. (a) | 7,150 | 357,572 | ||||||
Patterson Cos., Inc. (a) | 3,930 | 146,471 | ||||||
504,043 | ||||||||
Pharmaceuticals – 1.7% | ||||||||
Sepracor, Inc. (a) | 3,025 | 124,086 | ||||||
Teva Pharmaceutical Industries, Ltd. – ADR | 17,785 | 733,631 | ||||||
857,717 | ||||||||
TOTAL HEALTH CARE | 6,312,432 | |||||||
INDUSTRIALS – 4.5% | ||||||||
Air Freight & Logistics – 1.0% | ||||||||
C.H. Robinson Worldwide, Inc. | 4,900 | 257,348 | ||||||
Expeditors International of Washington, Inc. | 6,150 | 253,995 | ||||||
511,343 | ||||||||
Airlines – 0.5% | ||||||||
Ryanair Holdings PLC – ADR (a) | 3,425 | 129,294 | ||||||
UAL Corp. (a) | 3,175 | 128,873 | ||||||
258,167 | ||||||||
Commercial Services & Supplies – 0.8% | ||||||||
Cintas Corp. | 5,600 | 220,808 | ||||||
Monster Worldwide, Inc. (a) | 3,925 | 161,318 | ||||||
382,126 | ||||||||
Machinery – 1.8% | ||||||||
Joy Global, Inc. | 3,125 | 182,281 | ||||||
PACCAR, Inc. | 8,168 | 710,943 | ||||||
893,224 | ||||||||
Trading Companies & Distributors – 0.4% | ||||||||
Fastenal Co. | 4,250 | 177,905 | ||||||
TOTAL INDUSTRIALS | 2,222,765 | |||||||
INFORMATION TECHNOLOGY – 61.0% | ||||||||
Communications Equipment – 12.0% | ||||||||
Cisco Systems, Inc. (a) | 63,675 | 1,773,349 | ||||||
Juniper Networks, Inc. (a) | 10,925 | 274,982 | ||||||
LM Ericsson Telephone Co. – ADR | 3,900 | 155,571 | ||||||
QUALCOMM, Inc. | 59,020 | 2,560,878 | ||||||
Research In Motion Ltd. (a) | 5,450 | 1,089,945 | ||||||
Tellabs, Inc. (a) | 7,325 | 78,817 | ||||||
5,933,542 | ||||||||
Computers & Peripherals – 12.2% | ||||||||
Apple Inc. (a) | 35,420 | 4,322,657 | ||||||
Dell, Inc. (a) | 24,525 | 700,189 | ||||||
Logitech International SA (a) | 5,225 | 137,888 | ||||||
Network Appliance, Inc. (a) | 11,385 | 332,442 | ||||||
SanDisk Corp. (a) | 6,150 | 300,981 | ||||||
Sun Microsystems, Inc. (a) | 45,595 | 239,829 | ||||||
6,033,986 | ||||||||
(continued)
118
Ohio National Fund, Inc.
Nasdaq-100 Index Portfolio (Continued)
Nasdaq-100 Index Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.1% | Shares | Value | ||||||
Electronic Equipment & Instruments – 0.8% | ||||||||
CDW Corp. (a) | 2,430 | $ | 206,477 | |||||
Flextronics International Ltd. (a) | 19,375 | 209,250 | ||||||
415,727 | ||||||||
Internet Software & Services – 8.2% | ||||||||
Akamai Technologies, Inc. (a) | 4,650 | 226,176 | ||||||
eBay, Inc. (a) | 29,860 | 960,895 | ||||||
Google, Inc. Class A (a) | 4,125 | 2,158,942 | ||||||
VeriSign, Inc. (a) | 6,730 | 213,543 | ||||||
Yahoo!, Inc. (a) | 18,960 | 514,385 | ||||||
4,073,941 | ||||||||
IT Services – 2.7% | ||||||||
CheckFree Corp. (a) | 2,450 | 98,490 | ||||||
Cognizant Technology Solutions Corp. Class A (a) | 4,125 | 309,746 | ||||||
Fiserv, Inc. (a) | 6,187 | 351,422 | ||||||
Infosys Technologies Ltd. – ADR | 3,275 | 164,995 | ||||||
Paychex, Inc. | 10,645 | 416,432 | ||||||
1,341,085 | ||||||||
Semiconductor & Semiconductor Equipment – 10.4% | ||||||||
Altera Corp. | 14,650 | 324,204 | ||||||
Applied Materials, Inc. | 20,975 | 416,773 | ||||||
Broadcom Corp. Class A (a) | 12,550 | 367,088 | ||||||
Intel Corp. | 59,745 | 1,419,541 | ||||||
KLA-Tencor Corp. | 6,825 | 375,034 | ||||||
Lam Research Corp. (a) | 4,100 | 210,740 | ||||||
Linear Technology Corp. | 9,955 | 360,172 | ||||||
Marvell Technology Group Ltd. (a) | 16,400 | 298,644 | ||||||
Maxim Integrated Products, Inc. | 13,190 | 440,678 | ||||||
Microchip Technology, Inc. | 5,325 | 197,238 | ||||||
NVIDIA Corp. (a) | 10,475 | 432,722 | ||||||
Xilinx, Inc. | 11,605 | 310,666 | ||||||
5,153,500 | ||||||||
Software – 14.7% | ||||||||
Activision, Inc. (a) | 7,425 | 138,625 | ||||||
Adobe Systems, Inc. (a) | 16,930 | 679,739 | ||||||
Autodesk, Inc. (a) | 7,075 | 333,091 | ||||||
BEA Systems, Inc. (a) | 10,675 | 146,141 | ||||||
Cadence Design Systems, Inc. (a) | 8,550 | 187,758 | ||||||
Check Point Software Technologies Ltd. (a) | 6,545 | 149,291 | ||||||
Citrix Systems, Inc. (a) | 6,300 | 212,121 | ||||||
Electronic Arts, Inc. (a) | 9,230 | 436,764 | ||||||
Intuit, Inc. (a) | 12,455 | 374,646 | ||||||
Microsoft Corp. | 96,675 | 2,849,012 | ||||||
Oracle Corp. (a) | 62,935 | 1,240,449 | ||||||
Software (continued) | ||||||||
Symantec Corp. (a) | 27,673 | 558,995 | ||||||
7,306,632 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 30,258,413 | |||||||
MATERIALS – 0.3% | ||||||||
Chemicals – 0.3% | ||||||||
Sigma-Aldrich Corp. | 3,700 | 157,879 | ||||||
TOTAL MATERIALS | 157,879 | |||||||
TELECOMMUNICATION SERVICES – 1.8% | ||||||||
Diversified Telecommunication Services – 0.5% | ||||||||
Level 3 Communications, Inc. (a) | 43,775 | 256,084 | ||||||
Wireless Telecommunication Services – 1.3% | ||||||||
Millicom International Cellular S.A. (a) | 2,875 | 263,465 | ||||||
NII Holdings, Inc. (a) | 4,675 | 377,459 | ||||||
640,924 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 897,008 | |||||||
Total Common Stocks (Cost $39,336,704) | $ | 48,143,946 | ||||||
Fair | ||||||||
Exchange Traded Funds – 2.8% | Shares | Value | ||||||
PowerShares QQQ | 29,365 | $ | 1,396,893 | |||||
Total Exchange Traded Funds (Cost $1,322,364) | $ | 1,396,893 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 0.1% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 42,000 | $ | 42,000 | ||||
Repurchase price $42,014 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $42,840 | ||||||||
Total Repurchase Agreements (Cost $42,000) | $ | 42,000 | ||||||
Total Investments – 100.0% (Cost $40,701,068) (b) | $ | 49,582,839 | ||||||
Liabilities in Excess of Other Assets – 0.0% | (2,505 | ) | ||||||
Net Assets – 100.0% | $ | 49,580,334 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
119
Ohio National Fund, Inc.
Nasdaq-100 Index Portfolio
Nasdaq-100 Index Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $40,701,068) | $ | 49,582,839 | ||
Cash | 79 | |||
Receivable for fund shares sold | 23,005 | |||
Dividends and accrued interest receivable | 3,286 | |||
Prepaid expenses and other assets | 172 | |||
Total assets | 49,609,381 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 42 | |||
Payable for investment management services | 16,320 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 663 | |||
Accrued professional fees | 5,539 | |||
Accrued accounting fees | 3,622 | |||
Accrued printing and filing fees | 2,406 | |||
Other accrued expenses | 77 | |||
Total liabilities | 29,047 | |||
Net assets | $ | 49,580,334 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 9,976,310 | ||
Paid-in capital in excess of par value | 35,397,773 | |||
Accumulated net realized loss on investments | (4,671,913 | ) | ||
Net unrealized appreciation on investments | 8,881,771 | |||
Accumulated net investment loss | (3,607 | ) | ||
Net assets | $ | 49,580,334 | ||
Shares outstanding | 9,976,310 | |||
Authorized Fund shares allocated to Portfolio | 20,000,000 | |||
Net asset value per share | $ | 4.97 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 2,487 | ||
Dividends (net of withholding tax of $1,074) | 108,149 | |||
Total investment income | 110,636 | |||
Expenses: | ||||
Management fees | 94,711 | |||
Custodian fees | 1,813 | |||
Directors’ fees | 1,142 | |||
Professional fees | 6,134 | |||
Accounting fees | 10,905 | |||
Printing and filing fees | 2,488 | |||
Compliance expense | 2,358 | |||
Other | 369 | |||
Total expenses | 119,920 | |||
Net investment loss | (9,284 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 162,814 | |||
Change in unrealized appreciation/depreciation on investments | 4,418,241 | |||
Net realized/unrealized gain (loss) on investments | 4,581,055 | |||
Change in net assets from operations | $ | 4,571,771 | ||
The accompanying notes are an integral part of these financial statements.
120
Ohio National Fund, Inc.
Nasdaq-100 Index Portfolio
Nasdaq-100 Index Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (9,284 | ) | $ | 1,780 | |||
Net realized gain (loss) on investments | 162,814 | (121,992 | ) | |||||
Change in unrealized appreciation/depreciation on investments | 4,418,241 | 3,179,211 | ||||||
Change in net assets from operations | 4,571,771 | 3,058,999 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 2,909,137 | 14,568,003 | ||||||
Paid for shares redeemed | (3,556,028 | ) | (3,232,496 | ) | ||||
Change in net assets from capital transactions | (646,891 | ) | 11,335,507 | |||||
Change in net assets | 3,924,880 | 14,394,506 | ||||||
Net Assets: | ||||||||
Beginning of period | 45,655,454 | 31,260,948 | ||||||
End of period | $ | 49,580,334 | $ | 45,655,454 | ||||
Undistributed net investment income (Accumulated net investment loss) | $ | (3,607 | ) | $ | 5,677 | |||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.52 | $ | 4.24 | $ | 4.18 | $ | 3.80 | $ | 2.57 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | — | — | — | 0.03 | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.45 | 0.28 | 0.06 | 0.35 | 1.24 | |||||||||||||||
Total from operations | 0.45 | 0.28 | 0.06 | 0.38 | 1.23 | |||||||||||||||
Net asset value, end of period | $ | 4.97 | $ | 4.52 | $ | 4.24 | $ | 4.18 | $ | 3.80 | ||||||||||
Total return | 9.96 | %(b) | 6.60 | % | 1.44 | % | 10.00 | % | 47.86 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 49.6 | $ | 45.7 | $ | 31.3 | $ | 19.5 | $ | 16.7 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.51 | %(a) | 0.53 | % | 0.54 | % | 0.58 | % | 0.67 | % | ||||||||||
Net investment income (loss) | (0.04 | )%(a) | 0.00 | % | 0.05 | % | 0.67 | % | (0.44 | )% | ||||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.51 | %(a) | 0.53 | % | 0.64 | % | 0.93 | % | 1.05 | % | ||||||||||
Portfolio turnover rate | 6 | % | 36 | % | 45 | % | 20 | % | 64 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
121
Ohio National Fund, Inc.
Bristol Portfolio
Bristol Portfolio
Objective
The Bristol Portfolio seeks long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 20.53% | |||
Five year | 12.15% | |||
Since inception (5/1/02) | 9.37% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Bristol Portfolio returned 7.11% versus 6.96% for the current benchmark, the S&P 500 Index.
Uncertainty and a mix of economic data marked the first half of 2007. The market indices had a rough start earlier in the year with declining consumer sentiment, escalating gasoline prices, and currency worries causing the indices to take their biggest fall in four years. Subprime mortgage industry concerns also contributed to the apprehensive environment. While home sales looked to be improving earlier in the year they returned to declines later in the period with prices falling. However, the overall economy continued to remain somewhat healthy and the market indices rebounded in the second quarter, proving their resiliency. Job growth bounced back in March and the unemployment rate dropped to a six-year low of 4.4%, holding fairly steady through the end of the period. Consumer spending also remained strong until June when the pressure from higher gasoline prices took a toll on retail sales.
The Portfolio outperformed the S&P 500 Index benchmark. Portfolio performance was mainly the result of specific stock selection. Outperformers for the period included Rio Tinto PLC, up 33% on strength in its metals and mining divisions, dissipating inventory build-up and speculation of a takeout offer. Apple, Inc. was another outperformer, up 44% on positive revisions based on strength in Mac sales, lower component costs, and anticipation of its iPhone release. Baker Hughes, Inc. was up 32% on better drilling prospects and an earnings surprise after an earlier weak report and Honeywell International, Inc. was up 23% after the company beat earnings on improving margins and strength in aerospace. Another outperformer was Occidental Petroleum Corp., up 33% on continuing price increases in oil.(1)
Detractors to performance included Constellation Brands, Inc., down 28%, costing the Portfolio 60 basis points. The company lowered guidance twice, first due to weakness in its U.K. division and then as a result of a reduction of U.S. wine distributor inventory. Another underperformer was Human Genome Sciences, Inc., also down 28%. Although the company produced decent Hepatitis drug data and showed positive enrollment results for its Lupus drug, a lack of short-term catalysts steadily drove the stock down. Alcatel-Lucent was down 19% after the company pre-announced a weak December quarter as a result of competition in the wireless infrastructure business, and Vertex Pharmaceuticals, Inc. was down 16% on less positive data for its hepatitis C drug.(1)
We have not changed the makeup of the Portfolio significantly since the beginning of the year. We did decrease our weighting in Financials to an approximate 7% under-weight. We sold American International Group, Inc. and Franklin Resources, Inc. mainly on valuation, Countrywide Financial Corp. on negative revisions, and Bank of America Corp. on lack of organic growth.(1)
We also decreased our weighting in Industrials to a substantial under-weight, selling Honeywell International, Inc., Deere & Co., and L3 Communications Holdings, Inc., on valuation as they neared our target prices. We also sold United Technologies Corp. on concerns of a slowdown in its air conditioning business.(1)
We added slightly to Information Technology during the period, increasing our over-weight in this sector. We added Texas Instruments, Inc., on strength in the 3G wireless phone market, and Intel Corp. since seeing less competition from AMD and increased margins through pricing. We also added Corning, Inc. and AU Optronics Corp. on continuing strong demand in the glass and LCD business, and we expect increased profitability over the next few years. In this sector we sold Adobe Systems, Inc. before their earnings report, on lower expectations for earnings growth despite a new product upgrade cycle. We also sold JDS Uniphase Corp. prior to their earnings report on weakness in opto-type competitors, and Ciena Corp. on talks of margin compression.(1)
Earlier in the year we decreased our weighting in Consumer Staples, but then added substantially, buying Colgate-Palmolive Co., Kraft Foods, Inc., Procter and Gamble Co., and Unilever NV, as we saw estimates rising, more innovative product introductions, and significant cost cutting. We also added The Coca-Cola Co., on improving volumes and positive revisions.(1)
The Portfolio appears to be positioned somewhat defensively going into the second half of the year. We are over-weighted in Consumer Staples and Health Care and under-weighted in Financials. However, we are also over-weighted in Information Technology, balancing an under-weight in Industrials. We expect the Portfolio to do well in the current environment. If the economy all of a sudden weakened, we expect the expectations of a fed interest rate cut could put pressure on the relative Portfolio return.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
(continued)
122
Ohio National Fund, Inc.
Bristol Portfolio (Continued)
Bristol Portfolio (Continued)
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 98.1 | ||
Repurchase Agreements Less Net Liabilities | 1.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Cisco Systems, Inc. | 2.4 | |||||
2. | The Procter & Gamble Co. | 2.2 | |||||
3. | NIKE, Inc. Class B | 2.2 | |||||
4. | Intel Corp. | 2.1 | |||||
5. | The Coca-Cola Co. | 2.1 | |||||
6. | International Business | ||||||
Machines Corp. | 2.1 | ||||||
7. | Johnson & Johnson | 2.1 | |||||
8. | PepsiCo, Inc. | 2.1 | |||||
9. | AT&T Inc. | 2.1 | |||||
10. | Merck & Co., 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 | 24.2 | ||
Health Care | 17.1 | ||
Financials | 13.4 | ||
Consumer Staples | 12.3 | ||
Consumer Discretionary | 11.1 | ||
Energy | 9.7 | ||
Materials | 5.1 | ||
Telecommunication Services | 3.5 | ||
Industrials | 1.3 | ||
Utilities | 0.4 | ||
98.1 | |||
123
Ohio National Fund, Inc.
Bristol Portfolio
Bristol Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 11.1% | ||||||||
Auto Components – 1.1% | ||||||||
Johnson Controls, Inc. | 8,400 | $ | 972,468 | |||||
Hotels, Restaurants & Leisure – 3.1% | ||||||||
Hilton Hotels Corp. | 15,700 | 525,479 | ||||||
Royal Caribbean Cruises Ltd. | 19,100 | 820,918 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 18,600 | 1,247,502 | ||||||
2,593,899 | ||||||||
Media – 1.9% | ||||||||
Citadel Broadcasting Corp. | 9 | 58 | ||||||
The Walt Disney Co. | 48,100 | 1,642,134 | ||||||
1,642,192 | ||||||||
Multiline Retail – 2.0% | ||||||||
J.C. Penney Co. Inc. | 22,900 | 1,657,502 | ||||||
Specialty Retail – 0.8% | ||||||||
Abercrombie & Fitch Co. Class A | 9,500 | 693,310 | ||||||
Textiles, Apparel & Luxury Goods – 2.2% | ||||||||
NIKE, Inc. Class B | 31,800 | 1,853,622 | ||||||
TOTAL CONSUMER DISCRETIONARY | 9,412,993 | |||||||
CONSUMER STAPLES – 12.3% | ||||||||
Beverages – 4.2% | ||||||||
PepsiCo, Inc. | 27,300 | 1,770,405 | ||||||
The Coca-Cola Co. | 34,300 | 1,794,233 | ||||||
3,564,638 | ||||||||
Food Products – 4.8% | ||||||||
General Mills, Inc. | 27,500 | 1,606,550 | ||||||
Kraft Foods, Inc. Class A | 37,900 | 1,335,975 | ||||||
Unilever NV – ADR | 35,300 | 1,095,006 | ||||||
4,037,531 | ||||||||
Household Products – 3.3% | ||||||||
Colgate-Palmolive Co. | 14,000 | 907,900 | ||||||
The Procter & Gamble Co. | 30,500 | 1,866,295 | ||||||
2,774,195 | ||||||||
TOTAL CONSUMER STAPLES | 10,376,364 | |||||||
ENERGY – 9.7% | ||||||||
Energy Equipment & Services – 3.2% | ||||||||
Baker Hughes, Inc. | 19,000 | 1,598,470 | ||||||
Grant Prideco, Inc. (a) | 21,300 | 1,146,579 | ||||||
2,745,049 | ||||||||
Oil, Gas & Consumable Fuels – 6.5% | ||||||||
Apache Corp. | 13,900 | 1,134,101 | ||||||
Cameco Corp. | 21,000 | 1,065,540 | ||||||
Hess Corp. | 25,600 | 1,509,376 | ||||||
Noble Energy, Inc. | 8,100 | 505,359 | ||||||
Occidental Petroleum Corp. | 22,100 | 1,279,148 | ||||||
5,493,524 | ||||||||
TOTAL ENERGY | 8,238,573 | |||||||
FINANCIALS – 13.4% | ||||||||
Capital Markets – 3.7% | ||||||||
Morgan Stanley | 19,200 | 1,610,496 | ||||||
The Goldman Sachs Group, Inc. | 6,900 | 1,495,575 | ||||||
3,106,071 | ||||||||
Commercial Banks – 1.5% | ||||||||
Wachovia Corp. | 24,400 | 1,250,500 | ||||||
Consumer Finance – 1.9% | ||||||||
Capital One Financial Corp. | 20,400 | 1,600,176 | ||||||
Diversified Financial Services – 1.8% | ||||||||
JPMorgan Chase & Co. | 31,800 | 1,540,710 | ||||||
Insurance – 3.6% | ||||||||
The Chubb Corp. | 31,000 | 1,678,340 | ||||||
The Hartford Financial Services Group, Inc. | 13,900 | 1,369,289 | ||||||
3,047,629 | ||||||||
Thrifts & Mortgage Finance – 0.9% | ||||||||
The PMI Group Inc. | 17,300 | 772,791 | ||||||
TOTAL FINANCIALS | 11,317,877 | |||||||
HEALTH CARE – 17.1% | ||||||||
Biotechnology – 4.3% | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 68,800 | 1,234,272 | ||||||
Human Genome Sciences, Inc. (a) | 92,800 | 827,776 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 54,100 | 1,545,096 | ||||||
3,607,144 | ||||||||
Health Care Equipment & Supplies – 2.3% | ||||||||
Cooper Cos. Inc. | 26,500 | 1,412,980 | ||||||
Gen-Probe, Inc. (a) | 8,300 | 501,486 | ||||||
1,914,466 | ||||||||
Life Sciences Tools & Services – 2.6% | ||||||||
Applera Corp – Applied Biosystems Group | 22,100 | 674,934 | ||||||
Thermo Fisher Scientific, Inc. (a) | 29,800 | 1,541,256 | ||||||
2,216,190 | ||||||||
Pharmaceuticals – 7.9% | ||||||||
Abbott Laboratories | 30,100 | 1,611,855 | ||||||
Johnson & Johnson | 28,900 | 1,780,818 | ||||||
Merck & Co., Inc. | 34,400 | 1,713,120 | ||||||
Wyeth | 27,600 | 1,582,584 | ||||||
6,688,377 | ||||||||
TOTAL HEALTH CARE | 14,426,177 | |||||||
INDUSTRIALS – 1.3% | ||||||||
Industrial Conglomerates – 1.3% | ||||||||
Textron, Inc. | 10,200 | 1,123,122 | ||||||
TOTAL INDUSTRIALS | 1,123,122 | |||||||
INFORMATION TECHNOLOGY – 24.2% | ||||||||
Communications Equipment – 4.3% | ||||||||
Cisco Systems, Inc. (a) | 71,000 | 1,977,350 | ||||||
Corning, Inc. (a) | 23,400 | 597,870 |
(continued)
124
Ohio National Fund, Inc.
Bristol Portfolio (Continued)
Bristol Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.1% | Shares | Value | ||||||
Communications Equipment (continued) | ||||||||
QUALCOMM, Inc. | 24,200 | $ | 1,050,038 | |||||
3,625,258 | ||||||||
Computers & Peripherals – 5.3% | ||||||||
Apple Inc. (a) | 8,700 | 1,061,748 | ||||||
Hewlett-Packard Co. | 36,300 | 1,619,706 | ||||||
International Business Machines Corp. | 17,000 | 1,789,250 | ||||||
4,470,704 | ||||||||
Electronic Equipment & Instruments – 0.6% | ||||||||
AU Optronics Corp. – ADR | 31,500 | 541,800 | ||||||
Internet Software & Services – 3.8% | ||||||||
eBay, Inc. (a) | 27,100 | 872,078 | ||||||
Google, Inc. Class A (a) | 2,300 | 1,203,774 | ||||||
Yahoo!, Inc. (a) | 41,100 | 1,115,043 | ||||||
3,190,895 | ||||||||
�� | ||||||||
IT Services – 1.1% | ||||||||
Hewitt Associates, Inc. Class A (a) | 27,900 | 892,800 | ||||||
Semiconductor & Semiconductor Equipment – 7.2% | ||||||||
Applied Materials, Inc. | 83,600 | 1,661,132 | ||||||
Intel Corp. | 76,000 | 1,805,760 | ||||||
Maxim Integrated Products, Inc. | 44,200 | 1,476,722 | ||||||
Texas Instruments, Inc. | 31,500 | 1,185,345 | ||||||
6,128,959 | ||||||||
Software – 1.9% | ||||||||
Microsoft Corp. | 55,500 | 1,635,585 | ||||||
TOTAL INFORMATION TECHNOLOGY | 20,486,001 | |||||||
MATERIALS – 5.1% | ||||||||
Chemicals – 5.1% | ||||||||
Agrium, Inc. | 29,700 | 1,299,375 | ||||||
Cytec Industries, Inc. | 22,000 | 1,402,940 | ||||||
Chemicals (continued) | ||||||||
Rohm & Haas Co. | 29,200 | 1,596,656 | ||||||
TOTAL MATERIALS | 4,298,971 | |||||||
TELECOMMUNICATION SERVICES – 3.5% | ||||||||
Diversified Telecommunication Services – 3.5% | ||||||||
AT&T Inc. | 42,200 | 1,751,300 | ||||||
Verizon Communications, Inc. | 29,400 | 1,210,398 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 2,961,698 | |||||||
UTILITIES – 0.4% | ||||||||
Electric Utilities – 0.4% | ||||||||
FirstEnergy Corp. | 4,900 | 317,177 | ||||||
TOTAL UTILITIES | 317,177 | |||||||
Total Common Stocks (Cost $78,032,335) | $ | 82,958,953 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.9% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 1,594,000 | $ | 1,594,000 | ||||
Repurchase price $1,594,545 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $1,625,892 | ||||||||
Total Repurchase Agreements (Cost $1,594,000) | $ | 1,594,000 | ||||||
Total Investments – 100.0% (Cost $79,626,335) (b) | $ | 84,552,953 | ||||||
Liabilities in Excess of Other Assets – 0.0% | (6,375 | ) | ||||||
Net Assets – 100.0% | $ | 84,546,578 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
125
Ohio National Fund, Inc.
Bristol Portfolio
Bristol Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $79,626,335) | $ | 84,552,953 | ||
Cash | 2,279 | |||
Receivable for securities sold | 1,265,319 | |||
Receivable for fund shares sold | 263,666 | |||
Dividends and accrued interest receivable | 70,765 | |||
Prepaid expenses and other assets | 211 | |||
Total assets | 86,155,193 | |||
Liabilities: | ||||
Payable for securities purchased | 1,537,514 | |||
Payable for fund shares redeemed | 17 | |||
Payable for investment management services | 55,026 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,941 | |||
Accrued professional fees | 5,528 | |||
Accrued accounting fees | 4,846 | |||
Accrued printing and filing fees | 3,266 | |||
Other accrued expenses | 99 | |||
Total liabilities | 1,608,615 | |||
Net assets | $ | 84,546,578 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 6,032,942 | ||
Paid-in capital in excess of par value | 65,600,891 | |||
Accumulated net realized gain on investments | 7,733,763 | |||
Net unrealized appreciation on investments | 4,926,618 | |||
Undistributed net investment income | 252,364 | |||
Net assets | $ | 84,546,578 | ||
Shares outstanding | 6,032,942 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 14.01 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 43,204 | ||
Dividends (net of withholding tax of $312) | 474,663 | |||
Total investment income | 517,867 | |||
Expenses: | ||||
Management fees | 289,113 | |||
Custodian fees | 5,460 | |||
Directors’ fees | 1,762 | |||
Professional fees | 6,348 | |||
Accounting fees | 14,229 | |||
Printing and filing fees | 3,718 | |||
Compliance expense | 2,358 | |||
Other | 451 | |||
Total expenses | 323,439 | |||
Net investment income | 194,428 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 4,630,054 | |||
Change in unrealized appreciation/depreciation on investments | 309,627 | |||
Net realized/unrealized gain (loss) on investments | 4,939,681 | |||
Change in net assets from operations | $ | 5,134,109 | ||
The accompanying notes are an integral part of these financial statements.
126
Ohio National Fund, Inc.
Bristol Portfolio
Bristol Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 194,428 | $ | 251,141 | ||||
Net realized gain (loss) on investments | 4,630,054 | 3,172,587 | ||||||
Change in unrealized appreciation/depreciation on investments | 309,627 | 3,769,139 | ||||||
Change in net assets from operations | 5,134,109 | 7,192,867 | ||||||
Distributions to shareholders: | ||||||||
Distributions of net realized capital gains | — | (193,205 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 17,890,142 | 26,600,807 | ||||||
Received from dividends reinvested | — | 193,205 | ||||||
Paid for shares redeemed | (926,372 | ) | (1,325,643 | ) | ||||
Change in net assets from capital transactions | 16,963,770 | 25,468,369 | ||||||
Change in net assets | 22,097,879 | 32,468,031 | ||||||
Net Assets: | ||||||||
Beginning of period | 62,448,699 | 29,980,668 | ||||||
End of period | $ | 84,546,578 | $ | 62,448,699 | ||||
Undistributed net investment income | $ | 252,364 | $ | 57,936 | ||||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 13.08 | $ | 11.27 | $ | 10.06 | $ | 10.43 | $ | 7.90 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income | 0.03 | 0.04 | 0.01 | 0.13 | 0.03 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.90 | 1.81 | 1.20 | 0.63 | 2.53 | |||||||||||||||
Total from operations | 0.93 | 1.85 | 1.21 | 0.76 | 2.56 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions from net investment income | — | (0.04 | ) | — | (0.10 | ) | (0.03 | ) | ||||||||||||
Distributions of net realized capital gains | — | — | — | (1.03 | ) | — | ||||||||||||||
Total distributions | — | (0.04 | ) | — | (1.13 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of period | $ | 14.01 | $ | 13.08 | $ | 11.27 | $ | 10.06 | $ | 10.43 | ||||||||||
Total return | 7.11 | %(b) | 16.42 | % | 12.03 | % | 8.62 | % | 32.44 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 84.5 | $ | 62.4 | $ | 30.0 | $ | 8.1 | $ | 7.0 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.89 | %(a) | 0.92 | % | 0.96 | % | 0.27 | % | 0.86 | % | ||||||||||
Net investment income | 0.54 | %(a) | 0.56 | % | 0.54 | % | 1.45 | % | 0.39 | % | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.89 | %(a) | 0.92 | % | 0.96 | % | 1.07 | % | 1.25 | % | ||||||||||
Portfolio turnover rate | 98 | % | 216 | % | 224 | % | 300 | % | 224 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
127
Ohio National Fund, Inc.
Bryton Growth Portfolio
Bryton Growth Portfolio
Objective
The Bryton Growth Portfolio seeks long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 25.42 | % | ||
Five year | 10.85 | % | ||
Since inception (5/1/02) | 6.24 | % |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June��30, 2007, the Bryton Growth Portfolio returned 11.95% versus 9.33% for the current benchmark, the Russell 2000 Growth Index.
We reduced the Health Care sector’s weighting but still maintained a 2% over-weight believing our stocks could consistently deliver strong results and outperform even in a slowing economy. We sold Viasys Healthcare, Inc. upon an acquisition announced by Cardinal Health, Micrus Endovascular Corp. after it reached our price target, Protein Design Labs due to concerns of weak hospital product sales and limited upside to our target price, and Coly Pharmaceutical on clinical trials failure. We bought Wright Medical Group, Inc. on improving sales trends, promising new product introductions and cheap valuation, and NuVasive, Inc., a maker of monitoring systems and surgical tools to perform minimally invasive spine procedures, as it is improving sales productivity and new products are gaining market share.(1)
We continue to maintain an under-weight position in Consumer Discretionary stocks on a pessimistic consumer-spending outlook due to the slow down in the housing market and high energy prices. We sold Wild Oats Markets, Inc. upon Whole Food’s acquisition announcement, Aeropostale, Inc. when its shares reached fair value, Borders Group, Inc. due to challenging industrial trends, and QuikSilver, Inc. on negative revisions and warm weather reduced revenues from winter sport merchandise. We bought Gmarket, Inc., a Korean e-commerce company on market share gain and cheap valuation. Other new entrants to the Portfolio were The Bon-Ton Stores, Inc., The Childrens Place Retail Stores, Inc. and New York & Co., Inc., which are selling at discounts to growth potentials.(1)
We added Dynamic Materials Corp. to our Industrials holdings on secular growth in demand for specialty metals for jet engines, power generation, and the belief that petrochemical processing will continue to drive earnings growth.(1)
Among our outperformers, aQuantive, Inc., up over 150%, Viasys Healthcare, Inc. up 55%, and Wild Oats Markets, Inc., up over 25%, were subject to buy out offers. Another outperformer, BE Aerospace, Inc. was up 60% continuing to benefit from a commercial aerospace recovery. Quanta Services, Inc., up 55%, profited from growth in demand for electricity and increased levels of outsourcing from its utility customers. Overcrowded prison systems led to elevated demand for facilities from Corrections Corp. of America and The GEO Group Inc. up 40% and 55% respectively.(1)
Many of our detractors came from the Health Care and Consumer Discretionary sectors. Retailers such as New York & Co., Inc., down 26%, The Bon-Ton Stores Inc., down 16%, HOT Topic, Inc., down 15%, and Quiksilver, Inc., down 18%, performed poorly in a difficult retail environment. In Health Care, Coley Pharmaceutical Group Inc. was down 62% due to a clinical trial failure, and Nektar Therapeutics was down 36% on slower adoption of the company’s new product. Other detractors included Insituform Technologies, Inc., down 16% due to a stagnant sewer rehabilitation market and QLogic Corp., down 24%, losing market share to competitors.(1)
Equity markets finished the first half of the year on a positive note, with indices repeatedly hitting new highs, though with higher volatility due to inflation worries. Rising Treasury yields raised borrowing costs, housing continued to be a drag, and subprime problems showed no signs of abating. As we enter the second half of the year, however, we are encouraged by the U.S. economy’s resilience especially given the overall employment picture. Robust growth around the globe and the availability of capital for mergers and acquisitions activities will offer support for equity valuations, which in general, are still not expensive. Expectations on corporate profit growth seem reasonable, evidenced by the lack of negative earnings preannouncements. That is the basis for our optimistic view on domestic equities, and we feel the Portfolio is properly positioned for this environment.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
(continued)
128
Ohio National Fund, Inc.
Bryton Growth Portfolio (Continued)
Bryton Growth Portfolio (Continued)
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Growth Index is a market-weighted total return index that measures the performance of companies within the Russell 2000 Index having higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The Index presented herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 93.4 | ||
Repurchase Agreements Less Net Liabilities | 6.6 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | ||||
1. | Sohu.com, Inc. | 1.9 | ||
2. | The GEO Group Inc. | 1.9 | ||
3. | Quanta Services, Inc. | 1.8 | ||
4. | BE Aerospace, Inc. | 1.8 | ||
5. | DRS Technologies, Inc. | 1.7 | ||
6. | LKQ Corp. | 1.7 | ||
7. | Kaydon Corp. | 1.7 | ||
8. | DJO Inc. | 1.7 | ||
9. | PMC – Sierra, Inc. | 1.7 | ||
10. | NuVasive, Inc. | 1.6 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 23.4 | ||
Health Care | 19.8 | ||
Industrials | 17.9 | ||
Consumer Discretionary | 13.7 | ||
Financials | 8.0 | ||
Energy | 5.8 | ||
Consumer Staples | 3.5 | ||
Materials | 1.3 | ||
93.4 | |||
129
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Bryton Growth Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 93.4% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 13.7% | ||||||||
Distributors – 3.1% | ||||||||
Keystone Automotive Industries, Inc. (a) | 17,000 | $ | 703,290 | |||||
LKQ Corp. (a) | 34,000 | 838,440 | ||||||
1,541,730 | ||||||||
Hotels, Restaurants & Leisure – 0.4% | ||||||||
Shuffle Master, Inc. (a) | 12,000 | 199,200 | ||||||
Internet & Catalog Retail – 1.6% | ||||||||
Gmarket, Inc. – ADR (a) | 40,000 | 777,200 | ||||||
Multiline Retail – 1.6% | ||||||||
The Bon-Ton Stores Inc. | 20,000 | 801,200 | ||||||
Specialty Retail – 5.6% | ||||||||
HOT Topic, Inc. (a) | 58,000 | 630,460 | ||||||
New York & Co, Inc. (a) | 55,000 | 602,800 | ||||||
Pacific Sunwear Of California Inc. (a) | 33,000 | 726,000 | ||||||
The Childrens Place Retail Stores, Inc. (a) | 15,000 | 774,600 | ||||||
2,733,860 | ||||||||
Textiles, Apparel & Luxury Goods – 1.4% | ||||||||
The Warnaco Group, Inc. (a) | 18,000 | 708,120 | ||||||
TOTAL CONSUMER DISCRETIONARY | 6,761,310 | |||||||
CONSUMER STAPLES – 3.5% | ||||||||
Food & Staples Retailing – 1.6% | ||||||||
BJ’s Wholesale Club, Inc. (a) | 22,000 | 792,660 | ||||||
Food Products – 1.5% | ||||||||
Hain Celestial Group, Inc. (a) | 27,000 | 732,780 | ||||||
Household Products – 0.4% | ||||||||
Central Garden and Pet Co. (a) | 15,000 | 183,900 | ||||||
TOTAL CONSUMER STAPLES | 1,709,340 | |||||||
ENERGY – 5.8% | ||||||||
Energy Equipment & Services – 2.7% | ||||||||
CARBO Ceramics, Inc. | 14,000 | 613,340 | ||||||
Superior Energy Services, Inc. (a) | 18,000 | 718,560 | ||||||
1,331,900 | ||||||||
Oil, Gas & Consumable Fuels – 3.1% | ||||||||
Arena Resources, Inc. (a) | 13,100 | 761,241 | ||||||
Berry Petroleum Co. Class A | 20,000 | 753,600 | ||||||
1,514,841 | ||||||||
TOTAL ENERGY | 2,846,741 | |||||||
FINANCIALS – 8.0% | ||||||||
Capital Markets – 3.0% | ||||||||
Affiliated Managers Group, Inc. (a) | 5,500 | 708,180 | ||||||
Waddell & Reed Financial, Inc. Class A | 29,000 | 754,290 | ||||||
1,462,470 | ||||||||
Commercial Banks – 3.6% | ||||||||
Cathay General Bancorp | 12,000 | 402,480 | ||||||
Prosperity Bancshares, Inc. | 18,000 | 589,680 | ||||||
Texas Capital Bancshares, Inc. (a) | 19,000 | 424,650 | ||||||
UCBH Holdings, Inc. | 20,000 | 365,400 | ||||||
1,782,210 | ||||||||
Real Estate Management & Development – 1.4% | ||||||||
Jones Lang LaSalle, Inc. | 6,000 | 681,000 | ||||||
TOTAL FINANCIALS | 3,925,680 | |||||||
HEALTH CARE – 19.8% | ||||||||
Biotechnology – 4.0% | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 22,900 | 410,826 | ||||||
Cubist Pharmaceuticals, Inc. (a) | 20,000 | 394,200 | ||||||
Human Genome Sciences, Inc. (a) | 25,300 | 225,676 | ||||||
Isis Pharmaceuticals, Inc. (a) | 52,000 | 503,360 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 16,000 | 456,960 | ||||||
1,991,022 | ||||||||
Health Care Equipment & Supplies – 11.3% | ||||||||
American Medical Systems Holdings, Inc. (a) | 42,000 | 757,680 | ||||||
ArthroCare Corp. (a) | 6,300 | 276,633 | ||||||
Conceptus, Inc. (a) | 23,000 | 445,510 | ||||||
DJO Inc. (a) | 20,000 | 825,400 | ||||||
ev3, Inc. (a) | 31,000 | 523,280 | ||||||
Hologic, Inc. (a) | 14,000 | 774,340 | ||||||
Northstar Neuroscience, Inc. (a) | 33,000 | 383,790 | ||||||
NuVasive, Inc. (a) | 30,000 | 810,300 | ||||||
Wright Medical Group, Inc. (a) | 33,000 | 795,960 | ||||||
5,592,893 | ||||||||
Health Care Providers & Services – 2.6% | ||||||||
Psychiatric Solutions, Inc. (a) | 22,000 | 797,720 | ||||||
Sunrise Senior Living, Inc. (a) | 12,000 | 479,880 | ||||||
1,277,600 | ||||||||
Life Sciences Tools & Services – 1.4% | ||||||||
Exelixis, Inc. (a) | 29,000 | 350,900 | ||||||
Nektar Therapeutics (a) | 35,000 | 332,150 | ||||||
683,050 | ||||||||
Pharmaceuticals – 0.5% | ||||||||
Inyx, Inc. (a) | 95,000 | 231,800 | ||||||
TOTAL HEALTH CARE | 9,776,365 | |||||||
INDUSTRIALS – 17.9% | ||||||||
Aerospace & Defense – 3.5% | ||||||||
BE Aerospace, Inc. (a) | 21,000 | 867,300 | ||||||
DRS Technologies, Inc. | 15,000 | 859,050 | ||||||
1,726,350 | ||||||||
Commercial Services & Supplies – 4.7% | ||||||||
Corrections Corp. of America (a) | 11,950 | 754,164 | ||||||
Herman Miller, Inc. | 20,000 | 632,000 | ||||||
The GEO Group Inc. (a) | 32,000 | 931,200 | ||||||
2,317,364 | ||||||||
Construction & Engineering – 2.8% | ||||||||
Insituform Technologies, Inc. Class A (a) | 22,000 | 479,820 | ||||||
Quanta Services, Inc. (a) | 29,000 | 889,430 | ||||||
1,369,250 | ||||||||
Machinery – 6.9% | ||||||||
Columbus McKinnon Corp. (a) | 25,000 | 805,000 | ||||||
Dynamic Materials Corp. (a) | 20,000 | 750,000 | ||||||
Kaydon Corp. | 16,000 | 833,920 |
(continued)
130
Ohio National Fund, Inc.
Bryton Growth Portfolio (Continued)
Bryton Growth Portfolio (Continued)
Schedule of Investments | June 30, 2007 |
Fair | ||||||||
Common Stocks – 93.4% | Shares | Value | ||||||
Machinery (continued) | ||||||||
Manitowoc Co. Inc. | 3,000 | $ | 241,140 | |||||
The Middleby Corp. (a) | 13,000 | 777,660 | ||||||
3,407,720 | ||||||||
TOTAL INDUSTRIALS | 8,820,684 | |||||||
INFORMATION TECHNOLOGY – 23.4% | ||||||||
Communications Equipment – 4.9% | ||||||||
C-COR, Inc. (a) | 50,000 | 703,000 | ||||||
Finisar Corp. (a) | 190,000 | 718,200 | ||||||
Foundry Networks, Inc. (a) | 48,000 | 799,680 | ||||||
Sirenza Microdevices, Inc. (a) | 15,000 | 178,050 | ||||||
2,398,930 | ||||||||
Computers & Peripherals – 2.3% | ||||||||
Emulex Corp. (a) | 34,000 | 742,560 | ||||||
QLogic Corp. (a) | 24,000 | 399,600 | ||||||
1,142,160 | ||||||||
Internet Software & Services – 3.5% | ||||||||
aQuantive, Inc. (a) | 12,000 | 765,600 | ||||||
Sohu.com, Inc. (a) | 30,000 | 959,700 | ||||||
1,725,300 | ||||||||
IT Services – 1.6% | ||||||||
Wright Express Corp. (a) | 23,000 | 788,210 | ||||||
Semiconductor & Semiconductor Equipment – 9.6% | ||||||||
Anadigics, Inc. (a) | 30,000 | 413,700 | ||||||
Applied Micro Circuits Corp. (a) | 230,000 | 575,000 | ||||||
Atheros Communications, Inc. (a) | 25,000 | 771,000 | ||||||
Micrel, Inc. | 62,000 | 788,640 | ||||||
ON Semiconductor Corp. (a) | 74,000 | 793,280 | ||||||
PMC – Sierra, Inc. (a) | 105,000 | 811,650 | ||||||
Silicon Laboratories, Inc. (a) | 17,000 | 588,370 | ||||||
4,741,640 | ||||||||
Software – 1.5% | ||||||||
Informatica Corp. (a) | 50,000 | 738,500 | ||||||
TOTAL INFORMATION TECHNOLOGY | 11,534,740 | |||||||
MATERIALS – 1.3% | ||||||||
Metals & Mining – 1.3% | ||||||||
FNX Mining Co., Inc. (FNX CN) (a) (b) | 3,000 | 91,303 | ||||||
FNX Mining Co., Inc. (FNXMF) (a) | 19,000 | 575,225 | ||||||
TOTAL MATERIALS | 666,528 | |||||||
Total Common Stocks (Cost $40,694,439) | $ | 46,041,388 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 7.2% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 3,539,000 | $ | 3,539,000 | ||||
Repurchase price $3,540,209 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 Fair Value: $3,609,807 | ||||||||
Total Repurchase Agreements (Cost $3,539,000) | $ | 3,539,000 | ||||||
Total Investments – 100.6% (Cost $44,233,439) (c) | $ | 49,580,388 | ||||||
Liabilities in Excess of Other Assets – (0.6)% | (319,835 | ) | ||||||
Net Assets – 100.0% | $ | 49,260,553 | ||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Security denominated in foreign currency and traded on a foreign exchange has been subjected to fair value procedures approved by the Fund Board of Directors. This security represents $91,303 or 0.2% of the Portfolio’s net assets. As discussed in Note 2 of the Notes to Financial Statements, not all investments are valued at an estimate of fair value 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 a holding is below the 75% threshold. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
131
Ohio National Fund, Inc.
Bryton Growth Portfolio
Bryton Growth Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $44,233,439) | $ | 49,580,388 | ||
Cash | 112 | |||
Receivable for securities sold | 785,781 | |||
Receivable for fund shares sold | 239,263 | |||
Dividends and accrued interest receivable | 4,998 | |||
Prepaid expenses and other assets | 83 | |||
Total assets | 50,610,625 | |||
Liabilities: | ||||
Payable for securities purchased | 1,305,557 | |||
Payable for fund shares redeemed | 3 | |||
Payable for investment management services | 33,167 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 896 | |||
Accrued professional fees | 5,374 | |||
Accrued accounting fees | 3,104 | |||
Accrued printing and filing fees | 1,548 | |||
Other accrued expenses | 45 | |||
Total liabilities | 1,350,072 | |||
Net assets | $ | 49,260,553 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 3,627,586 | ||
Paid-in capital in excess of par value | 37,379,197 | |||
Accumulated net realized gain on investments | 3,035,193 | |||
Net unrealized appreciation on investments | 5,346,949 | |||
Accumulated net investment loss | (128,372 | ) | ||
Net assets | $ | 49,260,553 | ||
Shares outstanding | 3,627,586 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 13.58 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 45,130 | ||
Dividends | 28,383 | |||
Total investment income | 73,513 | |||
Expenses: | ||||
Management fees | 160,466 | |||
Custodian fees | 2,872 | |||
Directors’ fees | 929 | |||
Professional fees | 5,893 | |||
Accounting fees | 9,147 | |||
Printing and filing fees | 1,893 | |||
Compliance expense | 2,358 | |||
Other | 179 | |||
Total expenses | 183,737 | |||
Net investment loss | (110,224 | ) | ||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 1,200,942 | |||
Change in unrealized appreciation/depreciation on investments | 3,328,778 | |||
Net realized/unrealized gain (loss) on investments | 4,529,720 | |||
Change in net assets from operations | $ | 4,419,496 | ||
The accompanying notes are an integral part of these financial statements.
132
Ohio National Fund, Inc.
Bryton Growth Portfolio
Bryton Growth Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment loss | $ | (110,224 | ) | $ | (123,239 | ) | ||
Net realized gain (loss) on investments | 1,200,942 | 2,023,627 | ||||||
Change in unrealized appreciation/depreciation on investments | 3,328,778 | 927,702 | ||||||
Change in net assets from operations | 4,419,496 | 2,828,090 | ||||||
Distributions to shareholders: | ||||||||
Distributions of net realized capital gains | — | (194,124 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 16,142,265 | 17,005,780 | ||||||
Received from dividends reinvested | — | 194,124 | ||||||
Paid for shares redeemed | (562,120 | ) | (1,812,906 | ) | ||||
Change in net assets from capital transactions | 15,580,145 | 15,386,998 | ||||||
Change in net assets | 19,999,641 | 18,020,964 | ||||||
Net Assets: | ||||||||
Beginning of period | 29,260,912 | 11,239,948 | ||||||
End of period | $ | 49,260,553 | $ | 29,260,912 | ||||
Accumulated net investment loss | $ | (128,372 | ) | $ | (18,148 | ) | ||
Financial Highlights
Six-Month Period | ||||||||||||||||||||
Ended June 30, 2007 | Years Ended December 31, | |||||||||||||||||||
(Unaudited) | 2006 | 2005 | 2004 | 2003 | ||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||
Net asset value, beginning of period | $ | 12.13 | $ | 10.46 | $ | 10.03 | $ | 9.33 | $ | 6.88 | ||||||||||
Operations: | ||||||||||||||||||||
Net investment income (loss) | (0.03 | ) | (0.03 | ) | (0.06 | ) | — | (0.05 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 1.48 | 1.78 | 0.49 | 0.70 | 2.50 | |||||||||||||||
Total from operations | 1.45 | 1.75 | 0.43 | 0.70 | 2.45 | |||||||||||||||
Distributions: | ||||||||||||||||||||
Distributions of net realized capital gains | — | (0.08 | ) | — | — | — | ||||||||||||||
Net asset value, end of period | $ | 13.58 | $ | 12.13 | $ | 10.46 | $ | 10.03 | $ | 9.33 | ||||||||||
Total return | 11.95 | %(b) | 16.74 | % | 4.30 | % | 7.50 | % | 35.61 | % | ||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets at end of period (millions) | $ | 49.3 | $ | 29.3 | $ | 11.2 | $ | 7.0 | $ | 5.9 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.97 | %(a) | 1.04 | % | 1.11 | % | 0.30 | % | 0.99 | % | ||||||||||
Net investment income (loss) | (0.58 | )%(a) | (0.67 | )% | (0.74 | )% | 0.03 | % | (0.80 | )% | ||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||
Expenses | 0.97 | %(a) | 1.04 | % | 1.11 | % | 1.15 | % | 1.45 | % | ||||||||||
Portfolio turnover rate | 27 | % | 99 | % | 155 | % | 150 | % | 201 | % |
(a) | Annualized. | |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
133
Ohio National Fund, Inc.
U.S. Equity Portfolio
U.S. Equity Portfolio
Objective
The U.S. Equity Portfolio seeks capital appreciation with a secondary objective of capital preservation to provide long term growth by investing within under-priced sectors and industries.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 12.87% | |||
Since inception (5/1/04) | 13.73% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the U.S. Equity Portfolio returned 9.34% versus 7.43% for the current benchmark, the S&P Composite 1500 Index.
The dominant themes affecting the market during the first half of 2007, in our view, were fear and value. At the beginning of the period, our system measured a value-to-price ratio of 1.15 for the domestic equity market, and we detected value across all sectors.
Despite pervasive fears of recession, inflation, and a housing meltdown, the S&P Composite 1500 Index gained just over 3.5% by February 20, 2007. This uptrend abruptly reversed on February 27, 2007, as a near-perfect storm hit the global financial markets. China started that day with the Shanghai Composite Index falling -8.8% as investors cashed in on profits due to fears the Chinese government would begin taking steps to cool the market.
On the heels of that sell-off, U.S. durable goods reported for January fell much more than expected, median home sale prices dropped, and again investors were spooked by the “sub-prime meltdown” and by former Federal Reserve Chairman Alan Greenspan’s statement that a recession was “possible” by the end of 2007.
In a single day, the S&P Composite 1500 Index sank from a 3.00% gain for the year into negative territory, falling 3.43%. While equities plummeted, the combination of a flight to quality and stronger beliefs that the Fed would soon cut rates to stave off the impending recession led Treasuries to their best one-day gain since June 2005.
Rather than following the herd to defensive instruments, we stayed true to our disciplined quantitative system, which continued to show value in equities. On March 5, 2007, our methodology measured a 1.26 value-to-price ratio for the domestic equity market. We maintained our bullish stance on equities and participated fully in the rally that followed in which the S&P Composite 1500 Index rose more than 10% from March 5 through June 30, 2007.
Following the rally described above, we saw some dissipation of value in the overall equity market and to a greater extent in certain sectors. By June 30, 2007, the value-to-price ratio of the domestic market fell to 1.06, while sectors such as Materials, Telecommunication Services, and Utilities became overvalued.
Our readings have led to over-weight positions in undervalued sectors including Energy and Industrials and a further move to under-weight the overvalued Materials, Telecommunication Services, and Utilities sectors. While this repositioning has changed the makeup of the Portfolio, it is weighted in those areas we calculate are most undervalued.(1)
Sector weightings played a major role in the Portfolio’s outperformance, particularly over-weight positions in the Materials and Industrials sectors throughout the period. These sectors proved to be two of the top three sector performers for the Index. The Portfolio was under-weighted in both the Financials and Consumer Staples sectors, which ended the six-month period as the two worst-performing sectors in the index.(1)
Industry weightings were also pivotal in the Portfolio’s positive returns. Although the Portfolio was slightly under-weighted in the Energy sector (one of the top-performing sectors over the time period), we held over-weight positions in the oil & gas equipment & services, oil & gas drilling, and coal & consumable fuels industries, which were the three of the four top-performing industries within the Energy sector. This industry selection allowed the Portfolio to outperform the index with Energy holdings despite its under-weight position.(1)
The top five performers in terms of total return during the semiannual period were Martin Marietta Materials, Inc., Avnet, Inc., Alcan Inc., Telefonos de Mexico S.A.B. de C.V., and Apple Inc. The five worst performers were Hovnanian Enterprises Inc., Centex Corp., Cash America International Inc., Symantec Corp., and Honda Motor Co. Ltd.(1)
The top five contributors to returns during the semiannual period were Avnet, Inc., Cummins, Inc., Johnson Controls, Inc., Alcan Inc., and Cameron International Corp. The five largest detractors to returns were Microsoft Corp., Cash America International Inc., Centex Corp., Honda Motor Co. Ltd. and Hovnanian Enterprises Inc.(1)
Although we continue to see value in the overall equity market, lower valuations have warranted a shift toward certain sectors and away from others. We have increased the Portfolio’s holdings in those sectors we see as most undervalued, primarily Energy and Industrials. At the same time, we have pared back the Portfolio’s weightings in those sectors we see as most overvalued, including Materials, Telecommunication Services, Utilities, and Consumer Staples.(1)
Despite the relatively low 1.06 value-to-price (“V/P”) ratio we measured at period-end for the overall market, we continue to find industries such as oil & gas drilling (1.61 V/P as of June 30, 2007), reinsurance (1.31 V/P), and oil & gas equipment services (1.27 V/P) that, in our estimation, not only have significant value but also are showing compelling strength.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
(continued)
134
Ohio National Fund, Inc.
U.S. Equity Portfolio (Continued)
U.S. Equity Portfolio (Continued)
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted Index of 1500 U.S. Companies and is comprised of the S&P 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 June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 97.7 | ||
Short-Term Notes Less Net Liabilities | 2.3 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30,2007 (1) (2)
% of Net Assets | |||||||
1. | AT&T Inc. | 2.7 | |||||
2. | Johnson Controls, Inc. | 2.5 | |||||
3. | International Business Machines Corp. | 2.2 | |||||
4. | Cameron International Corp. | 2.2 | |||||
5. | American International Group, Inc. | 2.1 | |||||
6. | AFLAC, Inc. | 1.9 | |||||
7. | WellPoint, Inc. | 1.9 | |||||
8. | Diamond Offshore Drilling, Inc. | 1.8 | |||||
9. | Atwood Oceanics, Inc. | 1.7 | |||||
10. | Peabody Energy Corp. | 1.7 |
(1) Composition of Portfolio subject to change.
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. |
(3) Sectors:
% of Net Assets | |||
Financials | 18.2 | ||
Industrials | 18.1 | ||
Information Technology | 15.1 | ||
Energy | 13.1 | ||
Health Care | 13.0 | ||
Consumer Discretionary | 12.8 | ||
Telecommunication Services | 4.9 | ||
Materials | 2.5 | ||
97.7 | |||
135
Ohio National Fund, Inc.
U.S. Equity Portfolio
U.S. Equity Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.7% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 12.8% | ||||||||
Auto Components – 4.6% | ||||||||
BorgWarner, Inc. | 2,360 | $ | 203,054 | |||||
Johnson Controls, Inc. | 5,100 | 590,427 | ||||||
Superior Industries International Inc. | 14,880 | 323,789 | ||||||
1,117,270 | ||||||||
Household Durables – 2.0% | ||||||||
Jarden Corp. (a) | 8,440 | 363,005 | ||||||
Lifetime Brands, Inc. | 5,340 | 109,203 | ||||||
472,208 | ||||||||
Media – 3.0% | ||||||||
EchoStar Communications Corp. Class A (a) | 2,420 | 104,955 | ||||||
Meredith Corp. | 1,890 | 116,424 | ||||||
Time Warner, Inc. | 6,760 | 142,230 | ||||||
The DIRECTV Group Inc. (a) | 8,700 | 201,057 | ||||||
The Walt Disney Co. | 4,690 | 160,117 | ||||||
724,783 | ||||||||
Specialty Retail – 3.2% | ||||||||
Abercrombie & Fitch Co. Class A | 2,190 | 159,826 | ||||||
Advance Auto Parts Inc. | 5,760 | 233,453 | ||||||
AutoZone, Inc. (a) | 2,660 | 363,409 | ||||||
756,688 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 3,070,949 | |||||||
ENERGY – 13.1% | ||||||||
Energy Equipment & Services – 10.9% | ||||||||
Acergy SA – ADR | 8,400 | 188,664 | ||||||
Atwood Oceanics, Inc. (a) | 6,150 | 422,013 | ||||||
Cameron International Corp. (a) | 7,270 | 519,587 | ||||||
Diamond Offshore Drilling, Inc. | 4,160 | 422,490 | ||||||
ENSCO International, Inc. | 6,140 | 374,601 | ||||||
Grant Prideco, Inc. (a) | 7,560 | 406,955 | ||||||
Rowan Cos., Inc. | 2,920 | 119,661 | ||||||
Schlumberger Ltd. (b) | 1,840 | 156,290 | ||||||
2,610,261 | ||||||||
Oil, Gas & Consumable Fuels – 2.2% | ||||||||
CONSOL Energy, Inc. | 2,680 | 123,575 | ||||||
Peabody Energy Corp. | 8,460 | 409,295 | ||||||
532,870 | ||||||||
TOTAL ENERGY | 3,143,131 | |||||||
FINANCIALS – 18.2% | ||||||||
Capital Markets – 6.0% | ||||||||
Credit Suisse Group – ADR | 4,630 | 328,545 | ||||||
Deutsche Bank AG (b) | 1,590 | 230,137 | ||||||
Merrill Lynch & Co., Inc. | 1,970 | 164,653 | ||||||
Morgan Stanley | 3,020 | 253,317 | ||||||
The Goldman Sachs Group, Inc. | 1,170 | 253,597 | ||||||
UBS AG (b) | 3,340 | 200,433 | ||||||
1,430,682 | ||||||||
Commercial Banks – 1.6% | ||||||||
Banco Santander Central Hispano S.A. – ADR | 12,490 | 229,566 | ||||||
Comerica, Inc. | 2,690 | 159,975 | ||||||
389,541 | ||||||||
Diversified Financial Services – 2.6% | ||||||||
Bank of America Corp. | 6,120 | 299,207 | ||||||
JPMorgan Chase & Co. | 6,810 | 329,944 | ||||||
629,151 | ||||||||
Insurance – 8.0% | ||||||||
AFLAC, Inc. | 9,100 | 467,740 | ||||||
American International Group, Inc. | 7,320 | 512,620 | ||||||
Everest Re Group Ltd. (b) | 3,400 | 369,376 | ||||||
MetLife, Inc. | 3,320 | 214,074 | ||||||
Prudential Financial, Inc. | 1,250 | 121,537 | ||||||
Renaissance Re Holdings Ltd. (b) | 2,050 | 127,079 | ||||||
The Hartford Financial Services Group, Inc. | 1,180 | 116,242 | ||||||
1,928,668 | ||||||||
TOTAL FINANCIALS | 4,378,042 | |||||||
HEALTH CARE – 13.0% | ||||||||
Biotechnology – 0.4% | ||||||||
Celgene Corp. (a) | 1,670 | 95,741 | ||||||
Health Care Equipment & Supplies – 1.9% | ||||||||
Stryker Corp. | 3,810 | 240,373 | ||||||
Zimmer Holdings, Inc. (a) | 2,600 | 220,714 | ||||||
461,087 | ||||||||
Health Care Providers & Services – 6.9% | ||||||||
Amedisys, Inc. (a) | 8,110 | 294,636 | ||||||
CIGNA Corp. | 3,690 | 192,692 | ||||||
Humana, Inc. (a) | 3,610 | 219,885 | ||||||
UnitedHealth Group, Inc. | 7,220 | 369,231 | ||||||
Universal Health Services, Inc. Class B | 1,910 | 117,465 | ||||||
WellPoint, Inc. (a) | 5,690 | 454,233 | ||||||
1,648,142 | ||||||||
Pharmaceuticals – 3.8% | ||||||||
Forest Laboratories, Inc. Class A (a) | 5,800 | 264,770 | ||||||
Johnson & Johnson | 4,020 | 247,713 | ||||||
KV Pharmaceutical Co. Class A (a) | 6,210 | 169,160 | ||||||
Merck & Co., Inc. | 4,640 | 231,072 | ||||||
912,715 | ||||||||
TOTAL HEALTH CARE | 3,117,685 | |||||||
INDUSTRIALS – 18.1% | ||||||||
Aerospace & Defense – 2.4% | ||||||||
AAR Corp. (a) | 3,930 | 129,729 | ||||||
BE Aerospace, Inc. (a) | 6,300 | 260,190 | ||||||
Curtiss-Wright Corp. | 4,170 | 194,364 | ||||||
584,283 | ||||||||
Building Products – 1.1% | ||||||||
American Standard Companies, Inc. | 4,650 | 274,257 | ||||||
Electrical Equipment – 1.9% | ||||||||
Acuity Brands, Inc. | 5,020 | 302,606 | ||||||
Belden CDT, Inc. | 2,620 | 145,017 | ||||||
447,623 | ||||||||
Industrial Conglomerates – 2.4% | ||||||||
General Electric Co. | 8,780 | 336,098 | ||||||
Siemens AG – ADR | 1,600 | 228,896 | ||||||
564,994 | ||||||||
(continued)
136
Ohio National Fund, Inc.
U.S. Equity Portfolio (Continued)
U.S. Equity Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.7% | Shares | Value | ||||||
Machinery – 3.9% | ||||||||
Astec Industries, Inc. (a) | 2,910 | $ | 122,860 | |||||
Cummins, Inc. | 3,630 | 367,392 | ||||||
Deere & Co. | 1,150 | 138,851 | ||||||
Oshkosh Truck Corp. | 2,870 | 180,581 | ||||||
Westinghouse Air Brake Technologies Corp. | 3,570 | 130,412 | ||||||
940,096 | ||||||||
Marine – 1.2% | ||||||||
Kirby Corp. (a) | 4,020 | 154,328 | ||||||
Quintana Maritime Ltd. (b) | 8,920 | 141,114 | ||||||
295,442 | ||||||||
Road & Rail – 4.1% | ||||||||
Burlington Northern Santa Fe Corp. | 2,840 | 241,798 | ||||||
Norfolk Southern Corp. | 7,490 | 393,749 | ||||||
Union Pacific Corp. | 3,090 | 355,814 | ||||||
991,361 | ||||||||
Trading Companies & Distributors – 1.1% | ||||||||
MSC Industrial Direct Co., Inc. Class A | 2,560 | 140,800 | ||||||
Watsco, Inc. | 2,110 | 114,784 | ||||||
255,584 | ||||||||
TOTAL INDUSTRIALS | 4,353,640 | |||||||
INFORMATION TECHNOLOGY – 15.1% | ||||||||
Communications Equipment – 2.0% | ||||||||
Harris Corp. | 3,490 | 190,380 | ||||||
Research In Motion Ltd. (a) (b) | 1,460 | 291,985 | ||||||
482,365 | ||||||||
Computers & Peripherals – 3.4% | ||||||||
Apple Inc. (a) | 2,370 | 289,235 | ||||||
International Business Machines Corp. | 5,030 | 529,407 | ||||||
818,642 | ||||||||
Electronic Equipment & Instruments – 4.4% | ||||||||
Amphenol Corp. Class A | 5,090 | 181,459 | ||||||
Anixter International, Inc. (a) | 3,390 | 254,962 | ||||||
Arrow Electronics, Inc. (a) | 5,360 | 205,985 | ||||||
Avnet, Inc. (a) | 10,310 | 408,688 | ||||||
1,051,094 | ||||||||
Internet Software & Services – 2.4% | ||||||||
eBay, Inc. (a) | 5,770 | 185,678 | ||||||
Google, Inc. Class A (a) | 750 | 392,535 | ||||||
578,213 | ||||||||
Office Electronics – 0.5% | ||||||||
Xerox Corp. (a) | 6,170 | 114,022 | ||||||
Semiconductor & Semiconductor Equipment – 1.0% | ||||||||
KLA-Tencor Corp. | 2,130 | 117,043 | ||||||
MEMC Electronic Materials, Inc. (a) | 2,040 | 124,685 | ||||||
241,728 | ||||||||
Software – 1.4% | ||||||||
The9 Ltd. – ADR (a) | 7,230 | 334,460 | ||||||
TOTAL INFORMATION TECHNOLOGY | 3,620,524 | |||||||
MATERIALS – 2.5% | ||||||||
Construction Materials – 1.7% | ||||||||
Martin Marietta Materials, Inc. | 2,420 | 392,088 | ||||||
Containers & Packaging – 0.8% | ||||||||
Ball Corp. | 3,730 | 198,324 | ||||||
TOTAL MATERIALS | 590,412 | |||||||
TELECOMMUNICATION SERVICES – 4.9% | ||||||||
Diversified Telecommunication Services – 3.4% | ||||||||
AT&T Inc. | 15,580 | 646,570 | ||||||
Telefonica SA – ADR | 2,610 | 174,243 | ||||||
820,813 | ||||||||
Wireless Telecommunication Services – 1.5% | ||||||||
America Movil S.A.B. de C.V. – ADR | 3,660 | 226,664 | ||||||
NII Holdings, Inc. (a) | 1,520 | 122,725 | ||||||
349,389 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 1,170,202 | |||||||
Total Common Stocks (Cost $20,669,085) | $ | 23,444,585 | ||||||
Face | Fair | |||||||
Short-Term Notes – 2.8% | Amount | Value | ||||||
Federal Home Loan Bank Discount Note | ||||||||
0.000% Coupon, 4.743% Effective Yield, 04/02/2007 | $ | 660,000 | $ | 659,916 | ||||
Total Short-Term Notes (Cost $659,916) | $ | 659,916 | ||||||
Total Investments – 100.5% (Cost $21,329,001) (b) | $ | 24,104,501 | ||||||
Liabilities in Excess of Other Assets – (0.5)% | (110,890 | ) | ||||||
Net Assets – 100.0% | $ | 23,993,611 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
137
Ohio National Fund, Inc.
U.S. Equity Portfolio
U.S. Equity Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $21,329,001) | $ | 24,104,501 | ||
Cash | 1,216 | |||
Receivable for securities sold | 193,135 | |||
Receivable for fund shares sold | 332 | |||
Dividends and accrued interest receivable | 12,047 | |||
Prepaid expenses and other assets | 82 | |||
Total assets | 24,311,313 | |||
Liabilities: | ||||
Payable for securities purchased | 291,894 | |||
Payable for fund shares redeemed | 970 | |||
Payable for investment management services | 14,818 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 713 | |||
Accrued professional fees | 5,425 | |||
Accrued accounting fees | 2,302 | |||
Accrued printing and filing fees | 1,168 | |||
Other accrued expenses | 34 | |||
Total liabilities | 317,702 | |||
Net assets | $ | 23,993,611 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,601,985 | ||
Paid-in capital in excess of par value | 17,827,235 | |||
Accumulated net realized gain on investments | 1,723,426 | |||
Net unrealized appreciation on investments | 2,775,500 | |||
Undistributed net investment income | 65,465 | |||
Net assets | $ | 23,993,611 | ||
Shares outstanding | 1,601,985 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 14.98 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 11,586 | ||
Dividends (net of withholding tax of $7,193) | 139,368 | |||
Total investment income | 150,954 | |||
Expenses: | ||||
Management fees | 85,681 | |||
Custodian fees | 2,155 | |||
Directors’ fees | 555 | |||
Professional fees | 5,810 | |||
Accounting fees | 7,077 | |||
Printing and filing fees | 1,234 | |||
Compliance expense | 2,358 | |||
Other | 176 | |||
Total expenses | 105,046 | |||
Net investment income | 45,908 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 1,437,514 | |||
Change in unrealized appreciation/depreciation on investments | 571,006 | |||
Net realized/unrealized gain (loss) on investments | 2,008,520 | |||
Change in net assets from operations | $ | 2,054,428 | ||
The accompanying notes are an integral part of these financial statements.
138
Ohio National Fund, Inc.
U.S. Equity Portfolio
U.S. Equity Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 45,908 | $ | 85,638 | ||||
Net realized gain (loss) on investments | 1,437,514 | 282,130 | ||||||
Change in unrealized appreciation/depreciation on investments | 571,006 | 905,832 | ||||||
Change in net assets from operations | 2,054,428 | 1,273,600 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (62,299 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 1,934,924 | 9,041,839 | ||||||
Received from dividends reinvested | — | 62,299 | ||||||
Paid for shares redeemed | (1,732,288 | ) | (1,284,366 | ) | ||||
Change in net assets from capital transactions | 202,636 | 7,819,772 | ||||||
Change in net assets | 2,257,064 | 9,031,073 | ||||||
Net Assets: | ||||||||
Beginning of period | 21,736,547 | 12,705,474 | ||||||
End of period | $ | 23,993,611 | $ | 21,736,547 | ||||
Undistributed net investment income | $ | 65,465 | $ | 19,557 | ||||
Financial Highlights
Six-Month Period Ended June 30, 2007 | Years Ended December 31, | For the Period from May 1, 2004 * | ||||||||||||||
(Unaudited) | 2006 | 2005 | to December 31, 2004 | |||||||||||||
Selected Per-Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 13.70 | $ | 12.73 | $ | 11.71 | $ | 10.00 | ||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | 0.03 | 0.05 | — | (0.01 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 1.25 | 0.96 | 1.02 | 1.72 | ||||||||||||
Total from operations | 1.28 | 1.01 | 1.02 | 1.71 | ||||||||||||
Distributions: | ||||||||||||||||
Distributions from net investment income | — | (0.04 | ) | — | — | |||||||||||
Net asset value, end of period | $ | 14.98 | $ | 13.70 | $ | 12.73 | $ | 11.71 | ||||||||
Total return | 9.34 | %(b) | 7.93 | % | 8.71 | % | 17.10 | %(b) | ||||||||
Ratios and supplemental data: | ||||||||||||||||
Net assets at end of period (millions) | $ | 24.0 | $ | 21.7 | $ | 12.7 | $ | 4.8 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||
Expenses | 0.92 | %(a) | 0.96 | % | 1.05 | % | 1.40 | %(a) | ||||||||
Net investment income (loss) | 0.40 | %(a) | 0.47 | % | 0.03 | % | (0.30 | )%(a) | ||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||
Expenses | 0.92 | %(a) | 0.96 | % | 1.05 | % | 2.02 | %(a) | ||||||||
Portfolio turnover rate | 64 | % | 139 | % | 136 | % | 39 | % |
(a) | Annualized. | |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
139
Ohio National Fund, Inc.
Balanced Portfolio
Balanced Portfolio
Objective
The Balanced Portfolio seeks capital appreciation and income by investing within under-priced sectors and industries while maintaining a minimum of 25% of its assets in fixed income securities.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 13.47 | % | ||
Since inception (5/1/04) | 11.80 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Balanced Portfolio returned 7.33% versus 4.91% for the current benchmark, which is composed of 60% S&P Composite 1500 Index and 40% Lehman Brothers U.S. Universal Index.
The dominant themes affecting the market during the first half of 2007, in our view, were fear and value. At the beginning of the period, our system measured a value-to-price ratio of 1.15 for the domestic equity market, and we detected value across all sectors. According to our methodology, equities looked inexpensive compared to bonds, and we started 2007 with about 70% of the Portfolio weighted toward equities, its maximum by policy. Despite pervasive fears of recession, inflation, and a housing meltdown, the S&P Composite 1500 Index gained just over 3.5% by February 20, 2007.
This uptrend abruptly reversed on February 27, 2007, as a near-perfect storm hit the global financial markets. China started that day with the Shanghai Composite Index falling −8.8% as investors cashed in on profits due to fears the Chinese government would begin taking steps to cool the market.
On the heels of that sell-off, U.S. durable goods reported for January fell much more than expected, median home sale prices dropped, and again investors were spooked by the “sub-prime meltdown” and by Federal Reserve Chairman Alan Greenspan’s statement that a recession was “possible” by the end of 2007.
In a single day, the S&P Composite 1500 Index sank from a 3.00% gain for the year into negative territory, falling 3.43%. While equities plummeted, the combination of a flight to quality and stronger beliefs that the Fed would soon cut rates to stave off the impending recession led Treasuries to their best one-day gain since June 2005.
Rather than following the herd to bonds, we stayed true to our disciplined quantitative system, which continued to show value in equities. On March 5, 2007, our methodology measured a 1.26 value-to-price ratio for the domestic equity market, and we maintained the Portfolio’s 70% weighting in equities. This equity concentration allowed the Portfolio to participate fully in the rally that followed, in which the S&P Composite 1500 Index rose more than 10% from March 5 through June 30, 2007.(1)
Bonds, on the other hand, reversed course, with the Lehman Brothers U.S. Universal Bond Index returning −0.53% from March 5 through June 30, 2007 as the 10-year bond saw its yield rise from 4.497% on March 5 to 5.026% by the end of the six-month period.
Given a strong run in equities, we saw value in the equities market dissipate as the six-month period went on. By June 30, 2007, the value-to-price ratio of the domestic market, in our estimation, fell to 1.06. This led to a movement toward bonds, which we believe should reduce the risk profile of the Portfolio. Furthermore, our bond valuations have led us to weight the Portfolio in the shorter end of the yield curve, primarily in high credit quality instruments. The Portfolio has a lower duration than its blended benchmark, a fact that we hope will serve to reduce its risk profile.(1)
The major factor that led to the Portfolio’s outperformance was its over-weight position in equities. Despite the turbulence in the equity markets in late February and concerns over housing, inflation, recession, and a Chinese market implosion, we saw value in the equity market through most of the period and held an over-weight position in equities versus the benchmark. The Portfolio’s average weighting in equities during the period was roughly 68% compared to the 60% equity position of the blended benchmark.(1)
Secondly, the Portfolio’s equity holdings outperformed the equity index returns during the period, rising about 12.64% compared to a 7.43% return for the S&P Composite 1500 Index.
The Portfolio’s equity outperformance was primarily due to over-weight positions in the Materials, Industrials, and Information Technology sectors, the No. 1, No. 3, and No. 4 top-performing sectors within the S&P Composite 1500 Index, respectively. Furthermore, the Portfolio was under-weighted in both the Financials and Consumer Staples sectors, which were the bottom-performing sectors within the S&P Composite 1500 Index during the period.(1)
The top five stock performers in the Portfolio were MasterCard, Inc., Cummins, Inc., Quintana Maritime Ltd., National Oilwell Varco Inc., and Anixter International, Inc. The worst five stock performers in the Portfolio during the period were NovaStar Financial, American Commercial Lines Inc., The First Marblehead Corporation, MCG Capital Corp., and First Cash Financial Services, Inc.(1)
The top five stock contributors to overall returns during the semiannual period were MasterCard Inc., Cummins Inc., National Oilwell Varco Inc., Medco Health Solutions Inc., and Toro Co. The five largest stock detractors were MCG Capital Corp., Altria Group Inc., American Commercial Lines Inc., NovaStar Financial Inc., and Cash America International Inc.(1)
The biggest disappointment for the Portfolio was the lack of leadership from the Health Care sector. Despite attractive
(continued)
140
Ohio National Fund, Inc.
Balanced Portfolio (Continued)
Balanced Portfolio (Continued)
valuations for the sector as a whole, it has lacked leadership, with the S&P 1500 Health Care Index trailing overall S&P 1500 returns for the period.(1)
Despite this disappointment, the Portfolio held strong-performing stocks and industries within the Health Care sector. The Portfolio’s Health Care holdings returned approximately 10.06% versus a 6.49% return for the S&P 1500 Healthcare Index for the semiannual period.(1)
Although we continue to see value in the overall equity market, lower valuations have warranted a higher weighting in bonds in the Balanced Portfolio, from 30% to 38% as the period ended.(1)
We have also seen a dissipation of value in sectors such as Materials, Telecommunication Services, and Utilities. As a result, we are shifting to larger positions in sectors we believe have more value and leadership such as Industrials, Energy, and Information Technology. In the fixed-income allocation, despite some steepening of the yield curve, we continue to see the most value and leadership in the short end of the curve.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted Index of 1500 U.S. Companies and is comprised of the S&P 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 unmanaged Lehman Brothers (LB) 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 June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 61.4 | ||
Corporate Bonds (3) | 14.6 | ||
U.S. Government Agency Issues | 14.7 | ||
U.S. Treasury Obligations | 8.5 | ||
Short-Term Notes and | |||
Other Net Assets | 0.8 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | U.S. Treasury Strips 0.000% 11/15/2007 | 3.9 | |||||
2. | Federal Home Loan Mortgage Corporation 5.125% 10/15/2008 | 3.4 | |||||
3. | Federal National Mortgage Association 2.500% 06/15/2008 | 2.8 | |||||
4. | U.S. Treasury Strips 0.000% 02/15/2008 | 2.7 | |||||
5. | Federal National Mortgage Association 6.000% 05/15/2008 | 2.0 | |||||
6. | U.S. Treasury Notes 4.375% 01/31/2008 | 1.9 | |||||
7. | Microsoft Corp. | 1.7 | |||||
8. | International Business Machines Corp. | 1.6 | |||||
9. | Mastercard, Inc. Class A | 1.4 | |||||
10. | Merck & Co., Inc. | 1.4 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Financials | 19.2 | ||
Information Technology | 11.4 | ||
Industrials | 10.2 | ||
Consumer Discretionary | 10.1 | ||
Health Care | 8.8 | ||
Energy | 8.0 | ||
Telecommunication Services | 4.2 | ||
Materials | 2.1 | ||
Consumer Staples | 1.1 | ||
Utilities | 0.9 | ||
76.0 | |||
141
Ohio National Fund, Inc.
Balanced Portfolio
Balanced Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 61.4% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 7.9% | ||||||||
Auto Components – 1.9% | ||||||||
Johnson Controls, Inc. | 800 | $ | 92,616 | |||||
Superior Industries International Inc. | 3,500 | 76,160 | ||||||
168,776 | ||||||||
Automobiles – 1.5% | ||||||||
General Motors Corp. | 1,690 | 63,882 | ||||||
Honda Motor Co., Ltd. – ADR | 2,000 | 72,580 | ||||||
136,462 | ||||||||
Household Durables – 0.8% | ||||||||
The Black & Decker Corp. | 850 | 75,064 | ||||||
Leisure Equipment & Products – 0.4% | ||||||||
Jakks Pacific, Inc. (a) | 1,100 | 30,954 | ||||||
Media – 1.3% | ||||||||
Comcast Corp. Class A (a) | 2,325 | 65,379 | ||||||
The DIRECTV Group Inc. (a) | 2,320 | 53,615 | ||||||
118,994 | ||||||||
Multiline Retail – 0.7% | ||||||||
Kohl’s Corp. (a) | 810 | 57,534 | ||||||
Specialty Retail – 0.6% | ||||||||
AutoZone, Inc. (a) | 360 | 49,183 | ||||||
Textiles, Apparel & Luxury Goods – 0.7% | ||||||||
NIKE, Inc. Class B | 1,000 | 58,290 | ||||||
TOTAL CONSUMER DISCRETIONARY | 695,257 | |||||||
ENERGY – 7.4% | ||||||||
Energy Equipment & Services – 6.5% | ||||||||
Atwood Oceanics, Inc. (a) | 1,250 | 85,775 | ||||||
Cameron International Corp. (a) | 1,250 | 89,337 | ||||||
Diamond Offshore Drilling, Inc. | 1,000 | 101,560 | ||||||
Grant Prideco, Inc. (a) | 1,700 | 91,511 | ||||||
National Oilwell Varco, Inc. (a) | 1,000 | 104,240 | ||||||
Transocean, Inc. (a) | 1,000 | 105,980 | ||||||
578,403 | ||||||||
Oil, Gas & Consumable Fuels – 0.9% | ||||||||
China Petroleum & Chemical Corp. – ADR | 700 | 78,148 | ||||||
TOTAL ENERGY | 656,551 | |||||||
FINANCIALS – 11.2% | ||||||||
Capital Markets – 4.1% | ||||||||
Credit Suisse Group – ADR | 1,000 | 70,960 | ||||||
Deutsche Bank AG | 400 | 57,896 | ||||||
The Goldman Sachs Group, Inc. | 240 | 52,020 | ||||||
MCG Capital Corp. | 2,910 | 46,618 | ||||||
The Bank of New York Co., Inc. | 1,460 | 60,502 | ||||||
UBS AG | 1,250 | 75,013 | ||||||
363,009 | ||||||||
Commercial Banks – 1.1% | ||||||||
Wachovia Corp. | 660 | 33,825 | ||||||
Wells Fargo & Co. | 1,700 | 59,789 | ||||||
93,614 | ||||||||
Insurance – 6.0% | ||||||||
AFLAC, Inc. | 1,750 | 89,950 | ||||||
American International Group, Inc. | 770 | 53,923 | ||||||
HCC Insurance Holdings, Inc. | 1,140 | 38,088 | ||||||
Lincoln National Corp. | 1,120 | 79,464 | ||||||
Insurance (continued) | ||||||||
Manulife Financial Corp. | 2,250 | 83,970 | ||||||
MetLife, Inc. | 1,220 | 78,666 | ||||||
Prudential Financial, Inc. | 840 | 81,673 | ||||||
The Hartford Financial Services Group, Inc. | 240 | 23,642 | ||||||
529,376 | ||||||||
TOTAL FINANCIALS | 985,999 | |||||||
HEALTH CARE – 8.8% | ||||||||
Biotechnology – 0.7% | ||||||||
Celgene Corp. (a) | 1,040 | 59,623 | ||||||
Health Care Equipment & Supplies – 1.1% | ||||||||
Stryker Corp. | 1,500 | 94,635 | ||||||
Health Care Providers & Services – 4.1% | ||||||||
Aetna, Inc. | 1,500 | 74,100 | ||||||
Manor Care, Inc. | 1,500 | 97,935 | ||||||
Medco Health Solutions, Inc. (a) | 1,500 | 116,985 | ||||||
WellPoint, Inc. (a) | 1,000 | 79,830 | ||||||
368,850 | ||||||||
Pharmaceuticals – 2.9% | ||||||||
Forest Laboratories, Inc. Class A (a) | 1,010 | 46,107 | ||||||
Johnson & Johnson | 1,460 | 89,965 | ||||||
Merck & Co., Inc. | 2,450 | 122,010 | ||||||
258,082 | ||||||||
TOTAL HEALTH CARE | 781,190 | |||||||
INDUSTRIALS – 10.0% | ||||||||
Aerospace & Defense – 0.8% | ||||||||
Lockheed Martin Corp. | 750 | 70,598 | ||||||
Building Products – 0.4% | ||||||||
Simpson Manufacturing Co., Inc. | 1,200 | 40,488 | ||||||
Electrical Equipment – 0.8% | ||||||||
Acuity Brands, Inc. | 1,150 | 69,322 | ||||||
Industrial Conglomerates – 0.5% | ||||||||
General Electric Co. | 1,090 | 41,725 | ||||||
Machinery – 3.5% | ||||||||
Cummins, Inc. | 1,000 | 101,210 | ||||||
The Toro Co. | 2,000 | 117,780 | ||||||
Westinghouse Air Brake Technologies Corp. | 2,500 | 91,325 | ||||||
310,315 | ||||||||
Marine – 0.5% | ||||||||
Quintana Maritime Ltd. | 3,100 | 49,042 | ||||||
Road & Rail – 2.3% | ||||||||
Burlington Northern Santa Fe Corp. | 1,000 | 85,140 | ||||||
Canadian Pacific Railway Ltd. | 1,000 | 68,820 | ||||||
Knight Transportation, Inc. | 2,500 | 48,450 | ||||||
202,410 | ||||||||
Trading Companies & Distributors – 1.2% | ||||||||
Aircastle Ltd | 1,500 | 59,715 | ||||||
Watsco, Inc. | 800 | 43,520 | ||||||
103,235 | ||||||||
TOTAL INDUSTRIALS | 887,135 | |||||||
(continued)
142
Ohio National Fund, Inc.
Balanced Portfolio (Continued)
Balanced Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 61.4% | Shares | Value | ||||||
INFORMATION TECHNOLOGY – 10.7% | ||||||||
Communications Equipment – 0.9% | ||||||||
Cisco Systems, Inc. (a) | 2,800 | $ | 77,980 | |||||
Computers & Peripherals – 3.3% | ||||||||
Dell, Inc. (a) | 2,500 | 71,375 | ||||||
Hewlett-Packard Co. | 1,800 | 80,316 | ||||||
International Business Machines Corp. | 1,370 | 144,193 | ||||||
295,884 | ||||||||
Electronic Equipment & Instruments – 0.9% | ||||||||
Anixter International, Inc. (a) | 1,050 | 78,970 | ||||||
Internet Software & Services – 0.7% | ||||||||
Google, Inc. Class A (a) | 120 | 62,806 | ||||||
IT Services – 1.4% | ||||||||
Mastercard, Inc. Class A | 750 | 124,403 | ||||||
Office Electronics – 0.9% | ||||||||
Xerox Corp. (a) | 4,300 | 79,464 | ||||||
Semiconductor & Semiconductor Equipment – 0.9% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. – ADR | 7,035 | 78,299 | ||||||
Software – 1.7% | ||||||||
Microsoft Corp. | 5,020 | 147,939 | ||||||
TOTAL INFORMATION TECHNOLOGY | 945,745 | |||||||
MATERIALS – 2.1% | ||||||||
Containers & Packaging – 1.0% | ||||||||
Ball Corp. | 1,670 | 88,794 | ||||||
Metals & Mining – 1.1% | ||||||||
Quanex Corp. | 2,000 | 97,400 | ||||||
TOTAL MATERIALS | 186,194 | |||||||
TELECOMMUNICATION SERVICES – 2.4% | ||||||||
Diversified Telecommunication Services – 1.7% | ||||||||
AT&T Inc. | 1,950 | 80,925 | ||||||
Telefonica SA – ADR | 1,000 | 66,760 | ||||||
147,685 | ||||||||
Wireless Telecommunication Services – 0.7% | ||||||||
America Movil S.A.B. de C.V. – ADR | 970 | 60,072 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 207,757 | |||||||
UTILITIES – 0.9% | ||||||||
Independent Power Producers & Energy Traders – 0.9% | ||||||||
NRG Energy, Inc. (a) | 2,000 | 83,140 | ||||||
TOTAL UTILITIES | 83,140 | |||||||
Total Common Stocks (Cost $4,578,995) | $ | 5,428,968 | ||||||
Face | Fair | |||||||
Corporate Bonds – 14.6% | Amount | Value | ||||||
CONSUMER DISCRETIONARY – 2.2% | ||||||||
Automobiles – 0.3% | ||||||||
DaimlerChrysler N.A. Holding Corp. 6.500%, 11/15/2013 | $ | 30,000 | $ | 31,024 | ||||
Leisure Equipment & Products – 0.6% | ||||||||
Eastman Kodak Co. 7.250%, 11/15/2013 | 50,000 | 50,250 | ||||||
Media – 0.6% | ||||||||
Time Warner Entertainment Co. LP 7.250%, 09/01/2008 | 50,000 | 50,925 | ||||||
Multiline Retail – 0.7% | ||||||||
Dillard’s Inc. 9.500%, 09/01/2009 | 15,000 | 15,878 | ||||||
9.125%, 08/01/2011 | 46,000 | 49,105 | ||||||
64,983 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 197,182 | |||||||
CONSUMER STAPLES – 1.1% | ||||||||
Food Products – 1.1% | ||||||||
General Mills, Inc. 3.875%, 11/30/2007 | 100,000 | 99,389 | ||||||
TOTAL CONSUMER STAPLES | 99,389 | |||||||
ENERGY – 0.6% | ||||||||
Oil, Gas & Consumable Fuels – 0.6% | ||||||||
Petrobras International Finance Co. 7.750%, 09/15/2014 | 50,000 | 54,375 | ||||||
TOTAL ENERGY | 54,375 | |||||||
FINANCIALS – 8.0% | ||||||||
Capital Markets – 2.8% | ||||||||
Merrill Lynch & Co., Inc. 5.000%, 02/03/2014 | 10,000 | 9,571 | ||||||
Morgan Stanley 5.375%, 10/15/2015 | 100,000 | 95,905 | ||||||
The Goldman Sachs Group, Inc. 5.125%, 01/15/2015 | 100,000 | 95,169 | ||||||
6.125%, 02/15/2033 | 50,000 | 47,843 | ||||||
248,488 | ||||||||
Consumer Finance – 2.0% | ||||||||
Ford Motor Credit Co. 5.625%, 10/01/2008 | 30,000 | 29,621 | ||||||
GMAC LLC 5.125%, 05/09/2008 | 25,000 | 24,693 | ||||||
7.750%, 01/19/2010 | 20,000 | 20,258 | ||||||
HSBC Finance Corp. 7.000%, 05/15/2012 | 50,000 | 52,698 | ||||||
6.375%, 11/27/2012 | 50,000 | 51,392 | ||||||
178,662 | ||||||||
Diversified Financial Services – 2.2% | ||||||||
Caterpillar Financial Services Corp. 4.000%, 07/15/2009 | 10,000 | 9,686 | ||||||
CIT Group, Inc. 5.850%, 09/15/2016 | 100,000 | 96,545 | ||||||
Citigroup, Inc. 5.125%, 05/05/2014 | 40,000 | 38,753 | ||||||
JPMorgan Chase & Co. 4.000%, 02/01/2008 | 50,000 | 49,583 | ||||||
194,567 | ||||||||
Insurance – 0.8% | ||||||||
GE Insurance Solutions Corp. 7.000%, 02/15/2026 | 40,000 | 42,793 | ||||||
Unum Group 7.190%, 02/01/2028 | 30,000 | 29,159 | ||||||
71,952 | ||||||||
(continued)
143
Ohio National Fund, Inc.
Balanced Portfolio (Continued)
Balanced Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Corporate Bonds – 14.6% | Amount | Value | ||||||
Thrifts & Mortgage Finance – 0.2% | ||||||||
Countrywide Home Loans, Inc. 4.000%, 03/22/2011 | $ | 15,000 | $ | 14,072 | ||||
TOTAL FINANCIALS | 707,741 | |||||||
INDUSTRIALS – 0.2% | ||||||||
Industrial Conglomerates – 0.2% | ||||||||
General Electric Co. 5.000%, 02/01/2013 | 15,000 | 14,560 | ||||||
TOTAL INDUSTRIALS | 14,560 | |||||||
INFORMATION TECHNOLOGY – 0.7% | ||||||||
Computers & Peripherals – 0.7% | ||||||||
International Business Machines Corp. 8.375%, 11/01/2019 | 50,000 | 60,599 | ||||||
TOTAL INFORMATION TECHNOLOGY | 60,599 | |||||||
TELECOMMUNICATION SERVICES – 1.8% | ||||||||
Diversified Telecommunication Services – 1.1% | ||||||||
GTE Corp. 6.940%, 04/15/2028 | 35,000 | 36,097 | ||||||
New York Telephone Co. 6.000%, 04/15/2008 | 40,000 | 40,157 | ||||||
Telefonica de Argentina S.A. 11.875%, 11/01/2007 | 25,000 | 25,538 | ||||||
101,792 | ||||||||
Wireless Telecommunication Services – 0.7% | ||||||||
Deutsche Telekom International Finance B.V. 8.250%, 06/15/2030 | 50,000 | 60,097 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 161,889 | |||||||
Total Corporate Bonds (Cost $1,321,776) | $ | 1,295,735 | ||||||
Face | Fair | |||||||
U.S. Government Agency Issues – 14.7% | Amount | Value | ||||||
Federal Home Loan Bank 4.500%, 09/16/2013 | $ | 20,000 | $ | 19,111 | ||||
5.375%, 08/15/2018 | 20,000 | 19,864 | ||||||
38,975 | ||||||||
Federal Home Loan Mortgage Corporation 5.125%, 10/15/2008 | 300,000 | 299,991 | ||||||
5.750%, 01/15/2012 | 100,000 | 102,027 | ||||||
5.000%, 09/09/2016 | 15,000 | 14,278 | ||||||
5.250%, 07/27/2017 | 25,000 | 23,999 | ||||||
440,295 | ||||||||
Federal National Mortgage Association 6.000%, 05/15/2008 | 175,000 | 176,023 | ||||||
2.500%, 06/15/2008 | 250,000 | 243,635 | ||||||
3.375%, 12/15/2008 | 40,000 | 38,992 | ||||||
4.875%, 04/15/2009 | 100,000 | 99,472 | ||||||
5.500%, 03/15/2011 | 100,000 | 100,937 | ||||||
5.250%, 08/01/2012 | 100,000 | 99,250 | ||||||
5.000%, 07/26/2013 | 25,000 | 24,312 | ||||||
5.000%, 07/09/2018 | 25,000 | 23,553 | ||||||
5.250%, 04/15/2019 | 20,000 | 19,047 | ||||||
825,221 | ||||||||
Total U. S. Government Agency Issues (Cost $1,310,389) | $ | 1,304,491 | ||||||
Face | Fair | |||||||
U.S. Treasury Obligations – 8.5% | Amount | Value | ||||||
U.S. Treasury Notes – 1.9% | ||||||||
4.375%, 01/31/2008 | $ | 165,000 | $ | 164,510 | ||||
U.S. Treasury Strips – 6.6% | ||||||||
0.000% Coupon, 5.055% Effective Yield, 11/15/2007 | 350,000 | 343,777 | ||||||
0.000% Coupon, 5.014% Effective Yield, 2/15/2008 | 250,000 | 242,424 | ||||||
586,201 | ||||||||
Total U. S. Treasury Obligations (Cost $750,424) | $ | 750,711 | ||||||
Face | Fair | |||||||
Short-Term Notes – 0.4% | Amount | Value | ||||||
Federal Home Loan Bank Discount Note 0.000% Coupon, 4.745% Effective Yield, 07/02/2007 | $ | 32,000 | $ | 31,996 | ||||
Total Short Term Notes (Cost $31,996) | $ | 31,996 | ||||||
Total Investments – 99.6% (Cost $7,993,580) (b) | $ | 8,811,901 | ||||||
Other Assets in Excess of Liabilities – 0.4% | 33,760 | |||||||
Net Assets – 100.0% | $ | 8,845,661 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts Footnotes:
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
144
Ohio National Fund, Inc.
Balanced Portfolio
Balanced Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $7,993,580) | $ | 8,811,901 | ||
Cash | 648 | |||
Receivable for fund shares sold | 332 | |||
Dividends and accrued interest receivable | 47,258 | |||
Prepaid expenses and other assets | 28 | |||
Total assets | 8,860,167 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 38 | |||
Payable for investment management services | 5,429 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 519 | |||
Accrued professional fees | 5,358 | |||
Accrued accounting fees | 2,332 | |||
Accrued printing and filing fees | 440 | |||
Other accrued expenses | 12 | |||
Total liabilities | 14,506 | |||
Net assets | $ | 8,845,661 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 629,500 | ||
Paid-in capital in excess of par value | 6,756,850 | |||
Accumulated net realized gain on investments | 540,570 | |||
Net unrealized appreciation on investments | 818,321 | |||
Undistributed net investment income | 100,420 | |||
Net assets | $ | 8,845,661 | ||
Shares outstanding | 629,500 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 14.05 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 72,831 | ||
Dividends (net of withholding tax of $1,782) | 44,792 | |||
Total investment income | 117,623 | |||
Expenses: | ||||
Management fees | 30,110 | |||
Custodian fees | 1,368 | |||
Directors’ fees | 194 | |||
Professional fees | 5,614 | |||
Accounting fees | 7,170 | |||
Printing and filing fees | 474 | |||
Compliance expense | 2,358 | |||
Other | 60 | |||
Total expenses | 47,348 | |||
Net investment income | 70,275 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 263,274 | |||
Change in unrealized appreciation/depreciation on investments | 244,082 | |||
Net realized/unrealized gain (loss) on investments | 507,356 | |||
Change in net assets from operations | $ | 577,631 | ||
The accompanying notes are an integral part of these financial statements.
145
Ohio National Fund, Inc.
Balanced Portfolio
Balanced Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 70,275 | $ | 115,434 | ||||
Net realized gain (loss) on investments | 263,274 | 311,749 | ||||||
Change in unrealized appreciation/depreciation on investments | 244,082 | 276,362 | ||||||
Change in net assets from operations | 577,631 | 703,545 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (84,925 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 1,737,594 | 3,531,045 | ||||||
Received from dividends reinvested | — | 84,925 | ||||||
Paid for shares redeemed | (1,113,401 | ) | (711,520 | ) | ||||
Change in net assets from capital transactions | 624,193 | 2,904,450 | ||||||
Change in net assets | 1,201,824 | 3,523,070 | ||||||
Net Assets: | ||||||||
Beginning of period | 7,643,837 | 4,120,767 | ||||||
End of period | $ | 8,845,661 | $ | 7,643,837 | ||||
Undistributed net investment income | $ | 100,420 | $ | 30,145 | ||||
Financial Highlights
Six-Month Period Ended June 30, 2007 | Years Ended December 31, | For the Period from May 1, 2004* | ||||||||||||||
(Unaudited) | 2006 | 2005 | to December 31, 2004 | |||||||||||||
Selected Per-Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 13.09 | $ | 11.70 | $ | 11.33 | $ | 10.00 | ||||||||
Operations: | ||||||||||||||||
Net investment income | 0.11 | 0.17 | 0.06 | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.85 | 1.37 | 0.33 | 1.29 | ||||||||||||
Total from operations | 0.96 | 1.54 | 0.39 | 1.33 | ||||||||||||
Distributions: | ||||||||||||||||
Distributions from net investment income | — | (0.15 | ) | (0.02 | ) | 0.00 | ||||||||||
Net asset value, end of period | $ | 14.05 | $ | 13.09 | $ | 11.70 | $ | 11.33 | ||||||||
Total return | 7.33 | %(b) | 13.12 | % | 3.47 | % | 13.30 | %(b) | ||||||||
Ratios and supplemental data: | ||||||||||||||||
Net assets at end of period (millions) | $ | 8.8 | $ | 7.6 | $ | 4.1 | $ | 1.7 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||
Expenses | 1.18 | %(a) | 1.31 | % | 1.50 | % | 1.46 | %(a) | ||||||||
Net investment income | 1.75 | %(a) | 1.95 | % | 0.99 | % | 0.78 | %(a) | ||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||
Expenses | 1.18 | %(a) | 1.31 | % | 1.55 | % | 3.52 | %(a) | ||||||||
Portfolio turnover rate | 43 | % | 105 | % | 118 | % | 39 | % |
(a) | Annualized. | |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
146
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Objective
The Income Opportunity Portfolio seeks modest capital appreciation by investing within under-priced sectors and industries and maximization of realized gains.
Performance as of June 30, 2007
Average Annual Total Returns:
One year | 9.84 | % | ||
Since inception (5/1/04) | 6.40 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Income Opportunity Portfolio returned 5.55% versus 7.43% for the current benchmark, the S&P Composite 1500 Index.
The dominant themes affecting the market during the first half of 2007, in our view, were fear and value. At the beginning of the period, our system measured a value-to-price ratio of 1.15 for the domestic equity market, and we detected value across all sectors.
Despite pervasive fears of recession, inflation, and a housing meltdown, the S&P Composite 1500 Index gained just over 3.5% by February 20, 2007. This uptrend abruptly reversed on February 27, 2007, as a near-perfect storm hit the global financial markets. China started that day with the Shanghai Composite Index falling -8.8% as investors cashed in on profits due to fears the Chinese government would begin taking steps to cool the market.
On the heels of that sell-off, U.S. durable goods reported for January fell much more than expected, median home sale prices dropped, and again investors were spooked by the “sub-prime meltdown” and by former Federal Reserve Chairman Alan Greenspan’s statement that a recession was “possible” by the end of 2007.
In a single day, the S&P Composite 1500 Index sank from a 3.00% gain for the year into negative territory, falling 3.43%. While equities plummeted, the combination of a flight to quality and stronger beliefs that the Fed would soon cut rates to stave off the impending recession led Treasuries to their best one-day gain since June 2005.
Rather than following the herd to defensive instruments, we stayed true to our disciplined quantitative system, which continued to show ever greater value in equities. On March 5, 2007, our methodology measured a 1.26 value-to-price ratio for the domestic equity market. We maintained our bullish stance on equities and participated fully in the rally that followed in which the S&P Composite 1500 Index rose more than 10% from March 5 through June 30, 2007.
Following the rally described above, we saw some dissipation of value in the overall equity market and to a greater extent in certain sectors. By period-end, the overall value-to-price ratio of the market fell to 1.06, while sectors such as Materials, Telecommunication Services, and Utilities became overvalued.
Our readings have led to over-weight positions in undervalued sectors including Energy and Industrials and a further move to under-weight the overvalued Materials, Telecommunication Services, and Utilities sectors. While this repositioning has changed the makeup of the Portfolio, it is weighted in those areas we calculate are most undervalued.(1)
The Portfolio underperformed its benchmark. This underperformance occurred due to writing calls on the Portfolio’s long equity positions, which mitigates some of the upward return potential of the Portfolio. In exchange for the limited upside, the Portfolio was less volatile than the long-only Index and also generally held up better than the S&P Composite 1500 Index on negative days in the market. In other words, the Portfolio was able to capture almost 75% of the long-only upside benchmark potential, while reducing volatility and mitigating negative returns on down days in the market.(1)
Sector and industry weightings played a significant role in the total return of the Portfolio. Among the Portfolio’s over-weighted sector positions, the Materials, Telecommunication Services and Utilities sectors were strong contributors to the Portfolio’s positive performance. Positions in the Information Technology and Health Care sectors detracted from the Portfolio’s overall performance for the period ended June 30, 2007.(1)
At the industry level, significant over-weight positions in two energy industries, oil & gas drilling and oil & gas equipment and services, were a strong boost to the Portfolio’s total return, while positions in the semiconductor and systems software industries detracted from total returns.(1)
The top performers based on equity holdings in terms of total return for the period were Martin Marietta Materials, Inc., America Movil S.A.B. de C.V., National Oilwell Varco, Inc., Avnet, Inc., and Johnson Controls, Inc. The five worst performers based on equity holdings were Amgen, Inc., Merrill Lynch & Co., Inc., Symantec Corp., Hovnanian Enterprises, Inc., and Centex Corp.(1)
The top five contributors to return based on equity holdings during the period were Martin Marietta Materials, Inc., America Movil S.A.B. de C.V., Avnet Inc., National Oilwell Varco, Inc., and Johnson Controls, Inc. The five largest detractors to the Portfolio’s return based on equity holdings were Hovnanian Enterprises, Inc., Microsoft Corp., Amgen, Inc., Toyota Motor Corp., and Merrill Lynch & Co, Inc.(1)
(continued)
147
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Although we continue to see value in the overall equity market, lower valuations have warranted a shift toward certain sectors and away from others. We have increased the Portfolio’s holdings in those sectors we see as most undervalued, primarily Energy and Industrials. At the same time, we have pared back the Portfolio’s weightings in those sectors we see as most overvalued, including Materials, Telecommunication Services, Utilities, and Consumer Staples.(1)
Despite the relatively low 1.06 value-to-price (“V/P”) ratio we measured at period-end for the overall market, we continue to find industries such as oil & gas drilling (1.61 V/P as of June 30, 2007), reinsurance (1.31 V/P), and oil & gas equipment services (1.27 V/P) that, in our estimation, not only have significant value but also are showing compelling strength.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted Index of 1500 U.S. Companies and is comprised of the S&P 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 June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 104.5 | ||
Written Options Outstanding | (6.5) | ||
Short-Term Notes | |||
Less Net Liabilities | 2.0 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Google, Inc. Class A | 2.0 | |||||
2. | Barnes Group, Inc. | 2.0 | |||||
3. | Johnson Controls, Inc. | 2.0 | |||||
4. | Jarden Corp. | 2.0 | |||||
5. | Citigroup, Inc. | 1.9 | |||||
6. | Oshkosh Truck Corp. | 1.8 | |||||
7. | America Movil S.A.B. de C.V. — ADR | 1.8 | |||||
8. | Noble Corp. | 1.7 | |||||
9. | The Goldman Sachs Group, Inc. | 1.7 | |||||
10. | Westinghouse Air Brake Technologies 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 | |||
Financials | 18.7 | ||
Industrials | 18.3 | ||
Information Technology | 16.6 | ||
Consumer Discretionary | 13.7 | ||
Energy | 13.5 | ||
Health Care | 13.2 | ||
Telecommunication Services | 5.6 | ||
Materials | 2.9 | ||
Consumer Staples | 1.5 | ||
Utilities | 0.5 | ||
104.5 | |||
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Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 104.5% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 13.7% | ||||||||
Auto Components – 3.4% | ||||||||
American Axle & Manufacturing Holdings, Inc. (b) | 1,300 | $ | 38,506 | |||||
Johnson Controls, Inc. (b) | 900 | 104,193 | ||||||
Superior Industries International Inc. (b) | 1,600 | 34,816 | ||||||
177,515 | ||||||||
Household Durables – 3.3% | ||||||||
Jarden Corp. (a) (b) | 2,400 | 103,224 | ||||||
Lifetime Brands, Inc. | 2,200 | 44,990 | ||||||
Whirlpool Corp. (b) | 200 | 22,240 | ||||||
170,454 | ||||||||
Media – 3.9% | ||||||||
Belo Corp. | 1,700 | 35,003 | ||||||
Citadel Broadcasting Corp. | 69 | 445 | ||||||
EchoStar Communications Corp. Class A (a) (b) | 1,100 | 47,707 | ||||||
Global Sources Ltd. (a) | 2,600 | 59,020 | ||||||
Meredith Corp. (b) | 500 | 30,800 | ||||||
The Walt Disney Co. (b) | 900 | 30,726 | ||||||
203,701 | ||||||||
Specialty Retail – 1.8% | ||||||||
Advance Auto Parts Inc. (b) | 900 | 36,477 | ||||||
AutoZone, Inc. (a) (b) | 400 | 54,648 | ||||||
91,125 | ||||||||
Textiles, Apparel & Luxury Goods – 1.3% | ||||||||
NIKE, Inc. Class B (b) | 1,200 | 69,948 | ||||||
TOTAL CONSUMER DISCRETIONARY | 712,743 | |||||||
CONSUMER STAPLES – 1.5% | ||||||||
Beverages – 1.1% | ||||||||
Central European Distribution Corp. (a) (b) | 1,600 | 55,392 | ||||||
Food & Staples Retailing – 0.4% | ||||||||
Sysco Corp. (b) | 700 | 23,093 | ||||||
TOTAL CONSUMER STAPLES | 78,485 | |||||||
ENERGY – 13.5% | ||||||||
Energy Equipment & Services – 11.7% | ||||||||
Cameron International Corp. (a) (b) | 1,000 | 71,470 | ||||||
Diamond Offshore Drilling, Inc. (b) | 800 | 81,248 | ||||||
ENSCO International, Inc. (b) | 1,100 | 67,111 | ||||||
GlobalSantaFe Corp. (b) | 1,100 | 79,475 | ||||||
Grant Prideco, Inc. (a) (b) | 1,200 | 64,596 | ||||||
National Oilwell Varco, Inc. (a) (b) | 800 | 83,392 | ||||||
Noble Corp. (b) | 900 | 87,768 | ||||||
Weatherford International Ltd. (a) (b) | 1,300 | 71,812 | ||||||
606,872 | ||||||||
Oil, Gas & Consumable Fuels – 1.8% | ||||||||
CONSOL Energy, Inc. (b) | 900 | 41,499 | ||||||
Peabody Energy Corp. (b) | 1,100 | 53,218 | ||||||
94,717 | ||||||||
TOTAL ENERGY | 701,589 | |||||||
FINANCIALS – 18.7% | ||||||||
Capital Markets – 6.0% | ||||||||
Credit Suisse Group — ADR (b) | 100 | 7,096 | ||||||
Deutsche Bank AG (b) | 500 | 72,370 | ||||||
The Goldman Sachs Group, Inc. (b) | 400 | 86,700 | ||||||
Morgan Stanley (b) | 900 | 75,492 | ||||||
UBS AG (b) | 1,200 | 72,012 | ||||||
313,670 | ||||||||
Commercial Banks – 2.7% | ||||||||
Banco Santander Central Hispano S.A. — ADR | 2,900 | 53,302 | ||||||
Wachovia Corp. (b) | 700 | 35,875 | ||||||
Wells Fargo & Co. (b) | 1,500 | 52,755 | ||||||
141,932 | ||||||||
Diversified Financial Services – 3.0% | ||||||||
Citigroup, Inc. (b) | 1,900 | 97,451 | ||||||
JPMorgan Chase & Co. (b) | 1,200 | 58,140 | ||||||
155,591 | ||||||||
Insurance – 7.0% | ||||||||
American International Group, Inc. (b) | 1,000 | 70,030 | ||||||
Everest Re Group Ltd. (b) | 600 | 65,184 | ||||||
The Hartford Financial Services Group, Inc. (b) | 500 | 49,255 | ||||||
Loews Corp. (b) | 600 | 30,588 | ||||||
Manulife Financial Corp. (b) | 1,400 | 52,248 | ||||||
MetLife, Inc. (b) | 500 | 32,240 | ||||||
Renaissance Re Holdings Ltd. (b) | 1,000 | 61,990 | ||||||
361,535 | ||||||||
TOTAL FINANCIALS | 972,728 | |||||||
HEALTH CARE – 13.2% | ||||||||
Biotechnology – 0.4% | ||||||||
Celgene Corp. (a) (b) | 400 | 22,932 | ||||||
Health Care Equipment & Supplies – 1.7% | ||||||||
St. Jude Medical, Inc. (a) (b) | 700 | 29,043 | ||||||
Stryker Corp. (b) | 900 | 56,781 | ||||||
85,824 | ||||||||
Health Care Providers & Services – 7.2% | ||||||||
Aetna, Inc. (b) | 1,400 | 69,160 | ||||||
Amedisys, Inc. (a) | 1,800 | 65,394 | ||||||
CIGNA Corp. (b) | 1,500 | 78,330 | ||||||
Humana, Inc. (a) (b) | 900 | 54,819 | ||||||
UnitedHealth Group, Inc. (b) | 1,100 | 56,254 | ||||||
WellPoint, Inc. (a) (b) | 600 | 47,898 | ||||||
371,855 | ||||||||
Pharmaceuticals – 3.9% | ||||||||
Forest Laboratories, Inc. Class A (a) (b) | 800 | 36,520 | ||||||
Johnson & Johnson (b) | 500 | 30,810 | ||||||
Merck & Co., Inc. (b) | 500 | 24,900 | ||||||
Schering-Plough Corp. (b) | 2,200 | 66,968 | ||||||
Sciele Pharma, Inc. (a) (b) | 1,900 | 44,764 | ||||||
203,962 | ||||||||
TOTAL HEALTH CARE | 684,573 | |||||||
(continued)
149
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 104.5% | Shares | Value | ||||||
INDUSTRIALS – 18.3% | ||||||||
Aerospace & Defense – 2.1% | ||||||||
AerCap Holdings NV (a) | 900 | $ | 28,800 | |||||
BE Aerospace, Inc. (a) (b) | 1,600 | 66,080 | ||||||
Northrop Grumman Corp. (b) | 200 | 15,574 | ||||||
110,454 | ||||||||
Building Products – 1.2% | ||||||||
American Standard Companies, Inc. (b) | 1,000 | 58,980 | ||||||
Electrical Equipment – 1.0% | ||||||||
Acuity Brands, Inc. (b) | 900 | 54,252 | ||||||
Industrial Conglomerates – 0.8% | ||||||||
General Electric Co. (b) | 1,100 | 42,108 | ||||||
Machinery – 8.1% | ||||||||
Astec Industries, Inc. (a) (b) | 1,200 | 50,664 | ||||||
Barnes Group, Inc. (b) | 3,300 | 104,544 | ||||||
Deere & Co. (b) | 300 | 36,222 | ||||||
Oshkosh Truck Corp. (b) | 1,500 | 94,380 | ||||||
Trinity Industries, Inc. (b) | 1,100 | 47,894 | ||||||
Westinghouse Air Brake Technologies Corp. (b) | 2,300 | 84,019 | ||||||
417,723 | ||||||||
Road & Rail – 4.0% | ||||||||
Kansas City Southern (a) (b) | 1,400 | 52,556 | ||||||
Norfolk Southern Corp. (b) | 1,400 | 73,598 | ||||||
Union Pacific Corp. (b) | 700 | 80,605 | ||||||
206,759 | ||||||||
Trading Companies & Distributors – 1.1% | ||||||||
United Rentals, Inc. (a) (b) | 800 | 26,032 | ||||||
Watsco, Inc. (b) | 600 | 32,640 | ||||||
58,672 | ||||||||
TOTAL INDUSTRIALS | 948,948 | |||||||
INFORMATION TECHNOLOGY – 16.6% | ||||||||
Communications Equipment – 2.8% | ||||||||
Cisco Systems, Inc. (a) (b) | 2,400 | 66,840 | ||||||
Research In Motion Ltd. (a) (b) | 400 | 79,996 | ||||||
146,836 | ||||||||
Computers & Peripherals – 3.6% | ||||||||
Dell, Inc. (a) (b) | 2,800 | 79,940 | ||||||
Hewlett-Packard Co. (b) | 700 | 31,234 | ||||||
International Business Machines Corp. (b) | 700 | 73,675 | ||||||
184,849 | ||||||||
Electronic Equipment & Instruments – 3.7% | ||||||||
Anixter International, Inc. (a) (b) | 700 | 52,647 | ||||||
Arrow Electronics, Inc. (a) (b) | 1,600 | 61,488 | ||||||
Avnet, Inc. (a) (b) | 1,900 | 75,316 | ||||||
189,451 | ||||||||
Internet Software & Services – 3.3% | ||||||||
eBay, Inc. (a) (b) | 1,000 | 32,180 | ||||||
GigaMedia Ltd. (a) (b) | 2,500 | 33,700 | ||||||
Internet Software & Services (continued) | ||||||||
Google, Inc. Class A (a) (b) | 200 | 104,676 | ||||||
170,556 | ||||||||
IT Services – 0.7% | ||||||||
Cognizant Technology Solutions Corp. Class A (a) (b) | 500 | 37,545 | ||||||
Office Electronics – 0.1% | ||||||||
Xerox Corp. (a) (b) | 400 | 7,392 | ||||||
Software – 2.4% | ||||||||
Microsoft Corp. (b) | 1,600 | 47,152 | ||||||
The9 Ltd. — ADR (a) (b) | 1,700 | 78,642 | ||||||
125,794 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 862,423 | |||||||
MATERIALS – 2.9% | ||||||||
Construction Materials – 1.7% | ||||||||
Martin Marietta Materials, Inc. (b) | 400 | 64,808 | ||||||
Texas Industries, Inc. (b) | 300 | 23,523 | ||||||
88,331 | ||||||||
Containers & Packaging – 0.7% | ||||||||
Ball Corp. (b) | 700 | 37,219 | ||||||
Metals & Mining – 0.5% | ||||||||
Quanex Corp. (b) | 500 | 24,350 | ||||||
TOTAL MATERIALS | 149,900 | |||||||
TELECOMMUNICATION SERVICES – 5.6% | ||||||||
Diversified Telecommunication Services – 2.0% | ||||||||
AT&T Inc. (b) | 800 | 33,200 | ||||||
PT Telekomunikasi Indonesia — ADR (b) | 1,000 | 43,100 | ||||||
Telefonos de Mexico S.A.B. de C.V. — ADR (b) | 800 | 30,312 | ||||||
106,612 | ||||||||
Wireless Telecommunication Services – 3.6% | ||||||||
America Movil S.A.B. de C.V. — ADR (b) | 1,500 | 92,895 | ||||||
NII Holdings, Inc. (a) (b) | 500 | 40,370 | ||||||
Vimpel-Communications — ADR (b) | 500 | 52,680 | ||||||
185,945 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | �� | 292,557 | ||||||
UTILITIES – 0.5% | ||||||||
Electric Utilities – 0.5% | ||||||||
Allegheny Energy, Inc. (a) (b) | 500 | 25,870 | ||||||
TOTAL UTILITIES | 25,870 | |||||||
Total Common Stocks (Cost $4,847,458) | $ | 5,429,816 | ||||||
(continued)
150
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Face | Fair | |||||||
Short-Term Notes – 2.7% | Amount | Value | ||||||
Federal Home Loan Bank Discount Note 0.000% Coupon, 4.744% Effective Yield, 07/02/2007 | $ | 139,000 | $ | 138,982 | ||||
Total Short-Term Notes (Cost $138,982) | $ | 138,982 | ||||||
Total Investments – 107.2% (Cost $4,986,440) (c) | $ | 5,568,798 | ||||||
Total Written Options Outstanding – (6.5)% (see following schedule) | (338,104 | ) | ||||||
Liabilities in Excess of Other Assets – (0.7)% | (37,190 | ) | ||||||
Net Assets – 100.0% | $ | 5,193,504 | ||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security is fully or partially pledged as collateral for written call options outstanding at June 30, 2007. Outstanding written call options are presented in the following schedule. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
151
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Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Schedule of Written Options Outstanding — Call Options | June 30, 2007 (Unaudited) |
Underlying Security | ||||||||
Expiration Date/Exercise Price | Contracts* | Value | ||||||
Acuity Brands, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $65.00 | 9 | $ | 1,845 | |||||
Advance Auto Parts Inc. | ||||||||
Expiration: December 2007, Exercise Price: $45.00 | 9 | 1,485 | ||||||
Aetna, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $55.00 | 14 | 1,400 | ||||||
Allegheny Energy, Inc. | ||||||||
Expiration: July 2007, Exercise Price: $50.00 | 5 | 1,238 | ||||||
America Movil S.A.B. de C.V. — ADR | ||||||||
Expiration: November 2007, Exercise Price: $55.00 | 7 | 6,650 | ||||||
Expiration: November 2007, Exercise Price: $60.00 | 8 | 5,360 | ||||||
American Axle & Manufacturing Holdings, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $30.00 | 13 | 3,153 | ||||||
American International Group, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $70.00 | 10 | 3,300 | ||||||
American Standard Companies, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $60.00 | 10 | 3,200 | ||||||
Anixter International, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $70.00 | 7 | 6,580 | ||||||
Arrow Electronics, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $45.00 | 12 | 300 | ||||||
Expiration: December 2007, Exercise Price: $45.00 | 4 | 380 | ||||||
Astec Industries, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $45.00 | 12 | 2,460 | ||||||
AT&T Inc. | ||||||||
Expiration: October 2007, Exercise Price: $42.50 | 8 | 1,200 | ||||||
AutoZone, Inc. | ||||||||
Expiration: December 2007, Exercise Price: $140.00 | 4 | 3,200 | ||||||
Avnet, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $40.00 | 19 | 7,125 | ||||||
Ball Corp. | ||||||||
Expiration: August 2007, Exercise Price: $50.00 | 7 | 2,835 | ||||||
Barnes Group, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $30.00 | 24 | 8,160 | ||||||
Expiration: December 2007, Exercise Price: $35.00 | 9 | 1,800 | ||||||
BE Aerospace, Inc. | ||||||||
Expiration: January 2008, Exercise Price: $45.00 | 16 | 5,520 | ||||||
Cameron International Corp. | ||||||||
Expiration: November 2007, Exercise Price: $75.00 | 10 | 4,000 | ||||||
Celgene Corp. | ||||||||
Expiration: October 2007, Exercise Price: $70.00 | 4 | 360 | ||||||
Central European Distribution Corp. | ||||||||
Expiration: December 2007, Exercise Price: $35.00 | 16 | 5,120 |
(continued)
152
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Schedule of Written Options Outstanding — Call Options | June 30, 2007 (Unaudited) |
Underlying Security | ||||||||
Expiration Date/Exercise Price | Contracts* | Value | ||||||
CIGNA Corp. | ||||||||
Expiration: July 2007, Exercise Price: $50.00 | 4 | $ | 1,100 | |||||
Expiration: October 2007, Exercise Price: $50.00 | 9 | 4,005 | ||||||
Expiration: October 2007, Exercise Price: $60.00 | 2 | 140 | ||||||
Cisco Systems, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $27.50 | 24 | 4,560 | ||||||
Citigroup, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $50.00 | 19 | 4,750 | ||||||
Cognizant Technology Solutions Corp. Class A | ||||||||
Expiration: July 2007, Exercise Price: $90.00 | 5 | 13 | ||||||
CONSOL Energy, Inc. | ||||||||
Expiration: July 2007, Exercise Price: $45.00 | 9 | 1,944 | ||||||
Credit Suisse Group — ADR | ||||||||
Expiration: December 2007, Exercise Price: $80.00 | 1 | 168 | ||||||
Deere & Co. | ||||||||
Expiration: December 2007, Exercise Price: $130.00 | 3 | 2,070 | ||||||
Dell, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $30.00 | 28 | 3,920 | ||||||
Deutsche Bank AG | ||||||||
Expiration: October 2007, Exercise Price: $160.00 | 5 | 1,600 | ||||||
Diamond Offshore Drilling, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $100.00 | 2 | 1,560 | ||||||
Expiration: September 2007, Exercise Price: $85.00 | 6 | 11,040 | ||||||
eBay, Inc. | ||||||||
Expiration: July 2007, Exercise Price: $32.50 | 10 | 950 | ||||||
EchoStar Communications Corp. Class A | ||||||||
Expiration: September 2007, Exercise Price: $45.00 | 4 | 720 | ||||||
Expiration: December 2007, Exercise Price: $50.00 | 7 | 840 | ||||||
ENSCO International, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $55.00 | 11 | 9,680 | ||||||
Everest Re Group Ltd. | ||||||||
Expiration: October 2007, Exercise Price: $110.00 | 6 | 2,580 | ||||||
Forest Laboratories, Inc. Class A | ||||||||
Expiration: January 2008, Exercise Price: $55.00 | 8 | 700 | ||||||
General Electric Co. | ||||||||
Expiration: September 2007, Exercise Price: $35.00 | 11 | 4,290 | ||||||
GigaMedia Ltd. | ||||||||
Expiration: January 2008, Exercise Price: $17.50 | 25 | 2,437 | ||||||
GlobalSantaFe Corp. | ||||||||
Expiration: October 2007, Exercise Price: $65.00 | 11 | 11,110 | ||||||
The Goldman Sachs Group, Inc. | ||||||||
Expiration: July 2007, Exercise Price: $220.00 | 4 | 1,440 |
(continued)
153
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Schedule of Written Options Outstanding — Call Options | June 30, 2007 (Unaudited) |
Underlying Security | ||||||||
Expiration Date/Exercise Price | Contracts* | Value | ||||||
Google, Inc. Class A | ||||||||
Expiration: September 2007, Exercise Price: $480.00 | 1 | $ | 5,670 | |||||
Expiration: December 2007, Exercise Price: $570.00 | 1 | 2,380 | ||||||
Grant Prideco, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $50.00 | 12 | 9,000 | ||||||
The Hartford Financial Services Group, Inc. | ||||||||
Expiration: December 2007, Exercise Price: $110.00 | 5 | 925 | ||||||
Hewlett-Packard Co. | ||||||||
Expiration: November 2007, Exercise Price: $47.50 | 7 | 1,099 | ||||||
Humana, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $70.00 | 9 | 1,620 | ||||||
International Business Machines Corp. | ||||||||
Expiration: October 2007, Exercise Price: $110.00 | 7 | 1,890 | ||||||
Jarden Corp. | ||||||||
Expiration: October 2007, Exercise Price: $45.00 | 24 | 5,760 | ||||||
Johnson & Johnson | ||||||||
Expiration: October 2007, Exercise Price: $65.00 | 5 | 425 | ||||||
Johnson Controls, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $115.00 | 9 | 6,750 | ||||||
JPMorgan Chase & Co. | ||||||||
Expiration: September 2007, Exercise Price: $50.00 | 12 | 1,440 | ||||||
Kansas City Southern | ||||||||
Expiration: September 2007, Exercise Price: $40.00 | 14 | 2,100 | ||||||
Loews Corp. | ||||||||
Expiration: December 2007, Exercise Price: $50.00 | 6 | 2,460 | ||||||
Manulife Financial Corp. | ||||||||
Expiration: September 2007, Exercise Price: $35.00 | 14 | 3,885 | ||||||
Martin Marietta Materials, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $140.00 | 4 | 11,000 | ||||||
Merck & Co., Inc. | ||||||||
Expiration: October 2007, Exercise Price: $52.50 | 5 | 750 | ||||||
Meredith Corp. | ||||||||
Expiration: December 2007, Exercise Price: $65.00 | 5 | 975 | ||||||
MetLife, Inc. | ||||||||
Expiration: December 2007, Exercise Price: $70.00 | 5 | 825 | ||||||
Microsoft Corp. | ||||||||
Expiration: October 2007, Exercise Price: $30.00 | 16 | 1,920 | ||||||
Morgan Stanley | ||||||||
Expiration: July 2007, Exercise Price: $80.00 | 9 | 4,140 | ||||||
National Oilwell Varco, Inc. | ||||||||
Expiration: November 2007, Exercise Price: $105.00 | 8 | 8,000 | ||||||
NII Holdings, Inc. | ||||||||
Expiration: December 2007, Exercise Price: $90.00 | 5 | 1,975 |
(continued)
154
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Schedule of Written Options Outstanding — Call Options | June 30, 2007 (Unaudited) |
Underlying Security | ||||||||
Expiration Date/Exercise Price | Contracts* | Value | ||||||
NIKE, Inc. Class B | ||||||||
Expiration: July 2007, Exercise Price: $55.00 | 12 | $ | 4,440 | |||||
Noble Corp. | ||||||||
Expiration: September 2007, Exercise Price: $90.00 | 6 | 7,200 | ||||||
Expiration: December 2007, Exercise Price: $100.00 | 3 | 2,520 | ||||||
Norfolk Southern Corp. | ||||||||
Expiration: December 2007, Exercise Price: $60.00 | 14 | 2,870 | ||||||
Northrop Grumman Corp. | ||||||||
Expiration: November 2007, Exercise Price: $80.00 | 2 | 580 | ||||||
Novartis AG — ADR | ||||||||
Expiration: July 2007, Exercise Price: $60.00 | 5 | 50 | ||||||
Oshkosh Truck Corp. | ||||||||
Expiration: July 2007, Exercise Price: $60.00 | 10 | 3,700 | ||||||
Expiration: October 2007, Exercise Price: $70.00 | 5 | 1,075 | ||||||
Peabody Energy Corp. | ||||||||
Expiration: December 2007, Exercise Price: $55.00 | 11 | 3,245 | ||||||
PT Telekomunikasi Indonesia — ADR | ||||||||
Expiration: January 2008, Exercise Price: $45.00 | 10 | 3,550 | ||||||
Quanex Corp. | ||||||||
Expiration: August 2007, Exercise Price: $45.00 | 5 | 2,475 | ||||||
Renaissance Re Holdings Ltd. | ||||||||
Expiration: January 2008, Exercise Price: $65.00 | 10 | 3,100 | ||||||
Research In Motion Ltd. | ||||||||
Expiration: September 2007, Exercise Price: $165.00 | 3 | 11,721 | ||||||
Expiration: December 2007, Exercise Price: $185.00 | 1 | 3,120 | ||||||
Schering-Plough Corp. | ||||||||
Expiration: November 2007, Exercise Price: $30.00 | 22 | 5,005 | ||||||
Sciele Pharma, Inc. | ||||||||
Expiration: July 2007, Exercise Price: $25.00 | 9 | 45 | ||||||
Expiration: January 2008, Exercise Price: $30.00 | 10 | 475 | ||||||
St. Jude Medical, Inc. | ||||||||
Expiration: July 2007, Exercise Price: $45.00 | 7 | 210 | ||||||
Stryker Corp. | ||||||||
Expiration: December 2007, Exercise Price: $70.00 | 9 | 1,755 | ||||||
Superior Industries International Inc. | ||||||||
Expiration: October 2007, Exercise Price: $25.00 | 16 | 560 | ||||||
Sysco Corp. | ||||||||
Expiration: August 2007, Exercise Price: $32.50 | 7 | 980 | ||||||
Telefonos de Mexico S.A.B. de C.V. — ADR | ||||||||
Expiration: August 2007, Exercise Price: $35.00 | 8 | 2,920 | ||||||
Texas Industries, Inc. | ||||||||
Expiration: October 2007, Exercise Price: $80.00 | 3 | 1,965 |
(continued)
155
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Income Opportunity Portfolio (formerly the Covered Call Portfolio) (Continued)
Schedule of Written Options Outstanding — Call Options | June 30, 2007 (Unaudited) |
Underlying Security | ||||||||
Expiration Date/Exercise Price | Contracts* | Value | ||||||
The9 Ltd. — ADR | ||||||||
Expiration: December 2007, Exercise Price: $45.00 | 17 | $ | 12,835 | |||||
Trinity Industries, Inc. | ||||||||
Expiration: January 2008, Exercise Price: $45.00 | 11 | 4,510 | ||||||
UBS AG | ||||||||
Expiration: September 2007, Exercise Price: $60.00 | 6 | 1,680 | ||||||
Expiration: January 2008, Exercise Price: $70.00 | 6 | 690 | ||||||
Union Pacific Corp. | ||||||||
Expiration: August 2007, Exercise Price: $105.00 | 2 | 2,350 | ||||||
Expiration: November 2007, Exercise Price: $130.00 | 5 | 1,312 | ||||||
United Rentals, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $35.00 | 8 | 1,260 | ||||||
UnitedHealth Group, Inc. | ||||||||
Expiration: September 2007, Exercise Price: $55.00 | 11 | 1,155 | ||||||
Vimpel-Communications — ADR | ||||||||
Expiration: October 2007, Exercise Price: $110.00 | 5 | 3,300 | ||||||
Wachovia Corp. | ||||||||
Expiration: January 2008, Exercise Price: $55.00 | 7 | 1,120 | ||||||
The Walt Disney Co. | ||||||||
Expiration: July 2007, Exercise Price: $35.00 | 5 | 225 | ||||||
Watsco, Inc. | ||||||||
Expiration: August 2007, Exercise Price: $55.00 | 6 | 1,395 | ||||||
Weatherford International Ltd. | ||||||||
Expiration: November 2007, Exercise Price: $50.00 | 13 | 10,855 | ||||||
WellPoint, Inc. | ||||||||
Expiration: December 2007, Exercise Price: $85.00 | 3 | 892 | ||||||
Expiration: December 2007, Exercise Price: $90.00 | 3 | 480 | ||||||
Wells Fargo & Co. | ||||||||
Expiration: January 2008, Exercise Price: $37.50 | 15 | 1,725 | ||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
Expiration: July 2007, Exercise Price: $35.00 | 15 | 2,962 | ||||||
Expiration: October 2007, Exercise Price: $40.00 | 8 | 1,020 | ||||||
Whirlpool Corp. | ||||||||
Expiration: December 2007, Exercise Price: $120.00 | 2 | 1,220 | ||||||
Xerox Corp. | ||||||||
Expiration: July 2007, Exercise Price: $18.00 | 4 | 280 | ||||||
Total Options Written (Premiums received $266,334) | 974 | $ | 338,104 | |||||
* | 100 shares per contract unless otherwise noted. |
The accompanying notes are an integral part of these financial statements.
156
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $4,986,440) | $ | 5,568,798 | ||
Cash | 332 | |||
Receivable for fund shares sold | 2 | |||
Dividends and accrued interest receivable | 2,487 | |||
Prepaid expenses and other assets | 22 | |||
Total assets | 5,571,641 | |||
Liabilities: | ||||
Options written, at fair value (premiums received of $266,334) | 338,104 | |||
Payable for securities purchased | 27,643 | |||
Payable for fund shares redeemed | 233 | |||
Payable for investment management services | 3,364 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 655 | |||
Accrued professional fees | 5,358 | |||
Accrued accounting fees | 2,058 | |||
Accrued printing and filing fees | 335 | |||
Other accrued expenses | 9 | |||
Total liabilities | 378,137 | |||
Net assets | $ | 5,193,504 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 426,595 | ||
Paid-in capital in excess of par value | 3,990,898 | |||
Accumulated net realized gain on investments and written options | 261,735 | |||
Net unrealized appreciation on investments | 582,358 | |||
Net unrealized depreciation on written options | (71,770 | ) | ||
Undistributed net investment income | 3,688 | |||
Net assets | $ | 5,193,504 | ||
Shares outstanding | 426,595 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 12.17 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 3,242 | ||
Dividends (net of withholding tax of $1,350) | 31,269 | |||
Total investment income | 34,511 | |||
Expenses: | ||||
Management fees | 19,710 | |||
Custodian fees | 1,973 | |||
Directors’ fees | 115 | |||
Professional fees | 5,587 | |||
Accounting fees | 6,537 | |||
Printing and filing fees | 342 | |||
Compliance expense | 2,358 | |||
Other | 47 | |||
Total expenses | 36,669 | |||
Net investment loss | (2,158 | ) | ||
Realized/unrealized gain (loss) on investments and written options: | ||||
Net realized gain (loss) on investments | 410,761 | |||
Net realized gain (loss) on written options | (129,769 | ) | ||
Change in unrealized appreciation/depreciation on investments and written options | (2,022 | ) | ||
Net realized/unrealized gain (loss) on investments and written options | 278,970 | |||
Change in net assets from operations | $ | 276,812 | ||
The accompanying notes are an integral part of these financial statements.
157
Ohio National Fund, Inc.
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Income Opportunity Portfolio (formerly the Covered Call Portfolio)
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (2,158 | ) | $ | 6,165 | |||
Net realized gain (loss) on investments and written options | 280,992 | 104,743 | ||||||
Change in unrealized appreciation/depreciation on investments and written options | (2,022 | ) | 107,530 | |||||
Change in net assets from operations | 276,812 | 218,438 | ||||||
Capital transactions: | ||||||||
Received from shares sold | 916,654 | 2,005,074 | ||||||
Paid for shares redeemed | (1,669,469 | ) | (706,122 | ) | ||||
Change in net assets from capital transactions | (752,815 | ) | 1,298,952 | |||||
Change in net assets | (476,003 | ) | 1,517,390 | |||||
Net Assets: | ||||||||
Beginning of period | 5,669,507 | 4,152,117 | ||||||
End of period | $ | 5,193,504 | $ | 5,669,507 | ||||
Undistributed net investment income | $ | 3,688 | $ | 5,846 | ||||
Financial Highlights
Six-Month Period Ended June 30, 2007 | Years Ended December 31, | For the Period from May 1, 2004 * | ||||||||||||||
(Unaudited) | 2006 | 2005 | to December 31, 2004 | |||||||||||||
Selected Per-Share Data: | ||||||||||||||||
Net asset value, beginning of period | $ | 11.53 | $ | 11.07 | $ | 10.75 | $ | 10.00 | ||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | — | 0.01 | (0.04 | ) | (0.03 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments and written options | 0.64 | 0.45 | 0.36 | 0.78 | ||||||||||||
Total from operations | 0.64 | 0.46 | 0.32 | 0.75 | ||||||||||||
Net asset value, end of period | $ | 12.17 | $ | 11.53 | $ | 11.07 | $ | 10.75 | ||||||||
Total return | 5.55 | %(b) | 4.16 | % | 2.98 | % | 7.50 | %(b) | ||||||||
Ratios and supplemental data: | ||||||||||||||||
Net assets at end of period (millions) | $ | 5.2 | $ | 5.7 | $ | 4.2 | $ | 2.0 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||
Expenses | 1.49 | %(a) | 1.52 | % | 1.60 | % | 1.49 | %(a) | ||||||||
Net investment income (loss) | (0.09 | )%(a) | 0.12 | % | (0.48 | )% | (0.53 | )%(a) | ||||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||||||
Expenses | 1.49 | %(a) | 1.52 | % | 1.67 | % | 2.91 | %(a) | ||||||||
Portfolio turnover rate | 76 | % | 140 | % | 158 | % | 70 | % |
(a) | Annualized. | |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
158
Ohio National Fund, Inc.
Target VIP Portfolio
Target VIP Portfolio
Objective
The Target VIP Portfolio seeks an above average total return by investing in the common stocks of companies which are identified by a model which applies separate uniquely specialized strategies.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One Year | 18.85% | |||
Since inception (11/2/05) | 11.92% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed may be worth more or less than the original cost.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Target VIP Portfolio returned 7.30% versus 7.43% for the current benchmark, the S&P Composite 1500 Index.
The last time corporate earnings bottomed was in the second quarter of 2001. Since then, S&P 500 profits increased 150% through May 2007, but the index itself appreciated just 25% over that span, according to Howard Silverblatt, senior index analyst at S&P. The 500 companies that comprise the index are 45% cheaper today relative to historical profits than when the index last peaked on March 24, 2000, and 30% cheaper than when it bottomed on October 9, 2002, according to Bloomberg. P-E ratios have contracted despite the longest quarterly profit growth streak since 1950.
In addition to stocks being considered undervalued, interest rates are up in 2007 and they could trend higher. The yield on the 10-year T-Note rose 33 basis points to close out June at 5.03%. The rate climbed as high as 5.30% in mid-June. Economists at Lehman Brothers, Morgan Stanley and RBS Greenwich Capital see interest rates trending higher in the second half of 2007. For now, the combination of a strong labor market and inflation sitting at the upper end of the Fed’s comfort zone trumps the weakness in housing. They estimate the 10-year T-Note will return 1.28% this year. If so, it would be the worst showing since 1999 when it fell 8.25%, according to data from Merrill Lynch. We look for investors to favor stocks over bonds in the second half of 2007, which could bode well, in our opinion, for the Target VIP Portfolio.
The Target VIP Portfolio slightly lagged the S&P Composite 1500 Index but topped the Russell 3000 Index in the first half of 2007. The top performing stocks were the following: Infrasource Services, Inc. up 70.4%, Potash Corp. of Saskatchewan, Inc. up 63.2%, priceline.com, Inc. up 57.6%, Research in Motion Ltd. up 56.5% and Buffalo Wild Wings, Inc. up 56.4%. The worst performing stocks were the following: Packeteer, Inc. down 42.6%, Kimball International, Inc. down 41.0%, Rogers Corp. down 37.4%, Lexmark International, Inc. down 32.6% and Interstate Hotels & Resorts, Inc. down 30.0%.(1)
The sectors that contributed the most to Target VIP Portfolio’s return were Financials and Industrials. The Portfolio was very under-weighted in Financials relative to the Russell 3000 and slightly under-weighted in Industrials. The sectors that did not perform well were Consumer Discretionary and Energy. The Portfolio was slightly over-weighted in Consumer Discretionary stocks relative to the Russell 3000 and slightly under-weighted in Energy.(1)
In the first half of 2007, value investing outpaced growth investing, as measured by Standard & Poor’s. The S&P 500/Citigroup Value Index gained 7.33%, while the S&P 500/Citigroup Growth Index rose 6.53%.
According to Thomson First Call, the year-over-year estimated earnings growth rates for the companies in the S&P 500 Index, S&P 400 Index (mid-caps), and S&P 600 Index (small-caps) are expected to rise 5.57%, 8.02%, and 5.10%, respectively, in 2007.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the Index. The Index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted Index of 1500 U.S. Companies and is comprised of the S&P 400, S&P 500, and S&P 600. The Index was developed with a base value of 100 as of December 30, 1994. The Index presented herein includes the effects of reinvested dividends.
(continued)
159
Ohio National Fund, Inc.
Target VIP Portfolio (Continued)
Target VIP Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 98.1 | ||
Repurchase Agreements and Other Net Assets | 1.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | BT Group plc – ADR | 4.7 | |||||
2. | Exxon Mobil Corp. | 4.5 | |||||
3. | Cisco Systems, Inc. | 4.1 | |||||
4. | Microsoft Corp. | 4.1 | |||||
5. | Caterpillar, Inc. | 3.9 | |||||
6. | Oracle Corp. | 3.9 | |||||
7. | Research In Motion Ltd. | 3.8 | |||||
8. | International Business Machines Corp. | 3.3 | |||||
9. | E.I. du Pont de Nemours & Co. | 3.2 | |||||
10. | Pfizer, Inc. | 3.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 26.0 | ||
Consumer Discretionary | 11.5 | ||
Industrials | 11.4 | ||
Telecommunication Services | 10.9 | ||
Financials | 9.2 | ||
Energy | 8.6 | ||
Health Care | 8.5 | ||
Materials | 6.9 | ||
Utilities | 2.7 | ||
Consumer Staples | 2.4 | ||
98.1 | |||
160
Ohio National Fund, Inc.
Target VIP Portfolio
Target VIP Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 11.5% | ||||||||
Automobiles – 1.5% | ||||||||
Harley-Davidson, Inc. | 4,082 | $ | 243,328 | |||||
Hotels, Restaurants & Leisure – 0.8% | ||||||||
Buffalo Wild Wings, Inc. (a) | 1,396 | 58,060 | ||||||
Interstate Hotels & Resorts, Inc. (a) | 2,583 | 13,483 | ||||||
Wynn Resorts Ltd. | 624 | 55,966 | ||||||
127,509 | ||||||||
Household Durables – 0.3% | ||||||||
Kimball International, Inc. | 960 | 13,449 | ||||||
Tempur-Pedic International, Inc. | 1,142 | 29,578 | ||||||
43,027 | ||||||||
Internet & Catalog Retail – 0.2% | ||||||||
priceline.com, Inc. (a) | 547 | 37,601 | ||||||
Leisure Equipment & Products – 1.3% | ||||||||
Hasbro, Inc. | 1,701 | 53,428 | ||||||
Mattel, Inc. | 6,105 | 154,396 | ||||||
207,824 | ||||||||
Media – 3.0% | ||||||||
Liberty Global, Inc. Class A (a) | 930 | 38,167 | ||||||
The DIRECTV Group Inc. (a) | 19,140 | 442,326 | ||||||
480,493 | ||||||||
Multiline Retail – 0.9% | ||||||||
Nordstrom, Inc. | 2,751 | 140,631 | ||||||
Specialty Retail – 3.4% | ||||||||
American Eagle Outfitters Inc. | 3,766 | 96,635 | ||||||
Bed Bath & Beyond, Inc. (a) | 1,729 | 62,227 | ||||||
Charlotte Russe Holding, Inc. (a) | 2,094 | 56,266 | ||||||
Group 1 Automotive, Inc. | 1,990 | 80,277 | ||||||
Guess ?, Inc. | 984 | 47,271 | ||||||
Gymboree Corp. (a) | 2,609 | 102,821 | ||||||
The Buckle Inc. | 2,397 | 94,442 | ||||||
539,939 | ||||||||
Textiles, Apparel & Luxury Goods – 0.1% | ||||||||
Steven Madden Ltd. | 673 | 22,047 | ||||||
TOTAL CONSUMER DISCRETIONARY | 1,842,399 | |||||||
CONSUMER STAPLES – 2.4% | ||||||||
Beverages – 1.5% | ||||||||
The Coca-Cola Co. | 4,692 | 245,439 | ||||||
Food Products – 0.6% | ||||||||
Campbell Soup Co. | 765 | 29,690 | ||||||
TreeHouse Foods, Inc. (a) | 2,587 | 68,840 | ||||||
98,530 | ||||||||
Personal Products – 0.2% | ||||||||
NBTY, Inc. (a) | 717 | 30,974 | ||||||
Tobacco – 0.1% | ||||||||
UST, Inc. | 333 | 17,885 | ||||||
TOTAL CONSUMER STAPLES | 392,828 | |||||||
ENERGY – 8.6% | ||||||||
Energy Equipment & Services – 0.9% | ||||||||
Baker Hughes, Inc. | 139 | 11,694 | ||||||
Core Laboratories N.V. (a) | 294 | 29,897 | ||||||
Gulf Island Fabrication, Inc. | 1,159 | 40,217 | ||||||
NATCO Group, Inc. (a) | 1,435 | 66,067 | ||||||
147,875 | ||||||||
Oil, Gas & Consumable Fuels – 7.7% | ||||||||
BP PLC – ADR | 2,431 | 175,372 | ||||||
Chevron Corp. | 927 | 78,091 | ||||||
ENI SpA – ADR | 2,419 | 175,015 | ||||||
Exxon Mobil Corp. | 8,566 | 718,516 | ||||||
Petroquest Energy, Inc. (a) | 4,063 | 59,076 | ||||||
Vaalco Energy, Inc. (a) | 4,863 | 23,488 | ||||||
1,229,558 | ||||||||
TOTAL ENERGY | 1,377,433 | |||||||
FINANCIALS – 9.2% | ||||||||
Commercial Banks – 4.8% | ||||||||
ABN AMRO Holding NV – ADR | 5,025 | 230,748 | ||||||
Barclays plc – ADR | 2,798 | 156,100 | ||||||
Cascade Bancorp Inc. | 2,333 | 53,986 | ||||||
HSBC Holdings plc – ADR | 1,779 | 163,259 | ||||||
Lloyds TSB Group plc – ADR | 3,597 | 160,858 | ||||||
764,951 | ||||||||
Consumer Finance – 3.4% | ||||||||
American Express Co. | 7,059 | 431,870 | ||||||
First Cash Financial Services, Inc. (a) | 2,352 | 55,131 | ||||||
World Acceptance Corp. (a) | 1,466 | 62,642 | ||||||
549,643 | ||||||||
Diversified Financial Services – 0.6% | ||||||||
Moody’s Corp. | 1,625 | 101,075 | ||||||
Real Estate Investment Trusts – 0.4% | ||||||||
Boston Properties, Inc. | 674 | 68,835 | ||||||
TOTAL FINANCIALS | 1,484,504 | |||||||
HEALTH CARE – 8.5% | ||||||||
Biotechnology – 0.7% | ||||||||
Digene Corp. (a) | 1,955 | 117,398 | ||||||
Health Care Equipment & Supplies – 0.7% | ||||||||
DJO Inc. (a) | 1,931 | 79,692 | ||||||
Immucor, Inc. (a) | 804 | 22,488 | ||||||
102,180 | ||||||||
Health Care Providers & Services – 0.3% | ||||||||
Air Methods Corp. (a) | 994 | 36,450 | ||||||
Laboratory Corp. Of America Holdings (a) | 204 | 15,965 | ||||||
52,415 | ||||||||
Health Care Technology – 0.6% | ||||||||
Omnicell, Inc. (a) | 2,403 | 49,934 | ||||||
Phase Forward, Inc. (a) | 2,962 | 49,851 | ||||||
99,785 | ||||||||
Life Sciences Tools & Services – 0.1% | ||||||||
Waters Corp. (a) | 154 | 9,142 | ||||||
(continued)
161
Ohio National Fund, Inc.
Target VIP Portfolio (Continued)
Target VIP Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.1% | Shares | Value | ||||||
Pharmaceuticals – 6.1% | ||||||||
GlaxoSmithKline PLC – ADR | 3,110 | $ | 162,870 | |||||
Johnson & Johnson | 4,648 | 286,410 | ||||||
Noven Pharmaceuticals, Inc. (a) | 1,973 | 46,267 | ||||||
Pfizer, Inc. | 18,914 | 483,631 | ||||||
979,178 | ||||||||
TOTAL HEALTH CARE | 1,360,098 | |||||||
INDUSTRIALS – 11.4% | ||||||||
Aerospace & Defense – 0.9% | ||||||||
Ladish, Inc. (a) | 1,196 | 51,428 | ||||||
Rockwell Collins, Inc. | 1,313 | 92,750 | ||||||
144,178 | ||||||||
Air Freight & Logistics – 0.7% | ||||||||
Hub Group, Inc. Class A (a) | 3,241 | 113,954 | ||||||
Airlines – 0.2% | ||||||||
Continental Airlines, Inc. (a) | 971 | 32,888 | ||||||
Building Products – 0.3% | ||||||||
American Woodmark Corp. | 1,315 | 45,499 | ||||||
Commercial Services & Supplies – 1.7% | ||||||||
Cenveo, Inc. (a) | 4,458 | 103,381 | ||||||
Clean Harbors, Inc. (a) | 1,616 | 79,863 | ||||||
Kenexa Corp. (a) | 1,714 | 64,635 | ||||||
TeleTech Holdings, Inc. (a) | 1,001 | 32,512 | ||||||
280,391 | ||||||||
Construction & Engineering – 0.8% | ||||||||
Infrasource Services, Inc. (a) | 3,342 | 123,988 | ||||||
Electrical Equipment – 1.0% | ||||||||
Rockwell Automation, Inc. | 1,330 | 92,355 | ||||||
Superior Essex, Inc. (a) | 1,713 | 63,981 | ||||||
156,336 | ||||||||
Machinery – 5.8% | ||||||||
Caterpillar, Inc. | 8,041 | 629,610 | ||||||
PACCAR, Inc. | 3,515 | 305,946 | ||||||
935,556 | ||||||||
TOTAL INDUSTRIALS | 1,832,790 | |||||||
INFORMATION TECHNOLOGY – 26.0% | ||||||||
Communications Equipment – 8.4% | ||||||||
Cisco Systems, Inc. (a) | 23,831 | 663,693 | ||||||
Packeteer, Inc. (a) | 2,954 | 23,071 | ||||||
Research In Motion Ltd. (a) | 3,087 | 617,369 | ||||||
Sirenza Microdevices, Inc. (a) | 3,990 | 47,361 | ||||||
1,351,494 | ||||||||
Computers & Peripherals – 3.4% | ||||||||
International Business Machines Corp. | 5,086 | 535,301 | ||||||
Lexmark International, Inc. Class A (a) | 142 | 7,002 | ||||||
542,303 | ||||||||
Electronic Equipment & Instruments – 0.7% | ||||||||
Agilent Technologies, Inc. (a) | 552 | 21,219 | ||||||
CDW Corp. (a) | 378 | 32,119 | ||||||
Electronic Equipment & Instruments (continued) | ||||||||
Rogers Corp. (a) | 1,481 | 54,797 | ||||||
108,135 | ||||||||
Internet Software & Services – 0.3% | ||||||||
Interwoven, Inc. (a) | 3,603 | 50,586 | ||||||
IT Services – 1.7% | ||||||||
Covansys Corp. (a) | 3,073 | 104,267 | ||||||
Infosys Technologies Ltd. – ADR | 3,378 | 170,184 | ||||||
274,451 | ||||||||
Semiconductor & Semiconductor Equipment – 2.8% | ||||||||
Atheros Communications, Inc. (a) | 4,333 | 133,630 | ||||||
Lam Research Corp. (a) | 849 | 43,639 | ||||||
NVIDIA Corp. (a) | 5,995 | 247,653 | ||||||
Ultra Clean Holdings Inc. (a) | 1,695 | 23,696 | ||||||
448,618 | ||||||||
Software – 8.7% | ||||||||
Ansoft Corp. (a) | 1,934 | 57,034 | ||||||
Check Point Software Technologies Ltd. (a) | 1,222 | 27,874 | ||||||
Microsoft Corp. | 22,146 | 652,643 | ||||||
Oracle Corp. (a) | 31,457 | 620,017 | ||||||
Tyler Technologies, Inc. (a) | 3,274 | 40,630 | ||||||
1,398,198 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 4,173,785 | |||||||
MATERIALS – 6.9% | ||||||||
Chemicals – 5.2% | ||||||||
Albemarle Corp. | 1,036 | 39,917 | ||||||
E.I. du Pont de Nemours & Co. | 10,057 | 511,298 | ||||||
OM Group, Inc. (a) | 515 | 27,254 | ||||||
Potash Corp. of Saskatchewan, Inc. | 3,371 | 262,837 | ||||||
841,306 | ||||||||
Containers & Packaging – 0.2% | ||||||||
Rock-Tenn Co. | 870 | 27,596 | ||||||
Metals & Mining – 1.5% | ||||||||
Allegheny Technologies, Inc. | 1,079 | 113,166 | ||||||
Brush Engineered Materials, Inc. (a) | 710 | 29,813 | ||||||
Metal Management, Inc. | 2,205 | 97,174 | ||||||
240,153 | ||||||||
TOTAL MATERIALS | 1,109,055 | |||||||
TELECOMMUNICATION SERVICES – 10.9% | ||||||||
Diversified Telecommunication Services – 9.4% | ||||||||
BT Group plc – ADR | 11,388 | 758,213 | ||||||
Consolidated Communications Holdings, Inc. | 2,147 | 48,522 | ||||||
Deutsche Telekom AG – ADR | 8,931 | 164,420 | ||||||
Fairpoint Communications, Inc. | 2,906 | 51,581 | ||||||
France Telecom – ADR | 5,887 | 161,775 | ||||||
Royal KPN NV – ADR | 11,488 | 190,816 | ||||||
Telecom Italia SpA – ADR | 5,400 | 148,284 | ||||||
1,523,611 | ||||||||
(continued)
162
Ohio National Fund, Inc.
Target VIP Portfolio (Continued)
Target VIP Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 98.1% | Shares | Value | ||||||
Wireless Telecommunication Services – 1.5% | ||||||||
Millicom International Cellular S.A. (a) | 436 | $ | 39,955 | |||||
Vodafone Group plc – ADR | 5,875 | 197,576 | ||||||
237,531 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 1,761,142 | |||||||
UTILITIES – 2.7% | ||||||||
Electric Utilities – 1.7% | ||||||||
Enel SpA – ADR | 3,166 | 170,014 | ||||||
Entergy Corp. | 326 | 34,996 | ||||||
FirstEnergy Corp. | 519 | 33,595 | ||||||
FPL Group, Inc. | 659 | 37,392 | ||||||
275,997 | ||||||||
�� | ||||||||
Multi-Utilities – 1.0% | ||||||||
National Grid Transco plc – ADR | 2,228 | 164,382 | ||||||
TOTAL UTILITIES | 440,379 | |||||||
Total Common Stocks (Cost $14,475,893) | $ | 15,774,413 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.8% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 297,000 | $ | 297,000 | ||||
Repurchase price $297,101 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 | ||||||||
Fair Value: $302,942 | ||||||||
Total Repurchase Agreements (Cost $297,000) | $ | 297,000 | ||||||
Total Investments – 99.9% (Cost $14,772,893) (b) | $ | 16,071,413 | ||||||
Other Assets in Excess of Liabilities – 0.1% | 9,847 | |||||||
Net Assets – 100.0% | $ | 16,081,260 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
163
Ohio National Fund, Inc.
Target VIP Portfolio
Target VIP Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $14,772,893) | $ | 16,071,413 | ||
Cash | 382 | |||
Receivable for fund shares sold | 4,150 | |||
Dividends and accrued interest receivable | 22,697 | |||
Prepaid expenses and other assets | 31 | |||
Total assets | 16,098,673 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 12 | |||
Payable for investment management services | 7,559 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 1,632 | |||
Accrued professional fees | 5,345 | |||
Accrued accounting fees | 1,924 | |||
Accrued printing and filing fees | 546 | |||
Other accrued expenses | 17 | |||
Total liabilities | 17,413 | |||
Net assets | $ | 16,081,260 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 1,334,148 | ||
Paid-in capital in excess of par value | 12,991,272 | |||
Accumulated net realized gain on investments | 362,297 | |||
Net unrealized appreciation on investments | 1,298,520 | |||
Undistributed net investment income | 95,023 | |||
Net assets | $ | 16,081,260 | ||
Shares outstanding | 1,334,148 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 12.05 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 9,797 | ||
Dividends (net of withholding tax of $9,351) | 113,766 | |||
Total investment income | 123,563 | |||
Expenses: | ||||
Management fees | 38,306 | |||
Custodian fees | 4,380 | |||
Directors’ fees | 310 | |||
Professional fees | 5,644 | |||
Accounting fees | 5,404 | |||
Printing and filing fees | 682 | |||
Compliance expense | 2,358 | |||
Other | 67 | |||
Total expenses | 57,151 | |||
Net investment income | 66,412 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 338,769 | |||
Change in unrealized appreciation/depreciation on investments | 571,228 | |||
Net realized/unrealized gain (loss) on investments | 909,997 | |||
Change in net assets from operations | $ | 976,409 | ||
The accompanying notes are an integral part of these financial statements.
164
Ohio National Fund, Inc.
Target VIP Portfolio
Target VIP Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 66,412 | $ | 28,605 | ||||
Net realized gain (loss) on investments | 338,769 | 23,534 | ||||||
Change in unrealized appreciation/depreciation on investments | 571,228 | 726,175 | ||||||
Change in net assets from operations | 976,409 | 778,314 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (1,179 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 4,816,928 | 8,564,954 | ||||||
Received from dividends reinvested | — | 1,179 | ||||||
Paid for shares redeemed | (296,874 | ) | (221,539 | ) | ||||
Change in net assets from capital transactions | 4,520,054 | 8,344,594 | ||||||
Change in net assets | 5,496,463 | 9,121,729 | ||||||
Net Assets: | ||||||||
Beginning of period | 10,584,797 | 1,463,068 | ||||||
End of period | $ | 16,081,260 | $ | 10,584,797 | ||||
Undistributed net investment income | $ | 95,023 | $ | 28,611 | ||||
Financial Highlights
Six-Month Period | For the Period | |||||||||||
Ended June 30, 2007 | Year Ended | from November 2, 2005* | ||||||||||
(Unaudited) | December 31, 2006 | to December 31, 2005 | ||||||||||
Selected Per-Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 11.23 | $ | 10.14 | $ | 10.00 | ||||||
Operations: | ||||||||||||
Net investment income | 0.04 | 0.02 | 0.01 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.78 | 1.07 | 0.13 | |||||||||
Total from operations | 0.82 | 1.09 | 0.14 | |||||||||
Net asset value, end of period | $ | 12.05 | $ | 11.23 | $ | 10.14 | ||||||
Total return | 7.30 | %(b) | 10.76 | % | 1.40 | %(b) | ||||||
Ratios and supplemental data: | ||||||||||||
Net assets at end of period (millions) | $ | 16.1 | $ | 10.6 | $ | 1.5 | ||||||
Ratios to average net assets: | ||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||
Expenses | 0.90 | %(a) | 1.26 | % | 1.60 | %(a) | ||||||
Net investment income | 1.04 | %(a) | 0.53 | % | 0.74 | %(a) | ||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||
Expenses | 0.90 | %(a) | 1.30 | % | 7.39 | %(a) | ||||||
Portfolio turnover rate | 60 | % | 24 | % | 0 | % |
(a) | Annualized. | |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
165
Ohio National Fund, Inc.
Target Equity/Income Portfolio
Target Equity/Income Portfolio
Objective
The Target Equity/Income Portfolio seeks an above average total return by investing in common stocks of companies which are selected by applying separate uniquely specialized strategies.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
One year | 19.60% | |||
Since inception (11/2/05) | 11.20% |
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.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2007, the Target Equity/Income Portfolio returned 7.63% versus 6.96% for the current benchmark, the S&P 500 Index.
The last time corporate earnings bottomed was in the second quarter of 2001. Since then, S&P 500 profits increased 150% through May 2007, but the index itself appreciated just 25% over that span, according to Howard Silverblatt, senior index analyst at S&P. The 500 companies that comprise the index are 45% cheaper today relative to historical profits than when the index last peaked on March 24, 2000, and 30% cheaper than when it bottomed on October 9, 2002, according to Bloomberg. P-E ratios have contracted despite the longest quarterly profit growth streak since 1950.
In addition to stocks being considered undervalued, interest rates are up in 2007 and they could trend higher. The yield on the 10-year T-Note rose 33 basis points to close out June at 5.03%. The rate climbed as high as 5.30% in mid-June. Economists at Lehman Brothers, Morgan Stanley and RBS Greenwich Capital see interest rates trending higher in the second half of 2007. For now, the combination of a strong labor market and inflation sitting at the upper end of the Fed’s comfort zone trumps the weakness in housing. They estimate the 10-year T-Note will return 1.28% this year. If so, it would be the worst showing since 1999 when it fell 8.25%, according to data from Merrill Lynch. We look for investors to favor stocks over bonds in the second half of 2007, which could bode well, in our opinion, for the Target Equity/Income Portfolio.
Target Equity/Income Portfolio’s exposure to dividend-paying stocks could also be a plus when you consider that from 1972 to 2005 dividend-paying stocks dramatically outperformed the overall market, according to Ned Davis Research. Companies paying regular dividends returned 10.1% annually, compared with just 4.1% for those that didn’t.
The Target Equity/Income Portfolio outperformed the S&P 500 Index and the Russell 3000 Index in the first half of 2007. The top performing stocks were the following: Potash Corp. of Saskatchewan, Inc. up 63.2%, priceline.com, Inc. up 57.6%, Research In Motion Ltd. up 56.5%, Guess?, Inc. up 51.9% and Lyondell Chemical Co. up 46.9%. The worst performing stocks were the following: Kimball International, Inc. down 41.0%, Pinnacle West Capital Corp. down 19.3%, Continental Airlines, Inc. down 17.9%, American Eagle Outfitters Inc. down 17.2% and Harley-Davidson, Inc. down 14.8%.(1)
The sectors that contributed the most to Target Equity/Income Portfolio’s return were Materials and Information Technology. The Portfolio was very over-weighted in Materials relative to the Russell 3000 but very under-weighted in Information Technology. The sectors that did not perform well were Consumer Discretionary, Energy and Utilities. The Portfolio was slightly over-weighted in Consumer Discretionary stocks, very under-weighted in Energy and very over-weighted in Utilities relative to the Russell 3000.(1)
In the first half of 2007, value investing outpaced growth investing, as measured by Standard & Poor’s. The S&P 500/Citigroup Value Index gained 7.37%, while the S&P 500/Citigroup Growth Index rose 6.53%.
According to Thomson First Call, the year-over-year estimated earnings growth rate for the companies in the S&P 500 Index is expected to rise 5.57% in 2007.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented herein includes the effects of reinvested dividends.
(continued)
166
Ohio National Fund, Inc.
Target Equity/Income Portfolio (Continued)
Target Equity/Income Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 97.9 | ||
Repurchase Agreements and Other Net Assets | 2.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | BT Group plc – ADR | 11.0 | |||||
2. | Research In Motion Ltd. | 7.3 | |||||
3. | The DIRECTV Group Inc. | 5.6 | |||||
4. | Potash Corp. of Saskatchewan, Inc. | 4.4 | |||||
5. | Lyondell Chemical Co. | 3.3 | |||||
6. | Harley-Davidson, Inc. | 3.1 | |||||
7. | Lubrizol Corp. | 2.9 | |||||
8. | NVIDIA Corp. | 2.9 | |||||
9. | MeadWestvaco Corp. | 2.6 | |||||
10. | ONEOK, Inc. | 2.6 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Utilities | 22.7 | ||
Consumer Discretionary | 18.1 | ||
Materials | 17.7 | ||
Financials | 15.4 | ||
Telecommunication Services | 11.0 | ||
Information Technology | 10.2 | ||
Industrials | 1.2 | ||
Energy | 0.6 | ||
Consumer Staples | 0.6 | ||
Health Care | 0.4 | ||
97.9 | |||
167
Ohio National Fund, Inc.
Target Equity/Income Portfolio
Target Equity/Income Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.9% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 18.1% | ||||||||
Automobiles – 3.1% | ||||||||
Harley-Davidson, Inc. | 16,681 | $ | 994,354 | |||||
Household Durables – 0.8% | ||||||||
Kimball International, Inc. | 5,894 | 82,575 | ||||||
Tempur-Pedic International, Inc. | 7,007 | 181,481 | ||||||
264,056 | ||||||||
Internet & Catalog Retail – 0.7% | ||||||||
priceline.com, Inc. (a) | 3,357 | 230,760 | ||||||
Leisure Equipment & Products – 2.9% | ||||||||
Hasbro, Inc. | 10,109 | 317,524 | ||||||
Mattel, Inc. | 24,852 | 628,507 | ||||||
946,031 | ||||||||
Media – 5.6% | ||||||||
The DIRECTV Group Inc. (a) | 78,208 | 1,807,387 | ||||||
Multiline Retail – 2.6% | ||||||||
Nordstrom, Inc. | 16,387 | 837,704 | ||||||
Specialty Retail – 2.0% | ||||||||
American Eagle Outfitters Inc. | 14,303 | 367,015 | ||||||
Guess ?, Inc. | 5,905 | 283,676 | ||||||
650,691 | ||||||||
Textiles, Apparel & Luxury Goods – 0.4% | ||||||||
Steven Madden Ltd. | 4,127 | 135,201 | ||||||
TOTAL CONSUMER DISCRETIONARY | 5,866,184 | |||||||
CONSUMER STAPLES – 0.6% | ||||||||
Personal Products – 0.6% | ||||||||
NBTY, Inc. (a) | 4,232 | 182,823 | ||||||
TOTAL CONSUMER STAPLES | 182,823 | |||||||
ENERGY – 0.6% | ||||||||
Energy Equipment & Services – 0.6% | ||||||||
Core Laboratories N.V. (a) | 1,804 | 183,449 | ||||||
TOTAL ENERGY | 183,449 | |||||||
FINANCIALS – 15.4% | ||||||||
Commercial Banks – 6.4% | ||||||||
Huntington Bancshares, Inc. | 31,074 | 706,623 | ||||||
PNC Financial Services Group, Inc. | 9,837 | 704,132 | ||||||
Regions Financial Corp. | 19,547 | 647,006 | ||||||
2,057,761 | ||||||||
Diversified Financial Services – 2.2% | ||||||||
JPMorgan Chase & Co. | 15,028 | 728,107 | ||||||
Insurance – 6.8% | ||||||||
Cincinnati Financial Corp. | 16,090 | 698,306 | ||||||
Lincoln National Corp. | 11,061 | 784,778 | ||||||
Unitrin, Inc. | 14,452 | 710,749 | ||||||
2,193,833 | ||||||||
TOTAL FINANCIALS | 4,979,701 | |||||||
HEALTH CARE – 0.4% | ||||||||
Health Care Equipment & Supplies – 0.4% | ||||||||
Immucor, Inc. (a) | 4,932 | 137,948 | ||||||
TOTAL HEALTH CARE | 137,948 | |||||||
INDUSTRIALS – 1.2% | ||||||||
Airlines – 0.6% | ||||||||
Continental Airlines, Inc. (a) | 5,763 | 195,193 | ||||||
Commercial Services & Supplies – 0.6% | ||||||||
TeleTech Holdings, Inc. (a) | 6,133 | 199,200 | ||||||
TOTAL INDUSTRIALS | 394,393 | |||||||
INFORMATION TECHNOLOGY – 10.2% | ||||||||
Communications Equipment – 7.3% | ||||||||
Research In Motion Ltd. (a) | 11,761 | 2,352,082 | ||||||
Semiconductor & Semiconductor Equipment – 2.9% | ||||||||
NVIDIA Corp. (a) | 22,803 | 941,992 | ||||||
TOTAL INFORMATION TECHNOLOGY | 3,294,074 | |||||||
MATERIALS – 17.7% | ||||||||
Chemicals – 11.8% | ||||||||
Albemarle Corp. | 6,136 | 236,420 | ||||||
Lubrizol Corp. | 14,657 | 946,109 | ||||||
Lyondell Chemical Co. | 28,594 | 1,061,409 | ||||||
OM Group, Inc. (a) | 3,155 | 166,963 | ||||||
Potash Corp. of Saskatchewan, Inc. | 18,149 | 1,415,078 | ||||||
3,825,979 | ||||||||
Containers & Packaging – 0.5% | ||||||||
Rock-Tenn Co. | 5,328 | 169,004 | ||||||
Metals & Mining – 2.7% | ||||||||
Allegheny Technologies, Inc. | 6,452 | 676,686 | ||||||
Brush Engineered Materials, Inc. (a) | 4,357 | 182,950 | ||||||
859,636 | ||||||||
Paper & Forest Products – 2.7% | ||||||||
MeadWestvaco Corp. | 24,285 | 857,746 | ||||||
TOTAL MATERIALS | 5,712,365 | |||||||
TELECOMMUNICATION SERVICES – 11.0% | ||||||||
Diversified Telecommunication Services – 11.0% | ||||||||
BT Group plc – ADR | 53,523 | 3,563,561 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 3,563,561 | |||||||
UTILITIES – 22.7% | ||||||||
Electric Utilities – 8.5% | ||||||||
FirstEnergy Corp. | 12,129 | 785,110 | ||||||
Northeast Utilities | 26,125 | 740,905 | ||||||
Pinnacle West Capital Corp. | 14,549 | 579,778 | ||||||
UniSource Energy Corp. | 19,991 | 657,504 | ||||||
2,763,297 | ||||||||
Gas Utilities – 5.0% | ||||||||
AGL Resources, Inc. | 18,739 | 758,554 | ||||||
ONEOK, Inc. | 16,890 | 851,425 | ||||||
1,609,979 | ||||||||
Multi-Utilities – 9.2% | ||||||||
Black Hills Corp. | 19,714 | 783,632 | ||||||
DTE Energy Co. | 15,123 | 729,231 | ||||||
Energy East Corp. | 29,382 | 766,576 |
(continued)
168
Ohio National Fund, Inc.
Target Equity/Income Portfolio (Continued)
Target Equity/Income Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stocks – 97.9% | Shares | Value | ||||||
Multi-Utilities (continued) | ||||||||
SCANA Corp. | 17,969 | $ | 688,033 | |||||
2,967,472 | ||||||||
TOTAL UTILITIES | 7,340,748 | |||||||
Total Common Stocks (Cost $29,240,574) | $ | 31,655,246 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.9% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 609,000 | $ | 609,000 | ||||
Repurchase price $609,208 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 | ||||||||
Fair Value: $621,185 | ||||||||
Total Repurchase Agreements (Cost $609,000) | $ | 609,000 | ||||||
Total Investments – 99.8% (Cost $29,849,574) (b) | $ | 32,264,246 | ||||||
Other Assets in Excess of Liabilities – 0.2% | 67,987 | |||||||
Net Assets – 100.0% | $ | 32,332,233 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
169
Ohio National Fund, Inc.
Target Equity/Income Portfolio
Target Equity/Income Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $29,849,574) | $ | 32,264,246 | ||
Cash | 25 | |||
Receivable for fund shares sold | 54,479 | |||
Dividends and accrued interest receivable | 38,864 | |||
Prepaid expenses and other assets | 75 | |||
Total assets | 32,357,689 | |||
Liabilities: | ||||
Payable for fund shares redeemed | 5 | |||
Payable for investment management services | 15,535 | |||
Payable for compliance services | 378 | |||
Accrued custody expense | 816 | |||
Accrued professional fees | 5,388 | |||
Accrued accounting fees | 2,219 | |||
Accrued printing and filing fees | 1,081 | |||
Other accrued expenses | 34 | |||
Total liabilities | 25,456 | |||
Net assets | $ | 32,332,233 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 2,728,582 | ||
Paid-in capital in excess of par value | 26,313,016 | |||
Accumulated net realized gain on investments | 669,041 | |||
Net unrealized appreciation on investments | 2,414,672 | |||
Undistributed net investment income | 206,922 | |||
Net assets | $ | 32,332,233 | ||
Shares outstanding | 2,728,582 | |||
Authorized Fund shares allocated to Portfolio | 10,000,000 | |||
Net asset value per share | $ | 11.85 | ||
Statement of Operations
For the Six-Month Period Ended June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 18,342 | ||
Dividends (net of withholding tax of $233) | 233,459 | |||
Total investment income | 251,801 | |||
Expenses: | ||||
Management fees | 77,544 | |||
Custodian fees | 2,669 | |||
Directors’ fees | 624 | |||
Professional fees | 5,802 | |||
Accounting fees | 6,892 | |||
Printing and filing | 1,154 | |||
Compliance expense | 2,358 | |||
Other | 162 | |||
Total expenses | 97,205 | |||
Net investment income | 154,596 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 405,630 | |||
Change in unrealized appreciation/depreciation on investments | 1,420,448 | |||
Net realized/unrealized gain (loss) on investments | 1,826,078 | |||
Change in net assets from operations | $ | 1,980,674 | ||
The accompanying notes are an integral part of these financial statements.
170
Ohio National Fund, Inc.
Target Equity/Income Portfolio
Target Equity/Income Portfolio
Statements of Changes in Net Assets
Six-Month Period | Year Ended | |||||||
Ended June 30, 2007 | December 31, | |||||||
(Unaudited) | 2006 | |||||||
Increase (Decrease) in Net Assets: | ||||||||
Operations: | ||||||||
Net investment income | $ | 154,596 | $ | 173,867 | ||||
Net realized gain (loss) on investments | 405,630 | 263,432 | ||||||
Change in unrealized appreciation/depreciation on investments | 1,420,448 | 981,003 | ||||||
Change in net assets from operations | 1,980,674 | 1,418,302 | ||||||
Distributions to shareholders: | ||||||||
Distributions from net investment income | — | (126,159 | ) | |||||
Capital transactions: | ||||||||
Received from shares sold | 10,025,960 | 20,065,608 | ||||||
Received from dividends reinvested | — | 126,159 | ||||||
Paid for shares redeemed | (600,547 | ) | (4,122,264 | ) | ||||
Change in net assets from capital transactions | 9,425,413 | 16,069,503 | ||||||
Change in net assets | 11,406,087 | 17,361,646 | ||||||
Net Assets: | ||||||||
Beginning of period | 20,926,146 | 3,564,500 | ||||||
End of period | $ | 32,332,233 | $ | 20,926,146 | ||||
Undistributed net investment income | $ | 206,922 | $ | 52,326 | ||||
Financial Highlights
Six-Month Period | For the Period | |||||||||||
Ended June 30, 2007 | Year Ended | from November 2, 2005* | ||||||||||
(Unaudited) | December 31, 2006 | to December 31, 2005 | ||||||||||
Selected Per-Share Data: | ||||||||||||
Net asset value, beginning of period | $ | 11.01 | $ | 10.13 | $ | 10.00 | ||||||
Operations: | ||||||||||||
Net investment income | 0.05 | 0.08 | 0.01 | |||||||||
Net realized and unrealized gain (loss) on investments | 0.79 | 0.87 | 0.12 | |||||||||
Total from operations | 0.84 | 0.95 | 0.13 | |||||||||
Distributions: | ||||||||||||
Distributions from net investment income | — | (0.07 | ) | — | ||||||||
Net asset value, end of period | $ | 11.85 | $ | 11.01 | $ | 10.13 | ||||||
Total return | 7.63 | %(b) | 9.36 | % | 1.30 | %(b) | ||||||
Ratios and supplemental data: | ||||||||||||
Net assets at end of period (millions) | $ | 32.3 | $ | 20.9 | $ | 3.6 | ||||||
Ratios to average net assets: | ||||||||||||
Ratios net of expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||
Expenses | 0.75 | %(a) | 0.88 | % | 1.60 | %(a) | ||||||
Net investment income | 1.20 | %(a) | 1.28 | % | 1.22 | %(a) | ||||||
Ratios assuming no expenses voluntarily reduced or reimbursed by adviser: | ||||||||||||
Expenses | 0.75 | %(a) | 0.88 | % | 3.38 | %(a) | ||||||
Portfolio turnover rate | 58 | % | 52 | % | 0 | % |
(a) | Annualized. | |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
171
Ohio National Fund, Inc.
Bristol Growth Portfolio
Bristol Growth Portfolio
Objective
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 term of market capitalization.
Performance as of June 30, 2007
Average Annual Total Returns: | ||||
Since inception (5/1/07) | 14.82% |
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.
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 period of May 1, 2007 (date of commencement the Portfolio) through June 30, 2007, the Bristol Growth Portfolio returned 2.40% versus 2.05% for the current benchmark, the Russell 1000 Growth Index.
The market indices proved resilient to mixed economic data and uncertainty during the period May 1, 2007 through June 30, 2007. The ISM purchasing index showed a sharp expansion, yet industrial production data implied weaker year over year growth. While home sales looked to be improving earlier in the year they returned to declines during this period with prices falling. Energy prices continued to rise and mortgage rate increases were prominent. Consumer spending remained strong until June when the pressure from higher gasoline prices took a toll on retail sales. A surge in interest rates pushed the 10-year treasury yield to 5.30% in June, but has since stabilized. Job growth remained healthy with the unemployment rate remaining flat at 4.5%.
The Portfolio outperformed the Russell 1000 Growth Index. Portfolio performance was mainly the result of specific stock selection. Outperformers for the period included Rio Tinto up 14% on strength in its metals and mining divisions, dissipating inventory build-up and speculation of a takeout offer. Apple Inc. was up 22% on positive revisions based on strength in Mac sales, lower component costs, and anticipation of its iPhone release. VeriSign, Inc. was up 16% after receiving approval to raise prices for its domain business, and Intel Corp. was up 11% on estimate raises due to less concern of AMD as a competitor.(1)
Detractors to performance included Human Genome Sciences, Inc., down 17%. Although the company produced decent hepatitis drug data and showed positive enrollment results for its Lupus drug, a lack of short-term catalysts steadily drove the stock down. Abbott Laboratories was down 9% on general weakness in the Health Care sector and Vertex Pharmaceuticals, Inc. down 7% on less positive data for its hepatitis C drug. Another underperformer was JC Penney Co. Inc., down 8% after the company missed comps and cut earnings.(1)
We did not change the makeup of the Portfolio significantly during the period. We decreased our weighting in Industrials to a substantial under-weight, selling Honeywell International Inc. and Deere & Co. on valuation as they neared our target prices and United Technologies on concerns of a slowdown in its air conditioning business.(1)
We added slightly to Information Technology during the period, increasing our over-weight in this sector. We added Texas Instruments, Inc., on strength in the 3G wireless phone market, and Corning, Inc. and AU Optronics Corp. on continuing strong demand in the glass and LCD business, and we expect increased profitability over the next few years. In this sector we sold Adobe Systems Inc. before their earnings report, on lower expectations for earnings growth despite a new product upgrade cycle. We also sold JDS Uniphase Corp. prior to their earnings report on weakness in opto-type competitors, and Ciena Corp on talks of margin compression.(1)
The Portfolio appears to be positioned somewhat defensively going into the second half of the year. We are over-weighted in Consumer Staples and Health Care. However, we are also over-weighted in Information Technology, balancing an under-weight in Industrials. We expect the Portfolio to do well in the current environment. If the economy all of a sudden weakened, we expect the expectations of a fed interest rate cut could put pressure on the relative Portfolio return.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2007. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 1000 Growth Index is a market-capitalization weighted index of those firms in the Russell 1000 with higher price-to-book ratios and higher forecasted growth values. The index presented herein includes the effects of requested dividends.
(continued)
172
Ohio National Fund, Inc.
Bristol Growth Portfolio (Continued)
Bristol Growth Portfolio (Continued)
Portfolio Composition as of June 30, 2007 (1)
% of Net Assets | |||
Common Stocks (3) | 99.6 | ||
Repurchase Agreements Less Net Liabilities | 0.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2007 (1) (2)
% of Net Assets | |||||||
1. | Microsoft Corp. | 3.4 | |||||
2. | Cisco Systems, Inc. | 3.4 | |||||
3. | Hewlett-Packard Co. | 2.7 | |||||
4. | Johnson & Johnson | 2.4 | |||||
5. | Intel Corp. | 2.4 | |||||
6. | International Business Machines Corp. | 2.4 | |||||
7. | Maxim Integrated Products, Inc. | 2.1 | |||||
8. | General Electric Co. | 2.1 | |||||
9. | Applied Materials, Inc. | 2.0 | |||||
10. | Google, Inc. Class A | 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 | 35.5 | ||
Healh Care | 15.1 | ||
Financials | 12.0 | ||
Consumer Staples | 11.7 | ||
Consumer Discretionary | 11.1 | ||
Materials | 4.9 | ||
Industrials | 3.7 | ||
Energy | 3.6 | ||
Telecommunication Services | 1.6 | ||
Utilities | 0.4 | ||
99.6 | |||
173
Ohio National Fund, Inc.
Bristol Growth Portfolio
Bristol Growth Portfolio
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stock – 99.6% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 11.2% | ||||||||
Auto Components – 1.2% | ||||||||
Johnson Controls, Inc. | 700 | $ | 81,039 | |||||
Hotels, Restaurants & Leisure – 3.4% | ||||||||
Hilton Hotels Corp. | 1,500 | 50,205 | ||||||
Royal Caribbean Cruises Ltd. | 1,500 | 64,470 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 1,600 | 107,312 | ||||||
221,987 | ||||||||
Media – 1.8% | ||||||||
The Walt Disney Co. | 3,500 | 119,490 | ||||||
Multiline Retail – 1.9% | ||||||||
J.C. Penney Co. Inc. | 1,700 | 123,046 | ||||||
Specialty Retail – 0.9% | ||||||||
Abercrombie & Fitch Co. Class A | 800 | 58,384 | ||||||
Textiles, Apparel & Luxury Goods – 2.0% | ||||||||
NIKE, Inc. Class B | 2,200 | 128,238 | ||||||
TOTAL CONSUMER DISCRETIONARY | 732,184 | |||||||
CONSUMER STAPLES – 11.7% | ||||||||
Beverages – 3.9% | ||||||||
PepsiCo, Inc. | 1,900 | 123,215 | ||||||
The Coca-Cola Co. | 2,500 | 130,775 | ||||||
253,990 | ||||||||
Food Products – 4.8% | ||||||||
General Mills, Inc. | 2,100 | 122,682 | ||||||
Kraft Foods, Inc. Class A | 2,900 | 102,225 | ||||||
Unilever NV – ADR | 2,800 | 86,856 | ||||||
311,763 | ||||||||
Household Products – 3.0% | ||||||||
Colgate-Palmolive Co. | 1,100 | 71,335 | ||||||
The Procter & Gamble Co. | 2,100 | 128,499 | ||||||
199,834 | ||||||||
TOTAL CONSUMER STAPLES | 765,587 | |||||||
ENERGY – 3.6% | ||||||||
Energy Equipment & Services – 3.0% | ||||||||
Baker Hughes, Inc. | 1,300 | 109,369 | ||||||
Grant Prideco, Inc. (a) | 1,700 | 91,511 | ||||||
200,880 | ||||||||
Oil, Gas & Consumable Fuels – 0.6% | ||||||||
Noble Energy, Inc. | 600 | 37,434 | ||||||
TOTAL ENERGY | 238,314 | |||||||
FINANCIALS – 9.2% | ||||||||
Capital Markets – 3.9% | ||||||||
Morgan Stanley | 1,500 | 125,820 | ||||||
The Goldman Sachs Group, Inc. | 600 | 130,050 | ||||||
255,870 | ||||||||
Consumer Finance – 2.0% | ||||||||
Capital One Financial Corp. | 1,650 | 129,426 | ||||||
Diversified Financial Services – 1.3% | ||||||||
JPMorgan Chase & Co. | 1,800 | 87,210 | ||||||
Insurance – 2.0% | ||||||||
The Chubb Corp. | 2,400 | 129,936 | ||||||
TOTAL FINANCIALS | 602,442 | |||||||
HEALTH CARE – 17.8% | ||||||||
Biotechnology – 4.7% | ||||||||
BioMarin Pharmaceutical, Inc. (a) | 6,300 | 113,022 | ||||||
Human Genome Sciences, Inc. (a) | 8,000 | 71,360 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 4,400 | 125,664 | ||||||
310,046 | ||||||||
Health Care Equipment & Supplies – 2.2% | ||||||||
Cooper Cos. Inc. | 2,100 | 111,972 | ||||||
Gen-Probe, Inc. (a) | 600 | 36,252 | ||||||
148,224 | ||||||||
Life Sciences Tools & Services – 2.8% | ||||||||
Applera Corp – Applied Biosystems Group | 1,700 | 51,918 | ||||||
Thermo Fisher Scientific, Inc. (a) | 2,500 | 129,300 | ||||||
181,218 | ||||||||
Pharmaceuticals – 8.1% | ||||||||
Abbott Laboratories | 2,300 | 123,165 | ||||||
Johnson & Johnson | 2,600 | 160,212 | ||||||
Merck & Co., Inc. | 2,400 | 119,520 | ||||||
Wyeth | 2,200 | 126,148 | ||||||
529,045 | ||||||||
TOTAL HEALTH CARE | 1,168,533 | |||||||
INDUSTRIALS – 3.7% | ||||||||
Industrial Conglomerates – 3.7% | ||||||||
General Electric Co. | 3,500 | 133,980 | ||||||
Textron, Inc. | 1,000 | 110,110 | ||||||
TOTAL INDUSTRIALS | 244,090 | |||||||
INFORMATION TECHNOLOGY – 35.5% | ||||||||
Communications Equipment – 6.0% | ||||||||
Cisco Systems, Inc. (a) | 7,900 | 220,015 | ||||||
Corning, Inc. (a) | 1,900 | 48,545 | ||||||
QUALCOMM, Inc. | 2,900 | 125,830 | ||||||
394,390 | ||||||||
Computers & Peripherals – 6.4% | ||||||||
Apple Inc. (a) | 700 | 85,428 | ||||||
Hewlett-Packard Co. | 4,000 | 178,480 | ||||||
International Business Machines Corp. | 1,500 | 157,875 | ||||||
421,783 | ||||||||
Electronic Equipment & Instruments – 1.5% | ||||||||
AU Optronics Corp. – ADR | 5,800 | 99,760 | ||||||
Internet Software & Services – 6.7% | ||||||||
eBay, Inc. (a) | 3,200 | 102,976 | ||||||
Google, Inc. Class A (a) | 250 | 130,845 | ||||||
VeriSign, Inc. (a) | 3,700 | 117,401 | ||||||
Yahoo!, Inc. (a) | 3,100 | 84,103 | ||||||
435,325 | ||||||||
IT Services – 0.8% | ||||||||
Hewitt Associates, Inc. Class A (a) | 1,700 | 54,400 | ||||||
(continued)
174
Ohio National Fund, Inc.
Bristol Growth Portfolio (Continued)
Bristol Growth Portfolio (Continued)
Schedule of Investments | June 30, 2007 (Unaudited) |
Fair | ||||||||
Common Stock – 99.6% | Shares | Value | ||||||
Semiconductor & Semiconductor Equipment – 10.7% | ||||||||
Applied Materials, Inc. | 6,600 | $ | 131,142 | |||||
Intel Corp. | 6,700 | 159,192 | ||||||
Maxim Integrated Products, Inc. | 4,100 | 136,981 | ||||||
National Semiconductor Corp. | 2,300 | 65,021 | ||||||
ON Semiconductor Corp. (a) | 10,400 | 111,488 | ||||||
Texas Instruments, Inc. | 2,500 | 94,075 | ||||||
697,899 | ||||||||
Software – 3.4% | ||||||||
Microsoft Corp. | 7,500 | 221,025 | ||||||
TOTAL INFORMATION TECHNOLOGY | 2,324,582 | |||||||
MATERIALS – 4.9% | ||||||||
Chemicals – 4.9% | ||||||||
Agrium, Inc. | 2,300 | 100,625 | ||||||
Cytec Industries, Inc. | 1,550 | 98,844 | ||||||
Rohm & Haas Co. | 2,200 | 120,296 | ||||||
TOTAL MATERIALS | 319,765 | |||||||
TELECOMMUNICATION SERVICES – 1.6% | ||||||||
Diversified Telecommunication Services – 1.6% | ||||||||
Verizon Communications, Inc. | 2,500 | 102,925 | ||||||
TOTAL TELECOMMUNICATION SERVICES | 102,925 | |||||||
UTILITIES – 0.4% | ||||||||
Electric Utilities – 0.4% | ||||||||
FirstEnergy Corp. | 400 | 25,892 | ||||||
TOTAL UTILITIES | 25,892 | |||||||
Total Common Stocks (Cost $6,451,017) | $ | 6,524,314 | ||||||
Face | Fair | |||||||
Repurchase Agreements – 1.1% | Amount | Value | ||||||
U.S. Bank 4.100% 07/02/2007 | $ | 73,000 | $ | 73,000 | ||||
Repurchase price $73,025 | ||||||||
Collateralized by: | ||||||||
Federal Home Loan Mortgage Corp. Gold Pool #E99143 4.500%, 09/01/2018 | ||||||||
Fair Value: $74,461 | ||||||||
Total Repurchase Agreements (Cost $73,000) | $ | 73,000 | ||||||
Total Investments – 100.7% (Cost $6,524,017) (b) | $ | 6,597,314 | ||||||
Liabilities in Excess of Other Assets – (0.7)% | (49,053 | ) | ||||||
Net Assets – 100.0% | $ | 6,548,261 | ||||||
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
175
Ohio National Fund, Inc.
Bristol Growth Portfolio
Bristol Growth Portfolio
Statement of Assets and Liabilities
June 30, 2007 (Unaudited)
Assets: | ||||
Investments in securities, at fair value (Cost $6,524,017) | $ | 6,597,314 | ||
Cash | 568 | |||
Receivable for securities sold | 70,249 | |||
Dividends and accrued interest receivable | 5,649 | |||
Total assets | 6,673,780 | |||
Liabilities: | ||||
Payable for securities purchased | 115,052 | |||
Payable for fund shares redeemed | 3 | |||
Payable for investment management services | 4,296 | |||
Payable for compliance services | 371 | |||
Accrued custody expense | 655 | |||
Accrued professional fees | 2,676 | |||
Accrued accounting fees | 1,922 | |||
Accrued printing and filing fees | 544 | |||
Total liabilities | 125,519 | |||
Net assets | $ | 6,548,261 | ||
Net assets consist of: | ||||
Par value, $1 per share | $ | 639,392 | ||
Paid-in capital in excess of par value | 5,756,452 | |||
Accumulated net realized gain on investments | 76,603 | |||
Net unrealized appreciation on investments | 73,297 | |||
Undistributed net investment income | 2,517 | |||
Net assets | $ | 6,548,261 | ||
Shares outstanding | 639,392 | |||
Authorized Fund shares allocated to Portfolio | 5,000,000 | |||
Net asset value per share | $ | 10.24 | ||
Statement of Operations
For the Period from May 1, 2007* to June 30, 2007 (Unaudited)
Investment income: | ||||
Interest | $ | 1,003 | ||
Dividends | 16,881 | |||
Total investment income | 17,884 | |||
Expenses: | ||||
Management fees | 8,534 | |||
Custodian fees | 655 | |||
Directors’ fees | 54 | |||
Professional fees | 2,870 | |||
Accounting fees | 1,922 | |||
Printing and filing fees | 546 | |||
Compliance expense | 786 | |||
Total expenses | 15,367 | |||
Net investment income | 2,517 | |||
Realized/unrealized gain (loss) on investments: | ||||
Net realized gain (loss) on investments | 76,603 | |||
Change in unrealized appreciation/depreciation on investments | 73,297 | |||
Net realized/unrealized gain (loss) on investments | 149,900 | |||
Change in net assets from operations | $ | 152,417 | ||
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
176
Ohio National Fund, Inc.
Bristol Growth Portfolio
Bristol Growth Portfolio
Statement of Changes in Net Assets
For the Period | ||||
from May 1, 2007* | ||||
to June 30, 2007 | ||||
(Unaudited) | ||||
Increase (Decrease) in Net Assets: | ||||
Operations: | ||||
Net investment income | $ | 2,517 | ||
Net realized gain (loss) on investments | 76,603 | |||
Change in unrealized appreciation/depreciation on investments | 73,297 | |||
Change in net assets from operations | 152,417 | |||
Capital transactions: | ||||
Received from shares sold | 6,396,247 | |||
Paid for shares redeemed | (403 | ) | ||
Change in net assets from capital transactions | 6,395,844 | |||
Change in net assets | 6,548,261 | |||
Net Assets: | ||||
Beginning of period | — | |||
End of period | $ | 6,548,261 | ||
Undistributed net investment income | $ | 2,517 | ||
Financial Highlights
For the Period | ||||
from May 1, 2007* | ||||
to June 30, 2007 | ||||
(Unaudited) | ||||
Selected Per-Share Data: | ||||
Net asset value, beginning of period | $ | 10.00 | ||
Operations: | ||||
Net realized and unrealized gain (loss) on investments | 0.24 | |||
Net asset value, end of period | $ | 10.24 | ||
Total return | 2.40 | % (b) | ||
Ratios and supplemental data: | ||||
Net assets at end of period (millions) | $ | 6.5 | ||
Ratios to average net assets: | ||||
Expenses | 1.44 | % (a) | ||
Net investment income | 0.24 | % (a) | ||
Portfolio turnover rate | 30 | % |
(a) | Annualized. | |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
177
Ohio National Fund, Inc.
Notes to Financial Statements | June 30, 2007 (Unaudited) |
(1) Organization
Ohio National Fund, Inc. (the “Fund”) is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund consists of twenty four separate investment portfolios (the “Portfolios”) that seek the following objectives:
- | Equity Portfolio — Long-term growth of capital by investing primarily in common stocks or other equity securities. | |
- | Money Market Portfolio — Maximum current income consistent with preservation of capital and liquidity by investing in high quality money market instruments. | |
- | 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. | |
- | Omni Portfolio — High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. | |
- | International Portfolio — Total return on assets by investing primarily in equity securities of foreign companies. | |
- | 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. | |
- | Millennium Portfolio — Maximum capital growth by investing primarily in common stocks of small sized companies. | |
- | International Small Company Portfolio — Long-term growth of capital by investing primarily in equity securities of foreign companies having a market capitalization at time of purchase of $5 billion or less. | |
- | Aggressive Growth Portfolio — Long-term capital growth by investing primarily in equity securities with attractive growth opportunities. | |
- | Small Cap Growth Portfolio — Long-term capital appreciation by investing in stocks of small companies with strong business franchises and competitive positions that generate rapidly rising earnings or profits. | |
- | Mid Cap Opportunity Portfolio — Long-term total return by investing in equity and debt securities focusing on small- and mid-cap companies that offer potential for capital appreciation, current income, or both. | |
- | S&P 500 Index Portfolio — Total return that approximates that of the Standard & Poor’s 500 Index. | |
- | Blue Chip Portfolio — Growth of capital and income by investing primarily in securities of high quality companies. | |
- | High Income Bond Portfolio — High current income by investing primarily 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. | |
- | Capital Growth Portfolio — Long-term capital appreciation by investing in and actively managing equity securities in small cap growth companies. | |
- | 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. | |
- | Bristol Portfolio — Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. | |
- | Bryton Growth Portfolio — Long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization. | |
- | U.S. Equity Portfolio — Capital appreciation with a secondary objective of capital preservation to provide long term growth by investing within under-priced sectors and industries. |
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- | Balanced Portfolio — Capital appreciation and income by investing within under-priced sectors and industries while maintaining a minimum of 25% of its assets in fixed income securities. | |
- | Income Opportunity Portfolio — Modest capital appreciation by investing within under-priced sectors and industries and maximization of realized gains. | |
- | 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. | |
- | Target Equity/Income 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. | |
- | Bristol Growth Portfolio — Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
Additional detail regarding portfolio-specific objectives, policies, and investment strategies is provided in the prospectus and Statement of Additional Information of Ohio National Fund, Inc. There are no assurances these objectives will be met. Each Portfolio, except the Nasdaq-100 Index Portfolio, is classified as a diversified fund.
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 class represents an undivided interest in the assets of the Portfolio corresponding to that class. Each share of a Portfolio may participate equally in the Portfolio’s dividends, distributions, net assets, and voting matters.
The Fund is authorized to issue 350 million of its capital shares. These authorized shares have been allocated to specific Portfolios of the Fund. 30 million shares are allocated to each of the Equity, Money Market, International, and S&P 500 Index Portfolios, 20 million shares are allocated to each of the Bond, Capital Appreciation, and Nasdaq-100 Index Portfolios, 15 million shares are allocated to the Omni Portfolio, 10 million shares are allocated to each of the other Portfolios with the exception of the Bristol Growth Portfolio which has 5 million allocated shares. The Fund’s Board of Directors (the “Board”) periodically reallocates authorized shares among the Portfolios of the Fund as deemed necessary.
Under the Fund’s organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund. However, based on experience, the risk of loss to the Fund is expected to be remote.
(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.
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Security Valuation
Investments are valued using pricing procedures approved by the Board.
All investments in the Money Market Portfolio are valued at amortized cost in accordance with Rule 2a-7 of the 1940 Act. Should the money market component of the Omni Portfolio maintain a dollar-weighted average maturity of 120 days or less and have no maturities greater than one year, such money market component of the Omni Portfolio will be valued at amortized cost. In all Portfolios of the Fund, fixed income instruments that mature in sixty days or less are consistently valued at amortized cost. Amortized cost valuation involves valuing a security at its cost initially and thereafter amortizing to maturity any discounts or premiums on the level-yield method, regardless of the impact of fluctuating market interest rates on the fair value of the security. This method may result in periods during which value, as determined by amortized cost, is higher or lower than the price the Portfolios would receive if a security were sold.
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 daily closing price on the exchange on which each security is principally traded. Option securities are currently valued on a composite price basis. Over-the-counter domestic equity securities are valued at the last sale price reported daily as of 4:00 pm Eastern Time. If, on a particular day, a domestic equity security is not traded, the mean between the bid and ask prices reported at 4:00 pm Eastern Time 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 with a remaining maturity exceeding sixty days, other than U.S. Government and agency securities, are valued using specific market quotations or a matrix method provided by independent pricing services approved by the Board. If such information is unavailable, the mean between the daily close bid and ask prices is used. U.S. Government and agency securities are valued at the mean between the daily close bid and ask prices.
Repurchase agreements are valued at original cost.
Restricted securities, illiquid securities, and other investments for which market quotations are not readily available are valued at estimated fair market 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 last sale price at the close 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 the ask quotes at daily close, or the last sale price when appropriate. Non-traded foreign equity securities are priced on last trades or at the mean value between the daily close bid and ask quotes where readily available. The principal sources for market quotations are independent national pricing services that have been approved by the Board.
Securities that are primarily traded on foreign exchanges 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. 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 ADRs, New York registered shares, iShares, and futures. The assumptions selected by the Fund that are used in the valuation include a zero-basis trigger using the S&P 500 Index and a 75% confidence interval. These assumptions result in the performance of the pricing procedures each day there is a change in the S&P 500 Index from the time of local close to the 4:00 pm Eastern Time U.S. market close for each individual security for which there is a fairly large degree of certainty that the local close price is not the liquid market price at the time of U.S. market close. Backtesting analysis is performed on a quarterly basis to monitor the effectiveness of these procedures. The testing is reviewed by the management of the Fund as well as the Fund’s Board. Prior results have indicated that the fair value procedures have been effective in reaching valuation objectives.
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The differences between the aggregate cost and fair market values of investments are reflected as unrealized appreciation or unrealized depreciation.
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. Purchases and sales of foreign-denominated investments are recorded at rates of exchange prevailing on the respective dates of such transactions. Events that could impact the exchange rates may occur between the time at which the exchange rates are determined and the time the Portfolios’ net assets are valued. For those Portfolios holding foreign investments, the computation of the respective net asset value would not include the impact of such events. If such events are detected and are determined to materially affect the currency exchange rates during such time period, the securities are valued at their estimated fair value as determined in good faith by the Fund’s Pricing Committee under the supervision of the Board.
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 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.
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 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 the Portfolios’ stated investment objectives. Options are recorded at fair value, and the related realized and unrealized gains and losses are included in the Statements of Operations, if any. 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 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.
Futures Contracts
Each Portfolio, other than the Money Market Portfolio may, for hedging purposes, purchase and sell financial futures contracts. Futures contracts are used for the purpose of hedging its existing Portfolio securities, or securities that the Portfolio intends to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial
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futures contract, a Portfolio is required to pledge to the broker an amount of cash, commercial paper, or receivables for securities sold 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 fair value of the underlying security. The Portfolios recognize a gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Portfolios may not achieve the anticipated benefits of the financial 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 options thereon, and the Nasdaq-100 Index Portfolio may purchase or sell derivative securities designed to replicate the Nasdaq 100 Index in accordance with their stated investment objectives.
At June 30, 2007, there were no futures contracts held by the Fund’s Portfolios.
Credit-linked Trust Certificates
Credit-linked trust certificates are investments in a limited purpose trust or other vehicle formed under state law which, in turn, invests in a basket of derivative instruments, such as credit default swaps, interest rate swaps and other securities, in order to provide exposure to the high yield or another fixed income market.
Similar to an investment in a bond, investments in credit-linked trust certificates represent the right to receive periodic income payments (in the form of distributions) and payment of principal at the end of the term of the certificate. However, these payments are conditioned on the trust’s receipt of payments from, and the trust’s potential obligations to, the counterparties to the derivative instruments and other securities in which the trust invests.
Foreign Currency Contracts, Futures, and Options
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 exchange contracts, foreign currency options, and foreign currency futures contracts in connection with the purchase, sale or ownership of a specific security. Buyers and sellers of foreign currency options and futures contracts are subject to the same risks previously described for options and futures, generally. A forward contract involves an obligation to purchase or sell a foreign currency at a future date, at a negotiated rate. These contracts are recorded at fair value, and the related realized and unrealized foreign exchange gains and losses are included in the statement of operations. In the event that counterparties fail to settle these currency contracts or the related foreign security trades, the Portfolios could be exposed to foreign currency fluctuations. The use of foreign currency hedging transactions 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 securities.
Repurchase Agreements
The Portfolios routinely 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
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Fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the fair 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 is 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 the Portfolio during any period in which qualified institutional investors were no longer interested in purchasing these securities.
Typically, the restricted securities noted above are not considered illiquid. The criteria used to determine if a restricted security is illiquid includes frequency of trades and quotes, available dealers willing to make transactions, availability of market makers in the security, and the nature of the security and its trades. The Money Market, Bond, and Omni Portfolios may invest up to 10% of assets in illiquid securities. Each of the other Portfolios of the Fund may invest up to 15% of its assets in illiquid securities.
When-issued Securities
The Portfolios may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolios may hold liquid assets as collateral that is deemed to be sufficient to cover the purchase price.
Borrowing and Securities Lending
Certain Portfolios in the Fund are allowed to borrow for investment purposes. Borrowings would generally be unsecured, except to the extent the Portfolios enter into reverse repurchase agreements. The 1940 Act requires the Portfolios to maintain continuous asset coverage equal to three times the amount borrowed. No borrowings were conducted by any of the Fund’s Portfolios during the six-month period ended June 30, 2007.
All Portfolios, with the exception of the Money Market Portfolio, are able to lend securities if the loan is adequately secured, is immediately callable and allows for all interest and dividend payments; and the aggregate value of securities loaned does not exceed one third of the total assets. There were no Fund securities lent during the six-month period ended June 30, 2007.
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 1940 Act. Accordingly, differences between the net asset values for financial reporting and for executing separate account shareholder transactions may arise. Dividend income is recognized on the ex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s accounting 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.
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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 has the intent to continue to comply with tax provisions pertaining to regulated investment companies and makes 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.
Expense Allocation
Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses that cannot be directly attributed to a Portfolio are allocated among all the benefited Portfolios on a basis of relative net assets or other appropriate method.
Foreign Withholding Taxes
Certain Portfolios in the Fund may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned. These Portfolios accrue such taxes as the related income is earned.
New Accounting Pronoucements
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 “Accounting for Uncertainty in Income Taxes” (“FIN 48”). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. Adoption of FIN 48 is required no later than the last business day of the first financial statement reporting period for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. The Fund adopted the standard on June 29, 2007 as required. The adoption of FIN 48 has no impact on the current financial statements for any of the Fund’s Portfolios.
In September 2006, the Financial Accounting Standards Board (FASB) issued Statement on Financial Accounting Standards (SFAS) No. 157, “Fair Value Measurements.” This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. SFAS No. 157 applies to fair value measurements already required or permitted by existing standards. SFAS No. 157 is effective for financial statements issued for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years. The changes to current generally accepted accounting principles from the application of this Statement relate to the definition of fair value, the methods used to measure fair value, and the expanded disclosures about fair value measurements. As of June 30, 2007, the Fund does not believe the adoption of SFAS No. 157 will impact the financial statement amounts; however, additional disclosures may be required about the inputs used to develop the measurements and the effect of certain of the measurements on changes in net assets for the period.
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(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. Typically, contract renewals are approved by the Board in the meeting held subsequent to the close of the Fund’s second quarter. 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 schedule of Board-approved annualized fee breakpoints.
Equity
0.80% of first $500 million
0.75% of next $500 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
Blue Chip
0.75% of first $100 million
0.70% of next $400 million
0.65% over $500 million
Capital Growth
0.90% of first $100 million
0.85% of next $100 million
0.80% of next $300 million
0.75% over $500 million
Bristol
0.80% of first $100 million
0.70% of next $400 million
0.65% over $500 million
Money Market*
0.30% of first $100 million
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 Company
1.00% of first $100 million
0.90% of next $100 million
0.85% over $200 million
Small Cap Growth
0.95% of first $100 million
0.90% of next $50 million
0.80% of next $150 million
0.75% over $300 million
S&P 500 Index
0.40% of first $100 million
0.35% of next $150 million
0.33% over $250 million
High Income Bond
0.75% of first $75 million
0.70% of next $75 million
0.65% of next $75 million
0.60% over $225 million
Nasdaq-100 Index
0.40% of first $100 million
0.35% of next $150 million
0.33% over $250 million
Bryton Growth
0.85% of first $100 million
0.75% of next $400 million
0.70% over $500 million
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U.S. Equity
0.75% of first $200 million
0.70% of next $300 million
0.65% over $500 million
Balanced
0.75% of first $200 million
0.70% of next $300 million
0.65% over $500 million
Target VIP
0.60% of first $100 million
0.55% of next $400 million
0.50% over $500 million
Income Opportunity
0.80% of first $200 million
0.75% of next $300 million
0.70% 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
* | For the six-month period ended June 30, 2007, ONI waived advisory fees in excess of the following amounts: |
Money Market | 0.25% of average daily net assets |
Waivers related to the Money Market Portfolio are voluntary and are not subject to recoupment in subsequent fiscal periods.
If ONI did not agree to reimburse these expenses, the total expenses incurred by the Money Market Portfolio for the six-month period ended June 30, 2007 would have been higher than the net expenses reflected in the financial statements.
Under the Investment Advisory Agreement, the Fund authorizes ONI to retain sub-advisers for the Capital Appreciation, Millennium, Aggressive Growth, Small Cap Growth, Mid Cap Opportunity, Capital Growth, Blue Chip, High Income Bond, International, International Small Company, Equity, Omni, 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 Jennison Associates LLC (“Jennison”), Neuberger Berman Management, Inc. (“Neuberger Berman”), Janus Capital Management LLC (“Janus”), RS Investment Management, L.P. (“RSIM”), Eagle Asset Management, Inc. (“Eagle”), Federated Equity Management Company of Pennsylvania (“Federated Equity”), Federated Investment Management Company (“Federated Investment”), Federated Global Investment Management Corp. (“Federated Global”), Legg Mason Capital Management, Inc. (“Legg Mason”), Suffolk Capital Management, LLC (“Suffolk”), 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 Board—approved schedule of annualized fee breakpoints.
Equity (Legg Mason)
0.45% of first $500 million
0.40% over $500 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 Company (Federated Global)
0.75% of first $100 million
0.65% over $100 million
Small Cap Growth (Janus)
0.65% of first $50 million
0.60% of next $100 million
0.50% over $150 million
(continued)
186
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
Mid Cap Opportunity (RSIM)
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 and Balanced (ICON)
0.50% of first $200 million
0.45% of next $300 million
0.40% over $500 million
Target VIP and Target Equity/Income (First Trust)
0.35% of first $500 million
0.25% over $500 million
Blue Chip (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
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
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 81% of the voting securities of Suffolk. There were no Fund liabilities payable to Suffolk at June 30, 2007 and fees paid to Suffolk are an expense of ONI, not of the Fund.
Pursuant to the Investment Advisory Agreement, if in any calendar quarter the total of all ordinary expenses of any Portfolio should exceed approximately one quarter of one percent of the average daily net assets, ONI shall reimburse the Portfolio for such excess expenses. Ordinary expenses for purposes of this calculation exclude the advisory fee paid to ONI, taxes, brokerage commissions, and interest. There were no expenses reimbursed by ONI for the six-month period ended June 30, 2007.
Under 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.
Effective August 12, 2006, the Investment Advisory Agreement was amended upon approval of the Fund’s shareholders and ONLIC, ONLAC, and NSLA variable contract owners. The amendment allows for a portion of the expenses related to the Fund’s Chief Compliance Officer and staff to be incurred by the Fund and paid from the Fund to the Fund’s adviser, ONI. Pursuant to the service agreement among ONI, ONLIC and the Fund, ONLIC has provided the personnel, services, and equipment necessary to perform the Fund’s regulation-mandated compliance function and ONI has reimbursed ONLIC for such costs. For the six-month period ended June 30, 2007 the Fund incurred compliance expenses totaling $55,020 that were equally allocated to each of the Portfolios on a monthly basis. Of this amount $46,104 was paid, resulting in a combined Fund payable to ONI at June 30, 2007 of $8,916. Expenses incurred by the Portfolios are reflected on the Statements of Operations as “Compliance expense”.
Each director who is not an officer of the Fund nor an employee of ONI or its corporate affiliates is currently paid a quarterly retainer fee of $5,000, $1,500 for each Board meeting attended, and $500 for each Board committee or independent directors meetings attended. The lead independent director of the Board receives an additional $1,250 per Board meeting attended and the
(continued)
187
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
Audit Committee chair receives an additional $500 for each Audit Committee meeting attended. For the six-month period ended June 30, 2007, compensation of these directors by the Fund totaled $56,000.
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 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 Company Portfolios. The accounting agent and custodian for the International and International Small Company Portfolios is State Street Bank-Kansas City, 801 Pennsylvania, Kansas City, Missouri. For assets held outside the United States, U.S. Bank and State Street Bank-Kansas City enter into sub-custodial agreements, subject to approval by the Board.
(4) Capital Share Transactions
Capital share transactions for the six-month period ended June 30, 2007 and the year ended December 31, 2006 were as follows:
Equity | Money Market | Bond | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 717,852 | 1,387,631 | 17,952,642 | 23,325,224 | 1,425,294 | 3,252,646 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | 689,992 | 951,451 | — | 564,982 | ||||||||||||||||||
Capital shares redeemed | (1,095,569 | ) | (2,234,787 | ) | (13,995,896 | ) | (15,795,140 | ) | (843,783 | ) | (979,222 | ) | ||||||||||||
Net increase/(decrease) | (377,717 | ) | (847,156 | ) | 4,646,738 | 8,481,535 | 581,511 | 2,838,406 | ||||||||||||||||
Omni | International | Capital Appreciation | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 90,075 | 296,696 | 3,428,239 | 7,603,544 | 165,388 | 1,874,423 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 52,834 | — | 37,793 | — | 48,855 | ||||||||||||||||||
Capital shares redeemed | (395,788 | ) | (795,853 | ) | (672,482 | ) | (1,380,688 | ) | (885,808 | ) | (611,108 | ) | ||||||||||||
Net increase/(decrease) | (305,713 | ) | (446,323 | ) | 2,755,757 | 6,260,649 | (720,420 | ) | 1,312,170 | |||||||||||||||
Millennium | International Small Company | Aggressive Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 91,000 | 122,103 | 689,077 | 997,554 | 246,505 | 552,788 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | 83,493 | — | — | ||||||||||||||||||
Capital shares redeemed | (367,636 | ) | (826,698 | ) | (199,454 | ) | (480,871 | ) | (291,819 | ) | (519,272 | ) | ||||||||||||
Net increase/(decrease) | (276,636 | ) | (704,595 | ) | 489,623 | 600,176 | (45,314 | ) | 33,516 | |||||||||||||||
(continued)
188
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
Small Cap Growth | Mid Cap Opportunity | S&P 500 Index | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 252,994 | 400,178 | 218,838 | 281,173 | 631,025 | 565,338 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | — | 129,067 | ||||||||||||||||||
Capital shares redeemed | (189,679 | ) | (465,613 | ) | (420,112 | ) | (915,299 | ) | (1,101,185 | ) | (3,071,448 | ) | ||||||||||||
Net increase/(decrease) | 63,315 | (65,435 | ) | (201,274 | ) | (634,126 | ) | (470,160 | ) | (2,377,043 | ) | |||||||||||||
Blue Chip | High Income Bond | Capital Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 134,172 | 409,577 | 2,344,472 | 2,700,630 | 149,902 | 270,607 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 23,578 | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (193,333 | ) | (427,822 | ) | (545,260 | ) | (1,113,696 | ) | (159,401 | ) | (313,563 | ) | ||||||||||||
Net increase/(decrease) | (59,161 | ) | 5,333 | 1,799,212 | 1,586,934 | (9,499 | ) | (42,956 | ) | |||||||||||||||
Nasdaq-100 Index | Bristol | Bryton Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 623,128 | 3,468,793 | 1,329,281 | 2,209,842 | 1,250,470 | 1,476,711 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | 14,692 | — | 15,860 | ||||||||||||||||||
Capital shares redeemed | (754,506 | ) | (741,802 | ) | (69,940 | ) | (111,107 | ) | (34,407 | ) | (155,737 | ) | ||||||||||||
Net increase/(decrease) | (131,378 | ) | 2,726,991 | 1,259,341 | 2,113,427 | 1,216,063 | 1,336,834 | |||||||||||||||||
U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | 6/30/07 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | |||||||||||||||||||
Capital shares issued on sales | 136,467 | 680,950 | 127,891 | 282,286 | 76,919 | 179,657 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 4,518 | — | 6,463 | — | — | ||||||||||||||||||
Capital shares redeemed | (120,608 | ) | (97,636 | ) | (82,284 | ) | (56,978 | ) | (141,840 | ) | (63,386 | ) | ||||||||||||
Net increase/(decrease) | 15,859 | 587,832 | 45,607 | 231,771 | (64,921 | ) | 116,271 | |||||||||||||||||
(continued)
189
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||
Period | ||||||||||||||||||||
Six-Month | Six-Month | from | ||||||||||||||||||
Period Ended | Period Ended | 5/1/07 | ||||||||||||||||||
6/30/07 | Year Ended | 6/30/07 | Year Ended | (inception) | ||||||||||||||||
(Unaudited) | 12/31/06 | (Unaudited) | 12/31/06 | to 6/30/07 | ||||||||||||||||
Capital shares issued on sales | 417,346 | 819,664 | 880,020 | 1,921,723 | 639,431 | |||||||||||||||
Capital shares issued on reinvested dividends | — | 104 | — | 11,427 | — | |||||||||||||||
Capital shares redeemed | (25,812 | ) | (21,509 | ) | (52,786 | ) | (383,569 | ) | (39 | ) | ||||||||||
Net increase/(decrease) | 391,534 | 798,259 | 827,234 | 1,549,581 | 639,392 | |||||||||||||||
(5) Investment Transactions
Purchases and sales of investments (excluding short-term and government securities) for the six-month period ended June 30, 2007 were as follows:
Capital | ||||||||||||||||||||
Equity | Bond | Omni | International | Appreciation | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 24,690,365 | $ | 24,706,020 | $ | 52,111,545 | $ | 183,366,087 | $ | 83,712,148 | ||||||||||
Sales | $ | 37,684,718 | $ | 9,102,795 | $ | 56,830,107 | $ | 137,105,618 | $ | 92,080,558 | ||||||||||
International Small | Aggressive | Mid Cap | ||||||||||||||||||
Millennium | Company | Growth | Small Cap Growth | Opportunity | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 41,425,953 | $ | 30,192,522 | $ | 3,793,686 | $ | 8,120,233 | $ | 119,826,981 | ||||||||||
Sales | $ | 49,233,742 | $ | 19,265,229 | $ | 2,037,335 | $ | 6,993,048 | $ | 121,438,400 | ||||||||||
High Income | Nasdaq-100 | |||||||||||||||||||
S&P 500 Index | Blue Chip | Bond | Capital Growth | Index | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 7,303,902 | $ | 10,384,987 | $ | 31,481,224 | $ | 9,586,320 | $ | 2,656,666 | ||||||||||
Sales | $ | 13,005,172 | $ | 9,845,990 | $ | 14,876,107 | $ | 10,482,050 | $ | 3,088,666 | ||||||||||
Income | ||||||||||||||||||||
Bristol | Bryton Growth | U.S. Equity | Balanced | Opportunity | ||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 86,729,199 | $ | 23,747,590 | $ | 14,530,242 | $ | 2,420,573 | $ | 3,922,364 | ||||||||||
Sales | $ | 69,712,594 | $ | 9,875,369 | $ | 14,440,139 | $ | 3,168,966 | $ | 4,718,955 | ||||||||||
Bristol Growth | ||||||||||||||||||||
Period | ||||||||||||||||||||
from 5/1/07 | ||||||||||||||||||||
Target | (inception) | |||||||||||||||||||
Target VIP | Equity/Income | to 6/30/07 | ||||||||||||||||||
Stocks and Bonds: | ||||||||||||||||||||
Purchases | $ | 12,237,370 | $ | 24,786,891 | $ | 8,349,470 | ||||||||||||||
Sales | $ | 7,661,538 | $ | 14,831,548 | $ | 1,975,055 |
(continued)
190
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
Purchases and sales of government securities for the six-month period ended June 30, 2007 were as follows:
Balanced | ||||
Purchases | $ | 744,553 | ||
Sales | $ | — |
(6) Option Contracts Written
The activity in option contracts written and premiums received by the Income Opportunity Portfolio for the six-month period ended June 30, 2007 is detailed as follows:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Options outstanding, beginning of year | 1,064 | $ | 184,389 | |||||
Options written during year | 92 | 418,100 | ||||||
Options exercised during year | (10 | ) | (20,126 | ) | ||||
Options expired during year | (8 | ) | (10,877 | ) | ||||
Options closed during year | (164 | ) | (305,152 | ) | ||||
Options outstanding, end of year | 974 | $ | 266,334 | |||||
(7) Foreign currency contracts
At June 30, 2007, the International Portfolio had outstanding foreign currency contract commitments as follows:
Contracts to buy foreign currencies:
Unrealized | ||||||||||||||||||
Currency to | Currency to | Contract at | Appreciation/ | |||||||||||||||
Date of contract | Exchange date | receive | deliver | value | Depreciation | |||||||||||||
May 3, 2007 | August 7, 2007 | 7,000,000€ | $ | 9,523,640 | $ | 9,485,735 | $ | (37,905 | ) | |||||||||
January 16, 2007 | July 18, 2007 | 483,045,600¥ | $ | 4,100,000 | $ | 3,929,440 | $ | (170,560 | ) | |||||||||
January 16, 2007 | July 18, 2007 | 482,922,600¥ | $ | 4,100,000 | $ | 3,928,439 | $ | (171,561 | ) | |||||||||
March 8, 2007 | July 18, 2007 | 494,981,600¥ | $ | 4,300,000 | $ | 4,026,535 | $ | (273,465 | ) |
Contracts to sell foreign currencies:
Unrealized | ||||||||||||||||||
Currency to | Currency to | Contract at | Appreciation/ | |||||||||||||||
Date of contract | Exchange date | receive | deliver | value | Depreciation | |||||||||||||
June 22, 2007 | August 7, 2007 | $ | 9,423,260 | 7,000,000€ | $ | 9,485,735 | $ | (62,475 | ) | |||||||||
June 13, 2007 | July 18, 2007 | $ | 5,977,956 | 729,537,800¥ | $ | 5,934,584 | $ | 43,372 | ||||||||||
June 13, 2007 | July 18, 2007 | $ | 6,000,000 | 731,412,000¥ | $ | 5,949,830 | $ | 50,170 |
(continued)
191
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
(8) Federal Income Tax Information
At December 31, 2006, the Fund’s most recent fiscal year end, 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 | $ | — | $ | — | $ | — | $ | (26,029,657 | ) | $ | 163,725,065 | $ | 137,695,408 | |||||||||||
Money Market | — | — | — | — | — | — | ||||||||||||||||||
Bond | 7,819,874 | — | 7,819,874 | (2,790,866 | ) | 947,843 | 5,976,851 | |||||||||||||||||
Omni | 283,930 | — | 283,930 | (2,118,355 | ) | 3,527,974 | 1,693,549 | |||||||||||||||||
International | 1,195,872 | 1,459,177 | 2,655,049 | — | 38,106,192 | 40,761,241 | ||||||||||||||||||
Capital Appreciation | 6,425,240 | 10,279,953 | 16,705,193 | — | 20,578,138 | 37,283,331 | ||||||||||||||||||
Millennium | — | — | — | (27,568,098 | ) | 5,840,195 | (21,727,903 | ) | ||||||||||||||||
International Small Company | — | 6,197,920 | 6,197,920 | (52,672 | ) | 21,729,309 | 27,874,557 | |||||||||||||||||
Aggressive Growth | 37,440 | — | 37,440 | (13,276,993 | ) | 2,173,587 | (11,065,966 | ) | ||||||||||||||||
Small Cap Growth | — | — | — | (14,626,125 | ) | 3,510,159 | (11,115,966 | ) | ||||||||||||||||
Mid Cap Opportunity | 523,993 | 7,210,928 | 7,734,921 | — | 6,934,715 | 14,669,636 | ||||||||||||||||||
S&P 500 Index | 635,094 | — | 635,094 | (28,297,032 | ) | 31,895,634 | 4,233,696 | |||||||||||||||||
Blue Chip | 109,224 | 1,759,953 | 1,869,177 | (1,662,862 | ) | 4,703,244 | 4,909,559 | |||||||||||||||||
High Income Bond | 4,572,715 | — | 4,572,715 | (3,116,815 | ) | 1,934,335 | 3,390,235 | |||||||||||||||||
Capital Growth | — | — | — | (16,878,070 | ) | 7,374,555 | (9,503,515 | ) | ||||||||||||||||
Nasdaq-100 Index | 1,780 | — | 1,780 | (4,045,534 | ) | 3,678,234 | (365,520 | ) | ||||||||||||||||
Bristol | 2,840,717 | 570,209 | 3,410,926 | — | 4,367,710 | 7,778,636 | ||||||||||||||||||
Bryton Growth | 1,307,517 | 570,777 | 1,878,294 | — | 1,955,980 | 3,834,274 | ||||||||||||||||||
U.S. Equity | 19,557 | 285,912 | 305,469 | — | 2,204,494 | 2,509,963 | ||||||||||||||||||
Balanced | 73,491 | 233,950 | 307,441 | — | 574,239 | 881,680 | ||||||||||||||||||
Income Opportunity | 5,845 | — | 5,845 | (15,527 | ) | 548,722 | 539,040 | |||||||||||||||||
Target VIP | 59,600 | — | 59,600 | — | 719,831 | 779,431 | ||||||||||||||||||
Target Equity/Income | 442,963 | — | 442,963 | — | 866,998 | 1,309,961 |
(1) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributed primarily to: tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains/(losses) on certain instruments, and the difference between book and tax amortization methods for premium and market discounts. |
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 or 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, 2007:
Post-October | Post-October | |||||||
Portfolio | Currency Losses | Losses | ||||||
International Small Company | $ | 52,672 | $ | — | ||||
Small Cap Growth | 2,052 | 51,399 | ||||||
S&P 500 Index | — | 324,345 | ||||||
High Income Bond | — | 4,581 | ||||||
Nasdaq-100 Index | — | 274,561 |
(continued)
192
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
For Federal income tax purposes, the following Portfolios had capital loss carry forwards as of December 31, 2006, which are available to offset future realized gains, if any:
Total Loss | Expiration Amount by Year | |||||||||||||||||||||||||||||||||||
Portfolio | Carryforward | 2007 | 2008 | 2009 | 2010 | 2011 | 2012 | 2013 | 2014 | |||||||||||||||||||||||||||
Equity | $ | 26,029,657 | $ | — | $ | — | $ | — | $ | 13,866,831 | $ | 4,991,940 | $ | 7,170,886 | $ | — | $ | — | ||||||||||||||||||
Bond | 2,790,866 | — | — | — | — | 1,497,074 | — | 560,097 | 733,695 | |||||||||||||||||||||||||||
Omni | 2,118,355 | — | — | — | 963,582 | 1,154,773 | �� | — | — | |||||||||||||||||||||||||||
Millennium | 27,568,098 | — | — | 1,750,069 | 24,207,444 | 1,610,585 | — | — | — | |||||||||||||||||||||||||||
Aggressive Growth | 13,276,993 | — | — | 8,861,834 | 4,415,159 | — | — | — | — | |||||||||||||||||||||||||||
Small Cap Growth | 14,572,674 | — | — | 10,900,736 | 3,671,938 | — | — | — | — | |||||||||||||||||||||||||||
S&P 500 Index | 27,972,687 | — | — | 14,293,817 | 13,544,388 | — | 134,482 | — | — | |||||||||||||||||||||||||||
Blue Chip | 1,662,862 | — | — | 362,092 | 1,225,755 | 75,015 | — | — | — | |||||||||||||||||||||||||||
High Income Bond | 3,112,234 | — | — | 1,264,318 | 1,284,828 | 563,088 | — | — | — | |||||||||||||||||||||||||||
Capital Growth | 16,878,070 | — | — | 7,559,288 | 9,318,782 | — | — | — | — | |||||||||||||||||||||||||||
Nasdaq-100 Index | 3,770,973 | — | 35,446 | — | 1,176,725 | 1,110,252 | 701,524 | 531,984 | 215,042 | |||||||||||||||||||||||||||
Income Opportunity | 15,527 | — | — | — | — | — | — | 15,527 | — |
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 tax characteristics of dividends paid to shareholders for the year ended December 31, 2006, were as follows:
Net | Net | Total | ||||||||||||||
Ordinary | Short-Term | Long-Term | Distribution | |||||||||||||
Portfolio | Income | Capital Gains | Capital Gains | Paid | ||||||||||||
Money Market | $ | 9,582,399 | $ | — | $ | 623 | $ | 9,583,022 | ||||||||
Bond | 6,237,402 | — | — | 6,237,402 | ||||||||||||
Omni | 837,955 | — | — | 837,955 | ||||||||||||
International | 484,510 | — | — | 484,510 | ||||||||||||
Capital Appreciation | 973,184 | — | — | 973,184 | ||||||||||||
International Small Company | 85,415 | — | 1,870,657 | 1,935,373 | ||||||||||||
S&P 500 Index | 1,924,394 | — | — | 1,924,394 | ||||||||||||
Blue Chip | 310,286 | — | — | 310,286 | ||||||||||||
Bristol | 193,205 | — | — | 193,205 | ||||||||||||
Bryton Growth | — | — | 194,124 | 194,124 | ||||||||||||
U.S. Equity | 62,299 | — | — | 62,299 | ||||||||||||
Balanced | 84,925 | — | — | 84,925 | ||||||||||||
Target VIP | 1,179 | — | — | 1,179 | ||||||||||||
Target Equity/Income | 126,159 | — | — | 126,159 |
Cost basis for Federal income tax purposes may differ from the cost basis for financial reporting purposes. The table below details the unrealized appreciation (depreciation) and aggregate cost of securities at June 30, 2007 for Federal income tax purposes.
Capital | ||||||||||||||||||||||||
Equity | Bond | Omni | International | Appreciation | Millennium | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 220,849,999 | $ | 1,360,396 | $ | 4,314,548 | $ | 60,905,707 | $ | 37,369,341 | $ | 11,033,443 | ||||||||||||
Depreciation | (38,367,550 | ) | (2,815,040 | ) | (1,695,344 | ) | (10,525,254 | ) | (5,561,614 | ) | (369,160 | ) | ||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (depreciation) | $ | 182,482,449 | $ | (1,454,644 | ) | $ | 2,619,204 | $ | 50,380,453 | $ | 31,807,727 | $ | 10,664,283 | |||||||||||
Aggregate cost of securities: | $ | 382,391,575 | $ | 178,926,339 | $ | 62,982,248 | $ | 347,296,700 | $ | 202,082,972 | $ | 54,398,050 | ||||||||||||
(continued)
193
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2007 (Unaudited) |
International | ||||||||||||||||||||||||
Small | Aggressive | Small Cap | Mid Cap | S&P 500 | ||||||||||||||||||||
Company | Growth | Growth | Opportunity | Index | Blue Chip | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 31,858,397 | $ | 4,674,069 | $ | 6,169,142 | $ | 10,482,364 | $ | 53,884,507 | $ | 4,080,902 | ||||||||||||
Depreciation | (1,325,516 | ) | (250,936 | ) | (515,919 | ) | (2,231,356 | ) | (12,945,351 | ) | (966,552 | ) | ||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (depreciation) | $ | 30,532,881 | $ | 4,423,133 | $ | 5,653,223 | $ | 8,251,008 | $ | 40,939,156 | $ | 3,114,350 | ||||||||||||
Aggregate cost of securities: | $ | 71,852,010 | $ | 15,385,538 | $ | 19,123,727 | $ | 87,904,435 | $ | 145,975,030 | $ | 31,728,470 | ||||||||||||
High Income | Capital | Nasdaq-100 | Bryton | |||||||||||||||||||||
Bond | Growth | Index | Bristol | Growth | U.S. Equity | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 1,954,829 | $ | 11,327,288 | $ | 12,035,270 | $ | 6,605,545 | $ | 6,901,790 | $ | 2,974,072 | ||||||||||||
Depreciation | (1,246,658 | ) | (804,807 | ) | (3,938,794 | ) | (1,928,208 | ) | (1,617,032 | ) | (198,572 | ) | ||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (depreciation) | $ | 708,171 | $ | 10,522,481 | $ | 8,096,476 | $ | 4,677,337 | $ | 5,284,758 | $ | 2,775,500 | ||||||||||||
Aggregate cost of securities: | $ | 90,946,144 | $ | 27,851,988 | $ | 41,486,363 | $ | 79,875,616 | $ | 44,295,630 | $ | 21,329,001 | ||||||||||||
Income | Target | |||||||||||||||||||
Balanced | Opportunity | Target VIP | Equity/Income | Bristol Growth | ||||||||||||||||
Gross unrealized: | ||||||||||||||||||||
Appreciation | $ | 881,304 | $ | 683,316 | $ | 1,687,336 | $ | 3,474,880 | $ | 191,737- | ||||||||||
Depreciation | (62,983 | ) | (144,530 | ) | (396,277 | ) | (1,187,434 | ) | (118,440 | ) | ||||||||||
Net unrealized: | ||||||||||||||||||||
Appreciation (depreciation) | $ | 818,321 | $ | 538,786 | $ | 1,291,059 | $ | 2,287,446 | $ | 73,297 | ||||||||||
Aggregate cost of securities: | $ | 7,993,580 | $ | 4,990,170 | $ | 14,780,354 | $ | 29,976,800 | $ | 6,524,017 | ||||||||||
194
Ohio National Fund, Inc.
Additional Information (Unaudited) | June 30, 2007 |
(1) Review and Approval of Advisory and Sub-Advisory Agreements
During the Fund’s most recent fiscal half-year, there were approvals of an advisory contract and a sub-advisory contract. On March 23, 2007, a majority of the Board, including a majority of Independent Directors, approved the creation of the Bristol Growth Portfolio as well as the appointment of its adviser and sub-adviser. The commencement of this Portfolio occurred on May 1, 2007.
Factors considered in the approval of ONI as adviser with respect to the Portfolio were:
- | the advisory fee and ancillary benefits in comparison to peer funds; | |
- | the extent to which economies of scale would be realized with the increase in net assets; | |
- | the terms of the existing advisory agreement between the Fund and ONI; | |
- | the nature, quality and extent of services expected to be performed by ONI; | |
- | the historical performance of other Fund Portfolios advised by ONI. |
Factors considered in the approval of Suffolk Capital Management LLC (“Suffolk”) as sub-adviser with respect to the Portfolio were:
- | the sub-advisory fee and ancillary benefits; | |
- | the terms of the sub-advisory agreement; | |
- | the nature, quality and extent of services expected to be performed by Suffolk compared to other potential sub-advisers; | |
- | the performance of assets managed by Suffolk in a similar manner, compared to performance by other potential sub-advisers; | |
- | the investment strategy to be employed by Suffolk, based upon presentations to the Board by the proposed Portfolio manager; | |
- | the recommendation of ONI. |
The most recent comprehensive annual approval of advisory and sub-advisory contacts occurred during the August 14, 2006 meeting of the Fund’s Board.
(2) Expense Disclosure
An individual may not buy or own shares of the Fund directly. An individual acquires an indirect interest in the Fund by purchasing a variable annuity contract or variable insurance policy and allocating premiums or purchase payments to Fund Portfolios available through the separate accounts of ONLIC, ONLAC, and NSLA. Separate accounts of these entities are the shareholders of the Fund.
As a shareholder of the Fund, a separate account incurs ongoing costs, including management fees and other Fund expenses. This example is intended to help a policy/contract owner understand ongoing costs (in dollars) associated with the underlying investment in the Fund’s Portfolios by the separate account shareholder and to compare these costs with the ongoing costs associated with investing in other mutual funds.
The example is based on an investment of $1,000 invested at January 1, 2007 and held through June 30, 2007.
(continued)
195
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | June 30, 2007 |
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 (net) | |||||||||||||
Value | Value | Period* | 1/1/07 – 6/30/07 | |||||||||||||
Portfolio | 1/1/07 | 6/30/07 | 1/1/07 – 6/30/07 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,049.81 | $ | 4.35 | 0.86 | % | ||||||||
Money Market | 1,000.00 | 1,025.00 | 1.57 | 0.31 | % | |||||||||||
Bond | 1,000.00 | 1,011.79 | 3.16 | 0.63 | % | |||||||||||
Omni | 1,000.00 | 1,055.73 | 3.63 | 0.71 | % | |||||||||||
International | 1,000.00 | 1,085.09 | 5.16 | 1.00 | % | |||||||||||
Capital Appreciation | 1,000.00 | 1,122.79 | 4.42 | 0.84 | % | |||||||||||
Millennium | 1,000.00 | 1,156.97 | 4.78 | 0.89 | % | |||||||||||
International Small Company | 1,000.00 | 1,179.51 | 7.10 | 1.31 | % | |||||||||||
Aggressive Growth | 1,000.00 | 1,135.85 | 5.21 | 0.98 | % | |||||||||||
Small Cap Growth | 1,000.00 | 1,147.17 | 6.10 | 1.14 | % | |||||||||||
Mid Cap Opportunity | 1,000.00 | 1,146.67 | 5.00 | 0.94 | % | |||||||||||
S&P 500 Index | 1,000.00 | 1,067.48 | 2.34 | 0.46 | % | |||||||||||
Blue Chip | 1,000.00 | 1,067.48 | 4.47 | 0.87 | % | |||||||||||
High Income Bond | 1,000.00 | 1,029.95 | 4.40 | 0.87 | % | |||||||||||
Capital Growth | 1,000.00 | 1,160.92 | 5.51 | 1.03 | % | |||||||||||
Nasdaq-100 Index | 1,000.00 | 1,099.56 | 2.64 | 0.51 | % | |||||||||||
Bristol | 1,000.00 | 1,071.10 | 4.60 | 0.89 | % | |||||||||||
Bryton Growth | 1,000.00 | 1,119.54 | 5.11 | 0.97 | % | |||||||||||
U.S. Equity | 1,000.00 | 1,093.43 | 4.77 | 0.92 | % | |||||||||||
Balanced | 1,000.00 | 1,073.34 | 6.06 | 1.18 | % | |||||||||||
Income Opportunity | 1,000.00 | 1,055.51 | 7.59 | 1.49 | % | |||||||||||
Target VIP | 1,000.00 | 1,073.02 | 4.60 | 0.90 | % | |||||||||||
Target Equity/Income | 1,000.00 | 1,076.29 | 3.87 | 0.75 | % | |||||||||||
Bristol Growth | 1,000.00 | 1,024.00 | 7.23 | 1.44 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. Please note that the expenses shown in these tables are meant to highlight ongoing fund costs only and do not reflect any contract-level expenses or fund transactional costs, such as sales charges (loads), or exchange fees (if any). Therefore, these tables are useful in comparing ongoing fund costs only, and will not fully assist a policy/contract owner in determining the relative total expenses of different funds. In addition, if transactional costs were included, costs may be higher for these Portfolios as well as for a fund being compared. |
(continued)
196
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | June 30, 2007 |
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 (net) | |||||||||||||
Value | Value | Period* | 1/1/07 – 6/30/07 | |||||||||||||
Portfolio | 1/1/07 | 6/30/07 | 1/1/07 – 6/30/07 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,020.55 | $ | 4.29 | 0.86 | % | ||||||||
Money Market | 1,000.00 | 1,023.25 | 1.57 | 0.31 | % | |||||||||||
Bond | 1,000.00 | 1,021.66 | 3.17 | 0.63 | % | |||||||||||
Omni | 1,000.00 | 1,021.26 | 3.57 | 0.71 | % | |||||||||||
International | 1,000.00 | 1,019.84 | 5.00 | 1.00 | % | |||||||||||
Capital Appreciation | 1,000.00 | 1,020.63 | 4.20 | 0.84 | % | |||||||||||
Millennium | 1,000.00 | 1,020.36 | 4.48 | 0.89 | % | |||||||||||
International Small Company | 1,000.00 | 1,018.28 | 6.58 | 1.31 | % | |||||||||||
Aggressive Growth | 1,000.00 | 1,019.92 | 4.93 | 0.98 | % | |||||||||||
Small Cap Growth | 1,000.00 | 1,019.12 | 5.73 | 1.14 | % | |||||||||||
Mid Cap Opportunity | 1,000.00 | 1,020.14 | 4.70 | 0.94 | % | |||||||||||
S&P 500 Index | 1,000.00 | 1,022.53 | 2.29 | 0.46 | % | |||||||||||
Blue Chip | 1,000.00 | 1,020.47 | 4.36 | 0.87 | % | |||||||||||
High Income Bond | 1,000.00 | 1,020.46 | 4.38 | 0.87 | % | |||||||||||
Capital Growth | 1,000.00 | 1,019.69 | 5.15 | 1.03 | % | |||||||||||
Nasdaq-100 Index | 1,000.00 | 1,022.28 | 2.54 | 0.51 | % | |||||||||||
Bristol | 1,000.00 | 1,020.36 | 4.48 | 0.89 | % | |||||||||||
Bryton Growth | 1,000.00 | 1,019.97 | 4.87 | 0.97 | % | |||||||||||
U.S. Equity | 1,000.00 | 1,020.23 | 4.61 | 0.92 | % | |||||||||||
Balanced | 1,000.00 | 1,018.95 | 5.90 | 1.18 | % | |||||||||||
Covered Call | 1,000.00 | 1,017.41 | 7.44 | 1.49 | % | |||||||||||
Target VIP | 1,000.00 | 1,020.36 | 4.48 | 0.90 | % | |||||||||||
Target Equity/Income | 1,000.00 | 1,021.07 | 3.77 | 0.75 | % | |||||||||||
Bristol Growth | 1,000.00 | 1,017.65 | 7.21 | 1.44 | % |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year divided by the number of days in the fiscal year. Please note that the expenses shown in these tables are meant to highlight ongoing fund costs only and do not reflect any contract-level expenses or fund transactional costs, such as sales charges (loads), or exchange fees (if any). Therefore, these tables are useful in comparing ongoing fund costs only, and will not fully assist a policy/contract owner in determining the relative total expenses of different funds. In addition, if transactional costs were included, costs may be higher for these Portfolios as well as for a fund being compared. |
197
Ohio National Fund, Inc.
Information about Directors and Officers (Unaudited) | June 30, 2007 |
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 3040 Forrer Street Cincinnati, Ohio | 62 | 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, ABX Air Inc., The Elizabeth Gamble Deaconess Home Association, The Christ Hospital and The University of Cincinnati Foundation. | |||||
L. Ross Love 615 Windings Way Cincinnati, Ohio | 60 | Director, Member of Audit and Independent Directors Committees | Since October 1998 | 32 | Director, President and CEO: Blue Chip Enterprises LLC (a company with holdings in the communications and medical equipment industries.) Director: Radio One Inc., Trustee: Syracuse University, Greater Cincinnati Chamber of Commerce, United Way of Greater Cincinnati. | |||||
George M. Vredeveld University of Cincinnati P.O. Box 210223 Cincinnati, Ohio | 64 | 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; Trustee: National Council on Economic Education. | |||||
Interested Director and Officers | ||||||||||
John J. Palmer One Financial Way Cincinnati, Ohio | 67 | President, Chairman of the Board and Director | Since July 1997 | 32 | Director and Vice Chairman: ONLIC; Chairman, CEO and President: NSLA; Director: ONI and various other Ohio National- affiliated companies; Director: Cincinnati Symphony Orchestra; Trustee: Cincinnati Opera | |||||
Thomas A. Barefield One Financial Way Cincinnati, Ohio | 54 | Vice President | Since February 1998 | 32 | Senior Vice President, Institutional Sales: ONLIC; Prior to November 1997 was Senior Vice President of Life Insurance Company of Virginia. Recent graduate of class XXIX of Leadership Cincinnati. Director: NSLA. | |||||
Christopher A. Carlson One Financial Way Cincinnati, Ohio | 48 | Vice President | Since March 2000 | 32 | Senior Vice President and Chief Investment Officer: ONLIC; President and Director: ONI. | |||||
Dennis R. Taney One Financial Way Cincinnati, Ohio | 59 | Chief Compliance Officer | Since June 2004 | 32 | Second Vice President: ONLIC, Chief Compliance Officer: ONLIC and ONI; Prior to August 2004 was Treasurer of the Fund. | |||||
R. Todd Brockman One Financial Way Cincinnati, Ohio | 38 | Treasurer | Since August 2004 | 32 | Second Vice President, Mutual Fund Operations: ONLIC and ONI; Prior to July 2004 was an Assurance Manager with Grant Thornton LLP, a certified public accounting firm. | |||||
Catherine E. Gehr One Financial Way Cincinnati, Ohio | 35 | Assistant Treasurer | Since March 2005 | 32 | Manager, Mutual Fund Operations: ONLIC; Prior to April 2004 was an Accounting Consultant in the financial control area for ONLIC. | |||||
Kimberly A. Plante One Financial Way Cincinnati, Ohio | 33 | Assistant Secretary | Since March 2005 | 32 | Associate Counsel: ONLIC; Prior to December 2004 was an Associate with Dinsmore & Shohl LLP, attorneys at law. |
198
[THIS PAGE INTENTIONALLY LEFT BLANK]
199
Ohio National Fund, Inc. Post Office Box 371 Cincinnari, Ohio 45201 Form 1325 Rev. 8-07 |
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 (the “Code”) 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 the Code is filed as Exhibit EX-99.CODE to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Fund’s Board of Directors has determined that the Fund has a 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, 2006: $233,450
Fiscal year ended December 31, 2005: $220,225
Fiscal year ended December 31, 2005: $220,225
(b) Audit-Related Fees.
Professional services rendered in connection with the consent on the Fund’s N1A filing.
Fiscal year ended December 31, 2006: $4,500
Fiscal year ended December 31, 2005: $4,300
Fiscal year ended December 31, 2006: $4,500
Fiscal year ended December 31, 2005: $4,300
(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, 2006 and 2005, 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 advisor, and any entity controlling, controlled by, or under common control with the advisor 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/ John J. Palmer | |||
John J. Palmer | ||||
President and Director September 5, 2007 | ||||
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/ John J. Palmer | |||
John J. Palmer | ||||
President and Director September 5, 2007 |
By: | /s/ R. Todd Brockman | |||
R. Todd Brockman | ||||
Treasurer September 5, 2007 | ||||