N-CSRS 1 d405205dncsrs.htm OHIO NATIONAL FUND, INC. Ohio National Fund, Inc.

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number 811-03015

Ohio National Fund, Inc.

 

 

(Exact name of registrant as specified in charter)

 

One Financial Way, Cincinnati, Ohio

 

 

45242

 

(Address of principal executive offices)   (Zip code)

CT Corporation 300 E. Lombard St. Suite 1400 Baltimore, MD 21202

 

 

(Name and address of agent for service)

Registrant’s telephone number, including area code: 513-794-6971

Date of fiscal year end: December 31

Date of reporting period: June 30, 2017

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.

 

 


LOGO


OHIO NATIONAL FUND, INC.

TABLE OF CONTENTS

 

President’s Message

    1  

Directors and Officers of Ohio National Fund, Inc.

    3  

The following pages contain Performance, Comments from Adviser/Sub-Adviser, Change in Value of $10,000 Investment, Portfolio Composition, Top Holdings, and Schedule of Investments (Unaudited) for each of the Fund’s Portfolios:

 

Equity Portfolio

    4  

Bond Portfolio

    7  

Omni Portfolio

    12  

Capital Appreciation Portfolio

    19  

ON International Equity Portfolio (formerly the International Portfolio)

    23  

ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio)

    29  

Aggressive Growth Portfolio

    36  

Small Cap Growth Portfolio

    39  

Mid Cap Opportunity Portfolio

    44  

S&P 500® Index Portfolio

    47  

Strategic Value Portfolio

    55  

High Income Bond Portfolio

    58  

ClearBridge Small Cap Portfolio

    69  

Nasdaq-100® Index Portfolio

    73  

Bristol Portfolio

    77  

Bryton Growth Portfolio

    80  

Balanced Portfolio

    83  

S&P MidCap 400® Index Portfolio

    90  

Bristol Growth Portfolio

    97  

Risk Managed Balanced Portfolio

    100  

ON Conservative Model Portfolio

    114  

ON Moderately Conservative Model Portfolio

    117  

ON Balanced Model Portfolio

    120  

ON Moderate Growth Model Portfolio

    123  

ON Growth Model Portfolio

    126  

Statements of Assets and Liabilities (Unaudited)

    129  

Statements of Operations (Unaudited)

    132  

Statements of Changes in Net Assets (Unaudited)

    135  

Financial Highlights (Unaudited)

    141  

Notes to Financial Statements (Unaudited)

    147  

Additional Information (Unaudited)

    167  

Information About Directors and Officers (Unaudited)

    174  


President’s

Message

  LOGO

Dear Investor:

 

The first half of 2017 has proven to be one of the best for investors since 2013. Consider the following:

 

   

Equities have risen in six months to generate returns that took almost twelve months to earn in 2016.

 

   

Bonds have performed favorably, contributing both capital appreciation from lower rates and coupon return.

 

   

The VIX® Index®, a measure of equity volatility considered by analysts to be a gauge of investor fear, is trading at its lowest level in a decade. This low level is causing concern among analysts about investor complacency.

 

   

A U.S. balanced fund composite (60 percent Dow Jones U.S. Total Stock Market Index and 40 percent Bloomberg Barclays U.S. Aggregate Bond Index) returned 6.4 percent in the first six months of 2017.

While we do not expect returns to continue at such a lofty pace, we remain cautiously optimistic. Fundamentals are solid, with moderately rising economic activity, a strengthening labor market and expansion in both household spending and business fixed investment. Additionally, corporate profits were very strong in Q2 2017, with 73 percent of filings meeting or beating expectations. Meanwhile, inflation remains muted. Globally, the economy is also on track for strengthening.

One of the more visible threats to stability is the political landscape in the U.S. and around the world. Economically,

a primary threat is the ability of the central banks to engineer a soft landing from quantitative easing strategies employed across the globe.

On this last point, rapid growth in asset values has led to much speculation about the role that liquidity injected by central banks around the world has played in boosting asset prices, and how these asset prices might adjust if central banks begin to retract their easy money policies. In the U.S., the Federal Reserve has scaled back its new bond purchase policy, restricting it to just reinvestment of principal. Furthermore, it is evaluating a strategy for unwinding its balance sheet. While such adjustments and their impact on the markets are difficult to judge, we believe portfolio diversification should serve investors well when corrections vary between markets and asset types.

Equity Markets

Large caps fared the best among broad-based indices in the U.S., with mid caps and small caps producing much more modest returns. However, it has been a breakout year for international developed market stocks and emerging markets. This is a turnaround from last year, when these international markets lagged. Strong local currency returns in foreign markets were further boosted by a weak U.S. Dollar, down 7.0 percent against a basket of currencies. Again, this is a reversal from the prior year, when the strengthened U.S. dollar hurt international returns that were translated into U.S. dollars. In addition to the success of international and emerging markets, another key theme has been the success of growth stocks, which far

 

 

  1  


outpaced value stocks. A summary of returns for key equity benchmarks is presented below:

 

Index  

6/30/17 YTD U.S.
Dollar Total Return

(price and dividend)

 

S&P 500®

    9.3

S&P 500 Value

    4.9

S&P 500 Growth

    13.3

S&P MidCap 400®

    6.0

S&P SmallCap 600®

    2.7

FTSE All World ex-US

    14.0

FTSE Emerging Markets  

    14.6

Fixed Income Markets

Bond returns, though a fair bit less than equity returns, are approaching what fixed income portfolios realized for the full year of 2016. The Bloomberg Barclays US Aggregate Bond Index had a year-to-date total return of 2.3 percent at the end of the second quarter, compared to 2.6 percent for the full year of 2016. Though the Fed has increased rates twice so far in the first half of 2017, the effect remains primarily in the short end of the curve. With inflation in check, the long end of the yield curve has shown little momentum for moving higher. As a result, fixed income yields in diversified portfolios, which tend to invest in medium to long securities, have actually fallen.

Within bonds, the corporate credit segment has performed best, driven by better corporate profits and an improving global economy. Within the Bloomberg Barclays US Aggregate Bond Index, Corporates returned 3.8 percent, vs. Treasuries at 1.9 percent. Longer duration bonds outperformed shorter duration bonds, and lower quality bonds outperformed higher quality bonds. For example, BBB corporates returned 4.4 percent, vs. AA rated corporates at 2.6 percent.

The focus for the remainder of 2017 is on actions the Fed may take to slow its purchases of government securities

and the effect this might have on the markets and interest rates. The Federal Open Market Committee emphasized its plan for gradual adjustments.

The Ohio National Fund, Inc.

The Portfolios offered through the Ohio National Fund, Inc. performed well in the first six months of 2017, with 13 of 17 actively managed Portfolios beating their benchmarks. Another five newly formed Portfolios, with four months of history each, performed in line with their benchmarks. The returns of the three index Portfolios, before expenses, were very close to those of their respective indices. We are very pleased with the performance of our fund family.

Looking Ahead

We are optimistic about investor prospects for the remainder of the year. While we do not advocate chasing recent winners, we believe that staying the course in well diversified portfolios will serve investors well over the long term. There are many positive developments, with global growth, in particular, continuing to move in a favorable direction. There are some risks that could grow, including the global political landscape, as well as possible actions of central bankers, which we will carefully monitor.

Thank you for entrusting your assets to the Ohio National Fund, Inc. We look forward to continuing to serve your financial needs.

Sincerely,

 

LOGO

Michael J. DeWeirdt, CFA, FRM

President

 

 

  2  


 

Directors and Officers of Ohio National Fund, Inc.

 

John J. Palmer, Director

Madeleine W. Ludlow, Director

George M. Vredeveld, Director

Geoffrey Keenan, Director

Lawrence L. Grypp, Director

Michael J. DeWeirdt, President

Paul J. Gerard, Vice President

R. Todd Brockman, Treasurer

Kimberly A. Plante, Secretary

Keith Dwyer, Chief Compliance Officer

Emily Bae, Assistant Secretary

Daniel P. Leming, Assistant Treasurer

 

 

The Statement of Additional Information of Ohio National Fund, Inc. (the “Fund”) includes additional information about the Fund’s Board of Directors (the “Board”) and is available at http://www.ohionationalfund.com or upon request, without charge, by calling 877-781-6392 (toll-free).

A description of the policies and procedures that the Fund uses in voting proxies relating to Fund securities, as well as information regarding how the Fund voted proxies during the most recent twelve-month period ended June 30, is available without charge, upon request, by calling 877-781-6392 (toll-free) and on the Securities and Exchange Commission (the “Commission”) website at http://www.sec.gov.

The Fund has filed its Schedules of Investments as of March 31 and September 30 with the Commission, as required, on Form N-Q. Form N-Q is required to be filed with the Commission for the first and third quarters of each fiscal year within sixty days after the end of each period and is available on the Commission website upon acceptance of each submission. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information about the Public Reference Room is available by calling 1-800-SEC-0330 (toll-free).

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus of 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 877-781-6392 (toll-free).

 

  3  


Ohio National Fund, Inc.   Equity Portfolio

 

Objective/Strategy

The Equity Portfolio seeks long-term growth of capital by investing at least 80% of its assets in equity securities.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     19.89%  

Five years

     14.61%  

Ten years

     2.15%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.82% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Equity Portfolio returned 6.73% versus 9.34% for its benchmark, the S&P 500 Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Given our valuation-driven investment process, we believe that good relative and absolute returns come from finding stocks where realized results can exceed expectations. The lack of broad investing opportunities has created a needle-in-the-haystack market, but that is a great opportunity for truly active managers, like us, to prove our worth. We are underweight Information Technology, particularly those included in the “FAANG stock” grouping (Facebook, Inc., Amazon.com, Inc., Apple, Inc., Netflix, Inc., and Alphabet, Inc.), and underweight the also-loved “bond-proxy” stocks in Telecommunication Services and Consumer Staples that have benefitted from record-low interest rates. The narrative in favor of deflation and extrapolation of low rates well into the future is back in full force, after a brief respite, as the election-induced hopes of reflation have melted away. During the middle of the second quarter, when capital really flooded into FAANG stocks and bond proxies, our relative performance suffered, but we were able to recover much of this relative drop later in the quarter. However, we still own some Information Technology stocks where we believe innovation can extend scaling advantages, and where business values remain above rising prices.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Stock selection was the key factor for the Portfolio’s underperformance, but was partially offset by sector allocation effects.

Stock selection in the Health Care, Energy and Information Technology (“IT”) sectors detracted the most from relative performance. The Portfolio’s underweight to the IT sector also detracted from returns. Meanwhile, stock selection in the Real Estate sector contributed to relative performance, as did an underweight to the Telecommunication Services (“Telecom”) sector.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. The Portfolio’s underweight allocation in the Telecom sector contributed strongly to relative performance, as the sector underperformed the broader benchmark. The benchmark benefited from larger weights in Consumer Staples and Information Technology stocks, which delivered stronger performance in the benchmark than in the Portfolio.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Oracle Corp., Realogy Holdings Corp., and PulteGroup, Inc. contributed the most to relative performance.(1)

Shares of Oracle Corp., which provides products and services for the corporate Information Technology ecosystems, continued its rise in the second quarter, as the company has shown progress in successfully managing its cloud transition. The company has shifted business to the cloud at a rate similar to Microsoft, at a similar point in its transition cycle, and at a faster rate than Adobe Systems, Inc., which is perhaps the most successful example of a software provider transitioning to cloud delivery.(1)

Realogy Holdings Corp., the largest residential real estate brokerage company in the country, was a major contributor to performance in the first half. Existing home sales hit their fastest pace on an annualized basis during the spring and the housing market has remained solid since then. Housing strength has buoyed Realogy Holdings Corp., which has moved higher following two consecutive quarters of better than expected results.(1)

Leading homebuilding company PulteGroup, Inc. was a top performing stock on a combination of factors affecting the industry, including broader enthusiasm about the economy, resilient housing data and flat-to-declining Treasury yields. The latter factor may help mortgage rates stabilize, which could buoy new home sales. In addition, pent up demand for housing continues to be a theme, as more millennials enter the work force and save up for a home.(1)

Synchrony Financial, Apache Corp., and Devon Energy Corp. detracted the most from relative performance.(1)

Consumer lender Synchrony Financial underperformed the market during the second quarter after lowering credit guidance and on investor worries about a retail-industry slowdown (Synchrony Financial manages credit cards for department stores and other retail outlets). Synchrony Financial may also have been negatively impacted by the market’s declining expectations of tax reform being implemented this year, as the company would be a major beneficiary of corporate tax cuts and reform.(1)

Apache Corp. shares were a leading detractor, as the price of oil declined about 20% during the period and the company reported weaker than expected earnings results. The market may also be concerned about the oil-gas mix from Apache’s Alpine High field. Apache Corp. has begun drilling deeper in the region first to prove out the field, but deeper regions tend to have a higher gas mix, which the market dislikes.(1)

 

 

  4   (continued)


Ohio National Fund, Inc.   Equity Portfolio (Continued)

 

Devon Energy Corp. traded down in the second quarter on broader commodity price decreases and expectations for larger United States crude inventories for the foreseeable future. The company itself continues to improve operationally, and asset sales have helped reduce leverage, and thus alleviate some of the market’s concerns of financial distress.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.

 

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    98.9  

Closed-End Mutual Funds

    1.0  

Money Market Funds
Less Net Liabilities

    0.1  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets  

  1.     Alphabet, Inc. Class C

    4.6  

  2.     Oracle Corp.

    4.0  

  3.     Wells Fargo & Co.

    3.5  

  4.     Microsoft Corp.

    3.5  

  5.     Synchrony Financial

    3.4  

  6.     Citigroup, Inc.

    3.4  

  7.     Allergan PLC

    3.3  

  8.     Realogy Holdings Corp.

    3.1  

  9.     Amazon.com, Inc.

    3.1  

10.     MetLife, Inc.

    2.8  
 

 

 

(1) Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) Sectors (Common Stocks):

 

     % of Net Assets  

Financials

     18.5  

Consumer Discretionary

     16.8  

Information Technology

     16.4  

Health Care

     16.2  

Industrials

     9.6  

Energy

     7.3  

Utilities

     6.6  

Real Estate

     4.9  

Materials

     1.7  

Consumer Staples

     0.9  
  

 

 

 
     98.9  
  

 

 

 

 

 

  5  


Ohio National Fund, Inc.   Equity Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 98.9%        Shares     Value  
CONSUMER DISCRETIONARY – 16.8%  

Adient PLC (Auto Components)

      141,652     $     9,261,208  

ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.)

  (a)     109,342       4,285,113  

Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure)

  (a)     146,400       7,948,056  

PulteGroup, Inc. (Household Durables)

      442,967       10,865,980  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     18,070       17,491,760  

CBS Corp. Class B (Media)

      104,721       6,679,105  

AutoZone, Inc. (Specialty Retail)

  (a)     18,040       10,291,098  

Lowe’s Cos., Inc. (Specialty Retail)

      135,500       10,505,315  

Signet Jewelers Ltd. (Specialty Retail)

      96,882       6,126,818  

Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods)

      258,416       5,984,915  

Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods)

      77,840       5,744,592  
     

 

 

 
        95,183,960  
     

 

 

 
CONSUMER STAPLES – 0.9%                

Molson Coors Brewing Co. Class B (Beverages)

      60,890       5,257,243  
     

 

 

 
ENERGY – 7.3%                

Apache Corp. (Oil, Gas & Consumable Fuels)

      217,161       10,408,527  

Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels)

      250,910       6,292,823  

CONSOL Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)     422,270       6,308,714  

Devon Energy Corp. (Oil, Gas & Consumable Fuels)

      216,760       6,929,817  

Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels)

      72,047       11,497,260  
     

 

 

 
        41,437,141  
     

 

 

 
FINANCIALS – 18.5%                

Citigroup, Inc. (Banks)

      285,912       19,121,795  

Wells Fargo & Co. (Banks)

      363,220       20,126,020  

Ameriprise Financial, Inc. (Capital Markets)

      69,725       8,875,295  

Intercontinental Exchange, Inc. (Capital Markets)

      189,812       12,512,407  

Synchrony Financial (Consumer Finance)

      649,690       19,373,756  

Hartford Financial Services Group, Inc. / The (Insurance)

      172,080       9,046,246  

MetLife, Inc. (Insurance)

      292,925       16,093,299  
     

 

 

 
        105,148,818  
     

 

 

 
HEALTH CARE – 16.2%                

Alexion Pharmaceuticals, Inc. (Biotechnology)

  (a)     129,001       15,695,552  

Biogen, Inc. (Biotechnology)

  (a)     36,270       9,842,227  

Celgene Corp. (Biotechnology)

  (a)     121,820       15,820,763  

UnitedHealth Group, Inc. (Health Care Providers & Svs.)

      58,244       10,799,603  

Allergan PLC (Pharmaceuticals)

      78,060       18,975,605  

Bristol-Myers Squibb Co. (Pharmaceuticals)

      164,680       9,175,970  

Mylan NV (Pharmaceuticals)

  (a)     296,209       11,498,833  
     

 

 

 
        91,808,553  
     

 

 

 
Common Stocks (Continued)        Shares     Value  
INDUSTRIALS – 9.6%                

TransDigm Group, Inc. (Aerospace & Defense)

      35,220     $ 9,469,601  

C.H. Robinson Worldwide, Inc. (Air Freight & Logistics)

      114,340       7,852,871  

United Continental Holdings, Inc. (Airlines)

  (a)     192,540       14,488,635  

Johnson Controls International PLC (Building Products)

      268,990       11,663,406  

Stericycle, Inc. (Commercial Svs. & Supplies)

  (a)     140,810       10,746,619  
     

 

 

 
        54,221,132  
     

 

 

 
INFORMATION TECHNOLOGY – 16.4%                

Cisco Systems, Inc. (Communications Equip.)

      438,546       13,726,490  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     28,664       26,047,837  

QUALCOMM, Inc. (Semiconductors & Equip.)

      195,160       10,776,735  

Microsoft Corp. (Software)

      288,220       19,867,005  

Oracle Corp. (Software)

      451,559       22,641,168  
     

 

 

 
        93,059,235  
     

 

 

 
MATERIALS – 1.7%                

Royal Gold, Inc. (Metals & Mining)

      119,763       9,361,874  
     

 

 

 
REAL ESTATE – 4.9%                

American Homes 4 Rent (Equity Real Estate Investment Trusts)

      444,490       10,032,139  

Realogy Holdings Corp. (Real Estate Mgmt. & Development)

      546,890       17,746,581  
     

 

 

 
        27,778,720  
     

 

 

 
UTILITIES – 6.6%                

Exelon Corp. (Electric Utilities)

      375,870       13,557,631  

AES Corp. (Ind. Power & Renewable Elec.)

      946,617       10,516,915  

Calpine Corp. (Ind. Power & Renewable Elec.)

  (a)     969,870       13,122,341  
     

 

 

 
        37,196,887  
     

 

 

 

Total Common Stocks (Cost $495,194,676)

      $ 560,453,563  
     

 

 

 
Closed-End Mutual Funds – 1.0%        Shares     Value  

Altaba, Inc.

  (a)     105,506     $ 5,747,967  
     

 

 

 

Total Closed-End Mutual Funds (Cost $3,631,356)

      $ 5,747,967  
     

 

 

 
Money Market Funds – 0.7%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      3,924,509     $ 3,924,509  
     

 

 

 

Total Money Market Funds (Cost $3,924,509)

      $ 3,924,509  
     

 

 

 

Total Investments – 100.6% (Cost $502,750,541)

  (b)     $ 570,126,039  

Liabilities in Excess of Other Assets – (0.6)%

        (3,120,317)  
     

 

 

 

Net Assets – 100.0%

      $ 567,005,722  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  6  


Ohio National Fund, Inc.   Bond Portfolio

 

Objective/Strategy

The Bond Portfolio seeks to obtain a 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.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     2.57%  

Five years

     3.30%  

Ten years

     4.39%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.65% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Bond Portfolio returned 3.69% versus 3.88% for its benchmark, the BofA Merrill Lynch U.S. Corporate Master Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Long-term interest rates declined slightly, while the Federal Reserve increased short term rates, causing the yield curve to flatten. In this environment, longer duration bonds outperformed shorter duration bonds, in general. Corporate credit spreads tightened modestly based on strong demand from domestic and foreign buyers, as well as improving corporate profits. Lower quality bonds outperformed higher quality bonds during the period, as investors continue to pursue higher-yielding assets. From an investment strategy perspective, the Portfolio was positioned with a slightly lower duration and slightly lower credit quality than the benchmark.(1)

While neither of the above factors materially affected the Portfolio’s performance compared to the benchmark, the Portfolio’s shorter duration slightly detracted from performance. Conversely, the Portfolio’s lower credit quality compared to the benchmark slightly added to performance.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio was overweight the Energy sector versus the benchmark and underweight the Consumer Staples and Financials sectors during the period. Other sector weightings, versus the

benchmark, were not significant. In terms of performance attribution, no sector added or detracted from performance by more than 0.20% compared to the benchmark. The Portfolio’s Financials and Telecommunications Services sectors performed the best, while the Portfolio’s Utilities sector performed the worst, versus the benchmark. In each case, security selection within the sector accounted for the majority of the sector performance versus the benchmark, rather than the sector weighting.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. The benchmark does not include cash in its performance calculation, while the Portfolio maintains a cash balance due to inflows and outflows from shareholder participants. Cash benefits the Portfolio’s return relative to the benchmark when returns are negative during a period, and creates a drag on performance, relative to the benchmark, during a period of positive performance. During the period, returns were positive in the Portfolio, so cash was a detractor to performance of the Portfolio, relative to the benchmark. In addition, the benchmark does not have fund expenses in its performance calculation.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three contributors to the Portfolio’s performance relative to the benchmark were Viacom, Inc. 4.850% due 12/15/2034, Williams Partners LP 5.400% due 03/04/2044 and Marathon Petroleum Corp. 4.750% due 09/15/2044. Each of these bonds are longer duration bonds that performed well with the decline in longer term interest rates and experienced spread tightening during the period. The top three detractors to the Portfolio’s performance relative to the benchmark were Noble Holding International Ltd. 7.700% due 04/01/2025, Coach, Inc. 4.125% due 07/15/2027, and Lloyds Banking Group PLC 3.750% due 01/11/2027. Noble Corp PLC and Lloyds Banking Group PLC experienced spread widening during the period they were held in the Portfolio. The decline in Coach Inc. was due to a rise in interest rates during the time it was held in the Portfolio.(1)

Q. Were there any significant changes to the Portfolio’s management team, investments strategy, or selection process during the reporting period?

A. Effective May 1, 2017, Gary Rodmaker of Ohio National Investments, Inc., the adviser to the Portfolio, became the Portfolio’s sole portfolio manager. Previously, Phillip Byrde of Ohio National Investments, Inc. was a co-portfolio manager. There were no significant changes to the investment strategy or security selection process during the reporting period.

 

 

(1) 

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  7   (continued)


Ohio National Fund, Inc.   Bond Portfolio (Continued)

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of all U.S. dollar-denominated, investment grade corporate public debt issued in the U.S. domestic bond market. Qualifying bonds must have an investment grade rating (based on an average of Moody’s, S&P, and Fitch). In addition, qualifying securities must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million.

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Corporate Bonds (4)

    97.3  

Asset-Backed Securities (4)

    0.6  

Money Market Funds and Other Net Assets

    2.1  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets  

  1.     ONEOK, Inc.
6.000%, 06/15/2035

    1.8  

  2.     Enable Midstream Partners LP
4.400%, 03/15/2027

    1.6  

  3.     Suntory Holdings Ltd.
2.550%, 06/28/2022

    1.6  

  4.     Jefferies Group LLC
4.850%, 01/15/2027

    1.1  

  5.     Crown Castle International Corp.
4.000%, 03/01/2027

    1.1  

  6.     Teachers Insurance & Annuity Association of America
4.270%, 05/15/2047

    1.1  

  7.     Westpac Banking Corp.
4.322%, 11/23/2031

    1.1  

  8.     Fifth Third Bancorp
4.500%, 06/01/2018

    1.1  

  9.     Coach, Inc.
4.125%, 07/15/2027

    1.1  

10.     JPMorgan Chase & Co.
3.625%, 12/01/2027

    1.1  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Corporate Bonds, Asset-Backed Securities):

 

     % of Net Assets  

Financials

     23.1  

Energy

     18.0  

Consumer Discretionary

     10.4  

Utilities

     9.2  

Real Estate

     7.7  

Industrials

     7.6  

Information Technology

     6.6  

Consumer Staples

     5.7  

Health Care

     4.7  

Materials

     3.7  

Telecommunication Services

     2.6  
  

 

 

 
     97.9  
  

 

 

 

 

  8  


Ohio National Fund, Inc.   Bond Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds – 97.3%         Rate      Maturity    Face Amount      Value  
CONSUMER DISCRETIONARY – 9.2%                              

Magna International, Inc. (Auto Components)

       3.625%      06/15/2024    $ 1,000,000      $     1,026,854  

General Motors Co. (Automobiles)

       5.000%      04/01/2035      900,000        903,097  

Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure)

       4.150%      04/01/2024      900,000        924,196  

Newell Brands, Inc. (Household Durables)

       3.150%      04/01/2021      900,000        921,303  

Expedia, Inc. (Internet & Direct Marketing Retail)

       5.000%      02/15/2026      1,000,000        1,095,056  

21st Century Fox America, Inc. (Media)

       4.500%      02/15/2021      1,250,000        1,339,386  

Comcast Corp. (Media)

       4.250%      01/15/2033      750,000        800,136  

Discovery Communications, LLC (Media)

       4.375%      06/15/2021      1,000,000        1,055,396  

Discovery Communications, LLC (Media)

       3.300%      05/15/2022      275,000        276,001  

Time Warner Cable, LLC (Media)

       6.550%      05/01/2037      850,000        1,016,059  

Viacom, Inc. (Media)

       4.850%      12/15/2034      1,500,000        1,492,314  

Viacom, Inc. (Media)

       3.450%      10/04/2026      900,000        869,034  

Kohl’s Corp. (Multiline Retail)

       4.000%      11/01/2021      925,000        947,270  

Home Depot, Inc. / The (Specialty Retail)

       2.125%      09/15/2026      800,000        747,967  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

       4.125%      07/15/2027      1,800,000        1,781,896  
             

 

 

 
                15,195,965  
             

 

 

 
CONSUMER STAPLES – 5.7%                              

Anheuser-Busch InBev Finance, Inc. (Beverages)

       4.700%      02/01/2036      900,000        994,277  

Anheuser-Busch InBev Finance, Inc. (Beverages)

       4.900%      02/01/2046      1,000,000        1,130,232  

Suntory Holdings Ltd. (Beverages)

  (a)      2.550%      06/28/2022      2,700,000        2,683,214  

Costco Wholesale Corp. (Food & Staples Retailing)

       3.000%      05/18/2027      900,000        897,681  

Mead Johnson Nutrition Co. (Food Products)

       3.000%      11/15/2020      900,000        923,110  

Imperial Brands Finance PLC (Tobacco)

  (a)      3.750%      07/21/2022      1,400,000        1,457,429  

Philip Morris International, Inc. (Tobacco)

       4.125%      05/17/2021      1,250,000        1,332,266  
             

 

 

 
                9,418,209  
             

 

 

 
ENERGY – 18.0%                              

Halliburton Co. (Energy Equip. & Svs.)

       4.850%      11/15/2035      900,000        963,229  

Noble Holding International Ltd. (Energy Equip. & Svs.)

       5.750%      03/16/2018      900,000        905,454  

Noble Holding International Ltd. (Energy Equip. & Svs.)

       7.700%      04/01/2025      1,000,000        767,500  

Transocean, Inc. (Energy Equip. & Svs.)

  (a)      9.000%      07/15/2023      1,000,000        1,037,500  

BP Capital Markets PLC (Oil, Gas & Consumable Fuels)

       3.017%      01/16/2027      900,000        875,713  

Buckeye Partners LP (Oil, Gas & Consumable Fuels)

       4.875%      02/01/2021      1,000,000        1,058,553  

Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels)

       4.950%      06/01/2047      900,000        914,656  

Chevron Corp. (Oil, Gas & Consumable Fuels)

       2.895%      03/03/2024      900,000        908,292  

Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels)

       4.500%      06/01/2025      900,000        958,122  

Enable Midstream Partners LP (Oil, Gas & Consumable Fuels)

       4.400%      03/15/2027      2,700,000        2,709,998  

Exxon Mobil Corp. (Oil, Gas & Consumable Fuels)

       4.114%      03/01/2046      900,000        950,829  

Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels)

       4.150%      03/01/2022      1,000,000        1,041,754  

Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels)

       5.300%      12/01/2034      1,000,000        1,030,664  

Marathon Oil Corp. (Oil, Gas & Consumable Fuels)

       3.850%      06/01/2025      850,000        829,772  

Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels)

       4.750%      09/15/2044      1,000,000        951,297  

Murphy Oil Corp. (Oil, Gas & Consumable Fuels)

       4.700%      12/01/2022      1,400,000        1,351,700  

ONEOK, Inc. (Oil, Gas & Consumable Fuels)

       6.000%      06/15/2035      2,690,000        2,895,247  

Phillips 66 (Oil, Gas & Consumable Fuels)

  (a)(b)      QL + 75      04/15/2020      900,000        901,810  

Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels)

       2.850%      01/31/2023      1,000,000        969,988  

Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels)

       4.650%      10/15/2025      900,000        922,573  

Shell International Finance BV (Oil, Gas & Consumable Fuels)

       4.000%      05/10/2046      900,000        890,482  

Southwestern Energy Co. (Oil, Gas & Consumable Fuels)

       5.800%      01/23/2020      900,000        922,050  

Spectra Energy Capital, LLC (Oil, Gas & Consumable Fuels)

       3.300%      03/15/2023      1,425,000        1,430,154  

TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels)

       2.500%      08/01/2022      1,425,000        1,423,071  

Williams Partners LP (Oil, Gas & Consumable Fuels)

       3.750%      06/15/2027      1,000,000        989,932  

Williams Partners LP (Oil, Gas & Consumable Fuels)

       5.400%      03/04/2044      1,000,000        1,057,534  
             

 

 

 
                29,657,874  
             

 

 

 
FINANCIALS – 23.1%                              

Bank of America Corp. (Banks)

       3.875%      08/01/2025      850,000        879,415  

Bank of America Corp. (Banks)

  (b)      4.244%      04/24/2038      1,000,000        1,041,089  

Branch Banking & Trust Co. (Banks)

       3.625%      09/16/2025      1,180,000        1,227,383  

Citigroup, Inc. (Banks)

       4.400%      06/10/2025      900,000        937,234  

Citigroup, Inc. (Banks)

       3.700%      01/12/2026      1,000,000        1,011,488  

Fifth Third Bancorp (Banks)

       4.500%      06/01/2018      1,750,000        1,791,667  

JPMorgan Chase & Co. (Banks)

       3.625%      12/01/2027      1,800,000        1,781,775  

SunTrust Banks, Inc. (Banks)

       2.500%      05/01/2019      1,400,000        1,413,181  

Wells Fargo & Co. (Banks)

       3.000%      04/22/2026      900,000        879,078  

Wells Fargo & Co. (Banks)

       4.650%      11/04/2044      1,000,000        1,051,755  

Westpac Banking Corp. (Banks)

  (b)      4.322%      11/23/2031      1,800,000        1,845,061  

E*TRADE Financial Corp. (Capital Markets)

       4.625%      09/15/2023      900,000        936,000  

Goldman Sachs Group, Inc. / The (Capital Markets)

       3.750%      05/22/2025      1,400,000        1,433,713  

 

  9   (continued)


Ohio National Fund, Inc.   Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds(Continued)         Rate      Maturity    Face Amount      Value  
FINANCIALS (continued)                              

Intercontinental Exchange, Inc. (Capital Markets)

       2.750%      12/01/2020    $ 900,000      $ 916,761  

Intercontinental Exchange, Inc. (Capital Markets)

       3.750%      12/01/2025      1,000,000        1,046,220  

Morgan Stanley (Capital Markets)

       3.750%      02/25/2023      1,250,000        1,299,744  

Morgan Stanley (Capital Markets)

       3.950%      04/23/2027      1,000,000        1,006,393  

Nasdaq, Inc. (Capital Markets)

       3.850%      06/30/2026      900,000        913,283  

Northern Trust Corp. (Capital Markets)

       3.450%      11/04/2020      1,000,000        1,042,304  

Capital One Financial Corp. (Consumer Finance)

       2.450%      04/24/2019      925,000        929,979  

Ford Motor Credit Co., LLC (Consumer Finance)

       3.157%      08/04/2020      1,400,000        1,426,590  

General Motors Financial Co., Inc. (Consumer Finance)

       3.200%      07/06/2021      900,000        910,032  

General Motors Financial Co., Inc. (Consumer Finance)

       4.350%      01/17/2027      1,000,000        1,012,411  

Synchrony Financial (Consumer Finance)

       4.250%      08/15/2024      900,000        919,338  

Berkshire Hathaway, Inc. (Diversified Financial Svs.)

       3.125%      03/15/2026      900,000        910,214  

Jefferies Group LLC (Diversified Financial Svs.)

       4.850%      01/15/2027      1,800,000        1,880,327  

Aflac, Inc. (Insurance)

       3.625%      06/15/2023      1,425,000        1,497,507  

Allstate Corp. / The (Insurance)

       5.200%      01/15/2042      500,000        555,734  

American International Group, Inc. (Insurance)

       3.875%      01/15/2035      1,400,000        1,358,581  

Marsh & McLennan Cos., Inc. (Insurance)

       3.500%      06/03/2024      1,400,000        1,444,514  

Progressive Corp. / The (Insurance)

       2.450%      01/15/2027      900,000        853,544  

Teachers Insurance & Annuity Association of America (Insurance)

  (a)      4.270%      05/15/2047      1,800,000        1,845,412  
             

 

 

 
                  37,997,727  
             

 

 

 
HEALTH CARE – 4.7%                              

AbbVie, Inc. (Biotechnology)

       2.900%      11/06/2022      1,425,000        1,438,227  

Amgen, Inc. (Biotechnology)

       4.100%      06/15/2021      1,000,000        1,060,571  

Baxalta, Inc. (Biotechnology)

       4.000%      06/23/2025      1,400,000        1,460,347  

Celgene Corp. (Biotechnology)

       3.875%      08/15/2025      1,350,000        1,410,001  

Laboratory Corp. of America Holdings (Health Care Providers & Svs.)

       3.750%      08/23/2022      425,000        441,606  

Quest Diagnostics, Inc. (Health Care Providers & Svs.)

       2.700%      04/01/2019      1,000,000        1,011,732  

Pfizer, Inc. (Pharmaceuticals)

       3.000%      12/15/2026      900,000        902,609  
             

 

 

 
                7,725,093  
             

 

 

 
INDUSTRIALS – 7.0%                              

BAE Systems Holdings, Inc. (Aerospace & Defense)

  (a)      6.375%      06/01/2019      750,000        807,739  

Lockheed Martin Corp. (Aerospace & Defense)

       3.350%      09/15/2021      1,000,000        1,040,101  

Lockheed Martin Corp. (Aerospace & Defense)

       3.600%      03/01/2035      1,000,000        987,813  

Raytheon Co. (Aerospace & Defense)

       4.400%      02/15/2020      1,250,000        1,329,084  

FedEx Corp. (Air Freight & Logistics)

       4.900%      01/15/2034      1,425,000        1,587,781  

Illinois Tool Works, Inc. (Machinery)

       3.375%      09/15/2021      500,000        520,184  

Parker-Hannifin Corp. (Machinery)

       4.200%      11/21/2034      1,400,000        1,491,231  

Burlington Northern Santa Fe, LLC (Road & Rail)

       4.550%      09/01/2044      900,000        999,020  

Norfolk Southern Corp. (Road & Rail)

       3.000%      04/01/2022      600,000        613,303  

Union Pacific Corp. (Road & Rail)

       3.250%      08/15/2025      1,000,000        1,027,883  

Aircastle Ltd. (Trading Companies & Distributors)

       4.125%      05/01/2024      1,000,000        1,016,250  
             

 

 

 
                11,420,389  
             

 

 

 
INFORMATION TECHNOLOGY – 6.6%                              

Dell International, LLC / EMC Corp. (Computers & Peripherals)

  (a)      5.450%      06/15/2023      900,000        976,531  

Intel Corp. (Semiconductors & Equip.)

       4.000%      12/15/2032      1,500,000        1,582,831  

KLA-Tencor Corp. (Semiconductors & Equip.)

       3.375%      11/01/2019      900,000        925,395  

Microsoft Corp. (Software)

       4.450%      11/03/2045      900,000        1,002,867  

Microsoft Corp. (Software)

       4.100%      02/06/2037      900,000        970,558  

Oracle Corp. (Software)

       4.300%      07/08/2034      1,500,000        1,629,237  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

       2.500%      02/09/2025      1,000,000        978,124  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

       3.350%      02/09/2027      900,000        921,531  

Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.)

       4.900%      10/15/2025      850,000        891,216  

Seagate HDD Cayman (Tech. Hardware, Storage & Periph.)

  (a)      4.875%      03/01/2024      900,000        915,377  
             

 

 

 
                10,793,667  
             

 

 

 
MATERIALS – 3.7%                              

Airgas, Inc. (Chemicals)

       3.050%      08/01/2020      900,000        922,194  

CF Industries, Inc. (Chemicals)

  (a)      3.400%      12/01/2021      900,000        909,841  

Dow Chemical Co. / The (Chemicals)

       4.250%      10/01/2034      1,400,000        1,445,317  

FMC Corp. (Chemicals)

       3.950%      02/01/2022      1,000,000        1,037,089  

Packaging Corp. of America (Containers & Packaging)

       4.500%      11/01/2023      675,000        724,159  

Anglo American Capital PLC (Metals & Mining)

  (a)      3.750%      04/10/2022      1,000,000        1,005,000  
             

 

 

 
                6,043,600  
             

 

 

 

 

  10   (continued)


Ohio National Fund, Inc.   Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity    Face Amount      Value  
REAL ESTATE – 7.7%                              

Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts)

       3.950%      01/15/2028    $ 900,000      $ 915,296  

Boston Properties LP (Equity Real Estate Investment Trusts)

       3.125%      09/01/2023      925,000        936,324  

Camden Property Trust (Equity Real Estate Investment Trusts)

       4.250%      01/15/2024      900,000        942,852  

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

       4.000%      03/01/2027      1,800,000        1,852,900  

Federal Realty Investment Trust (Equity Real Estate Investment Trusts)

       3.000%      08/01/2022      1,425,000        1,435,354  

HCP, Inc. (Equity Real Estate Investment Trusts)

       4.000%      06/01/2025      1,500,000        1,536,657  

Healthcare Realty Trust, Inc. (Equity Real Estate Investment Trusts)

       3.875%      05/01/2025      1,400,000        1,411,295  

Hospitality Properties Trust (Equity Real Estate Investment Trusts)

       4.250%      02/15/2021      1,000,000        1,042,657  

Simon Property Group LP (Equity Real Estate Investment Trusts)

       3.750%      02/01/2024      1,475,000        1,535,779  

Welltower, Inc. (Equity Real Estate Investment Trusts)

       4.250%      04/01/2026      1,000,000        1,045,793  
             

 

 

 
                12,654,907  
             

 

 

 
TELECOMMUNICATION SERVICES – 2.6%                              

AT&T, Inc. (Diversified Telecom. Svs.)

       3.400%      05/15/2025      900,000        884,861  

AT&T, Inc. (Diversified Telecom. Svs.)

       4.125%      02/17/2026      1,000,000        1,025,365  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

       4.600%      04/01/2021      1,250,000        1,340,424  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

       3.850%      11/01/2042      425,000        371,061  

Rogers Communications, Inc. (Wireless Telecom. Svs.)

       3.000%      03/15/2023      700,000        704,107  
             

 

 

 
                4,325,818  
             

 

 

 
UTILITIES – 9.0%                              

AEP Transmission Co., LLC (Electric Utilities)

       4.000%      12/01/2046      900,000        931,217  

Appalachian Power Co. (Electric Utilities)

       4.600%      03/30/2021      1,000,000        1,073,748  

Commonwealth Edison Co. (Electric Utilities)

       4.350%      11/15/2045      900,000        971,499  

DTE Electric Co. (Electric Utilities)

       3.375%      03/01/2025      1,000,000        1,032,477  

Duke Energy Corp. (Electric Utilities)

       3.750%      09/01/2046      900,000        856,285  

Duke Energy Florida, LLC (Electric Utilities)

       4.550%      04/01/2020      500,000        533,219  

ITC Holdings Corp. (Electric Utilities)

       3.650%      06/15/2024      500,000        508,989  

LG&E & KU Energy, LLC (Electric Utilities)

       4.375%      10/01/2021      1,000,000        1,062,889  

NextEra Energy Capital Holdings, Inc. (Electric Utilities)

       1.649%      09/01/2018      900,000        897,302  

South Carolina Electric & Gas Co. (Electric Utilities)

       4.350%      02/01/2042      1,000,000        1,008,671  

Xcel Energy, Inc. (Electric Utilities)

       4.700%      05/15/2020      1,000,000        1,058,545  

Southern Co. Gas Capital Corp. (Gas Utilities)

       5.250%      08/15/2019      1,000,000        1,060,022  

Southwest Gas Corp. (Gas Utilities)

       3.875%      04/01/2022      1,250,000        1,291,019  

Avista Corp. (Multi-Utilities)

       5.950%      06/01/2018      1,000,000        1,037,931  

American Water Capital Corp. (Water Utilities)

       4.300%      12/01/2042      1,400,000        1,513,486  
             

 

 

 
                14,837,299  
             

 

 

 

Total Corporate Bonds (Cost $155,562,857)

              $ 160,070,548  
             

 

 

 
Asset-Backed Securities – 0.6%         Rate      Maturity    Face Amount      Value  
INDUSTRIALS – 0.6%                              

American Airlines 2015-1 Class B Pass Through Trust (Airlines)

       3.700%      05/01/2023    $ 939,838      $ 930,439  
             

 

 

 

Total Asset-Backed Securities (Cost $938,775)

              $ 930,439  
             

 

 

 
Money Market Funds – 1.2%                       Shares      Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

             1,912,862      $ 1,912,862  
             

 

 

 

Total Money Market Funds (Cost $1,912,862)

              $ 1,912,862  
             

 

 

 

Total Investments – 99.1% (Cost $158,414,494)

  (c)             $ 162,913,849  

Other Assets in Excess of Liabilities – 0.9%

                1,533,456  
             

 

 

 

Net Assets – 100.0%

              $ 164,447,305  
             

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $12,539,853, or 7.6% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (b) Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at June 30, 2017.

 

  (c) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

 

The accompanying notes are an integral part of these financial statements.

 

  11  


Ohio National Fund, Inc.   Omni Portfolio

 

Objective/Strategy

The Omni Portfolio seeks a high level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     17.99%  

Five years

     14.33%  

Ten years

     7.32%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.80% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser/Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Omni Portfolio returned 9.36% versus 7.68% for its benchmark, which is comprised of 70% S&P 500 Index and 30% BofA Merrill Lynch U.S. Corporate Master Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. At the half-way point of the year, the economy continues to churn ahead; perhaps, not at the speed our President desires, or promised, but at least in a positive direction. As the economy moves along steadily, under the watchful eye of the Federal Reserve, the market anticipated the progress of the federal government in implementing some of the broader promises leading up to the election.

Health care affects a large portion of the economy. At this point, major changes do not appear to be expected. If there is no new health care plan and subsequent major tax overhaul, there is a significant chance the market will react negatively. While one could argue that tax cut expectations have been reduced, there is clearly the hope that some major changes occur, even if it is a tax holiday to repatriate overseas earnings.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio’s outperformance was due principally to stock selection in Consumer Discretionary and Information Technology, as well as an underweight in Energy. In addition, the Portfolio’s asset allocation to stocks was slightly higher than the benchmark, which

added to performance. Detractors from relative return were led by stock selection in Consumer Staples and Financials.(1)

The fixed income portion of the Portfolio slightly underperformed the fixed income portion of the benchmark. Lower quality bonds outperformed higher quality bonds during the period, as investors continue to reach for yield. The Portfolio’s U.S. Treasury Obligations detracted from relative performance, as bond spreads tightened during the period.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. The benchmark does not include cash in its performance calculation, while the portfolio maintains a cash balance due to inflows and outflows from shareholder participants. Cash benefits the Portfolio’s return relative to the benchmark when returns are negative during a period, and creates a drag on performance, relative to the benchmark during a period of positive performance. During the period, returns were positive in the Portfolio, so cash was a detractor to performance of the Portfolio, relative to the benchmark. In addition, the benchmark does not have mutual fund expenses in its performance calculation.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Among the Portfolio’s Information Technology holdings, DXC Technology Co. generated 71 basis points of relative contribution during the six-month period and was able to beat analyst earnings estimates on stronger margins and continued progress towards its merger synergies with Hewlett Packard Enterprise Co. Delphi Automotive Plc contributed 56 basis points on positive earnings results and the spinoff of its powertrain division. Alnylam Pharmaceuticals, Inc. added 50 basis points, benefitting from a competitor’s release that helped confirm the efficacy of the Alnylam Pharmaceuticals’ drug for familial amyloidotic polyneuropathy (FAP).(1)

The key detractor was IMAX Corp., which detracted 55 basis points of relative contribution during the six-month period while struggling from a slew of negative revisions, as the outlook for the summer movie slate worsened. We finally exited the position when it appeared that China was getting closer to saturation of IMAX theatres sooner than expected, and the revenue per theatre might be secularly challenged. Devon Energy Corp. cost the Portfolio 38 basis points, as it continued to contend with the consistently deteriorating outlook for oil prices. Even as the Organization of the Petroleum Exporting Countries (“OPEC”) struggles to maintain a cap on its own production levels, United States production has managed to stay resilient, pushing oil prices lower even as company specific results continue to trend positively. AECOM, which detracted 22 basis points, was expected to be a major beneficiary of a bipartisan infrastructure spending bill, but so far it seems expectations for any explicit plan to be released and implemented keep getting delayed.(1)

On the fixed income portion of the Portfolio, longer duration bonds performed the best. Specifically, Williams Partners LP 5.400% due 03/04/2044, Time Warner Cable, LLC 6.550% due 05/01/2037 and Microsoft Corp. 4.100% due 02/06/2037 contributed to relative performance. Each of these bonds are longer duration bonds that performed well with the decline in longer term interest rates and experienced spread tightening during the period. The largest detractors from performance were Coach, Inc. 4.125% due 07/15/2027, Lloyds Banking Group PLC 3.750% due 01/11/2027, and

 

 

  12   (continued)


Ohio National Fund, Inc.   Omni Portfolio (Continued)

 

AEP Transmission Co., LLC 4.000% due 12/01/2046. Lloyds Banking Group PLC and A&P Transmission Co. experienced spread widening during the time held in the Portfolio. The decline in Coach was due to a rise in interest rates during the time it was held in the Portfolio.(1)

Q. Were there any significant changes to the Portfolio’s management team, investments strategy, or selection process during the reporting period?

A. Effective May 1, 2017, Gary Rodmaker of Ohio National Investments, Inc., the adviser to the Portfolio, became the Portfolio’s portfolio manager of the fixed income portion of the Portfolio. Previously, Phillip Byrde of Ohio National Investments, Inc. was the portfolio manager of the fixed income portion. There were no significant changes to the investment strategy or security selection process during the reporting period.

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic market through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.

The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of all U.S. dollar-denominated, investment grade corporate public debt issued in the U.S. domestic bond market. Qualifying bonds must have an investment grade rating (based on an average of Moody’s, S&P, and Fitch). In addition, qualifying securities must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million.

 

 

  13   (continued)


Ohio National Fund, Inc.   Omni Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    77.1  

Corporate Bonds (4)

    20.0  

Asset-Backed Securities (4)

    0.1  

U.S. Treasury Obligations

    1.8  

Money Market Funds and
Other Net Assets

    1.0  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     Apple, Inc.

     2.8  

  2.     Amazon.com, Inc.

     2.5  

  3.     Alphabet, Inc. Class C

     2.3  

  4.     Facebook, Inc. Class A

     2.1  

  5.     Citigroup, Inc.

     2.0  

  6.     JPMorgan Chase & Co.

     2.0  

  7.     Bank of America Corp.

     2.0  

  8.     Goldman Sachs Group, Inc. / The

     1.9  

  9.     Microsoft Corp.

     1.9  

10.     Humana, Inc.

     1.6  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks, Corporate Bonds, Asset-Backed Securities):

 

     % of Net Assets  

Information Technology

     25.1  

Consumer Discretionary

     16.9  

Financials

     15.8  

Industrials

     12.3  

Health Care

     11.1  

Energy

     5.1  

Consumer Staples

     4.2  

Materials

     2.2  

Telecommunication Services

     1.6  

Utilities

     1.5  

Real Estate

     1.4  
  

 

 

 
     97.2  
  

 

 

 

 

  14  


Ohio National Fund, Inc.   Omni Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 77.1%        Shares     Value  
CONSUMER DISCRETIONARY – 14.7%                

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      6,267     $      959,854  

MGM Resorts International (Hotels, Restaurants & Leisure)

      27,462       859,286  

Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)

      4,239       463,026  

D.R. Horton, Inc. (Household Durables)

      28,324       979,161  

Newell Brands, Inc. (Household Durables)

      17,101       916,956  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     1,620       1,568,160  

CBS Corp. Class B (Media)

      14,830       945,857  

Time Warner, Inc. (Media)

      4,896       491,607  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

      20,552       972,932  

PVH Corp. (Textiles, Apparel & Luxury Goods)

      8,526       976,227  
     

 

 

 
        9,133,066  
     

 

 

 
CONSUMER STAPLES – 2.9%                

Kraft Heinz Co. / The (Food Products)

      10,160       870,102  

Philip Morris International, Inc. (Tobacco)

      7,964       935,372  
     

 

 

 
        1,805,474  
     

 

 

 
ENERGY – 1.5%                

Devon Energy Corp. (Oil, Gas & Consumable Fuels)

      13,163       420,821  

Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels)

      3,202       510,975  
     

 

 

 
        931,796  
     

 

 

 
FINANCIALS – 10.2%                

Bank of America Corp. (Banks)

      51,211       1,242,379  

Citigroup, Inc. (Banks)

      18,958       1,267,911  

JPMorgan Chase & Co. (Banks)

      13,780       1,259,492  

KeyCorp (Banks)

      51,500       965,110  

Goldman Sachs Group, Inc. / The (Capital Markets)

      5,309       1,178,067  

Morgan Stanley (Capital Markets)

      10,547       469,974  
     

 

 

 
        6,382,933  
     

 

 

 
HEALTH CARE – 10.3%                

Alnylam Pharmaceuticals, Inc. (Biotechnology)

  (a)     8,272       659,775  

Celgene Corp. (Biotechnology)

  (a)     3,711       481,948  

Medtronic PLC (Health Care Equip. & Supplies)

      4,845       429,994  

Envision Healthcare Corp. (Health Care Providers & Svs.)

  (a)     14,340       898,688  

Humana, Inc. (Health Care Providers & Svs.)

      4,081       981,970  

UnitedHealth Group, Inc. (Health Care Providers & Svs.)

      3,109       576,471  

Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.)

      5,503       960,108  

Aerie Pharmaceuticals, Inc. (Pharmaceuticals)

  (a)     8,928       469,166  

AstraZeneca PLC – ADR (Pharmaceuticals)

      27,664       943,066  
     

 

 

 
        6,401,186  
     

 

 

 
INDUSTRIALS – 11.3%                

Raytheon Co. (Aerospace & Defense)

      6,063       979,053  

FedEx Corp. (Air Freight & Logistics)

      4,507       979,506  

Delta Air Lines, Inc. (Airlines)

      18,062       970,652  

AECOM (Construction & Engineering)

  (a)     27,310       882,932  

Snap-on, Inc. (Machinery)

      5,090       804,220  

Wabtec Corp. (Machinery)

      6,911       632,357  

Xylem, Inc. (Machinery)

      15,984       885,993  

Union Pacific Corp. (Road & Rail)

      8,458       921,161  
     

 

 

 
        7,055,874  
     

 

 

 
INFORMATION TECHNOLOGY – 23.5%                

Trimble, Inc. (Electronic Equip., Instr. & Comp.)

  (a)     26,783       955,350  

CommScope Holding Co., Inc. (Communications Equip.)

  (a)     25,313       962,653  

Alibaba Group Holding Ltd. – ADR (Internet Software & Svs.)

  (a)     3,366       474,269  

Alphabet, Inc. Class A (Internet Software & Svs.)

  (a)     256       237,998  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     1,549       1,407,623  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     8,495       1,282,575  

DXC Technology Co. (IT Svs.)

      12,428       953,476  

ASML Holding NV (Semiconductors & Equip.)

      7,127       928,719  

Broadcom Ltd. (Semiconductors & Equip.)

      3,981       927,772  

Cavium, Inc. (Semiconductors & Equip.)

  (a)     11,954       742,702  

Marvell Technology Group Ltd. (Semiconductors & Equip.)

      54,819       905,610  

Adobe Systems, Inc. (Software)

  (a)     6,700       947,648  

Microsoft Corp. (Software)

      17,090       1,178,014  

 

  15   (continued)


Ohio National Fund, Inc.   Omni Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
INFORMATION TECHNOLOGY (continued)                

Oracle Corp. (Software)

      18,936     $ 949,451  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      12,338       1,776,919  
     

 

 

 
        14,630,779  
     

 

 

 
MATERIALS – 1.5%                

Dow Chemical Co. / The (Chemicals)

      15,272       963,205  
     

 

 

 
TELECOMMUNICATION SERVICES – 1.2%                

T-Mobile U.S., Inc. (Wireless Telecom. Svs.)

  (a)     12,840       778,361  
     

 

 

 

Total Common Stocks (Cost $42,684,496)

      $ 48,082,674  
     

 

 

 

 

Corporate Bonds – 20.0%         Rate      Maturity    Face Amount      Value  
CONSUMER DISCRETIONARY – 2.2%                              

General Motors Co. (Automobiles)

       5.000%      04/01/2035    $ 100,000      $      100,344  

Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure)

       4.150%      04/01/2024      100,000        102,688  

Newell Brands, Inc. (Household Durables)

       3.150%      04/01/2021      100,000        102,367  

21st Century Fox America, Inc. (Media)

       4.500%      02/15/2021      100,000        107,151  

Comcast Corp. (Media)

       5.875%      02/15/2018      75,000        76,971  

Discovery Communications, LLC (Media)

       3.300%      05/15/2022      75,000        75,273  

Time Warner Cable, LLC (Media)

       6.550%      05/01/2037      150,000        179,304  

Viacom, Inc. (Media)

       4.250%      09/01/2023      75,000        78,284  

Viacom, Inc. (Media)

       3.450%      10/04/2026      100,000        96,559  

Kohl’s Corp. (Multiline Retail)

       4.000%      11/01/2021      75,000        76,806  

Home Depot, Inc. / The (Specialty Retail)

       2.125%      09/15/2026      200,000        186,992  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

       4.125%      07/15/2027      200,000        197,988  
             

 

 

 
                  1,380,727  
             

 

 

 

CONSUMER STAPLES – 1.3%

             

Anheuser-Busch InBev Finance, Inc. (Beverages)

       4.700%      02/01/2036      100,000        110,475  

Suntory Holdings Ltd. (Beverages)

  (b)      2.550%      06/28/2022      300,000        298,135  

Costco Wholesale Corp. (Food & Staples Retailing)

       3.000%      05/18/2027      100,000        99,742  

Mead Johnson Nutrition Co. (Food Products)

       3.000%      11/15/2020      100,000        102,568  

Imperial Brands Finance PLC (Tobacco)

  (b)      3.750%      07/21/2022      100,000        104,102  

Philip Morris International, Inc. (Tobacco)

       3.375%      08/11/2025      100,000        102,453  
             

 

 

 
                817,475  
             

 

 

 

ENERGY – 3.6%

             

Halliburton Co. (Energy Equip. & Svs.)

       4.850%      11/15/2035      100,000        107,026  

Noble Holding International Ltd. (Energy Equip. & Svs.)

       5.750%      03/16/2018      100,000        100,606  

BP Capital Markets PLC (Oil, Gas & Consumable Fuels)

       3.017%      01/16/2027      100,000        97,301  

Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels)

       4.950%      06/01/2047      100,000        101,628  

Chevron Corp. (Oil, Gas & Consumable Fuels)

       2.895%      03/03/2024      100,000        100,921  

Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels)

       4.500%      06/01/2025      100,000        106,458  

Enable Midstream Partners LP (Oil, Gas & Consumable Fuels)

       4.400%      03/15/2027      300,000        301,111  

EOG Resources, Inc. (Oil, Gas & Consumable Fuels)

       3.150%      04/01/2025      100,000        98,353  

Exxon Mobil Corp. (Oil, Gas & Consumable Fuels)

       4.114%      03/01/2046      100,000        105,648  

Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels)

       4.150%      03/01/2022      75,000        78,132  

Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels)

       6.400%      07/15/2018      150,000        156,710  

Marathon Oil Corp. (Oil, Gas & Consumable Fuels)

       3.850%      06/01/2025      150,000        146,430  

Murphy Oil Corp. (Oil, Gas & Consumable Fuels)

       4.700%      12/01/2022      100,000        96,550  

Phillips 66 (Oil, Gas & Consumable Fuels)

  (b)(c)      QL + 75      04/15/2020      100,000        100,201  

Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels)

       4.650%      10/15/2025      100,000        102,508  

Shell International Finance BV (Oil, Gas & Consumable Fuels)

       4.000%      05/10/2046      100,000        98,942  

Southwestern Energy Co. (Oil, Gas & Consumable Fuels)

       5.800%      01/23/2020      100,000        102,450  

Spectra Energy Capital LLC (Oil, Gas & Consumable Fuels)

       3.300%      03/15/2023      75,000        75,271  

TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels)

       2.500%      08/01/2022      75,000        74,898  

Williams Partners LP (Oil, Gas & Consumable Fuels)

       5.400%      03/04/2044      100,000        105,753  
             

 

 

 
                2,256,897  
             

 

 

 

FINANCIALS – 5.6%

             

Bank of America Corp. (Banks)

       3.875%      08/01/2025      150,000        155,191  

Branch Banking & Trust Co. (Banks)

       3.625%      09/16/2025      100,000        104,016  

Citigroup, Inc. (Banks)

       4.400%      06/10/2025      100,000        104,137  

Comerica, Inc. (Banks)

       3.800%      07/22/2026      100,000        101,134  

JPMorgan Chase & Co. (Banks)

       3.250%      09/23/2022      100,000        102,470  

JPMorgan Chase & Co. (Banks)

       3.625%      12/01/2027      200,000        197,975  

KeyBank NA (Banks)

       5.700%      11/01/2017      150,000        151,935  

SunTrust Banks, Inc. (Banks)

       2.500%      05/01/2019      100,000        100,942  

Wells Fargo & Co. (Banks)

       3.000%      04/22/2026      100,000        97,675  

 

  16   (continued)


Ohio National Fund, Inc.   Omni Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds(Continued)         Rate      Maturity    Face Amount      Value  
CONSUMER DISCRETIONARY (continued)                              

Wells Fargo & Co. (Banks)

       3.500%      03/08/2022    $ 75,000      $ 77,906  

Westpac Banking Corp. (Banks)

  (c)      4.322%      11/23/2031      200,000        205,007  

E*TRADE Financial Corp. (Capital Markets)

       4.625%      09/15/2023      100,000        104,000  

Goldman Sachs Group, Inc. / The (Capital Markets)

       3.750%      05/22/2025      100,000        102,408  

Intercontinental Exchange, Inc. (Capital Markets)

       2.750%      12/01/2020      100,000        101,862  

Mellon Funding Corp. (Capital Markets)

       5.500%      11/15/2018      100,000        104,899  

Morgan Stanley (Capital Markets)

       3.750%      02/25/2023      75,000        77,985  

Morgan Stanley (Capital Markets)

       3.950%      04/23/2027      100,000        100,639  

Nasdaq, Inc. (Capital Markets)

       3.850%      06/30/2026      100,000        101,476  

Northern Trust Corp. (Capital Markets)

       3.950%      10/30/2025      75,000        79,408  

Capital One Financial Corp. (Consumer Finance)

       2.450%      04/24/2019      75,000        75,404  

Ford Motor Credit Co., LLC (Consumer Finance)

       3.157%      08/04/2020      100,000        101,899  

General Motors Financial Co., Inc. (Consumer Finance)

       3.200%      07/06/2021      100,000        101,115  

Synchrony Financial (Consumer Finance)

       4.250%      08/15/2024      100,000        102,149  

Berkshire Hathaway, Inc. (Diversified Financial Svs.)

       3.125%      03/15/2026      100,000        101,135  

Jefferies Group, LLC (Diversified Financial Svs.)

       4.850%      01/15/2027      200,000        208,925  

Aflac, Inc. (Insurance)

       3.625%      06/15/2023      75,000        78,816  

American International Group, Inc. (Insurance)

       3.875%      01/15/2035      100,000        97,042  

Marsh & McLennan Cos., Inc. (Insurance)

       3.500%      06/03/2024      100,000        103,180  

Progressive Corp. / The (Insurance)

       2.450%      01/15/2027      100,000        94,838  

Teachers Insurance & Annuity Association of America (Insurance)

  (b)      4.270%      05/15/2047      200,000        205,046  
             

 

 

 
                3,440,614  
             

 

 

 

HEALTH CARE – 0.8%

             

AbbVie, Inc. (Biotechnology)

       2.900%      11/06/2022      75,000        75,696  

Baxalta, Inc. (Biotechnology)

       4.000%      06/23/2025      100,000        104,311  

Celgene Corp. (Biotechnology)

       3.875%      08/15/2025      150,000        156,667  

Laboratory Corp. of America Holdings (Health Care Providers & Svs.)

       3.750%      08/23/2022      75,000        77,931  

Pfizer, Inc. (Pharmaceuticals)

       3.000%      12/15/2026      100,000        100,290  
             

 

 

 
                514,895  
             

 

 

 

INDUSTRIALS – 0.9%

             

Lockheed Martin Corp. (Aerospace & Defense)

       3.600%      03/01/2035      100,000        98,781  

FedEx Corp. (Air Freight & Logistics)

       4.900%      01/15/2034      75,000        83,567  

Parker-Hannifin Corp. (Machinery)

       4.200%      11/21/2034      100,000        106,517  

Burlington Northern Santa Fe, LLC (Road & Rail)

       4.550%      09/01/2044      100,000        111,002  

Norfolk Southern Corp. (Road & Rail)

       3.000%      04/01/2022      75,000        76,663  

Union Pacific Corp. (Road & Rail)

       3.250%      08/15/2025      100,000        102,788  
             

 

 

 
                579,318  
             

 

 

 

INFORMATION TECHNOLOGY – 1.6%

             

Dell International, LLC / EMC Corp. (Computers & Peripherals)

  (b)      5.450%      06/15/2023      100,000        108,503  

KLA-Tencor Corp. (Semiconductors & Equip.)

       3.375%      11/01/2019      100,000        102,822  

Microsoft Corp. (Software)

       4.450%      11/03/2045      100,000        111,430  

Microsoft Corp. (Software)

       4.100%      02/06/2037      100,000        107,840  

Oracle Corp. (Software)

       4.300%      07/08/2034      100,000        108,616  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

       2.500%      02/09/2025      100,000        97,812  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

       3.350%      02/09/2027      100,000        102,392  

Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.)

       4.900%      10/15/2025      150,000        157,274  

Seagate HDD Cayman (Tech. Hardware, Storage & Periph.)

  (b)      4.875%      03/01/2024      100,000        101,709  
             

 

 

 
                998,398  
             

 

 

 

MATERIALS – 0.7%

             

Airgas, Inc. (Chemicals)

       3.050%      08/01/2020      100,000        102,466  

CF Industries, Inc. (Chemicals)

       3.450%      06/01/2023      75,000        70,875  

CF Industries, Inc. (Chemicals)

  (b)      3.400%      12/01/2021      100,000        101,094  

Dow Chemical Co. / The (Chemicals)

       4.250%      10/01/2034      100,000        103,237  

Packaging Corp. of America (Containers & Packaging)

       4.500%      11/01/2023      75,000        80,462  
             

 

 

 
                458,134  
             

 

 

 

REAL ESTATE – 1.4%

             

Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts)

       3.950%      01/15/2028      100,000        101,700  

Boston Properties LP (Equity Real Estate Investment Trusts)

       3.125%      09/01/2023      75,000        75,918  

Camden Property Trust (Equity Real Estate Investment Trusts)

       4.250%      01/15/2024      100,000        104,761  

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

       4.000%      03/01/2027      200,000        205,878  

Federal Realty Investment Trust (Equity Real Estate Investment Trusts)

       3.000%      08/01/2022      75,000        75,545  

HCP, Inc. (Equity Real Estate Investment Trusts)

       4.000%      06/01/2025      100,000        102,444  

Healthcare Realty Trust, Inc. (Equity Real Estate Investment Trusts)

       3.875%      05/01/2025      100,000        100,807  

Simon Property Group LP (Equity Real Estate Investment Trusts)

       3.750%      02/01/2024      75,000        78,091  
             

 

 

 
                845,144  
             

 

 

 

 

  17   (continued)


Ohio National Fund, Inc.   Omni Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity    Face Amount      Value  
TELECOMMUNICATION SERVICES – 0.4%                              

AT&T, Inc. (Diversified Telecom. Svs.)

       3.400%      05/15/2025    $ 100,000      $ 98,318  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

       3.850%      11/01/2042      75,000        65,481  

Rogers Communications, Inc. (Wireless Telecom. Svs.)

       3.000%      03/15/2023      75,000        75,440  
             

 

 

 
                239,239  
             

 

 

 

UTILITIES – 1.5%

             

AEP Transmission Co., LLC (Electric Utilities)

       4.000%      12/01/2046      100,000        103,469  

Commonwealth Edison Co. (Electric Utilities)

       4.350%      11/15/2045      100,000        107,944  

Duke Energy Corp. (Electric Utilities)

       3.750%      09/01/2046      100,000        95,143  

Fortis, Inc. (Electric Utilities)

       3.055%      10/04/2026      100,000        96,499  

NextEra Energy Capital Holdings, Inc. (Electric Utilities)

       1.649%      09/01/2018      100,000        99,700  

Pennsylvania Electric Co. (Electric Utilities)

       6.050%      09/01/2017      150,000        150,964  

South Carolina Electric & Gas Co. (Electric Utilities)

       4.350%      02/01/2042      75,000        75,650  

Southwest Gas Corp. (Gas Utilities)

       3.875%      04/01/2022      75,000        77,461  

American Water Capital Corp. (Water Utilities)

       4.300%      12/01/2042      100,000        108,106  
             

 

 

 
                914,936  
             

 

 

 

Total Corporate Bonds (Cost $12,151,785)

              $ 12,445,777  
             

 

 

 
Asset-Backed Securities – 0.1%         Rate      Maturity    Face Amount      Value  
INDUSTRIALS – 0.1%                              

American Airlines 2015-1 Class B Pass Through Trust (Airlines)

       3.700%      05/01/2023    $ 80,673      $ 79,866  
             

 

 

 

Total Asset-Backed Securities (Cost $80,673)

              $ 79,866  
             

 

 

 
U.S. Treasury Obligations – 1.8%         Rate      Maturity    Face Amount      Value  

U.S. Treasury Note

       1.500%      11/30/2019    $ 400,000      $ 400,375  

U.S. Treasury Note

       1.500%      03/31/2023      400,000        388,984  

U.S. Treasury Note

       1.750%      05/15/2022      300,000        298,324  
             

 

 

 

Total U.S. Treasury Obligations (Cost $1,116,108)

              $ 1,087,683  
             

 

 

 
Money Market Funds – 0.7%                       Shares      Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

             445,138      $ 445,138  
             

 

 

 

Total Money Market Funds (Cost $445,138)

              $ 445,138  
             

 

 

 

Total Investments – 99.7% (Cost $56,478,200)

  (d)             $ 62,141,138  

Other Assets in Excess of Liabilities – 0.3%

                210,307  
             

 

 

 

Net Assets – 100.0%

              $ 62,351,445  
             

 

 

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

 

  ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $1,018,790, or 1.6% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (c) Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at June 30, 2017.

 

  (d) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  18  


Ohio National Fund, Inc.   Capital Appreciation Portfolio

 

Objective/Strategy

The Capital Appreciation Portfolio seeks long-term growth of capital by investing primarily in equity and equity related securities of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market.

 

Performance as of June 30, 2017

 

 

Average Annual returns

  

One year

     19.92%  

Five years

     13.62%  

Ten years

     6.52%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.83% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Capital Appreciation Portfolio returned 5.23% versus 9.34% for its benchmark, the S&P 500 Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Equity market gains so far this year have been supported by earnings growth and margin expansion across many industries. In the S&P 500 Index, there was significant sector disparity, with Information Technology, Health Care, and Consumer Discretionary advancing double digits and Energy and Telecommunication Services each falling by more than 10%. In addition, large caps outperformed small caps and growth significantly outperformed value across capitalizations. This is sharp contrast to the market dynamics in 2016, when small cap value led and large cap growth lagged. While the Portfolio utilizes a “go anywhere” strategy, our reward versus risk discipline typically drives us away from areas of the market where valuations are stretched and towards smaller and mid cap names where we often find more misunderstood and/or mispriced securities. As a result, the Portfolio is currently underweight large cap growth and overweight small/midcap.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Energy sector was partly responsible for the underperformance, as both stock selection and an overweight stance detracted. In retrospect, we overestimated the extent to which the Organization of the Petroleum Exporting Counties’ (“OPEC’s”)

decision to cut production would lift prices. In addition, the market’s responsiveness to weekly data point fluctuations that failed to meet its expectations, combined with negative news headlines and the likelihood of producers hedging their 2018 production, drove increased volatility and West Texas Intermediate (WTI) oil prices to their lows during the second quarter. This volatility seemed to have a significant negative effect on many of our holdings. We have been trimming the Portfolio’s exposure to the sector, but still have conviction that the Portfolio’s holdings represent unique franchises that are well positioned when inventories start to fall.(1)

Within Health Care and Information Technology, relative results were also negatively impacted by stock selection and underweight positions. These results were derived from company-specific events more than from a consistent theme. Conversely, security selection in Materials and Real Estate contributed to relative performance.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Coach Inc. announced an acquisition of Kate Spade, which we believe fits well in the company’s strategic plans. Coach Inc.’s brand transformation continues to drive differentiation and relevance amidst a highly competitive environment in North America. Coach, Inc.’s management continues to execute on its long-term turnaround strategy. With the current repositioning of the business gaining momentum, as well as the growth in international markets and its Stuart Weitzman line, we find the reward to risk ratio very attractive.(1)

Live Nation Entertainment, Inc. started off the year on a high note as both concerts and ticketing were well above expectations. We think the outlook remains very favorable. Many growth drivers like the secondary market, international expansion, and share gains are in place and the core business generates strong cash flow.(1)

Veeva Systems, a provider of industry cloud software and data solutions for the life sciences industry, reported financial results that easily beat market expectations, driven by growth in its vault product. We believe the growth potential for Veeva is still attractive; however, the Portfolio eliminated the position due to a narrowing risk/reward ratio after very strong share price performance.(1)

The Portfolio’s largest detractors from relative return were all from the Energy sector.(1)

Patterson-UTI Energy, Inc. has a strong high-spec land rig and pressure pumping (fracking) business, along with a management team that has executed well through the downturn. Their high-spec rig fleet will be in demand and garner higher rig-day rates as shale basin production likely increases throughout 2017 and 2018.(1)

Halliburton Co. should continue to execute on its preeminent position as the leading integrated provider of oil field services. The potential for increasing incremental margins in pressure pumping and completions still remains. We believe the stock’s recent pull back is just a function of timing, as the company signaled that it will be protecting its market share as activity picks up throughout 2017.(1)

Noble Energy, Inc. is attractively valued, given its prospects for growth in the Middle East, efficient use of capital and prudent cost management. We favor the company for its highly visible stream of production growth due to a combination of strong international and United States assets, along with a clean balance sheet. The recent sanctioning of the Leviathan gas project in offshore Mediterranean will be a huge cash flow generator as the company sells natural gas to markets in Israel, Egypt and Jordan. Noble Energy, Inc. is one of

 

 

  19   (continued)


Ohio National Fund, Inc.   Capital Appreciation Portfolio (Continued)

 

the cheapest major independent producers in the oil, gas, and consumable fuels industry on a sum-of-the-parts and cash flow-multiple basis.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.

 

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    98.9  

Money Market Funds

 

Less Net Liabilities

    1.1  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

    % of Net Assets  

  1.     Apple, Inc.

    2.4  

  2.     Goldman Sachs Group, Inc. / The

    2.3  

  3.     MetLife, Inc.

    2.1  

  4.     Coach, Inc.

    2.0  

  5.     Bank of America Corp.

    2.0  

  6.     PNC Financial Services Group, Inc. / The

    1.9  

  7.     JPMorgan Chase & Co.

    1.9  

  8.     Microsoft Corp.

    1.9  

  9.     MGM Resorts International

    1.9  

10.     Mondelez International, Inc. Class A

    1.8  
 

 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks):

 

     % of Net Assets

Information Technology

     23.5  

Consumer Discretionary

     22.6  

Financials

     14.3  

Health Care

     12.2  

Industrials

     9.8  

Energy

     6.3  

Materials

     4.5  

Consumer Staples

     3.1  

Utilities

     1.4  

Real Estate

     1.2  
  

 

 

 
     98.9  
  

 

 

 

 

  20  


Ohio National Fund, Inc.   Capital Appreciation Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 98.9%        Shares     Value  
CONSUMER DISCRETIONARY – 22.6%                

Houghton Mifflin Harcourt Co. (Diversified Consumer Svs.)

  (a)     125,010     $     1,537,623  

Laureate Education, Inc. Class A (Diversified Consumer Svs.)

  (a)     85,200       1,493,556  

Carnival Corp. (Hotels, Restaurants & Leisure)

      45,561       2,987,435  

Hyatt Hotels Corp. Class A (Hotels, Restaurants & Leisure)

  (a)     60,868       3,421,390  

MGM Resorts International (Hotels, Restaurants & Leisure)

      112,220       3,511,364  

Playa Hotels & Resorts NV (Hotels, Restaurants & Leisure)

  (a)     223,835       2,674,828  

SeaWorld Entertainment, Inc. (Hotels, Restaurants & Leisure)

      116,229       1,891,046  

Wendy’s Co. / The (Hotels, Restaurants & Leisure)

      137,347       2,130,252  

CalAtlantic Group, Inc. (Household Durables)

      70,020       2,475,207  

Toll Brothers, Inc. (Household Durables)

      49,155       1,942,114  

Comcast Corp. Class A (Media)

      75,634       2,943,675  

Liberty Global PLC Class C (Media)

  (a)     38,510       1,200,742  

Live Nation Entertainment, Inc. (Media)

  (a)     97,022       3,381,217  

Twenty-First Century Fox, Inc. Class A (Media)

      94,437       2,676,345  

Viacom, Inc. Class B (Media)

      94,299       3,165,617  

Target Corp. (Multiline Retail)

      31,536       1,649,017  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

      80,939       3,831,652  
     

 

 

 
        42,913,080  
     

 

 

 
CONSUMER STAPLES – 3.1%                

Conagra Brands, Inc. (Food Products)

      45,341       1,621,394  

Mondelez International, Inc. Class A (Food Products)

      80,164       3,462,283  

Turning Point Brands, Inc. (Tobacco)

  (a)     52,504       805,411  
     

 

 

 
        5,889,088  
     

 

 

 
ENERGY – 6.3%                

Halliburton Co. (Energy Equip. & Svs.)

      52,129       2,226,430  

Patterson-UTI Energy, Inc. (Energy Equip. & Svs.)

      74,905       1,512,332  

ProPetro Holding Corp. (Energy Equip. & Svs.)

  (a)     90,084       1,257,573  

Arch Coal, Inc. (Oil, Gas & Consumable Fuels)

      13,242       904,429  

Continental Resources, Inc. (Oil, Gas & Consumable Fuels)

  (a)     30,730       993,501  

Noble Energy, Inc. (Oil, Gas & Consumable Fuels)

      79,820       2,258,906  

Royal Dutch Shell PLC Class A – ADR (Oil, Gas & Consumable Fuels)

      52,221       2,777,635  
     

 

 

 
        11,930,806  
     

 

 

 
FINANCIALS – 14.3%                

Bank of America Corp. (Banks)

      153,071       3,713,502  

BB&T Corp. (Banks)

      42,591       1,934,057  

Citigroup, Inc. (Banks)

      29,630       1,981,654  

JPMorgan Chase & Co. (Banks)

      39,687       3,627,392  

PNC Financial Services Group, Inc. / The (Banks)

      29,562       3,691,407  

Goldman Sachs Group, Inc. / The (Capital Markets)

      19,308       4,284,445  

Morgan Stanley (Capital Markets)

      54,041       2,408,067  

TPG Pace Holdings Corp. (Capital Markets)

  (a)     135,330       1,388,486  

MetLife, Inc. (Insurance)

      74,414       4,088,305  
     

 

 

 
        27,117,315  
     

 

 

 
HEALTH CARE – 12.2%                

Biogen, Inc. (Biotechnology)

  (a)     8,521       2,312,259  

BioMarin Pharmaceutical, Inc. (Biotechnology)

  (a)     30,044       2,728,596  

Shire PLC – ADR (Biotechnology)

      15,343       2,535,738  

Cigna Corp. (Health Care Providers & Svs.)

      20,406       3,415,760  

Allergan PLC (Pharmaceuticals)

      12,384       3,010,427  
Common Stocks (Continued)        Shares     Value  
HEALTH CARE (continued)                

Bristol-Myers Squibb Co. (Pharmaceuticals)

      50,161     $     2,794,971  

Merck & Co., Inc. (Pharmaceuticals)

      36,320       2,327,749  

Mylan NV (Pharmaceuticals)

  (a)     38,490       1,494,182  

Pfizer, Inc. (Pharmaceuticals)

      72,402       2,431,983  
     

 

 

 
        23,051,665  
     

 

 

 
INDUSTRIALS – 9.8%                

Orbital ATK, Inc. (Aerospace & Defense)

      19,666       1,934,348  

United Technologies Corp. (Aerospace & Defense)

      19,693       2,404,712  

Mobile Mini, Inc. (Commercial Svs. & Supplies)

      46,841       1,398,204  

Eaton Corp. PLC (Electrical Equip.)

      19,665       1,530,527  

General Electric Co. (Industrial Conglomerates)

      65,353       1,765,185  

Ryder System, Inc. (Road & Rail)

      19,013       1,368,556  

Schneider National, Inc. Class B (Road & Rail)

      100,162       2,240,624  

Union Pacific Corp. (Road & Rail)

      25,827       2,812,819  

Univar, Inc. (Trading Companies & Distributors)

  (a)     106,805       3,118,706  
     

 

 

 
        18,573,681  
     

 

 

 
INFORMATION TECHNOLOGY – 23.5%                

Infinera Corp. (Communications Equip.)

  (a)     198,294       2,115,797  

Juniper Networks, Inc. (Communications Equip.)

      75,240       2,097,691  

Benchmark Electronics, Inc. (Electronic Equip., Instr. & Comp.)

  (a)     63,226       2,042,200  

FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.)

      53,373       1,849,908  

National Instruments Corp. (Electronic Equip., Instr. & Comp.)

      54,211       2,180,366  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     3,657       3,323,226  

CSRA, Inc. (IT Svs.)

      67,447       2,141,442  

Cavium, Inc. (Semiconductors & Equip.)

  (a)     26,400       1,640,232  

Versum Materials, Inc. (Semiconductors & Equip.)

      78,266       2,543,645  

Fortinet, Inc. (Software)

  (a)     57,909       2,168,113  

Guidewire Software, Inc. (Software)

  (a)     32,117       2,206,759  

Microsoft Corp. (Software)

      51,723       3,565,266  

Oracle Corp. (Software)

      63,757       3,196,776  

PTC, Inc. (Software)

  (a)     42,191       2,325,568  

Verint Systems, Inc. (Software)

  (a)     61,704       2,511,353  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      31,058       4,472,973  

BlackBerry Ltd. (Tech. Hardware, Storage & Periph.)

  (a)     106,570       1,064,634  

Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.)

      114,281       3,199,868  
     

 

 

 
        44,645,817  
     

 

 

 
MATERIALS – 4.5%                

Monsanto Co. (Chemicals)

      11,291       1,336,403  

Sealed Air Corp. (Containers & Packaging)

      41,899       1,875,399  

Constellium NV Class A (Metals & Mining)

  (a)     102,903       710,031  

Rio Tinto PLC – ADR (Metals & Mining)

      46,069       1,949,179  

United States Steel Corp. (Metals & Mining)

      64,281       1,423,181  

Warrior Met Coal, Inc. (Metals & Mining)

      69,738       1,194,612  
     

 

 

 
        8,488,805  
     

 

 

 
REAL ESTATE – 1.2%                

CoreCivic, Inc. (Equity Real Estate Investment Trusts)

      82,103       2,264,401  
     

 

 

 
UTILITIES – 1.4%                

PG&E Corp. (Electric Utilities)

      40,233       2,670,264  
     

 

 

 

Total Common Stocks (Cost $165,065,879)

      $ 187,544,922  
     

 

 

 
 

 

  21   (continued)


Ohio National Fund, Inc.   Capital Appreciation Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Money Market Funds – 1.5%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      2,763,199     $ 2,763,199  
     

 

 

 

Total Money Market Funds (Cost $2,763,199)

      $ 2,763,199  
     

 

 

 

Total Investments – 100.4% (Cost $167,829,078)

  (b)     $ 190,308,121  

Liabilities in Excess of Other Assets – (0.4)%

        (664,991)  
     

 

 

 

Net Assets – 100.0%

      $ 189,643,130  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.
 

 

The accompanying notes are an integral part of these financial statements.

 

  22  


Ohio National Fund, Inc.   ON International Equity Portfolio (formerly the International Portfolio)

 

Objective/Strategy

The ON International Equity Portfolio (formerly the International Portfolio) seeks long-term growth of capital by investing at least 80% of its assets in securities of foreign companies.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     19.46%  

Five years

     4.73%  

Ten years

     -0.06%  

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. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 1.02% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Advisers

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the ON International Equity Portfolio (formerly the International Portfolio) returned 16.15% versus 13.81% for its current benchmark, the MSCI EAFE Index (Net – USD), and 14.10% for its former benchmark, the MSCI All Country World Ex-USA Index (Net – USD).

For the period from January 1, 2017 to April 30, 2017 (the “first four-month period”), the Portfolio was known as the International Portfolio, was sub-advised by Federated Global Investment Management Corp. (“Federated Global”), and utilized the MSCI All Country World Ex-USA Index (Net – USD) as its benchmark. During the first four-month period, the Portfolio returned 12.95% versus 10.17% for the MSCI All Country World Ex-USA Index (Net – USD).

For the period from May 1, 2017 to June 30, 2017 (the “latter two-month period”), the Portfolio was sub-advised by Lazard Asset Management, LLC (“Lazard”). During this period, the Portfolio was managed with the strategy of investing primarily in equity securities, principally common stocks, of relatively large non-US companies with market capitalization in the range of companies included in the MSCI EAFE Index (Net – USD) that the Lazard portfolio managers believe are undervalued based on their evaluation of a company’s earnings, cash flow or asset values. During the latter two-month period, the Portfolio returned 2.83% versus 3.49% for its current benchmark.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Federated Global: During the first four-month period, global equity market performance was broadly positive. Faster global growth

outside the U.S. and an improved price inflation outlook led to a continue

d broad market rally. Global economic indicators, such as the Global Manufacturing PMI, rose significantly, hitting a three year high in February due to pronounced improvements in both developed and emerging markets growth expectations. Two key allocations that contributed to performance during the period were overweight positions to emerging markets (EM) and the Euro Area. As measured by the MSCI Emerging Markets Index (Net – USD), Emerging Markets strongly led the period, rising 13.88%. The Euro Area, as measured by the MSCI Euro (Net – USD) index, outperformed most non-U.S. equity indices, climbing 12.81%. Developed non-U.S. markets, as measured by the MSCI EAFE Index (Net – USD), climbed 9.97%, exceeding the return of the MSCI USA Index (Net – USD).

There were several key geopolitical risks that affected performance during the first four-month period, including the following: (1) UK’s Article 50 notification, i.e. “Brexit,” where the Portfolio maintained an underweight to the U.K.; (2) the new U.S. Presidential administration; (3) currency and commodity volatility coupled with U.S. dollar volatility; (4) the trajectory for U.S. growth and debate over the timing and size of Federal reserve tightening, (5) diminishing concerns about China’s economy and signs of stabilization in the global growth outlook, and (6) geopolitical risks events, including the French election outcome that boosted returns in the Euro Area, where the Portfolio maintained an overweight.(1)

Lazard: The Portfolio aims to outperform its benchmark by approximately 200 to 300 basis points over a full market cycle (typically three to five years) with a consistent pattern of performance. Historically, the strategy has added more value versus the benchmark when markets are fundamentally driven in both down markets and moderately rising markets as opposed to low-quality-led rapidly rising markets. Overall, the Lazard portfolio management team remains confident in continuing to focus on stock selection and seeking to find stocks with sustainably high or improving returns trading at attractive valuations.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Federated Global: Top contributors for the first four-month period were overweight positions in Sweden and Denmark, driven by both stock and country selection. The third top contributor was an underweight to United Kingdom, where stock and country selection both assisted. Top detractors were the Portfolio’s underweight positions in France, China, and Mexico.(1)

For the first four-month period, sector allocation contributed 0.77% to relative performance. This compares to a contribution to relative performance of 2.25% from stock selection within sectors. Stock selection within Industrials and Financials were the biggest sector contributors. The largest sector detractor was stock selection within Utilities.(1)

Lazard: The largest contributor for the latter two-month period was stock selection within the Real Estate sector. The primary detractor was stock selection within Consumer Staples, followed by both weighting and stock selection in Health Care and stock selection within Telecommunication Services.(1)

 

 

  23   (continued)


Ohio National Fund, Inc.   ON International Equity Portfolio (formerly the International Portfolio) (Continued)

 

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. Federated Global: The Portfolio’s allocation to European equities was the most significant contributor to performance during the first four-month period, where both stock selection and country allocation were positive. Within Europe, the decision to overweight northern Europe, including Sweden, Denmark, Austria and the Netherlands, and underweighting the United Kingdom contributed positively to performance. The Portfolio did not have any stocks in France, which detracted from performance; however, the overall overweight allocation to the Euro Area benefited performance.(1)

Lazard: The Portfolio’s performance during the latter two-month period was achieved against a backdrop in which the drivers of equity performance shifted, as investors focused more on individual company fundamentals rather than on macroeconomic trends. Between June 2016 and January 2017, investors bid up lower-quality equities as global growth strengthened, central banks mostly remained accommodative, and United States initiatives on taxes, regulations, and fiscal spending seemed imminent, raising expectations for improving global growth. During the second quarter of 2017, however, investors began to notice the widening gap between stock prices and actual earnings in some cyclical sectors. Higher quality stocks in this environment outperformed those of lower quality, though by a small margin. While the strategy’s relative performance has improved since January 2017, as the market has re-focused on company fundamentals, the latter two-month measurement period has resulted in a short-term modest underperformance relative to the new benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Federated Global: The top three contributors for the first four-month period were Vestas Wind Systems A/S (29 basis points), Volvo AB (28 basis points) and Disco Corp. (24 basis points). The period’s European area economic recovery was a key positive contributor for the Industrial companies in the Portfolio. European industrials outperformed in the period, including Vestas Wind Systems A/S, which had a strong order intake during the period, and Volvo AB, which also saw positive growth in order demand in both Europe and in China due to robust construction activity. As in the United States, Information Technology companies had a strong performance during the period, and Disco Corp., specifically, had favorable demand from 3D NAND applications and a positive product mix.(1)

The top three detractors were Statoil ASA (-20 basis points), Deutsche Telekom AG (-15 basis points), and Hennes & Maurtiz AB (-14 basis points). Despite the ongoing economic recovery in Europe, oil prices slid during the reporting period, which negatively impacted Statoil ASA.(1)

Lazard: Stock selection in the Consumer Staples sector detracted from relative returns during the latter two-month period, as shares of Dutch global supermarket operator Ahold Delhaize (which was sold during the quarter) fell on the news that Amazon.com, Inc. would be buying United States supermarket chain Whole Foods Market, Inc. This acquisition increases uncertainty about the size of the profit pool for the United States grocery industry, as Amazon.com, Inc. focuses on lower prices in order to build loyalty at the expense of profits. Stock selection in the Health Care sector also hurt relative returns as British global specialty pharmaceutical

manufacturer Shire PLC underperformed. The company offers an attractive mix of treatments for rare diseases. This gives it critical pricing power, which is increasingly challenging to find in global pharmaceuticals. We believe the market remains skeptical about the company’s ability to integrate Baxalta and pay down the debt incurred to fund the acquisition. The company’s fundamentals remain strong and the valuations are very attractive in our view. We continue to own a significant position in the stock. In the Telecommunication Services sector, shares of British phone and broadband company BT Group PLC declined on a weaker outlook and a lowered dividend growth target. Lastly, low exposure to the strong performing Utilities sector was dilutive to relative returns.(1)

In contrast, shares of Japanese real estate developer Daiwa House Industry Co. Ltd. performed well on an increased dividend, and as results highlighted strong growth in commercial facilities and logistics. Stock selection in the Financials sector also helped relative returns, as shares of Italian bank UniCredit SpA beat expectations in all business lines. Elsewhere, shares of United Kingdom-based health insurance exchange provider Aon PLC rose on results that highlighted better than expected organic growth, as well as on the announcement of a new plan to reduce costs. Within the Industrials sector, shares of Irish discount airline Ryanair Holdings PLC - ADR rose on strong results and on the announcement of a new stock buyback program. Lastly, low exposure to Asia ex-Japan, which underperformed the market, was beneficial to relative returns.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio used equity index futures during the first four-month period to assist in managing country weights and cash in the Portfolio. The Portfolio chose equity index futures that were liquid and were related to equity markets that were viewed as attractive. The net effect of equity index futures was minimal during the first four-month period; a slight detraction of 2 basis points. No derivative instruments or IPOs were used during the latter two-month period.

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  24   (continued)


Ohio National Fund, Inc.   ON International Equity Portfolio (formerly the International Portfolio) (Continued)

 

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Portfolio’s benchmark was changed from MSCI All Country World Ex-USA Index (Net-USD) to MSCI EAFE Index (Net-USD) effective May 1, 2017. The change in the benchmark was made because the MSCI EAFE Index (Net-USD) better reflects the style of the strategy utilized by the current sub-adviser.

The MSCI EAFE Index (Net-USD) is a free-float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of 21 developed markets, including countries in Europe, Australasia and the Far East, excluding the U.S. and Canada. The returns for the MSCI EAFE Index (Net-USD) include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.

The MSCI All Country World Ex-USA Index (Net-USD) is a free float adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI All Country World Index consists of 23 developed and 24 emerging market country indices and excludes the impact of the United States. The returns for the MSCI All Country World Ex-USA Index (Net-USD) include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4) (5)

    98.8  

Money Market Funds

 

Less Net Liabilities

    1.2  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets  

  1.     Prudential PLC

    3.5  

  2.     Novartis AG

    3.2  

  3.     British American Tobacco PLC

    3.1  

  4.     Daiwa House Industry Co. Ltd.

    3.1  

  5.     Valeo SA

    2.7  

  6.     Shire PLC

    2.7  

  7.     SAP SE

    2.7  

  8.     Royal Dutch Shell PLC

    2.5  

  9.     Vinci SA

    2.4  

10.     Aon PLC

    2.2  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Top 10 Country Weightings (Common Stocks):

 

     % of Net Assets  

United Kingdom

     18.7  

Japan

     17.8  

France

     11.8  

Switzerland

     6.3  

Netherlands

     5.3  

Canada

     4.4  

Sweden

     4.0  

Ireland

     3.6  

Germany

     3.6  

Australia

     3.1  

 

  25   (continued)


Ohio National Fund, Inc.   ON International Equity Portfolio (formerly the International Portfolio) (Continued)

 

 

(5)  Sectors (Common Stocks):

 

     % of Net Assets  

Industrials

     19.3  

Financials

     19.2  

Consumer Discretionary

     13.6  

Consumer Staples

     11.9  

Health Care

     9.2  

Energy

     7.0  

Information Technology

     6.3  

Telecommunication Services

     4.4  

Materials

     3.8  

Real Estate

     3.1  

Utilities

     1.0  
  

 

 

 
     98.8  
  

 

 

 

 

  26  


Ohio National Fund, Inc.   ON International Equity Portfolio (formerly the International Portfolio)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 98.8%        Shares     Value  
United Kingdom – 18.7%                

Aon PLC

      25,800     $     3,430,110  

British American Tobacco PLC

  (c)     70,645       4,813,954  

BT Group PLC

  (c)     343,077       1,319,213  

ConvaTec Group PLC

  (a)(b)(d)     415,550       1,727,616  

Diageo PLC

  (c)     78,283       2,313,399  

Howden Joinery Group PLC

  (c)     209,635       1,112,070  

Informa PLC

  (c)     182,853       1,594,913  

Provident Financial PLC

  (c)     21,879       693,928  

Prudential PLC

  (c)     232,147       5,328,645  

RELX PLC

  (c)     148,663       3,213,646  

Unilever PLC

  (c)     58,982       3,191,980  
     

 

 

 
        28,739,474  
     

 

 

 
Japan – 17.8%                

ABC-Mart, Inc.

  (c)     25,300       1,490,984  

Daiwa House Industry Co. Ltd.

  (c)     137,200       4,695,749  

Don Quijote Holdings Co. Ltd.

  (c)     88,400       3,358,741  

Hoshizaki Corp.

  (c)     13,000       1,179,500  

Isuzu Motors Ltd.

  (c)     184,800       2,294,729  

Kao Corp.

  (c)     27,110       1,611,914  

KDDI Corp.

  (c)     76,000       2,010,019  

Makita Corp.

  (c)     62,300       2,307,219  

Seven & I Holdings Co. Ltd.

  (c)     36,200       1,493,773  

Sony Corp.

  (c)     83,300       3,177,374  

Sumitomo Mitsui Financial Group, Inc.

  (c)     66,900       2,612,073  

United Arrows Ltd.

  (c)     32,000       1,039,529  
     

 

 

 
        27,271,604  
     

 

 

 
France – 11.8%                

Air Liquide SA

  (c)     22,165       2,739,503  

Airbus SE

  (c)     15,815       1,305,140  

Capgemini SE

  (c)     32,639       3,371,688  

Cie Generale des Etablissements Michelin

  (c)     21,508       2,862,584  

Valeo SA

  (c)     61,848       4,161,063  

Vinci SA

  (c)     42,273       3,605,949  
     

 

 

 
        18,045,927  
     

 

 

 
Switzerland – 6.3%                

Julius Baer Group Ltd.

  (c)     29,349       1,550,691  

Novartis AG

  (c)     58,255       4,865,842  

Wolseley PLC

  (c)     52,310       3,210,667  
     

 

 

 
        9,627,200  
     

 

 

 
Netherlands – 5.3%                

Koninklijke KPN NV

  (c)     395,963       1,267,304  

Royal Dutch Shell PLC

  (c)     144,755       3,845,952  

Wolters Kluwer NV

  (c)     70,560       2,984,189  
     

 

 

 
        8,097,445  
     

 

 

 
Canada – 4.4%                

Bank of Montreal

      51       3,745  

Canadian National Railway Co.

      26,800       2,174,503  

National Bank of Canada

      47,144       1,982,389  

Suncor Energy, Inc.

      88,300       2,579,956  
     

 

 

 
        6,740,593  
     

 

 

 
Sweden – 4.0%                

Assa Abloy AB

  (c)     148,529       3,273,796  

Nordea Bank AB

  (c)     226,388       2,883,374  
     

 

 

 
        6,157,170  
     

 

 

 
Ireland – 3.6%                

Medtronic PLC

      38,090       3,380,487  

Ryanair Holdings PLC – ADR

  (a)     19,500       2,098,395  
     

 

 

 
        5,478,882  
     

 

 

 
Common Stocks (Continued)        Shares     Value  
Germany – 3.6%                

Deutsche Post AG

  (c)     35,933     $     1,348,862  

SAP SE

  (c)     39,322       4,115,886  
     

 

 

 
        5,464,748  
     

 

 

 
Australia – 3.1%                

BHP Billiton PLC

  (c)     205,337       3,145,906  

Caltex Australia Ltd.

  (c)     64,404       1,563,940  
     

 

 

 
        4,709,846  
     

 

 

 
United States – 2.7%                

Shire PLC

  (c)     75,029       4,137,018  
     

 

 

 
Belgium – 2.6%                

Anheuser-Busch InBev SA/NV

  (c)     25,839       2,853,878  

KBC Group NV

  (c)     15,831       1,200,290  
     

 

 

 
        4,054,168  
     

 

 

 
Norway – 2.5%                

Statoil ASA

  (c)     99,297       1,646,557  

Telenor ASA

  (c)     128,039       2,124,198  
     

 

 

 
        3,770,755  
     

 

 

 
Denmark – 2.4%                

AP Moller – Maersk A/S

  (c)     875       1,761,823  

Carlsberg A/S

  (c)     18,281       1,953,605  
     

 

 

 
        3,715,428  
     

 

 

 
Italy – 1.6%                

UniCredit SpA

  (a)(c)     129,450       2,424,758  
     

 

 

 
Singapore – 1.5%                

DBS Group Holdings Ltd.

  (c)     155,900       2,346,415  
     

 

 

 
Finland – 1.5%                

Sampo Oyj

  (c)     45,588       2,338,920  
     

 

 

 
Taiwan – 1.4%                

Taiwan Semiconductor Manufacturing Co. Ltd. – ADR

      62,800       2,195,488  
     

 

 

 
Luxembourg – 1.3%                

RTL Group SA

  (c)     12,917       975,867  

Tenaris SA

  (c)     70,054       1,093,804  
     

 

 

 
        2,069,671  
     

 

 

 
Brazil – 1.0%                

BB Seguridade Participacoes SA

      183,300       1,585,181  
     

 

 

 
Spain – 1.0%                

Red Electrica Corp. SA

  (c)     71,574       1,497,357  
     

 

 

 
Turkey – 0.7%                

Turkiye Garanti Bankasi AS

  (c)     409,226       1,139,022  
     

 

 

 

Total Common Stocks (Cost $147,852,995)

      $ 151,607,070  
     

 

 

 
Money Market Funds – 3.4%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      5,184,380     $ 5,184,380  
     

 

 

 

Total Money Market Funds (Cost $5,184,380)

      $ 5,184,380  
     

 

 

 

Total Investments – 102.2% (Cost $153,037,375)

  (e)     $ 156,791,450  

Other Liabilities in Excess of Assets – (2.2)%

        (3,358,673)  
     

 

 

 

Net Assets – 100.0%

      $ 153,432,777  
     

 

 

 
 

 

  27   (continued)


Ohio National Fund, Inc.   ON International Equity Portfolio (formerly the International Portfolio) (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $1,727,616, or 1.1% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (c) Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $130,449,200, or 85.0% of the Portfolio’s net assets.

 

  (d) As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses a stock’s local close price because the service’s measure of predictability related to their valuation model of a stock is below a chosen threshold. These securities represent $1,727,616, or 1.1% of the Portfolio’s net assets.

Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time.

 

  (e) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  28  


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company  Portfolio)

 

Objective/Strategy

The ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) seeks long-term growth of capital by investing at least 80% of its assets in foreign securities.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     17.90%  

Five years

     8.54%  

Ten years

     1.48%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 1.09% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Advisers

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) returned 14.54% versus 14.10% for its new benchmark, the MSCI All Country World Ex-USA Index (Net - USD), and 15.38% for its former benchmark, the MSCI ACWI Ex USA SMID Cap Index (Net - USD).

For the period from January 1, 2017 to April 30, 2017 (the “first four-month period”), the Portfolio was known as the International Small-Mid Company Portfolio, was sub-advised by Federated Global Investment Management Corp. (“Federated Global”), and utilized the MSCI ACWI Ex USA SMID Cap Index (Net - USD) as its benchmark. During the first four-month period, the Portfolio returned 12.77% versus 11.70% for the MSCI ACWI Ex USA SMID Cap Index (Net - USD).

For the period from May 1, 2017 to June 30, 2017 (the “latter two-month period”), the Portfolio was sub-advised by Templeton Global Advisors Limited (“Templeton”). During this period, the Portfolio was managed with the strategy of investing in common stock and other equity securities of companies located outside the United States, including those in emerging markets, without respect to a company’s capitalization. Previously, the investments made were primarily in small- and mid-capitalization companies within the total market capitalization of stocks included in the Portfolio’s previous benchmark. With the restriction on company capitalization lifted, the new benchmark became the MSCI All Country World ex-USA Index (Net - USD). During the latter two-month period period, the Portfolio returned 1.57% versus 3.57% for its new benchmark.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Federated Global: The outperformance during the first four-month period can almost entirely be attributed to positive stock selection, which accounted for roughly 97% of the outperformance.(1)

Given the uncertain international outlook, where markets are being impacted more and more by central bank policies and geopolitical activities, the Federated Global team made the decision to reduce some of the larger sector and country exposures from the prior year. The idea was to have stock selection be the largest driver of the Portfolio’s performance, and that is evidenced in this result.(1)

Templeton: Although stocks sustained upward momentum through the bulk of the latter two-month period, market leadership reverted to defensive, growth-oriented issues following the cyclical value rally of 2016. The market’s increasingly defensive posture was consistent with mixed global economic and political news flow. Investors focused primarily on positive factors, which included resilient corporate earnings, receding political anxiety and a gathering economic recovery in Europe. The period opened with a reduction in political uncertainty in Europe after pro-European centrist candidate Emmanuel Macron defeated his right-wing nationalist opponent in the French presidential election. A subsequent victory in parliamentary elections gave his upstart En Marche party a decisive majority and mandate to pursue market-friendly structural reforms in France. Europe’s other main election during the period, a snap election called by United Kingdom (“U.K.”) Prime Minister Theresa May in a bid to consolidate her leadership ahead of Brexit negotiations, backfired drastically, with Ms. May’s Conservative Party losing its parliamentary majority and cobbling together an uneasy coalition with the Democratic Unionist Party of Northern Ireland. European economic indicators continued to suggest a firming regional recovery, with gross domestic product growth accelerating, the purchasing managers’ index hitting a six-year high and unemployment falling to its lowest level since the global financial crisis. The United States (“U.S.”) Federal Reserve raised its target interest rate in June for the third time in the past six months and set out a plan to gradually shrink its balance sheet despite low inflation and mixed economic data. Longer maturity interest rates failed to respond, and the flattening yield curve suggested to us the market remained cautious about the U.S. economic outlook. Lack of legislative progress on President Trump’s pro-growth reform agenda and continued political tensions and distractions underscored such caution, contributing to the International Monetary Fund’s decision to downgrade its U.S. growth forecasts. In Asia, independent credit ratings agency Moody’s Investors Service surprised investors by downgrading China’s sovereign credit rating. Moody’s analysts noted that the Chinese government was proceeding too slowly with reforms to rebalance the country’s economy and reduce debt, to which the government responded that Moody’s underestimates its commitment to reform. Also in the region, the Japanese government upgraded its assessment of the country’s economy amid stronger investment and consumer spending, North Korea continued with provocative missile tests, and South Koreans elected a new president who advocated a softer approach to its northern neighbors. Elsewhere, Brazil again descended into crisis after tapes were released alleging to show the president, who has promised to snuff out corruption, endorsing the payment of hush money to a politician serving jail time. Oil declined during the period, as concerns about excess supply overshadowed an agreement by the Organization of the Petroleum Exporting Countries (“OPEC”) to extend production cuts.

 

 

  29   (continued)


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio)  (Continued)

 

Anomalous market conditions have also contributed to recent performance headwinds for Templeton and other active managers. We believe monetary policy has never been so loose and experimental, artificially depressing the price of money and skewing the risk-free rate (and therefore the assets that are priced off of it). Global debt levels have never been so high, generating a flood of liquidity that has saturated many financial assets. Political tensions remain elevated, and policymakers may struggle to turn pro-growth campaign promises into actual legislation. Meanwhile, we believe stocks have become commoditized into “factor buckets,” and are thought of today not as ownership stakes in long-term, cash-generating businesses, but instead as high-or-low-beta, high-or-low-quality, defensive-or-aggressive, risk-on-or-off, etc. In our opinion, these are all unusual conditions that create additional challenges for fundamentally oriented security analysts. Yet, it is our belief that all of these trends are temporary, as price eventually converges with value over time and a healthy market needs investors with the ability to facilitate price discovery. After a long, fallow period for active value investors, we were encouraged by 2016’s value rally and, despite the more recent pull-back, anticipate a supportive environment for value investing over our long-term horizon.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Federated Global: The most significant sector-level results for the first four-month period were:

 

   

Stock selection in Industrials added 93 basis points.

 

   

Stock selection in Health Care added 84 basis points.

 

   

Stock selection in Financials added 38 basis points.

 

   

Stock selection in Telecommunications Services added 36 basis points.(1)

Templeton: Overall, the Portfolio’s performance relative to its new benchmark, the MSCI All Country World ex-USA Index (Net - USD), benefited from stock selection during the latter two-month period, although support from stock-picking was offset by unfavorable sector allocations.(1)

Energy was the Portfolio’s most significant detractor, accounting for most of the Portfolio’s sector-level underperformance. In this case, both stock-specific weakness and an unfavorable overweighting detracted during a period when oil briefly fell into bear market territory amid the worst start to a year for the commodity since 1997. Nevertheless, we believe the current pessimism in oil markets is misplaced, and we view near-term concerns about rising North America supply as overblown in the context of our long-term investment outlook. The rise in U.S. inventories is partially a seasonal event, and we expect some drawdown of stockpiles in the second half of 2017, countering the perception of a supply glut. In any event, more comprehensive data on global inventories paint the picture of a much tighter market than the one suggested by U.S. data. We could also begin to see falling output from North American shale fields if sustained low prices discourage investment in future production. Financial speculation has further pressured oil, with net positioning in futures markets revealing one of the highest levels of short trades on record, a potential contrarian indicator. We also observe that geopolitical relations among the world’s largest oil producers are mostly stable, with compliance to OPEC production cuts above 100% and Russia apparently making good on its pledge to constrain output in line with OPEC. Finally, the world’s largest oil producer, Saudi Arabia, is preparing to conduct an initial public

offering (IPO) of one of the world’s most valuable companies, Saudi Arabian Oil (commonly known as Saudi Aramco). Riyadh, the capital of Saudi Arabia, seems to hope to maximize proceeds from this historic IPO, and has every incentive to wish for a more buoyant price environment. With oil stocks, on average, trading near their lowest relative price-to-book levels in the last 90 years, we continue to find what we consider compelling contrarian bargains in this sector.(1)

In Health Care, stock selection weighed on relative performance, but the Portfolio’s overweighted position positively contributed to relative performance, as the sector recovered from oversold conditions prompted by election-cycle political rhetoric in the U.S., a major market for most drugmakers. Our analysis indicates that the defensive growth prospects of the entire health care sector remain materially undervalued amid excessive political concerns, and we continue to find sufficient bottom-up bargains to justify an overweighted allocation. Within the sector, we continue to favor innovative companies we feel have portfolios of high-margin, long-duration products that are facing little competition or demonstrable advantages over existing therapies.(1)

Turning to contributors, stock selection and an underweight in Financials boosted relative performance. Sector outperformance during the latter two-month period was led by European and Asian lenders, which offered more exposure to tailwinds associated with the French election outcome than the headwinds stemming from doubts about the viability of the global reflation trade. We are encouraged by the continued progress in the European banking sector more generally, where earnings revisions have returned to a positive trajectory, regulatory capital has been largely rebuilt and the bulk of post-crisis re-regulation efforts are now complete. As economic data have picked up and risky political events been favorably resolved, demand for credit has increased. Indeed, private loan growth is steadily rising in Europe, with favorable implications for bank earnings. Yet, it is our belief little of this good news has made it into the price of European bank shares, which continue to look undervalued to us based on price-to-earnings ratio, price-to-book value and dividend yields, both relative to their own history and to their U.S. peers. In Asia, South Korean banks rallied strongly amid signs that a new government would deliver fiscal stimulus, reform the rigid corporate chaebol (large, mostly family-owned conglomerates) structure and normalize economic ties with China. Prospects for improving corporate governance and political stability have combined with rising interest rates and genuine economic growth to benefit the banking sector in emerging Asia, more generally.(1)

Stock selection also drove outperformance in the Telecommunication Services, Industrials and Consumer Discretionary sectors.(1)

For the latter two-month period, the U.S. dollar rose in value relative to many currencies in which the Portfolio’s investments were traded. As a result, performance was negatively affected by securities with non-U.S. currency exposure.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Federated Global: The top three contributors during the first four-month period were as follows:

Ipsen SA, which added 75 basis points, provided mid-term guidance through 2020 that was above market expectations. In addition to better visibility, growth continues to accelerate in its high margin oncology drug.(1)

 

 

  30   (continued)


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio)  (Continued)

 

Rheinmetall AG supplied 53 basis points on expectations of an increase to the German Defense budget that has led to upgraded growth expectations for Rheinmetall’s Defense division. Their other division, automotive, continues to report better than expected profit margins.(1)

Nexteer Automotive Group Ltd., an electric power steering company, contributed 38 basis points by successfully diversifying away from its United States customer base and increasing penetration into the Chinese auto market. They also teamed up with Continental in developing advanced driver assistance systems (ADAS) products.(1)

The top three detractors were as follows:

Precision Drilling Corp detracted 23 basis points. The company is a Canadian oilfield driller with high leverage, which makes it a high beta play on the price of oil. The pullback in oil, along with declining United States rig count expectations for the second half of 2017, led to a rotation out of Precision Drilling.(1)

Mando Corp, which subtracted 20 basis points, is a Korean auto parts company. The Company has large exposure to the Hyundai automotive group, which is caught up in a political firestorm between China and South Korea over the U.S. deployment of defense missiles in Korea. To reduce exposure to Hyundia and Kia China auto sales, Mando has successfully carried out more sales to Chinese Original Equipment Manufacturers (OEMs).(1)

Whitecap Resources, Inc. deducted 18 basis points. Similar to Precision Drilling Corp, WhiteCap is a Canadian exploration and production company that has been impacted by lower oil prices and sector rotation.(1)

Templeton: The top three contributors for the latter two-month period were as follows:

Korea Investment Holdings Co. Ltd. - The company’s shares rose over the period amid signs that a new government in South Korea would deliver fiscal stimulus, reform the rigid corporate chaebol structure (large, mostly family-owned conglomerates) and normalize economic ties with China. Specific to the company, a swing to profitability in the first quarter of 2017 and expectations of continued earnings improvements led to an upgrade cycle among Wall Street analysts. The company continues to benefit from stronger affiliate income from investment banking, trading and asset management, which have helped offset a structural decline in brokerage commissions and lower net interest income attributable to falling interest rates. Although the stock remains a hold with additional upside potential, we are monitoring the position closely for profit-taking opportunities after strong share price performance.(1)

Standard Chartered PLC - Shares rallied after the company’s chief executive officer said the firm was preparing to pay the first dividend in more than two years following a significant strengthening of its financial position. Indeed, under new CEO Bill Winters, Standard Chartered PLC has been aggressive in de-risking its balance sheet and controlling costs, resulting in a more resilient and conservatively managed bank. Such measures have come at the expense of near-term revenue and profitability, and the stock consequently remains exceedingly cheap based on price-to-tangible book value, in our analysis. For patient investors, we continue to believe Standard Chartered PLC represents excellent long-term value given its prudent restructuring initiatives and attractive market position in emerging markets with high gross domestic product growth rates.(1)

SoftBank Group Corp. - Shares of the Japanese mobile operator and technology conglomerate rose to the highest levels in nearly two decades after the firm’s majority-owned U.S. telecommunications subsidiary, Sprint Corp., reported better-than-expected sales and subscriber growth. The higher share price also reflected rising optimism that Softbank Group Corp. may be able to execute a long-desired merger between Sprint Corp. and another major U.S. mobile operator, T-Mobile U.S., under a new Republican administration. Elsewhere at SoftBank Group Corp., the core Japanese telecommunications business is providing strong, stable free cash flow; Chinese technology subsidiary Alibaba Group Holding Ltd. continues to realize outsized growth; and the newly acquired U.K. semiconductor manufacturer ARM Holdings plc, while expensive and value-destructive in the near term, in our view, offers another exciting long-term growth driver. SoftBank Group Corp.’s stock remains excessively cheap on a sum-of-the-parts basis, in our analysis.(1)

The top three detractors were as follows:

Petrofac Limited - Shares of U.K. based oilfield services firm Petrofac Limited declined sharply after the U.K.’s Serious Fraud Office (“SFO”) launched an investigation into bribery allegations related to the firm’s past relationship with controversial Monaco-based consultancy Unaoil. While we had been constructive on the stock given its healthy pipeline of outstanding bids, strategic refocus on core assets, and prudent balance sheet deleveraging, the escalating fraud investigation seems to us a thesis changer. Over the past three years, nearly all of the SFO’s investigations have led to charges being filed. Of particular concern, the executives currently running Petrofac Limited also ran the company when the alleged improprieties occurred. Any legal action against these individuals could materially impact Petrofac Limited’s ability to win new business, without which the company’s financial situation is tenuous. A change in circumstances requires a reassessment of the new reality, and we decided to liquidate our stake in Petrofac Limited given the rising risk profile.(1)

Eldorado Gold Corp. (“Eldorado”) - The company’s shares fell due to a weaker gold price and a few company-specific developments, including lower production from its flagship Kisladag mine in Turkey, a seemingly fully priced mine acquisition in Canada and news that the Greek Ministry of Energy and Environment had initiated arbitration proceedings against Eldorado’s Greek subsidiary to ensure compliance with local permits. We believe the lower production from Kisladag is temporary and merely delays - not impairs - the economics of the mine; we view the Canadian acquisition as something that could add value to the company given major tax synergies and significant exploration optionality in this attractive jurisdiction; and we believe the Greek proceedings are politically motivated and unlikely to derail the development efforts of the largest foreign investor in a country experiencing a debt crisis. More generally, Eldorado features a strong balance sheet and remains one of the cheapest, lowest-cost, longest-life, and highest-growth gold miners in the world.(1)

UCB S.A. - Shares of the Belgian biotechnology firm slumped after a U.S. study of an osteoporosis drug it is developing in partnership with Amgen, Inc. raised concerns about heart safety that could delay the drug’s approval in the U.S. Although such news is disappointing, with the pipeline discounted, we still have good exposure to the potential success of “lower risk,” newly launched drugs. Moreover, with the threat of generic competition fading for UCB S.A. and evidence of an improved product mix in its future drug portfolio, we believe market confidence should return, supporting the share price.(1)

 

 

  31   (continued)


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio)  (Continued)

 

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. Federated Global: During the first four-month period, the Portfolio bought a short euro forward contract to partially mitigate the large overweight to the Euro currency. As the euro currency appreciated during the period, the currency contract detracted 7 basis points from performance.(1)

The Portfolio participated in four IPO’s during the period. Those IPO’s generated a positive contribution of 10 basis points to performance. Below is a breakdown of each IPO’s contribution:

 

   

Canada Goose Holdings Inc., 39.75% base return, 4 basis points contribution,

 

   

Galenica Sante Ag, 12.50% base return, 3 basis points contribution,

 

   

X-Fab Silicon Foundries SE, 2.43% base return, 2 basis points contribution,

 

   

Keane Group Inc., 15.20% base return, 1 basis points contribution.(1)

Templeton Global: No derivatives were used, nor were there IPOs that impacted performance during the latter two-month period.(1)

 

 

(1) 

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Portfolio’s benchmark was changed from MSCI ACWI Ex USA SMID Cap Index (Net-USD) to MSCI All Country World Ex-USA Index (Net-USD) effective May 1, 2017. The change in the benchmark was made because the MSCI All Country World Ex-USA Index (Net-USD) better reflects the style of the strategy utilized by the current sub-adviser.

The MSCI All Country World Ex-USA Index (Net-USD) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI All Country World Index (ACWI) consists of 23 developed and 24 emerging market country indices and excludes the impact of the United States. The returns for the MSCI ACWI ex USA Index (Net-USD) include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.

The MSCI ACWI Ex USA SMID Cap Index captures mid and small cap representation across 22 of 23 developed market countries (excluding the U.S.) and 23 emerging markets countries. With over 5,000 constituents, the index covers approximately 28% of the free float-adjusted market capitalization in each country. The returns presented for this index include the effects of reinvested dividends, net of taxes, and adjustment to U.S dollar denomination.

 

 

  32   (continued)


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio)  (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4) (5)

    95.0  

Money Market Funds

 

Less Net Liabilities

    5.0  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets  

  1.     Samsung Electronics Co. Ltd.

    3.7  

  2.     SoftBank Group Corp.

    2.7  

  3.     BP PLC

    2.6  

  4.     Royal Dutch Shell PLC

    2.3  

  5.     Roche Holding AG

    2.3  

  6.     Baidu, Inc. – ADR

    2.3  

  7.     Teva Pharmaceutical Industries Ltd. – ADR

    2.2  

  8.     Standard Chartered PLC

    2.2  

  9.     Hana Financial Group, Inc.

    2.1  

10.     Sanofi

    2.1  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Top 10 Country Weightings (Common Stocks):

 

     % of Net Assets  

United Kingdom

     15.9  

South Korea

     10.0  

Japan

     10.0  

France

     8.1  

Netherlands

     7.5  

China

     6.9  

Germany

     6.5  

Canada

     6.2  

Switzerland

     4.1  

Taiwan

     3.2  

 

(5)  Sectors (Common Stocks):

 

     % of Net Assets  

Financials

     22.5  

Health Care

     16.5  

Energy

     12.9  

Information Technology

     10.9  

Telecommunication Services

     8.9  

Industrials

     7.5  

Consumer Discretionary

     7.0  

Materials

     6.8  

Consumer Staples

     2.0  
  

 

 

 
     95.0  
  

 

 

 

 

  33  


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company  Portfolio)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 95.0%        Shares     Value  
United Kingdom – 15.9%                

Aviva PLC

  (c)     133,720     $     917,234  

BAE Systems PLC

  (c)     138,240       1,141,209  

Barclays PLC

  (c)     319,800       845,798  

BP PLC

  (c)     358,270       2,067,996  

Capita PLC

  (c)     47,485       427,911  

Cobham PLC

  (c)     322,840       545,198  

HSBC Holdings PLC

  (c)     153,530       1,425,060  

Johnson Matthey PLC

  (c)     17,600       658,708  

Kingfisher PLC

  (c)     211,720       829,288  

Rolls-Royce Holdings PLC

  (c)     42,650       494,681  

SIG PLC

  (d)     368,740       713,674  

Standard Chartered PLC

  (a)(c)     171,100       1,732,936  

Vodafone Group PLC

  (c)     233,940       664,378  
     

 

 

 
        12,464,071  
     

 

 

 
South Korea – 10.0%                

Dongbu Insurance Co. Ltd.

  (c)     9,026       536,397  

Hana Financial Group, Inc.

  (c)     42,130       1,663,819  

Hyundai Mobis Co. Ltd.

  (c)     4,623       1,010,642  

KB Financial Group, Inc.

  (c)     18,220       919,932  

Korea Investment Holdings Co. Ltd.

  (c)     13,799       845,571  

Samsung Electronics Co. Ltd.

  (c)     1,375       2,863,878  
     

 

 

 
        7,840,239  
     

 

 

 
Japan – 10.0%                

Astellas Pharma, Inc.

  (c)     67,300       824,875  

Inpex Corp.

  (c)     61,700       595,742  

Kirin Holdings Co. Ltd.

  (c)     38,500       785,346  

Panasonic Corp.

  (c)     65,300       889,729  

SoftBank Group Corp.

  (c)     26,400       2,146,059  

Sumitomo Metal Mining Co. Ltd.

  (c)     47,000       628,206  

Sumitomo Rubber Industries Ltd.

  (c)     51,300       868,792  

Suntory Beverage & Food Ltd.

  (c)     16,700       776,230  

Taiheiyo Cement Corp.

  (c)     78,200       285,980  
     

 

 

 
        7,800,959  
     

 

 

 
France – 8.1%                

AXA SA

  (c)     35,720       978,133  

BNP Paribas SA

  (c)     21,430       1,542,803  

Cie Generale des Etablissements Michelin

  (c)     4,288       570,707  

Sanofi

  (c)     17,220       1,650,019  

TOTAL SA

  (c)     31,640       1,570,830  
     

 

 

 
        6,312,492  
     

 

 

 
Netherlands – 7.5%                

Aegon NV

  (c)     270,070       1,382,193  

Flow Traders

  (b)(c)     15,070       415,862  

ING Groep NV

  (c)     56,650       977,935  

QIAGEN NV

  (c)     37,960       1,263,071  

Royal Dutch Shell PLC

  (c)     68,270       1,832,803  
     

 

 

 
        5,871,864  
     

 

 

 
China – 6.9%                

Baidu, Inc. – ADR

  (a)     10,010       1,790,389  

China Life Insurance Co. Ltd.

  (c)     249,000       760,958  

China Telecom Corp. Ltd.

  (c)     2,000,000       949,726  

Shandong Weigao Group Medical Polymer Co. Ltd.

  (c)     660,000       517,788  

Sinopec Engineering Group Co. Ltd.

  (c)     800,500       721,189  

Sinopharm Group Co. Ltd.

  (c)     155,200       701,179  
     

 

 

 
        5,441,229  
     

 

 

 
Germany – 6.5%                

Bayer AG

  (c)     10,130       1,312,950  

Gerresheimer AG

  (c)     10,040       808,055  

Merck KGaA

  (c)     8,080       977,669  

MorphoSys AG

  (a)(c)     9,530       676,397  

Siemens AG

  (c)     4,697       646,091  

Telefonica Deutschland Holding AG

  (c)     129,160       645,928  
     

 

 

 
        5,067,090  
     

 

 

 
Common Stocks (Continued)        Shares     Value  
Canada – 6.2%                

Alamos Gold, Inc.

      119,339     $ 856,854  

Barrick Gold Corp.

      57,440       913,870  

Eldorado Gold Corp.

      273,534       725,599  

Ensign Energy Services, Inc.

      80,800       431,789  

Husky Energy, Inc.

  (a)     47,600       540,308  

Precision Drilling Corp.

  (a)     194,000       662,724  

Suncor Energy, Inc.

      25,700       750,905  
     

 

 

 
        4,882,049  
     

 

 

 
Switzerland – 4.1%                

GAM Holding AG

  (c)     38,820       521,928  

Roche Holding AG

  (c)     7,040       1,798,824  

UBS Group AG

  (c)     53,480       909,475  
     

 

 

 
        3,230,227  
     

 

 

 
Taiwan – 3.2%                

Catcher Technology Co. Ltd.

  (c)     93,000       1,108,414  

Quanta Computer, Inc.

  (c)     283,000       669,441  

Taiwan Semiconductor Manufacturing Co. Ltd.

  (c)     107,000       731,047  
     

 

 

 
        2,508,902  
     

 

 

 
Singapore – 2.9%                

Singapore Telecommunications Ltd.

  (c)     378,900       1,070,137  

United Overseas Bank Ltd.

  (c)     70,200       1,178,562  
     

 

 

 
        2,248,699  
     

 

 

 
United States – 2.5%                

Oracle Corp.

      28,160       1,411,942  

Tahoe Resources, Inc.

      65,500       564,690  
     

 

 

 
        1,976,632  
     

 

 

 
Hong Kong – 2.3%                

China Mobile Ltd.

  (c)     64,500       683,816  

CK Hutchison Holdings Ltd.

  (c)     92,000       1,154,558  
     

 

 

 
        1,838,374  
     

 

 

 
Israel – 2.2%                

Teva Pharmaceutical Industries Ltd. – ADR

      52,980       1,759,996  
     

 

 

 
Norway – 1.9%                

Telenor ASA

  (c)     48,960       812,258  

Yara International ASA

  (c)     17,660       664,056  
     

 

 

 
        1,476,314  
     

 

 

 
Italy – 1.5%                

Eni SpA

  (c)     79,167       1,189,711  
     

 

 

 
New Zealand – 1.0%                

SKY Network Television Ltd.

  (c)     317,198       802,042  
     

 

 

 
Sweden – 0.9%                

Getinge AB

  (c)     34,850       682,581  
     

 

 

 
Thailand – 0.7%                

Kasikornbank PCL

  (c)     18,100       105,669  

PTT Exploration & Production PCL

  (c)     183,600       465,626  
     

 

 

 
        571,295  
     

 

 

 
Luxembourg – 0.7%                

SES SA

  (c)     23,210       543,738  
     

 

 

 

Total Common Stocks (Cost $73,685,995)

      $ 74,508,504  
     

 

 

 
Money Market Funds – 5.9%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      4,609,669     $ 4,609,669  
     

 

 

 

Total Money Market Funds (Cost $4,609,669)

      $ 4,609,669  
     

 

 

 

Total Investments – 100.9% (Cost $78,295,664)

  (e)     $ 79,118,173  

Liabilities in Excess of Other Assets – (0.9)%

        (674,228)  
     

 

 

 

Net Assets – 100.0%

      $ 78,443,945  
     

 

 

 
 

 

  34   (continued)


Ohio National Fund, Inc.   ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio)  (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $415,862, or 0.5% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (c) Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $63,385,764, or 80.8% of the Portfolio’s net assets.

 

  (d) As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses a stock’s local close price because the service’s measure of predictability related to their valuation model of a stock is below a chosen threshold. These securities represent $713,674, or 0.9% of the Portfolio’s net assets.

Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time.

 

  (e) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  35  


Ohio National Fund, Inc.   Aggressive Growth Portfolio

 

Objective/Strategy

The Aggressive Growth Portfolio seeks long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     23.41%  

Five years

     15.40%  

Ten years

     8.54%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.95% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Aggressive Growth Portfolio returned 17.87% versus 13.99% for its benchmark, the Russell 1000 Growth Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Many of the Portfolio’s holdings have benefitted from some of the most powerful secular growth themes in today’s economy: the shift from offline to online spending, the switch of enterprise software from on-premises data centers to the cloud, a proliferation of connected devices in the home and business, and a growing global middle class, to name a few. These themes may be well known, but they remain nascent in their development. We believe the Portfolio’s companies are still in the early innings of realizing their earnings potential as these themes push forward. We remain confident in their ability to grow earnings and welcome an environment where that growth is the key determinant of stock price appreciation.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Stock selection in the Information Technology and Health Care sectors were large drivers of the Portfolio’s outperformance. Stock selection in the Financials and Materials sectors detracted from relative results.

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Due to the concentrated nature of the Portfolio, a few individual securities can have a large impact on performance. The largest

contributors to performance included Activision Blizzard, Inc. (“Activision”), CSX Corp. (“CSX”) and Adobe Systems, Inc. The largest detractors included Tractor Supply Co., General Electric Co., and SPS Commerce, Inc.(1)

Activision’s stock has appreciated as the market has begun to recognize that the company’s digital transition enables a more durable cash flow stream and new avenues to monetize its franchises. We believe the trend toward digital gaming is a powerful tailwind for Activision. As gaming moves from physical game cartridges toward digital platforms, it reduces costs for Activision and makes it less reliant on the release of a new gaming console to drive game sales. Digital gaming also gives the company the ability to sell digital items to gamers in real-time. We also like that Activision has a number of popular game franchises, which makes the company less dependent on any single franchise and creates a loyal and receptive audience when a franchise launches a new release. We also believe Activision can improve monetization of games that it acquired from King Digital by inserting advertisements into those games for the first time. Finally, we believe the company has an opportunity to monetize viewership of its games through eSports.(1)

CSX was another large contributor to performance. The stock was up after an announcement that a new CEO with a history of improving operations at railroad companies was taking the helm at the company. We had long believed that CSX’s operating underperformance relative to other railroad companies left room for improvement, and believe better results will follow the new leadership. We believe a large rail network such as CSX’s is a valuable asset that would be hard, if not impossible, for other transportation and logistics companies to replicate. Railways also have a significant cost advantage over the trucking industry. As CSX focuses on improving its service and reliability to customers, we believe it will continue to drive more shippers to use the railway instead of trucking services.(1)

Adobe Systems, Inc. was the third largest contributor. We believe the company is poised to grow profitability as its digital media business moves from a perpetual license-based business model to a subscription-based business model. We also believe Adobe’s digital marketing business, which helps advertisers create digital content, is well positioned for the transition in advertising spending toward digital advertising platforms.(1)

Tractor Supply Co. was our largest detractor. Tractor Supply Co. provides a number of farming materials, targeting hobbyist farmers and outdoor enthusiasts. We believe the company has better buying power than subscale regional players it competes against. Much of the materials it sells have a high weight to value factor, meaning they are not as easy to ship. This insulates Tractor Supply Co. from ecommerce disruption more than many other retailers. The stock has been down due to disappointing comparative sales that have led to negative earnings revisions.(1)

General Electric, Co. (“GE”) was the second largest detractor. We have been disappointed in GE’s cash flow conversion from its industrial businesses, and sold the position during the period.(1)

SPS Commerce, Inc., which sells supply chain management software, also dragged on returns and was sold during the period.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  36   (continued)


Ohio National Fund, Inc.   Aggressive Growth Portfolio (Continued)

 

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Russell 1000 Growth Index is a market-capitalization weighted index of those firms in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. The index presented includes the effects of reinvested dividends.

Portfolio Composition as of June 30, 2017 (1)

    % of Net Assets  

Common Stocks (4)

    96.8  

Money Market Funds

 

Less Net Liabilities

    3.2  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

        % of Net Assets  
  1.         Alphabet, Inc. Class C      5.6  
  2.         Microsoft Corp.      5.2  
  3.         Activision Blizzard, Inc.      4.4  
  4.         Mastercard, Inc. Class A      4.2  
  5.         Amazon.com, Inc.      4.1  
  6.         Allergan PLC      3.7  
  7.         CSX Corp.      3.4  
  8.         Facebook, Inc. Class A      3.4  
  9.         Cooper Cos., Inc. / The      3.3  
10.         TD Ameritrade Holding Corp.      3.3  
 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     40.2  

Health Care

     25.3  

Consumer Discretionary

     15.1  

Financials

     8.4  

Industrials

     3.4  

Materials

     1.8  

Real Estate

     1.6  

Consumer Staples

     1.0  
  

 

 

 
     96.8  
  

 

 

 

 

  37  


Ohio National Fund, Inc.   Aggressive Growth Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 96.8%        Shares     Value  
CONSUMER DISCRETIONARY – 15.1%                

Delphi Automotive PLC (Auto Components)

      13,811     $   1,210,534  

Tesla Motors, Inc. (Automobiles)

  (a)     778       281,332  

Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)

      7,947       868,051  

Starbucks Corp. (Hotels, Restaurants & Leisure)

      13,248       772,491  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     2,375       2,299,000  

Ctrip.com International Ltd. – ADR (Internet & Direct Marketing Retail)

  (a)     13,847       745,799  

MakeMyTrip Ltd. (Internet & Direct Marketing Retail)

  (a)     15,435       517,844  

Tractor Supply Co. (Specialty Retail)

      10,418       564,760  

NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods)

      21,649       1,277,291  
     

 

 

 
        8,537,102  
     

 

 

 

CONSUMER STAPLES – 1.0%

     

Costco Wholesale Corp. (Food & Staples Retailing)

      3,631       580,706  
     

 

 

 

FINANCIALS – 8.4%

     

SVB Financial Group (Banks)

  (a)     7,421       1,304,538  

Intercontinental Exchange, Inc. (Capital Markets)

      23,493       1,548,659  

TD Ameritrade Holding Corp. (Capital Markets)

      43,504       1,870,237  
     

 

 

 
        4,723,434  
     

 

 

 

HEALTH CARE – 25.3%

     

Celgene Corp. (Biotechnology)

  (a)     5,549       720,649  

DBV Technologies SA – ADR (Biotechnology)

  (a)     8,731       311,784  

Regeneron Pharmaceuticals, Inc. (Biotechnology)

  (a)     3,684       1,809,360  

Boston Scientific Corp. (Health Care Equip. & Supplies)

  (a)     62,483       1,732,029  

Cooper Cos., Inc. / The (Health Care Equip. & Supplies)

      7,882       1,887,108  

DexCom, Inc. (Health Care Equip. & Supplies)

  (a)     7,280       532,532  

ICU Medical, Inc. (Health Care Equip. & Supplies)

  (a)     5,259       907,178  

Intuitive Surgical, Inc. (Health Care Equip. & Supplies)

  (a)     927       867,088  

Humana, Inc. (Health Care Providers & Svs.)

      3,818       918,687  

athenahealth, Inc. (Health Care Technology)

  (a)     6,767       951,102  

Allergan PLC (Pharmaceuticals)

      8,511       2,068,939  

Zoetis, Inc. (Pharmaceuticals)

      25,138       1,568,108  
     

 

 

 
        14,274,564  
     

 

 

 
Common Stocks (Continued)        Shares     Value  

INDUSTRIALS – 3.4%

     

CSX Corp. (Road & Rail)

      35,724     $ 1,949,101  
     

 

 

 

INFORMATION TECHNOLOGY – 40.2%

     

Harris Corp. (Communications Equip.)

      10,528       1,148,394  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     3,497       3,177,829  

CoStar Group, Inc. (Internet Software & Svs.)

  (a)     4,561       1,202,280  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     12,767       1,927,562  

Trade Desk, Inc. / The Class A (Internet Software & Svs.)

  (a)     19,968       1,000,596  

Mastercard, Inc. Class A (IT Svs.)

      19,425       2,359,166  

WEX, Inc. (IT Svs.)

  (a)     9,543       995,049  

ASML Holding NV (Semiconductors & Equip.)

      6,283       818,738  

Activision Blizzard, Inc. (Software)

      43,313       2,493,529  

Adobe Systems, Inc. (Software)

  (a)     10,998       1,555,557  

Microsoft Corp. (Software)

      42,281       2,914,429  

Salesforce.com, Inc. (Software)

  (a)     19,640       1,700,824  

Tyler Technologies, Inc. (Software)

  (a)     3,416       600,089  

Ultimate Software Group, Inc. / The (Software)

  (a)     4,053       851,374  
     

 

 

 
        22,745,416  
     

 

 

 
MATERIALS – 1.8%                

Vulcan Materials Co. (Construction Materials)

      7,973       1,010,020  
     

 

 

 
REAL ESTATE – 1.6%                

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

      9,168       918,450  
     

 

 

 

Total Common Stocks (Cost $42,921,645)

      $ 54,738,793  
     

 

 

 
Money Market Funds – 3.3%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      1,833,179     $ 1,833,179  
     

 

 

 

Total Money Market Funds (Cost $1,833,179)

      $ 1,833,179  
     

 

 

 

Total Investments – 100.1% (Cost $44,754,824)

  (b)     $ 56,571,972  

Liabilities in Excess of Other Assets – (0.1)%

        (42,247)  
     

 

 

 

Net Assets – 100.0%

      $ 56,529,725  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  38  


Ohio National Fund, Inc.   Small Cap Growth Portfolio

 

Objective/Strategy

The Small Cap Growth Portfolio seeks long-term capital appreciation by investing at least 80% of its net assets in stocks of small capitalization companies.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     20.66%  

Five years

     15.09%  

Ten years

     9.17%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.86% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Small Cap Growth Portfolio returned 13.45% versus 9.97% for its benchmark, the Russell 2000 Growth Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. We categorize the market environment since the November presidential election as one long on hope and short on pragmatism. It’s not that there aren’t reasons to be positive: the U.S. economy looks healthier than at any point since before the financial crisis, corporate earnings are improving and the number of fundamentally positive meetings we’ve had with management teams is higher than we’ve seen in years. That optimism, however, is reflected in valuations … and then some.

Small cap stock valuations are well above their long-term averages. The stock price for many small cap companies already reflects a rosy scenario of tax cuts and regulatory rollbacks from the Trump administration. These benefits seem to us to be far from certain. A prolonged battle to reform the health insurance market - a core tenet of the President and the controlling party in the House and Senate - shows that drastic reform is hard to come by, if it comes at all.

Geopolitical risk, meanwhile, seems lost on the market. Despite elevated tensions with Russia and North Korea and the threat of upending free-trade pacts, the Chicago Board Options Exchange Volatility Index (“VIX”) has barely budged from a historically low level.

Our outlook for stocks and the broader business environment is a little more grounded. We think the economy will remain healthy, but

aren’t betting on tax reform or a major infrastructure spending initiative any time in 2017. If that proves correct, stocks will likely have to adjust. We don’t expect a major downturn in markets, but expect a lower return environment going forward, with the possibility for a negative surprise within small-cap stocks greater than the possibility for a positive one.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. At the sector level, stock selection in the Information Technology and Industrials sectors were large contributors to the Portfolio’s outperformance. Stock selection in the Health Care and Consumer Discretionary sectors detracted from relative results.(1)

We have taken a high-quality approach to investing in small cap stocks, focusing on companies we believe have more predictable, growing revenue streams. The companies we favor typically generate a high return on invested capital or demonstrate a proven ability to expand profit margins. These companies are often defined by sustainable competitive advantages such as high barriers to entry in their respective industry or a differentiated product or service that gives them pricing power, helping the company grow in a variety of market and economic environments. The current market environment favored our investment style, as higher quality stocks returned to favor.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. U.S. small cap stocks gained ground in the six-month period, but a stylistic change in market tone favored a new set of market leaders. Over the six-month period, companies with more established earnings profiles generally outperformed the smaller companies and more cyclical stocks that had enjoyed stronger returns in the first few months after the November election. Health Care and Information Technology were among the top performing sectors within the Russell 2000 Growth Index during the period, while the Energy and Consumer Staples sectors lagged. Energy stocks fell as oil prices dipped during the second quarter.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top contributors to performance were as follows:

Puma Biotechnology, Inc.: The development-stage biotechnology company develops novel therapeutics for the treatment of various forms of cancer. Puma focuses on in-licensing drug candidates that are undergoing or have already completed initial clinical testing and then seeks to further develop those drug candidates for commercial use. We like the potential for one of the company’s lead drugs, Neratinib, to treat a subset of women with breast cancer.(1)

Cadence Design Systems, Inc.:  Cadence sells its electronic design automation software to customers who use it to design semiconductors and electronic systems. We believe the company’s semiconductor design software is becoming increasingly important as semiconductors grow more complex. As one of only two companies specializing in this market segment, Cadence should be able to increase pricing and profits. We also appreciate the company’s intellectual property licensing business, which we believe is a high-margin, high-growth operation.(1)

SS&C Technologies Holdings, Inc. (“SS&C”): The company is a global provider of investment and financial software-enabled

 

 

  39   (continued)


Ohio National Fund, Inc.   Small Cap Growth Portfolio (Continued)

 

services and is focused exclusively on the global financial services industry. We like SS&C because the majority of its revenue comes from recurring sources such as subscription services or software maintenance, where client retention has remained high.(1)

The top detractors from performance were as follows:

Sally Beauty Holdings, Inc.: The company is a retailer of hair and beauty products. We think the company is uniquely positioned with a broader and higher-quality product lineup than mass retailers, but which sell at attractive price points relative to salons.(1)

National CineMedia, Inc.: The company provides pre-feature advertising in movie theaters. We sold the position during the period to pursue better growth opportunities in the Portfolio.(1)

Biglari Holdings, Inc.: The company owns or has ownership stakes in a number of companies including Steak ‘n Shake and Cracker Barrel restaurants, Maxim magazine and First Guard Insurance, among others. We see the opportunity for the company to improve earnings as it turns around profitability at Maxim, expands margins at Steak ‘n Shake as it sells franchising rights to more of its stores and as the company potentially disposes of some of its less profitable businesses.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio participated in four Initial Public Offerings (IPOs) over the period, which had a favorable impact on performance. Floor & Decor Holdings, Inc. and MuleSoft, Inc. each contributed 3 basis points, Canada Goose Holdings, Inc. contributed 2 basis points, and Yext, Inc. contributed 1 basis point to performance during the period. The Portfolio did not use derivatives during the period.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes the Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity markets. The index presented includes the effects of reinvested dividends.

 

 

  40   (continued)


Ohio National Fund, Inc.   Small Cap Growth Portfolio (Continued)

 

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    96.6  

Master Limited Partnerships (4)

    2.4  

U.S. Government Agency Issues

    1.4  

Money Market Funds
Less Net Liabilities

    (0.4
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

        % of Net Assets  
  1.         Broadridge Financial Solutions, Inc.      2.3  
  2.         Nice Ltd. – ADR      2.2  
  3.         SS&C Technologies Holdings, Inc.      2.1  
  4.         Blackbaud, Inc.      2.1  
  5.         Cadence Design Systems, Inc.      2.0  
  6.         STERIS PLC      1.9  
  7.         HEICO Corp. Class A      1.9  
  8.         ServiceMaster Global Holdings, Inc.      1.9  
  9.         Sensient Technologies Corp.      1.8  
10.         Euronet Worldwide, Inc.      1.8  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Common Stocks, Master Limited Partnerships):

 

     % of Net Assets  

Information Technology

     34.1  

Health Care

     20.8  

Industrials

     13.8  

Consumer Discretionary

     11.0  

Financials

     8.1  

Materials

     5.0  

Real Estate

     2.8  

Consumer Staples

     2.3  

Energy

     1.1  
  

 

 

 
     99.0  
  

 

 

 

 

  41  


Ohio National Fund, Inc.   Small Cap Growth Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 96.6%        Shares     Value  
CONSUMER DISCRETIONARY – 9.7%                

Gentherm, Inc. (Auto Components)

  (a)     34,297     $     1,330,724  

Visteon Corp. (Auto Components)

  (a)     8,985       917,009  

ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.)

  (a)     117,523       4,605,726  

Biglari Holdings, Inc. (Hotels, Restaurants & Leisure)

  (a)     7,442       2,974,865  

Domino’s Pizza Group PLC (Hotels, Restaurants & Leisure)

  (b)     388,472       1,486,822  

Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure)

      46,408       2,558,009  

Playa Hotels & Resorts NV (Hotels, Restaurants & Leisure)

  (a)     93,385       1,115,951  

MakeMyTrip Ltd. (Internet & Direct Marketing Retail)

  (a)     45,599       1,529,846  

Manchester United PLC Class A (Media)

      75,977       1,234,626  

Sally Beauty Holdings, Inc. (Specialty Retail)

  (a)     140,144       2,837,916  

Williams-Sonoma, Inc. (Specialty Retail)

      27,142       1,316,387  

Carter’s, Inc. (Textiles, Apparel & Luxury Goods)

      24,041       2,138,447  
     

 

 

 
        24,046,328  
     

 

 

 

CONSUMER STAPLES – 2.3%

     

Britvic PLC (Beverages)

  (b)     69,459       626,047  

Casey’s General Stores, Inc. (Food & Staples Retailing)

      8,882       951,351  

Amplify Snack Brands, Inc. (Food Products)

  (a)     84,748       816,971  

Ontex Group NV (Personal Products)

  (b)     89,193       3,168,657  
     

 

 

 
        5,563,026  
     

 

 

 

FINANCIALS – 8.1%

     

Bank of the Ozarks, Inc. (Banks)

      3,674       172,200  

Texas Capital Bancshares, Inc. (Banks)

  (a)     16,299       1,261,543  

Financial Engines, Inc. (Capital Markets)

      63,445       2,322,087  

LPL Financial Holdings, Inc. (Capital Markets)

      68,097       2,891,399  

MSCI, Inc. (Capital Markets)

      36,188       3,727,002  

WisdomTree Investments, Inc. (Capital Markets)

      124,305       1,264,182  

SLM Corp. (Consumer Finance)

  (a)     153,399       1,764,089  

Cision Ltd. (Diversified Financial Svs.)

  (a)     149,278       1,536,071  

Kingstone Cos., Inc. (Insurance)

      100,000       1,530,000  

RLI Corp. (Insurance)

      31,067       1,696,879  

LendingTree, Inc. (Thrifts & Mortgage Finance)

  (a)     11,453       1,972,207  
     

 

 

 
        20,137,659  
     

 

 

 
HEALTH CARE – 20.8%                

ACADIA Pharmaceuticals, Inc. (Biotechnology)

  (a)     49,837       1,389,954  

Axovant Sciences Ltd. (Biotechnology)

  (a)     22,232       515,560  

DBV Technologies SA – ADR (Biotechnology)

  (a)     37,345       1,333,590  

Eagle Pharmaceuticals, Inc. (Biotechnology)

  (a)     34,317       2,707,268  

Ironwood Pharmaceuticals, Inc. (Biotechnology)

  (a)     102,889       1,942,544  

Knight Therapeutics, Inc. (Biotechnology)

  (a)     206,998       1,642,512  

Ligand Pharmaceuticals, Inc. (Biotechnology)

  (a)     19,584       2,377,498  

Neurocrine Biosciences, Inc. (Biotechnology)

  (a)     22,012       1,012,552  

Puma Biotechnology, Inc. (Biotechnology)

  (a)     26,813       2,343,456  

AngioDynamics, Inc. (Health Care Equip. & Supplies)

  (a)     71,065       1,151,964  

Atrion Corp. (Health Care Equip. & Supplies)

      1,667       1,072,381  

Globus Medical, Inc. (Health Care Equip. & Supplies)

  (a)     44,837       1,486,347  

ICU Medical, Inc. (Health Care Equip. & Supplies)

  (a)     15,564       2,684,790  

Novadaq Technologies, Inc. (Health Care Equip. & Supplies)

  (a)     21,576       252,871  

STERIS PLC (Health Care Equip. & Supplies)

      58,450       4,763,675  

Trinity Biotech PLC – ADR (Health Care Equip. & Supplies)

  (a)     104,778       628,668  

Wright Medical Group NV (Health Care Equip. & Supplies)

  (a)     57,753       1,587,630  

Capital Senior Living Corp. (Health Care Providers & Svs.)

  (a)     78,273       1,190,532  

Diplomat Pharmacy, Inc. (Health Care Providers & Svs.)

  (a)     50,238       743,522  

HealthEquity, Inc. (Health Care Providers & Svs.)

  (a)     37,958       1,891,447  
Common Stocks (Continued)        Shares     Value  
HEALTH CARE (continued)                

athenahealth, Inc. (Health Care Technology)

  (a)     18,387     $     2,584,293  

HealthStream, Inc. (Health Care Technology)

  (a)     66,147       1,740,989  

Medidata Solutions, Inc. (Health Care Technology)

  (a)     9,421       736,722  

Bio-Techne Corp. (Life Sciences Tools & Svs.)

      19,254       2,262,345  

NeoGenomics, Inc. (Life Sciences Tools & Svs.)

  (a)     168,263       1,507,636  

Aratana Therapeutics, Inc. (Pharmaceuticals)

  (a)     131,189       948,496  

Catalent, Inc. (Pharmaceuticals)

  (a)     121,801       4,275,215  

GW Pharmaceuticals PLC – ADR (Pharmaceuticals)

  (a)     12,365       1,239,591  

Prestige Brands Holdings, Inc. (Pharmaceuticals)

  (a)     47,610       2,514,284  

Teligent, Inc. (Pharmaceuticals)

  (a)     123,292       1,128,122  
     

 

 

 
            51,656,454  
     

 

 

 

INDUSTRIALS – 13.8%

     

HEICO Corp. Class A (Aerospace & Defense)

      76,145       4,724,797  

Echo Global Logistics, Inc. (Air Freight & Logistics)

  (a)     53,258       1,059,834  

A.O. Smith Corp. (Building Products)

      46,914       2,642,666  

CSW Industrials, Inc. (Building Products)

  (a)     65,322       2,524,695  

EnerSys (Electrical Equip.)

      28,251       2,046,785  

ITT, Inc. (Machinery)

      52,447       2,107,320  

Kennametal, Inc. (Machinery)

      43,183       1,615,908  

Nordson Corp. (Machinery)

      20,602       2,499,435  

Proto Labs, Inc. (Machinery)

  (a)     16,965       1,140,896  

Rexnord Corp. (Machinery)

  (a)     132,581       3,082,508  

Standex International Corp. (Machinery)

      20,992       1,903,974  

Wabtec Corp. (Machinery)

      18,952       1,734,108  

Advisory Board Co. / The (Professional Svs.)

  (a)     38,549       1,985,274  

AMERCO (Road & Rail)

      4,709       1,723,777  

Old Dominion Freight Line, Inc. (Road & Rail)

      28,334       2,698,530  

SiteOne Landscape Supply, Inc. (Trading Companies & Distributors)

  (a)     15,065       784,284  
     

 

 

 
          34,274,791  
     

 

 

 
INFORMATION TECHNOLOGY – 34.1%                

Belden, Inc. (Electronic Equip., Instr. & Comp.)

      55,508       4,186,968  

CTS Corp. (Electronic Equip., Instr. & Comp.)

      134,103       2,896,625  

National Instruments Corp. (Electronic Equip., Instr. & Comp.)

      42,964       1,728,012  

OSI Systems, Inc. (Electronic Equip., Instr. & Comp.)

  (a)     30,519       2,293,503  

Alarm.com Holdings, Inc. (Internet Software & Svs.)

  (a)     49,697       1,870,098  

ChannelAdvisor Corp. (Internet Software & Svs.)

  (a)     98,409       1,136,624  

Cimpress NV (Internet Software & Svs.)

  (a)     23,624       2,233,177  

CoStar Group, Inc. (Internet Software & Svs.)

  (a)     10,143       2,673,695  

Envestnet, Inc. (Internet Software & Svs.)

  (a)     66,665       2,639,934  

Instructure, Inc. (Internet Software & Svs.)

  (a)     53,240       1,570,580  

J2 Global, Inc. (Internet Software & Svs.)

      43,486       3,700,224  

Trade Desk, Inc. / The Class A (Internet Software & Svs.)

  (a)     29,765       1,491,524  

Yext, Inc. (Internet Software & Svs.)

  (a)     97,455       1,299,075  

Zillow Group, Inc. (Internet Software & Svs.)

  (a)     44,564       2,176,506  

Broadridge Financial Solutions, Inc. (IT Svs.)

      75,759       5,724,350  

Euronet Worldwide, Inc. (IT Svs.)

  (a)     49,942       4,363,433  

MAXIMUS, Inc. (IT Svs.)

      41,455       2,596,327  

WEX, Inc. (IT Svs.)

  (a)     32,337       3,371,779  

ON Semiconductor Corp. (Semiconductors & Equip.)

  (a)     279,884       3,929,571  

SolarEdge Technologies, Inc. (Semiconductors & Equip.)

  (a)     48,485       969,700  

Blackbaud, Inc. (Software)

      60,272       5,168,324  

Cadence Design Systems, Inc. (Software)

  (a)     147,799       4,949,788  

Descartes Systems Group, Inc. / The (Software)

  (a)     90,079       2,191,543  

Everbridge, Inc. (Software)

  (a)     23,921       582,716  

Guidewire Software, Inc. (Software)

  (a)     24,556       1,687,243  

Nice Ltd. – ADR (Software)

      70,356       5,538,424  

Paylocity Holding Corp. (Software)

  (a)     48,869       2,207,901  

RealPage, Inc. (Software)

  (a)     45,067       1,620,159  

SS&C Technologies Holdings, Inc. (Software)

      137,181       5,269,122  
 

 

  42   (continued)


Ohio National Fund, Inc.   Small Cap Growth Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

    
Common Stocks (Continued)
       Shares     Value  
INFORMATION TECHNOLOGY (continued)                

Tyler Technologies, Inc. (Software)

  (a)     13,771     $ 2,419,152  
     

 

 

 
        84,486,077  
     

 

 

 
MATERIALS – 5.0%                

H.B. Fuller Co. (Chemicals)

      28,729       1,468,339  

Sensient Technologies Corp. (Chemicals)

      56,184       4,524,497  

Valvoline, Inc. (Chemicals)

      112,051       2,657,850  

Summit Materials, Inc. Class A (Construction Materials)

  (a)     72,655       2,097,550  

Winpak Ltd. (Containers & Packaging)

      36,843       1,654,071  
     

 

 

 
        12,402,307  
     

 

 

 
REAL ESTATE – 2.8%                

Condor Hospitality Trust, Inc. (Equity Real Estate Investment Trusts)

      95,745       1,026,386  

Easterly Government Properties, Inc. (Equity Real Estate Investment Trusts)

      82,078       1,719,534  

Physicians Realty Trust (Equity Real Estate Investment Trusts)

      68,223       1,374,011  

Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development)

      13,534       1,691,750  

St. Joe Co. / The (Real Estate Mgmt. & Development)

  (a)     61,731       1,157,457  
     

 

 

 
        6,969,138  
     

 

 

 

Total Common Stocks (Cost $187,665,877)

      $ 239,535,780  
     

 

 

 
Master Limited Partnerships – 2.4%        Shares     Value  
CONSUMER DISCRETIONARY – 1.3%                

Cedar Fair LP (Hotels, Restaurants & Leisure)

      45,633     $     3,290,139  
     

 

 

 

ENERGY – 1.1%

     

DCP Midstream Partners LP (Oil, Gas & Consumable Fuels)

      76,167       2,576,730  
     

 

 

 

Total Master Limited Partnerships (Cost $5,330,913)

      $ 5,866,869  
     

 

 

 
U.S. Government Agency
Issues – 1.4%
       Rate     Maturity     Face Amount     Value  

Federal Home Loan Bank

      0.650%       07/03/2017     $ 3,600,000     $     3,599,870  
         

 

 

 

Total U.S. Government Agency Issues (Cost $3,599,870)

          $ 3,599,870  
         

 

 

 
Money Market Funds – 0.3%          Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

          681,953     $ 681,953  
         

 

 

 

Total Money Market Funds (Cost $681,953)

      $ 681,953  
         

 

 

 

Total Investments – 100.7% (Cost $197,278,613)

    (c)       $ 249,684,472  

Liabilities in Excess of Other Assets – (0.7)%

        (1,729,575)  
         

 

 

 

Net Assets – 100.0%

      $ 247,954,897  
         

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $5,281,526, or 2.1% of the Portfolio’s net assets.

Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time.

 

  (c) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  43  


Ohio National Fund, Inc.   Mid Cap Opportunity Portfolio

 

Objective/Strategy

The Mid Cap Opportunity Portfolio seeks long-term total return by investing at least 80% of its net assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth.

 

Performance as of June 30, 2017

 

Average Annual Returns

  

One year

     14.07%  

Five years

     11.87%  

Ten years

     4.77%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.98% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Mid Cap Opportunity Portfolio returned 14.82% versus 11.40% for its benchmark, the Russell Midcap Growth Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Stock selection was the primary driver of the Portfolio’s outperformance during the period. The Portfolio benefitted from a reversal in some securities that underperformed in 2016, as well as from mergers and acquisition activity that positively impacted some of the Portfolio’s holdings.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Stock selection within the Consumer Discretionary and Industrials sectors contributed the most to the Portfolio’s relative outperformance. Stock selection within the Information Technology and Financials sectors detracted most from relative returns. Sector allocation did not have a significant impact on the Portfolio’s relative performance.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Panera Bread Co. Class A (“Panera”) was a top contributor to relative returns during the period. In this time, the company reported strong fourth quarter results, with earnings ahead of market estimates driven by better than expected operating margins. The company also announced record new store sales volume and 2017

guidance that was ahead of market expectations. Later in the period, the company’s share price rose sharply as it was announced that JAB Holding Company would be purchasing the fast casual restaurant chain. The premium paid for Panera was a positive recognition of Panera’s previous investments to improve efficiencies and grow margins. Following strong year-to-date performance and a potential shift in leadership, we felt it prudent to exit the position and look for opportunities elsewhere.(1)

Advance Auto Parts, Inc. was a top detractor from relative returns during the period. Throughout the period, the stock had been weak, as a combination of concerns around increased competition within the auto part industry and weaker than expected earnings weighed on the company. The company announced first quarter earnings during the period that were lower than market estimates, causing the stock to fall even further. Despite the weakness, the comparable same store sales growth trends are moving in the right direction and we believe the company could greatly benefit from planned internal improvements to increase its margin structure. Overall, Advance Auto Parts, Inc. is an attractively valued business that has a compelling earnings growth opportunity over the long-term.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio did not utilize derivatives during the period.

The Portfolio participated in two IPOs during the period: Snap, Inc. and Altice USA, Inc. The Portfolio’s position in Snap, Inc. contributed 3 basis points to relative performance during the period, while the Portfolio’s position in Altice USA, Inc. contributed 2 basis points to relative performance.

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Russell Midcap Growth Index is a subset of the Russell Midcap Index, which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Russell Midcap Growth Index measures the performance of those stocks of the Russell Midcap Index with higher price-to-book ratios and higher relative forecasted growth rates. The index presented includes the effects of reinvested dividends.

 

 

  44   (continued)


Ohio National Fund, Inc.   Mid Cap Opportunity Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    97.9  

Money Market Funds
Less Net Liabilities

    2.1  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

        % of Net Assets  
  1.         Amphenol Corp. Class A      3.0  
  2.         Xylem, Inc.      2.9  
  3.         Roper Technologies, Inc.      2.8  
  4.         Edwards Lifesciences Corp.      2.5  
  5.         Northern Trust Corp.      2.4  
  6.         Middleby Corp. / The      2.4  
  7.         Mettler-Toledo International, Inc.      2.2  
  8.         Zoetis, Inc.      2.2  
  9.         Ross Stores, Inc.      2.2  
10.         Intercontinental Exchange, Inc.      2.1  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     24.1  

Industrials

     17.1  

Health Care

     15.6  

Consumer Discretionary

     15.2  

Financials

     10.5  

Materials

     6.0  

Consumer Staples

     4.7  

Real Estate

     2.7  

Energy

     2.0  
  

 

 

 
     97.9  
  

 

 

 

 

  45  


Ohio National Fund, Inc.   Mid Cap Opportunity Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 97.9%        Shares     Value  
CONSUMER DISCRETIONARY – 15.2%                

Delphi Automotive PLC (Auto Components)

      4,518     $      396,003  

Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure)

      12,890       710,497  

Yum! Brands, Inc. (Hotels, Restaurants & Leisure)

      10,296       759,433  

Newell Brands, Inc. (Household Durables)

      28,362       1,520,770  

Expedia, Inc. (Internet & Direct Marketing Retail)

      10,281       1,531,355  

Altice U.S.A., Inc. (Media)

  (a)     4,269       137,889  

CBS Corp. Class B (Media)

      12,004       765,615  

Advance Auto Parts, Inc. (Specialty Retail)

      6,145       716,446  

Five Below, Inc. (Specialty Retail)

  (a)     13,357       659,435  

O’Reilly Automotive, Inc. (Specialty Retail)

  (a)     2,075       453,885  

Ross Stores, Inc. (Specialty Retail)

      28,809       1,663,144  

Ulta Beauty, Inc. (Specialty Retail)

  (a)     3,894       1,118,902  

PVH Corp. (Textiles, Apparel & Luxury Goods)

      8,373       958,709  
     

 

 

 
        11,392,083  
     

 

 

 
CONSUMER STAPLES – 4.7%                

Molson Coors Brewing Co. Class B (Beverages)

      5,460       471,416  

Monster Beverage Corp. (Beverages)

  (a)     18,640       926,035  

Blue Buffalo Pet Products, Inc. (Food Products)

  (a)     30,593       697,826  

Hershey Co. / The (Food Products)

      8,793       944,104  

Snyder’s-Lance, Inc. (Food Products)

      12,687       439,224  
     

 

 

 
        3,478,605  
     

 

 

 
ENERGY – 2.0%                

Dril-Quip, Inc. (Energy Equip. & Svs.)

  (a)     4,346       212,085  

Concho Resources, Inc. (Oil, Gas & Consumable Fuels)

  (a)     5,460       663,554  

Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)     6,745       599,023  
     

 

 

 
        1,474,662  
     

 

 

 
FINANCIALS – 10.5%                

Eagle Bancorp, Inc. (Banks)

  (a)     16,753       1,060,465  

First Republic Bank (Banks)

      10,273       1,028,327  

SunTrust Banks, Inc. (Banks)

      14,136       801,794  

Affiliated Managers Group, Inc. (Capital Markets)

      4,658       772,576  

Intercontinental Exchange, Inc. (Capital Markets)

      23,794       1,568,500  

Lazard Ltd. Class A (Capital Markets)

      18,521       858,078  

Northern Trust Corp. (Capital Markets)

      18,435       1,792,066  
     

 

 

 
        7,881,806  
     

 

 

 
HEALTH CARE – 15.6%                

ACADIA Pharmaceuticals, Inc. (Biotechnology)

  (a)     10,927       304,754  

Alkermes PLC (Biotechnology)

  (a)     15,507       898,941  

Exelixis, Inc. (Biotechnology)

  (a)     17,049       419,917  

Incyte Corp. (Biotechnology)

  (a)     7,823       984,994  

Neurocrine Biosciences, Inc. (Biotechnology)

  (a)     7,610       350,060  

Vertex Pharmaceuticals, Inc. (Biotechnology)

  (a)     3,708       477,850  

Edwards Lifesciences Corp. (Health Care Equip. & Supplies)

  (a)     15,772       1,864,881  

Nevro Corp. (Health Care Equip. & Supplies)

  (a)     7,617       566,933  

Agilent Technologies, Inc. (Life Sciences Tools & Svs.)

      21,309       1,263,837  

Illumina, Inc. (Life Sciences Tools & Svs.)

  (a)     6,892       1,195,900  

Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.)

  (a)     2,851       1,677,928  

Zoetis, Inc. (Pharmaceuticals)

      26,706       1,665,920  
     

 

 

 
        11,671,915  
     

 

 

 
INDUSTRIALS – 17.1%                

L3 Technologies, Inc. (Aerospace & Defense)

      5,530       923,952  
Common Stocks – 97.9%        Shares     Value  
INDUSTRIALS (continued)                

Fortune Brands Home & Security, Inc. (Building Products)

      12,649     $ 825,221  

Hubbell, Inc. (Electrical Equip.)

      4,993       565,058  

Sensata Technologies Holding NV (Electrical Equip.)

  (a)     27,057       1,155,875  

Roper Technologies, Inc. (Industrial Conglomerates)

      9,090       2,104,608  

Fortive Corp. (Machinery)

      18,918       1,198,455  

IDEX Corp. (Machinery)

      6,332       715,579  

John Bean Technologies Corp. (Machinery)

      5,888       577,024  

Middleby Corp. / The (Machinery)

  (a)     14,710       1,787,412  

WABCO Holdings, Inc. (Machinery)

  (a)     6,332       807,393  

Xylem, Inc. (Machinery)

      38,809       2,151,183  
     

 

 

 
        12,811,760  
     

 

 

 
INFORMATION TECHNOLOGY – 24.1%                

Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.)

      30,048       2,218,143  

GoDaddy, Inc. Class A (Internet Software & Svs.)

  (a)     19,136       811,749  

Black Knight Financial Services, Inc. Class A (IT Svs.)

  (a)     34,168       1,399,180  

Fiserv, Inc. (IT Svs.)

  (a)     11,846       1,449,240  

Global Payments, Inc. (IT Svs.)

      14,436       1,303,860  

Total System Services, Inc. (IT Svs.)

      22,051       1,284,471  

Analog Devices, Inc. (Semiconductors & Equip.)

      16,513       1,284,711  

Lam Research Corp. (Semiconductors & Equip.)

      7,347       1,039,086  

Qorvo, Inc. (Semiconductors & Equip.)

  (a)     5,390       341,295  

Xilinx, Inc. (Semiconductors & Equip.)

      15,132       973,290  

Autodesk, Inc. (Software)

  (a)     8,575       864,531  

Electronic Arts, Inc. (Software)

  (a)     8,094       855,698  

Intuit, Inc. (Software)

      10,818       1,436,739  

Red Hat, Inc. (Software)

  (a)     10,312       987,374  

ServiceNow, Inc. (Software)

  (a)     6,963       738,078  

Splunk, Inc. (Software)

  (a)     8,479       482,370  

Tyler Technologies, Inc. (Software)

  (a)     3,201       562,320  
     

 

 

 
        18,032,135  
     

 

 

 
MATERIALS – 6.0%                

Ashland Global Holdings, Inc. (Chemicals)

      6,519       429,667  

RPM International, Inc. (Chemicals)

      23,934       1,305,600  

Sherwin-Williams Co. / The (Chemicals)

      1,800       631,728  

Valvoline, Inc. (Chemicals)

      38,482       912,793  

Avery Dennison Corp. (Containers & Packaging)

      14,082       1,244,426  
     

 

 

 
        4,524,214  
     

 

 

 
REAL ESTATE – 2.7%                

Equinix, Inc. (Equity Real Estate Investment Trusts)

      2,060       884,070  

SBA Communications Corp. (Equity Real Estate Investment Trusts)

  (a)     8,233       1,110,632  
     

 

 

 
        1,994,702  
     

 

 

 

Total Common Stocks (Cost $60,664,340)

      $ 73,261,882  
     

 

 

 
Money Market Funds – 2.2%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      1,606,763     $ 1,606,763  
     

 

 

 

Total Money Market Funds (Cost $1,606,763)

      $ 1,606,763  
     

 

 

 

Total Investments – 100.1%
(Cost $62,271,103)

  (b)     $ 74,868,645  

Liabilities in Excess of Other
Assets – (0.1)%

        (56,101)  
     

 

 

 

Net Assets – 100.0%

      $ 74,812,544  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

  46  

The accompanying notes are an integral part of these financial statements.


Ohio National Fund, Inc.   S&P 500® Index Portfolio

 

Objective/Strategy

The S&P 500® Index Portfolio seeks total return approximating that of the Standard & Poor’s 500® Index (S&P 500® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P 500® Index by investing more than 80% of its net assets in the securities included in the S&P 500® Index.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     17.43%  

Five years

     14.09%  

Ten years

     6.68%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.42% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the S&P 500® Index Portfolio returned 9.13% versus 9.34% for the benchmark, S&P 500® Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. The Portfolio intends to approximate the underlying return of the S&P 500® Index. There were no material market events or changes in strategy that impacted the Portfolio’s relative return for the period.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio is managed on a risk-controlled basis and is constructed to closely replicate its benchmark index. The expected sources of performance variance include the impact of trading daily cash flows, including trading commissions, and the operating expenses of the Portfolio.

The best performing sectors for the Portfolio and benchmark were Information Technology, Health Care, and Consumer Discretionary, while Energy and Telecommunications Services were the key laggards.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The largest contributors to the Portfolio and benchmark returns for the period were Apple, Inc., Amazon.com, Inc., and Facebook,

Inc. Class A. The largest detractors from the Portfolio and benchmark returns for the period were General Electric Co., Exxon Mobil Corp., and Verizon Communications, Inc.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio uses S&P 500® Index futures contracts primarily to equitize open dividend receivables, as well as to manage day-to-day cash flows to ensure that the Portfolio is fully invested. The futures did not meaningfully impact performance due to their index characteristics and size in relation to Portfolio net assets.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting. Investors cannot invest directly in an index, although they can invest in its underlying securities or funds.

The S&P 500® Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.

The S&P 500® Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by Ohio National Investments, Inc. (“ONI”) Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by ONI. The S&P 500® Index Portfolio of Ohio National Fund, Inc. is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500® Index.

 

 

  47   (continued)


Ohio National Fund, Inc.   S&P 500® Index Portfolio (Continued)

 

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    99.8  

Money Market Funds and
Other Net Assets

    0.2  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

        % of Net Assets  
  1.         Apple, Inc.      3.6  
  2.         Microsoft Corp.      2.6  
  3.         Amazon.com, Inc.      1.8  
  4.         Facebook, Inc. Class A      1.7  
  5.         Johnson & Johnson      1.7  
  6.         Exxon Mobil Corp.      1.6  
  7.         JPMorgan Chase & Co.      1.6  
  8.         Berkshire Hathaway, Inc. Class B      1.5  
  9.         Alphabet, Inc. Class A      1.3  
10.         Alphabet, Inc. Class C      1.3  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     22.2  

Financials

     14.5  

Health Care

     14.5  

Consumer Discretionary

     12.3  

Industrials

     10.3  

Consumer Staples

     9.0  

Energy

     6.0  

Utilities

     3.2  

Real Estate

     2.9  

Materials

     2.8  

Telecommunication Services

     2.1  
  

 

 

 
     99.8  
  

 

 

 

 

 

  48  


Ohio National Fund, Inc.   S&P 500® Index Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 99.8%        Shares     Value  
CONSUMER DISCRETIONARY – 12.3%                

BorgWarner, Inc. (Auto Components)

      8,651     $        366,456  

Delphi Automotive PLC (Auto Components)

      11,624       1,018,844  

Goodyear Tire & Rubber Co. / The (Auto Components)

      10,926       381,973  

Ford Motor Co. (Automobiles)

      169,700       1,898,943  

General Motors Co. (Automobiles)

      59,584       2,081,269  

Harley-Davidson, Inc. (Automobiles)

      7,595       410,282  

Genuine Parts Co. (Distributors)

      6,395       593,200  

LKQ Corp. (Distributors)

  (a)     13,376       440,739  

H&R Block, Inc. (Diversified Consumer Svs.)

      8,989       277,850  

Carnival Corp. (Hotels, Restaurants & Leisure)

      18,161       1,190,817  

Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure)

  (a)     1,244       517,628  

Darden Restaurants, Inc. (Hotels, Restaurants & Leisure)

      5,395       487,924  

Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure)

      8,890       549,847  

Marriott International, Inc. Class A (Hotels, Restaurants & Leisure)

      13,480       1,352,179  

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      35,365       5,416,503  

Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)

      7,279       795,085  

Starbucks Corp. (Hotels, Restaurants & Leisure)

      62,831       3,663,676  

Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure)

      4,528       454,656  

Wynn Resorts Ltd. (Hotels, Restaurants & Leisure)

      3,464       464,592  

Yum! Brands, Inc. (Hotels, Restaurants & Leisure)

      14,354       1,058,751  

D.R. Horton, Inc. (Household Durables)

      14,829       512,639  

Garmin Ltd. (Household Durables)

      4,976       253,925  

Leggett & Platt, Inc. (Household Durables)

      5,741       301,575  

Lennar Corp. Class A (Household Durables)

      8,816       470,069  

Mohawk Industries, Inc. (Household Durables)

  (a)     2,741       662,472  

Newell Brands, Inc. (Household Durables)

      20,961       1,123,929  

PulteGroup, Inc. (Household Durables)

      12,321       302,234  

Whirlpool Corp. (Household Durables)

      3,209       614,909  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     17,213       16,662,184  

Expedia, Inc. (Internet & Direct Marketing Retail)

      5,275       785,711  

Netflix, Inc. (Internet & Direct Marketing Retail)

  (a)     18,701       2,794,116  

Priceline Group, Inc. / The (Internet & Direct Marketing Retail)

  (a)     2,133       3,989,819  

TripAdvisor, Inc. (Internet & Direct Marketing Retail)

  (a)     4,792       183,054  

Hasbro, Inc. (Leisure Products)

      4,881       544,280  

Mattel, Inc. (Leisure Products)

      14,863       320,000  

CBS Corp. Class B (Media)

      15,983       1,019,396  

Charter Communications, Inc. Class A (Media)

  (a)     9,358       3,152,242  

Comcast Corp. Class A (Media)

      205,345       7,992,027  

Discovery Communications, Inc. Class A (Media)

  (a)     6,668       172,234  

Discovery Communications, Inc. Class C (Media)

  (a)     9,151       230,697  

DISH Network Corp. Class A (Media)

  (a)     9,870       619,441  

Interpublic Group of Cos., Inc. / The (Media)

      17,143       421,718  

News Corp. Class A (Media)

      16,582       227,173  

News Corp. Class B (Media)

      5,197       73,538  

Omnicom Group, Inc. (Media)

      10,098       837,124  

Scripps Networks Interactive, Inc. Class A (Media)

      4,161       284,238  

Time Warner, Inc. (Media)

      33,649       3,378,696  

Twenty-First Century Fox, Inc. Class A (Media)

      45,660       1,294,004  

Twenty-First Century Fox, Inc. Class B (Media)

      21,134       589,005  

Viacom, Inc. Class B (Media)

      15,286       513,151  

Walt Disney Co. / The (Media)

      63,119       6,706,394  

Dollar General Corp. (Multiline Retail)

      10,946       789,097  

Dollar Tree, Inc. (Multiline Retail)

  (a)     10,270       718,078  

Kohl’s Corp. (Multiline Retail)

      7,397       286,042  

Macy’s, Inc. (Multiline Retail)

      13,212       307,047  

Nordstrom, Inc. (Multiline Retail)

      4,827       230,875  

Target Corp. (Multiline Retail)

      23,938       1,251,718  

Advance Auto Parts, Inc. (Specialty Retail)

      3,204       373,554  

AutoNation, Inc. (Specialty Retail)

  (a)     2,856       120,409  
Common Stocks (Continued)        Shares     Value  
CONSUMER DISCRETIONARY (continued)                

AutoZone, Inc. (Specialty Retail)

  (a)     1,222     $        697,102  

Bed Bath & Beyond, Inc. (Specialty Retail)

      6,298       191,459  

Best Buy Co., Inc. (Specialty Retail)

      11,512       659,983  

CarMax, Inc. (Specialty Retail)

  (a)     8,036       506,750  

Foot Locker, Inc. (Specialty Retail)

      5,694       280,600  

Gap, Inc. / The (Specialty Retail)

      9,551       210,027  

Home Depot, Inc. / The (Specialty Retail)

      51,873       7,957,318  

L Brands, Inc. (Specialty Retail)

      10,454       563,366  

Lowe’s Cos., Inc. (Specialty Retail)

      37,230       2,886,442  

O’Reilly Automotive, Inc. (Specialty Retail)

  (a)     3,949       863,804  

Ross Stores, Inc. (Specialty Retail)

      17,009       981,930  

Signet Jewelers Ltd. (Specialty Retail)

      2,968       187,696  

Staples, Inc. (Specialty Retail)

      28,340       285,384  

Tiffany & Co. (Specialty Retail)

      4,651       436,589  

TJX Cos., Inc. / The (Specialty Retail)

      27,911       2,014,337  

Tractor Supply Co. (Specialty Retail)

      5,578       302,383  

Ulta Salon Cosmetics & Fragrance, Inc. (Specialty Retail)

  (a)     2,530       726,970  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

      12,198       577,453  

Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods)

      15,800       365,928  

Michael Kors Holdings Ltd. (Textiles, Apparel & Luxury Goods)

  (a)     6,762       245,123  

NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods)

      57,500       3,392,500  

PVH Corp. (Textiles, Apparel & Luxury Goods)

      3,385       387,583  

Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods)

      2,391       176,456  

Under Armour, Inc. Class A (Textiles, Apparel & Luxury Goods)

  (a)     8,022       174,559  

Under Armour, Inc. Class C (Textiles, Apparel & Luxury Goods)

  (a)     7,989       161,058  

V.F. Corp. (Textiles, Apparel & Luxury Goods)

      13,900       800,640  
     

 

 

 
        110,563,468  
     

 

 

 
CONSUMER STAPLES – 9.0%                

Brown-Forman Corp. Class B (Beverages)

      7,675       373,005  

Coca-Cola Co. / The (Beverages)

      166,842       7,482,864  

Constellation Brands, Inc. Class A (Beverages)

      7,439       1,441,157  

Dr Pepper Snapple Group, Inc. (Beverages)

      7,975       726,602  

Molson Coors Brewing Co. Class B (Beverages)

      8,012       691,756  

Monster Beverage Corp. (Beverages)

  (a)     17,492       869,003  

PepsiCo, Inc. (Beverages)

      61,981       7,158,186  

Costco Wholesale Corp. (Food & Staples Retailing)

      19,030       3,043,468  

CVS Health Corp. (Food & Staples Retailing)

      44,204       3,556,654  

Kroger Co. / The (Food & Staples Retailing)

      39,596       923,379  

Sysco Corp. (Food & Staples Retailing)

      21,364       1,075,250  

Walgreens Boots Alliance, Inc. (Food & Staples Retailing)

      37,052       2,901,542  

Wal-Mart Stores, Inc. (Food & Staples Retailing)

      64,089       4,850,256  

Whole Foods Market, Inc. (Food & Staples Retailing)

      13,866       583,897  

Archer-Daniels-Midland Co. (Food Products)

      24,760       1,024,569  

Campbell Soup Co. (Food Products)

      8,320       433,888  

Conagra Brands, Inc. (Food Products)

      17,539       627,195  

General Mills, Inc. (Food Products)

      24,997       1,384,834  

Hershey Co. / The (Food Products)

      6,074       652,165  

Hormel Foods Corp. (Food Products)

      11,704       399,223  

J.M. Smucker Co. / The (Food Products)

      5,051       597,685  

Kellogg Co. (Food Products)

      10,944       760,170  

Kraft Heinz Co. / The (Food Products)

      25,887       2,216,963  

McCormick & Co., Inc. (Food Products)

      4,913       479,067  

Mondelez International, Inc. Class A (Food Products)

      65,832       2,843,284  

Tyson Foods, Inc. Class A (Food Products)

      12,504       783,126  

Church & Dwight Co., Inc. (Household Products)

      10,815       561,082  

Clorox Co. / The (Household Products)

      5,588       744,545  

Colgate-Palmolive Co. (Household Products)

      38,325       2,841,032  

Kimberly-Clark Corp. (Household Products)

      15,400       1,988,294  
 

 

  49   (continued)


Ohio National Fund, Inc.   S&P 500® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
CONSUMER STAPLES (continued)                

Procter & Gamble Co. / The (Household Products)

      110,971     $     9,671,123  

Coty, Inc. Class A (Personal Products)

      20,437       383,398  

Estee Lauder Cos., Inc. / The Class A (Personal Products)

      9,713       932,254  

Altria Group, Inc. (Tobacco)

      83,811       6,241,405  

Philip Morris International, Inc. (Tobacco)

      67,389       7,914,838  

Reynolds American, Inc. (Tobacco)

      35,904       2,335,196  
     

 

 

 
        81,492,355  
     

 

 

 
ENERGY – 6.0%                

Baker Hughes, Inc. (Energy Equip. & Svs.)

      18,461       1,006,309  

Halliburton Co. (Energy Equip. & Svs.)

      37,656       1,608,288  

Helmerich & Payne, Inc. (Energy Equip. & Svs.)

      4,711       255,996  

National Oilwell Varco, Inc. (Energy Equip. & Svs.)

      16,489       543,148  

Schlumberger Ltd. (Energy Equip. & Svs.)

      60,287       3,969,296  

TechnipFMC PLC (Energy Equip. & Svs.)

  (a)     20,245       550,664  

Transocean Ltd. (Energy Equip. & Svs.)

  (a)     16,967       139,638  

Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels)

      24,312       1,102,306  

Apache Corp. (Oil, Gas & Consumable Fuels)

      16,504       791,037  

Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels)

      20,198       506,566  

Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)     33,096       164,487  

Chevron Corp. (Oil, Gas & Consumable Fuels)

      82,202       8,576,135  

Cimarex Energy Co. (Oil, Gas & Consumable Fuels)

      4,127       387,979  

Concho Resources, Inc. (Oil, Gas & Consumable Fuels)

  (a)     6,429       781,316  

ConocoPhillips (Oil, Gas & Consumable Fuels)

      53,676       2,359,597  

Devon Energy Corp. (Oil, Gas &
Consumable Fuels)

      22,809       729,204  

EOG Resources, Inc. (Oil, Gas & Consumable Fuels)

      25,047       2,267,254  

EQT Corp. (Oil, Gas & Consumable Fuels)

      7,520       440,597  

Exxon Mobil Corp. (Oil, Gas & Consumable Fuels)

      183,849       14,842,130  

Hess Corp. (Oil, Gas & Consumable Fuels)

      11,725       514,376  

Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels)

      83,302       1,596,066  

Marathon Oil Corp. (Oil, Gas & Consumable Fuels)

      36,880       437,028  

Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels)

      22,507       1,177,791  

Murphy Oil Corp. (Oil, Gas & Consumable Fuels)

      7,037       180,358  

Newfield Exploration Co. (Oil, Gas & Consumable Fuels)

  (a)     8,643       245,980  

Noble Energy, Inc. (Oil, Gas & Consumable Fuels)

      19,750       558,925  

Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels)

      33,174       1,986,127  

ONEOK, Inc. (Oil, Gas & Consumable Fuels)

      16,483       859,753  

Phillips 66 (Oil, Gas & Consumable Fuels)

      19,034       1,573,921  

Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels)

      7,380       1,177,700  

Range Resources Corp. (Oil, Gas & Consumable Fuels)

      8,164       189,160  

Tesoro Corp. (Oil, Gas & Consumable Fuels)

      6,557       613,735  

Valero Energy Corp. (Oil, Gas & Consumable Fuels)

      19,405       1,309,061  

Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels)

      35,851       1,085,568  
     

 

 

 
        54,527,496  
     

 

 

 
FINANCIALS – 14.5%                

Bank of America Corp. (Banks)

      431,798       10,475,419  

BB&T Corp. (Banks)

      35,204       1,598,614  

Citigroup, Inc. (Banks)

      119,460       7,989,485  

Citizens Financial Group, Inc. (Banks)

      21,978       784,175  

Comerica, Inc. (Banks)

      7,677       562,263  

Fifth Third Bancorp (Banks)

      32,553       845,076  

Huntington Bancshares, Inc. (Banks)

      47,169       637,725  

JPMorgan Chase & Co. (Banks)

      154,151       14,089,401  

KeyCorp (Banks)

      47,559       891,256  

M&T Bank Corp. (Banks)

      6,676       1,081,178  

People’s United Financial, Inc. (Banks)

      14,940       263,840  

PNC Financial Services Group, Inc. / The (Banks)

      20,996       2,621,771  

Regions Financial Corp. (Banks)

      52,152       763,505  
Common Stocks (Continued)        Shares     Value  
FINANCIALS (continued)                

SunTrust Banks, Inc. (Banks)

      20,977     $     1,189,815  

U.S. Bancorp (Banks)

      68,735       3,568,721  

Wells Fargo & Co. (Banks)

      195,144       10,812,929  

Zions Bancorporation (Banks)

      8,792       386,057  

Affiliated Managers Group, Inc. (Capital Markets)

      2,456       407,352  

Ameriprise Financial, Inc. (Capital Markets)

      6,615       842,023  

Bank of New York Mellon Corp. / The (Capital Markets)

      45,119       2,301,971  

BlackRock, Inc. (Capital Markets)

      5,260       2,221,877  

CBOE Holdings, Inc. (Capital Markets)

      3,986       364,320  

Charles Schwab Corp. / The (Capital Markets)

      52,795       2,268,073  

CME Group, Inc. (Capital Markets)

      14,743       1,846,413  

E*TRADE Financial Corp. (Capital Markets)

  (a)     11,918       453,242  

Franklin Resources, Inc. (Capital Markets)

      14,856       665,400  

Goldman Sachs Group, Inc. / The (Capital Markets)

      15,884       3,524,660  

Intercontinental Exchange, Inc. (Capital Markets)

      25,689       1,693,419  

Invesco Ltd. (Capital Markets)

      17,653       621,209  

Moody’s Corp. (Capital Markets)

      7,221       878,651  

Morgan Stanley (Capital Markets)

      61,800       2,753,808  

Nasdaq, Inc. (Capital Markets)

      4,945       353,518  

Northern Trust Corp. (Capital Markets)

      9,364       910,274  

Raymond James Financial, Inc. (Capital Markets)

      5,561       446,103  

S&P Global, Inc. (Capital Markets)

      11,186       1,633,044  

State Street Corp. (Capital Markets)

      15,345       1,376,907  

T. Rowe Price Group, Inc. (Capital Markets)

      10,468       776,830  

American Express Co. (Consumer Finance)

      32,575       2,744,118  

Capital One Financial Corp. (Consumer Finance)

      20,955       1,731,302  

Discover Financial Services (Consumer Finance)

      16,496       1,025,886  

Navient Corp. (Consumer Finance)

      12,363       205,844  

Synchrony Financial (Consumer Finance)

      33,420       996,584  

Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.)

  (a)     82,416       13,958,798  

Leucadia National Corp. (Diversified
Financial Svs.)

      14,051       367,574  

Aflac, Inc. (Insurance)

      17,219       1,337,572  

Allstate Corp. / The (Insurance)

      15,816       1,398,767  

American International Group, Inc. (Insurance)

      38,159       2,385,701  

Aon PLC (Insurance)

      11,371       1,511,774  

Arthur J. Gallagher & Co. (Insurance)

      7,787       445,806  

Assurant, Inc. (Insurance)

      2,377       246,471  

Chubb Ltd. (Insurance)

      20,259       2,945,253  

Cincinnati Financial Corp. (Insurance)

      6,503       471,142  

Everest Re Group Ltd. (Insurance)

      1,782       453,679  

Hartford Financial Services Group, Inc. / The (Insurance)

      15,939       837,913  

Lincoln National Corp. (Insurance)

      9,731       657,621  

Loews Corp. (Insurance)

      11,980       560,784  

Marsh & McLennan Cos., Inc. (Insurance)

      22,360       1,743,186  

MetLife, Inc. (Insurance)

      46,879       2,575,532  

Principal Financial Group, Inc. (Insurance)

      11,630       745,134  

Progressive Corp. / The (Insurance)

      25,205       1,111,288  

Prudential Financial, Inc. (Insurance)

      18,614       2,012,918  

Torchmark Corp. (Insurance)

      4,721       361,157  

Travelers Cos., Inc. / The (Insurance)

      12,123       1,533,923  

Unum Group (Insurance)

      9,902       461,730  

Willis Towers Watson PLC (Insurance)

      5,513       801,921  

XL Group Ltd. (Insurance)

      11,344       496,867  
     

 

 

 
        131,026,569  
     

 

 

 
HEALTH CARE – 14.5%                

AbbVie, Inc. (Biotechnology)

      69,055       5,007,178  

Alexion Pharmaceuticals, Inc. (Biotechnology)

  (a)     9,743       1,185,431  

Amgen, Inc. (Biotechnology)

      31,929       5,499,132  

Biogen, Inc. (Biotechnology)

  (a)     9,268       2,514,964  

Celgene Corp. (Biotechnology)

  (a)     33,879       4,399,866  

Gilead Sciences, Inc. (Biotechnology)

      56,697       4,013,014  

Incyte Corp. (Biotechnology)

  (a)     7,374       928,460  

Regeneron Pharmaceuticals, Inc. (Biotechnology)

  (a)     3,306       1,623,709  

Vertex Pharmaceuticals, Inc. (Biotechnology)

  (a)     10,807       1,392,698  

Abbott Laboratories (Health Care Equip. & Supplies)

      75,291       3,659,896  
 

 

  50   (continued)


Ohio National Fund, Inc.   S&P 500® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
HEALTH CARE (continued)                

Align Technology, Inc. (Health Care Equip. & Supplies)

  (a)     3,276     $        491,793  

Baxter International, Inc. (Health Care Equip. & Supplies)

      21,163       1,281,208  

Becton Dickinson and Co. (Health Care Equip. & Supplies)

      9,865       1,924,760  

Boston Scientific Corp. (Health Care Equip. & Supplies)

  (a)     59,416       1,647,012  

Cooper Cos., Inc. / The (Health Care Equip. & Supplies)

      2,120       507,570  

C.R. Bard, Inc. (Health Care Equip. & Supplies)

      3,142       993,218  

Danaher Corp. (Health Care Equip. & Supplies)

      26,503       2,236,588  

DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies)

      9,946       644,899  

Edwards Lifesciences Corp. (Health Care Equip. & Supplies)

  (a)     9,103       1,076,339  

Hologic, Inc. (Health Care Equip. & Supplies)

  (a)     12,149       551,322  

IDEXX Laboratories, Inc. (Health Care Equip. & Supplies)

  (a)     3,824       617,270  

Intuitive Surgical, Inc. (Health Care Equip. & Supplies)

  (a)     1,598       1,494,721  

Medtronic PLC (Health Care Equip. & Supplies)

      59,394       5,271,218  

Stryker Corp. (Health Care Equip. & Supplies)

      13,460       1,867,979  

Varian Medical Systems, Inc. (Health Care Equip. & Supplies)

  (a)     3,988       411,522  

Zimmer Biomet Holdings, Inc. (Health Care Equip. & Supplies)

      8,731       1,121,060  

Aetna, Inc. (Health Care Providers & Svs.)

      14,392       2,185,137  

AmerisourceBergen Corp. (Health Care Providers & Svs.)

      7,200       680,616  

Anthem, Inc. (Health Care Providers & Svs.)

      11,497       2,162,931  

Cardinal Health, Inc. (Health Care
Providers & Svs.)

      13,706       1,067,972  

Centene Corp. (Health Care Providers & Svs.)

  (a)     7,475       597,103  

Cigna Corp. (Health Care Providers & Svs.)

      11,108       1,859,368  

DaVita, Inc. (Health Care Providers & Svs.)

  (a)     6,755       437,454  

Envision Healthcare Corp. (Health Care Providers & Svs.)

  (a)     5,096       319,366  

Express Scripts Holding Co. (Health Care Providers & Svs.)

  (a)     25,752       1,644,008  

HCA Healthcare, Inc. (Health Care Providers & Svs.)

  (a)     12,417       1,082,762  

Henry Schein, Inc. (Health Care Providers & Svs.)

  (a)     3,442       629,955  

Humana, Inc. (Health Care Providers & Svs.)

      6,262       1,506,762  

Laboratory Corp. of America Holdings (Health Care Providers & Svs.)

  (a)     4,439       684,227  

McKesson Corp. (Health Care Providers & Svs.)

      9,151       1,505,706  

Patterson Cos., Inc. (Health Care Providers & Svs.)

      3,540       166,203  

Quest Diagnostics, Inc. (Health Care Providers & Svs.)

      5,937       659,957  

UnitedHealth Group, Inc. (Health Care Providers & Svs.)

      41,812       7,752,781  

Universal Health Services, Inc. Class B (Health Care Providers & Svs.)

      3,879       473,548  

Cerner Corp. (Health Care Technology)

  (a)     12,756       847,891  

Agilent Technologies, Inc. (Life Sciences Tools & Svs.)

      13,984       829,391  

Illumina, Inc. (Life Sciences Tools & Svs.)

  (a)     6,335       1,099,249  

Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.)

  (a)     1,120       659,165  

PerkinElmer, Inc. (Life Sciences Tools & Svs.)

      4,774       325,300  

Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.)

      16,974       2,961,454  

Waters Corp. (Life Sciences Tools & Svs.)

  (a)     3,473       638,476  

Allergan PLC (Pharmaceuticals)

      14,573       3,542,551  

Bristol-Myers Squibb Co. (Pharmaceuticals)

      71,480       3,982,866  

Eli Lilly & Co. (Pharmaceuticals)

      42,129       3,467,217  

Johnson & Johnson (Pharmaceuticals)

      116,881       15,462,188  

Mallinckrodt PLC (Pharmaceuticals)

  (a)     4,310       193,131  

Merck & Co., Inc. (Pharmaceuticals)

      118,675       7,605,881  
Common Stocks (Continued)        Shares     Value  
HEALTH CARE (continued)                

Mylan NV (Pharmaceuticals)

  (a)     20,000     $        776,400  

Perrigo Co. PLC (Pharmaceuticals)

      6,221       469,810  

Pfizer, Inc. (Pharmaceuticals)

      258,936       8,697,660  

Zoetis, Inc. (Pharmaceuticals)

      21,295       1,328,382  
     

 

 

 
        130,665,695  
     

 

 

 
INDUSTRIALS – 10.3%                

Arconic, Inc. (Aerospace & Defense)

      19,124       433,159  

Boeing Co. / The (Aerospace & Defense)

      24,355       4,816,201  

General Dynamics Corp. (Aerospace & Defense)

      12,304       2,437,422  

L3 Technologies, Inc. (Aerospace & Defense)

      3,379       564,563  

Lockheed Martin Corp. (Aerospace & Defense)

      10,800       2,998,188  

Northrop Grumman Corp. (Aerospace & Defense)

      7,574       1,944,322  

Raytheon Co. (Aerospace & Defense)

      12,629       2,039,331  

Rockwell Collins, Inc. (Aerospace & Defense)

      7,046       740,394  

Textron, Inc. (Aerospace & Defense)

      11,615       547,067  

TransDigm Group, Inc. (Aerospace & Defense)

      2,122       570,542  

United Technologies Corp. (Aerospace & Defense)

      32,331       3,947,938  

C.H. Robinson Worldwide, Inc. (Air Freight & Logistics)

      6,111       419,703  

Expeditors International of Washington, Inc. (Air Freight & Logistics)

      7,818       441,561  

FedEx Corp. (Air Freight & Logistics)

      10,673       2,319,563  

United Parcel Service, Inc. Class B (Air Freight & Logistics)

      29,885       3,304,982  

Alaska Air Group, Inc. (Airlines)

      5,363       481,383  

American Airlines Group, Inc. (Airlines)

      21,373       1,075,489  

Delta Air Lines, Inc. (Airlines)

      31,936       1,716,241  

Southwest Airlines Co. (Airlines)

      26,235       1,630,243  

United Continental Holdings, Inc. (Airlines)

  (a)     12,226       920,007  

Allegion PLC (Building Products)

      4,135       335,431  

Fortune Brands Home & Security, Inc. (Building Products)

      6,676       435,542  

Johnson Controls International plc (Building Products)

      40,704       1,764,925  

Masco Corp. (Building Products)

      13,877       530,240  

Cintas Corp. (Commercial Svs. & Supplies)

      3,747       472,272  

Republic Services, Inc. (Commercial Svs. & Supplies)

      9,973       635,579  

Stericycle, Inc. (Commercial Svs. & Supplies)

  (a)     3,700       282,384  

Waste Management, Inc. (Commercial Svs. & Supplies)

      17,636       1,293,601  

Fluor Corp. (Construction & Engineering)

      6,065       277,656  

Jacobs Engineering Group, Inc. (Construction & Engineering)

      5,225       284,188  

Quanta Services, Inc. (Construction & Engineering)

  (a)     6,426       211,544  

Acuity Brands, Inc. (Electrical Equip.)

      1,913       388,875  

AMETEK, Inc. (Electrical Equip.)

      9,984       604,731  

Eaton Corp. PLC (Electrical Equip.)

      19,408       1,510,525  

Emerson Electric Co. (Electrical Equip.)

      27,963       1,667,154  

Rockwell Automation, Inc. (Electrical Equip.)

      5,590       905,356  

3M Co. (Industrial Conglomerates)

      25,929       5,398,159  

General Electric Co. (Industrial Conglomerates)

      377,858       10,205,945  

Honeywell International, Inc. (Industrial Conglomerates)

      33,077       4,408,833  

Roper Technologies, Inc. (Industrial Conglomerates)

      4,427       1,024,983  

Caterpillar, Inc. (Machinery)

      25,563       2,747,000  

Cummins, Inc. (Machinery)

      6,705       1,087,685  

Deere & Co. (Machinery)

      12,768       1,577,997  

Dover Corp. (Machinery)

      6,754       541,806  

Flowserve Corp. (Machinery)

      5,667       263,119  

Fortive Corp. (Machinery)

      13,083       828,808  

Illinois Tool Works, Inc. (Machinery)

      13,490       1,932,443  

Ingersoll-Rand PLC (Machinery)

      11,108       1,015,160  

PACCAR, Inc. (Machinery)

      15,242       1,006,582  

Parker-Hannifin Corp. (Machinery)

      5,779       923,600  

Pentair PLC (Machinery)

      7,275       484,079  

Snap-on, Inc. (Machinery)

      2,514       397,212  
 

 

  51   (continued)


Ohio National Fund, Inc.   S&P 500® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
INDUSTRIALS (continued)                

Stanley Black & Decker, Inc. (Machinery)

      6,637     $        934,025  

Xylem, Inc. (Machinery)

      7,798       432,243  

Equifax, Inc. (Professional Svs.)

      5,216       716,783  

IHS Markit Ltd. (Professional Svs.)

  (a)     13,770       606,431  

Nielsen Holdings PLC (Professional Svs.)

      14,573       563,392  

Robert Half International, Inc. (Professional Svs.)

      5,518       264,478  

Verisk Analytics, Inc. (Professional Svs.)

  (a)     6,672       562,917  

CSX Corp. (Road & Rail)

      40,034       2,184,255  

J.B. Hunt Transport Services, Inc. (Road & Rail)

      3,722       340,116  

Kansas City Southern (Road & Rail)

      4,603       481,704  

Norfolk Southern Corp. (Road & Rail)

      12,573       1,530,134  

Union Pacific Corp. (Road & Rail)

      35,034       3,815,553  

Fastenal Co. (Trading Companies & Distributors)

      12,551       546,345  

United Rentals, Inc. (Trading Companies & Distributors)

  (a)     3,667       413,308  

W.W. Grainger, Inc. (Trading Companies & Distributors)

      2,331       420,815  
     

 

 

 
        92,604,212  
     

 

 

 
INFORMATION TECHNOLOGY – 22.2%                

Cisco Systems, Inc. (Communications Equip.)

      216,945       6,790,379  

F5 Networks, Inc. (Communications Equip.)

  (a)     2,807       356,657  

Harris Corp. (Communications Equip.)

      5,290       577,033  

Juniper Networks, Inc. (Communications Equip.)

      16,579       462,223  

Motorola Solutions, Inc. (Communications Equip.)

      7,093       615,247  

Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.)

      13,260       978,853  

Corning, Inc. (Electronic Equip., Instr. & Comp.)

      39,928       1,199,836  

FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.)

      5,921       205,222  

TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.)

      15,404       1,211,987  

Akamai Technologies, Inc. (Internet Software & Svs.)

  (a)     7,502       373,675  

Alphabet, Inc. Class A (Internet Software & Svs.)

  (a)     12,914       12,005,888  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     12,947       11,765,327  

eBay, Inc. (Internet Software & Svs.)

  (a)     43,674       1,525,096  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     102,559       15,484,358  

VeriSign, Inc. (Internet Software & Svs.)

  (a)     3,830       356,037  

Accenture PLC Class A (IT Svs.)

      26,905       3,327,610  

Alliance Data Systems Corp. (IT Svs.)

      2,416       620,163  

Automatic Data Processing, Inc. (IT Svs.)

      19,412       1,988,954  

Cognizant Technology Solutions Corp. Class A (IT Svs.)

      25,556       1,696,918  

CSRA, Inc. (IT Svs.)

      6,304       200,152  

DXC Technology Co. (IT Svs.)

      12,284       942,428  

Fidelity National Information Services,
Inc. (IT Svs.)

      14,344       1,224,978  

Fiserv, Inc. (IT Svs.)

  (a)     9,215       1,127,363  

Gartner, Inc. (IT Svs.)

  (a)     3,924       484,653  

Global Payments, Inc. (IT Svs.)

      6,616       597,557  

International Business Machines Corp. (IT Svs.)

      37,095       5,706,324  

Mastercard, Inc. Class A (IT Svs.)

      40,698       4,942,772  

Paychex, Inc. (IT Svs.)

      13,873       789,929  

PayPal Holdings, Inc. (IT Svs.)

  (a)     48,472       2,601,492  

Total System Services, Inc. (IT Svs.)

      7,186       418,585  

Visa, Inc. (IT Svs.)

      80,106       7,512,341  

Western Union Co. / The (IT Svs.)

      20,447       389,515  

Advanced Micro Devices, Inc. (Semiconductors & Equip.)

  (a)     33,622       419,603  

Analog Devices, Inc. (Semiconductors & Equip.)

      15,924       1,238,887  

Applied Materials, Inc. (Semiconductors & Equip.)

      46,627       1,926,161  

Broadcom Ltd. (Semiconductors & Equip.)

      17,415       4,058,566  

Intel Corp. (Semiconductors & Equip.)

      204,316       6,893,622  

KLA-Tencor Corp. (Semiconductors & Equip.)

      6,802       622,451  

Lam Research Corp. (Semiconductors & Equip.)

      6,999       989,869  

Microchip Technology, Inc. (Semiconductors & Equip.)

      9,953       768,173  

Micron Technology, Inc. (Semiconductors & Equip.)

  (a)     45,121       1,347,313  
Common Stocks (Continued)        Shares     Value  
INFORMATION TECHNOLOGY (continued)                

NVIDIA Corp. (Semiconductors & Equip.)

      25,816     $     3,731,961  

Qorvo, Inc. (Semiconductors & Equip.)

  (a)     5,515       349,210  

QUALCOMM, Inc. (Semiconductors & Equip.)

      64,104       3,539,823  

Skyworks Solutions, Inc. (Semiconductors & Equip.)

      8,006       768,176  

Texas Instruments, Inc. (Semiconductors & Equip.)

      43,229       3,325,607  

Xilinx, Inc. (Semiconductors & Equip.)

      10,763       692,276  

Activision Blizzard, Inc. (Software)

      30,084       1,731,936  

Adobe Systems, Inc. (Software)

  (a)     21,464       3,035,868  

ANSYS, Inc. (Software)

  (a)     3,710       451,433  

Autodesk, Inc. (Software)

  (a)     8,415       848,400  

CA, Inc. (Software)

      13,596       468,654  

Citrix Systems, Inc. (Software)

  (a)     6,558       521,886  

Electronic Arts, Inc. (Software)

  (a)     13,452       1,422,145  

Intuit, Inc. (Software)

      10,561       1,402,606  

Microsoft Corp. (Software)

      334,982       23,090,309  

Oracle Corp. (Software)

      130,327       6,534,596  

Red Hat, Inc. (Software)

  (a)     7,715       738,711  

salesforce.com, Inc. (Software)

  (a)     29,012       2,512,439  

Symantec Corp. (Software)

      26,391       745,546  

Synopsys, Inc. (Software)

  (a)     6,522       475,649  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      226,221       32,580,348  

Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.)

      72,234       1,198,362  

HP, Inc. (Tech. Hardware, Storage & Periph.)

      73,038       1,276,704  

NetApp, Inc. (Tech. Hardware, Storage & Periph.)

      11,756       470,828  

Seagate Technology PLC (Tech. Hardware, Storage & Periph.)

      12,886       499,333  

Western Digital Corp. (Tech. Hardware, Storage & Periph.)

      12,637       1,119,638  

Xerox Corp. (Tech. Hardware, Storage & Periph.)

      9,262       266,097  
     

 

 

 
        200,542,738  
     

 

 

 
MATERIALS – 2.8%                

Air Products & Chemicals, Inc. (Chemicals)

      9,447       1,351,488  

Albemarle Corp. (Chemicals)

      4,805       507,120  

CF Industries Holdings, Inc. (Chemicals)

      10,115       282,815  

Dow Chemical Co. / The (Chemicals)

      48,767       3,075,735  

Eastman Chemical Co. (Chemicals)

      6,327       531,405  

Ecolab, Inc. (Chemicals)

      11,326       1,503,527  

E.I. du Pont de Nemours & Co. (Chemicals)

      37,619       3,036,230  

FMC Corp. (Chemicals)

      5,814       424,713  

International Flavors & Fragrances, Inc. (Chemicals)

      3,426       462,510  

LyondellBasell Industries NV Class A (Chemicals)

      14,331       1,209,393  

Monsanto Co. (Chemicals)

      19,039       2,253,456  

Mosaic Co. / The (Chemicals)

      15,230       347,701  

PPG Industries, Inc. (Chemicals)

      11,116       1,222,315  

Praxair, Inc. (Chemicals)

      12,403       1,644,018  

Sherwin-Williams Co. / The (Chemicals)

      3,515       1,233,624  

Martin Marietta Materials, Inc. (Construction Materials)

      2,717       604,750  

Vulcan Materials Co. (Construction Materials)

      5,734       726,383  

Avery Dennison Corp. (Containers & Packaging)

      3,842       339,518  

Ball Corp. (Containers & Packaging)

      15,191       641,212  

International Paper Co. (Containers & Packaging)

      17,915       1,014,168  

Sealed Air Corp. (Containers & Packaging)

      8,496       380,281  

WestRock Co. (Containers & Packaging)

      10,895       617,311  

Freeport-McMoRan, Inc. (Metals & Mining)

  (a)     57,753       693,614  

Newmont Mining Corp. (Metals & Mining)

      23,136       749,375  

Nucor Corp. (Metals & Mining)

      13,843       801,094  
     

 

 

 
        25,653,756  
     

 

 

 
REAL ESTATE – 2.9%                

Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts)

      3,952       476,097  

American Tower Corp. (Equity Real Estate Investment Trusts)

      18,441       2,440,113  
 

 

  52   (continued)


Ohio National Fund, Inc.   S&P 500® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
REAL ESTATE (continued)                

Apartment Investment & Management Co. Class A (Equity Real Estate Investment Trusts)

      6,813     $        292,755  

AvalonBay Communities, Inc. (Equity Real Estate Investment Trusts)

      5,978       1,148,792  

Boston Properties, Inc. (Equity Real Estate Investment Trusts)

      6,676       821,282  

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

      15,885       1,591,359  

Digital Realty Trust, Inc. (Equity Real Estate Investment Trusts)

      6,932       782,969  

Equinix, Inc. (Equity Real Estate Investment Trusts)

      3,380       1,450,561  

Equity Residential (Equity Real Estate Investment Trusts)

      15,930       1,048,672  

Essex Property Trust, Inc. (Equity Real Estate Investment Trusts)

      2,846       732,190  

Extra Space Storage, Inc. (Equity Real Estate Investment Trusts)

      5,463       426,114  

Federal Realty Investment Trust (Equity Real Estate Investment Trusts)

      3,134       396,106  

GGP, Inc. (Equity Real Estate Investment Trusts)

      25,272       595,408  

HCP, Inc. (Equity Real Estate Investment Trusts)

      20,331       649,779  

Host Hotels & Resorts, Inc. (Equity Real Estate Investment Trusts)

      32,096       586,394  

Iron Mountain, Inc. (Equity Real Estate Investment Trusts)

      10,657       366,175  

Kimco Realty Corp. (Equity Real Estate Investment Trusts)

      18,473       338,980  

Macerich Co. / The (Equity Real Estate Investment Trusts)

      5,167       299,996  

Mid-America Apartment Communities, Inc. (Equity Real Estate Investment Trusts)

      4,928       519,313  

Prologis, Inc. (Equity Real Estate
Investment Trusts)

      23,010       1,349,306  

Public Storage (Equity Real Estate Investment Trusts)

      6,487       1,352,734  

Realty Income Corp. (Equity Real Estate Investment Trusts)

      11,848       653,773  

Regency Centers Corp. (Equity Real Estate Investment Trusts)

      6,346       397,513  

Simon Property Group, Inc. (Equity Real Estate Investment Trusts)

      13,546       2,191,201  

SL Green Realty Corp. (Equity Real Estate Investment Trusts)

      4,418       467,424  

UDR, Inc. (Equity Real Estate Investment Trusts)

      11,602       452,130  

Ventas, Inc. (Equity Real Estate Investment Trusts)

      15,397       1,069,784  

Vornado Realty Trust (Equity Real Estate Investment Trusts)

      7,474       701,809  

Welltower, Inc. (Equity Real Estate Investment Trusts)

      15,887       1,189,142  

Weyerhaeuser Co. (Equity Real Estate Investment Trusts)

      32,598       1,092,033  

CBRE Group, Inc. (Real Estate Mgmt. & Development)

  (a)     13,047       474,911  
     

 

 

 
          26,354,815  
     

 

 

 
Common Stocks (Continued)        Shares     Value  
TELECOMMUNICATION SERVICES – 2.1%                

AT&T, Inc. (Diversified Telecom. Svs.)

      266,753     $ 10,064,591  

CenturyLink, Inc. (Diversified Telecom. Svs.)

      23,812       568,631  

Level 3 Communications, Inc. (Diversified Telecom. Svs.)

  (a)     12,701       753,169  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

      176,998       7,904,731  
     

 

 

 
        19,291,122  
     

 

 

 
UTILITIES – 3.2%                

Alliant Energy Corp. (Electric Utilities)

      9,885       397,080  

American Electric Power Co., Inc. (Electric Utilities)

      21,335       1,482,142  

Duke Energy Corp. (Electric Utilities)

      30,367       2,538,378  

Edison International (Electric Utilities)

      14,136       1,105,294  

Entergy Corp. (Electric Utilities)

      7,787       597,808  

Eversource Energy (Electric Utilities)

      13,749       834,702  

Exelon Corp. (Electric Utilities)

      40,182       1,449,365  

FirstEnergy Corp. (Electric Utilities)

      19,253       561,417  

NextEra Energy, Inc. (Electric Utilities)

      20,313       2,846,461  

PG&E Corp. (Electric Utilities)

      22,155       1,470,427  

Pinnacle West Capital Corp. (Electric Utilities)

      4,840       412,174  

PPL Corp. (Electric Utilities)

      29,642       1,145,960  

Southern Co. / The (Electric Utilities)

      43,154       2,066,214  

Xcel Energy, Inc. (Electric Utilities)

      22,031       1,010,782  

AES Corp. (Ind. Power & Renewable Elec.)

      28,642       318,213  

NRG Energy, Inc. (Ind. Power & Renewable Elec.)

      13,714       236,155  

Ameren Corp. (Multi-Utilities)

      10,528       575,566  

CenterPoint Energy, Inc. (Multi-Utilities)

      18,699       511,979  

CMS Energy Corp. (Multi-Utilities)

      12,168       562,770  

Consolidated Edison, Inc. (Multi-Utilities)

      13,250       1,070,865  

Dominion Energy, Inc. (Multi-Utilities)

      27,291       2,091,309  

DTE Energy Co. (Multi-Utilities)

      7,783       823,364  

NiSource, Inc. (Multi-Utilities)

      14,034       355,902  

Public Service Enterprise Group, Inc. (Multi-Utilities)

      21,949       944,027  

SCANA Corp. (Multi-Utilities)

      6,201       415,529  

Sempra Energy (Multi-Utilities)

      10,883       1,227,058  

WEC Energy Group, Inc. (Multi-Utilities)

      13,693       840,476  

American Water Works Co., Inc. (Water Utilities)

      7,732       602,709  
     

 

 

 
        28,494,126  
     

 

 

 

Total Common Stocks (Cost $669,880,140)

      $ 901,216,352  
     

 

 

 
Money Market Funds – 0.2%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      1,469,235     $ 1,469,235  
     

 

 

 

Total Money Market Funds (Cost $1,469,235)

      $ 1,469,235  
     

 

 

 

Total Investments – 100.0% (Cost $671,349,375)

  (b)     $ 902,685,587  

Other Assets in Excess of Liabilities – 0.0%

  (c)       383,794  
     

 

 

 

Net Assets – 100.0%

      $ 903,069,381  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

  (c) Includes $105,865 of cash pledged as collateral for the futures contracts outstanding at June 30, 2017. See also the following Schedule of Open Futures Contracts.

 

The accompanying notes are an integral part of these financial statements.

 

  53  


Ohio National Fund, Inc.   S&P 500® Index Portfolio (Continued)

 

Schedule of Open Futures Contracts

  June 30, 2017 (Unaudited)

 

 

Description

  Number of
Contracts
  

Expiration Date

   Notional
Amount
    

Value

   Unrealized
Appreciation
(Depreciation)
 

CME E-mini S&P 500 Index – Long

  15    September 15, 2017    $ 1,827,778      $1,815,675    $ (12,103
       

 

 

    

 

  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

  54  


Ohio National Fund, Inc.   Strategic Value Portfolio

 

Objective/Strategy

The Strategic Value Portfolio seeks growth of capital and income by investing primarily in high dividend yielding, undervalued stocks with dividend growth potential.

 

Performance as of June 30, 2017

 

Average Annual returns

 

One year

    3.75%  

Five years

    11.60%  

Ten years

    5.16%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.78% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Strategic Value Portfolio returned 8.27% versus 6.09% for its benchmark, the Dow Jones U.S. Select Dividend Index (“DJSDI”).

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. The overall market displayed a preference for “risk-on” characteristics in the first half of the year, as low yield and high beta themes dominated investor predilection. Although investor preferences did not favor a high-quality dividend approach, the Portfolio still provided an attractive return. In the Portfolio’s favor, large market cap outperformed small market cap in the period. The strategy benefited accordingly, as its mega/large cap tilt contributed to relative performance versus the mid-cap tilted DJSDI.(1)

Regardless of market conditions, the Portfolio remained committed to its objectives of delivering high dividend income and moderate dividend growth to investors, as it ended the period with a gross weighted average dividend yield of 4.1%. This yield surpassed not only that of the S&P 500 Index, with its 2.0% yield, and the 10 year U.S. Treasury Note, but also the 3.6% yield of the DJSDI. Complementing the Portfolio’s high yield, many of the Portfolio’s holdings raised their dividend in the first half of the year. The most notable increases came courtesy of PepsiCo, Inc., Ventas, Inc., Realty Income Corp., The Coca-Cola Co. and Digital Realty Trust, Inc.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. During the period, the Portfolio’s top contributors to its outperformance were an overweight and positive stock selection in Health Care, as the Portfolio’s overweight in pharmaceuticals names

generated an 18.1% return, while the lighter exposure in the DJSDI posted a 10.3% return. The Portfolio’s pharmaceutical names benefitted from the Senate’s health care bill, which if passed, is viewed as potentially positive for pharmaceutical companies, as various fees and taxes assessed to the industry could be eliminated. The Portfolio also heavily benefited from its notable overweight to Consumer Staples and its underweight to Financials.(1)

The primary detractor, from a sector perspective, was the Portfolio’s overweight to Telecommunication Services Of note, AT&T, Inc. and Verizon Communications, Inc. posted declines of 9.2% and 14.2%, respectively, when their stock prices were negatively affected by recent competitive pressures within the United States wireless market. Additionally, the DJSDI benefitted from the strong performance in Utilities stocks (+8.9%), where it had a near 30% exposure. This large concentration significantly exceeds the weighting of the Portfolio in the sector, detracting from relative performance. Relative performance was further hampered by the Portfolio’s pronounced relative underweight in Industrials and its zero exposure to Materials; sectors that afford little reliable dividend yield and dividend growth opportunity.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. Utilities had a larger impact on the benchmark’s overall total return due to its outsized average weight in the benchmark. Further, the DJSDI captures both regulated and unregulated (commodity-linked) utility companies. The Portfolio’s exposure focuses on regulated utilities, where we have better visibility into the expectations of future dividends and dividend growth, but may have less variability in returns. The Portfolio’s regulated utilities tend to have lower standard deviations, indicating that they typically go down less during periods of declining commodity pricing or periods of market distress but may also go up less during periods of broad market advances. Further, market cap preferences can also notably affect relative performance, as the Portfolio’s mega-cap tilt versus the benchmark’s mid-cap tilt can cause significant dispersion in returns.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three relative contributors were as follows:

Sanofi (+21.6% return, +75 basis points total effect) - Shares of Sanofi moved higher after reporting strong first quarter results driven by their vaccines and Genzyme/Specialty Care Segment.(1)

Vodafone Group PLC - ADR (+22.1% return, +61 basis points total effect) - Vodafone shares gained after reporting strong operating results for fiscal year 2017 and gave solid earnings before interest, taxes, depreciation, and amortization (“EBITDA”) and free cash flow guidance for fiscal year 2018.(1)

Philip Morris International, Inc. (+30.7% return, +57 basis points total effect) - Phillip Morris continues to benefit from heightened expectations of its new product, iQOS.(1)

The top three relative detractors were as follows:

Verizon Communications, Inc. (“Verizon”) (-14.4% return, -100 basis points total effect) - Verizon’s stock price was negatively affected by the recent competitive pressures with the United States wireless market. (1)

AT&T, Inc. (-9.2% return, -57 basis points total effect) - AT&T, Inc.’s stock price was negatively affected by the recent competitive pressures with the United States wireless market.(1)

 

 

  55   (continued)


Ohio National Fund, Inc.   Strategic Value Portfolio (Continued)

 

Exxon Mobil Corp. (-8.9% return, -43 basis points total effect) - The Energy sector was down as crude oil prices declined. Energy was the second greatest laggard in the S&P 500 Index.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Dow Jones U.S. Select Dividend Index is comprised of all dividend-paying companies in the Dow Jones U.S. Index that have a non-negative historical five-year dividend-per-share growth rate, a five-year average dividend to earnings-per-share ratio of less than or equal to 60%, paid dividends in each of the previous five years, and a three-month average daily trading volume of 200,000 shares. Current index components are included in the universe regardless of their dividend payout ratio or trading volume. The Dow Jones U.S. Index aims to consistently represent the top 95% of U.S. companies based on float-adjusted market capitalization, excluding non common issues and illiquid stocks. The index presented includes the effects of reinvested dividends.

Portfolio Composition as of June 30, 2017 (1)

 

     % of Net Assets  

Common Stocks (4)

     97.2  

Money Market Funds and
Other Net Assets

     2.8  
  

 

 

 
     100.0  
  

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

       % of Net Assets  
  1.        AbbVie, Inc.      4.8  
  2.        Philip Morris International, Inc.      4.8  
  3.        Vodafone Group PLC – ADR      4.6  
  4.        Altria Group, Inc.      4.6  
  5.        AT&T, Inc.      4.6  
  6.        Verizon Communications, Inc.      4.5  
  7.        Coca-Cola Co. / The      4.2  
  8.        BCE, Inc.      4.2  
  9.        Duke Energy Corp.      3.9  
10.        Sanofi      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) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Common Stocks):

 

     % of Net Assets  

Consumer Staples

     18.7  

Telecommunication Services

     17.8  

Utilities

     17.7  

Health Care

     17.0  

Energy

     11.7  

Real Estate

     9.5  

Consumer Discretionary

     2.1  

Financials

     1.6  

Information Technology

     0.6  

Industrials

     0.5  
  

 

 

 
     97.2  
  

 

 

 

 

  56  


Ohio National Fund, Inc.   Strategic Value Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 97.2%        Shares     Value  
CONSUMER DISCRETIONARY – 2.1%                

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      81,775     $   12,524,659  
     

 

 

 
CONSUMER STAPLES – 18.7%                

Coca-Cola Co. / The (Beverages)

      550,950       24,710,107  

PepsiCo, Inc. (Beverages)

      26,650       3,077,809  

General Mills, Inc. (Food Products)

      83,675       4,635,595  

Kimberly-Clark Corp. (Household Products)

      76,600       9,889,826  

Procter & Gamble Co. / The (Household Products)

      141,740       12,352,641  

Altria Group, Inc. (Tobacco)

      366,345       27,281,712  

Philip Morris International, Inc. (Tobacco)

      239,920       28,178,604  
     

 

 

 
        110,126,294  
     

 

 

 
ENERGY – 11.7%                

BP PLC (Oil, Gas & Consumable Fuels)

  (a)     1,949,425       11,252,416  

Chevron Corp. (Oil, Gas & Consumable Fuels)

      152,655       15,926,496  

Exxon Mobil Corp. (Oil, Gas & Consumable Fuels)

      204,150       16,481,029  

Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels)

      216,200       12,943,894  

TOTAL SA (Oil, Gas & Consumable Fuels)

  (a)     242,975       12,062,973  
     

 

 

 
        68,666,808  
     

 

 

 
FINANCIALS – 1.6%                

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance)

  (a)     47,625       9,637,047  
     

 

 

 
HEALTH CARE – 17.0%                

AbbVie, Inc. (Biotechnology)

      389,525       28,244,458  

AstraZeneca PLC (Pharmaceuticals)

  (a)     214,230       14,349,879  

GlaxoSmithKline PLC (Pharmaceuticals)

  (a)     744,706       15,852,742  

Merck & Co., Inc. (Pharmaceuticals)

      294,300       18,861,687  

Sanofi (Pharmaceuticals)

  (a)     241,136       23,105,628  
     

 

 

 
        100,414,394  
     

 

 

 
INDUSTRIALS – 0.5%                

United Parcel Service, Inc. Class B (Air Freight & Logistics)

      27,550       3,046,755  
     

 

 

 
INFORMATION TECHNOLOGY – 0.6%                

Paychex, Inc. (IT Svs.)

      60,450       3,442,023  
     

 

 

 
REAL ESTATE – 9.5%                

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

      211,925       21,230,646  

Digital Realty Trust, Inc. (Equity Real Estate Investment Trusts)

      49,670       5,610,226  

National Retail Properties, Inc. (Equity Real Estate Investment Trusts)

      116,000       4,535,600  
Common Stocks (Continued)        Shares     Value  
REAL ESTATE (continued)                

Omega Healthcare Investors, Inc. (Equity Real Estate Investment Trusts)

      101,550     $ 3,353,181  

Realty Income Corp. (Equity Real Estate Investment Trusts)

      73,800       4,072,284  

Ventas, Inc. (Equity Real Estate Investment Trusts)

      159,330       11,070,248  

Welltower, Inc. (Equity Real Estate Investment Trusts)

      78,800       5,898,180  
     

 

 

 
        55,770,365  
     

 

 

 
TELECOMMUNICATION SERVICES – 17.8%                

AT&T, Inc. (Diversified Telecom. Svs.)

      716,348       27,027,810  

BCE, Inc. (Diversified Telecom. Svs.)

      544,505       24,521,200  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

      587,476       26,236,678  

Vodafone Group PLC – ADR (Wireless Telecom. Svs.)

      950,868       27,318,438  
     

 

 

 
        105,104,126  
     

 

 

 
UTILITIES – 17.7%                

American Electric Power Co., Inc. (Electric Utilities)

      85,425       5,934,475  

Duke Energy Corp. (Electric Utilities)

      276,931       23,148,662  

PPL Corp. (Electric Utilities)

      434,925       16,814,201  

Southern Co. / The (Electric Utilities)

      181,860       8,707,457  

Consolidated Edison, Inc. (Multi-Utilities)

      65,000       5,253,300  

Dominion Energy, Inc. (Multi-Utilities)

      244,425       18,730,288  

National Grid PLC (Multi-Utilities)

  (a)     1,455,850       18,038,680  

Public Service Enterprise Group, Inc. (Multi-Utilities)

      172,100       7,402,021  
     

 

 

 
        104,029,084  
     

 

 

 

Total Common Stocks (Cost $540,544,143)

      $ 572,761,555  
     

 

 

 
Money Market Funds – 1.5%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      8,623,132     $ 8,623,132  
     

 

 

 

Total Money Market Funds (Cost $8,623,132)

      $ 8,623,132  
     

 

 

 

Total Investments – 98.7% (Cost $549,167,275)

  (b)     $ 581,384,687  

Other Assets in Excess of Liabilities – 1.3%

        7,914,615  
     

 

 

 

Net Assets – 100.0%

      $ 589,299,302  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $104,299,365, or 17.7% of the Portfolio’s net assets.

 

       Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  57  


Ohio National Fund, Inc.   High Income Bond Portfolio

 

Objective/Strategy

The High Income Bond Portfolio seeks high current income by investing at least 80% of its net assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated Ba or lower by Moody’s, or BB or lower by Standard & Poor’s or Fitch.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     11.36%  

Five years

     6.40%  

Ten years

     7.04%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.81% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the High Income Bond Portfolio returned 5.03% versus 4.92% for its benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (“BBHY2%ICI”).

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. The high yield market generated attractive relative and absolute returns during the six-month period ended June 30, 2017. The market continued to be fueled by a high level of confidence that the domestic economy continues on a path of solid, but unspectacular, growth. While acrimony between the political left and right continues, business leaders seem to be focused on a more benign regulatory environment, as well as the potential for tax relief. Consumers continue to be encouraged by high levels of employment, low levels of inflation, low intermediate term interest rates (despite the Federal Reserve’s modest increase in the Federal Fund’s rate) and increasing net worth. Foreign economies are also performing well. Equity prices, a proxy for corporate valuations, moved higher during the period while high yield default activity remained modest. While a swoon in oil prices in June briefly brought back memories of 2015 for high yield investors, stabilization in the mid 40’s for this volatile commodity limited the damage to oil-related sectors. The overall impact of these factors can be seen in the decline in the yield spread between the Credit Suisse High Yield Bond Index and Treasury securities with comparable maturities, which tightened during the period.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio’s outperformance was led by its overweight to the strong performing health care sector and its underweight to the poor performing oil field services and independent energy sectors. The Portfolio also benefitted from strong security selection in the cable & satellite, wireless, packaging and independent energy industry sectors. The Portfolio was negatively impacted by security selection in the transportation services and midstream sectors.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. Within the high-yield market, major industry sectors that substantially outperformed the overall BBHY2%ICI included: pharmaceuticals, banking, health care, cable & satellite and chemicals. Major industry sectors that substantially underperformed the overall BBHY2%ICI included: independent energy, oil field services, retail, other industrials and consumer products. From a quality ratings perspective, the CCC-rated sector generated the best returns, followed by BB and B-rated sectors.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Specific Portfolio holdings that substantially outperformed the BBHY2%ICI included: Intelsat Jackson Holdings SA, which moved substantially higher in price as a result of a merger/restructuring proposal by a company affiliated with Softbank and stabilizing fundamental performance, Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA, which moved higher on improving financial performance, and CHS / Community Health Systems, Inc., which moved higher on the strength of asset sales and better sentiment in the health care space.(1)

Specific holdings that substantially underperformed the BBHY2%ICI included: PetSmart, Inc., which underperformed on negative sentiment in the retail sector and online competition, FGI Operating Co. LLC / FGI Finance, Inc., which underperformed as firearms sales slumped, and Northern Oil and Gas, Inc., which moved lower due to weakening oil prices.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  58   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Change in Value of $10,000 Investment

 

LOGO

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 Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index is the 2% Issuer Cap component of the Bloomberg Barclays U.S. Corporate High Yield Bond Index. The Bloomberg Barclays U.S. Corporate High Yield Bond Index is an unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1/BB+/BB+, a minimum amount outstanding of $150 million, and a least 1 year to maturity. The 2% Issuer Cap component limits the exposure of each issuer to 2% of the total market value and distributes any excess market value index–wide on a pro–rata basis. The index is presented on a total return basis.

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Corporate Bonds (4)

    94.6  

Exchange Traded Funds

    1.5  

Money Market Funds and
Other Net Assets

    3.9  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets  

  1.     Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA 6.625%, 05/15/2022

    0.8  

  2.     Jaguar Holding Co. II / Pharmaceutical Product Development LLC 6.375%, 08/01/2023

    0.8  

  3.     iShares iBoxx $ High Yield Corporate Bond ETF

    0.8  

  4.     SPDR Bloomberg Barclays High Yield Bond ETF

    0.8  

  5.     Platform Specialty Products Corp. 6.500%, 02/01/2022

    0.7  

  6.     Sprint Corp.
7.625%, 02/15/2025

    0.7  

  7.     MPH Acquisition Holdings LLC 7.125%, 06/01/2024

    0.7  

  8.     First Data Corp.
5.750%, 01/15/2024

    0.6  

  9.     Post Holdings, Inc.
5.000%, 08/15/2026

    0.6  

  10.   Ally Financial, Inc.
5.750%, 11/20/2025

    0.6  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Corporate Bonds):

 

     % of Net Assets  

Consumer Discretionary

     24.5  

Health Care

     14.4  

Energy

     11.7  

Information Technology

     10.8  

Materials

     10.6  

Industrials

     7.4  

Telecommunication Services

     4.3  

Financials

     4.2  

Utilities

     3.4  

Consumer Staples

     3.0  

Real Estate

     0.3  
  

 

 

 
     94.6  
  

 

 

 

 

  59  


Ohio National Fund, Inc.   High Income Bond Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds – 94.6%         Rate    Maturity   Face Amount     Value  
CONSUMER DISCRETIONARY – 24.5%                          

Adient Global Holdings Ltd. (Auto Components)

  (a)    4.875%    08/15/2026   $    950,000     $        952,375  

American Axle & Manufacturing, Inc. (Auto Components)

     6.625%    10/15/2022     125,000       128,125  

American Axle & Manufacturing, Inc. (Auto Components)

  (a)    6.500%    04/01/2027     625,000       607,812  

Cooper-Standard Automotive, Inc. (Auto Components)

  (a)    5.625%    11/15/2026     200,000       200,750  

Dana Financing Luxembourg Sarl (Auto Components)

  (a)    6.500%    06/01/2026     800,000       851,500  

Dana Financing Luxembourg Sarl (Auto Components)

  (a)    5.750%    04/15/2025     175,000       181,125  

Gates Global LLC / Gates Global Co. (Auto Components)

  (a)    6.000%    07/15/2022     1,550,000       1,553,875  

Goodyear Tire & Rubber Co. / The (Auto Components)

     5.125%    11/15/2023     300,000       314,250  

Goodyear Tire & Rubber Co. / The (Auto Components)

     5.000%    05/31/2026     200,000       207,000  

Goodyear Tire & Rubber Co. / The (Auto Components)

     4.875%    03/15/2027     325,000       329,875  

IHO Verwaltung GmbH (Auto Components)

  (a)(b)    4.750%, 5.500% PIK    09/15/2026     1,075,000       1,087,094  

J.B. Poindexter & Co., Inc. (Auto Components)

  (a)    9.000%    04/01/2022     475,000       498,156  

Omega U.S. Sub, LLC (Auto Components)

  (a)    8.750%    07/15/2023     775,000       819,562  

Tenneco, Inc. (Auto Components)

     5.000%    07/15/2026     100,000       101,125  

ZF North America Capital, Inc. (Auto Components)

  (a)    4.750%    04/29/2025     475,000       501,125  

ServiceMaster Co. LLC / The (Diversified Consumer Svs.)

     7.450%    08/15/2027     300,000       327,750  

ServiceMaster Co. LLC / The (Diversified Consumer Svs.)

     7.100%    03/01/2018     450,000       461,250  

ServiceMaster Co. LLC / The (Diversified Consumer Svs.)

  (a)    5.125%    11/15/2024     700,000       724,500  

1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure)

  (a)    6.000%    04/01/2022     1,175,000       1,217,594  

1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure)

  (a)    4.250%    05/15/2024     250,000       248,422  

Aramark Services, Inc. (Hotels, Restaurants & Leisure)

     5.125%    01/15/2024     550,000       578,187  

Aramark Services, Inc. (Hotels, Restaurants & Leisure)

     4.750%    06/01/2026     375,000       389,062  

Aramark Services, Inc. (Hotels, Restaurants & Leisure)

  (a)    5.000%    04/01/2025     300,000       316,875  

Boyd Gaming Corp. (Hotels, Restaurants & Leisure)

     6.875%    05/15/2023     525,000       561,750  

Boyd Gaming Corp. (Hotels, Restaurants & Leisure)

     6.375%    04/01/2026     650,000       702,812  

Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. (Hotels, Restaurants & Leisure)

  (a)    5.375%    04/15/2027     100,000       105,750  

Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. (Hotels, Restaurants & Leisure)

     5.375%    06/01/2024     375,000       391,875  

Chester Downs & Marina LLC (Hotels, Restaurants & Leisure)

  (a)    9.250%    02/01/2020     900,000       927,000  

Eagle II Acquisition Co. LLC (Hotels, Restaurants & Leisure)

  (a)    6.000%    04/01/2025     325,000       344,500  

GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure)

     5.375%    11/01/2023     300,000       326,250  

GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure)

     5.375%    04/15/2026     125,000       136,536  

Hilton Domestic Operations (Hotels, Restaurants & Leisure)

  (a)    4.250%    09/01/2024     250,000       253,437  

Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. (Hotels, Restaurants & Leisure)

  (a)    4.625%    04/01/2025     375,000       386,719  

KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure)

  (a)    5.000%    06/01/2024     150,000       156,375  

KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure)

  (a)    5.250%    06/01/2026     300,000       315,750  

KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure)

  (a)    4.750%    06/01/2027     650,000       663,812  

KIRS Midco 3 PLC (Hotels, Restaurants & Leisure)

  (a)    8.625%    07/15/2023     850,000       860,625  

MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure)

     5.625%    05/01/2024     50,000       54,500  

MGM Resorts International (Hotels, Restaurants & Leisure)

     7.750%    03/15/2022     750,000       880,312  

MGM Resorts International (Hotels, Restaurants & Leisure)

     6.750%    10/01/2020     150,000       166,185  

MGM Resorts International (Hotels, Restaurants & Leisure)

     4.625%    09/01/2026     1,575,000       1,590,750  

Mohegan Tribal Gaming Authority (Hotels, Restaurants & Leisure)

  (a)    7.875%    10/15/2024     925,000       962,000  

Penn National Gaming, Inc. (Hotels, Restaurants & Leisure)

  (a)    5.625%    01/15/2027     375,000       382,031  

Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure)

  (a)    5.625%    05/01/2024     1,075,000       1,118,000  

Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp. (Hotels, Restaurants & Leisure)

  (a)    6.125%    08/15/2021     900,000       913,500  

Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International LLC (Hotels, Restaurants & Leisure)

  (a)    5.875%    05/15/2021     1,400,000       1,407,000  

Seminole Indian Tribe of Florida (Hotels, Restaurants & Leisure)

  (a)    7.804%    10/01/2020     520,000       525,200  

Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure)

  (a)    4.875%    07/31/2024     350,000       352,142  

Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure)

  (a)    5.500%    04/15/2027     1,050,000       1,081,500  

Station Casinos LLC (Hotels, Restaurants & Leisure)

     7.500%    03/01/2021     313,000       325,520  

Sugarhouse HSP Gaming Prop. Mezz LP / Sugarhouse HSP Gaming Finance Corp. (Hotels, Restaurants & Leisure)

  (a)    5.875%    05/15/2025     350,000       341,250  

Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure)

  (a)    5.250%    05/15/2027     225,000       230,484  

RSI Home Products, Inc. (Household Durables)

  (a)    6.500%    03/15/2023     975,000       1,026,187  

FGI Operating Co. LLC / FGI Finance, Inc. (Acquired 04/12/2012 through 11/04/2013, Cost $809,102) (Leisure Products)

  (c)    7.875%    05/01/2020     800,000       536,000  

Acosta, Inc. (Media)

  (a)    7.750%    10/01/2022     1,275,000       965,812  

Altice SA (Media)

  (a)    7.625%    02/15/2025     1,425,000       1,567,500  

Altice U.S. Finance I Corp. (Media)

  (a)    5.375%    07/15/2023     375,000       390,234  

Altice U.S. Finance II Corp. (Media)

  (a)    7.750%    07/15/2025     1,175,000       1,298,375  

 

  60   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate    Maturity   Face Amount     Value  
CONSUMER DISCRETIONARY (continued)                          

AMC Entertainment Holdings, Inc. (Media)

  (a)    5.875%    11/15/2026   $ 300,000     $        313,125  

AMC Entertainment Holdings, Inc. (Media)

  (a)    6.125%    05/15/2027     200,000       211,062  

AMC Networks, Inc. (Media)

     5.000%    04/01/2024     800,000       819,000  

Cablevision Systems Corp. (Media)

     5.875%    09/15/2022     1,200,000       1,261,500  

CBS Radio, Inc. (Media)

  (a)    7.250%    11/01/2024     600,000       618,000  

CCO Holdings LLC / CCO Holdings Capital Corp. (Media)

     5.125%    02/15/2023     150,000       154,781  

CCO Holdings LLC / CCO Holdings Capital Corp. (Media)

     5.750%    09/01/2023     325,000       338,812  

CCO Holdings LLC / CCO Holdings Capital Corp. (Media)

     5.750%    01/15/2024     1,275,000       1,343,531  

CCO Holdings LLC / CCO Holdings Capital Corp. (Media)

  (a)    5.375%    05/01/2025     175,000       186,375  

CCO Holdings LLC / CCO Holdings Capital Corp. (Media)

  (a)    5.875%    05/01/2027     150,000       160,312  

CCO Holdings LLC / CCO Holdings Capital Corp. (Media)

  (a)    5.125%    05/01/2027     1,625,000       1,661,562  

Cequel Communications Holdings I LLC / Cequel Capital Corp. (Media)

  (a)    5.125%    12/15/2021     750,000       763,125  

Cequel Communications Holdings I LLC / Cequel Capital Corp. (Media)

  (a)    5.125%    12/15/2021     100,000       101,843  

Clear Channel International BV (Media)

  (a)    8.750%    12/15/2020     50,000       53,000  

Clear Channel Worldwide Holdings, Inc. (Media)

     6.500%    11/15/2022     275,000       280,500  

Clear Channel Worldwide Holdings, Inc. (Media)

     6.500%    11/15/2022     725,000       745,082  

CSC Holdings LLC (Media)

     5.250%    06/01/2024     250,000       255,025  

CSC Holdings LLC (Media)

  (a)    5.500%    04/15/2027     650,000       687,375  

DISH DBS Corp. (Media)

     5.875%    07/15/2022     1,325,000       1,424,375  

DISH DBS Corp. (Media)

     5.875%    11/15/2024     375,000       400,114  

DISH DBS Corp. (Media)

     7.750%    07/01/2026     550,000       651,750  

EMI Music Publishing Group North America Holdings, Inc. (Media)

  (a)    7.625%    06/15/2024     875,000       973,437  

E.W. Scripps Company / The (Media)

  (a)    5.125%    05/15/2025     175,000       180,250  

Gannett Co., Inc. (Media)

  (a)    5.500%    09/15/2024     225,000       231,750  

Gray Television, Inc. (Media)

  (a)    5.875%    07/15/2026     825,000       841,500  

Gray Television, Inc. (Media)

  (a)    5.125%    10/15/2024     250,000       252,500  

iHeartCommunications, Inc. (Media)

     9.000%    03/01/2021     700,000       525,000  

Intelsat Jackson Holdings SA (Media)

     7.500%    04/01/2021     1,525,000       1,406,812  

Intelsat Jackson Holdings SA (Media)

     5.500%    08/01/2023     550,000       455,125  

Intelsat Jackson Holdings SA (Media)

  (a)    8.000%    02/15/2024     675,000       727,312  

Intelsat Jackson Holdings SA (Media)

  (a)    9.750%    07/15/2025     350,000       349,562  

Lamar Media Corp. (Media)

     5.375%    01/15/2024     275,000       287,375  

LIN Television Corp. (Media)

     5.875%    11/15/2022     350,000       366,625  

Live Nation Entertainment, Inc. (Media)

  (a)    4.875%    11/01/2024     250,000       253,750  

Lynx II Corp. (Media)

  (a)    6.375%    04/15/2023     475,000       498,750  

Nexstar Broadcasting, Inc. (Media)

  (a)    6.125%    02/15/2022     475,000       496,969  

Nexstar Escrow Corp. (Media)

  (a)    5.625%    08/01/2024     1,025,000       1,037,812  

Nielsen Finance LLC / Nielsen Finance Co. (Media)

  (a)    5.000%    04/15/2022     1,250,000       1,296,875  

Outfront Media Capital LLC / Outfront Media Capital Corp. (Media)

     5.250%    02/15/2022     300,000       310,875  

Outfront Media Capital LLC / Outfront Media Capital Corp. (Media)

     5.625%    02/15/2024     300,000       313,125  

Radio One, Inc. (Media)

  (a)    9.250%    02/15/2020     650,000       624,000  

Radio One, Inc. (Media)

  (a)    7.375%    04/15/2022     625,000       646,875  

Regal Entertainment Group (Media)

     5.750%    02/01/2025     550,000       567,875  

Regal Entertainment Group (Media)

     5.750%    03/15/2022     100,000       104,500  

Sinclair Television Group, Inc. (Media)

  (a)    5.625%    08/01/2024     875,000       897,969  

Sinclair Television Group, Inc. (Media)

  (a)    5.875%    03/15/2026     750,000       766,875  

Sinclair Television Group, Inc. (Media)

  (a)    5.125%    02/15/2027     250,000       241,875  

Sirius XM Radio, Inc. (Media)

  (a)    4.625%    05/15/2023     1,175,000       1,208,781  

Sirius XM Radio, Inc. (Media)

  (a)    6.000%    07/15/2024     275,000       292,187  

Sirius XM Radio, Inc. (Media)

  (a)    5.375%    04/15/2025     150,000       155,062  

Sirius XM Radio, Inc. (Media)

  (a)    5.375%    07/15/2026     725,000       750,375  

Sirius XM Radio, Inc. (Media)

  (a)    5.000%    08/01/2027     200,000       201,500  

TEGNA, Inc. (Media)

     6.375%    10/15/2023     700,000       738,500  

Tribune Media Co. (Media)

     5.875%    07/15/2022     1,375,000       1,440,312  

Unitymedia KabelBW GmbH (Media)

  (a)    6.125%    01/15/2025     975,000       1,045,687  

Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Media)

  (a)    5.500%    01/15/2023     427,500       443,531  

Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Media)

  (a)    5.000%    01/15/2025     200,000       209,500  

Virgin Media Finance PLC (Media)

  (a)    6.000%    10/15/2024     800,000       848,000  

Virgin Media Finance PLC (Media)

  (a)    5.750%    01/15/2025     400,000       415,000  

Virgin Media Secured Finance PLC (Media)

  (a)    5.250%    01/15/2026     425,000       442,344  

Virgin Media Secured Finance PLC (Media)

  (a)    5.500%    08/15/2026     200,000       209,500  

WMG Acquisition Corp. (Media)

  (a)    5.000%    08/01/2023     75,000       76,875  

WMG Acquisition Corp. (Media)

  (a)    4.875%    11/01/2024     200,000       204,000  

Ziggo Bond Finance BV (Media)

  (a)    6.000%    01/15/2027     775,000       783,719  

Ziggo Secured Finance BV (Media)

  (a)    5.500%    01/15/2027     925,000       944,656  

Argos Merger Sub, Inc. (Specialty Retail)

  (a)    7.125%    03/15/2023     1,600,000       1,424,000  

Michaels Stores, Inc. (Specialty Retail)

  (a)    5.875%    12/15/2020     1,275,000       1,305,281  

Party City Holdings, Inc. (Specialty Retail)

  (a)    6.125%    08/15/2023     975,000       1,009,125  

PetSmart, Inc. (Specialty Retail)

  (a)    8.875%    06/01/2025     325,000       300,170  

 

  61   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate    Maturity   Face Amount     Value  
CONSUMER DISCRETIONARY (continued)                          

Sally Holdings LLC / Sally Capital, Inc. (Specialty Retail)

     5.625%    12/01/2025   $ 600,000     $        614,250  

Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods)

  (a)    4.875%    05/15/2026     475,000       482,125  

Springs Industries, Inc. (Textiles, Apparel & Luxury Goods)

     6.250%    06/01/2021     455,000       469,219  
           

 

 

 
              77,944,383  
           

 

 

 
CONSUMER STAPLES – 3.0%                          

Albertsons Cos., LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC (Food & Staples Retailing)

  (a)    6.625%    06/15/2024     1,025,000       1,017,312  

Albertsons Cos., LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s, LLC (Food & Staples Retailing)

  (a)    5.750%    03/15/2025     525,000       488,250  

Performance Food Group, Inc. (Food & Staples Retailing)

  (a)    5.500%    06/01/2024     75,000       77,437  

Rite Aid Corp. (Food & Staples Retailing)

  (a)    6.125%    04/01/2023     550,000       541,062  

U.S. Foods, Inc. (Food & Staples Retailing)

  (a)    5.875%    06/15/2024     1,550,000       1,608,125  

Hearthside Group Holdings LLC / Hearthside Finance Co. (Food Products)

  (a)    6.500%    05/01/2022     850,000       845,750  

Lamb Weston Holdings, Inc. (Food Products)

  (a)    4.875%    11/01/2026     500,000       518,125  

Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products)

     5.875%    01/15/2024     250,000       266,875  

Post Holdings, Inc. (Food Products)

  (a)    6.000%    12/15/2022     100,000       106,000  

Post Holdings, Inc. (Food Products)

  (a)    5.000%    08/15/2026     2,000,000       1,995,000  

Spectrum Brands, Inc. (Household Products)

     6.125%    12/15/2024     175,000       187,469  

Spectrum Brands, Inc. (Household Products)

     5.750%    07/15/2025     400,000       429,040  

First Quality Finance Co., Inc. (Personal Products)

  (a)    4.625%    05/15/2021     1,450,000       1,462,687  

First Quality Finance Co., Inc. (Personal Products)

  (a)    5.000%    07/01/2025     100,000       102,000  
           

 

 

 
              9,645,132  
           

 

 

 
ENERGY – 11.7%                          

Precision Drilling Corp. (Energy Equip. & Svs.)

  (a)    7.750%    12/15/2023     425,000       418,625  

Weatherford International, LLC (Energy Equip. & Svs.)

     6.800%    06/15/2037     500,000       427,500  

Weatherford International Ltd. (Energy Equip. & Svs.)

     7.000%    03/15/2038     425,000       363,375  

Weatherford International Ltd. (Energy Equip. & Svs.)

     8.250%    06/15/2023     500,000       500,000  

Weatherford International Ltd. (Energy Equip. & Svs.)

  (a)    9.875%    02/15/2024     75,000       78,375  

Alliance Resource Operating Partners LP / Alliance Resource Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    7.500%    05/01/2025     625,000       657,031  

Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.375%    09/15/2024     900,000       920,250  

Antero Resources Corp. (Oil, Gas & Consumable Fuels)

     5.125%    12/01/2022     200,000       200,436  

Antero Resources Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.000%    03/01/2025     1,050,000       1,018,500  

Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    10.000%    04/01/2022     575,000       575,000  

Callon Petroleum Co. (Oil, Gas & Consumable Fuels)

     6.125%    10/01/2024     339,000       344,932  

Callon Petroleum Co. (Oil, Gas & Consumable Fuels)

  (a)    6.125%    10/01/2024     275,000       279,812  

Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels)

     7.500%    09/15/2020     875,000       890,312  

Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels)

     6.250%    04/15/2023     100,000       96,250  

Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels)

     8.250%    07/15/2025     300,000       305,250  

Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels)

     5.875%    03/31/2025     475,000       506,469  

Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels)

     7.000%    06/30/2024     550,000       613,250  

Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels)

  (a)    5.125%    06/30/2027     225,000       230,625  

Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)

     5.375%    06/15/2021     525,000       490,875  

Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)

     5.750%    03/15/2023     50,000       45,375  

Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)    8.000%    12/15/2022     456,000       482,220  

Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)    8.000%    01/15/2025     175,000       173,250  

Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)    8.000%    06/15/2027     750,000       736,875  

Continental Resources, Inc. (Oil, Gas & Consumable Fuels)

     4.500%    04/15/2023     775,000       740,125  

CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels)

  (a)    7.125%    04/15/2021     150,000       154,125  

CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels)

  (a)    7.750%    02/15/2023     175,000       184,625  

CVR Refining LLC / Coffeyville Finance, Inc. (Oil, Gas & Consumable Fuels)

     6.500%    11/01/2022     1,175,000       1,183,812  

Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)    4.750%    11/01/2024     275,000       273,625  

Energy Transfer Equity LP (Oil, Gas & Consumable Fuels)

     5.875%    01/15/2024     1,275,000       1,351,500  

Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    8.500%    11/01/2021     1,000,000       1,067,500  

EP Energy LLC / Everest Acquisition Finance, Inc. (Oil, Gas & Consumable Fuels)

     6.375%    06/15/2023     150,000       88,125  

EP Energy LLC / Everest Acquisition Finance, Inc. (Oil, Gas & Consumable Fuels)

  (a)    8.000%    11/29/2024     500,000       498,750  

Gulfport Energy Corp. (Oil, Gas & Consumable Fuels)

     6.625%    05/01/2023     275,000       275,687  

Gulfport Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)    6.000%    10/15/2024     450,000       437,625  

Gulfport Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)    6.375%    05/15/2025     275,000       270,875  

Hiland Partners LP / Hiland Partners Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.500%    05/15/2022     250,000       261,115  

Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    6.000%    08/01/2024     875,000       910,000  

Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels)

     7.375%    05/01/2022     150,000       151,500  

Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels)

     5.625%    01/15/2022     275,000       266,750  

Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels)

     6.250%    03/15/2023     475,000       471,437  

MPLX LP (Oil, Gas & Consumable Fuels)

     5.500%    02/15/2023     600,000       616,062  

Northern Oil and Gas, Inc. (Acquired 05/08/2013 through 10/05/2016, Cost $928,727) (Oil, Gas & Consumable Fuels)

  (c)    8.000%    06/01/2020     975,000       682,500  

 

  62   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate    Maturity   Face Amount     Value  
ENERGY (continued)                          

NuStar Logistics LP (Oil, Gas & Consumable Fuels)

     5.625%    04/28/2027   $ 475,000     $        498,750  

Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels)

     6.875%    03/15/2022     900,000       873,000  

Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    6.250%    06/01/2024     100,000       105,000  

Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.375%    01/15/2025     175,000       176,312  

Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.250%    08/15/2025     175,000       174,562  

PDC Energy, Inc. (Oil, Gas & Consumable Fuels)

     7.750%    10/15/2022     100,000       103,750  

PDC Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)    6.125%    09/15/2024     350,000       355,250  

Peabody Securities Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    6.000%    03/31/2022     125,000       124,062  

Peabody Securities Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    6.375%    03/31/2025     475,000       467,875  

QEP Resources, Inc. (Oil, Gas & Consumable Fuels)

     6.875%    03/01/2021     450,000       466,875  

QEP Resources, Inc. (Oil, Gas & Consumable Fuels)

     5.250%    05/01/2023     125,000       118,125  

Range Resources Corp. (Oil, Gas & Consumable Fuels)

     4.875%    05/15/2025     600,000       570,000  

Rice Energy, Inc. (Oil, Gas & Consumable Fuels)

     6.250%    05/01/2022     500,000       522,500  

RSP Permian, Inc. (Oil, Gas & Consumable Fuels)

     6.625%    10/01/2022     325,000       337,187  

RSP Permian, Inc. (Oil, Gas & Consumable Fuels)

  (a)    5.250%    01/15/2025     350,000       350,437  

Sabine Pass Liquefaction, LLC (Oil, Gas & Consumable Fuels)

     5.625%    04/15/2023     700,000       778,028  

Sabine Pass Liquefaction, LLC (Oil, Gas & Consumable Fuels)

     5.625%    03/01/2025     225,000       248,443  

SM Energy Co. (Oil, Gas & Consumable Fuels)

     5.000%    01/15/2024     375,000       331,875  

SM Energy Co. (Oil, Gas & Consumable Fuels)

     6.750%    09/15/2026     325,000       310,271  

Southwestern Energy Co. (Oil, Gas & Consumable Fuels)

     4.100%    03/15/2022     1,225,000       1,141,547  

Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels)

     5.500%    08/15/2022     1,400,000       1,398,250  

Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels)

     5.750%    04/15/2025     350,000       351,750  

Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels)

     5.250%    05/01/2023     150,000       153,750  

Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.375%    02/01/2027     1,000,000       1,035,000  

Tesoro Corp. (Oil, Gas & Consumable Fuels)

     5.125%    04/01/2024     425,000       449,437  

Tesoro Corp. (Oil, Gas & Consumable Fuels)

  (a)    5.125%    12/15/2026     250,000       271,900  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

     5.875%    10/01/2020     725,000       740,406  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

     6.125%    10/15/2021     325,000       338,000  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

     5.500%    10/15/2019     50,000       52,750  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

     6.250%    10/15/2022     75,000       79,687  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

     6.375%    05/01/2024     150,000       162,375  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

     5.250%    01/15/2025     650,000       682,500  

Ultra Resources, Inc. (Oil, Gas & Consumable Fuels)

  (a)    6.875%    04/15/2022     150,000       148,875  

Ultra Resources, Inc. (Oil, Gas & Consumable Fuels)

  (a)    7.125%    04/15/2025     300,000       295,875  

Western Refining Logistics LP / WNRL Finance Corp. (Oil, Gas & Consumable Fuels)

     7.500%    02/15/2023     900,000       969,750  

Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels)

     6.250%    04/01/2023     1,075,000       986,312  

Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels)

     4.550%    06/24/2024     250,000       256,875  

WPX Energy, Inc. (Oil, Gas & Consumable Fuels)

     6.000%    01/15/2022     450,000       445,500  

WPX Energy, Inc. (Oil, Gas & Consumable Fuels)

     5.250%    09/15/2024     50,000       47,500  

WPX Energy, Inc. (Oil, Gas & Consumable Fuels)

     8.250%    08/01/2023     200,000       217,000  
           

 

 

 
              37,377,666  
           

 

 

 
FINANCIALS – 4.2%                          

MSCI, Inc. (Capital Markets)

  (a)    5.250%    11/15/2024     150,000       159,000  

MSCI, Inc. (Capital Markets)

  (a)    5.750%    08/15/2025     325,000       352,014  

Ally Financial, Inc. (Consumer Finance)

     4.125%    03/30/2020     875,000       899,062  

Ally Financial, Inc. (Consumer Finance)

     4.625%    03/30/2025     400,000       409,672  

Ally Financial, Inc. (Consumer Finance)

     4.625%    05/19/2022     250,000       260,000  

Ally Financial, Inc. (Consumer Finance)

     5.750%    11/20/2025     1,850,000       1,947,125  

Navient Corp. (Consumer Finance)

     5.875%    10/25/2024     975,000       992,355  

Navient Corp. (Consumer Finance)

     7.250%    09/25/2023     275,000       294,937  

Navient Corp. (Consumer Finance)

     5.500%    01/25/2023     325,000       330,281  

Navient Corp. (Consumer Finance)

     6.125%    03/25/2024     775,000       798,250  

Alpha 3 BV / Alpha US Bidco, Inc. (Diversified Financial Svs.)

  (a)    6.250%    02/01/2025     725,000       745,844  

BCD Acquisition, Inc. (Diversified Financial Svs.)

  (a)    9.625%    09/15/2023     625,000       675,000  

HUB International Ltd. (Insurance)

  (a)    7.875%    10/01/2021     1,575,000       1,641,937  

NFP Corp. (Insurance)

  (a)    6.875%    07/15/2025     825,000       833,250  

USIS Merger Sub, Inc. (Insurance)

  (a)    6.875%    05/01/2025     975,000       992,063  

Quicken Loans, Inc. (Thrifts & Mortgage Finance)

  (a)    5.750%    05/01/2025     1,825,000       1,884,313  
           

 

 

 
              13,215,103  
           

 

 

 
HEALTH CARE – 14.4%                          

Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA (Health Care Equip. & Supplies)

  (a)    6.625%    05/15/2022     2,750,000       2,626,250  

Sterigenics-Nordion Holdings LLC (Health Care Equip. & Supplies)

  (a)    6.500%    05/15/2023     900,000       927,000  

Sterigenics-Nordion Topco LLC (Health Care Equip. & Supplies)

  (a)(b)    8.125%, 8.875% PIK    11/01/2021     1,400,000       1,435,000  

 

  63   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate    Maturity   Face Amount     Value  
HEALTH CARE (continued)                          

Teleflex, Inc. (Health Care Equip. & Supplies)

     5.250%    06/15/2024   $ 275,000     $        284,625  

Teleflex, Inc. (Health Care Equip. & Supplies)

     4.875%    06/01/2026     100,000       102,250  

Acadia Healthcare Co., Inc. (Health Care Providers & Svs.)

     5.625%    02/15/2023     1,350,000       1,396,406  

Acadia Healthcare Co., Inc. (Health Care Providers & Svs.)

     6.500%    03/01/2024     625,000       667,188  

Air Medical Merger Sub Corp. (Health Care Providers & Svs.)

  (a)    6.375%    05/15/2023     1,200,000       1,137,000  

CHS / Community Health Systems, Inc. (Health Care Providers & Svs.)

     5.125%    08/01/2021     300,000       303,750  

CHS / Community Health Systems, Inc. (Health Care Providers & Svs.)

     6.875%    02/01/2022     1,350,000       1,179,563  

CHS / Community Health Systems, Inc. (Health Care Providers & Svs.)

     6.250%    03/31/2023     650,000       671,028  

DaVita, Inc. (Health Care Providers & Svs.)

     5.125%    07/15/2024     175,000       177,625  

DaVita, Inc. (Health Care Providers & Svs.)

     5.000%    05/01/2025     475,000       476,188  

Eagle Holding Co. II, LLC (Health Care Providers & Svs.)

  (a)(b)    7.625%, 8.375% PIK    05/15/2022     325,000       334,344  

Envision Healthcare Corp. (Health Care Providers & Svs.)

     5.625%    07/15/2022     375,000       388,594  

Envision Healthcare Corp. (Health Care Providers & Svs.)

  (a)    5.125%    07/01/2022     925,000       949,281  

Envision Healthcare Corp. (Health Care Providers & Svs.)

  (a)    6.250%    12/01/2024     900,000       960,750  

HCA, Inc. (Health Care Providers & Svs.)

     5.000%    03/15/2024     1,600,000       1,694,000  

HCA, Inc. (Health Care Providers & Svs.)

     5.250%    04/15/2025     1,775,000       1,908,125  

HCA, Inc. (Health Care Providers & Svs.)

     5.375%    02/01/2025     1,200,000       1,265,760  

HCA, Inc. (Health Care Providers & Svs.)

     5.875%    02/15/2026     1,425,000       1,539,000  

HCA, Inc. (Health Care Providers & Svs.)

     5.875%    05/01/2023     275,000       299,406  

IASIS Healthcare LLC / IASIS Capital Corp. (Health Care Providers & Svs.)

     8.375%    05/15/2019     775,000       778,875  

Jaguar Holding Co. II / Pharmaceutical Product Development LLC (Health Care Providers & Svs.)

  (a)    6.375%    08/01/2023     2,425,000       2,555,344  

LifePoint Health, Inc. (Health Care Providers & Svs.)

     5.500%    12/01/2021     250,000       258,750  

LifePoint Health, Inc. (Health Care Providers & Svs.)

     5.875%    12/01/2023     75,000       79,125  

LifePoint Health, Inc. (Health Care Providers & Svs.)

     5.375%    05/01/2024     850,000       879,750  

MEDNAX, Inc. (Health Care Providers & Svs.)

  (a)    5.250%    12/01/2023     125,000       128,750  

MPH Acquisition Holdings LLC (Health Care Providers & Svs.)

  (a)    7.125%    06/01/2024     2,075,000       2,212,469  

Surgery Center Holdings, Inc. (Health Care Providers & Svs.)

  (a)    6.750%    07/01/2025     775,000       784,688  

Team Health Holdings, Inc. (Health Care Providers & Svs.)

  (a)    6.375%    02/01/2025     1,700,000       1,649,000  

Tenet Healthcare Corp. (Health Care Providers & Svs.)

     4.500%    04/01/2021     350,000       355,688  

Tenet Healthcare Corp. (Health Care Providers & Svs.)

     4.375%    10/01/2021     250,000       253,750  

Tenet Healthcare Corp. (Health Care Providers & Svs.)

     6.750%    06/15/2023     1,700,000       1,700,000  

Tenet Healthcare Corp. (Health Care Providers & Svs.)

  (a)    7.500%    01/01/2022     225,000       244,080  

Tenet Healthcare Corp. (Health Care Providers & Svs.)

  (a)    4.625%    07/15/2024     155,000       155,194  

THC Escrow Corp. III (Health Care Providers & Svs.)

  (a)    4.625%    07/15/2024     195,000       195,527  

THC Escrow Corp. III (Health Care Providers & Svs.)

  (a)    5.125%    05/01/2025     750,000       752,813  

THC Escrow Corp. III (Health Care Providers & Svs.)

  (a)    7.000%    08/01/2025     225,000       224,156  

Vizient, Inc. (Health Care Providers & Svs.)

  (a)    10.375%    03/01/2024     1,075,000       1,236,250  

Quintiles IMS Health, Inc. (Health Care Technology)

  (a)    5.000%    10/15/2026     325,000       335,156  

Endo Finance LLC / Endo Ltd. / Endo Finco, Inc. (Pharmaceuticals)

  (a)    6.000%    02/01/2025     1,125,000       916,875  

Endo Finance LLC / Endo Ltd. / Endo Finco, Inc. (Pharmaceuticals)

  (a)    6.000%    07/15/2023     475,000       399,238  

Mallinckrodt International Finance SA (Pharmaceuticals)

     4.750%    04/15/2023     475,000       404,938  

Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals)

  (a)    5.500%    04/15/2025     700,000       612,500  

Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals)

  (a)    5.625%    10/15/2023     1,350,000       1,231,875  

Prestige Brands, Inc. (Pharmaceuticals)

  (a)    5.375%    12/15/2021     1,100,000       1,134,375  

Prestige Brands, Inc. (Pharmaceuticals)

  (a)    6.375%    03/01/2024     1,000,000       1,068,750  

Valeant Pharmaceuticals International, Inc. (Pharmaceuticals)

  (a)    7.250%    07/15/2022     675,000       634,500  

VRX Escrow Corp. (Pharmaceuticals)

  (a)    5.875%    05/15/2023     825,000       707,438  

VRX Escrow Corp. (Pharmaceuticals)

  (a)    6.125%    04/15/2025     2,075,000       1,755,969  

Valeant Pharmaceuticals International, Inc. (Pharmaceuticals)

  (a)    5.625%    12/01/2021     100,000       90,250  

Valeant Pharmaceuticals International, Inc. (Pharmaceuticals)

  (a)    5.500%    03/01/2023     350,000       297,059  

Valeant Pharmaceuticals International, Inc. (Pharmaceuticals)

  (a)    6.500%    03/15/2022     125,000       131,094  

Valeant Pharmaceuticals International, Inc. (Pharmaceuticals)

  (a)    7.000%    03/15/2024     350,000       367,938  

VPII Escrow Corp. (Pharmaceuticals)

  (a)    7.500%    07/15/2021     750,000       726,563  
           

 

 

 
              45,981,860  
           

 

 

 
INDUSTRIALS – 7.4%                          

Silver II Borrower / Silver II U.S. Holdings LLC (Aerospace & Defense)

  (a)    7.750%    12/15/2020     325,000       325,000  

Engility Corp. (Aerospace & Defense)

     8.875%    09/01/2024     600,000       651,750  

TransDigm, Inc. (Aerospace & Defense)

     5.500%    10/15/2020     275,000       279,125  

TransDigm, Inc. (Aerospace & Defense)

     6.000%    07/15/2022     550,000       566,500  

TransDigm, Inc. (Aerospace & Defense)

     6.500%    07/15/2024     775,000       800,188  

TransDigm, Inc. (Aerospace & Defense)

     6.500%    05/15/2025     250,000       254,375  

TransDigm, Inc. (Aerospace & Defense)

     6.375%    06/15/2026     850,000       862,750  

Allegion PLC (Building Products)

     5.875%    09/15/2023     100,000       107,500  

Allegion U.S. Holding Co., Inc. (Building Products)

     5.750%    10/01/2021     325,000       337,188  

Building Materials Corp. of America (Building Products)

  (a)    6.000%    10/15/2025     475,000       508,250  

Hillman Group, Inc. / The (Building Products)

  (a)    6.375%    07/15/2022     1,500,000       1,440,000  

Masonite International Corp. (Building Products)

  (a)    5.625%    03/15/2023     275,000       287,375  

NCI Building Systems, Inc. (Building Products)

  (a)    8.250%    01/15/2023     375,000       405,469  

 

  64   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate    Maturity   Face Amount     Value  
INDUSTRIALS (continued)                          

Ply Gem Industries, Inc. (Building Products)

     6.500%    02/01/2022   $ 900,000     $        942,678  

GW Honos Security Corp. (Commercial Svs. & Supplies)

  (a)    8.750%    05/15/2025     325,000       340,031  

KAR Auction Services, Inc. (Commercial Svs. & Supplies)

  (a)    5.125%    06/01/2025     575,000       585,781  

Multi-Color Corp. (Commercial Svs. & Supplies)

  (a)    6.125%    12/01/2022     950,000       997,500  

Ritchie Bros Auctioneers, Inc. (Commercial Svs. & Supplies)

  (a)    5.375%    01/15/2025     225,000       234,563  

Southern Graphics, Inc. (Commercial Svs. & Supplies)

  (a)    8.375%    10/15/2020     1,025,000       1,042,938  

Tervita Escrow Corp. (Commercial Svs. & Supplies)

  (a)    7.625%    12/01/2021     600,000       604,500  

Sensata Technologies BV (Electrical Equip.)

  (a)    5.625%    11/01/2024     225,000       241,313  

Sensata Technologies BV (Electrical Equip.)

  (a)    5.000%    10/01/2025     100,000       104,580  

Sensata Technologies UK Financing Co. PLC (Electrical Equip.)

  (a)    6.250%    02/15/2026     225,000       245,250  

Allison Transmission, Inc. (Machinery)

  (a)    5.000%    10/01/2024     250,000       256,250  

Schaeffler Finance BV (Machinery)

  (a)    4.750%    05/15/2023     275,000       283,250  

Nielsen Co. Luxembourg SARL / The (Professional Svs.)

  (a)    5.500%    10/01/2021     625,000       646,875  

Nielsen Co. Luxembourg SARL / The (Professional Svs.)

  (a)    5.000%    02/01/2025     300,000       307,500  

Tempo Acquisition, LLC / Tempo Acquisition Finance Corp. (Professional Svs.)

  (a)    6.750%    06/01/2025     625,000       639,063  

Avis Budget Car Rental, LLC / Avis Budget Finance, Inc. (Road & Rail)

     5.500%    04/01/2023     125,000       124,219  

Avis Budget Car Rental, LLC / Avis Budget Finance, Inc. (Road & Rail)

  (a)    5.250%    03/15/2025     775,000       729,469  

Avis Budget Car Rental, LLC / Avis Budget Finance, Inc. (Road & Rail)

  (a)    6.375%    04/01/2024     700,000       698,250  

Hertz Corp. / The (Road & Rail)

     6.250%    10/15/2022     600,000       523,500  

Hertz Corp. / The (Road & Rail)

  (a)    5.500%    10/15/2024     1,175,000       963,500  

Hertz Corp. / The (Road & Rail)

  (a)    7.625%    06/01/2022     450,000       448,920  

American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors)

  (a)    5.625%    04/15/2021     340,000       349,775  

American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors)

  (a)    5.750%    12/15/2023     50,000       52,875  

HD Supply, Inc. (Trading Companies & Distributors)

  (a)    5.250%    12/15/2021     200,000       209,875  

HD Supply, Inc. (Trading Companies & Distributors)

  (a)    5.750%    04/15/2024     525,000       557,813  

Park Aerospace Holdings Ltd. (Trading Companies & Distributors)

  (a)    5.250%    08/15/2022     175,000       182,931  

Park Aerospace Holdings Ltd. (Trading Companies & Distributors)

  (a)    5.500%    02/15/2024     1,625,000       1,697,313  

United Rentals North America, Inc. (Trading Companies & Distributors)

     4.625%    07/15/2023     225,000       233,606  

United Rentals North America, Inc. (Trading Companies & Distributors)

     5.500%    07/15/2025     300,000       314,250  

United Rentals North America, Inc. (Trading Companies & Distributors)

     5.875%    09/15/2026     325,000       346,125  

United Rentals North America, Inc. (Trading Companies & Distributors)

     5.500%    05/15/2027     350,000       360,500  

WESCO Distribution, Inc. (Trading Companies & Distributors)

     5.375%    12/15/2021     425,000       441,469  

WESCO Distribution, Inc. (Trading Companies & Distributors)

     5.375%    06/15/2024     1,050,000       1,095,938  
           

 

 

 
              23,627,870  
           

 

 

 
INFORMATION TECHNOLOGY – 10.8%                          

CommScope Technologies Finance LLC (Communications Equip.)

  (a)    6.000%    06/15/2025     325,000       346,938  

CommScope Technologies LLC (Communications Equip.)

  (a)    5.000%    03/15/2027     150,000       149,625  

CommScope, Inc. (Communications Equip.)

  (a)    5.500%    06/15/2024     525,000       546,494  

Riverbed Technology, Inc. (Communications Equip.)

  (a)    8.875%    03/01/2023     1,025,000       1,041,656  

Diamond 1 Finance Corp. / Diamond 2 Finance Corp. (Computers & Peripherals)

  (a)    7.125%    06/15/2024     1,375,000       1,511,514  

Anixter, Inc. (Electronic Equip., Instr. & Comp.)

     5.500%    03/01/2023     325,000       347,344  

Belden, Inc. (Electronic Equip., Instr. & Comp.)

  (a)    5.500%    09/01/2022     725,000       746,750  

Belden, Inc. (Electronic Equip., Instr. & Comp.)

  (a)    5.250%    07/15/2024     950,000       983,250  

CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.)

     5.500%    12/01/2024     575,000       621,897  

CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.)

     5.000%    09/01/2023     550,000       572,688  

CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.)

     5.000%    09/01/2025     100,000       103,750  

Cleaver-Brooks, Inc. (Electronic Equip., Instr. & Comp.)

  (a)    8.750%    12/15/2019     225,000       232,031  

Zebra Technologies Corp. (Electronic Equip., Instr. & Comp.)

     7.250%    10/15/2022     1,225,000       1,301,563  

Match Group, Inc. (Internet Software & Svs.)

     6.750%    12/15/2022     1,100,000       1,144,000  

Match Group, Inc. (Internet Software & Svs.)

     6.375%    06/01/2024     50,000       54,375  

Inception Merger Sub, Inc. / Rackspace Hosting, Inc. (Internet Software & Svs.)

  (a)    8.625%    11/15/2024     1,550,000       1,650,750  

VeriSign, Inc. (Internet Software & Svs.)

     4.625%    05/01/2023     200,000       205,000  

VeriSign, Inc. (Internet Software & Svs.)

     5.250%    04/01/2025     125,000       133,438  

VeriSign, Inc. (Internet Software & Svs.)

  (a)    4.750%    07/15/2027     200,000       202,250  

First Data Corp. (IT Svs.)

  (a)    5.375%    08/15/2023     550,000       574,750  

First Data Corp. (IT Svs.)

  (a)    7.000%    12/01/2023     875,000       934,063  

First Data Corp. (IT Svs.)

  (a)    5.000%    01/15/2024     800,000       822,744  

First Data Corp. (IT Svs.)

  (a)    5.750%    01/15/2024     1,925,000       1,999,594  

Gartner, Inc. (IT Svs.)

  (a)    5.125%    04/01/2025     350,000       367,644  

Sabre GLBL, Inc. (IT Svs.)

  (a)    5.375%    04/15/2023     450,000       469,125  

Entegris, Inc. (Semiconductors & Equip.)

  (a)    6.000%    04/01/2022     925,000       967,781  

Micron Technology, Inc. (Semiconductors & Equip.)

  (a)    5.250%    08/01/2023     400,000       415,400  

Microsemi Corp. (Semiconductors & Equip.)

  (a)    9.125%    04/15/2023     196,000       224,420  

Qorvo, Inc. (Semiconductors & Equip.)

     7.000%    12/01/2025     425,000       482,375  

Versum Materials, Inc. (Semiconductors & Equip.)

  (a)    5.500%    09/30/2024     700,000       735,875  

BMC Software Finance, Inc. (Software)

  (a)    8.125%    07/15/2021     1,525,000       1,578,863  

Ensemble S Merger Sub, Inc. (Software)

  (a)    9.000%    09/30/2023     1,025,000       1,066,000  

Infor Software Parent LLC / Infor Software Parent, Inc. (Software)

  (a)(b)    7.125%, 7.875% PIK    05/01/2021     1,750,000       1,802,500  

 

  65   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate    Maturity   Face Amount     Value  
INFORMATION TECHNOLOGY (continued)                          

Infor U.S., Inc. (Software)

     6.500%    05/15/2022   $ 1,675,000     $     1,733,625  

Italics Merger Sub, Inc. (Software)

  (a)    7.125%    07/15/2023     1,350,000       1,374,057  

JDA Escrow LLC / JDA Bond Finance, Inc. (Software)

  (a)    7.375%    10/15/2024     1,050,000       1,092,000  

Nuance Communications, Inc. (Software)

  (a)    5.375%    08/15/2020     364,000       369,915  

Nuance Communications, Inc. (Software)

  (a)    5.625%    12/15/2026     975,000       1,040,813  

Nuance Communications, Inc. (Software)

     6.000%    07/01/2024     500,000       532,500  

PTC, Inc. (Software)

     6.000%    05/15/2024     125,000       135,313  

Solera LLC / Solera Finance, Inc. (Software)

  (a)    10.500%    03/01/2024     1,375,000       1,579,531  

SS&C Technologies Holdings, Inc. (Software)

     5.875%    07/15/2023     450,000       479,345  

Symantec Corp. (Software)

  (a)    5.000%    04/15/2025     475,000       497,116  

NCR Corp. (Tech. Hardware, Storage & Periph.)

     4.625%    02/15/2021     475,000       484,500  

NCR Corp. (Tech. Hardware, Storage & Periph.)

     5.000%    07/15/2022     450,000       459,000  

NCR Corp. (Tech. Hardware, Storage & Periph.)

     6.375%    12/15/2023     225,000       241,313  
           

 

 

 
              34,355,475  
           

 

 

 
MATERIALS – 10.6%                          

Eco Services Operations LLC / Eco Finance Corp. (Chemicals)

  (a)    8.500%    11/01/2022     325,000       340,438  

Hexion, Inc. (Chemicals)

     6.625%    04/15/2020     1,050,000       958,125  

Huntsman International LLC (Chemicals)

     4.875%    11/15/2020     450,000       472,500  

Koppers, Inc. (Chemicals)

  (a)    6.000%    02/15/2025     400,000       425,000  

Platform Specialty Products Corp. (Chemicals)

  (a)    6.500%    02/01/2022     2,300,000       2,374,750  

Platform Specialty Products Corp. (Chemicals)

  (a)    10.375%    05/01/2021     150,000       165,938  

PQ Corp. (Chemicals)

  (a)    6.750%    11/15/2022     450,000       483,750  

The Scotts Miracle-Gro Co. (Chemicals)

     5.250%    12/15/2026     50,000       52,375  

Valvoline, Inc. (Chemicals)

  (a)    5.500%    07/15/2024     100,000       105,750  

W.R. Grace & Co. (Chemicals)

  (a)    5.625%    10/01/2024     200,000       213,750  

Standard Industries, Inc. (Construction Materials)

  (a)    5.000%    02/15/2027     1,200,000       1,224,000  

ARD Finance SA (Containers & Packaging)

  (b)    7.125%, 7.875% PIK    09/15/2023     1,250,000       1,334,250  

Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging)

  (a)    6.000%    06/30/2021     150,000       155,250  

Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging)

  (a)    4.625%    05/15/2023     200,000       204,918  

Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging)

  (a)    7.250%    05/15/2024     1,625,000       1,777,344  

Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging)

  (a)    6.000%    02/15/2025     400,000       420,000  

Ball Corp. (Containers & Packaging)

     5.250%    07/01/2025     125,000       137,969  

Berry Plastics Corp. (Containers & Packaging)

     5.500%    05/15/2022     1,325,000       1,379,656  

Berry Plastics Corp. (Containers & Packaging)

     5.125%    07/15/2023     1,025,000       1,067,281  

Berry Plastics Corp. (Containers & Packaging)

     6.000%    10/15/2022     75,000       79,969  

BWAY Holding Co. (Containers & Packaging)

  (a)    5.500%    04/15/2024     900,000       919,125  

BWAY Holding Co. (Containers & Packaging)

  (a)    7.250%    04/15/2025     1,825,000       1,852,375  

Crown Americas LLC / Crown Americas Capital Corp. V (Containers & Packaging)

  (a)    4.250%    09/30/2026     100,000       99,750  

Flex Acquisition Co., Inc. (Containers & Packaging)

  (a)    6.875%    01/15/2025     1,450,000       1,508,000  

Owens-Brockway Glass Container, Inc. (Containers & Packaging)

  (a)    5.875%    08/15/2023     225,000       248,063  

Owens-Brockway Glass Container, Inc. (Containers & Packaging)

  (a)    6.375%    08/15/2025     800,000       898,000  

Owens-Brockway Glass Container, Inc. (Containers & Packaging)

  (a)    5.375%    01/15/2025     325,000       346,531  

Pactiv LLC (Containers & Packaging)

     7.950%    12/15/2025     225,000       252,000  

Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging)

     5.750%    10/15/2020     1,325,000       1,355,926  

Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging)

  (a)    7.000%    07/15/2024     1,350,000       1,448,165  

Sealed Air Corp. (Containers & Packaging)

  (a)    4.875%    12/01/2022     225,000       239,625  

Sealed Air Corp. (Containers & Packaging)

  (a)    5.125%    12/01/2024     350,000       375,375  

Sealed Air Corp. (Containers & Packaging)

  (a)    5.500%    09/15/2025     400,000       437,000  

Signode Industrial Group Lux SA / Signode Industrial Group U.S., Inc. (Containers & Packaging)

  (a)    6.375%    05/01/2022     1,625,000       1,698,125  

ArcelorMittal (Metals & Mining)

     6.125%    06/01/2025     350,000       392,000  

Coeur Mining, Inc. (Metals & Mining)

  (a)    5.875%    06/01/2024     550,000       533,500  

Compass Minerals International, Inc. (Metals & Mining)

  (a)    4.875%    07/15/2024     1,000,000       985,000  

Freeport-McMoRan, Inc. (Metals & Mining)

     3.875%    03/15/2023     1,175,000       1,092,750  

Freeport-McMoRan, Inc. (Metals & Mining)

     5.400%    11/14/2034     1,350,000       1,204,875  

Hudbay Minerals, Inc. (Metals & Mining)

  (a)    7.250%    01/15/2023     225,000       232,031  

Hudbay Minerals, Inc. (Metals & Mining)

  (a)    7.625%    01/15/2025     400,000       419,000  

Steel Dynamics, Inc. (Metals & Mining)

     5.250%    04/15/2023     125,000       129,844  

Steel Dynamics, Inc. (Metals & Mining)

     5.125%    10/01/2021     200,000       205,396  

Steel Dynamics, Inc. (Metals & Mining)

     5.500%    10/01/2024     350,000       371,875  

Steel Dynamics, Inc. (Metals & Mining)

     5.000%    12/15/2026     325,000       333,531  

Teck Resources Ltd. (Metals & Mining)

     6.125%    10/01/2035     775,000       807,938  

Teck Resources Ltd. (Metals & Mining)

     6.000%    08/15/2040     175,000       175,875  

Teck Resources Ltd. (Metals & Mining)

  (a)    8.500%    06/01/2024     450,000       519,750  

Clearwater Paper Corp. (Paper & Forest Products)

     4.500%    02/01/2023     650,000       640,250  

Clearwater Paper Corp. (Paper & Forest Products)

  (a)    5.375%    02/01/2025     600,000       595,500  
           

 

 

 
              33,690,188  
           

 

 

 

 

  66   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity   Face Amount     Value  
REAL ESTATE – 0.3%                            

RHP Hotel Properties LP / RHP Finance Corp. (Equity Real Estate Investment Trusts)

       5.000%      04/15/2023   $ 100,000     $ 102,250  

Hub Holdings, LLC / Hub Holdings Finance, Inc. (Real Estate Mgmt. & Development)

  (a)(b)      8.125%, 8.875% PIK      07/15/2019     975,000       977,438  
           

 

 

 
              1,079,688  
           

 

 

 
TELECOMMUNICATION SERVICES – 4.3%                            

Level 3 Financing, Inc. (Diversified Telecom. Svs.)

       5.375%      05/01/2025     350,000       368,375  

Neptune Finco Corp. (Diversified Telecom. Svs.)

  (a)      10.875%      10/15/2025     350,000       421,313  

Neptune Finco Corp. (Diversified Telecom. Svs.)

  (a)      6.625%      10/15/2025     300,000       330,030  

Neptune Finco Corp. (Diversified Telecom. Svs.)

  (a)      10.125%      01/15/2023     300,000       348,000  

Numericable-SFR SA (Diversified Telecom. Svs.)

  (a)      7.375%      05/01/2026     1,400,000       1,519,000  

Numericable Group SA (Diversified Telecom. Svs.)

  (a)      6.000%      05/15/2022     425,000       444,656  

Numericable Group SA (Diversified Telecom. Svs.)

  (a)      6.250%      05/15/2024     400,000       422,500  

Digicel Group Ltd. (Wireless Telecom. Svs.)

  (a)      8.250%      09/30/2020     975,000       911,528  

Sprint Capital Corp. (Wireless Telecom. Svs.)

       6.875%      11/15/2028     700,000       778,099  

Sprint Nextel Corp. (Wireless Telecom. Svs.)

  (a)      7.000%      03/01/2020     350,000       384,125  

Sprint Communications, Inc. (Wireless Telecom. Svs.)

       6.000%      11/15/2022     825,000       874,500  

Sprint Corp. (Wireless Telecom. Svs.)

       7.875%      09/15/2023     975,000       1,121,250  

Sprint Corp. (Wireless Telecom. Svs.)

       7.125%      06/15/2024     325,000       361,563  

Sprint Corp. (Wireless Telecom. Svs.)

       7.625%      02/15/2025     1,950,000       2,244,938  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       6.125%      01/15/2022     200,000       210,188  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       6.500%      01/15/2024     625,000       671,875  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       6.625%      04/01/2023     450,000       476,190  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       6.000%      03/01/2023     150,000       158,765  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       6.375%      03/01/2025     225,000       243,281  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       6.500%      01/15/2026     325,000       358,719  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       5.125%      04/15/2025     775,000       813,750  

T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.)

       5.375%      04/15/2027     200,000       214,500  
           

 

 

 
              13,677,145  
           

 

 

 
UTILITIES – 3.4%                            

AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities)

       5.625%      05/20/2024     250,000       258,125  

AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities)

       5.875%      08/20/2026     1,200,000       1,230,000  

AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities)

       5.500%      05/20/2025     275,000       279,125  

AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities)

       5.750%      05/20/2027     200,000       203,000  

Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities)

       6.500%      05/01/2021     450,000       425,250  

Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities)

       6.750%      01/15/2022     500,000       471,250  

Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities)

       6.750%      06/15/2023     725,000       674,250  

Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities)

       5.500%      06/01/2024     1,150,000       1,144,250  

Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities)

       5.875%      03/01/2027     475,000       472,625  

Calpine Corp. (Ind. Power & Renewable Elec.)

       5.750%      01/15/2025     2,025,000       1,898,438  

NRG Energy, Inc. (Ind. Power & Renewable Elec.)

       6.625%      03/15/2023     75,000       77,063  

NRG Energy, Inc. (Ind. Power & Renewable Elec.)

       6.250%      05/01/2024     975,000       984,750  

NRG Energy, Inc. (Ind. Power & Renewable Elec.)

       7.250%      05/15/2026     1,075,000       1,112,625  

NRG Energy, Inc. (Ind. Power & Renewable Elec.)

       6.625%      01/15/2027     250,000       250,313  

TerraForm Power Operating, LLC (Ind. Power & Renewable Elec.)

  (a)      6.375%      02/01/2023     1,125,000       1,170,000  

TerraForm Power Operating, LLC (Ind. Power & Renewable Elec.)

  (a)      6.625%      06/15/2025     150,000       159,375  
           

 

 

 
              10,810,439  
           

 

 

 

Total Corporate Bonds (Cost $294,712,468)

            $ 301,404,949  
           

 

 

 
Exchange Traded Funds – 1.5%                      Shares     Value  

iShares iBoxx $ High Yield Corporate Bond ETF

            27,310     $ 2,413,931  

SPDR Bloomberg Barclays High Yield Bond ETF

            64,852       2,412,494  
           

 

 

 

Total Exchange Traded Funds (Cost $4,747,992)

            $ 4,826,425  
           

 

 

 
Money Market Funds – 3.0%                      Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

            9,575,705     $ 9,575,705  
           

 

 

 

Total Money Market Funds (Cost $9,575,705)

            $ 9,575,705  
           

 

 

 

Total Investments – 99.1% (Cost $309,036,165)

  (d)           $ 315,807,079  

Other Assets in Excess of Liabilities – 0.9%

              2,802,221  
           

 

 

 

Net Assets – 100.0%

            $ 318,609,300  
           

 

 

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

PIK: Payment-in-Kind

 

  67   (continued)


Ohio National Fund, Inc.   High Income Bond Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Footnotes:

 

  (a) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $181,301,228, or 56.9% of the Portfolio’s net assets. Unless also noted with (c), as defined below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (b) Issuer of the security has the option to make coupon payments in cash or in additional par value of this bond (Payment-in-Kind).

 

  (c) Represents a security deemed to be illiquid. At June 30, 2017, the value of illiquid securities in the Portfolio totaled $1,218,500, or 0.4% of the Portfolio’s net assets.

 

  (d) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  68  


Ohio National Fund, Inc.   ClearBridge Small Cap Portfolio

 

Objective/Strategy

The ClearBridge Small Cap Portfolio seeks long-term capital appreciation by investing at least 80% of its net assets in common stocks and other equity securities of small capitalization companies or in other investments that the portfolio managers believe have similar economic characteristics.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     25.71%  

Five years

     14.05%  

Ten years

     8.29%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 1.24% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the ClearBridge Small Cap Portfolio returned 6.54% versus 4.99% for its benchmark, the Russell 2000 Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. There were no unusual conditions, investment strategies, or techniques that materially affected the Portfolio’s relative performance to the benchmark during the reporting period. We continue to monitor valuations and opportunities in the market so that we can position the Portfolio optimally from a risk-return perspective.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Stock selection contributed to the Portfolio’s outperformance, partially offset by sector allocation effects. Stock selection in the Information Technology, Real Estate and Health Care sectors contributed the most to relative performance. Meanwhile, stock selection in the Materials sector and an underweight to the Health Care sector detracted from relative returns. The Portfolio’s cash position also detracted somewhat from relative performance.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. The Portfolio has been underweight in a few of the primary areas that did well in both the first and second quarters; specifically, the

biotechnology industry, and “bond proxy” stock areas such as the Telecommunication Services and Utilities sectors. While the Portfolio is underweight Health Care, positive stock selection effects in the sector contributed to relative performance.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Triton International Ltd., the largest lessor of shipping containers globally, was a top contributor in the second quarter. Triton’s stock rose due to improving demand for containers while supply remained constrained, as well as the potential for steel trade barriers implemented by the Trump administration, which would likely increase steel prices. The company benefits from higher steel prices in realizing higher scrap and residual value.(1)

Shares of 2U, Inc. were also a key contributor during the period. 2U partners with leading universities to offer online graduate degrees that are equivalent to on-campus degrees. Its contracts run for 10 years or more, but it loses money in the development stage of a program, so the lifetime profitability of each contract win is masked. As it increases the number of programs it launches, 2U creates more value in the long-term. Recognition of this approach by investors helped lift the stock.(1)

Shares of Akorn, Inc., a generic pharmaceuticals manufacturer, rose sharply in April after the company announced it had agreed to be acquired by Fresenius Kabi, a German drug and medical device supplier. The deal is expected to close in early 2018.(1)

Smart Sand, Inc., a provider of silica sand used as proppant for shale oil extraction, declined during the second quarter, as oil prices slid and as the market expects oil prices to be contained for some time. Nevertheless, sand pricing rose, and volumes have been strong, as the U.S. rig count has continued to rise and sand intensity has increased.(1)

Clearwater Paper Corp., which makes private-label hygienic paper and bleached paperboard products, declined following another earnings miss due to higher than expected costs. Clearwater has invested heavily in recent years to improve the quality of its products and to reduce systemic costs with new equipment and Information Technology systems. Our investment case has been that those investments would increase market share and generate incremental returns above the cost of capital. We still think that case is persuasive, but projects have cost more and taken longer than we expected.(1)

Extraction Oil & Gas, Inc. is an exploration and production company with primary assets in the U.S. Rocky Mountains region. The stock was pressured by a decline in crude oil prices during the period as well as negative sentiment related to a fatal gas well explosion in an area in close proximity to its Colorado operations. Despite recent stock weakness, the company reported results in May that topped forecasts, is confident in hitting or exceeding guidance provided for the rest of 2017 and has said that its 2018 growth plans are on track.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio did not use derivatives during the period. The Portfolio invested in three IPOs: Foundation Building Materials, Inc., Cadence Bancorporation and REV Group, Inc. Foundation Building Materials has declined 11.48%, detracting from absolute performance by 11 basis points during the period. Shares of Cadence Bancorporation increased 3.88% following the IPO through the end of

 

 

  69   (continued)


Ohio National Fund, Inc.   ClearBridge Small Cap Portfolio (Continued)

 

the period, contributing 3 basis points to the Portfolio’s absolute performance. The Portfolio’s investment in REV Group contributed 16 basis points to absolute returns.

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Russell 2000 Index measures the performance of the small-cap segment of the U.S equity universe. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The index presented includes the effects of reinvested dividends.

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    99.3  

Money Market Funds

 

Less Net Liabilities

    0.7  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets

  1.     Service Corp. International

    2.3  

  2.     Gray Television, Inc.

    2.3  

  3.     HealthEquity, Inc.

    2.2  

  4.     LegacyTexas Financial Group, Inc.

    2.0  

  5.     2U, Inc.

    1.9  

  6.     Murphy U.S.A., Inc.

    1.9  

  7.     Web.com Group, Inc.

    1.9  

  8.     Washington Federal, Inc.

    1.9  

  9.     Q2 Holdings, Inc.

    1.9  

10.     First Interstate BancSystem, Inc. Class A

    1.9  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks):

 

     % of Net Assets  

Financials

     22.4  

Information Technology

     19.0  

Industrials

     14.1  

Consumer Discretionary

     13.7  

Health Care

     12.4  

Real Estate

     7.2  

Consumer Staples

     3.4  

Energy

     2.8  

Materials

     2.5  

Utilities

     1.8  
  

 

 

 
     99.3  
  

 

 

 

 

  70  


Ohio National Fund, Inc.   ClearBridge Small Cap Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 99.3%        Shares     Value  
CONSUMER DISCRETIONARY – 13.7%                

Gentex Corp. (Auto Components)

      173,800     $     3,296,986  

Horizon Global Corp. (Auto Components)

  (a)     204,610       2,938,200  

Service Corp. International (Diversified Consumer Svs.)

      192,830       6,450,163  

Chuy’s Holdings, Inc. (Hotels, Restaurants & Leisure)

  (a)     111,260       2,603,484  

Planet Fitness, Inc. Class A (Hotels, Restaurants & Leisure)

      194,540       4,540,564  

Gray Television, Inc. (Media)

  (a)     468,110       6,413,107  

Aaron’s, Inc. (Specialty Retail)

      94,560       3,678,384  

Monro Muffler Brake, Inc. (Specialty Retail)

      73,800       3,081,150  

Murphy U.S.A., Inc. (Specialty Retail)

  (a)     73,600       5,454,496  
     

 

 

 
        38,456,534  
     

 

 

 
CONSUMER STAPLES – 3.4%                

Sprouts Farmers Market, Inc. (Food & Staples Retailing)

  (a)     200,000       4,534,000  

United Natural Foods, Inc. (Food & Staples Retailing)

  (a)     84,060       3,085,002  

Inter Parfums, Inc. (Personal Products)

      52,700       1,931,455  
     

 

 

 
        9,550,457  
     

 

 

 
ENERGY – 2.8%                

Smart Sand, Inc. (Energy Equip. & Svs.)

  (a)     276,480       2,463,437  

Extraction Oil & Gas, Inc. (Oil, Gas & Consumable Fuels)

  (a)     186,840       2,512,998  

Sanchez Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)     387,620       2,783,112  
     

 

 

 
        7,759,547  
     

 

 

 
FINANCIALS – 22.4%                

Cadence BanCorp (Banks)

  (a)     180,270       3,944,308  

First Interstate BancSystem, Inc. Class A (Banks)

      140,100       5,211,720  

LegacyTexas Financial Group, Inc. (Banks)

      144,290       5,501,778  

Popular, Inc. (Banks)

      92,680       3,865,683  

TriState Capital Holdings, Inc. (Banks)

  (a)     96,810       2,439,612  

Main Street Capital Corp. (Capital Markets)

      55,320       2,127,607  

PennantPark Investment Corp. (Capital Markets)

      212,382       1,569,503  

Triangle Capital Corp. (Capital Markets)

      185,099       3,261,444  

OneMain Holdings, Inc. (Consumer Finance)

  (a)     179,720       4,419,315  

PRA Group, Inc. (Consumer Finance)

  (a)     101,127       3,832,713  

Assured Guaranty Ltd. (Insurance)

      97,270       4,060,050  

Kinsale Capital Group, Inc. (Insurance)

      97,800       3,648,918  

ProAssurance Corp. (Insurance)

      54,510       3,314,208  

Beneficial Bancorp, Inc. (Thrifts & Mortgage Finance)

      205,990       3,089,850  

NMI Holdings, Inc. Class A (Thrifts & Mortgage Finance)

  (a)     313,914       3,594,315  

Radian Group, Inc. (Thrifts & Mortgage Finance)

      214,900       3,513,615  

Washington Federal, Inc. (Thrifts & Mortgage Finance)

      162,440       5,393,008  
     

 

 

 
        62,787,647  
     

 

 

 
HEALTH CARE – 12.4%                

Amarin Corp. PLC – ADR (Biotechnology)

  (a)     1,027,370       4,140,301  

Ironwood Pharmaceuticals, Inc. (Biotechnology)

  (a)     163,720       3,091,034  

Keryx Biopharmaceuticals, Inc. (Biotechnology)

  (a)     367,220       2,655,001  

Lexicon Pharmaceuticals, Inc. (Biotechnology)

  (a)     200,680       3,301,186  

Ligand Pharmaceuticals, Inc. (Biotechnology)

  (a)     34,110       4,140,954  

Quotient Ltd. (Health Care Equip. & Supplies)

  (a)     384,000       2,826,240  

HealthEquity, Inc. (Health Care Providers & Svs.)

  (a)     124,810       6,219,282  

HealthSouth Corp. (Health Care Providers & Svs.)

      78,940       3,820,696  

INC Research Holdings, Inc. Class A (Life Sciences Tools & Svs.)

  (a)     38,440       2,248,740  

Medpace Holdings, Inc. (Life Sciences Tools & Svs.)

  (a)     84,140       2,440,060  
     

 

 

 
        34,883,494  
     

 

 

 
Common Stocks (Continued)        Shares     Value  
INDUSTRIALS – 14.1%                

HEICO Corp. (Aerospace & Defense)

      59,162     $ 4,250,198  

Allegiant Travel Co. (Airlines)

      17,740       2,405,544  

Continental Building Products, Inc. (Building Products)

  (a)     127,000       2,959,100  

CIRCOR International, Inc. (Machinery)

      40,190       2,386,482  

REV Group, Inc. (Machinery)

      122,100       3,379,728  

Matson, Inc. (Marine)

      80,450       2,416,718  

ICF International, Inc. (Professional Svs.)

  (a)     74,650       3,516,015  

Landstar System, Inc. (Road & Rail)

      28,491       2,438,830  

Marten Transport Ltd. (Road & Rail)

      104,860       2,873,164  

Foundation Building Materials, Inc. (Trading Companies & Distributors)

  (a)     197,360       2,538,050  

GATX Corp. (Trading Companies & Distributors)

      54,000       3,470,580  

Rush Enterprises, Inc. Class A (Trading Companies & Distributors)

  (a)     85,250       3,169,595  

Triton International Ltd. (Trading Companies & Distributors)

      111,430       3,726,219  
     

 

 

 
        39,530,223  
     

 

 

 
INFORMATION TECHNOLOGY – 19.0%                

Methode Electronics, Inc. (Electronic Equip., Instr. & Comp.)

      112,430       4,632,116  

MTS Systems Corp. (Electronic Equip., Instr. & Comp.)

      56,340       2,918,412  

2U, Inc. (Internet Software & Svs.)

  (a)     116,260       5,454,919  

Bankrate, Inc. (Internet Software & Svs.)

  (a)     390,137       5,013,260  

Q2 Holdings, Inc. (Internet Software & Svs.)

  (a)     143,160       5,289,762  

Web.com Group, Inc. (Internet Software & Svs.)

  (a)     214,360       5,423,308  

WebMD Health Corp. (Internet Software & Svs.)

  (a)     82,110       4,815,751  

EVERTEC, Inc. (IT Svs.)

      194,680       3,367,964  

WNS Holdings Ltd. – ADR (IT Svs.)

  (a)     128,140       4,402,890  

Semtech Corp. (Semiconductors & Equip.)

  (a)     106,980       3,824,535  

Veeco Instruments, Inc. (Semiconductors & Equip.)

  (a)     112,130       3,122,820  

Manhattan Associates, Inc. (Software)

  (a)     51,678       2,483,645  

RingCentral, Inc. Class A (Software)

  (a)     68,630       2,508,426  
     

 

 

 
        53,257,808  
     

 

 

 
MATERIALS – 2.5%                

Balchem Corp. (Chemicals)

      43,080       3,347,747  

Clearwater Paper Corp. (Paper & Forest Products)

  (a)     78,110       3,651,642  
     

 

 

 
        6,999,389  
     

 

 

 
REAL ESTATE – 7.2%                

American Homes 4 Rent (Equity Real Estate Investment Trusts)

      150,170       3,389,337  

Lexington Realty Trust (Equity Real Estate Investment Trusts)

      235,440       2,333,210  

Potlatch Corp. (Equity Real Estate Investment Trusts)

      59,820       2,733,774  

STORE Capital Corp. (Equity Real Estate Investment Trusts)

      160,350       3,599,858  

Summit Hotel Properties, Inc. (Equity Real Estate Investment Trusts)

      190,150       3,546,298  

Realogy Holdings Corp. (Real Estate Mgmt. & Development)

      137,960       4,476,803  
     

 

 

 
        20,079,280  
     

 

 

 
UTILITIES – 1.8%                

PNM Resources, Inc. (Electric Utilities)

      129,440       4,951,080  
     

 

 

 

Total Common Stocks (Cost $244,649,348)

      $ 278,255,459  
     

 

 

 
Money Market Funds – 3.9%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      10,906,206     $ 10,906,206  
     

 

 

 

Total Money Market Funds
(Cost $10,906,206)

      $ 10,906,206  
     

 

 

 

Total Investments – 103.2%
(Cost $255,555,554)

  (b)     $ 289,161,665  

Liabilities in Excess of Other
Assets – (3.2)%

        (8,900,000)  
     

 

 

 

Net Assets – 100.0%

      $ 280,261,665  
     

 

 

 
 

 

  71   (continued)


Ohio National Fund, Inc.   ClearBridge Small Cap Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  72  


Ohio National Fund, Inc.   Nasdaq-100® Index Portfolio

 

Objective/Strategy

The Nasdaq-100® Index Portfolio seeks long-term growth of capital by investing more than 80% of its net assets in the common stocks that are included in the Nasdaq-100® Index. Unlike the other Portfolios of the Fund, the Nasdaq-100® Index Portfolio is a non-diversified portfolio for purposes of Section 5(b) of the Investment Company Act of 1940, as amended.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     28.80%  

Five years

     17.52%  

Ten years

     11.84%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.48% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Nasdaq-100® Index Portfolio returned 16.52% versus 16.78% for its benchmark, the Nasdaq-100® Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. The Portfolio intends to approximate the underlying return of the Nasdaq-100® Index. There were no material market events or changes in strategy that impacted the Portfolio’s relative return for the period.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio is managed on a risk-controlled basis and is constructed to closely replicate its benchmark index. The expected sources of performance variance include the impact of trading daily cash flows, including trading commissions, and the operating expenses of the Portfolio.

Consumer Discretionary, Information Technology, and Industrials were the best performing sectors in the Portfolio and benchmark for the six-month period ended June 30, 2017, while Consumer Staples was the key laggard.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The largest contributors to the Portfolio and benchmark returns for the period were Apple, Inc., Amazon.com, Inc., and Facebook, Inc. Class A. The largest detractors from the Portfolio and benchmark returns for the period were QUALCOMM, Inc., Intel Corp., and O’Reilly Automotive Inc.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio uses Nasdaq-100® Index futures contracts primarily to equitize open dividend receivables, as well as to manage day-to-day cash flows to ensure the Portfolio is fully invested. The futures did not meaningfully impact performance due to their index characteristics and size in relation to Portfolio net assets.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

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 NASDAQ Stock Market. The index presented includes the effects of reinvested dividends.

The Nasdaq-100®, Nasdaq-100 Index®, and Nasdaq® are registered trademarks of The NASDAQ OMX Group, Inc. (which with its affiliates is referred to as “NASDAQ OMX”). Ohio National Investments, Inc. has licensed these marks for the Portfolio’s use. NASDAQ OMX has not passed on the Portfolio’s legality or suitability. NASDAQ OMX does not sponsor, endorse, sell or promote the Portfolio. NASDAQ OMX MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE PORTFOLIO.

 

 

  73   (continued)


Ohio National Fund, Inc.   Nasdaq-100® Index Portfolio  (Continued)

 

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    98.8  

Money Market Funds

 

Less Net Liabilities

    1.2  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

    % of Net Assets  

  1.     Apple, Inc.

    11.5  

  2.     Microsoft Corp.

    8.1  

  3.     Amazon.com, Inc.

    7.1  

  4.     Facebook, Inc. Class A

    5.5  

  5.     Alphabet, Inc. Class C

    4.8  

  6.     Alphabet, Inc. Class A

    4.2  

  7.     Comcast Corp. Class A

    2.8  

  8.     Intel Corp.

    2.4  

  9.     Cisco Systems, Inc.

    2.4  

10.     Amgen, Inc.

    1.9  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     56.8  

Consumer Discretionary

     22.1  

Health Care

     11.3  

Consumer Staples

     5.4  

Industrials

     2.2  

Telecommunication Services

     1.0  
  

 

 

 
     98.8  
  

 

 

 

 

  74  


Ohio National Fund, Inc.   Nasdaq-100® Index Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 98.8%        Shares     Value  
CONSUMER DISCRETIONARY – 22.1%                

Tesla Motors, Inc. (Automobiles)

  (a)     4,845     $     1,752,000  

Marriott International, Inc. Class A (Hotels, Restaurants & Leisure)

      11,175       1,120,964  

Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure)

  (a)     6,722       364,937  

Starbucks Corp. (Hotels, Restaurants & Leisure)

      42,711       2,490,478  

Wynn Resorts Ltd. (Hotels, Restaurants & Leisure)

      3,019       404,908  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     14,098       13,646,864  

Ctrip.com International Ltd. – ADR (Internet & Direct Marketing Retail)

  (a)     13,143       707,882  

Expedia, Inc. (Internet & Direct Marketing Retail)

      4,075       606,971  

JD.com, Inc. – ADR (Internet & Direct Marketing Retail)

  (a)     27,051       1,060,940  

Liberty Interactive Corp. QVC Group Class A (Internet & Direct Marketing Retail)

  (a)     12,432       305,081  

Liberty Ventures (Internet & Direct Marketing Retail)

  (a)     2,395       125,235  

Netflix, Inc. (Internet & Direct Marketing Retail)

  (a)     12,712       1,899,300  

Priceline Group, Inc. / The (Internet & Direct Marketing Retail)

  (a)     1,449       2,710,384  

Hasbro, Inc. (Leisure Products)

      3,687       411,137  

Mattel, Inc. (Leisure Products)

      10,103       217,518  

Charter Communications, Inc. Class A (Media)

  (a)     7,891       2,658,083  

Comcast Corp. Class A (Media)

      139,612       5,433,699  

Discovery Communications, Inc. Class A (Media)

  (a)     4,535       117,139  

Discovery Communications, Inc. Class C (Media)

  (a)     6,615       166,764  

DISH Network Corp. Class A (Media)

  (a)     6,709       421,057  

Liberty Global PLC Class A (Media)

  (a)     6,995       224,679  

Liberty Global PLC Class C (Media)

  (a)     17,963       560,086  

Liberty Global PLC LiLAC Class A (Media)

  (a)     1,463       31,850  

Liberty Global PLC LiLAC Class C (Media)

  (a)     3,560       76,220  

Sirius XM Holdings, Inc. (Media)

      137,592       752,628  

Twenty-First Century Fox, Inc. Class A (Media)

      31,038       879,617  

Twenty-First Century Fox, Inc. Class B (Media)

      23,552       656,394  

Viacom, Inc. Class B (Media)

      10,391       348,826  

Dollar Tree, Inc. (Multiline Retail)

  (a)     6,981       488,112  

O’Reilly Automotive, Inc. (Specialty Retail)

  (a)     2,684       587,098  

Ross Stores, Inc. (Specialty Retail)

      11,562       667,474  

Tractor Supply Co. (Specialty Retail)

      3,792       205,564  

Ulta Salon Cosmetics & Fragrance, Inc. (Specialty Retail)

  (a)     1,833       526,694  
     

 

 

 
        42,626,583  
     

 

 

 
CONSUMER STAPLES – 5.4%                

Monster Beverage Corp. (Beverages)

  (a)     16,747       831,991  

Costco Wholesale Corp. (Food & Staples Retailing)

      12,946       2,070,454  

Walgreens Boots Alliance, Inc. (Food & Staples Retailing)

      31,882       2,496,679  

Kraft Heinz Co. / The (Food Products)

      35,913       3,075,589  

Mondelez International, Inc. Class A (Food Products)

      44,751       1,932,796  
     

 

 

 
        10,407,509  
     

 

 

 
HEALTH CARE – 11.3%                

Alexion Pharmaceuticals, Inc. (Biotechnology)

  (a)     6,623       805,820  

Amgen, Inc. (Biotechnology)

      21,690       3,735,669  

Biogen, Inc. (Biotechnology)

  (a)     6,256       1,697,628  

BioMarin Pharmaceutical, Inc. (Biotechnology)

  (a)     5,146       467,360  

Celgene Corp. (Biotechnology)

  (a)     23,030       2,990,906  

Gilead Sciences, Inc. (Biotechnology)

      38,541       2,727,932  

Incyte Corp. (Biotechnology)

  (a)     6,040       760,496  

Regeneron Pharmaceuticals, Inc. (Biotechnology)

  (a)     3,079       1,512,220  

Shire PLC – ADR (Biotechnology)

      2,310       381,774  

Vertex Pharmaceuticals, Inc. (Biotechnology)

  (a)     7,346       946,679  

DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies)

      6,761       438,383  

Hologic, Inc. (Health Care Equip. & Supplies)

  (a)     8,259       374,793  

IDEXX Laboratories, Inc. (Health Care Equip. & Supplies)

  (a)     2,599       419,531  
Common Stocks (Continued)        Shares     Value  
HEALTH CARE (continued)                

Intuitive Surgical, Inc. (Health Care Equip. & Supplies)

  (a)     1,087     $     1,016,747  

Express Scripts Holding Co. (Health Care Providers & Svs.)

  (a)     17,506       1,117,583  

Henry Schein, Inc. (Health Care Providers & Svs.)

  (a)     2,340       428,267  

Cerner Corp. (Health Care Technology)

  (a)     9,746       647,817  

Illumina, Inc. (Life Sciences Tools & Svs.)

  (a)     4,306       747,177  

Mylan NV (Pharmaceuticals)

  (a)     15,808       613,667  
     

 

 

 
        21,830,449  
     

 

 

 
INDUSTRIALS – 2.2%                

American Airlines Group, Inc. (Airlines)

      14,529       731,099  

Cintas Corp. (Commercial Svs. & Supplies)

      3,106       391,480  

PACCAR, Inc. (Machinery)

      10,361       684,240  

Verisk Analytics, Inc. (Professional Svs.)

  (a)     4,877       411,473  

CSX Corp. (Road & Rail)

      27,212       1,484,687  

J.B. Hunt Transport Services, Inc. (Road & Rail)

      3,244       296,437  

Fastenal Co. (Trading Companies & Distributors)

      8,532       371,398  
     

 

 

 
        4,370,814  
     

 

 

 
INFORMATION TECHNOLOGY – 56.8%                

Cisco Systems, Inc. (Communications Equip.)

      147,473       4,615,905  

Akamai Technologies, Inc. (Internet Software & Svs.)

  (a)     5,099       253,981  

Alphabet, Inc. Class A (Internet Software & Svs.)

  (a)     8,778       8,160,731  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     10,234       9,299,943  

Baidu, Inc. – ADR (Internet Software & Svs.)

  (a)     8,146       1,456,994  

eBay, Inc. (Internet Software & Svs.)

  (a)     31,923       1,114,751  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     69,748       10,530,553  

MercadoLibre, Inc. (Internet Software & Svs.)

      1,302       326,646  

NetEase, Inc. – ADR (Internet Software & Svs.)

      2,248       675,816  

Automatic Data Processing, Inc. (IT Svs.)

      13,196       1,352,062  

Cognizant Technology Solutions Corp. Class A (IT Svs.)

      17,372       1,153,501  

Fiserv, Inc. (IT Svs.)

  (a)     6,264       766,338  

Paychex, Inc. (IT Svs.)

      10,596       603,336  

PayPal Holdings, Inc. (IT Svs.)

  (a)     35,430       1,901,528  

Analog Devices, Inc. (Semiconductors & Equip.)

      10,825       842,185  

Applied Materials, Inc. (Semiconductors & Equip.)

      31,696       1,309,362  

Broadcom Ltd. (Semiconductors & Equip.)

      11,838       2,758,846  

Intel Corp. (Semiconductors & Equip.)

      138,889       4,686,115  

KLA-Tencor Corp. (Semiconductors & Equip.)

      4,624       423,142  

Lam Research Corp. (Semiconductors & Equip.)

      4,758       672,924  

Maxim Integrated Products, Inc. (Semiconductors & Equip.)

      8,333       374,152  

Microchip Technology, Inc. (Semiconductors & Equip.)

      6,766       522,200  

Micron Technology, Inc. (Semiconductors & Equip.)

  (a)     32,630       974,332  

NVIDIA Corp. (Semiconductors & Equip.)

      17,549       2,536,883  

QUALCOMM, Inc. (Semiconductors & Equip.)

      43,576       2,406,267  

Skyworks Solutions, Inc. (Semiconductors & Equip.)

      5,442       522,160  

Texas Instruments, Inc. (Semiconductors & Equip.)

      29,386       2,260,665  

Xilinx, Inc. (Semiconductors & Equip.)

      7,316       470,565  

Activision Blizzard, Inc. (Software)

      22,229       1,279,724  

Adobe Systems, Inc. (Software)

  (a)     14,591       2,063,751  

Autodesk, Inc. (Software)

  (a)     6,500       655,330  

CA, Inc. (Software)

      12,323       424,774  

Check Point Software Technologies Ltd. (Software)

  (a)     4,895       533,947  

Citrix Systems, Inc. (Software)

  (a)     4,458       354,768  

Electronic Arts, Inc. (Software)

  (a)     9,144       966,704  

Intuit, Inc. (Software)

      7,557       1,003,645  

Microsoft Corp. (Software)

      227,712       15,696,188  

Symantec Corp. (Software)

      17,940       506,805  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      153,779       22,147,252  

Seagate Technology PLC (Tech. Hardware, Storage & Periph.)

      8,749       339,024  
 

 

  75   (continued)


Ohio National Fund, Inc.   Nasdaq-100® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
INFORMATION TECHNOLOGY (continued)                

Western Digital Corp. (Tech. Hardware, Storage & Periph.)

      8,590     $        761,074  
     

 

 

 
        109,704,869  
     

 

 

 
TELECOMMUNICATION SERVICES – 1.0%                

T-Mobile U.S., Inc. (Wireless Telecom. Svs.)

  (a)     24,505       1,485,493  

Vodafone Group PLC – ADR (Wireless Telecom. Svs.)

      12,839       368,864  
     

 

 

 
        1,854,357  
     

 

 

 

Total Common Stocks (Cost $110,967,012)

      $ 190,794,581  
     

 

 

 
Money Market Funds – 2.3%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      4,528,792     $ 4,528,792  
     

 

 

 

Total Money Market Funds (Cost $4,528,792)

      $ 4,528,792  
     

 

 

 

Total Investments – 101.1% (Cost $115,495,804)

  (b)     $ 195,323,373  

Liabilities in Excess of Other Assets – (1.1)%

  (c)       (2,225,616)  
     

 

 

 

Net Assets – 100.0%

      $ 193,097,757  
     

 

 

 
 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

  (c) Includes $154,157 of cash pledged as collateral for the futures contracts outstanding at June 30, 2017. See also the following Schedule of Open Futures Contracts.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Open Futures Contracts

  June 30, 2017 (Unaudited)

 

Description

  Number of
Contracts
  

Expiration Date

   Notional
Amount
    

Value

   Unrealized
Appreciation
(Depreciation)
 

CME E-mini Nasdaq-100 Index – Long

  23    September 15, 2017    $ 2,624,780      $2,600,265    $ (24,515
       

 

 

    

 

  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

  76  


Ohio National Fund, Inc.   Bristol Portfolio

 

Objective/Strategy

The Bristol Portfolio seeks long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     24.02%  

Five years

     17.96%  

Ten years

     7.22%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.83% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Bristol Portfolio returned 11.12% versus 9.34% for its benchmark, the S&P 500 Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. At the half-way point of the year, the economy continues to churn ahead; perhaps, not at the speed our President desires, or promised, but at least in a positive direction. As the economy moves along steadily, under the watchful eye of the Federal Reserve, the market anticipated the progress of the federal government in implementing some of the broader promises leading up to the election.

Health care affects a large portion of the economy. At this point, major changes do not appear to be expected. If there is no new health care plan and subsequent major tax overhaul, there is a significant chance the market will react negatively. While one could argue that tax cut expectations have been reduced, there is clearly the hope that some major changes occur, even if it is a tax holiday to repatriate overseas earnings.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Positive stock selection in Information Technology and Consumer Discretionary were the strongest factors, leading to the Portfolio’s outperformance for the period. The Portfolio’s relative underweight to Energy, overweight to Information Technology, and selections in Industrials and Telecommunication Services also contributed. Key detractors to relative return were stock selections in Financials and Consumer Staples. (1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Among the Portfolio’s Information Technology holdings, DXC Technology Co. generated 71 basis points of relative contribution and was able to beat analyst earnings estimates on stronger margins and continued progress towards its merger synergies with Hewlett Packard Enterprise Co. Delphi Automotive Plc contributed 51 basis points on positive earnings results and the spinoff of its powertrain division. Alnylam Pharmaceuticals, Inc. added 50 basis points benefitting from a competitor’s release which helped confirm the efficacy of the Alnylam Pharmaceuticals’ drug for familial amyloidotic polyneuropathy (FAP). (1)

The key detractor was IMAX Corp., which detracted 55 basis points of relative contribution while struggling from a slew of negative revisions, as the outlook for the summer movie slate worsened. We finally exited the position when it appeared that China was getting closer to saturation of IMAX theatres sooner than expected, and the revenue per theatre might be secularly challenged. Devon Energy Corp. cost the Portfolio 38 basis points, as it continued to contend with the consistently deteriorating outlook for oil prices. Even as the Organization of the Petroleum Exporting Countries (“OPEC”) struggles to maintain a cap on its own production levels, United States production has managed to stay resilient, pushing oil prices lower even as company specific results continue to trend positively. AECOM, which detracted 22 basis points, was expected to be a major beneficiary of a bipartisan infrastructure spending bill, but so far it seems expectations for any explicit plan to be released and implemented keep getting delayed.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  77   (continued)


Ohio National Fund, Inc.   Bristol Portfolio (Continued)

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    99.7  

Money Market Funds
Less Net Liabilities

    0.3  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

    % of Net Assets  

  1.     Apple, Inc.

    3.8  

  2.     Amazon.com, Inc.

    3.3  

  3.     Alphabet, Inc. Class C

    3.3  

  4.     Facebook, Inc. Class A

    2.8  

  5.     Citigroup, Inc.

    2.6  

  6.     JPMorgan Chase & Co.

    2.6  

  7.     Microsoft Corp.

    2.6  

  8.     Goldman Sachs Group, Inc. / The

    2.5  

  9.     Bank of America Corp.

    2.5  

10.     CBS Corp. Class B

    2.0  

 

 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     30.8  

Consumer Discretionary

     19.0  

Industrials

     13.8  

Health Care

     13.5  

Financials

     13.2  

Consumer Staples

     3.8  

Energy

     2.0  

Materials

     2.0  

Telecommunication Services

     1.6  
  

 

 

 
     99.7  
  

 

 

 

 

  78  


Ohio National Fund, Inc.   Bristol Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 99.7%        Shares     Value  
CONSUMER DISCRETIONARY – 19.0%                

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      28,240     $     4,325,238  

MGM Resorts International (Hotels, Restaurants & Leisure)

      123,565       3,866,349  

Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)

      19,096       2,085,856  

D.R. Horton, Inc. (Household Durables)

      127,427       4,405,151  

Newell Brands, Inc. (Household Durables)

      71,295       3,822,838  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     7,494       7,254,192  

CBS Corp. Class B (Media)

      69,504       4,432,965  

Time Warner, Inc. (Media)

      22,450       2,254,205  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

      92,395       4,373,979  

PVH Corp. (Textiles, Apparel & Luxury Goods)

      38,329       4,388,671  
     

 

 

 
        41,209,444  
     

 

 

 
CONSUMER STAPLES – 3.8%                

Kraft Heinz Co. / The (Food Products)

      47,489       4,066,958  

Philip Morris International, Inc. (Tobacco)

      35,886       4,214,811  
     

 

 

 
        8,281,769  
     

 

 

 
ENERGY – 2.0%                

Devon Energy Corp. (Oil, Gas & Consumable Fuels)

      60,118       1,921,972  

Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels)

      15,747       2,512,906  
     

 

 

 
        4,434,878  
     

 

 

 
FINANCIALS – 13.2%                

Bank of America Corp. (Banks)

      222,251       5,391,809  

Citigroup, Inc. (Banks)

      84,854       5,675,036  

JPMorgan Chase & Co. (Banks)

      61,672       5,636,821  

KeyCorp (Banks)

      231,340       4,335,312  

Goldman Sachs Group, Inc. / The (Capital Markets)

      24,331       5,399,049  

Morgan Stanley (Capital Markets)

      47,447       2,114,238  
     

 

 

 
        28,552,265  
     

 

 

 
HEALTH CARE – 13.5%                

Alnylam Pharmaceuticals, Inc. (Biotechnology)

  (a)     37,181       2,965,557  

Celgene Corp. (Biotechnology)

  (a)     16,664       2,164,154  

Medtronic PLC (Health Care Equip. & Supplies)

      23,777       2,110,209  

Envision Healthcare Corp. (Health Care Providers & Svs.)

  (a)     66,685       4,179,149  

Humana, Inc. (Health Care Providers & Svs.)

      18,367       4,419,468  

UnitedHealth Group, Inc. (Health Care Providers & Svs.)

      13,921       2,581,232  

Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.)

      24,766       4,320,924  

Aerie Pharmaceuticals, Inc. (Pharmaceuticals)

  (a)     41,023       2,155,759  

AstraZeneca PLC – ADR (Pharmaceuticals)

      124,469       4,243,148  
     

 

 

 
        29,139,600  
     

 

 

 
Common Stocks (Continued)        Shares     Value  
INDUSTRIALS – 13.8%                

Raytheon Co. (Aerospace & Defense)

      26,882     $     4,340,905  

FedEx Corp. (Air Freight & Logistics)

      20,256       4,402,236  

Delta Air Lines, Inc. (Airlines)

      51,050       2,743,427  

AECOM (Construction & Engineering)

  (a)     125,067       4,043,416  

Snap-on, Inc. (Machinery)

      22,443       3,545,994  

Wabtec Corp. (Machinery)

      29,910       2,736,765  

Xylem, Inc. (Machinery)

      70,991       3,935,031  

Union Pacific Corp. (Road & Rail)

      38,029       4,141,738  
     

 

 

 
        29,889,512  
     

 

 

 
INFORMATION TECHNOLOGY – 30.8%                

CommScope Holding Co., Inc. (Communications Equip.)

  (a)     114,452       4,352,610  

Trimble, Inc. (Electronic Equip., Instr. & Comp.)

  (a)     119,906       4,277,047  

Alibaba Group Holding Ltd. – ADR (Internet Software & Svs.)

  (a)     15,125       2,131,113  

Alphabet, Inc. Class A (Internet Software & Svs.)

  (a)     693       644,268  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     7,864       7,146,253  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     39,524       5,967,334  

DXC Technology Co. (IT Svs.)

      55,873       4,286,577  

ASML Holding NV (Semiconductors & Equip.)

      32,627       4,251,624  

Broadcom Ltd. (Semiconductors & Equip.)

      17,984       4,191,171  

Cavium, Inc. (Semiconductors & Equip.)

  (a)     49,049           3,047,414  

Marvell Technology Group Ltd. (Semiconductors & Equip.)

      246,938       4,079,416  

Adobe Systems, Inc. (Software)

  (a)     30,151       4,264,557  

Microsoft Corp. (Software)

      81,417       5,612,074  

Oracle Corp. (Software)

      85,339       4,278,897  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      56,997       8,208,708  
     

 

 

 
        66,739,063  
     

 

 

 
MATERIALS – 2.0%                

Dow Chemical Co. / The (Chemicals)

      67,487       4,256,405  
     

 

 

 
TELECOMMUNICATION SERVICES – 1.6%                

T-Mobile U.S., Inc. (Wireless Telecom. Svs.)

  (a)     58,233       3,530,084  
     

 

 

 

Total Common Stocks (Cost $192,878,496)

      $ 216,033,020  
     

 

 

 
Money Market Funds – 0.4%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      770,084     $ 770,084  
     

 

 

 

Total Money Market Funds (Cost $770,084)

      $ 770,084  
     

 

 

 

Total Investments – 100.1% (Cost $193,648,580)

  (b)     $ 216,803,104  

Liabilities in Excess of Other Assets – (0.1)%

        (222,944)  
     

 

 

 

Net Assets – 100.0%

      $ 216,580,160  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  79  


Ohio National Fund, Inc.   Bryton Growth Portfolio

 

Objective/Strategy

The Bryton Growth Portfolio seeks long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     22.28%  

Five years

     11.34%  

Ten years

     5.26%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more, or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.92% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Bryton Growth Portfolio returned 10.64% versus 9.97% for its benchmark, the Russell 2000 Growth Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. At the half-way point of the year, the economy continues to churn ahead; perhaps, not at the speed our President desires, or promised, but at least in a positive direction. As the economy moves along steadily, under the watchful eye of the Federal Reserve, the market anticipated the progress of the federal government in implementing some of the broader promises leading up to the election.

Health care affects a large portion of the economy. At this point, major changes do not appear to be expected. If there is no new health care plan and subsequent major tax overhaul, there is a significant chance the market will react negatively. While one could argue that tax cut expectations have been reduced, there is clearly the hope that some major changes occur, even if it is a tax holiday to repatriate overseas earnings.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Leading the Portfolio’s outperformance were positive stock selections in Health Care, Consumer Staples, and Industrials. An underweight to Consumer Discretionary and an overweight to Information Technology also contributed. Top detractors were stock

selections within Consumer Discretionary and Information Technology, as well as overweights to Energy and Consumer Staples.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The Portfolio had a number of successes within Health Care that helped drive strong performance during the period. AxoGen, Inc. contributed 107 basis points of relative contribution and continued to successfully ramp up its nerve repair product, the AxoGuard Nerve Connector. Mazor Robotics, Ltd. added 92 basis points on strong sales and orders for its robotic spine surgery device, driven by a partnership with Medtronic PLC that was initiated in 2016. Additionally, there is speculation that Medtronic PLC would be interested in acquiring the company outright. Sage Therapeutics, Inc. showed positive early stage clinical trial data and added another 76 basis points of contribution.(1)

Callon Petroleum Co. detracted 48 basis points of relative contribution as it continued to struggle from the deteriorating outlook for oil prices. Even as the Organization of the Petroleum Exporting Countries (“OPEC”) struggles to maintain a cap on its own production levels, United States production has managed to stay resilient, pushing oil prices lower even as company specific results continue to trend positively. IMAX Corp. detracted 45 basis points while struggling from a slew of negative revisions, as the outlook for the summer movie slate worsened. We finally exited the position when it appeared that China was getting closer to saturation of IMAX theatres sooner than expected, and the revenue per theatre might be secularly challenged. Inphi Corp. reported a strong first quarter, but delivered a weaker than expected guidance for the second quarter, impacted by inventory correction stemming from delayed optical builds in China, causing a loss of 38 basis points.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  80   (continued)


Ohio National Fund, Inc.   Bryton Growth Portfolio (Continued)

 

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes the Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The index presented includes the effects of reinvested dividends.

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets

Common Stocks (4)

    99.4  

Money Market Funds

 

Less Net Liabilities

    0.6  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     Mueller Water Products, Inc. Class A

     2.1  

  2.     E.L.F. Beauty, Inc.

     2.1  

  3.     Home BancShares, Inc.

     2.0  

  4.     Prestige Brands Holdings, Inc.

     2.0  

  5.     Healthcare Services Group, Inc.

     2.0  

  6.     Revance Therapeutics, Inc.

     1.9  

  7.     PolyOne Corp.

     1.9  

  8.     Fair Isaac Corp.

     1.9  

  9.     MGP Ingredients, Inc.

     1.9  

10.     Semtech Corp.

     1.9  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     33.3  

Health Care

     23.2  

Industrials

     20.7  

Consumer Staples

     7.4  

Consumer Discretionary

     5.7  

Financials

     5.5  

Materials

     1.9  

Energy

     1.0  

Real Estate

     0.7  
  

 

 

 
     99.4  
  

 

 

 

 

  81  


Ohio National Fund, Inc.   Bryton Growth Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 99.4%        Shares     Value  
CONSUMER DISCRETIONARY – 5.7%                

Superior Industries International, Inc. (Auto Components)

      70,473     $   1,448,220  

Tenneco, Inc. (Auto Components)

      17,326       1,001,963  

Carrols Restaurant Group, Inc. (Hotels, Restaurants & Leisure)

  (a)     101,062       1,238,009  

ClubCorp Holdings, Inc. (Hotels, Restaurants & Leisure)

      137,579       1,802,285  
     

 

 

 
        5,490,477  
     

 

 

 
CONSUMER STAPLES – 7.4%                

MGP Ingredients, Inc. (Beverages)

      35,763       1,829,993  

J&J Snack Foods Corp. (Food Products)

      12,013       1,586,557  

Nomad Foods Ltd. (Food Products)

  (a)     121,409       1,713,081  

E.L.F. Beauty, Inc. (Personal Products)

  (a)     72,405       1,970,140  
     

 

 

 
        7,099,771  
     

 

 

 
ENERGY – 1.0%                

Callon Petroleum Co. (Oil, Gas & Consumable Fuels)

  (a)     92,946       986,157  
     

 

 

 
FINANCIALS – 5.5%                

Ameris Bancorp (Banks)

      32,063       1,545,437  

Home BancShares, Inc. (Banks)

      78,507       1,954,824  

Evercore Partners, Inc. Class A (Capital Markets)

      24,409       1,720,834  
     

 

 

 
        5,221,095  
     

 

 

 
HEALTH CARE – 23.2%                

Ligand Pharmaceuticals, Inc. (Biotechnology)

  (a)     13,677       1,660,388  

Loxo Oncology, Inc. (Biotechnology)

  (a)     12,958       1,039,102  

Sage Therapeutics, Inc. (Biotechnology)

  (a)     20,334       1,619,400  

AxoGen, Inc. (Health Care Equip. & Supplies)

  (a)     88,862       1,488,439  

K2M Group Holdings, Inc. (Health Care Equip. & Supplies)

  (a)     32,054       780,835  

Neogen Corp. (Health Care Equip. & Supplies)

  (a)     23,343       1,613,235  

Penumbra, Inc. (Health Care Equip. & Supplies)

  (a)     18,076       1,586,169  

NeoGenomics, Inc. (Life Sciences Tools & Svs.)

  (a)     199,569       1,788,138  

Aclaris Therapeutics, Inc. (Pharmaceuticals)

  (a)     54,244       1,471,097  

Aerie Pharmaceuticals, Inc. (Pharmaceuticals)

  (a)     23,162       1,217,163  

Pacira Pharmaceuticals, Inc. (Pharmaceuticals)

  (a)     32,360       1,543,572  

Paratek Pharmaceuticals, Inc. (Pharmaceuticals)

  (a)     53,866       1,298,171  

Prestige Brands Holdings, Inc. (Pharmaceuticals)

  (a)     36,319       1,918,006  

Revance Therapeutics, Inc. (Pharmaceuticals)

  (a)     70,095       1,850,508  

Teligent, Inc. (Pharmaceuticals)

  (a)     151,570       1,386,865  
     

 

 

 
        22,261,088  
     

 

 

 
INDUSTRIALS – 20.7%                

Aerojet Rocketdyne Holdings, Inc. (Aerospace & Defense)

  (a)     82,599       1,718,059  

Axon Enterprise, Inc. (Aerospace & Defense)

  (a)     64,394       1,618,865  

Cubic Corp. (Aerospace & Defense)

      14,782       684,407  

Casella Waste Systems, Inc. Class A (Commercial Svs. & Supplies)

  (a)     55,402       909,147  

Healthcare Services Group, Inc. (Commercial Svs. & Supplies)

      40,769       1,909,212  

Tetra Tech, Inc. (Commercial Svs. & Supplies)

      31,577       1,444,648  

Aegion Corp. (Construction & Engineering)

  (a)     64,633       1,414,170  

Dycom Industries, Inc. (Construction & Engineering)

  (a)     18,614       1,666,325  
Common Stocks (Continued)        Shares     Value  
INDUSTRIALS (continued)                

Mueller Water Products, Inc. Class A (Machinery)

      169,072     $ 1,974,761  

Navistar International Corp. (Machinery)

  (a)     55,889       1,465,968  

Rexnord Corp. (Machinery)

  (a)     61,631       1,432,921  

Mistras Group, Inc. (Professional Svs.)

  (a)     82,248       1,806,989  

Univar, Inc. (Trading Companies & Distributors)

  (a)     61,859       1,806,283  
     

 

 

 
        19,851,755  
     

 

 

 
INFORMATION TECHNOLOGY – 33.3%                

Belden, Inc. (Electronic Equip., Instr. & Comp.)

      19,009       1,433,849  

Fabrinet (Electronic Equip., Instr. & Comp.)

  (a)     35,286       1,505,301  

FARO Technologies, Inc. (Electronic Equip., Instr. & Comp.)

  (a)     40,484       1,530,295  

Infinera Corp. (Communications Equip.)

  (a)     84,449       901,071  

Radware Ltd. (Communications Equip.)

  (a)     96,252       1,688,260  

Viavi Solutions, Inc. (Communications Equip.)

  (a)     153,191       1,613,101  

Cornerstone OnDemand, Inc. (Internet Software & Svs.)

  (a)     40,751       1,456,848  

Cavium, Inc. (Semiconductors & Equip.)

  (a)     26,513       1,647,253  

FormFactor, Inc. (Semiconductors & Equip.)

  (a)     92,687       1,149,319  

Inphi Corp. (Semiconductors & Equip.)

  (a)     48,692       1,670,136  

Integrated Device Technology, Inc. (Semiconductors & Equip.)

  (a)     69,789       1,799,858  

Microsemi Corp. (Semiconductors & Equip.)

  (a)     33,651       1,574,867  

Power Integrations, Inc. (Semiconductors & Equip.)

      20,321       1,481,401  

Semtech Corp. (Semiconductors & Equip.)

  (a)     50,740       1,813,955  

Silicon Motion Technology Corp. – ADR (Semiconductors & Equip.)

      31,506       1,519,534  

Callidus Software, Inc. (Software)

  (a)     63,852       1,545,218  

CommVault Systems, Inc. (Software)

  (a)     25,788       1,455,733  

Fair Isaac Corp. (Software)

      13,162       1,834,914  

Telenav, Inc. (Software)

  (a)     137,266       1,111,855  

Zendesk, Inc. (Software)

  (a)     57,808       1,605,906  

Electronics For Imaging, Inc. (Tech. Hardware, Storage & Periph.)

  (a)     34,041       1,612,863  
     

 

 

 
        31,951,537  
     

 

 

 
MATERIALS – 1.9%                

PolyOne Corp. (Chemicals)

      47,722       1,848,750  
     

 

 

 
REAL ESTATE – 0.7%                

Rexford Industrial Realty, Inc. (Equity Real Estate Investment Trusts)

      25,279       693,656  
     

 

 

 

Total Common Stocks (Cost $87,638,189)

      $ 95,404,286  
     

 

 

 
Money Market Funds – 1.9%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      1,846,433     $ 1,846,433  
     

 

 

 

Total Money Market Funds (Cost $1,846,433)

      $ 1,846,433  
     

 

 

 

Total Investments – 101.3% (Cost $89,484,622)

  (b)     $ 97,250,719  

Liabilities in Excess of Other Assets – (1.3)%

        (1,212,665)  
     

 

 

 

Net Assets – 100.0%

      $ 96,038,054  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  82  


Ohio National Fund, Inc.   Balanced Portfolio

 

Objective/Strategy

The Balanced Portfolio seeks capital appreciation and income by investing normally up to 75% of its total assets in equity securities of domestic and foreign companies of any market capitalization while maintaining a minimum of 25% of its total assets in fixed income securities.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     10.85%  

Five years

     7.41%  

Ten years

     5.11%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.74% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Balanced Portfolio returned 6.45% versus 6.35% for its benchmark, which is comprised of 60% S&P Composite 1500 Index and 40% Bloomberg Barclays U.S. Universal Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Entering 2017, our equity valuation model viewed the overall broad domestic market as trading approximately 4% above our estimate of fair value. Given our valuation model’s estimate for the market, the Portfolio maintained an underweight position in equities relative to the benchmark during the six-month period. While the Portfolio was underweight equities relative to the blended benchmark, security selection within the equity portion of the Portfolio led to a positive overall net effect from an attribution standpoint. The Portfolio also had a larger than normal cash balance during the period, which ended up being a drag on performance due to positive market returns.(1)

The fixed income portion of the Portfolio had positive overall performance, even while the bond market traded in a relatively narrow range. We continued our focus on credit spread risk, with a particular focus on shorter duration. The Portfolio’s fixed income volatility remained relatively low, resulting in positive risk-adjusted returns. The Portfolio’s use of closed-end fund arbitrage continued to be rewarded, as a number of these positions converted to open-end funds or liquidated, capturing the original discount to net asset value at which they had been acquired. This strategy has been a consistent contributor to relative return. Given our positioning, we

tend to expect underperformance when rates fall aggressively and relative outperformance when rates rise.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. Focusing on the equity portion of the Portfolio, the largest sector contributor to relative performance over the course of the period was the Information Technology sector, as strong stock selection produced positive total effect. Other sectors that contributed positively to relative performance included the Health Care, Telecommunication Services, and Real Estate sectors. Positions in Financials, Consumer Staples, and Consumer Discretionary detracted from relative performance over the period.(1)

The fixed income portion of the Portfolio did not significantly impact relative performance.(1)

Q. Were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance?

A. During the first half of 2017, the Portfolio was underweight equities relative to the benchmark and had a significant cash position. While the cash position was a drag on performance during a time when many equity markets registered all-time highs, the Portfolio still managed to slightly outperform the benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The three best benchmark-relative contributors were Broadcom Ltd., IPG Photonics Corp., and Jazz Pharmaceuticals PLC. Both Broadcom Ltd. & IPG Photonics Corp. were beneficiaries of the strong rally in the Information Technology sector. Jazz Pharmaceuticals PLC is a specialty pharmaceutical company that saw a strong rebound in the first half of 2017 after having a tough second half of 2016. We continue to believe the company could provide further upside, as valuations remain attractive.(1)

The three stocks that detracted the most from benchmark-relative performance were Discover Financial Services, Cimarex Energy Co., and Signature Bank. Discover Financial Services fell by over 13% during the first half of the year as earnings disappointed relative to the rest of the peer group. Cimarex Energy Co. is a mid-cap energy company in the oil & gas exploration & production industry. Oil price pressure weighed heavy on this commodity-exposed company, resulting in a sell-off of over 32% in the stock. After a strong fourth quarter of 2016, Signature Bank fell by about 3.5% over the course of the period. While the absolute losses were relatively small, the large overweight position in the name resulted in performance drawdown for the Portfolio.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio utilized both written calls and purchased puts during the period. The use of these options detracted 0.34% due to the constantly grinding upward market and low overall volatility environment.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  83   (continued)


Ohio National Fund, Inc.   Balanced Portfolio (Continued)

 

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The S&P Composite 1500 Index is a broad-based capitalization-weighted index of 1500 U.S. companies and is comprised of the S&P MidCap 400, S&P 500, and the S&P SmallCap 600. It is designed for investors seeking to replicate to the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks. The index presented includes the effects of reinvested dividends.

The Bloomberg Barclays U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High Yield Index. Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA portion of the Commercial Mortgage-Backed Securities (CMBS) Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield.

Portfolio Composition as of June 30, 2017 (1)

 

     % of Net Assets  

Common Stocks (4)

     46.1  

Corporate Bonds (4)

     24.5  

Preferred Securities (4)

     2.3  

Asset-Backed / Mortgage-Backed Securities (4)

     0.9  

U.S. Treasury Obligations

     12.8  

Closed-End Mutual Funds

     6.6  

Exchange Traded Funds

     1.5  

Purchased Options

     0.2  

Money Market Funds

  

Less Net Liabilities

     5.1  
  

 

 

 
     100.0  
  

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     U.S. Treasury Note
1.875%, 05/31/2022

     3.0  

  2.     U.S. Treasury Note
2.250%, 02/15/2027

     3.0  

  3.     U.S. Treasury Note
1.625%, 02/15/2026

     2.9  

  4.     U.S. Treasury Note
1.875%, 01/31/2022

     2.0  

  5.     Prudential Financial, Inc.
8.875%, 06/15/2038

     1.4  

  6.     Discover Financial Services

     1.4  

  7.     Sirius XM Radio, Inc.
5.250%, 08/15/2022

     1.2  

  8.     Berkshire Hathaway, Inc. Class B

     1.2  

  9.     Berkshire Hathaway, Inc. 2.750%, 03/15/2023

     1.2  

10.     Broadcom Ltd.

     1.2  
 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks, Corporate Bonds, Preferred Securities, Asset-Backed / Mortgage-Backed Securities):

 

     % of Net Assets  

Financials

     17.5  

Information Technology

     11.8  

Consumer Discretionary

     11.7  

Health Care

     8.5  

Industrials

     7.2  

Energy

     5.9  

Consumer Staples

     4.3  

Materials

     2.7  

Real Estate

     1.6  

Utilities

     1.5  

Telecommunication Services

     1.1  
  

 

 

 
     73.8  
  

 

 

 

 

  84  


Ohio National Fund, Inc.   Balanced Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 46.1%        Shares     Value  
CONSUMER DISCRETIONARY – 7.7%                

Goodyear Tire & Rubber Co. / The (Auto Components)

      145,000     $        5,069,200  

Magna International, Inc. (Auto Components)

      120,000       5,559,600  

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      7,000       1,072,120  

Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)

      15,000       1,638,450  

Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure)

      65,000       6,526,650  

Newell Brands, Inc. (Household Durables)

      145,000       7,774,900  

Whirlpool Corp. (Household Durables)

      13,000       2,491,060  

Brunswick Corp. (Leisure Products)

      142,000       8,907,660  

CBS Corp. Class B (Media)

      49,704       3,170,121  

Comcast Corp. Class A (Media)

      62,088       2,416,465  

Time Warner, Inc. (Media)

      51,000       5,120,910  

Twenty-First Century Fox, Inc. Class A (Media)

      165,000       4,676,100  

Walt Disney Co. / The (Media)

      50,000       5,312,500  

AutoZone, Inc. (Specialty Retail)

  (a)     4,000       2,281,840  

Lowe’s Cos., Inc. (Specialty Retail)

      45,000       3,488,850  

O’Reilly Automotive, Inc. (Specialty Retail)

  (a)     19,000       4,156,060  

NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods)

      115,000       6,785,000  
     

 

 

 
        76,447,486  
     

 

 

 
CONSUMER STAPLES – 2.7%                

Constellation Brands, Inc. Class A (Beverages)

      15,000       2,905,950  

Molson Coors Brewing Co. Class B (Beverages)

      15,000       1,295,100  

Monster Beverage Corp. (Beverages)

  (a)     50,000       2,484,000  

CVS Health Corp. (Food & Staples Retailing)

      80,000       6,436,800  

Walgreens Boots Alliance, Inc. (Food & Staples Retailing)

      75,000       5,873,250  

Tyson Foods, Inc. Class A (Food Products)

      125,000       7,828,750  
     

 

 

 
        26,823,850  
     

 

 

 
ENERGY – 2.9%                

Schlumberger Ltd. (Energy Equip. & Svs.)

      70,000       4,608,800  

U.S. Silica Holdings, Inc. (Energy Equip. & Svs.)

      125,000       4,436,250  

Cimarex Energy Co. (Oil, Gas & Consumable Fuels)

      57,000       5,358,570  

Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)     65,000       5,772,650  

Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels)

      40,000       2,093,200  

Range Resources Corp. (Oil, Gas & Consumable Fuels)

      75,000       1,737,750  

SRC Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)     750,000       5,047,500  
     

 

 

 
        29,054,720  
     

 

 

 
FINANCIALS – 7.1%                

Bank of America Corp. (Banks)

      190,000       4,609,400  

KeyCorp (Banks)

      250,000       4,685,000  

Signature Bank (Banks)

  (a)     63,270       9,081,143  

SVB Financial Group (Banks)

  (a)     15,000       2,636,850  

Goldman Sachs Group, Inc. / The (Capital Markets)

      34,000       7,544,600  

Invesco Ltd. (Capital Markets)

      62,900       2,213,451  

Discover Financial Services (Consumer Finance)

      222,080       13,811,155  

Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.)

  (a)     73,000       12,364,010  

American International Group, Inc. (Insurance)

      70,000       4,376,400  

Lincoln National Corp. (Insurance)

      75,000       5,068,500  

XL Group Ltd. (Insurance)

      100,000       4,380,000  
     

 

 

 
        70,770,509  
     

 

 

 
HEALTH CARE – 7.6%                

AbbVie, Inc. (Biotechnology)

      15,000       1,087,650  

Celgene Corp. (Biotechnology)

  (a)     46,000       5,974,020  

China Biologic Products, Inc. (Biotechnology)

  (a)     15,000       1,696,500  

Ligand Pharmaceuticals, Inc. (Biotechnology)

  (a)     15,000       1,821,000  

Shire PLC – ADR (Biotechnology)

      27,000       4,462,290  

Boston Scientific Corp. (Health Care Equip. & Supplies)

  (a)     200,000       5,544,000  

Edwards Lifesciences Corp. (Health Care Equip. & Supplies)

  (a)     55,000       6,503,200  

Teleflex, Inc. (Health Care Equip. & Supplies)

      10,000       2,077,600  

Zimmer Biomet Holdings, Inc. (Health Care Equip. & Supplies)

      17,000       2,182,800  

Aetna, Inc. (Health Care Providers & Svs.)

      25,000       3,795,750  

Cigna Corp. (Health Care Providers & Svs.)

      18,000       3,013,020  

HCA Healthcare, Inc. (Health Care Providers & Svs.)

  (a)     60,000       5,232,000  

Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.)

      30,000       5,234,100  

Allergan PLC (Pharmaceuticals)

      43,700       10,623,033  

Eli Lilly & Co. (Pharmaceuticals)

      30,000       2,469,000  

Jazz Pharmaceuticals PLC (Pharmaceuticals)

  (a)     45,000       6,997,500  

Mallinckrodt PLC (Pharmaceuticals)

  (a)     45,000       2,016,450  

 

  85   (continued)


Ohio National Fund, Inc.   Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)        Shares     Value  
HEALTH CARE (continued)                

Pfizer, Inc. (Pharmaceuticals)

      70,000     $        2,351,300  

Roche Holding AG – ADR (Pharmaceuticals)

      75,000       2,385,000  
     

 

 

 
        75,466,213  
     

 

 

 
INDUSTRIALS – 4.6%                

Boeing Co. / The (Aerospace & Defense)

      10,000       1,977,500  

Orbital ATK, Inc. (Aerospace & Defense)

      69,915       6,876,840  

Rockwell Collins, Inc. (Aerospace & Defense)

      13,954       1,466,286  

Spirit AeroSystems Holdings, Inc. Class A (Aerospace & Defense)

      125,000       7,242,500  

Delta Air Lines, Inc. (Airlines)

      45,000       2,418,300  

Southwest Airlines Co. (Airlines)

      60,000       3,728,400  

Johnson Controls International PLC (Building Products)

      170,000       7,371,200  

Masco Corp. (Building Products)

      125,000       4,776,250  

Deluxe Corp. (Commercial Svs. & Supplies)

      30,000       2,076,600  

Allison Transmission Holdings, Inc. (Machinery)

      65,000       2,438,150  

Snap-on, Inc. (Machinery)

      15,000       2,370,000  

Air Lease Corp. (Trading Companies & Distributors)

      63,775       2,382,634  
     

 

 

 
        45,124,660  
     

 

 

 
INFORMATION TECHNOLOGY – 9.8%                

Fabrinet (Electronic Equip., Instr. & Comp.)

  (a)     160,000       6,825,600  

IPG Photonics Corp. (Electronic Equip., Instr. & Comp.)

  (a)     42,172       6,119,157  

TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.)

      90,000       7,081,200  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     11,776       10,701,205  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     55,000       8,303,900  

LogMeIn, Inc. (Internet Software & Svs.)

      40,000       4,180,000  

Cognizant Technology Solutions Corp. Class A (IT Svs.)

      40,000       2,656,000  

MasterCard, Inc. Class A (IT Svs.)

      91,600       11,124,820  

Visa, Inc. (IT Svs.)

      111,400       10,447,092  

Broadcom Ltd. (Semiconductors & Equip.)

      50,000       11,652,500  

Skyworks Solutions, Inc. (Semiconductors & Equip.)

      30,000       2,878,500  

Activision Blizzard, Inc. (Software)

      20,000       1,151,400  

CDK Global, Inc. (Software)

      100,000       6,206,000  

Electronic Arts, Inc. (Software)

  (a)     10,000       1,057,200  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      38,910       5,603,818  

Xerox Corp. (Tech. Hardware, Storage & Periph.)

      37,500       1,077,375  
     

 

 

 
        97,065,767  
     

 

 

 
MATERIALS – 1.9%                

LyondellBasell Industries NV Class A (Chemicals)

      50,000       4,219,500  

Martin Marietta Materials, Inc. (Construction Materials)

      12,000       2,670,960  

Graphic Packaging Holding Co. (Containers & Packaging)

      500,000       6,890,000  

Cia de Minas Buenaventura SAA – ADR (Metals & Mining)

      400,000       4,600,000  
     

 

 

 
        18,380,460  
     

 

 

 
REAL ESTATE – 0.4%                

CBRE Group, Inc. (Real Estate Mgmt. & Development)

  (a)     105,000       3,822,000  
     

 

 

 
TELECOMMUNICATION SERVICES – 0.3%                

T-Mobile U.S., Inc. (Wireless Telecom. Svs.)

  (a)     45,000       2,727,900  
     

 

 

 
UTILITIES – 1.1%                

NextEra Energy, Inc. (Electric Utilities)

      25,000       3,503,250  

CMS Energy Corp. (Multi-Utilities)

      51,300       2,372,625  

Sempra Energy (Multi-Utilities)

      45,000       5,073,750  
     

 

 

 
        10,949,625  
     

 

 

 

Total Common Stocks (Cost $396,117,946)

      $ 456,633,190  
     

 

 

 
Corporate Bonds – 24.5%         Rate      Maturity    Face Amount      Value  
CONSUMER DISCRETIONARY – 4.0%                              

Lear Corp. (Auto Components)

       5.250%      01/15/2025    $   2,775,000      $   2,936,369  

OneBeacon U.S. Holdings, Inc. (Hotels, Restaurants & Leisure)

       4.600%      11/09/2022      1,245,000        1,278,876  

Mattamy Group Corp. (Household Durables)

  (b)      6.500%      11/15/2020      1,625,000        1,657,500  

CBRE Services, Inc. (Media)

       5.000%      03/15/2023      919,000        957,484  

Lee Enterprises, Inc. (Media)

  (b)      9.500%      03/15/2022      3,680,000        3,790,400  

Sirius XM Radio, Inc. (Media)

  (b)      5.250%      08/15/2022      12,050,000        12,372,458  

CST Brands, Inc. (Specialty Retail)

       5.000%      05/01/2023      4,000,000        4,200,800  

Penske Automotive Group, Inc. (Specialty Retail)

       5.750%      10/01/2022      965,000        996,363  

Reliance Intermediate Holdings LP (Specialty Retail)

  (b)      6.500%      04/01/2023      6,982,000        7,470,740  

 

  86   (continued)


Ohio National Fund, Inc.   Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity    Face Amount      Value  
CONSUMER DISCRETIONARY (continued)                              

Sally Holdings LLC / Sally Capital, Inc. (Specialty Retail)

       5.750%      06/01/2022    $   3,000,000      $        3,086,250  

William Carter Co. / The (Textiles, Apparel & Luxury Goods)

       5.250%      08/15/2021      695,000        714,981  
             

 

 

 
                39,462,221  
             

 

 

 
CONSUMER STAPLES – 1.6%                              

Kraft Heinz Foods Co. (Food Products)

  (b)      4.875%      02/15/2025      10,359,000        11,103,035  

HRG Group, Inc. (Household Products)

       7.875%      07/15/2019      2,300,000        2,357,500  

Altria Group, Inc. (Tobacco)

       9.250%      08/06/2019      2,179,000        2,501,527  
             

 

 

 
                15,962,062  
             

 

 

 
ENERGY – 3.0%                              

MPLX LP (Oil, Gas & Consumable Fuels)

       5.500%      02/15/2023      9,215,000        9,461,686  

Overseas Shipholding Group, Inc. (Acquired 07/13/2016 through 10/13/2016, Cost $4,702,063)
(Oil, Gas & Consumable Fuels)

  (d)      8.125%      03/30/2018      4,630,000        4,768,900  

Regency Energy Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels)

       5.500%      04/15/2023      2,525,000        2,613,375  

Tesoro Corp. (Oil, Gas & Consumable Fuels)

       4.250%      10/01/2017      4,700,000        4,711,750  

Williams Partners LP / ACMP Finance Corp. (Oil, Gas & Consumable Fuels)

       4.875%      05/15/2023      7,700,000        7,989,674  
             

 

 

 
                29,545,385  
             

 

 

 
FINANCIALS – 7.9%                              

Citigroup, Inc. (Banks)

       6.875%      06/01/2025      2,250,000        2,707,938  

RBC U.S.A. Holdco Corp. (Banks)

       5.250%      09/15/2020      1,500,000        1,629,833  

E*TRADE Financial Corp. (Capital Markets)

       5.375%      11/15/2022      5,599,000        5,885,635  

GFI Group, Inc. (Capital Markets)

       8.375%      07/19/2018      3,850,000        4,061,750  

Raymond James Financial, Inc. (Capital Markets)

       5.625%      04/01/2024      6,500,000        7,396,734  

Credit Acceptance Corp. (Consumer Finance)

       6.125%      02/15/2021      2,500,000        2,562,500  

Berkshire Hathaway, Inc. (Diversified Financial Svs.)

       2.750%      03/15/2023      11,550,000        11,701,536  

International Lease Finance Corp. (Diversified Financial Svs.)

       5.875%      08/15/2022      4,256,000        4,804,317  

NewStar Financial, Inc. (Diversified Financial Svs.)

       7.250%      05/01/2020      2,000,000        2,047,500  

SAFG Retirement Services, Inc. (Diversified Financial Svs.)

       8.125%      04/28/2023      7,600,000        9,536,222  

Alleghany Corp. (Insurance)

       5.625%      09/15/2020      1,000,000        1,096,489  

American Equity Investment Life Holding Co. (Insurance)

       6.625%      07/15/2021      2,000,000        2,068,848  

ProAssurance Corp. (Insurance)

       5.300%      11/15/2023      5,063,000        5,558,723  

Prudential Financial, Inc. (Insurance)

  (c)      8.875%      06/15/2038      13,437,000        14,280,978  

Radian Group, Inc. (Thrifts & Mortgage Finance)

       5.500%      06/01/2019      3,250,000        3,412,500  
             

 

 

 
                78,751,503  
             

 

 

 
HEALTH CARE – 0.9%                              

Abbott Laboratories (Health Care Equip. & Supplies)

       3.875%      09/15/2025      3,250,000        3,343,018  

Centene Corp. (Health Care Providers & Svs.)

       5.625%      02/15/2021      510,000        531,675  

Molina Healthcare, Inc. (Health Care Providers & Svs.)

       5.375%      11/15/2022      3,500,000        3,705,625  

Universal Health Services, Inc. (Health Care Providers & Svs.)

  (b)      4.750%      08/01/2022      1,000,000        1,033,750  
             

 

 

 
                8,614,068  
             

 

 

 
INDUSTRIALS – 2.5%                              

Spirit AeroSystems, Inc. (Aerospace & Defense)

       5.250%      03/15/2022      11,120,000        11,538,012  

Allegion PLC (Building Products)

       5.875%      09/15/2023      625,000        671,875  

Allegion U.S. Holding Co., Inc. (Building Products)

       5.750%      10/01/2021      3,733,000        3,872,987  

Covanta Holding Corp. (Commercial Svs. & Supplies)

       6.375%      10/01/2022      169,000        174,070  

AECOM (Construction & Engineering)

       5.750%      10/15/2022      3,700,000        3,871,125  

EnPro Industries, Inc. (Machinery)

       5.875%      09/15/2022      470,000        489,975  

Aircastle Ltd. (Trading Companies & Distributors)

       5.000%      04/01/2023      4,400,000        4,697,000  
             

 

 

 
                25,315,044  
             

 

 

 
INFORMATION TECHNOLOGY – 2.0%                              

Corning, Inc. (Electronic Equip., Instr. & Comp.)

       7.250%      08/15/2036      3,197,000        3,925,197  

Amkor Technology, Inc. (Semiconductors & Equip.)

       6.375%      10/01/2022      3,500,000        3,644,375  

Micron Technology, Inc. (Semiconductors & Equip.)

       7.500%      09/15/2023      4,550,000        5,090,085  

NXP BV / NXP Funding LLC (Semiconductors & Equip.)

  (b)      4.625%      06/01/2023      6,315,000        6,812,306  
             

 

 

 
                19,471,963  
             

 

 

 
MATERIALS – 0.8%                              

Chemtura Corp. (Chemicals)

       5.750%      07/15/2021      3,400,000        3,502,000  

FMG Resources Pty. Ltd. (Metals & Mining)

  (b)      9.750%      03/01/2022      3,500,000        3,985,625  
             

 

 

 
                7,487,625  
             

 

 

 
REAL ESTATE – 0.6%                              

Select Income REIT (Equity Real Estate Investment Trusts)

       4.500%      02/01/2025      4,850,000        4,857,513  

Greystar Real Estate Partners LLC (Real Estate Mgmt. & Development)

  (b)      8.250%      12/01/2022      890,000        958,975  
             

 

 

 
                5,816,488  
             

 

 

 

 

  87   (continued)


Ohio National Fund, Inc.   Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity    Face Amount      Value  
TELECOMMUNICATION SERVICES – 0.8%                              

Level 3 Communications, Inc. (Diversified Telecom. Svs.)

       5.750%      12/01/2022    $     258,000      $        267,675  

Clearwire Communications LLC / Clearwire Finance, Inc. (Wireless Telecom. Svs.)

  (b)      8.250%      12/01/2040      7,650,000        7,841,250  
             

 

 

 
                8,108,925  
             

 

 

 
UTILITIES – 0.4%                              

DPL, Inc. (Electric Utilities)

       6.750%      10/01/2019      4,000,000        4,180,000  
             

 

 

 

Total Corporate Bonds (Cost $242,875,153)

              $ 242,715,284  
             

 

 

 
Preferred Securities – 2.3%                 Rate    Quantity      Value  
FINANCIALS – 1.7%                              

JPMorgan Chase & Co. (Banks)

        5.450%      42,536      $ 1,101,257  

JPMorgan Chase & Co. DR (Banks)

        6.125%      52,500        1,414,875  

JPMorgan Chase & Co. (Banks)

        6.150%      9,443        258,833  

Wells Fargo & Co. DR (Banks)

        8.000%      269,946        6,994,301  

Wells Fargo & Co. DR (Banks)

        6.000%      56,254        1,486,793  

Argo Group U.S., Inc. (Insurance)

        6.500%      13,830        350,037  

Maiden Holdings North America Ltd. (Insurance)

        7.750%      181,274        4,874,458  

Protective Life Corp. (Insurance)

        6.250%      3,536        89,708  

Protective Life Corp. (Insurance)

        6.000%      28,510        721,873  
             

 

 

 
                17,292,135  
             

 

 

 
REAL ESTATE – 0.6%                              

Gramercy Property Trust (Acquired 08/27/2014 through 04/05/2017, Cost $5,380,162)
(Equity Real Estate Investment Trusts)

  (d)       7.125%      208,051        5,617,377  
             

 

 

 

Total Preferred Securities (Cost $22,703,952)

              $ 22,909,512  
             

 

 

 
Asset-Backed / Mortgage-Backed Securities – 0.9%         Rate      Maturity    Face Amount      Value  
FINANCIALS – 0.8%                              

New Residential Mortgage Loan Trust 2016-3A Class B3C
(Acquired 10/13/2016, Cost $8,039,933)

  (b)(d)      4.000%      09/25/2056    $ 7,922,002      $ 7,732,310  
             

 

 

 
                7,732,310  
             

 

 

 
INDUSTRIALS – 0.1%                              

UAL 2007-1 Class B Pass Through Trust

       7.336%      07/02/2019      924,837        980,327  
             

 

 

 

Total Asset-Backed / Mortgage-Backed Securities (Cost $9,002,918)

              $ 8,712,637  
             

 

 

 
U.S. Treasury Obligations – 12.8%         Rate      Maturity    Face Amount      Value  

U.S. Treasury Note

       1.000%      09/15/2017    $ 10,000,000      $ 9,998,530  

U.S. Treasury Note

       1.875%      01/31/2022      19,500,000        19,522,854  

U.S. Treasury Note

       1.875%      05/31/2022      30,000,000        29,995,320  

U.S. Treasury Note

       1.625%      02/15/2026      30,000,000        28,508,190  

U.S. Treasury Note

       1.500%      08/15/2026      10,000,000        9,355,470  

U.S. Treasury Note

       2.250%      02/15/2027      30,000,000        29,866,410  
             

 

 

 

Total U.S. Treasury Obligations (Cost $128,446,375)

              $ 127,246,774  
       

 

 

 
Closed-End Mutual Funds – 6.6%                       Shares      Value  

Aberdeen Emerging Markets Smaller Co. Opportunities Fund, Inc.

             10,147      $ 139,927  

Alpine Total Dynamic Dividend Fund

             210,719        1,831,148  

Asia Pacific Fund, Inc. / The

             131,541        1,699,510  

BlackRock Defined Opportunity Credit Trust

             225,251        2,236,742  

BlackRock Enhanced Government Fund, Inc.

             187,031        2,489,383  

BlackRock Income Trust, Inc.

             811,862        5,171,561  

China Fund, Inc. / The

             2,266        42,352  

Cushing Renaissance Fund / The

             116,764        2,042,202  

Delaware Investments Dividend & Income Fund, Inc.

             147,831        1,546,312  

Deutsche Global High Income Fund, Inc.

             192,573        1,677,311  

Deutsche High Income Opportunities Fund, Inc.

             63,935        951,353  

Deutsche Multi-Market Income Trust

             645,668        5,681,878  

Deutsche Strategic Income Trust

             122,406        1,516,610  

Eaton Vance High Income 2021 Target Term Trust

             458,835        4,638,822  

Federated Premier Intermediate Municipal Income Fund

             53,556        731,575  

First Trust Mortgage Income Fund

             79,080        1,122,145  

Invesco High Income Trust II

             15,134        225,799  

JPMorgan China Region Fund, Inc.

             89,958        1,805,457  

Korea Equity Fund, Inc.

             209,386        1,474,077  

Lazard Global Total Return and Income Fund, Inc.

             15,154        247,768  

Lazard World Dividend & Income Fund, Inc.

             14,353        158,170  

 

  88   (continued)


Ohio National Fund, Inc.   Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Closed-End Mutual Funds (Continued)                       Shares      Value  

Madison Covered Call & Equity Strategy Fund

             452,321      $        3,541,673  

Madison Strategic Sector Premium Fund

             167,646        2,018,458  

MFS Investment Grade Municipal Trust

             281,084        2,850,192  

Morgan Stanley Emerging Markets Fund, Inc.

             19,037        307,448  

Morgan Stanley Income Securities, Inc.

             244,555        4,455,792  

Nuveen High Income December 2018 Target Term Fund

             362,964        3,651,418  

Nuveen High Income December 2019 Target Term Fund

             240,021        2,448,214  

Nuveen Mortgage Opportunity Term Fund 2

             32,349        795,462  

Pacholder High Yield Fund, Inc.

             386,911        3,079,812  

Swiss Helvetia Fund, Inc. / The

             260,163        3,304,070  

Virtus Total Return Fund, Inc.

             168,402        2,061,241  
             

 

 

 

Total Closed-End Mutual Funds (Cost $64,908,522)

              $ 65,943,882  
             

 

 

 
Exchange Traded Funds – 1.5%                       Shares      Value  

iShares Currency Hedged MSCI Eurozone ETF

             180,000      $ 5,275,800  

iShares Europe ETF

             110,000        4,875,200  

SPDR S&P 500 ETF Trust

             19,152        4,630,954  
             

 

 

 

Total Exchange Traded Funds (Cost $13,291,474)

              $ 14,781,954  
             

 

 

 
Purchased Options – 0.2%         Expiration      Exercise Price    Contracts(e)      Value  

S&P 500 Index Put Option

       September 2017      $2,000.00      800      $ 252,000  

S&P 500 Index Put Option

       September 2017      $2,200.00      800        700,000  

S&P 500 Index Put Option

       October 2017      $2,300.00      300        840,000  
             

 

 

 

Total Purchased Options (Cost $3,886,685)

              $ 1,792,000  
             

 

 

 
Money Market Funds – 7.2%                       Shares      Value  

State Street Institutional U.S. Government Money Market Fund
Institutional Class

             71,561,701      $ 71,561,701  
             

 

 

 

Total Money Market Funds (Cost $71,561,701)

              $ 71,561,701  
             

 

 

 

Total Investments – 102.1% (Cost $952,794,726)

  (f)             $ 1,012,296,934  

Liabilities in Excess of Other Assets – (2.1)%

                (20,896,006)  
             

 

 

 

Net Assets – 100.0%

              $ 991,400,928  
             

 

 

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

 

  ADR: American Depositary Receipts

 

  DR: Depository Receipt

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $64,758,349, or 6.5% of the Portfolio’s net assets. Unless also noted with (d), as defined below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (c) Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at June 30, 2017.

 

  (d) Represents a security deemed to be illiquid. At June 30, 2017, the value of illiquid securities in the Portfolio totaled $18,118,587, or 1.8% of the Portfolio’s net assets.

 

  (e) 100 shares per contract.

 

  (f) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  89  


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio

 

Objective/Strategy

The S&P MidCap 400® Index Portfolio seeks total return approximating that of the Standard & Poor’s MidCap 400® Index (S&P MidCap 400® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P MidCap 400® Index by investing more than 80% of its net assets in the securities in the S&P MidCap 400® Index.

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     15.13%  

Five years

     11.68%  

Ten years

     4.03%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.79% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the S&P MidCap 400® Index Portfolio returned 5.69% versus 5.99% for the benchmark, the S&P MidCap 400® Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. The Portfolio intends to approximate the underlying return of the S&P MidCap 400® Index. There were no material market events or changes in strategy that impacted the Portfolio’s relative return for the period.(1)

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio is managed on a risk-controlled basis and is constructed to closely replicate its benchmark index. The expected sources of performance variance include the impact of trading daily cash flows, including trading commissions, and the operating expenses of the Portfolio.

Information Technology, Health Care and Industrials were the top contributing sectors in the Portfolio and benchmark for the period, while Energy was the key laggard.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The largest contributors to the Portfolio and benchmark returns for the period were Align Technology, Inc., The Chemours Co., and Packaging Corp. of America. The largest detractors from the Portfolio and benchmark returns for the period were Nabors Industries Ltd., QEP Resources, Inc., and United States Steel Corp.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Portfolio uses S&P MidCap 400® Index futures contracts primarily to equitize open dividend receivables, as well as to manage day-to-day cash flows to ensure the Portfolio is fully invested. The futures did not meaningfully impact performance due to their index characteristics and size in relation to Portfolio net assets.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The S&P MidCap 400® Index is a capitalization-weighted index of 400 common stocks representing all major industries in the mid-range of the U.S. stock market. The index presented includes the effects of reinvested dividends.

Prior to December 16, 2016, the Portfolio was known as the Target VIP Portfolio. The strategy of the Target VIP Portfolio was to seek above average total return by investing in common stocks of companies which were identified by a model that applied separate uniquely specialized strategies.

The S&P MidCap 400® Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by Ohio National Investments, Inc. (“ONI”) Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by ONI. The S&P MidCap 400® Index Portfolio of Ohio National Fund, Inc. is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P MidCap 400® Index.

 

 

  90   (continued)


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

        % of Net Assets  

Common Stocks (4)

     98.2  

Money Market Funds
Less Net Liabilities

     1.8  
     

 

 

 
        100.0  
     

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

       % of Net Assets  
  1.  

ResMed, Inc.

     0.7  
  2.  

Packaging Corp. of America

     0.6  
  3.  

Domino’s Pizza, Inc.

     0.6  
  4.  

Duke Realty Corp.

     0.6  
  5.  

Cadence Design Systems, Inc.

     0.6  
  6.  

Teleflex, Inc.

     0.6  
  7.  

MSCI, Inc.

     0.6  
  8.  

SVB Financial Group

     0.5  
  9.  

Alleghany Corp.

     0.5  
10.  

Trimble, Inc.

     0.5  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4) 

Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     17.5  

Financials

     16.1  

Industrials

     14.8  

Consumer Discretionary

     11.5  

Real Estate

     9.7  

Health Care

     9.0  

Materials

     7.5  

Utilities

     5.4  

Consumer Staples

     3.6  

Energy

     2.9  

Telecommunication Services

     0.2  
  

 

 

 
     98.2  
  

 

 

 

 

  91  


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 98.2%         Shares      Value
CONSUMER DISCRETIONARY – 11.5%                

Cooper Tire & Rubber Co. (Auto Components)

       1,783      $   64,366

Dana, Inc. (Auto Components)

       4,868      108,702

Gentex Corp. (Auto Components)

       9,733      184,635

Thor Industries, Inc. (Automobiles)

       1,611      168,382

Pool Corp. (Distributors)

       1,396      164,128

Adtalem Global Education, Inc. (Diversified Consumer Svs.)

       1,919      72,826

Graham Holdings Co. Class B (Diversified Consumer Svs.)

       157      94,145

Service Corp. International (Diversified Consumer Svs.)

       6,332      211,805

Sotheby’s (Diversified Consumer Svs.)

  (a)      1,543      82,813

Brinker International, Inc. (Hotels, Restaurants & Leisure)

       1,650      62,865

Buffalo Wild Wings, Inc. (Hotels, Restaurants & Leisure)

  (a)      544      68,925

Cheesecake Factory, Inc. / The (Hotels, Restaurants & Leisure)

       1,503      75,601

Churchill Downs, Inc. (Hotels, Restaurants & Leisure)

       417      76,436

Cracker Barrel Old Country Store, Inc. (Hotels, Restaurants & Leisure)

       814      136,141

Domino’s Pizza, Inc. (Hotels, Restaurants & Leisure)

       1,624      343,525

Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure)

       3,115      171,699

International Speedway Corp. Class A (Hotels, Restaurants & Leisure)

       859      32,255

Jack in the Box, Inc. (Hotels, Restaurants & Leisure)

       991      97,613

Panera Bread Co. Class A (Hotels, Restaurants & Leisure)

  (a)      719      226,226

Papa John’s International, Inc. (Hotels, Restaurants & Leisure)

       892      64,010

Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure)

       2,173      110,714

Wendy’s Co. / The (Hotels, Restaurants & Leisure)

       6,449      100,024

CalAtlantic Group, Inc. (Household Durables)

       2,611      92,299

Helen of Troy Ltd. (Household Durables)

  (a)      912      85,819

KB Home (Household Durables)

       2,806      67,260

NVR, Inc. (Household Durables)

  (a)      118      284,452

Tempur Sealy International, Inc. (Household Durables)

  (a)      1,579      84,303

Toll Brothers, Inc. (Household Durables)

       4,985      196,957

TRI Pointe Group, Inc. (Household Durables)

  (a)      5,373      70,870

Tupperware Brands Corp. (Household Durables)

       1,708      119,953

HSN, Inc. (Internet & Direct Marketing Retail)

       1,088      34,707

Brunswick Corp. (Leisure Products)

       3,007      188,629

Polaris Industries, Inc. (Leisure Products)

       1,973      181,970

AMC Networks, Inc. Class A (Media)

  (a)      1,869      99,823

Cable One, Inc. (Media)

       159      113,033

Cinemark Holdings, Inc. (Media)

       3,566      138,539

John Wiley & Sons, Inc. Class A (Media)

       1,508      79,547

Live Nation Entertainment, Inc. (Media)

  (a)      4,494      156,616

Meredith Corp. (Media)

       1,235      73,421

New York Times Co. / The Class A (Media)

       4,111      72,765

TEGNA, Inc. (Media)

       7,231      104,199

Big Lots, Inc. (Multiline Retail)

       1,517      73,271

Dillard’s, Inc. Class A (Multiline Retail)

       730      42,114

Aaron’s, Inc. (Specialty Retail)

       2,124      82,624

American Eagle Outfitters, Inc. (Specialty Retail)

       5,582      67,263

Cabela’s, Inc. (Specialty Retail)

  (a)      1,742      103,510

Chico’s FAS, Inc. (Specialty Retail)

       4,378      41,241

Dick’s Sporting Goods, Inc. (Specialty Retail)

       2,957      117,777

GameStop Corp. Class A (Specialty Retail)

       3,417      73,841

Michaels Cos., Inc. / The (Specialty Retail)

  (a)      3,570      66,116

Murphy U.S.A., Inc. (Specialty Retail)

  (a)      1,166      86,412

Office Depot, Inc. (Specialty Retail)

       17,410      98,192

Sally Beauty Holdings, Inc. (Specialty Retail)

  (a)      4,636      93,879
Common Stocks (Continued)        Shares      Value
CONSUMER DISCRETIONARY (continued)               

Urban Outfitters, Inc. (Specialty Retail)

  (a)     2,986      $     55,360

Williams-Sonoma, Inc. (Specialty Retail)

      2,688      130,368

Carter’s, Inc. (Textiles, Apparel & Luxury Goods)

      1,638      145,700

Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods)

  (a)     1,078      73,584

Kate Spade & Co. (Textiles, Apparel & Luxury Goods)

  (a)     4,320      79,877

Skechers U.S.A., Inc. Class A (Textiles, Apparel & Luxury Goods)

  (a)     4,506      132,927
      

 

       6,527,054
      

 

CONSUMER STAPLES – 3.6%               

Boston Beer Co., Inc. / The Class A (Beverages)

  (a)     315      41,627

Casey’s General Stores, Inc. (Food & Staples Retailing)

      1,324      141,814

Sprouts Farmers Market, Inc. (Food & Staples Retailing)

  (a)     4,353      98,682

United Natural Foods, Inc. (Food & Staples Retailing)

  (a)     1,708      62,684

Dean Foods Co. (Food Products)

      3,062      52,054

Flowers Foods, Inc. (Food Products)

      6,200      107,322

Hain Celestial Group, Inc. / The (Food Products)

  (a)     3,483      135,210

Ingredion, Inc. (Food Products)

      2,414      287,773

Lamb Weston Holdings, Inc. (Food Products)

      4,674      205,843

Lancaster Colony Corp. (Food Products)

      656      80,439

Post Holdings, Inc. (Food Products)

  (a)     2,242      174,091

Snyder’s-Lance, Inc. (Food Products)

      2,895      100,225

Tootsie Roll Industries, Inc. (Food Products)

      592      20,631

TreeHouse Foods, Inc. (Food Products)

  (a)     1,917      156,600

Energizer Holdings, Inc. (Household Products)

      2,082      99,978

Avon Products, Inc. (Personal Products)

  (a)     14,810      56,278

Edgewell Personal Care Co. (Personal Products)

  (a)     1,934      147,023

Nu Skin Enterprises, Inc. (Personal Products)

      1,672      105,068
      

 

       2,073,342
      

 

ENERGY – 2.9%               

Diamond Offshore Drilling, Inc. (Energy Equip. & Svs.)

  (a)     2,129      23,057

Dril-Quip, Inc. (Energy Equip. & Svs.)

  (a)     1,277      62,318

Ensco PLC Class A (Energy Equip. & Svs.)

      10,248      52,880

Nabors Industries Ltd. (Energy Equip. & Svs.)

      9,637      78,445

Oceaneering International, Inc. (Energy Equip. & Svs.)

      3,288      75,098

Oil States International, Inc. (Energy Equip. & Svs.)

  (a)     1,746      47,404

Patterson-UTI Energy, Inc. (Energy Equip. & Svs.)

      5,604      113,145

Rowan Cos. Plc Class A (Energy Equip. & Svs.)

  (a)     4,261      43,633

Superior Energy Services, Inc. (Energy Equip. & Svs.)

  (a)     5,157      53,787

CONSOL Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)     5,974      89,252

Energen Corp. (Oil, Gas & Consumable Fuels)

  (a)     3,276      161,736

Gulfport Energy Corp. (Oil, Gas & Consumable Fuels)

  (a)     5,374      79,266

HollyFrontier Corp. (Oil, Gas & Consumable Fuels)

      5,991      164,573

Matador Resources Co. (Oil, Gas & Consumable Fuels)

  (a)     3,146      67,230

PBF Energy, Inc. Class A (Oil, Gas & Consumable Fuels)

      3,699      82,340

QEP Resources, Inc. (Oil, Gas & Consumable Fuels)

  (a)     8,113      81,941

SM Energy Co. (Oil, Gas & Consumable Fuels)

      3,302      54,582

Southwestern Energy Co. (Oil, Gas & Consumable Fuels)

  (a)     17,049      103,658

World Fuel Services Corp. (Oil, Gas & Consumable Fuels)

      2,333      89,704

WPX Energy, Inc. (Oil, Gas & Consumable Fuels)

  (a)     13,441      129,840
      

 

       1,653,889
      

 

FINANCIALS – 16.1%               

Associated Banc-Corp. (Banks)

      5,125      129,150

BancorpSouth, Inc. (Banks)

      2,824      86,132
 

 

  92   (continued)


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio  (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)         Shares      Value
FINANCIALS (continued)                

Bank of Hawaii Corp. (Banks)

       1,437      $     119,228

Bank of the Ozarks, Inc. (Banks)

       4,107      192,495

Canadian Imperial Bank of Commerce (Banks)

       1      15

Cathay General Bancorp (Banks)

       2,526      95,862

Chemical Financial Corp. (Banks)

       2,395      115,942

Commerce Bancshares, Inc. (Banks)

       2,955      167,933

Cullen / Frost Bankers, Inc. (Banks)

       1,924      180,683

East West Bancorp, Inc. (Banks)

       4,880      285,870

First Horizon National Corp. (Banks)

       7,869      137,078

FNB Corp. (Banks)

       10,958      155,165

Fulton Financial Corp. (Banks)

       5,884      111,796

Hancock Holding Co. (Banks)

       2,843      139,307

Home BancShares, Inc. (Banks)

       4,249      105,800

International Bancshares Corp. (Banks)

       1,959      68,663

MB Financial, Inc. (Banks)

       2,400      105,696

PacWest Bancorp (Banks)

       4,051      189,182

Pinnacle Financial Partners, Inc. (Banks)

       2,439      153,169

Prosperity Bancshares, Inc. (Banks)

       2,358      151,478

Signature Bank (Banks)

  (a)      1,812      260,076

SVB Financial Group (Banks)

  (a)      1,773      311,676

Synovus Financial Corp. (Banks)

       4,140      183,154

TCF Financial Corp. (Banks)

       5,765      91,894

Texas Capital Bancshares, Inc. (Banks)

  (a)      1,668      129,103

Trustmark Corp. (Banks)

       2,282      73,389

UMB Financial Corp. (Banks)

       1,477      110,568

Umpqua Holdings Corp. (Banks)

       7,420      136,231

United Bankshares, Inc. (Banks)

       3,530      138,376

Valley National Bancorp (Banks)

       8,882      104,896

Webster Financial Corp. (Banks)

       3,123      163,083

Wintrust Financial Corp. (Banks)

       1,873      143,172

Eaton Vance Corp. (Capital Markets)

       3,868      183,034

FactSet Research Systems, Inc. (Capital Markets)

       1,328      220,687

Federated Investors, Inc. Class B (Capital Markets)

       3,124      88,253

Janus Henderson Group PLC (Capital Markets)

  (a)      6,093      201,739

Legg Mason, Inc. (Capital Markets)

       2,887      110,168

MarketAxess Holdings, Inc. (Capital Markets)

       1,266      254,593

MSCI, Inc. (Capital Markets)

       3,056      314,737

SEI Investments Co. (Capital Markets)

       4,504      242,225

Stifel Financial Corp. (Capital Markets)

  (a)      2,306      106,030

SLM Corp. (Consumer Finance)

  (a)      14,510      166,865

Alleghany Corp. (Insurance)

  (a)      521      309,891

American Financial Group, Inc. (Insurance)

       2,486      247,034

Aspen Insurance Holdings Ltd. (Insurance)

       2,021      100,747

Brown & Brown, Inc. (Insurance)

       3,890      167,542

CNO Financial Group, Inc. (Insurance)

       5,801      121,125

First American Financial Corp. (Insurance)

       3,712      165,889

Genworth Financial, Inc. Class A (Insurance)

  (a)      16,813      63,385

Hanover Insurance Group, Inc. / The (Insurance)

       1,436      127,273

Kemper Corp. (Insurance)

       1,642      63,381

Mercury General Corp. (Insurance)

       1,229      66,366

Old Republic International Corp. (Insurance)

       8,257      161,259

Primerica, Inc. (Insurance)

       1,532      116,049

Reinsurance Group of America, Inc. (Insurance)

       2,176      279,377

RenaissanceRe Holdings Ltd. (Insurance)

       1,371      190,638

WR Berkley Corp. (Insurance)

       3,273      226,393

New York Community Bancorp, Inc. (Thrifts & Mortgage Finance)

       16,518      216,881

Washington Federal, Inc. (Thrifts & Mortgage Finance)

       3,010      99,932
       

 

        9,147,755
       

 

HEALTH CARE – 9.0%                

Bioverativ, Inc. (Biotechnology)

  (a)      3,645      219,320

United Therapeutics Corp. (Biotechnology)

  (a)      1,518      196,930

ABIOMED, Inc. (Health Care Equip. & Supplies)

  (a)      1,373      196,751
Common Stocks (Continued)         Shares      Value
HEALTH CARE (continued)                

Globus Medical, Inc. (Health Care Equip. & Supplies)

  (a)      2,429      $       80,521

Halyard Health, Inc. (Health Care Equip. & Supplies)

  (a)      1,572      61,748

Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies)

       2,029      161,529

LivaNova PLC (Health Care Equip. & Supplies)

  (a)      1,460      89,367

Masimo Corp. (Health Care Equip. & Supplies)

  (a)      1,531      139,597

NuVasive, Inc. (Health Care Equip. & Supplies)

  (a)      1,705      131,149

ResMed, Inc. (Health Care Equip. & Supplies)

       4,789      372,919

STERIS PLC (Health Care Equip. & Supplies)

       2,861      233,171

Teleflex, Inc. (Health Care Equip. & Supplies)

       1,521      316,003

West Pharmaceutical Services, Inc. (Health Care Equip. & Supplies)

       2,477      234,126

Acadia Healthcare Co., Inc. (Health Care Providers & Svs.)

  (a)      2,573      127,055

HealthSouth Corp. (Health Care Providers & Svs.)

       3,017      146,023

LifePoint Health, Inc. (Health Care Providers & Svs.)

  (a)      1,373      92,197

MEDNAX, Inc. (Health Care Providers & Svs.)

  (a)      3,142      189,683

Molina Healthcare, Inc. (Health Care Providers & Svs.)

  (a)      1,439      99,550

Owens & Minor, Inc. (Health Care Providers & Svs.)

       2,064      66,440

Tenet Healthcare Corp. (Health Care Providers & Svs.)

  (a)      2,709      52,392

VCA, Inc. (Health Care Providers & Svs.)

  (a)      2,741      253,022

WellCare Health Plans, Inc. (Health Care Providers & Svs.)

  (a)      1,503      269,879

Allscripts Healthcare Solutions, Inc. (Health Care Technology)

  (a)      6,116      78,040

Medidata Solutions, Inc. (Health Care Technology)

  (a)      1,874      146,547

Bio-Rad Laboratories, Inc. Class A (Life Sciences Tools & Svs.)

  (a)      705      159,549

Bio-Techne Corp. (Life Sciences Tools & Svs.)

       1,268      148,990

Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.)

  (a)      1,603      162,143

INC Research Holdings, Inc. Class A (Life Sciences Tools & Svs.)

  (a)      1,821      106,528

PAREXEL International Corp. (Life Sciences Tools & Svs.)

  (a)      1,708      148,442

Akorn, Inc. (Pharmaceuticals)

  (a)      2,934      98,406

Catalent, Inc. (Pharmaceuticals)

  (a)      4,212      147,841

Endo International PLC (Pharmaceuticals)

  (a)      6,685      74,671

Prestige Brands Holdings, Inc. (Pharmaceuticals)

  (a)      1,783      94,160
       

 

        5,094,689
       

 

INDUSTRIALS – 14.8%                

Curtiss-Wright Corp. (Aerospace & Defense)

       1,491      136,844

Esterline Technologies Corp. (Aerospace & Defense)

  (a)      1,003      95,084

Huntington Ingalls Industries, Inc. (Aerospace & Defense)

       1,555      289,479

KLX, Inc. (Aerospace & Defense)

  (a)      1,754      87,700

Orbital ATK, Inc. (Aerospace & Defense)

       1,943      191,113

Teledyne Technologies, Inc. (Aerospace & Defense)

  (a)      1,188      151,648

JetBlue Airways Corp. (Airlines)

  (a)      11,259      257,043

A.O. Smith Corp. (Building Products)

       4,978      280,411

Lennox International, Inc. (Building Products)

       1,298      238,365

Clean Harbors, Inc. (Commercial Svs. & Supplies)

  (a)      1,765      98,540

Copart, Inc. (Commercial Svs. & Supplies)

  (a)      6,910      219,669

Deluxe Corp. (Commercial Svs. & Supplies)

       1,648      114,075

Herman Miller, Inc. (Commercial Svs. & Supplies)

       2,016      61,286
 

 

  93   (continued)


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio  (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)         Shares      Value
INDUSTRIALS (continued)                

HNI Corp. (Commercial Svs. & Supplies)

       1,486      $       59,247

MSA Safety, Inc. (Commercial Svs. & Supplies)

       1,060      86,040

Pitney Bowes, Inc. (Commercial Svs. & Supplies)

       6,279      94,813

Rollins, Inc. (Commercial Svs. & Supplies)

       3,229      131,453

AECOM (Construction & Engineering)

  (a)      5,245      169,571

Dycom Industries, Inc. (Construction & Engineering)

  (a)      1,049      93,906

EMCOR Group, Inc. (Construction & Engineering)

       2,005      131,087

Granite Construction, Inc. (Construction & Engineering)

       1,344      64,835

KBR, Inc. (Construction & Engineering)

       4,829      73,497

Valmont Industries, Inc. (Construction & Engineering)

       761      113,846

EnerSys (Electrical Equip.)

       1,465      106,139

Hubbell, Inc. (Electrical Equip.)

       1,723      194,992

Regal Beloit Corp. (Electrical Equip.)

       1,511      123,222

Carlisle Cos., Inc. (Industrial Conglomerates)

       2,176      207,590

AGCO Corp. (Machinery)

       2,247      151,425

Crane Co. (Machinery)

       1,702      135,105

Donaldson Co., Inc. (Machinery)

       4,449      202,607

Graco, Inc. (Machinery)

       1,869      204,244

IDEX Corp. (Machinery)

       2,580      291,566

ITT, Inc. (Machinery)

       2,989      120,098

Kennametal, Inc. (Machinery)

       2,711      101,446

Lincoln Electric Holdings, Inc. (Machinery)

       2,095      192,929

Nordson Corp. (Machinery)

       1,805      218,983

Oshkosh Corp. (Machinery)

       2,519      173,509

Terex Corp. (Machinery)

       3,286      123,225

Timken Co. / The (Machinery)

       2,363      109,289

Toro Co. / The (Machinery)

       3,639      252,146

Trinity Industries, Inc. (Machinery)

       5,123      143,598

Wabtec Corp. (Machinery)

       2,918      266,997

Woodward, Inc. (Machinery)

       1,856      125,428

Kirby Corp. (Marine)

  (a)      1,818      121,533

Dun & Bradstreet Corp. / The (Professional Svs.)

       1,242      134,322

FTI Consulting, Inc. (Professional Svs.)

  (a)      1,392      48,664

ManpowerGroup, Inc. (Professional Svs.)

       2,267      253,111

Avis Budget Group, Inc. (Road & Rail)

  (a)      2,840      77,447

Genesee & Wyoming, Inc. Class A (Road & Rail)

  (a)      2,074      141,841

Landstar System, Inc. (Road & Rail)

       1,413      120,953

Old Dominion Freight Line, Inc. (Road & Rail)

       2,340      222,862

Ryder System, Inc. (Road & Rail)

       1,804      129,852

Werner Enterprises, Inc. (Road & Rail)

       1,523      44,700

GATX Corp. (Trading Companies & Distributors)

       1,327      85,286

MSC Industrial Direct Co., Inc. Class A (Trading Companies & Distributors)

       1,519      130,573

NOW, Inc. (Trading Companies & Distributors)

  (a)      3,629      58,354

Watsco, Inc. (Trading Companies & Distributors)

       1,028      158,518
       

 

        8,412,106
       

 

INFORMATION TECHNOLOGY – 17.5%                

Arrow Electronics, Inc. (Electronic Equip., Instr. & Comp.)

  (a)      3,005      235,652

Avnet, Inc. (Electronic Equip., Instr. & Comp.)

       4,208      163,607

Belden, Inc. (Electronic Equip., Instr. & Comp.)

       1,423      107,337

Cognex Corp. (Electronic Equip., Instr. & Comp.)

       2,926      248,417

Coherent, Inc. (Electronic Equip., Instr. & Comp.)

  (a)      831      186,967

IPG Photonics Corp. (Electronic Equip., Instr. & Comp.)

  (a)      1,269      184,132

Jabil Circuit, Inc. (Electronic Equip., Instr. & Comp.)

       6,165      179,956

Keysight Technologies, Inc. (Electronic Equip., Instr. & Comp.)

  (a)      6,240      242,923

Knowles Corp. (Electronic Equip., Instr. & Comp.)

  (a)      3,006      50,861

Littelfuse, Inc. (Electronic Equip., Instr. & Comp.)

       764      126,060

National Instruments Corp. (Electronic Equip., Instr. & Comp.)

       3,606      145,033
Common Stocks (Continued)         Shares      Value
INFORMATION TECHNOLOGY (continued)                

SYNNEX Corp. (Electronic Equip., Instr. & Comp.)

       981      $     117,681

Tech Data Corp. (Electronic Equip., Instr. & Comp.)

  (a)      1,168      117,968

Trimble, Inc. (Electronic Equip., Instr. & Comp.)

  (a)      8,540      304,622

VeriFone Systems, Inc. (Electronic Equip., Instr. & Comp.)

  (a)      3,760      68,056

Vishay Intertechnology, Inc. (Electronic Equip., Instr. & Comp.)

       4,516      74,966

Zebra Technologies Corp. Class A (Electronic Equip., Instr. & Comp.)

  (a)      1,784      179,328

ARRIS International PLC (Communications Equip.)

  (a)      6,343      177,731

Brocade Communications Systems, Inc. (Communications Equip.)

       13,854      174,699

Ciena Corp. (Communications Equip.)

  (a)      4,772      119,395

InterDigital, Inc. (Communications Equip.)

       1,167      90,209

NetScout Systems, Inc. (Communications Equip.)

  (a)      3,088      106,227

Plantronics, Inc. (Communications Equip.)

       1,127      58,953

ViaSat, Inc. (Communications Equip.)

  (a)      1,784      118,101

Cars.com, Inc. (Internet Software & Svs.)

  (a)      2,409      64,152

J2 Global, Inc. (Internet Software & Svs.)

       1,622      138,016

LogMeIn, Inc. (Internet Software & Svs.)

       1,773      185,278

WebMD Health Corp. (Internet Software & Svs.)

  (a)      1,271      74,544

Acxiom Corp. (IT Svs.)

  (a)      2,644      68,691

Broadridge Financial Solutions, Inc. (IT Svs.)

       3,973      300,200

Convergys Corp. (IT Svs.)

       3,171      75,406

CoreLogic, Inc. (IT Svs.)

  (a)      2,852      123,720

DST Systems, Inc. (IT Svs.)

       2,080      128,336

Jack Henry & Associates, Inc. (IT Svs.)

       2,627      272,866

Leidos Holdings, Inc. (IT Svs.)

       4,849      250,645

MAXIMUS, Inc. (IT Svs.)

       2,182      136,659

NeuStar, Inc. Class A (IT Svs.)

  (a)      1,876      62,565

Sabre Corp. (IT Svs.)

       6,927      150,801

Science Applications International Corp. (IT Svs.)

       1,471      102,117

Teradata Corp. (IT Svs.)

  (a)      4,407      129,962

WEX, Inc. (IT Svs.)

  (a)      1,300      135,551

Cirrus Logic, Inc. (Semiconductors & Equip.)

  (a)      2,168      135,977

Cree, Inc. (Semiconductors & Equip.)

  (a)      3,275      80,729

Cypress Semiconductor Corp. (Semiconductors & Equip.)

       11,089      151,365

First Solar, Inc. (Semiconductors & Equip.)

  (a)      2,633      105,004

Integrated Device Technology, Inc. (Semiconductors & Equip.)

  (a)      4,479      115,513

Microsemi Corp. (Semiconductors & Equip.)

  (a)      3,912      183,082

Monolithic Power Systems, Inc. (Semiconductors & Equip.)

       1,278      123,199

Silicon Laboratories, Inc. (Semiconductors & Equip.)

  (a)      1,425      97,399

Synaptics, Inc. (Semiconductors & Equip.)

  (a)      1,161      60,035

Teradyne, Inc. (Semiconductors & Equip.)

       6,733      202,192

Versum Materials, Inc. (Semiconductors & Equip.)

       3,657      118,852

ACI Worldwide, Inc. (Software)

  (a)      3,974      88,898

Blackbaud, Inc. (Software)

       1,616      138,572

Cadence Design Systems, Inc. (Software)

  (a)      9,440      316,146

CDK Global, Inc. (Software)

       4,908      304,590

CommVault Systems, Inc. (Software)

  (a)      1,407      79,425

Fair Isaac Corp. (Software)

       1,044      145,544

Fortinet, Inc. (Software)

  (a)      5,028      188,248

Manhattan Associates, Inc. (Software)

  (a)      2,347      112,797

PTC, Inc. (Software)

  (a)      3,906      215,299

Take-Two Interactive Software, Inc. (Software)

  (a)      3,507      257,344

Tyler Technologies, Inc. (Software)

  (a)      1,136      199,561

Ultimate Software Group, Inc. / The (Software)

  (a)      1,005      211,110

3D Systems Corp. (Tech. Hardware, Storage & Periph.)

  (a)      3,640      68,068
 

 

  94   (continued)


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)         Shares      Value
INFORMATION TECHNOLOGY (continued)                

Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.)

       2,544      $       71,232

NCR Corp. (Tech. Hardware, Storage & Periph.)

  (a)      4,080      166,627
       

 

        9,915,198
       

 

MATERIALS – 7.5%                

Ashland Global Holdings, Inc. (Chemicals)

       2,097      138,213

Cabot Corp. (Chemicals)

       2,105      112,470

Chemours Co. / The (Chemicals)

       6,226      236,090

Minerals Technologies, Inc. (Chemicals)

       1,195      87,474

NewMarket Corp. (Chemicals)

       312      143,670

Olin Corp. (Chemicals)

       5,584      169,084

PolyOne Corp. (Chemicals)

       2,755      106,729

RPM International, Inc. (Chemicals)

       4,517      246,402

Scotts Miracle-Gro Co. / The Class A (Chemicals)

       1,484      132,759

Sensient Technologies Corp. (Chemicals)

       1,496      120,473

Valvoline, Inc. (Chemicals)

       6,884      163,288

Eagle Materials, Inc. (Construction Materials)

       1,635      151,107

AptarGroup, Inc. (Containers & Packaging)

       2,101      182,493

Bemis Co., Inc. (Containers & Packaging)

       3,096      143,190

Greif, Inc. Class A (Containers & Packaging)

       870      48,529

Owens-Illinois, Inc. (Containers & Packaging)

  (a)      5,481      131,106

Packaging Corp. of America (Containers & Packaging)

       3,181      354,332

Silgan Holdings, Inc. (Containers & Packaging)

       2,527      80,308

Sonoco Products Co. (Containers & Packaging)

       3,347      172,103

Allegheny Technologies, Inc. (Metals & Mining)

       3,666      62,359

Carpenter Technology Corp. (Metals & Mining)

       1,575      58,952

Commercial Metals Co. (Metals & Mining)

       3,901      75,796

Compass Minerals International, Inc. (Metals & Mining)

       1,139      74,377

Reliance Steel & Aluminum Co. (Metals & Mining)

       2,471      179,914

Royal Gold, Inc. (Metals & Mining)

       2,201      172,052

Steel Dynamics, Inc. (Metals & Mining)

       8,167      292,460

United States Steel Corp. (Metals & Mining)

       5,878      130,139

Worthington Industries, Inc. (Metals & Mining)

       1,480      74,326

Domtar Corp. (Paper & Forest Products)

       2,110      81,066

Louisiana-Pacific Corp. (Paper & Forest Products)

  (a)      4,871      117,440
       

 

        4,238,701
       

 

REAL ESTATE – 9.7%                

American Campus Communities, Inc. (Equity Real Estate Investment Trusts)

       4,524      213,985

Camden Property Trust (Equity Real Estate Investment Trusts)

       2,956      252,768

Care Capital Properties, Inc. (Equity Real Estate Investment Trusts)

       2,833      75,641

CoreCivic, Inc. (Equity Real Estate Investment Trusts)

       3,977      109,686

Corporate Office Properties Trust (Equity Real Estate Investment Trusts)

       3,349      117,315

Cousins Properties, Inc. (Equity Real Estate Investment Trusts)

       14,112      124,044

CyrusOne, Inc. (Equity Real Estate Investment Trusts)

       2,629      146,567

DCT Industrial Trust, Inc. (Equity Real Estate Investment Trusts)

       3,095      165,397

Douglas Emmett, Inc. (Equity Real Estate Investment Trusts)

       4,962      189,598

Duke Realty Corp. (Equity Real Estate Investment Trusts)

       11,982      334,897

Education Realty Trust, Inc. (Equity Real Estate Investment Trusts)

       2,477      95,984

EPR Properties (Equity Real Estate Investment Trusts)

       2,168      155,814

First Industrial Realty Trust, Inc. (Equity Real Estate Investment Trusts)

       3,952      113,106
Common Stocks (Continued)         Shares      Value
REAL ESTATE (continued)                

GEO Group, Inc. / The (Equity Real Estate Investment Trusts)

       4,187      $     123,810

Healthcare Realty Trust, Inc. (Equity Real Estate Investment Trusts)

       3,924      134,005

Highwoods Properties, Inc. (Equity Real Estate Investment Trusts)

       3,435      174,189

Hospitality Properties Trust (Equity Real Estate Investment Trusts)

       5,553      161,870

Kilroy Realty Corp. (Equity Real Estate Investment Trusts)

       3,315      249,122

Lamar Advertising Co. Class A (Equity Real Estate Investment Trusts)

       2,813      206,952

LaSalle Hotel Properties (Equity Real Estate Investment Trusts)

       3,812      113,598

Liberty Property Trust (Equity Real Estate Investment Trusts)

       4,971      202,369

Life Storage, Inc. (Equity Real Estate Investment Trusts)

       1,573      116,559

Mack-Cali Realty Corp. (Equity Real Estate Investment Trusts)

       3,049      82,750

Medical Properties Trust, Inc. (Equity Real Estate Investment Trusts)

       12,303      158,340

National Retail Properties, Inc. (Equity Real Estate Investment Trusts)

       5,040      197,064

Omega Healthcare Investors, Inc. (Equity Real Estate Investment Trusts)

       6,644      219,385

Potlatch Corp. (Equity Real Estate Investment Trusts)

       1,368      62,518

Quality Care Properties, Inc. (Equity Real Estate Investment Trusts)

  (a)      3,155      57,768

Rayonier, Inc. (Equity Real Estate Investment Trusts)

       4,337      124,775

Senior Housing Properties Trust (Equity Real Estate Investment Trusts)

       8,026      164,051

Tanger Factory Outlet Centers, Inc. (Equity Real Estate Investment Trusts)

       3,252      84,487

Taubman Centers, Inc. (Equity Real Estate Investment Trusts)

       2,054      122,316

Uniti Group, Inc. (Equity Real Estate Investment Trusts)

  (a)      5,316      133,644

Urban Edge Properties (Equity Real Estate Investment Trusts)

       3,357      79,662

Washington Prime Group, Inc. (Equity Real Estate Investment Trusts)

       6,255      52,354

Weingarten Realty Investors (Equity Real Estate Investment Trusts)

       3,996      120,280

Alexander & Baldwin, Inc. (Real Estate Mgmt. & Development)

       1,557      64,429

Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development)

       1,525      190,625
       

 

        5,491,724
       

 

TELECOMMUNICATION SERVICES – 0.2%                

Frontier Communications Corp. (Diversified Telecom. Svs.)

       39,628      45,968

Telephone & Data Systems, Inc. (Wireless Telecom. Svs.)

       3,163      87,773
       

 

        133,741
       

 

UTILITIES – 5.4%                

Great Plains Energy, Inc. (Electric Utilities)

       7,284      213,276

Hawaiian Electric Industries, Inc. (Electric Utilities)

       3,661      118,543

IDACORP, Inc. (Electric Utilities)

       1,703      145,351

OGE Energy Corp. (Electric Utilities)

       6,740      234,485

PNM Resources, Inc. (Electric Utilities)

       2,682      102,587

Westar Energy, Inc. (Electric Utilities)

       4,793      254,125

Atmos Energy Corp. (Gas Utilities)

       3,553      294,721

National Fuel Gas Co. (Gas Utilities)

       2,875      160,540

New Jersey Resources Corp. (Gas Utilities)

       2,917      115,805
 

 

  95   (continued)


Ohio National Fund, Inc.   S&P MidCap 400® Index Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)         Shares      Value
UTILITIES (continued)                

ONE Gas, Inc. (Gas Utilities)

       1,767      $     123,354

Southwest Gas Holdings, Inc. (Gas Utilities)

       1,602      117,042

UGI Corp. (Gas Utilities)

       5,846      283,005

WGL Holdings, Inc. (Gas Utilities)

       1,722      143,666

Black Hills Corp. (Multi-Utilities)

       1,808      121,986

MDU Resources Group, Inc. (Multi-Utilities)

       6,571      172,160

NorthWestern Corp. (Multi-Utilities)

       1,631      99,524

Vectren Corp. (Multi-Utilities)

       2,805      163,924

Aqua America, Inc. (Water Utilities)

       5,985      199,300
       

 

        3,063,394
       

 

Total Common Stocks (Cost $54,381,353)

        $55,751,593
       

 

Money Market Funds – 2.1%         Shares      Value

State Street Institutional U.S. Government Money Market Fund Institutional Class

       1,215,336      $  1,215,336
       

 

Total Money Market Funds
(Cost $1,215,336)

        $  1,215,336
       

 

Total Investments – 100.3%
(Cost $55,596,689)

  (b)       $56,966,929

Liabilities in Excess of Other
Assets – (0.3)%

  (c)       (160,673)
       

 

Net Assets – 100.0%

        $56,806,256
       

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

  (c) Includes $105,627 of cash pledged as collateral for the futures contracts outstanding at June 30, 2017. See also the following Schedule of Open Futures Contracts.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Open Futures Contracts

  June 30, 2017 (Unaudited)

 

Description

  Number of
Contracts
  

Expiration Date

   Notional
Amount
    

Value

   Unrealized
Appreciation
(Depreciation)
 

CME E-mini S&P MidCap 400 Index – Long

  6    September 15, 2017    $ 1,051,627      $1,047,661    $ (3,966
       

 

 

    

 

  

 

 

 

The accompanying notes are an integral part of these financial statements.

 

  96  


Ohio National Fund, Inc.   Bristol Growth Portfolio

 

Objective/Strategy

The Bristol Growth 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, 2017

 

Average Annual returns

  

One year

     19.68%  

Five years

     16.43%  

Ten years

     7.80%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 0.89% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Bristol Growth Portfolio returned 13.78% versus 13.99% for its benchmark, the Russell 1000 Growth Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. At the half-way point of the year, the economy continues to churn ahead; perhaps, not at the speed our President desires, or promised, but at least in a positive direction. As the economy moves along steadily, under the watchful eye of the Federal Reserve, the market anticipated the progress of the federal government in implementing some of the broader promises leading up to the election.

Health care affects a large portion of the economy. At this point, major changes do not appear to be expected. If there is no new health care plan and subsequent major tax overhaul, there is a significant chance the market will react negatively. While one could argue that tax cut expectations have been reduced, there is clearly the hope that some major changes occur, even if it is a tax holiday to repatriate overseas earnings.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio slightly underperformed the benchmark during the period. Selections in Financials and Consumer Staples, as well as an underweight to Health Care and overweight to Telecommunication Services were key detractors. Key contributors to relative performance were stock selection within the Consumer Discretionary, Information Technology, and Telecommunication Services, as well as underweights to Consumer Staples and Real Estate.(1)

 

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. Among the Portfolio’s Information Technology holdings, DXC Technology Co. generated 68 basis points of relative contribution and was able to beat analyst earnings estimates on stronger margins and continued progress towards its merger synergies with Hewlett Packard Enterprise Co. Oracle Corp. added 57 basis points as it continued to show positive earnings reports as well as confidence in the transition into software as a service (“SaaS”). Delphi Automotive PLC contributed 54 basis points on positive earnings results along with the spinoff of its powertrain division.(1)

The key detractor was IMAX Corp., which detracted 55 basis points of relative contribution while struggling from a slew of negative revisions, as the outlook for the summer movie slate worsened. We finally exited the position when it appeared that China was getting closer to saturation of IMAX theatres sooner than expected, and the revenue per theatre might be secularly challenged. Apple, Inc., detracting 36 basis points, cost the Portfolio due to its underweight relative to the benchmark. AECOM, which detracted 23 basis points, was expected to be a major beneficiary of a bipartisan infrastructure spending bill, but so far it seems like expectations for any explicit plan to be released and implemented keeps getting delayed.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

 

  97   (continued)


Ohio National Fund, Inc.   Bristol Growth Portfolio (Continued)

 

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Russell 1000 Growth Index is a market-capitalization weighted index of those firms in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. The index presented includes the effects of requested dividends.

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    98.8  

Money Market Funds and
Other Net Assets

    1.2  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

        % of Net Assets  
  1.         Amazon.com, Inc.      4.7  
  2.         Apple, Inc.      4.4  
  3.         Alphabet, Inc. Class C      4.0  
  4.         Microsoft Corp.      3.9  
  5.         Facebook, Inc. Class A      3.6  
  6.         Alphabet, Inc. Class A      2.5  
  7.         PVH Corp.      2.2  
  8.         Visa, Inc.      2.1  
  9.         Coach, Inc.      2.1  
10.         Goldman Sachs Group, Inc. / The      2.1  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks):

 

     % of Net Assets  

Information Technology

     38.8  

Consumer Discretionary

     20.5  

Health Care

     14.9  

Industrials

     13.7  

Consumer Staples

     3.8  

Financials

     3.6  

Materials

     1.9  

Telecommunication Services

     1.6  
  

 

 

 
     98.8  
  

 

 

 

 

  98  


Ohio National Fund, Inc.   Bristol Growth Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 98.8%        Shares     Value  
CONSUMER DISCRETIONARY – 20.5%                

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      16,199     $     2,481,039  

MGM Resorts International (Hotels, Restaurants & Leisure)

      70,324       2,200,438  

Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure)

      11,073       1,209,504  

D.R. Horton, Inc. (Household Durables)

      72,511       2,506,705  

Newell Brands, Inc. (Household Durables)

      44,973       2,411,452  

Amazon.com, Inc. (Internet & Direct Marketing Retail)

  (a)     5,966       5,775,088  

CBS Corp. Class B (Media)

      35,413       2,258,641  

Time Warner, Inc. (Media)

      12,636       1,268,781  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

      53,854       2,549,448  

PVH Corp. (Textiles, Apparel & Luxury Goods)

      23,376       2,676,552  
     

 

 

 
        25,337,648  
     

 

 

 
CONSUMER STAPLES – 3.8%                

Kraft Heinz Co. / The (Food Products)

      27,144       2,324,612  

Philip Morris International, Inc. (Tobacco)

      20,586       2,417,826  
     

 

 

 
        4,742,438  
     

 

 

 
FINANCIALS – 3.6%                

Citigroup, Inc. (Banks)

      28,667       1,917,249  

Goldman Sachs Group, Inc. / The (Capital Markets)

      11,463       2,543,640  
     

 

 

 
        4,460,889  
     

 

 

 
HEALTH CARE – 14.9%                

Alnylam Pharmaceuticals, Inc. (Biotechnology)

  (a)     21,249       1,694,820  

Celgene Corp. (Biotechnology)

  (a)     9,464       1,229,090  

Medtronic PLC (Health Care Equip. & Supplies)

      27,569       2,446,749  

Envision Healthcare Corp. (Health Care Providers & Svs.)

  (a)     38,239       2,396,438  

Humana, Inc. (Health Care Providers & Svs.)

      10,485       2,522,901  

UnitedHealth Group, Inc. (Health Care Providers & Svs.)

      11,294       2,094,134  

Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.)

      14,138       2,466,657  

Aerie Pharmaceuticals, Inc. (Pharmaceuticals)

  (a)     23,751       1,248,115  

AstraZeneca PLC – ADR (Pharmaceuticals)

      69,026       2,353,096  
     

 

 

 
        18,452,000  
     

 

 

 
INDUSTRIALS – 13.7%                

Raytheon Co. (Aerospace & Defense)

      14,509       2,342,913  

FedEx Corp. (Air Freight & Logistics)

      11,593       2,519,507  

Delta Air Lines, Inc. (Airlines)

      23,306       1,252,464  

AECOM (Construction & Engineering)

  (a)     71,359       2,307,036  

Snap-on, Inc. (Machinery)

      13,655       2,157,490  

Wabtec Corp. (Machinery)

      17,263       1,579,565  
Common Stocks (Continued)        Shares     Value  
INDUSTRIALS (continued)                

Xylem, Inc. (Machinery)

      42,853     $     2,375,342  

Union Pacific Corp. (Road & Rail)

      21,780       2,372,060  
     

 

 

 
        16,906,377  
     

 

 

 
INFORMATION TECHNOLOGY – 38.8%                

CommScope Holding Co., Inc. (Communications Equip.)

  (a)     63,085       2,399,123  

Trimble, Inc. (Electronic Equip., Instr. & Comp.)

  (a)     68,805       2,454,274  

Alibaba Group Holding Ltd. – ADR (Internet Software & Svs.)

  (a)     8,606       1,212,585  

Alphabet, Inc. Class A (Internet Software & Svs.)

  (a)     3,291       3,059,577  

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     5,400       4,907,142  

Facebook, Inc. Class A (Internet Software & Svs.)

  (a)     29,626       4,472,934  

DXC Technology Co. (IT Svs.)

      31,144       2,389,368  

Visa, Inc. (IT Svs.)

      27,318       2,561,882  

ASML Holding NV (Semiconductors & Equip.)

      18,730       2,440,706  

Broadcom Ltd. (Semiconductors & Equip.)

      10,192       2,375,246  

Cavium, Inc. (Semiconductors & Equip.)

  (a)     27,109       1,684,282  

Marvell Technology Group Ltd. (Semiconductors & Equip.)

      141,790       2,342,371  

NVIDIA Corp. (Semiconductors & Equip.)

      4,091       591,395  

Adobe Systems, Inc. (Software)

  (a)     17,212       2,434,465  

Microsoft Corp. (Software)

      70,683       4,872,179  

Oracle Corp. (Software)

      48,732       2,443,422  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      37,994       5,471,896  
     

 

 

 
        48,112,847  
     

 

 

 
MATERIALS – 1.9%                

E.I. du Pont de Nemours & Co. (Chemicals)

      29,810       2,405,965  
     

 

 

 
TELECOMMUNICATION SERVICES – 1.6%                

T-Mobile U.S., Inc. (Wireless Telecom. Svs.)

  (a)     33,468       2,028,830  
     

 

 

 

Total Common Stocks (Cost $105,565,650)

      $ 122,446,994  
     

 

 

 
Money Market Funds – 0.8%        Shares     Value  

State Street Institutional U.S. Government Money Market Fund Institutional Class

      983,256     $ 983,256  
     

 

 

 

Total Money Market Funds (Cost $983,256)

      $ 983,256  
     

 

 

 

Total Investments – 99.6% (Cost $106,548,906)

  (b)     $ 123,430,250  

Other Assets in Excess of Liabilities – 0.4%

        492,210  
     

 

 

 

Net Assets – 100.0%

      $ 123,922,460  
     

 

 

 
 

 

Percentages are stated as a percent of net assets.

Abbreviations:

ADR: American Depositary Receipts

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

The accompanying notes are an integral part of these financial statements.

 

  99  


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio

 

Objective/Strategy

The Risk Managed Balanced Portfolio seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio invests in a balanced portfolio of equity and fixed-income securities (the “Balanced Component”) and a risk management portfolio intended to enhance the risk adjusted return of the Portfolio (the “Risk Management Component”).

 

Performance as of June 30, 2017

 

Average Annual returns

  

One year

     9.35%  

Since inception (5/1/14)

     5.82%  

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. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is 1.04% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights.

 

Comments from Sub-Advisers

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the six-month period ended June 30, 2017, the Risk Managed Balanced Portfolio returned 7.87% versus 6.12% for its benchmark, which is comprised of 55% S&P 500 Index and 45% Bloomberg Barclays U.S. Aggregate Bond Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. Equity markets started the year off strong. The Trump administration’s pro-growth fiscal platform continued to inspire optimism around the potential for greater economic expansion. U.S. economic data confirmed that the economy was already on the right track. Consumer and business confidence surveys registered multi-year highs. The labor market strengthened and key inflation measures rose. This backdrop supported the Federal Reserve’s decision to implement its first interest rate increase of the year in March. However, Washington’s general lack of progress on reform initiatives caused investors to begin reassessing the reflation trade. Downward pressure on the price of crude oil amid a ramp-up in U.S. production created further uncertainty on the inflation front.

Stocks continued gaining ground in the latter half of the period, with several equity benchmarks achieving record highs. Risk assets were supported by the strong first quarter earnings season in which nearly all sectors exceeded consensus sales and earnings estimates. Economic data, however, turned decidedly weaker. Specifically, core inflation, as measured by the Consumer Price Index, receded to 1.7% in May, the lowest reading since June 2015. Tepid economic data aside, the Federal Reserve raised its benchmark rate

by another 25 basis points in June and Chairwoman Janet Yellen indicated that the economy was likely healthy enough to withstand additional increases.

The U.S. yield curve flattened during the period. Short-term yields rose on Fed-driven volatility and intermediate and longer dated yields rallied as investors expressed renewed concern over the economic outlook. Corporate credit spreads, on both investment grade and high yield, finished tighter, spurred in part by the successful corporate earnings season.

Q. How did sector selection and security selection each impact the Portfolio’s performance relative to its benchmark?

A. The Balanced Component of the Portfolio, sub-advised by Janus Capital Management LLC, seeks to provide consistent returns over time by allocating across the spectrum of fixed income and equity securities. Its equity-to-fixed-income allocation ended the period approximately 63% equity, 36% fixed income and a small allocation to cash. We had increased our equity allocation to the top end of our range intra-period, but our concern over high multiples led us to trim some of our more volatile positions. Our equity allocation may vary based on market conditions, and currently reflects our view that on a risk-adjusted basis, equities present more attractive opportunities relative to fixed income.(1)

The Balanced Component’s equity portion outperformed its benchmark, the S&P 500 Index. Favorable stock selection made Industrials the equity portion’s strongest-contributing sector relative to the S&P 500 Index. Energy was the second-strongest-contributing sector, primarily due to the underweight allocation in the poor-performing sector. Strong stock selection in the Consumer Discretionary sector resulted in a relative contribution as well.(1)

Financials was the weakest-contributing sector in the equity portion relative to the S&P 500 Index, followed by Consumer Staples and Materials; all largely due to stock selection rather than sector allocation.(1)

The Balanced Component’s fixed income portion also outperformed its benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index. However, as the period progressed, we grew increasingly concerned with the potential for an economic slowdown. We are simultaneously wary of how far spreads have tightened. As such, we reduced exposure to sectors that we believe are exhibiting poor fundamentals, particularly those that we believe will look to engage in merger and acquisition (M&A) activity. We increased emphasis on non-cyclical names with the ability to generate sustainable free cash flow even in an economic downturn. While we added back duration year to date, our U.S. Treasuries exposure remains relatively low, in the context of our historical range. Our belief that the pace of inflation would slow led us to close our position in Treasury Inflation-Protected Securities (TIPS) early in the period. Duration in the fixed income portion, at June 30, 2017, was 103% of that of the fixed income benchmark.(1)

Outperformance in the fixed income portion was driven by our investment-grade corporate credit exposure. Our overweight allocation benefited results as spreads tightened, and our security selection was particularly strong. Our emphasis on owning securities in the lowest tier of investment-grade ratings also aided relative results, as “riskier” assets performed well during the period. For similar reasons, an out-of-index allocation to high yield contributed positively to performance. However, with long-term rates rallying, our limited exposure to long duration corporate bonds partially offset these gains. Our continued focus on securities that provide

 

 

  100   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

greater spread carry than the index further supported results. Carry is a measure of excess income generated by the Portfolio’s holdings.(1)

On a credit sector basis, relative contributors included banking and brokerage, asset managers and exchanges. Financials generally benefited from the prospect of a more relaxed regulatory environment under the Trump administration and rising interest rates, which help pad net interest income. Our overweight allocations in both sectors proved beneficial. Within banking, security selection further aided outperformance, largely due to preferred exposure and bank hybrids, which behave akin to high-yield corporate credit.(1)

Two financial related issuers, Neuberger Berman Group LLC / Neuberger Berman Finance Corp. (“Neuberger Berman”) and Raymond James Financial, Inc. (“Raymond James”), were among the top individual corporate credit contributors on a relative basis. Neuberger Berman benefited from solid first quarter earnings results and increased liquidity in the name after the company issued a bond in the first quarter. Although we continue to like the company’s conservative management team and its commitment to reducing leverage, our target valuation was realized and we trimmed our position. In regards to Raymond James, we like the stability of the company’s business model and appreciate the management team’s conservative approach to the balance sheet. S&P upgraded the company’s credit rating during the period and the asset manager is under review for an upgrade at Moody’s.(1)

Information Technology also aided performance. Global growth and the anticipation of greater capital investment lifted the sector for much of the period. Additionally, spread compression across a number of our overweight positions, including Seagate HDD Cayman (“Seagate”), supported relative results. Seagate has reported stronger more stable results over the past few quarters amid robust storage demand for personal computers and enterprise infrastructure.(1)

Relative detractors included our positioning in electric utilities and independent energy. Electric utilities weighed on results largely due to our yield curve positioning. Our shorter dated exposure in the sector did not benefit from the decline in long-term rates. We actively reduced our exposure to independent energy over the period, but our overweight allocation was impacted by the volatility in the price of crude oil. No individual corporate issuer materially detracted from relative performance.(1)

On an asset class basis, our positioning in U.S. Treasury obligations was a strong relative contributor, primarily due to yield curve positioning. Our overweight allocation in the long bond proved beneficial as long-term rates declined. Government related debt, which includes government agency debt as well as debt issued by state-owned firms, detracted. This was due to our significant underweight allocation in the asset class. We did not own securities of certain Mexico-domiciled issuers that performed well over the period.(1)

Q. How did the Risk Management Component impact the Portfolio’s performance during the period?

A. The Portfolio’s Risk Management Component, sub-advised by AnchorPath Financial LLC, is a sleeve of derivatives and cash equivalents that seeks to enhance the risk-adjusted return of the Portfolio. Under normal circumstances, the Risk Management Component will represent approximately 20% of the Portfolio. Over the period, this allocation ranged between 18.4% and 20.3%(1)

The Portfolio’s performance is enhanced on a risk-adjusted basis when the aggregate Portfolio achieves lower volatility with similar returns, or higher returns at similar volatility than the Balanced Component alone. Over the period, which was a low volatility environment, as compared to the Balanced Component, the Portfolio’s realized volatility was slightly higher by 0.1%. The aggregate Portfolio also produced a slightly lower period return than the Balanced Component over the period, by 0.39%. Due to the similar volatility and lower return achieved, the risk-adjusted return of the Risk Managed Balanced Portfolio was not enhanced during this period, as compared to the Balanced Component. The slight under-performance produced by the Risk Management Component was attributable to losses on index-based options resulting from the time decay of premium value and to declines in market implied volatility, which was significantly offset by gains on Treasury future positions.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The Boeing Co. led contributors during the period. Global air traffic continues to grow, which results in more wear and tear on jets and faster replacement of planes – providing a favorable backdrop for the company’s commercial airline business. Additionally, the debut of its 737 MAX narrow-body aircraft was well received by investors. Positive tailwinds for the defense sector, which accounts for roughly 30% to 40% of Boeing’s business, also boosted the stock during the period. We like Boeing’s ability to generate free cash flow, which its management often returns to shareholders. We also appreciate the recent dividend increase.(1)

CSX Corp. was another large contributor to performance. Positive sentiment surrounded the railroad company’s successively improving operations efficiency metrics. We anticipate that recently appointed CEO Hunter Harrison will continue to implement operational changes and further improve upon efficiency gains at an accelerated pace. Overall rail volume remains generally positive, and we believe industry fundamentals provide a favorable backdrop for revenues. As CSX Corp. focuses on improving its service and reliability to customers, we also believe it will continue to drive more shippers to use the railway instead of trucking services.(1)

Software company Adobe Systems, Inc. also contributed to performance. Our investment thesis was validated as the company’s shift from a licensed-software model to a recurring revenue, subscription-based model continued to accelerate. We appreciate the higher predictability of earnings and cash flow associated with the new approach. Additionally, Omniture, the company’s online marketing tool, had better-than-expected growth during the period.(1)

Synchrony Financial was the largest detractor. The stock of this private label credit card issuer fell amid general weakness in retail during the period and heightened loss provisions. Given Synchrony’s strong recent growth, increased loss provisions were widely expected, but the reported increase exceeded expectations and hurt credibility among investors. We trimmed our position during the period, but we continue to believe that the company provides a valuable service to retailers.(1)

The Kroger Co. was another top detractor. To help offset competitive threats and new entrants in certain markets, the grocer had aggressively lowered prices. This change, combined with the fact that the national grocery-store chain had a larger-than-expected LIFO charge as food price deflation turned to inflation during the

 

 

  101   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

quarter, ultimately lowered the company’s earnings guidance. Late in the period, Amazon.com Inc.’s announced acquisition of Whole Foods Market, Inc. sent supermarkets’ stocks down across the board. We believe the capital investments that The Kroger Co. is making in new and existing stores, as well as in its supply chain, will eventually lead to higher free cash flow per share. However, we are concerned about the increased competition from a number of players and are closely monitoring the stock.(1)

Mattel, Inc. also weighed on performance. Early in the year, the toy company named former Google executive Margaret Georgiadis as the new CEO. The stock was negatively impacted by a series of decisions made by new management, including reducing the dividend, increasing investment in technology and lowering revenue guidance for 2017. While these decisions hurt the stock price in the short term, we believe the company’s management is taking the right steps to improve the business over the long-term. We also like Mattel, Inc.’s brand lineup, which leaves the company well-positioned in a healthy industry.(1)

Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?

A. The Risk Management Component contributed 1.3% to the absolute return of the aggregate Portfolio during the period, primarily based on the use of derivative instruments. U.S. Treasury futures added roughly 1% to the aggregate absolute Portfolio return, due to the decline in 10-Year Treasury rates during the period. Purchased index options detracted 0.3% in absolute return due to time decay in premium value and lower volatility during the period. Finally, equity futures added 0.6% during the period, correlating with the rising value of the S&P 500 Index.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

Change in Value of $10,000 Investment

 

LOGO

The S&P 500 index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index includes the effects of reinvested dividends.

The Bloomberg Barclays U.S. Aggregate Bond Index measures returns of U.S. investment grade bonds market, which includes investment grade U.S. Government bonds, high quality corporate bonds, mortgage pass-through securities, and asset-backed securities publicly offered for sale in the U.S. The index’s securities must have at least one year remaining to maturity; they must also be denominated in U.S. dollars and must be fixed rate, nonconvertible, and taxable.

 

 

  102   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Common Stocks (4)

    50.3  

Corporate Bonds (4)

    13.7  

Preferred Securities (4)

    0.5  

Master Limited Partnerships (4)

    0.6  

Asset-Backed / Mortgage-Backed Securities (4)

    2.0  

U.S. Treasury Obligations

    6.6  

U.S. Government Agency Mortgage-Backed Securities

    6.8  

Purchased Options

    6.0  

Money Market Funds
and Other Net Assets

    13.5  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1. Microsoft Corp.

     2.7  

  2. Boeing Co. / The

     2.5  

  3. MasterCard, Inc. Class A

     2.2  

  4. Altria Group, Inc.

     2.0  

  5. Alphabet, Inc. Class C

     1.8  

  6. CME Group, Inc.

     1.5  

  7. Amgen, Inc.

     1.5  

  8. Adobe Systems, Inc.

     1.4  

  9. Apple, Inc.

     1.4  

10. Honeywell International, 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)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

(4)  Sectors (Common Stocks, Corporate Bonds, Preferred Securities, Master Limited Partnerships, Asset-Backed / Mortgage-Backed Securities):

 

     % of Net Assets  

Information Technology

     13.2  

Consumer Discretionary

     11.2  

Financials

     10.1  

Health Care

     8.4  

Industrials

     8.1  

Consumer Staples

     7.4  

Real Estate

     3.1  

Materials

     2.5  

Energy

     2.2  

Utilities

     0.5  

Telecommunication Services

     0.4  
  

 

 

 
     67.1  
  

 

 

 

 

  103  


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks – 50.3%        Shares     Value  
CONSUMER DISCRETIONARY – 9.1%                

General Motors Co. (Automobiles)

      80,919     $     2,826,501  

McDonald’s Corp. (Hotels, Restaurants & Leisure)

      10,757       1,647,542  

Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure)

  (a)     20,462       1,110,882  

Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure)

      17,541       1,045,619  

Starbucks Corp. (Hotels, Restaurants & Leisure)

      37,742       2,200,736  

Priceline Group, Inc. / The (Internet & Direct Marketing Retail)

  (a)     2,351       4,397,593  

Hasbro, Inc. (Leisure Products)

      14,590       1,626,931  

Mattel, Inc. (Leisure Products)

      42,758       920,580  

Comcast Corp. Class A (Media)

      113,530       4,418,588  

Madison Square Garden Co. / The (Media)

  (a)     3,507       690,528  

Time Warner, Inc. (Media)

      4,720       473,935  

Home Depot, Inc. / The (Specialty Retail)

      24,352       3,735,597  

NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods)

      74,130       4,373,670  
     

 

 

 
        29,468,702  
     

 

 

 
CONSUMER STAPLES – 5.8%                

Costco Wholesale Corp. (Food & Staples Retailing)

      24,973       3,993,932  

Kroger Co. / The (Food & Staples Retailing)

      66,167       1,543,014  

Sysco Corp. (Food & Staples Retailing)

      33,851       1,703,721  

Hershey Co. / The (Food Products)

      16,486       1,770,102  

Kimberly-Clark Corp. (Household Products)

      15,496       2,000,689  

Estee Lauder Cos., Inc. / The Class A (Personal Products)

      15,231       1,461,871  

Altria Group, Inc. (Tobacco)

      85,437       6,362,493  
     

 

 

 
        18,835,822  
     

 

 

 
ENERGY – 0.8%                

Suncor Energy, Inc. (Oil, Gas & Consumable Fuels)

      86,513       2,526,180  
     

 

 

 
FINANCIALS – 4.7%                

U.S. Bancorp (Banks)

      81,969       4,255,830  

CME Group, Inc. (Capital Markets)

      39,098       4,896,634  

Morgan Stanley (Capital Markets)

      5,785       257,780  

TD Ameritrade Holding Corp. (Capital Markets)

      62,363       2,680,985  

Synchrony Financial (Consumer Finance)

      82,647       2,464,534  

Progressive Corp. / The (Insurance)

      12,136       535,076  
     

 

 

 
        15,090,839  
     

 

 

 
HEALTH CARE – 6.9%                

AbbVie, Inc. (Biotechnology)

      25,044       1,815,940  

Amgen, Inc. (Biotechnology)

      28,127       4,844,313  

Abbott Laboratories (Health Care Equip. & Supplies)

      48,997       2,381,744  

Medtronic PLC (Health Care Equip. & Supplies)

      43,165       3,830,894  

Aetna, Inc. (Health Care Providers & Svs.)

      16,591       2,519,012  

Allergan PLC (Pharmaceuticals)

      14,369       3,492,960  

Bristol-Myers Squibb Co. (Pharmaceuticals)

      46,596       2,596,329  

Eli Lilly & Co. (Pharmaceuticals)

      9,625       792,137  
     

 

 

 
        22,273,329  
     

 

 

 
INDUSTRIALS – 7.3%                

Boeing Co. / The (Aerospace & Defense)

      40,391       7,987,320  

General Dynamics Corp. (Aerospace & Defense)

      12,659       2,507,748  

Northrop Grumman Corp. (Aerospace & Defense)

      11,554       2,966,027  

United Parcel Service, Inc. Class B (Air Freight & Logistics)

      15,601       1,725,315  

Honeywell International, Inc. (Industrial Conglomerates)

      33,428       4,455,618  

CSX Corp. (Road & Rail)

      71,800       3,917,408  
     

 

 

 
        23,559,436  
     

 

 

 
INFORMATION TECHNOLOGY – 12.0%                

Alphabet, Inc. Class C (Internet Software & Svs.)

  (a)     6,406       5,821,324  

Accenture PLC Class A (IT Svs.)

      17,855       2,208,306  

Automatic Data Processing, Inc. (IT Svs.)

      13,887       1,422,862  

MasterCard, Inc. Class A (IT Svs.)

      58,019       7,046,408  

Intel Corp. (Semiconductors & Equip.)

      80,962       2,731,658  

Lam Research Corp. (Semiconductors & Equip.)

      11,652       1,647,942  

Adobe Systems, Inc. (Software)

  (a)     32,858       4,647,436  

Microsoft Corp. (Software)

      125,559       8,654,782  

Apple, Inc. (Tech. Hardware, Storage & Periph.)

      30,948       4,457,131  
     

 

 

 
        38,637,849  
     

 

 

 

 

  104   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Common Stocks (Continued)                  Shares     Value  
MATERIALS – 1.5%                        

LyondellBasell Industries NV Class A (Chemicals)

          47,211     $ 3,984,136  

Vulcan Materials Co. (Construction Materials)

          6,300       798,084  
         

 

 

 
            4,782,220  
         

 

 

 
REAL ESTATE – 2.2%                        

Colony NorthStar, Inc. Class A (Equity Real Estate Investment Trusts)

          97,452       1,373,099  

Colony Starwood Homes (Equity Real Estate Investment Trusts)

          20,930       718,108  

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

          12,333       1,235,520  

MGM Growth Properties, LLC Class A (Equity Real Estate Investment Trusts)

          29,011       846,831  

Outfront Media, Inc. (Equity Real Estate Investment Trusts)

          40,183       929,031  

CBRE Group, Inc. (Real Estate Mgmt. & Development)

  (a)         56,640       2,061,696  
         

 

 

 
            7,164,285  
         

 

 

 

Total Common Stocks (Cost $140,453,698)

          $ 162,338,662  
         

 

 

 
Corporate Bonds – 13.7%        Rate   Maturity   Face Amount     Value  
CONSUMER DISCRETIONARY – 1.4%                        

Ford Motor Co. (Automobiles)

    4.346%   12/08/2026   $ 228,000     $     234,809  

General Motors Co. (Automobiles)

    4.875%   10/02/2023     187,000       200,376  

1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure)

  (b)   4.625%   01/15/2022     320,000       328,000  

1011778 B.C. ULC / New Red Finance Inc. (Hotels, Restaurants & Leisure)

  (b)   4.250%   05/15/2024     238,000       236,498  

Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. (Hotels, Restaurants & Leisure)

  (b)   4.625%   04/01/2025     420,000       433,125  

MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure)

    5.625%   05/01/2024     108,000       117,720  

Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure)

  (b)   5.250%   05/15/2027     97,000       99,364  

D.R. Horton, Inc. (Household Durables)

    3.750%   03/01/2019     231,000       236,314  

MDC Holdings, Inc. (Household Durables)

    5.500%   01/15/2024     53,000       56,047  

Newell Brands, Inc. (Household Durables)

    3.150%   04/01/2021     71,000       72,681  

Newell Brands, Inc. (Household Durables)

    3.850%   04/01/2023     81,000       85,034  

Newell Brands, Inc. (Household Durables)

    4.200%   04/01/2026     433,000       459,797  

Newell Brands, Inc. (Household Durables)

    5.000%   11/15/2023     98,000       104,864  

Toll Brothers Finance Corp. (Household Durables)

    5.875%   02/15/2022     133,000       147,298  

Toll Brothers Finance Corp. (Household Durables)

    4.375%   04/15/2023     63,000       65,174  

CCO Holdings, LLC / CCO Holdings Capital Corp. (Media)

    5.250%   03/15/2021     160,000       164,400  

CCO Holdings, LLC / CCO Holdings Capital Corp. (Media)

  (b)   5.125%   05/01/2027     438,000       447,855  

Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media)

    4.908%   07/23/2025     254,000       274,425  

Comcast Corp. (Media)

    3.400%   07/15/2046     25,000       22,801  

Comcast Corp. (Media)

    2.350%   01/15/2027     176,000       165,209  

Comcast Corp. (Media)

    3.300%   02/01/2027     107,000       108,326  

Cox Communications, Inc. (Media)

  (b)   3.350%   09/15/2026     257,000       252,386  

NBCUniversal Media, LLC (Media)

    4.450%   01/15/2043     47,000       49,967  

Time Warner, Inc. (Media)

    3.600%   07/15/2025     157,000       157,622  

UBM PLC (Media)

  (b)   5.750%   11/03/2020     100,000       105,264  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

    3.000%   07/15/2022     81,000       79,854  

Coach, Inc. (Textiles, Apparel & Luxury Goods)

    4.125%   07/15/2027     81,000       80,185  
         

 

 

 
            4,785,395  
         

 

 

 
CONSUMER STAPLES – 1.6%                        

Anheuser-Busch InBev Finance, Inc. (Beverages)

    2.650%   02/01/2021     91,000       92,212  

Anheuser-Busch InBev Finance, Inc. (Beverages)

    3.300%   02/01/2023     515,000       530,246  

Anheuser-Busch InBev Finance, Inc. (Beverages)

    3.650%   02/01/2026     687,000       707,863  

Constellation Brands, Inc. (Beverages)

    4.250%   05/01/2023     231,000       245,889  

Constellation Brands, Inc. (Beverages)

    4.750%   12/01/2025     28,000       30,672  

Constellation Brands, Inc. (Beverages)

    3.700%   12/06/2026     169,000       172,181  

Molson Coors Brewing Co. (Beverages)

    3.000%   07/15/2026     328,000       315,518  

Molson Coors Brewing Co. (Beverages)

    4.200%   07/15/2046     87,000       85,382  

CVS Health Corp. (Food & Staples Retailing)

    2.800%   07/20/2020     522,000       531,406  

CVS Health Corp. (Food & Staples Retailing)

    4.750%   12/01/2022     111,000       121,652  

CVS Health Corp. (Food & Staples Retailing)

    5.000%   12/01/2024     155,000       171,707  

Sysco Corp. (Food & Staples Retailing)

    2.500%   07/15/2021     67,000       67,176  

Sysco Corp. (Food & Staples Retailing)

    3.300%   07/15/2026     166,000       164,700  

Sysco Corp. (Food & Staples Retailing)

    3.250%   07/15/2027     91,000       89,528  

Walgreens Boots Alliance, Inc. (Food & Staples Retailing)

    3.450%   06/01/2026     191,000       190,616  

Walgreens Boots Alliance, Inc. (Food & Staples Retailing)

    4.650%   06/01/2046     31,000       32,493  

Danone S.A. (Food Products)

  (b)   2.077%   11/02/2021     447,000       440,936  

Wm. Wrigley Jr. Co. (Food Products)

  (b)   3.375%   10/21/2020     119,000       122,824  

Wm. Wrigley Jr. Co. (Food Products)

  (b)   2.400%   10/21/2018     447,000       450,028  

Reckitt Benckiser Treasury Services PLC (Household Products)

  (b)   2.375%   06/24/2022     200,000       198,671  

 

  105   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds(Continued)        Rate   Maturity   Face Amount     Value  
CONSUMER STAPLES (continued)                        

Reckitt Benckiser Treasury Services PLC (Household Products)

  (b)   2.750%   06/26/2024   $ 200,000     $     198,070  

Reckitt Benckiser Treasury Services PLC (Household Products)

  (b)   3.000%   06/26/2027     234,000       230,647  
         

 

 

 
            5,190,417  
         

 

 

 
ENERGY – 1.4%                        

Diamond Offshore Drilling, Inc. (Energy Equip. & Svs.)

    5.875%   05/01/2019     34,000       34,935  

Helmerich & Payne International Drilling Co. (Energy Equip. & Svs.)

    4.650%   03/15/2025     173,000       181,429  

Oceaneering International, Inc. (Energy Equip. & Svs.)

    4.650%   11/15/2024     225,000       221,913  

Antero Resources Corp. (Oil, Gas & Consumable Fuels)

    5.375%   11/01/2021     272,000       274,720  

Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels)

    5.900%   02/01/2018     78,000       79,792  

Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels)

    2.950%   01/15/2023     83,000       82,328  

Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels)

    5.700%   10/15/2019     6,000       6,332  

Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels)

    4.500%   06/01/2025     92,000       97,941  

ConocoPhillips Co. (Oil, Gas & Consumable Fuels)

    4.950%   03/15/2026     225,000       250,610  

Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels)

    5.875%   10/15/2025     144,000       164,286  

Energy Transfer Equity LP (Oil, Gas & Consumable Fuels)

    5.875%   01/15/2024     117,000       124,020  

Energy Transfer Equity LP (Oil, Gas & Consumable Fuels)

    5.500%   06/01/2027     225,000       232,875  

Energy Transfer Partners LP (Oil, Gas & Consumable Fuels)

    4.150%   10/01/2020     120,000       124,623  

Energy Transfer Partners LP (Oil, Gas & Consumable Fuels)

    4.750%   01/15/2026     63,000       65,546  

Hiland Partners Holdings, LLC / Hiland Partners Finance Corp. (Oil, Gas & Consumable Fuels)

  (b)   5.500%   05/15/2022     101,000       105,491  

Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels)

    5.000%   10/01/2021     280,000       300,696  

Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels)

    3.950%   09/01/2022     147,000       151,862  

Motiva Enterprises LLC (Oil, Gas & Consumable Fuels)

  (b)   5.750%   01/15/2020     159,000       170,149  

NuStar Logistics LP (Oil, Gas & Consumable Fuels)

    5.625%   04/28/2027     152,000       159,600  

Phillips 66 Partners LP (Oil, Gas & Consumable Fuels)

    3.605%   02/15/2025     112,000       110,918  

Regency Energy Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels)

    5.875%   03/01/2022     153,000       168,526  

Sabine Pass Liquefaction, LLC (Oil, Gas & Consumable Fuels)

    5.000%   03/15/2027     248,000       264,015  

SM Energy Co. (Oil, Gas & Consumable Fuels)

    6.500%   01/01/2023     13,000       12,382  

TC PipeLines LP (Oil, Gas & Consumable Fuels)

    3.900%   05/25/2027     172,000       171,641  

Tesoro Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels)

    5.250%   01/15/2025     64,000       67,200  

Western Gas Partners LP (Oil, Gas & Consumable Fuels)

    5.375%   06/01/2021     279,000       299,490  

Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels)

    3.700%   01/15/2023     68,000       66,980  

Williams Partners LP (Oil, Gas & Consumable Fuels)

    3.750%   06/15/2027     289,000       286,090  

Williams Partners LP / ACMP Finance Corp. (Oil, Gas & Consumable Fuels)

    4.875%   05/15/2023     168,000       174,320  

Williams Partners LP / ACMP Finance Corp. (Oil, Gas & Consumable Fuels)

    4.875%   03/15/2024     15,000       15,719  
         

 

 

 
                4,466,429  
         

 

 

 
FINANCIALS – 3.1%                        

Bank of America Corp. (Banks)

    2.503%   10/21/2022     525,000       518,225  

Bank of America Corp. (Banks)

    4.183%   11/25/2027     245,000       249,211  

Bank of America Corp. (Banks)

  (c)   4.244%   04/24/2038     350,000       364,381  

Citigroup, Inc. (Banks)

  (c)   QL + 143   09/01/2023     245,000       249,550  

Citigroup, Inc. (Banks)

  (c)   3.887%   01/10/2028     413,000       419,761  

Citizens Financial Group, Inc. (Banks)

    4.350%   08/01/2025     38,000       39,425  

Citizens Financial Group, Inc. (Banks)

    4.300%   12/03/2025     327,000       340,964  

Citizens Financial Group, Inc. (Banks)

    3.750%   07/01/2024     47,000       46,760  

JPMorgan Chase & Co. (Banks)

    2.295%   08/15/2021     319,000       317,113  

JPMorgan Chase & Co. (Banks)

    3.375%   05/01/2023     341,000       345,987  

JPMorgan Chase & Co. (Banks)

    3.875%   09/10/2024     86,000       88,737  

JPMorgan Chase & Co. (Banks)

  (c)   3.782%   02/01/2028     344,000       351,817  

Santander U.K. PLC (Banks)

  (b)   5.000%   11/07/2023     790,000       846,894  

SVB Financial Group (Banks)

    5.375%   09/15/2020     139,000       151,270  

U.S. Bancorp (Banks)

    2.375%   07/22/2026     258,000       243,172  

Wells Fargo & Co. (Banks)

    3.000%   04/22/2026     98,000       95,722  

Carlyle Holdings Finance LLC (Capital Markets)

  (b)   3.875%   02/01/2023     130,000       133,475  

CBOE Holdings, Inc. (Capital Markets)

    3.650%   01/12/2027     188,000       189,637  

Charles Schwab Corp. / The (Capital Markets)

    3.000%   03/10/2025     117,000       117,022  

E*TRADE Financial Corp. (Capital Markets)

    5.375%   11/15/2022     272,000       285,925  

E*TRADE Financial Corp. (Capital Markets)

    4.625%   09/15/2023     403,000       419,120  

Goldman Sachs Group, Inc. / The (Capital Markets)

    3.000%   04/26/2022     323,000       325,986  

Goldman Sachs Group, Inc. / The (Capital Markets)

  (c)   3.691%   06/05/2028     264,000       265,077  

Goldman Sachs Group, Inc. / The (Capital Markets)

    3.750%   02/25/2026     326,000       331,982  

Lazard Group LLC (Capital Markets)

    4.250%   11/14/2020     222,000       234,193  

Morgan Stanley (Capital Markets)

    2.625%   11/17/2021     361,000       360,431  

Morgan Stanley (Capital Markets)

    3.950%   04/23/2027     236,000       237,509  

Neuberger Berman Group LLC / Neuberger Berman Finance Corp. (Capital Markets)

  (b)   4.875%   04/15/2045     122,000       118,575  

Raymond James Financial, Inc. (Capital Markets)

    3.625%   09/15/2026     81,000       81,082  

Raymond James Financial, Inc. (Capital Markets)

    4.950%   07/15/2046     218,000       236,909  

Scottrade Financial Services, Inc. (Capital Markets)

  (b)   6.125%   07/11/2021     54,000       61,315  

 

  106   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds(Continued)        Rate   Maturity   Face Amount     Value  
FINANCIALS (continued)                        

TD Ameritrade Holding Corp. (Capital Markets)

    3.625%   04/01/2025   $ 82,000     $       84,855  

TD Ameritrade Holding Corp. (Capital Markets)

    2.950%   04/01/2022     146,000       149,385  

Ally Financial, Inc. (Consumer Finance)

    8.000%   12/31/2018     92,000       99,245  

Discover Financial Services (Consumer Finance)

    3.950%   11/06/2024     184,000       186,865  

Discover Financial Services (Consumer Finance)

    3.750%   03/04/2025     254,000       250,992  

General Motors Financial Co., Inc. (Consumer Finance)

    3.950%   04/13/2024     488,000       494,808  

Synchrony Financial (Consumer Finance)

    3.000%   08/15/2019     76,000       77,075  

Synchrony Financial (Consumer Finance)

    4.500%   07/23/2025     228,000       234,484  

Berkshire Hathaway, Inc. (Diversified Financial Svs.)

    3.125%   03/15/2026     44,000       44,499  

LeasePlan Corp. NV (Diversified Financial Svs.)

  (b)   2.500%   05/16/2018     352,000       352,945  
         

 

 

 
            10,042,380  
         

 

 

 
HEALTH CARE – 1.5%                        

Shire Acquisitions Investments Ireland DAC (Biotechnology)

    2.400%   09/23/2021     157,000       155,154  

Shire Acquisitions Investments Ireland DAC (Biotechnology)

    2.875%   09/23/2023     210,000       208,117  

Shire Acquisitions Investments Ireland DAC (Biotechnology)

    3.200%   09/23/2026     210,000       205,371  

Abbott Laboratories (Health Care Equip. & Supplies)

    3.750%   11/30/2026     61,000       62,276  

Abbott Laboratories (Health Care Equip. & Supplies)

    3.875%   09/15/2025     38,000       39,088  

Becton Dickinson and Co. (Health Care Equip. & Supplies)

    2.894%   06/06/2022     123,000       123,153  

Becton Dickinson and Co. (Health Care Equip. & Supplies)

    3.363%   06/06/2024     274,000       274,530  

Becton Dickinson and Co. (Health Care Equip. & Supplies)

    3.700%   06/06/2027     194,000       194,304  

Becton Dickinson and Co. (Health Care Equip. & Supplies)

    4.669%   06/06/2047     64,000       65,922  

Aetna, Inc. (Health Care Providers & Svs.)

    2.800%   06/15/2023     117,000       116,781  

Cardinal Health, Inc. (Health Care Providers & Svs.)

    2.616%   06/15/2022     126,000       126,102  

Cardinal Health, Inc. (Health Care Providers & Svs.)

    3.079%   06/15/2024     82,000       82,176  

Cardinal Health, Inc. (Health Care Providers & Svs.)

    3.410%   06/15/2027     162,000       161,308  

Centene Corp. (Health Care Providers & Svs.)

    4.750%   05/15/2022     14,000       14,613  

Centene Corp. (Health Care Providers & Svs.)

    6.125%   02/15/2024     34,000       36,760  

Centene Corp. (Health Care Providers & Svs.)

    4.750%   01/15/2025     40,000       41,100  

Cigna Corp. (Health Care Providers & Svs.)

    3.250%   04/15/2025     460,000       461,834  

Express Scripts Holding Co. (Health Care Providers & Svs.)

    3.500%   06/15/2024     86,000       86,729  

Express Scripts Holding Co. (Health Care Providers & Svs.)

    4.500%   02/25/2026     219,000       232,120  

Express Scripts Holding Co. (Health Care Providers & Svs.)

    3.400%   03/01/2027     102,000       98,453  

HCA, Inc. (Health Care Providers & Svs.)

    3.750%   03/15/2019     166,000       169,320  

HCA, Inc. (Health Care Providers & Svs.)

    5.000%   03/15/2024     71,000       75,171  

HCA, Inc. (Health Care Providers & Svs.)

    5.375%   02/01/2025     64,000       67,507  

HCA, Inc. (Health Care Providers & Svs.)

    5.875%   02/15/2026     125,000       135,000  

HCA, Inc. (Health Care Providers & Svs.)

    5.875%   05/01/2023     59,000       64,236  

Tenet Healthcare Corp. (Health Care Providers & Svs.)

  (b)   4.625%   07/15/2024     71,000       71,089  

THC Escrow Corp. III (Health Care Providers & Svs.)

  (b)   4.625%   07/15/2024     88,000       88,238  

Universal Health Services, Inc. (Health Care Providers & Svs.)

  (b)   4.750%   08/01/2022     159,000       164,366  

WellCare Health Plans, Inc. (Health Care Providers & Svs.)

    5.250%   04/01/2025     156,000       163,410  

Life Technologies Corp. (Life Sciences Tools & Svs.)

    6.000%   03/01/2020     180,000       196,159  

Allergan Funding SCS (Pharmaceuticals)

    3.000%   03/12/2020     471,000       481,264  

Teva Pharmaceutical Finance Netherlands III B.V. (Pharmaceuticals)

    3.150%   10/01/2026     248,000       235,545  
         

 

 

 
            4,697,196  
         

 

 

 
INDUSTRIALS – 0.7%                        

Arconic, Inc. (Aerospace & Defense)

    5.125%   10/01/2024     31,000       32,163  

Rockwell Collins, Inc. (Aerospace & Defense)

    3.200%   03/15/2024     105,000       106,407  

Rockwell Collins, Inc. (Aerospace & Defense)

    3.500%   03/15/2027     180,000       182,546  

FedEx Corp. (Air Freight & Logistics)

    3.900%   02/01/2035     22,000       21,861  

FedEx Corp. (Air Freight & Logistics)

    4.400%   01/15/2047     9,000       9,270  

Masco Corp. (Building Products)

    3.500%   04/01/2021     127,000       130,496  

Masco Corp. (Building Products)

    4.375%   04/01/2026     22,000       23,467  

Owens Corning (Building Products)

    4.200%   12/01/2024     141,000       147,652  

Owens Corning (Building Products)

    3.400%   08/15/2026     58,000       57,142  

Cintas Corp. No. 2 (Commercial Svs. & Supplies)

    4.300%   06/01/2021     45,000       47,946  

CNH Industrial Capital LLC (Machinery)

    3.625%   04/15/2018     174,000       175,531  

IHS Markit Ltd. (Professional Svs.)

  (b)   5.000%   11/01/2022     24,000       25,905  

IHS Markit Ltd. (Professional Svs.)

  (b)   4.750%   02/15/2025     90,000       96,638  

Verisk Analytics, Inc. (Professional Svs.)

    5.800%   05/01/2021     211,000       234,581  

Verisk Analytics, Inc. (Professional Svs.)

    4.875%   01/15/2019     76,000       79,141  

Verisk Analytics, Inc. (Professional Svs.)

    4.125%   09/12/2022     184,000       193,882  

Verisk Analytics, Inc. (Professional Svs.)

    5.500%   06/15/2045     222,000       246,963  

Penske Truck Leasing Co. LP / PTL Finance Corp. (Road & Rail)

  (b)   3.375%   03/15/2018     228,000       230,576  

Penske Truck Leasing Co. LP / PTL Finance Corp. (Road & Rail)

  (b)   2.500%   06/15/2019     59,000       59,302  

Park Aerospace Holdings Ltd. (Trading Companies & Distributors)

  (b)   5.250%   08/15/2022     77,000       80,490  

Park Aerospace Holdings Ltd. (Trading Companies & Distributors)

  (b)   5.500%   02/15/2024     200,000       208,900  
         

 

 

 
                2,390,859  
         

 

 

 

 

  107   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity    Face Amount      Value  
INFORMATION TECHNOLOGY – 1.2%                              

Trimble Navigation Ltd. (Electronic Equip., Instr. & Comp.)

       4.750%      12/01/2024    $ 249,000      $ 265,906  

Fidelity National Information Services, Inc. (IT Svs.)

       3.625%      10/15/2020      145,000        151,881  

Fidelity National Information Services, Inc. (IT Svs.)

       4.500%      10/15/2022      179,000        194,474  

Fidelity National Information Services, Inc. (IT Svs.)

       3.000%      08/15/2026      224,000        216,925  

First Data Corp. (IT Svs.)

  (b)      7.000%      12/01/2023      191,000        203,893  

Total System Services, Inc. (IT Svs.)

       4.800%      04/01/2026      451,000        490,980  

Total System Services, Inc. (IT Svs.)

       3.800%      04/01/2021      124,000        129,119  

Broadcom Corp. / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.)

  (b)      3.625%      01/15/2024      173,000        176,936  

Broadcom Corp. / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.)

  (b)      3.875%      01/15/2027      444,000        455,991  

NXP BV / NXP Funding LLC (Semiconductors & Equip.)

  (b)      4.125%      06/01/2021      242,000        254,826  

NXP BV / NXP Funding LLC (Semiconductors & Equip.)

  (b)      3.875%      09/01/2022      269,000        280,096  

TSMC Global Ltd. (Semiconductors & Equip.)

  (b)      1.625%      04/03/2018      440,000        439,119  

Cadence Design Systems, Inc. (Software)

       4.375%      10/15/2024      224,000        232,693  

Seagate HDD Cayman (Tech. Hardware, Storage & Periph.)

       4.750%      01/01/2025      310,000        311,507  

Seagate HDD Cayman (Tech. Hardware, Storage & Periph.)

       5.750%      12/01/2034      64,000        64,154  

Seagate HDD Cayman (Tech. Hardware, Storage & Periph.)

       4.875%      06/01/2027      22,000        21,973  
             

 

 

 
                3,890,473  
             

 

 

 
MATERIALS – 1.0%                              

CF Industries, Inc. (Chemicals)

       6.875%      05/01/2018      465,000        483,019  

CF Industries, Inc. (Chemicals)

  (b)      4.500%      12/01/2026      232,000        238,556  

PPL Capital Funding, Inc. (Chemicals)

       3.100%      05/15/2026      266,000        260,358  

Sherwin-Williams Co. / The (Chemicals)

       2.750%      06/01/2022      72,000        71,949  

Sherwin-Williams Co. / The (Chemicals)

       3.125%      06/01/2024      46,000        46,221  

Sherwin-Williams Co. / The (Chemicals)

       3.450%      06/01/2027      131,000        131,933  

Sherwin-Williams Co. / The (Chemicals)

       4.500%      06/01/2047      61,000        64,011  

Eagle Materials, Inc. (Construction Materials)

       4.500%      08/01/2026      18,000        18,405  

Martin Marietta Materials, Inc. (Construction Materials)

       4.250%      07/02/2024      95,000        99,705  

Vulcan Materials Co. (Construction Materials)

       7.000%      06/15/2018      139,000        145,548  

Vulcan Materials Co. (Construction Materials)

       7.500%      06/15/2021      91,000        107,386  

Vulcan Materials Co. (Construction Materials)

       4.500%      04/01/2025      223,000        238,160  

Ball Corp. (Containers & Packaging)

       4.375%      12/15/2020      172,000        180,600  

Anglo American Capital PLC (Metals & Mining)

  (b)      4.750%      04/10/2027      200,000        205,460  

FMG Resources August 2006 Pty. Ltd. (Metals & Mining)

  (b)      4.750%      05/15/2022      147,000        147,551  

FMG Resources August 2006 Pty. Ltd. (Metals & Mining)

  (b)      5.125%      05/15/2024      49,000        49,000  

Freeport-McMoRan, Inc. (Metals & Mining)

       3.100%      03/15/2020      70,000        68,512  

Reliance Steel & Aluminum Co. (Metals & Mining)

       4.500%      04/15/2023      116,000        122,518  

Steel Dynamics, Inc. (Metals & Mining)

       5.000%      12/15/2026      19,000        19,499  

Teck Resources Ltd. (Metals & Mining)

  (b)      8.500%      06/01/2024      175,000        202,125  

Georgia-Pacific LLC (Paper & Forest Products)

  (b)      3.163%      11/15/2021      99,000        101,090  

Georgia-Pacific LLC (Paper & Forest Products)

  (b)      3.600%      03/01/2025      372,000        383,577  
             

 

 

 
                3,385,183  
             

 

 

 
REAL ESTATE – 0.9%                              

Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts)

       4.600%      04/01/2022      257,000        274,608  

Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts)

       2.750%      01/15/2020      140,000        140,952  

Alexandria Real Estate Equities, Inc. (Equity Real Estate Investment Trusts)

       4.500%      07/30/2029      190,000        201,426  

American Tower Corp. (Equity Real Estate Investment Trusts)

       3.500%      01/31/2023      45,000        46,145  

American Tower Corp. (Equity Real Estate Investment Trusts)

       3.450%      09/15/2021      24,000        24,747  

American Tower Corp. (Equity Real Estate Investment Trusts)

       3.300%      02/15/2021      249,000        255,484  

American Tower Corp. (Equity Real Estate Investment Trusts)

       4.400%      02/15/2026      155,000        162,496  

American Tower Corp. (Equity Real Estate Investment Trusts)

       3.375%      10/15/2026      293,000        286,699  

Crown Castle International Corp. (Equity Real Estate Investment Trusts)

       5.250%      01/15/2023      205,000        227,694  

Post Apartment Homes LP (Equity Real Estate Investment Trusts)

       4.750%      10/15/2017      46,000        46,041  

Senior Housing Properties Trust (Equity Real Estate Investment Trusts)

       6.750%      12/15/2021      61,000        68,030  

SL Green Realty Corp. (Equity Real Estate Investment Trusts)

       7.750%      03/15/2020      237,000        265,346  

SL Green Realty Corp. (Equity Real Estate Investment Trusts)

       5.000%      08/15/2018      85,000        87,240  

Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development)

       4.400%      11/15/2022      197,000        207,411  

Kennedy-Wilson, Inc. (Real Estate Mgmt. & Development)

       5.875%      04/01/2024      554,000        571,312  
             

 

 

 
                2,865,631  
             

 

 

 
TELECOMMUNICATION SERVICES – 0.4%                              

AT&T, Inc. (Diversified Telecom. Svs.)

       3.400%      05/15/2025      39,000        38,344  

AT&T, Inc. (Diversified Telecom. Svs.)

       4.250%      03/01/2027      183,000        189,201  

AT&T, Inc. (Diversified Telecom. Svs.)

       5.250%      03/01/2037      239,000        254,900  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

       4.125%      08/15/2046      103,000        91,800  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

       2.625%      08/15/2026      508,000        468,439  

Verizon Communications, Inc. (Diversified Telecom. Svs.)

  (b)      2.946%      03/15/2022      87,000        87,595  
             

 

 

 
                    1,130,279  
             

 

 

 

 

  108   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Corporate Bonds (Continued)         Rate      Maturity    Face Amount      Value  
UTILITIES – 0.5%                              

Duke Energy Corp. (Electric Utilities)

       1.800%      09/01/2021    $   90,000      $ 87,847  

Duke Energy Corp. (Electric Utilities)

       2.650%      09/01/2026      134,000        127,278  

IPALCO Enterprises, Inc. (Electric Utilities)

       5.000%      05/01/2018      121,000        122,966  

PPL WEM Holdings Ltd. (Electric Utilities)

  (b)      5.375%      05/01/2021      203,000        219,032  

Southern Co. / The (Electric Utilities)

       2.350%      07/01/2021      365,000        362,306  

Southern Co. / The (Electric Utilities)

       2.950%      07/01/2023      192,000        190,743  

Southern Co. / The (Electric Utilities)

       3.250%      07/01/2026      365,000        357,102  

Dominion Energy, Inc. (Multi-Utilities)

       2.000%      08/15/2021      27,000        26,479  

Dominion Energy, Inc. (Multi-Utilities)

       2.850%      08/15/2026      44,000        41,948  
             

 

 

 
                1,535,701  
             

 

 

 

Total Corporate Bonds (Cost $43,924,808)

              $     44,379,943  
             

 

 

 
Preferred Securities – 0.5%                 Rate    Quantity      Value  
FINANCIALS – 0.4%                              

Citigroup Capital XIII (Banks)

  (c)       QL + 637      1,316      $ 34,190  

Wells Fargo & Co. DR (Banks)

  (c)       5.875%      165,000        181,825  

Charles Schwab Corp. Series A / The (Capital Markets)

  (c)       7.000%      225,000        259,312  

Charles Schwab Corp. Series E / The DR (Capital Markets)

  (c)       4.625%      38,000        38,807  

E*TRADE Financial Corp. (Capital Markets)

  (c)       5.875%      37,000        39,220  

Goldman Sachs Capital I (Capital Markets)

        6.345%      458,000        565,027  

Morgan Stanley DR (Capital Markets)

  (c)       6.875%      1,528        44,755  

Discover Financial Services (Consumer Finance)

        6.500%      9,502        244,962  
             

 

 

 
                1,408,098  
             

 

 

 
INDUSTRIALS – 0.1%                              

General Electric Co. (Industrial Conglomerates)

  (c)       5.000%      318,000        337,525  

General Electric Co. (Industrial Conglomerates)

        4.700%      404        10,306  
             

 

 

 
                347,831  
             

 

 

 

Total Preferred Securities (Cost $1,702,444)

              $ 1,755,929  
             

 

 

 
Master Limited Partnerships – 0.6%                       Shares      Value  
FINANCIALS – 0.6%                              

Blackstone Group LP / The (Capital Markets)

             55,119      $ 1,838,219  
             

 

 

 

Total Master Limited Partnerships (Cost $1,566,398)

              $ 1,838,219  
             

 

 

 
Asset-Backed / Mortgage-Backed Securities – 2.0%         Rate      Maturity    Face Amount      Value  
CONSUMER DISCRETIONARY – 0.7%                              

Applebee’s Funding LLC / IHOP Funding LLC 2014-1 A2

  (b)      4.277%      09/05/2044    $ 7,000      $ 6,890  

CKE Restaurant Holdings, Inc. 2013-1A A2

  (b)      4.474%      03/20/2043      845,425        843,738  

Coinstar Funding LLC Series 2017-1 A2

  (b)      5.216%      04/25/2047      199,000        202,175  

Cosmopolitan Hotel Trust 2016-COSMO B

  (b)      3.259%      11/15/2033      42,000        42,316  

Cosmopolitan Hotel Trust 2016-COSMO D

  (b)      4.659%      11/15/2033      56,000        56,698  

Cosmopolitan Hotel Trust 2016-COSMO E

  (b)      5.809%      11/15/2033      82,000        83,309  

Domino’s Pizza Master Issuer LLC 2012-1A A2

  (b)      5.216%      01/25/2042      164,712        164,791  

Domino’s Pizza Master Issuer LLC 2015-1A A2I

  (b)      3.484%      10/25/2045      122,450        123,666  

Domino’s Pizza Master Issuer LLC 2017-1A A2II

  (b)      3.082%      07/25/2047      50,000        49,758  

Domino’s Pizza Master Issuer LLC 2017-1A A23

  (b)      4.118%      07/25/2047      210,000        209,869  

Jimmy Johns Funding LLC 2017-1A A2II

  (b)      4.846%      07/30/2047      158,000        158,000  

Taco Bell Funding, LLC 2016-1A A2I

  (b)      3.832%      05/25/2046      132,003        134,948  

Wendys Funding LLC 2015-1A A2I

  (b)      3.371%      06/15/2045      168,990        170,440  
             

 

 

 
                2,246,598  
             

 

 

 
FINANCIALS – 1.3%                              

American Tower Trust I 13 1A

  (b)      1.551%      03/15/2018      83,000        82,832  

AmeriCredit Automobile Receivables Trust 2016-1 D

       3.590%      02/08/2022      81,000        82,711  

AmeriCredit Automobile Receivables Trust 2015-2 D

       3.000%      06/08/2021      20,000        20,194  

AmeriCredit Automobile Receivables Trust 2015-3 D

       3.340%      08/08/2021      383,000        388,388  

AmeriCredit Automobile Receivables Trust 2016-2 D

       3.650%      05/09/2022      63,000        64,346  

BAMLL Commercial Mortgage Securities Trust 2014-FL1

  (b)      6.659%      12/15/2031      200,000        189,975  

Banc of America Commercial Mortgage Trust 2007-3 AJ

       5.874%      06/10/2049      139,774        140,488  

GCCFC Commercial Mortgage Trust 2007-GG11 AM

       5.867%      12/10/2049      25,000        25,067  

Fannie Mae Connecticut Avenue Securities 2014-C04 1M2

       6.116%      11/25/2024      436,541        498,881  

Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN1 M3

       5.716%      02/25/2024      315,000        367,796  

GS Mortgage Securities Trust 2014-GSFL E

  (b)      7.109%      07/15/2031      100,000        100,055  

GSCCRE Commercial Mortgage Trust 2015-HULA E

  (b)      5.527%      08/15/2032      133,000        133,664  

J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI C

  (b)      3.554%      10/05/2031      26,000        26,548  

 

  109   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Asset-Backed / Mortgage-Backed Securities (Continued)         Rate      Maturity    Face Amount      Value  
FINANCIALS (continued)                              

J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI D

  (b)      4.143%      10/05/2031    $   40,000      $     40,663  

J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 E

  (b)      5.724%      11/15/2043      100,000        102,422  

J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-SGP B

  (b)      3.909%      07/15/2036      150,000        150,935  

J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-SGP D

  (b)      5.659%      07/15/2036      100,000        100,997  

J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-UES E

  (b)      3.742%      09/05/2032      44,000        43,704  

LB-UBS Commercial Mortgage Trust 2006-C1 AJ

       5.276%      02/15/2041      133,325        133,382  

LB-UBS Commercial Mortgage Trust 2007-C7 AJ

       6.500%      09/15/2045      43,782        44,293  

LB-UBS Commercial Mortgage Trust 2008-C1 AM

       6.296%      04/15/2041      249,000        246,775  

OSCAR US Funding Trust V 2016-2A A3

  (b)      2.730%      12/15/2020      40,000        40,028  

OSCAR US Funding Trust V 2016-2A A4

  (b)      2.990%      12/15/2023      40,000        39,848  

Palisades Center Trust 2016-PLSD D

  (b)      4.737%      04/13/2033      38,000        38,300  

Santander Drive Auto Receivables Trust 2015-1 D

       3.240%      04/15/2021      341,000        345,699  

Santander Drive Auto Receivables Trust 2015-4 D

       3.530%      08/16/2021      53,000        54,057  

Wachovia Bank Commercial Mortgage Trust Series 2007-C30 AJ

       5.413%      12/15/2043      88,220        89,349  

Wachovia Bank Commercial Mortgage Trust Series 2007-C31 AJ

       5.660%      04/15/2047      94,443        96,437  

Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AJ

       6.174%      02/15/2051      103,940        105,794  

Wachovia Bank Commercial Mortgage Trust Series 2007-C34 AJ

       6.271%      05/15/2046      33,843        33,867  

Wells Fargo Commercial Mortgage Trust 2014-TISH WTS1

  (b)      3.409%      02/15/2027      212,000        217,436  
             

 

 

 
                4,044,931  
             

 

 

 

Total Asset-Backed / Mortgage-Backed Securities (Cost $6,286,621)

              $ 6,291,529  
             

 

 

 
U.S. Treasury Obligations – 6.6%         Rate      Maturity    Face Amount      Value  

U.S. Treasury Note

       1.250%      04/30/2019    $ 78,000      $ 77,811  

U.S. Treasury Note

       1.250%      05/31/2019      1,948,000        1,943,358  

U.S. Treasury Note

       1.000%      11/15/2019      1,189,000        1,176,460  

U.S. Treasury Note

       1.500%      04/15/2020      14,000        13,990  

U.S. Treasury Note

       1.500%      05/15/2020      74,000        73,913  

U.S. Treasury Note

       1.500%      06/15/2020      85,000        84,874  

U.S. Treasury Note

       1.250%      10/31/2021      1,207,000        1,178,806  

U.S. Treasury Note

       1.875%      02/28/2022      293,000        293,321  

U.S. Treasury Note

       1.875%      03/31/2022      178,000        178,097  

U.S. Treasury Note

       1.750%      05/31/2022      3,153,000        3,134,155  

U.S. Treasury Note

       2.000%      05/31/2024      1,103,000        1,093,823  

U.S. Treasury Note

  (f)      2.250%      11/15/2024      1,865,000        1,874,907  

U.S. Treasury Note

       2.000%      02/15/2025      81,000        79,870  

U.S. Treasury Note

       2.000%      11/15/2026      1,349,000        1,315,538  

U.S. Treasury Note

       2.250%      02/15/2027      2,136,000        2,126,488  

U.S. Treasury Note

       2.375%      05/15/2027      1,162,000        1,169,489  

U.S. Treasury Note

       2.250%      08/15/2046      1,993,000        1,757,888  

U.S. Treasury Note

       2.875%      11/15/2046      2,931,000        2,952,182  

U.S. Treasury Note

       3.000%      02/15/2047      898,000        927,956  
             

 

 

 

Total U.S. Treasury Obligations (Cost $21,346,868)

              $   21,452,926  
             

 

 

 
U.S. Government Agency Mortgage-Backed Securities – 6.8%         Rate      Maturity    Face Amount      Value  

Fannie Mae Pool

       4.000%      09/01/2029    $ 198,379      $ 210,359  

Fannie Mae Pool

       3.500%      05/01/2033      314,042        326,625  

Fannie Mae Pool

       4.000%      04/01/2034      19,040        20,200  

Fannie Mae Pool

       5.500%      04/01/2040      191,442        212,808  

Fannie Mae Pool

       4.500%      01/01/2041      82,072        89,633  

Fannie Mae Pool

       5.500%      05/01/2041      4,897        5,452  

Fannie Mae Pool

       5.500%      06/01/2041      27,403        30,846  

Fannie Mae Pool

       5.500%      07/01/2041      26,658        29,605  

Fannie Mae Pool

       4.500%      11/01/2041      241,976        264,170  

Fannie Mae Pool

       5.500%      02/01/2042      110,994        123,504  

Fannie Mae Pool

       4.000%      06/01/2042      13,265        14,063  

Fannie Mae Pool

       4.000%      07/01/2042      93,618        99,231  

Fannie Mae Pool

       4.500%      08/01/2042      376,534        410,372  

Fannie Mae Pool

       4.000%      08/01/2042      5,782        6,128  

Fannie Mae Pool

       4.000%      09/01/2042      7,153        7,581  

Fannie Mae Pool

       4.500%      11/01/2042      28,801        31,260  

Fannie Mae Pool

       3.500%      01/01/2043      33,512        34,576  

Fannie Mae Pool

       3.500%      02/01/2043      53,220        54,916  

Fannie Mae Pool

       3.500%      02/01/2043      35,310        36,435  

Fannie Mae Pool

       4.500%      03/01/2043      170,688        186,051  

Fannie Mae Pool

       4.000%      08/01/2043      19,487        20,658  

Fannie Mae Pool

       3.500%      04/01/2044      5,603        5,792  

Fannie Mae Pool

       5.500%      05/01/2044      77,707        86,478  

 

  110   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

U.S. Government Agency Mortgage-Backed Securities (Continued)         Rate      Maturity    Face Amount      Value  

Fannie Mae Pool

       4.000%      06/01/2044    $   147,350      $   156,197  

Fannie Mae Pool

       5.000%      07/01/2044      201,514        225,117  

Fannie Mae Pool

       4.000%      07/01/2044      41,358        44,159  

Fannie Mae Pool

       4.500%      08/01/2044      60,803        66,635  

Fannie Mae Pool

       4.000%      08/01/2044      26,358        28,144  

Fannie Mae Pool

       4.500%      10/01/2044      38,488        42,061  

Fannie Mae Pool

       4.500%      10/01/2044      1,057,188            1,158,539  

Fannie Mae Pool

       4.500%      10/01/2044      46,233        50,659  

Fannie Mae Pool

       3.500%      02/01/2045      44,582        46,006  

Fannie Mae Pool

       4.500%      03/01/2045      66,129        72,275  

Fannie Mae Pool

       4.500%      05/01/2045      117,540        128,783  

Fannie Mae Pool

       4.500%      05/01/2045      137,804        150,987  

Fannie Mae Pool

       4.000%      05/01/2045      62,574        66,833  

Fannie Mae Pool

       4.500%      06/01/2045      150,636        164,089  

Fannie Mae Pool

       4.500%      09/01/2045      819,071        895,276  

Fannie Mae Pool

       4.000%      10/01/2045      435,978        462,999  

Fannie Mae Pool

       4.500%      10/01/2045      312,514        340,935  

Fannie Mae Pool

       4.000%      12/01/2045      78,593        83,934  

Fannie Mae Pool

       4.000%      01/01/2046      88,065        93,814  

Fannie Mae Pool

       3.500%      01/01/2046      212,817        220,002  

Fannie Mae Pool

       3.500%      01/01/2046      212,157        219,329  

Fannie Mae Pool

       4.500%      02/01/2046      163,439        179,082  

Fannie Mae Pool

       4.500%      02/01/2046      68,925        75,346  

Fannie Mae Pool

       4.000%      04/01/2046      116,572        124,125  

Fannie Mae Pool

       4.500%      04/01/2046      109,003        119,971  

Fannie Mae Pool

       4.000%      05/01/2046      137,234        146,200  

Fannie Mae Pool

       4.000%      06/01/2046      96,414        102,713  

Fannie Mae Pool

       4.500%      07/01/2046      479,190        525,086  

Fannie Mae Pool

       4.500%      07/01/2046      87,070        95,188  

Fannie Mae Pool

       3.500%      07/01/2046      249,004        257,130  

Fannie Mae Pool

       4.500%      07/01/2046      176,288        191,118  

Fannie Mae Pool

       3.500%      07/01/2046      250,208        258,371  

Fannie Mae Pool

       3.500%      08/01/2046      735,179        756,819  

Fannie Mae Pool

       4.000%      08/01/2046      12,472        13,240  

Fannie Mae Pool

       4.000%      08/01/2046      12,844        13,642  

Fannie Mae Pool

       4.000%      08/01/2046      10,955        11,636  

Fannie Mae Pool

       4.000%      08/01/2046      8,821        9,369  

Fannie Mae Pool

       4.500%      09/01/2046      111,170        121,847  

Fannie Mae Pool

       4.000%      10/01/2046      104,987        111,422  

Fannie Mae Pool

       4.500%      11/01/2046      149,867        163,056  

Fannie Mae Pool

       4.500%      11/01/2046      26,035        28,471  

Fannie Mae Pool

       4.500%      12/01/2046      97,308        105,161  

Fannie Mae Pool

       4.000%      01/01/2047      67,291        72,016  

Fannie Mae Pool

       4.500%      02/01/2047      499,553        541,580  

Fannie Mae Pool

       4.000%      02/01/2047      154,767        165,024  

Fannie Mae Pool

       4.000%      03/01/2047      16,708        17,750  

Fannie Mae Pool

       4.000%      03/01/2047      4,498        4,777  

Fannie Mae Pool

       4.000%      03/01/2047      4,471        4,751  

Fannie Mae Pool

       4.000%      03/01/2047      9,541        10,127  

Fannie Mae Pool

       4.000%      04/01/2047      77,745        83,092  

Fannie Mae Pool

       4.000%      04/01/2047      17,552        18,649  

Fannie Mae Pool

       4.000%      04/01/2047      21,768        23,105  

Fannie Mae Pool

       4.000%      04/01/2047      16,285        17,285  

Fannie Mae Pool

       4.000%      04/01/2047      15,442        16,391  

Fannie Mae Pool

       4.000%      04/01/2047      17,242        18,301  

Fannie Mae Pool

       4.500%      04/01/2047      411,309        449,786  

Fannie Mae Pool

       4.000%      05/01/2047      18,336        19,482  

Fannie Mae Pool

       4.000%      05/01/2047      14,333        15,229  

Fannie Mae Pool

       4.000%      05/01/2047      23,205        24,631  

Fannie Mae Pool

       4.500%      05/01/2047      30,607        33,353  

Fannie Mae Pool

       4.500%      05/01/2047      25,206        27,429  

Fannie Mae Pool

       4.500%      05/01/2047      24,727        26,923  

Fannie Mae Pool

       4.500%      05/01/2047      18,715        20,394  

Fannie Mae Pool

       4.500%      05/01/2047      15,164        16,501  

Fannie Mae Pool

       4.500%      05/01/2047      17,329        18,868  

Fannie Mae Pool

       4.500%      05/01/2047      16,554        18,004  

Fannie Mae Pool

       4.500%      05/01/2047      15,965        17,363  

Fannie Mae Pool

       4.000%      05/01/2047      5,999        6,371  

Fannie Mae Pool

       4.500%      05/01/2047      8,501        9,240  

Fannie Mae Pool

       4.500%      05/01/2047      5,584        6,085  

 

  111   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

U.S. Government Agency Mortgage-Backed Securities (Continued)         Rate      Maturity    Face Amount      Value  

Fannie Mae Pool

       4.500%      05/01/2047    $ 6,157      $ 6,710  

Fannie Mae Pool

       3.500%      06/01/2047      12,017        12,397  

Fannie Mae Pool

       4.000%      06/01/2047      69,387        73,649  

Fannie Mae Pool

       4.000%      06/01/2047      26,084        27,763  

Fannie Mae Pool

       4.000%      06/01/2047      37,773        40,058  

Fannie Mae Pool

       4.000%      06/01/2047      33,141        35,212  

Fannie Mae Pool

       4.500%      06/01/2047      10,697        11,657  

Fannie Mae Pool

       4.000%      06/01/2047      11,858        12,604  

Fannie Mae Pool

       4.000%      06/01/2047      34,105        36,221  

Fannie Mae Pool

       4.500%      06/01/2047      16,236        17,493  

Fannie Mae Pool

       3.500%      05/01/2056      388,408        399,251  

Freddie Mac Gold Pool

       3.500%      07/01/2029      69,214        72,224  

Freddie Mac Gold Pool

       3.500%      09/01/2029      330,207        344,589  

Freddie Mac Gold Pool

       8.000%      04/01/2032      20,587        25,228  

Freddie Mac Gold Pool

       5.500%      08/01/2041      105,856        120,898  

Freddie Mac Gold Pool

       5.500%      08/01/2041      285,931        322,880  

Freddie Mac Gold Pool

       5.000%      03/01/2042      201,154        222,754  

Freddie Mac Gold Pool

       3.500%      02/01/2044      16,307        16,807  

Freddie Mac Gold Pool

       4.500%      05/01/2044      151,751        164,339  

Freddie Mac Gold Pool

       5.000%      07/01/2044      499,305        550,944  

Freddie Mac Gold Pool

       4.000%      08/01/2044      69,505        74,113  

Freddie Mac Gold Pool

       4.500%      06/01/2045      97,863        107,166  

Freddie Mac Gold Pool

       4.500%      10/01/2045      920,871        1,005,727  

Freddie Mac Gold Pool

       4.500%      02/01/2046      848,331        928,930  

Freddie Mac Gold Pool

       4.500%      02/01/2046      77,419        84,557  

Freddie Mac Gold Pool

       4.500%      05/01/2046      707,474        774,693  

Freddie Mac Gold Pool

       4.500%      06/01/2046      251,296        271,679  

Freddie Mac Gold Pool

       3.500%      07/01/2046      496,739        514,198  

Ginnie Mae I Pool

       7.500%      08/15/2033      41,534        48,511  

Ginnie Mae I Pool

       5.000%      01/15/2040      179,650        196,564  

Ginnie Mae I Pool

       5.000%      05/15/2040      113,573        126,221  

Ginnie Mae I Pool

       4.500%      05/15/2041      72,303        81,065  

Ginnie Mae I Pool

       4.500%      05/15/2044      21,501        23,571  

Ginnie Mae I Pool

       5.000%      06/15/2044      57,018        63,457  

Ginnie Mae I Pool

       5.000%      06/15/2044      31,657        35,251  

Ginnie Mae I Pool

       5.000%      07/15/2044      24,998        27,786  

Ginnie Mae I Pool

       4.000%      01/15/2045      341,052        361,277  

Ginnie Mae I Pool

       4.000%      03/15/2045      918,713        974,159  

Ginnie Mae I Pool

       4.000%      04/15/2045      141,341        152,071  

Ginnie Mae I Pool

       4.000%      07/15/2046      215,610        230,436  

Ginnie Mae I Pool

       4.500%      08/15/2046      551,574        604,504  

Ginnie Mae II Pool

       5.000%      12/20/2044      307,475        344,854  

Ginnie Mae II Pool

       5.000%      09/20/2045      72,362        81,378  

Ginnie Mae II Pool

       4.000%      10/20/2045      215,120        229,788  
             

 

 

 

Total U.S. Government Agency Mortgage-Backed Securities (Cost $22,229,403)

              $   21,990,650  
             

 

 

 
Purchased Options – 6.0%         Expiration      Exercise Price    Contracts (d)      Value  

S&P 500 Index Call Option

       December 2018      $2,200.00      41      $ 1,296,830  

S&P 500 Index Call Option

       December 2018      $2,250.00      10        276,200  

S&P 500 Index Call Option

       December 2018      $2,300.00      20        484,600  

S&P 500 Index Call Option

       December 2018      $2,350.00      5        105,100  

S&P 500 Index Call Option

       December 2019      $2,300.00      38        1,151,780  

S&P 500 Index Call Option

       December 2019      $2,350.00      92        2,518,040  

S&P 500 Index Call Option

       December 2019      $2,400.00      65        1,635,400  

S&P 500 Index Put Option

       December 2018      $2,200.00      41        420,455  

S&P 500 Index Put Option

       December 2018      $2,250.00      10        115,800  

S&P 500 Index Put Option

       December 2018      $2,300.00      20        261,000  

S&P 500 Index Put Option

       December 2018      $2,350.00      5        73,500  

S&P 500 Index Put Option

       December 2019      $2,300.00      38        733,780  

S&P 500 Index Put Option

       December 2019      $2,350.00      92        1,944,880  

S&P 500 Index Put Option

       December 2019      $2,400.00      65        1,497,600  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $210.00      400        1,564,000  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $215.00      187        650,760  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $220.00      120        372,840  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $225.00      222        610,278  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $230.00      239        575,512  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $235.00      28        58,324  

SPDR S&P 500 ETF Trust Call Option

       December 2018      $240.00      50        88,750  

SPDR S&P 500 ETF Trust Call Option

       December 2019      $230.00      101        303,505  

 

  112   (continued)


Ohio National Fund, Inc.   Risk Managed Balanced Portfolio (Continued)

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Purchased Options (Continued)         Expiration      Exercise Price    Contracts (d)      Value  

SPDR S&P 500 ETF Trust Call Option

       December 2019      $235.00      115      $ 305,670  

SPDR S&P 500 ETF Trust Call Option

       December 2019      $240.00      109        259,420  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $210.00      400        330,800  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $215.00      187        174,284  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $220.00      120        126,480  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $225.00      222        265,734  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $230.00      239        318,109  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $235.00      28        42,504  

SPDR S&P 500 ETF Trust Put Option

       December 2018      $240.00      50        85,050  

SPDR S&P 500 ETF Trust Put Option

       December 2019      $230.00      101        198,566  

SPDR S&P 500 ETF Trust Put Option

       December 2019      $235.00      115        248,285  

SPDR S&P 500 ETF Trust Put Option

       December 2019      $240.00      109        255,169  
             

 

 

 

Total Purchased Options (Cost $20,264,789)

              $ 19,349,005  
             

 

 

 
Money Market Funds – 13.4%                       Shares      Value  
State Street Institutional Liquid Reserves Fund Institutional Class              34,977,906      $ 34,981,404  
State Street Institutional U.S. Government Money Market Fund Institutional Class              8,337,682        8,337,682  
             

 

 

 

Total Money Market Funds (Cost $43,319,086)

              $ 43,319,086  
             

 

 

 

Total Investments – 99.9% (Cost $301,094,115)

  (e)             $ 322,715,949  

Other Assets in Excess of Liabilities – 0.1%

  (f)               411,931  
             

 

 

 

Net Assets – 100.0%

              $ 323,127,880  
             

 

 

 

 

 

Percentages are stated as a percent of net assets.

Abbreviations:

QL: Quarterly U.S. LIBOR Rate, 1.299% on 6/30/2017

DR: Depository Receipt

Footnotes:

 

  (a) Non-income producing security.

 

 

  (b) Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2017, the value of these securities totaled $13,356,868, or 4.1% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors.

 

  (c) Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at June 30, 2017.

 

  (d) 100 shares per contract.

 

  (e) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

 

  (f) Security is fully or partially pledged, in addition to $741,628 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at June 30, 2017. See also the following Schedule of Open Futures Contracts.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Open Futures Contracts

  June 30, 2017  (Unaudited)

 

Description

  Number of
Contracts
  

Expiration Date

   Notional
Amount
     Value      Unrealized
Appreciation
(Depreciation)
 

CME E-mini S&P 500 Index – Long

  256    September 15, 2017    $ 31,062,954      $ 30,987,520      $ (75,434

10-Year U.S. Treasury Note – Long

  1,400    September 20, 2017      176,087,349        175,743,751        (343,598

U.S. Treasury Long Bond – Long

  28    September 20, 2017      4,266,579        4,303,250        36,671  
       

 

 

    

 

 

    

 

 

 
        $ 211,416,882      $ 211,034,521      $ (382,361
       

 

 

    

 

 

    

 

 

 

The accompanying notes are an integral part of these financial statements.

 

  113  


Ohio National Fund, Inc.   ON Conservative Model Portfolio

 

Objective/Strategy

The Portfolio is a fund of funds that seeks current income and preservation of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 0-25%, International Equity 0-10%, and Fixed Income 65-90%.

 

Performance as of June 30, 2017

 

Average Annual returns

  

Since inception (3/1/17)

     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. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is estimated to be 1.00% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus.

 

Comments from Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the period from March 1, 2017 (inception) to June 30, 2017, the ON Conservative Model Portfolio returned 2.30% versus 2.07% for its benchmark, the Morningstar® Conservative Target Risk Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. During the first half of 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.

Fixed income markets also provided positive returns for the period. Long-term interest rates declined modestly, while the Federal Reserve increased short term interest rates slightly. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the period. In this environment, corporate bonds and high yield bonds generally outperformed other sectors of the bond market.

Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio invests in mutual funds, comprised mostly of fixed income funds, but also some equity funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. On the equity side, the Portfolio’s allocation to large cap domestic equity and international equity funds aided performance during the period. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected and short duration funds, which detracted from performance relative to the benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three performing funds in the Portfolio were the Lazard International Equity Class R6, the Templeton Foreign Class R6, and the Strategic Value Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Real Return Institutional, the PIMCO Low Duration Institutional, and the PIMCO Total Return Institutional.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 95%, 80%, 60%, 40%, and 20%, respectively.

 

 

  114   (continued)


Ohio National Fund, Inc.   ON Conservative Model Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Open-End Mutual Funds
Less Net Liabilities

    100.0  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     Western Asset Core Plus Bond IS

     24.0  

  2.     PIMCO Total Return Institutional

     19.0  

  3.     PIMCO Real Return Institutional

     17.0  

  4.     PIMCO Low Duration Institutional

     9.0  

  5.     Ohio National Fund, Inc. – Balanced Portfolio

     7.0  

  6.     Ohio National Fund, Inc. – High Income Bond Portfolio

     7.0  

  7.     Ohio National Fund, Inc. – Strategic Value Portfolio

     7.0  

  8.     Ohio National Fund, Inc. – S&P 500® Index Portfolio

     6.0  

  9.     Lazard International Equity Class R6

     2.0  

10.     Templeton Foreign Class R6

     2.0  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

  115  


Ohio National Fund, Inc.   ON Conservative Model Portfolio

 

Schedule of Investments in Unaffiliated Issuers

  June 30, 2017 (Unaudited)

 

Open-End Mutual Funds – 69.1%        Shares     Value  

PIMCO Low Duration Institutional

      966,825     $ 9,523,226  

PIMCO Real Return Institutional

      1,647,479       18,023,425  

PIMCO Total Return Institutional

      1,966,859       20,120,970  

Western Asset Core Plus Bond IS

      2,158,564       25,427,885  
     

 

 

 

Total Open-End Mutual Funds

      $ 73,095,506  
     

 

 

 

Total Investments in Securities of Unaffiliated Issuers – 69.1% (Cost $72,344,073)

  (a)     $ 73,095,506  

Total Investments in Affiliates – 30.9% (Cost $31,821,499) (see schedule below)

  (a)       32,752,812  

Liabilities in Excess of Other Assets – 0.0%

        (24,984)  
     

 

 

 

Net Assets – 100.0%

      $ 105,823,334  
     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Investments in Affiliates

  June 30, 2017 (Unaudited)

Affiliate

        Value at
March 1, 2017
(Inception)
    Cost of
Purchases
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Income
Distributions
    Capital Gain
Distributions
    Shares at
June 30,
2017
    Value at
June 30, 2017
 

Open-End Mutual Funds – 30.9%

     

Lazard International Equity Class R6

    (b   $   —     $   2,203,056     $   262,222     $   11,687     $   160,564     $   —     $   —       116,423     $ 2,113,085  

Ohio National Fund, Inc. – Balanced Portfolio

    (a )(b)            7,780,213       529,651       3,970       141,264                   349,848       7,395,796  

Ohio National Fund, Inc. – High Income Bond Portfolio

    (a )(b)            7,702,440       443,477       2,129       134,704                   389,048       7,395,796  

Ohio National Fund, Inc. – Strategic Value Portfolio

    (a )(b)            7,761,050       626,945       13,433       248,258                   437,880       7,395,796  

Ohio National Fund, Inc. – S&P 500® Index Portfolio

    (a )(b)            6,703,283       505,063       4,020       137,014                   238,857       6,339,254  

Templeton Foreign Class R6

    (b           2,227,414       231,197       7,359       109,509                   276,220       2,113,085  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Open-End Mutual Funds

          $ 42,598     $ 931,313     $     $       $   32,752,812  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person,” as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding.

The accompanying notes are an integral part of these financial statements.

 

  116  


Ohio National Fund, Inc.   ON Moderately Conservative Model Portfolio

 

Objective/Strategy

The Portfolio is a fund of funds that seeks current income and moderate growth of capital with a greater emphasis on current income. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 20-40%, International Equity 5-20%, and Fixed Income 30-70%.

 

Performance as of June 30, 2017

 

Average Annual returns

  

Since inception (3/1/17)

     2.60%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is estimated to be 1.02% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus.

 

Comments from Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the period from March 1, 2017 (inception) to June 30, 2017, the ON Moderately Conservative Model Portfolio returned 2.60% versus 2.42% for its benchmark, the Morningstar® Moderately Conservative Target Risk Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. During the first half of 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.

Fixed income markets also provided positive returns for the period. Long-term interest rates declined modestly, while the Federal Reserve increased short term interest rates slightly. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the period. In this environment, corporate bonds and high yield bonds generally outperformed other sectors of the bond market.

Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio invests in mutual funds, comprised mostly of fixed income funds, but also equity funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. On the equity side, the Portfolio’s allocation to large cap domestic equity, as well as international equity funds aided performance during the period. The Portfolio’s investment in real estate funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected and short duration funds, which detracted from performance relative to the benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three performing funds in the Portfolio were the Lazard International Equity Class R6, the Templeton Foreign Class R6, and the Bristol Growth Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Real Return Institutional, the PIMCO Low Duration Institutional, and the Fidelity Advisor® Mid Cap II Class I.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 95%, 80%, 60%, 40%, and 20%, respectively.

 

 

  117   (continued)


Ohio National Fund, Inc.   ON Moderately Conservative Model Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Open-End Mutual Funds

 

Less Net Liabilities

    100.0  
 

 

 

 
    100.0  
 

 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     Western Asset Core Plus Bond IS

     19.0  

  2.     PIMCO Total Return Institutional

     15.0  

  3.     PIMCO Real Return Institutional

     11.0  

  4.     Ohio National Fund, Inc. – Strategic Value Portfolio

     8.0  

  5.     Ohio National Fund, Inc. – Balanced Portfolio

     7.0  

  6.     Ohio National Fund, Inc. – Equity Portfolio

     7.0  

  7.     PIMCO Low Duration Institutional

     6.0  

  8.     Lazard International Equity Class R6

     6.0  

  9.     Ohio National Fund, Inc. – High Income Bond Portfolio

     6.0  

10.     Ohio National Fund, Inc. – S&P 500® Index Portfolio

     5.0  
 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

  118  


Ohio National Fund, Inc.   ON Moderately Conservative Model Portfolio

 

Schedule of Investments in Unaffiliated Issuers

  June 30, 2017 (Unaudited)

 

Open-End Mutual Funds – 51.1%        Shares     Value  

PIMCO Low Duration Institutional

      2,052,788     $ 20,219,964  

PIMCO Real Return Institutional

      3,395,066       37,142,018  

PIMCO Total Return Institutional

      4,945,351       50,590,945  

Western Asset Core Plus Bond IS

      5,442,438       64,111,915  
     

 

 

 

Total Open-End Mutual Funds

      $ 172,064,842  
     

 

 

 

Total Investments in Securities of Unaffiliated Issuers – 51.1% (Cost $170,051,672)

  (a)     $ 172,064,842  

Total Investments in Affiliates – 48.9% (Cost $159,787,309) (see schedule below)

  (a)       164,881,709  

Liabilities in Excess of Other Assets – 0.0%

        (87,506)  
     

 

 

 

Net Assets – 100.0%

      $ 336,859,045  
     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Investments in Affiliates

  June 30, 2017 (Unaudited)

Affiliate

        Value at
March 1, 2017
(Inception)
    Cost of
Purchases
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Income
Distributions
    Capital Gain
Distributions
    Shares at
June 30,
2017
    Value at
June 30, 2017
 

Open-End Mutual Funds – 48.9%

     

Fidelity Advisor® Mid Cap II Class I

    (b   $   —     $ 6,880,090     $ 327,571     $ 4,790     $ 172,557     $     $   —       324,019     $ 6,729,866  

Fidelity Advisor® Real Estate I

    (b           7,247,241       553,408       2,047       33,986       12,472             292,222       6,729,866  

Lazard International Equity Class R6

    (b           20,512,313       1,997,218       107,172       1,567,330                   1,112,374       20,189,597  

Ohio National Fund, Inc. – Equity Portfolio

    (a )(b)            24,335,643       968,278       (311     187,476                   611,488       23,554,530  

Ohio National Fund, Inc. – Bristol Growth Portfolio

    (a )(b)            6,856,179       459,804       15,614       317,877                   317,147       6,729,866  

Ohio National Fund, Inc. – Balanced Portfolio

    (a )(b)            23,853,663       762,442       7,984       455,325                   1,114,216       23,554,530  

Ohio National Fund, Inc. – High Income Bond Portfolio

    (a )(b)            20,517,825       705,763       5,630       371,905                   1,062,051       20,189,597  

Ohio National Fund, Inc. – Strategic Value Portfolio

    (a )(b)            27,639,413       1,676,454       45,834       910,669                   1,593,811       26,919,462  

Ohio National Fund, Inc. – S&P 500® Index Portfolio

    (a )(b)            17,160,651       707,358       9,901       361,470                   633,936       16,824,664  

Templeton Foreign Class R6

    (b           13,723,875       1,017,503       37,554       715,805                   1,759,442       13,459,731  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Open-End Mutual Funds

          $ 236,215     $ 5,094,400     $ 12,472     $       $ 164,881,709  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person,” as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding.

The accompanying notes are an integral part of these financial statements.

 

  119  


Ohio National Fund, Inc.   ON Balanced Model Portfolio

 

Objective/Strategy

The Portfolio is a fund of funds that seeks a balance between growth of capital and current income with a greater emphasis on growth of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 25-50%, International Equity 10-25%, and Fixed Income 25-50%.

 

Performance as of June 30, 2017

 

Average Annual returns

  

Since inception (3/1/17)

     2.70%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is estimated to be 1.09% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus.

 

Comments from Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the period from March 1, 2017 (inception) to June 30, 2017, the ON Balanced Model Portfolio returned 2.70% versus 2.69% for its benchmark, the Morningstar® Moderate Target Risk Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. During the first half of 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.

Fixed income markets also provided positive returns for the period. Long-term interest rates declined modestly, while the Federal Reserve increased short term interest rates slightly. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the period. In this environment, corporate bonds and high yield bonds generally outperformed other sectors of the bond market.

Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio invests in mutual funds, comprised of fixed income funds and equity funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. On the equity side, the Portfolio’s allocation to large cap and small cap domestic equity, as well as international equity funds aided performance during the period. The Portfolio’s allocation to capital appreciation funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected and short duration funds, which detracted from performance relative to the benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three performing funds in the Portfolio were the Lazard International Equity Class R6, the Bristol Portfolio and the ClearBridge Small Cap Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Real Return Institutional, the Capital Appreciation Portfolio, and the PIMCO Low Duration Institutional.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 95%, 80%, 60%, 40%, and 20%, respectively.

 

 

  120   (continued)


Ohio National Fund, Inc.   ON Balanced Model Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Open-End Mutual Funds
Less Net Liabilities

    100.0  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     PIMCO Total Return Institutional

     12.0  

  2.     Lazard International Equity Class R6

     9.0  

  3.     Ohio National Fund, Inc. – Balanced Portfolio

     9.0  

  4.     PIMCO Real Return Institutional

     8.0  

  5.     Ohio National Fund, Inc. – Strategic Value Portfolio

     8.0  

  6.     Templeton Foreign Class R6

     7.0  

  7.     Western Asset Core Plus Bond IS

     6.0  

  8.     Ohio National Fund, Inc. – Equity Portfolio

     6.0  

  9.     PIMCO Low Duration Institutional

     5.0  

10.     Ohio National Fund, Inc. – High Income Bond Portfolio

     5.0  
 

 

 

 

(1)  Composition of Portfolio subject to change.

 

(2)  Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)  Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

  121  


Ohio National Fund, Inc.   ON Balanced Model Portfolio

 

Schedule of Investments in Unaffiliated Issuers

  June 30, 2017 (Unaudited)

 

Open-End Mutual Funds – 34.1%        Shares     Value  

Lazard Emerging Markets Equity Class R6

      2,588,111     $ 46,586,007  

PIMCO Low Duration Institutional

      7,894,388       77,759,718  

PIMCO Real Return Institutional

      11,394,623       124,657,173  

PIMCO Total Return Institutional

      18,257,545       186,774,690  

Western Asset Core Plus Bond IS

      7,931,327       93,431,033  
     

 

 

 

Total Open-End Mutual Funds

      $ 529,208,621  
     

 

 

 

Total Investments in Securities of Unaffiliated Issuers – 34.1% (Cost $520,071,878)

  (a)     $ 529,208,621  

Total Investments in Affiliates – 65.9% (Cost $986,269,501) (see schedule below)

  (a)       1,024,892,154  

Liabilities in Excess of Other Assets – 0.0%

        (344,796)  
     

 

 

 

Net Assets – 100.0%

      $ 1,553,755,979  
     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Investments in Affiliates

  June 30, 2017 (Unaudited)

Affiliate

        Value at
March 1, 2017
(Inception)
    Cost of
Purchases
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Income
Distributions
    Capital Gain
Distributions
    Shares at
June 30,
2017
    Value at
June 30, 2017
 

Open-End Mutual Funds – 65.9%

     

Fidelity Advisor® Mid Cap II Class I

    (b   $   —     $ 47,492,784     $ 2,632,042     $ 64,087     $ 1,661,178     $     $       2,242,947     $ 46,586,007  

Fidelity Advisor® Real Estate Class I

    (b           32,740,892       3,185,010       137,381       1,364,075       57,631             1,348,560       31,057,338  

Goldman Sachs Large Cap Value Institutional

    (b           63,166,817       31,624,374       (771,849     286,744                   1,752,671       31,057,338  

Lazard International Equity Class R6

    (b             140,902,642         13,374,705       808,926       11,421,158                   7,700,166       139,758,021  

Ohio National Fund, Inc. – Equity Portfolio

    (a )(b)            95,983,515       4,142,007       12,550       1,317,956                   2,418,796       93,172,014  

Ohio National Fund, Inc. – Capital Appreciation Portfolio

    (a )(b)            47,869,845       1,444,452       6,245       154,369                   1,174,338       46,586,007  

Ohio National Fund, Inc. – Balanced Portfolio

    (a )(b)            140,843,773       4,320,584       63,637       3,171,195                   6,611,070       139,758,021  

Ohio National Fund, Inc. – Bristol Portfolio

    (a )(b)            47,603,012       2,855,452       77,293       1,761,154                   1,745,448       46,586,007  

Ohio National Fund, Inc. – ClearBridge Small Cap Portfolio

    (a )(b)            63,950,934       5,023,010       161,416       3,025,336                   1,138,465       62,114,676  

Ohio National Fund, Inc. – High Income Bond Portfolio

    (a )(b)            77,923,125       2,830,058       58,829       2,491,449                   4,084,342       77,643,345  

Ohio National Fund, Inc. – Strategic Value Portfolio

    (a )(b)            125,029,372       5,032,289       189,976       4,042,293                   7,355,201       124,229,352  

Ohio National Fund, Inc. – S&P 500® Index Portfolio

    (a )(b)            79,413,999       3,831,552       69,241       1,991,657                   2,925,522       77,643,345  

Templeton Foreign Class R6

    (b           109,773,929       7,335,758       328,423       5,934,089                   14,209,240       108,700,683  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Open-End Mutual Funds

          $ 1,206,155     $ 38,622,653     $ 57,631     $   —       $ 1,024,892,154  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person,” as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding.

 

The accompanying notes are an integral part of these financial statements.

 

  122  


Ohio National Fund, Inc.   ON Moderate Growth Model Portfolio

 

Objective/Strategy

The Portfolio is a fund of funds that seeks growth of capital and moderate current income with a greater emphasis on growth of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 40-60%, International Equity 15-35%, and Fixed Income 10-30%.

 

Performance as of June 30, 2017

 

Average Annual returns

  

Since inception (3/1/17)

     3.50%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is estimated to be 1.14% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus.

 

Comments from Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the period from March 1, 2017 (inception) to June 30, 2017, the ON Moderate Growth Model Portfolio returned 3.50% versus 3.23% for its benchmark, the Morningstar® Moderately Aggressive Target Risk Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. During the first half of 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.

Fixed income markets also provided positive returns for the period. Long-term interest rates declined modestly, while the Federal Reserve increased short term interest rates slightly. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the period. In this environment, corporate bonds and high yield bonds generally outperformed other sectors of the bond market.

Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio invests in mutual funds, comprised mostly of equity funds, but also of fixed income funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. On the equity side, the Portfolio’s allocation to large cap and small cap domestic equity, as well as international equity funds aided performance during the period. The Portfolio’s allocation to large cap value funds and real estate funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected funds, which detracted from performance relative to the benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three performing funds in the Portfolio were the Small Cap Growth Portfolio, the Lazard International Equity Class R6, and the Bristol Growth Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Real Return Institutional, the Goldman Sachs Large Cap Value Institutional, and the Fidelity Advisor® Real Estate Class I.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 95%, 80%, 60%, 40%, and 20%, respectively.

 

 

  123   (continued)


Ohio National Fund, Inc.   ON Moderate Growth Model Portfolio (Continued)

 

Portfolio Composition as of June 30, 2017 (1)

 

    % of Net Assets  

Open-End Mutual Funds
Less Net Liabilities

    100.0  
 

 

 

 
    100.0  
 

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

     % of Net Assets  

  1.     Western Asset Core Plus Bond IS

     12.0  

  2.     Lazard International Equity Class R6

     11.0  

  3.     Ohio National Fund, Inc. – Strategic Value Portfolio

     10.0  

  4.     Templeton Foreign Class R6

     10.0  

  5.     Ohio National Fund, Inc. – Balanced Portfolio

     8.0  

  6.     Ohio National Fund, Inc. – Equity Portfolio

     8.0  

  7.     Ohio National Fund, Inc. – S&P 500® Index Portfolio

     7.0  

  8.     Fidelity Advisor® Mid Cap II Class I

     4.0  

  9.     Lazard Emerging Markets Equity Class R6

     4.0  

10.     Ohio National Fund, Inc. – Small Cap Growth Portfolio

     4.0  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2)

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3)

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

  124  


Ohio National Fund, Inc.   ON Moderate Growth Model Portfolio

 

Schedule of Investments in Unaffiliated Issuers

  June 30, 2017 (Unaudited)

 

Open-End Mutual Funds – 19.0%        Shares     Value  

Lazard Emerging Markets Equity Class R6

      5,733,839     $ 103,209,103  

PIMCO Real Return Institutional

      7,099,725       77,670,988  

Western Asset Core Plus Bond IS

      26,356,874       310,483,972  
     

 

 

 

Total Open-End Mutual Funds

      $ 491,364,063  
     

 

 

 

Total Investments in Securities of Unaffiliated Issuers – 19.0% (Cost $482,810,673)

  (a)     $ 491,364,063  

Total Investments in Affiliates – 81.0% (Cost $2,023,958,172) (see schedule below)

  (a)       2,089,984,335  

Liabilities in Excess of Other Assets – 0.0%

        (513,736)  
     

 

 

 

Net Assets – 100.0%

      $ 2,580,834,662  
     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Investments in Affiliates

  June 30, 2017 (Unaudited)

Affiliate

        Value at
March 1, 2017
(Inception)
    Cost of
Purchases
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Income
Distributions
    Capital Gain
Distributions
    Shares at
June 30,
2017
    Value at
June 30, 2017
 

Open-End Mutual Funds – 81.0%

     

Fidelity Advisor® Mid Cap II Class I

    (b   $   —     $   104,918,139     $   4,682,518     $ 76,400     $ 2,897,082     $   —     $   —       4,969,143     $ 103,209,103  

Fidelity Advisor® Real Estate Class I

    (b           53,724,256       3,400,964       69,859       1,211,401       95,335             2,240,753       51,604,552  

Goldman Sachs Large Cap Value Institutional

    (b           129,882,696       51,779,482       (1,313,358     616,971                   4,368,331       77,406,827  

Lazard International Equity Class R6

    (b           286,582,226       20,875,761       880,083       17,238,485                   15,637,743       283,825,033  

Ohio National Fund, Inc. – Equity Portfolio

    (a )(b)            210,258,849       6,570,896       39,618       2,690,635                   5,358,728       206,418,206  

Ohio National Fund, Inc. – Bristol Growth Portfolio

    (a )(b)            78,427,063       4,607,191       139,787       3,447,168                   3,647,824       77,406,827  

Ohio National Fund, Inc. – Balanced Portfolio

    (a )(b)            207,142,550       4,962,806       40,793       4,197,669                   9,764,343       206,418,206  

Ohio National Fund, Inc. – Bryton Growth Portfolio

    (a )(b)            53,006,521       3,924,622       111,258       2,411,394                   2,276,337       51,604,551  

Ohio National Fund, Inc. – Bristol Portfolio

    (a )(b)            78,612,292       3,861,512       73,188       2,582,859                   2,900,218       77,406,827  

Ohio National Fund, Inc. – ClearBridge Small Cap Portfolio

    (a )(b)            79,819,709       4,547,595       56,951       2,077,762                   1,418,747       77,406,827  

Ohio National Fund, Inc. – High Income Bond Portfolio

    (a )(b)            77,673,879       2,577,020       30,436       2,279,532                   4,071,900       77,406,827  

Ohio National Fund, Inc. – Strategic Value Portfolio

    (a )(b)            258,867,412       7,733,814       178,792       6,710,368                   15,276,658       258,022,758  

Ohio National Fund, Inc. – S&P 500® Index Portfolio

    (a )(b)            182,945,972       6,577,600       85,005       4,162,553                   6,805,423       180,615,930  

Ohio National Fund, Inc. – Small Cap Growth Portfolio

    (a )(b)            104,495,372       7,396,669       267,383       5,843,017                   3,418,652       103,209,103  

Templeton Foreign Class R6

    (b           262,513,958       12,502,474       352,007       7,659,267                   33,728,465       258,022,758  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Open-End Mutual Funds

          $ 1,088,202     $ 66,026,163     $ 95,335     $       $ 2,089,984,335  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person,” as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding.

 

The accompanying notes are an integral part of these financial statements.

 

  125  


Ohio National Fund, Inc.   ON Growth Model Portfolio

 

Objective/Strategy

The Portfolio is a fund of funds that seeks growth of capital and some current income. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 50-80%, International Equity 15-45%, and Fixed Income 0-15%.

 

Performance as of June 30, 2017

 

Average Annual returns

  

Since inception

     3.60%  

Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.

The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.

Total expense ratio is estimated to be 1.21% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Fund’s expense ratio as of June 30, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus.

 

Comments from Adviser

Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?

A. For the period from March 1, 2017 (inception) to June 30, 2017, the ON Growth Model Portfolio returned 3.60% versus 3.51% for its benchmark, the Morningstar® Aggressive Target Risk Index.

Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?

A. During the first half of 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.

Fixed income markets also provided positive returns for the period. Long-term interest rates declined modestly, while the Federal Reserve increased short term interest rates slightly. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the period. In this environment, corporate bonds and high yield bonds generally outperformed other sectors of the bond market.

Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?

A. The Portfolio invests in mutual funds, comprised mostly of equity funds, but also of fixed income funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. On the equity side, the Portfolio’s allocation to large cap and small cap domestic equity, as well as international equity funds aided performance during the period. The Portfolio’s allocation to large cap value funds and capital appreciation funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield funds outperformed inflation protected funds, which detracted from performance relative to the benchmark.(1)

Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?

A. The top three performing funds in the Portfolio were the Small Cap Growth Portfolio, the Lazard International Equity Class R6, and the Bristol Growth Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Real Return Institutional, the Capital Appreciation Portfolio, and the Goldman Sachs Large Cap Value Institutional.(1)

 

 

(1)

The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2017.

 

Change in Value of $10,000 Investment

 

LOGO

Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.

The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 95%, 80%, 60%, 40%, and 20%, respectively.

 

 

  126   (continued)


Ohio National Fund, Inc.   ON Growth Model Portfolio (Continued)

 

 

Portfolio Composition as of June 30, 2017 (1)

 

        % of Net Assets  

Open-End Mutual Funds
Less Net Liabilities

     100.0  
  

 

 

 
        100.0  
     

 

 

 

Top 10 Portfolio Holdings as of June 30, 2017 (1) (2) (3)

 

        % of Net Assets  
  1.    Lazard International Equity Class R6      13.0  
  2.    Templeton Foreign Class R6      12.0  
  3.    Ohio National Fund, Inc. – Strategic Value Portfolio      11.0  
  4.    Ohio National Fund, Inc. – Equity Portfolio      8.0  
  5.    Ohio National Fund, Inc. – Balanced Portfolio      7.0  
  6.    Ohio National Fund, Inc. – S&P 500® Index Portfolio      7.0  
  7.    Lazard Emerging Markets Equity Class R6      5.0  
  8.    Ohio National Fund, Inc. – ClearBridge Small Cap Portfolio      5.0  
  9.    Ohio National Fund, Inc. – Small Cap Growth Portfolio      5.0  
10.    Fidelity Advisor® Mid Cap II Class I      4.0  
 

 

 

(1) 

Composition of Portfolio subject to change.

 

(2) 

Short-term investments have been excluded from the list of Top 10 Portfolio Holdings.

 

(3) 

Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher.

 

 

  127  


Ohio National Fund, Inc.   ON Growth Model Portfolio

 

Schedule of Investments

  June 30, 2017 (Unaudited)

 

Open-End Mutual Funds – 7.0%        Shares     Value  

Lazard Emerging Markets Equity Class R6

      1,446,690     $ 26,040,428  

PIMCO Real Return Institutional

      955,372       10,451,771  
     

 

 

 

Total Open-End Mutual Funds

      $ 36,492,199  
     

 

 

 

Total Investments in Securities of Unaffiliated Issuers – 7.0% (Cost $35,700,864)

  (a)     $ 36,492,199  

Total Investments in Affiliates – 93.0% (Cost $467,278,230) (see schedule below)

  (a)       484,351,956  

Liabilities in Excess of Other Assets – 0.0%

        (105,191)  
     

 

 

 

Net Assets – 100.0%

      $     520,738,964  
     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements.

The accompanying notes are an integral part of these financial statements.

 

Schedule of Investments in Affiliates

  June 30, 2017 (Unaudited)

Affiliate

        Value at
March 1, 2017
(Inception)
    Cost of
Purchases
    Proceeds
from Sales
    Net
Realized
Gain (Loss)
    Change in
Unrealized
Appreciation
(Depreciation)
    Income
Distributions
    Capital Gain
Distributions
    Shares at
June 30,
2017
    Value at
June 30, 2017
 

Open-End Mutual Funds – 93.0%

     

Fidelity Advisor® Mid Cap II Class I

    (b   $   —     $   20,792,335     $ 508,085     $ 6,446     $ 541,646     $     $       1,003,002     $ 20,832,342  

Fidelity Advisor® Real Estate Class I

    (b           10,842,279       479,404       2,074       51,222       19,032             452,287       10,416,171  

Goldman Sachs Large Cap Value Institutional

    (b           26,052,738       10,188,057       (306,865     66,441                   881,730       15,624,257  

Lazard International Equity Class R6

    (b           67,317,390       5,070,378       263,745       5,194,355                   3,730,309       67,705,112  

Ohio National Fund, Inc. – Equity Portfolio

    (a )(b)            42,356,481       1,045,513       2,251       351,465                   1,081,638       41,664,684  

Ohio National Fund, Inc. – Capital Appreciation Portfolio

    (a )(b)            21,211,232       234,162       (2,026     (142,702                 525,141       20,832,342  

Ohio National Fund, Inc. – Bristol Growth Portfolio

    (a )(b)            15,513,712       647,960       21,607       736,898                   736,299       15,624,257  

Ohio National Fund, Inc. – Balanced Portfolio

    (a )(b)            36,194,764       442,583       1,813       702,605                   1,724,532       36,456,599  

Ohio National Fund, Inc. – Bryton Growth Portfolio

    (a )(b)            10,568,888       803,840       26,420       624,703                   459,469       10,416,171  

Ohio National Fund, Inc. – Bristol Portfolio

    (a )(b)            20,772,474       617,489       10,048       667,309                   780,530       20,832,342  

Ohio National Fund, Inc. – ClearBridge Small Cap Portfolio

    (a )(b)            26,512,377       1,153,532       10,572       671,011                   477,281       26,040,428  

Ohio National Fund, Inc. – High Income Bond Portfolio

    (a )(b)            15,664,018       327,737       1,380       286,596                   821,897       15,624,257  

Ohio National Fund, Inc. – Strategic Value Portfolio

    (a )(b)            57,120,431       1,576,847       46,475       1,698,882                   3,391,885       57,288,941  

Ohio National Fund, Inc. – S&P 500® Index Portfolio

    (a )(b)            36,445,132       783,472       9,031       785,908                   1,373,647       36,456,599  

Ohio National Fund, Inc. – Small Cap Growth Portfolio

    (a )(b)            25,844,092       1,449,358       51,792       1,593,902                   862,551       26,040,428  

Templeton Foreign Class R6

    (b           62,870,408       3,785,166       168,299       3,243,485                   8,169,546       62,497,026  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

Total Open-End Mutual Funds

          $ 313,062     $ 17,073,726     $ 19,032     $   —       $ 484,351,956  
         

 

 

   

 

 

   

 

 

   

 

 

     

 

 

 

 

 

Percentages are stated as a percent of net assets.

Footnotes:

 

  (a) Non-income producing security.

 

  (b) Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person,” as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding.

 

The accompanying notes are an integral part of these financial statements.

 

  128  


Ohio National Fund, Inc.

 

    Statements of Assets and Liabilities    June 30, 2017 (Unaudited)  

 

                            ON                          
                      Capital     International           Aggressive     Small Cap     Mid Cap  
    Equity     Bond     Omni     Appreciation     Equity     ON Foreign     Growth     Growth     Opportunity  
     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio  

Assets:

                 

Investments in securities of unaffiliated issuers, at value*

  $ 570,126,039     $ 162,913,849     $ 62,141,138     $ 190,308,121     $ 156,791,450     $ 79,118,173     $ 56,571,972     $ 249,684,472     $ 74,868,645  

Cash

                327,008                                     10,247  

Foreign currencies, at value**

                            462,741       3,471             15,264        

Receivable for securities sold

    1,093,961             1,396,216       1,008,492                   370,605       1,284,245       988,005  

Receivable for fund shares sold

    647,607       174,145       35,054       877,816       60,704       50,083       9,557       39,842       13,056  

Dividends and accrued interest receivable

    204,463       1,526,536       170,966       173,635       182,542       174,980       20,053       96,911       21,864  

Foreign tax reclaim receivable

                      47,944       542,286       66,569       2,264       17,043        

Prepaid expenses and other assets

    6,706       1,811       1,744       2,293       1,687       793       596       2,687       824  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    572,078,776       164,616,341       64,072,126       192,418,301       158,041,410       79,414,069       56,975,047       251,140,464       75,902,641  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

                 

Payable for securities purchased

                1,585,872       2,444,649       730,128       853,929       298,652       1,483,470       943,074  

Payable for fund shares redeemed

    4,686,466       74,125       88,118       191,290       3,697,438       32,371       96,179       1,519,475       80,167  

Payable for investment management services

    354,207       75,813       30,781       121,379       108,448       44,737       37,944       159,728       52,873  

Accrued custody expense

    2,634       1,126       2,002       1,525       25,384       9,866       1,113       4,079       1,765  

Accrued professional fees

    5,904       5,519       5,420       5,543       5,514       5,436       5,415       5,597       5,433  

Accrued accounting fees

    12,530       6,972       4,484       4,964       8,048       5,548       2,079       6,414       2,600  

Accrued printing and filing fees

    6,193       1,799       681       2,056       1,713       847       634       2,711       819  

Other fees payable

    5,120       3,682       3,323       3,765       3,635       3,358       3,306       3,966       3,366  

Withholding tax payable

                            28,325       14,032             127        
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    5,073,054       169,036       1,720,681       2,775,171       4,608,633       970,124       445,322       3,185,567       1,090,097  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 567,005,722     $ 164,447,305     $ 62,351,445     $ 189,643,130     $ 153,432,777     $ 78,443,945     $ 56,529,725     $ 247,954,897     $ 74,812,544  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets consist of:

                 

Par value, $1 per share

  $ 14,718,899     $ 9,588,271     $ 2,117,016     $ 4,780,008     $ 11,113,755     $ 2,470,320     $ 3,071,457     $ 8,213,958     $ 2,145,298  

Paid in capital in excess of par value

    449,133,804       148,494,443       49,866,949       147,822,779       192,354,909       61,295,326       35,248,400       178,196,235       55,370,341  

Accumulated net realized gain (loss) on investments

    28,201,062       (6,185,682     3,848,247       9,557,810       (55,321,315     12,809,924       6,368,362       9,369,723       4,767,747  

Net unrealized appreciation (depreciation) on:

                 

Investments

    67,375,498       4,499,355       5,662,938       22,479,043       3,754,075       822,509       11,817,148       52,405,859       12,597,542  

Foreign currency related transactions

                      (414     2,022       348       (72     405        

Undistributed net investment income (loss)

    7,576,459       8,050,918       856,295       5,003,904       1,529,331       1,045,518       24,430       (231,283     (68,384
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 567,005,722     $ 164,447,305     $ 62,351,445     $ 189,643,130     $ 153,432,777     $ 78,443,945     $ 56,529,725     $ 247,954,897     $ 74,812,544  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

*Investments in securities of unaffiliated issuers, at cost

  $ 502,750,541     $ 158,414,494     $ 56,478,200     $ 167,829,078     $ 153,037,375     $ 78,295,664     $ 44,754,824     $ 197,278,613     $ 62,271,103  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

**Foreign currencies, at cost

  $     $     $     $     $ 466,406     $ 3,709     $     $ 15,100     $  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding

    14,718,899       9,588,271       2,117,016       4,780,008       11,113,755       2,470,320       3,071,457       8,213,958       2,145,298  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Authorized Fund shares allocated to Portfolio

    35,000,000       30,000,000       15,000,000       25,000,000       90,000,000       32,000,000       24,000,000       30,000,000       21,000,000  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share

  $ 38.52     $ 17.15     $ 29.45     $ 39.67     $ 13.81     $ 31.75     $ 18.40     $ 30.19     $ 34.87  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

The accompanying notes are an integral part of these financial statements.

129


Ohio National Fund, Inc.

 

    Statements of Assets and Liabilities    June 30, 2017 (Unaudited)  

 

                                                    S&P  
    S&P 500®     Strategic     High Income     ClearBridge     Nasdaq-100®           Bryton           MidCap 400®  
    Index     Value     Bond     Small Cap     Index     Bristol     Growth     Balanced     Index  
     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio  

Assets:

                 

Investments in securities of unaffiliated issuers, at value*

  $ 902,685,587     $ 581,384,687     $ 315,807,079     $ 289,161,665     $ 195,323,373     $ 216,803,104     $ 97,250,719     $ 1,012,296,934     $ 56,966,929  

Cash

                                        135,717       3,078,593        

Cash subject to usage restrictions

    105,865                         154,157                         105,627  

Receivable for securities sold

                606,362                   5,535,771       3,129,698       539,606       3,635  

Receivable for fund shares sold

    669,671       4,817,939       88,275       27,187       116,821       30,271       17,559       354,342       21,812  

Dividends and accrued interest receivable

    899,255       3,292,999       4,891,401       221,623       64,852       211,857       21,487       4,440,696       59,054  

Foreign tax reclaim receivable

          389,919       918                                     14,137  

Prepaid expenses and other assets

    9,723       5,525       3,492       3,000       1,912       6,064       2,784       11,294       557  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    904,370,101       589,891,069       321,397,527       289,413,475       195,661,115       222,587,067       100,557,964       1,020,721,465       57,171,751  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

                 

Cash overdraft

    7,607                         24,479                         3,999  

Payable for securities purchased

    382,222             1,928,842       6,096,110       1,965,345       4,937,738       3,324,980       26,875,304       290,512  

Payable for fund shares redeemed

    604,875       168,047       651,007       2,839,248       492,263       917,807       1,111,717       1,914,409       28,954  

Payable for investment management services

    254,750       342,461       175,945       192,887       60,753       132,044       67,472       479,084       18,278  

Accrued custody expense

    8,125       7,670       2,303       1,812       4,182       2,397       2,943       5,643       11,092  

Accrued professional fees

    6,236       5,920       5,669       5,628       5,551       5,564       5,452       6,322       5,413  

Accrued accounting fees

    20,817       11,195       16,779       6,743       4,883       5,176       2,891       22,431       3,358  

Accrued printing and filing fees

    9,877       6,448       3,463       3,011       2,148       2,374       1,047       10,811       612  

Other fees payable

    6,211       4,836       4,219       4,054       3,754       3,807       3,408       6,533       3,277  

Withholding tax payable

          45,190             2,317                                
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    1,300,720       591,767       2,788,227       9,151,810       2,563,358       6,006,907       4,519,910       29,320,537       365,495  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 903,069,381     $ 589,299,302     $ 318,609,300     $ 280,261,665     $ 193,097,757     $ 216,580,160     $ 96,038,054     $ 991,400,928     $ 56,806,256  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets consist of:

                 

Par value, $1 per share

  $ 34,022,940     $ 34,893,023     $ 16,763,854     $ 5,136,769     $ 13,163,070     $ 8,114,888     $ 4,236,463     $ 46,899,547     $ 3,553,763  

Paid in capital in excess of par value

    603,487,244       458,351,765       279,472,789       218,990,286       90,206,142       158,797,415       90,224,810       844,750,792       50,386,739  

Accumulated net realized gain (loss) on investments

    17,669,363       41,036,073       (5,208,596     21,121,094       8,021,192       25,020,006       (5,909,297     13,141,437       719,847  

Net unrealized appreciation (depreciation) on:

                 

Investments

    231,336,212       32,217,412       6,770,914       33,606,111       79,827,569       23,154,524       7,766,097       59,502,208       1,370,240  

Futures contracts

    (12,103                       (24,515                       (3,966

Foreign currency related transactions

          23,921                                            

Undistributed net investment income (loss)

    16,565,725       22,777,108       20,810,339       1,407,405       1,904,299       1,493,327       (280,019     27,106,944       779,633  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 903,069,381     $ 589,299,302     $ 318,609,300     $ 280,261,665     $ 193,097,757     $ 216,580,160     $ 96,038,054     $ 991,400,928     $ 56,806,256  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

*Investments in securities of unaffiliated issuers, at cost

  $ 671,349,375     $ 549,167,275     $ 309,036,165     $ 255,555,554     $ 115,495,804     $ 193,648,580     $ 89,484,622     $ 952,794,726     $ 55,596,689  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding

    34,022,940       34,893,023       16,763,854       5,136,769       13,163,070       8,114,888       4,236,463       46,899,547       3,553,763  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Authorized Fund shares allocated to Portfolio

    90,000,000       75,000,000       45,000,000       15,000,000       50,000,000       23,000,000       15,000,000       90,000,000       30,000,000  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share

  $ 26.54     $ 16.89     $ 19.01     $ 54.56     $ 14.67     $ 26.69     $ 22.67     $ 21.14     $ 15.98  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

 

The accompanying notes are an integral part of these financial statements.

130


Ohio National Fund, Inc.

 

    Statements of Assets and Liabilities    June 30, 2017 (Unaudited)  

 

                ON     ON Moderately                    
    Bristol     Risk Managed     Conservative     Conservative     ON Balanced     ON Moderate     ON  
    Growth     Balanced     Model     Model     Model     Growth Model     Growth Model  
     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio  

Assets:

             

Investments in securities of unaffiliated issuers, at value*

  $ 123,430,250     $ 322,715,949     $ 73,095,506     $ 172,064,842     $ 529,208,621     $ 491,364,063     $ 36,492,199  

Investments in affiliates, at value**

                32,752,812       164,881,709       1,024,892,154       2,089,984,335       484,351,956  

Cash subject to usage restrictions

          741,628                                

Receivable for securities sold

    2,947,717       2,425,668       497,585       1,079,202       3,416,786       10,054,289       1,633,974  

Receivable for fund shares sold

    402,636       150,957             943       88,447       741,485       68,040  

Dividends and accrued interest receivable

    106,076       818,690       194,080       453,255       1,233,833       1,121,194       35,600  

Prepaid expenses and other assets

    3,540       3,224       1,834       3,101       13,474       21,633       4,476  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total assets

    126,890,219       326,856,116       106,541,817       338,483,052       1,558,853,315       2,593,286,999       522,586,245  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Liabilities:

             

Cash overdraft

          147,590                                

Payable for securities purchased

    2,801,711       2,822,100       351,893       952,192       4,375,320       11,372,683       1,686,480  

Payable for fund shares redeemed

    70,614       475,014       339,777       581,221       363,790       543,915       51,134  

Payable for investment management services

    79,618       240,869       9,816       69,666       318,157       479,612       85,579  

Accrued custody expense

    2,067       9,938       1,808       2,178       2,628       3,038       2,603  

Accrued professional fees

    5,480       5,673       5,371       5,597       6,776       7,760       5,766  

Accrued accounting fees

    3,403       19,330       3,913       3,913       3,913       3,913       3,913  

Accrued printing and filing fees

    1,357       3,553       1,159       3,681       16,934       28,076       5,650  

Other fees payable

    3,509       4,169       4,746       5,559       9,818       13,340       6,156  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total liabilities

    2,967,759       3,728,236       718,483       1,624,007       5,097,336       12,452,337       1,847,281  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 123,922,460     $ 323,127,880     $ 105,823,334     $ 336,859,045     $ 1,553,755,979     $ 2,580,834,662     $ 520,738,964  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets consist of:

             

Par value, $1 per share

  $ 5,840,912     $ 27,084,711     $ 10,344,789     $ 32,817,674     $ 151,299,796     $ 249,444,645     $ 50,285,919  

Paid in capital in excess of par value

    85,301,150       266,584,859       93,100,785       295,222,330       1,349,906,274       2,253,824,356       452,499,134  

Accumulated net realized gain on investments

    15,312,075       3,920,380       72,598       307,941       1,576,581       1,306,478       357,491  

Net unrealized appreciation (depreciation) on:

             

Investments

    16,881,344       21,621,834       1,682,746       7,107,570       47,759,396       74,579,553       17,865,061  

Futures contracts

          (382,361                              

Undistributed net investment income (loss)

    586,979       4,298,457       622,416       1,403,530       3,213,932       1,679,630       (268,641
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net assets

  $ 123,922,460     $ 323,127,880     $ 105,823,334     $ 336,859,045     $ 1,553,755,979     $ 2,580,834,662     $ 520,738,964  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

*Investments in securities of unaffiliated issuers, at cost

  $ 106,548,906     $ 301,094,115     $ 72,344,073     $ 170,051,672     $ 520,071,878     $ 482,810,673     $ 35,700,864  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

**Investments in affiliates, at cost

  $     $     $ 31,821,499     $ 159,787,309     $ 986,269,501     $ 2,023,958,172     $ 467,278,230  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Shares outstanding

    5,840,912       27,084,711       10,344,789       32,817,674       151,299,796       249,444,645       50,285,919  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Authorized Fund shares allocated to Portfolio

    30,000,000       85,000,000       30,000,000       70,000,000       200,000,000       300,000,000       100,000,000  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net asset value per share

  $ 21.22     $ 11.93     $ 10.23     $ 10.26     $ 10.27     $ 10.35     $ 10.36  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The accompanying notes are an integral part of these financial statements.

131


Ohio National Fund, Inc.

 

     Statements of Operations    For the Six-Month Period Ended June 30, 2017 (Unaudited)   

 

                                 ON                            
                          Capital      International           Aggressive      Small Cap      Mid Cap  
     Equity      Bond      Omni      Appreciation      Equity     ON Foreign     Growth      Growth      Opportunity  
      Portfolio      Portfolio      Portfolio      Portfolio      Portfolio     Portfolio     Portfolio      Portfolio      Portfolio  

Investment income:

                        

Interest

   $      $ 3,198,943      $ 246,812      $      $ 936     $     $ 1,165      $ 5,044      $  

Dividends from unaffiliated issuers, net of taxes withheld*

     4,317,115        7,727        293,259        1,429,474        2,467,743       967,087       278,701        1,034,445        289,052  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Total investment income

     4,317,115        3,206,670        540,071        1,429,474        2,468,679       967,087       279,866        1,039,489        289,052  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Expenses:

                        

Management fees

     2,143,892        452,640        180,361        737,622        636,690       343,620       215,086        941,970        312,674  

Custodian fees

     7,912        3,333        6,007        4,578        75,855       39,434       3,617        13,062        4,626  

Directors’ fees

     19,846        5,754        2,134        6,629        5,494       2,667       1,903        8,475        2,611  

Professional fees

     20,285        12,398        10,447        12,988        12,234       10,679       10,312        13,945        10,709  

Accounting fees

     37,973        20,836        13,429        15,048        24,551       16,594       6,175        19,331        7,782  

Administration fees

     9,640        9,356        9,338        9,455        9,299       9,272       9,346        9,435        9,334  

Printing and filing fees

     8,959        2,751        2,370        3,079        3,405       1,879       1,005        3,978        1,281  

Compliance expense

     6,933        6,933        6,933        6,933        6,933       6,933       6,933        6,933        6,933  

Other

     10,438        2,415        1,112        5,931        3,694       1,990       1,059        4,744        1,486  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Total expenses

     2,265,878        516,416        232,131        802,263        778,155       433,068       255,436        1,021,873        357,436  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Net investment income (loss)

     2,051,237        2,690,254        307,940        627,211        1,690,524       534,019       24,430        17,616        (68,384
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Realized/unrealized gain on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions:

                        

Net realized gain (loss) on:

                        

Investments in securities of unaffiliated issuers

     16,847,312        462,043        4,364,681        7,096,527        19,799,309       11,928,247       2,804,429        4,970,618        5,299,237  

Futures contracts

                                 773,873                            

Foreign currency contracts

                                       (24,837                    

Other foreign currency related transactions

                                 (194,379     101,959              309         

Change in unrealized appreciation/depreciation on:

                        

Investments in securities of unaffiliated issuers

     18,530,979        2,746,388        718,271        2,145,940        855,049       (2,802,431     5,990,679        25,647,736        4,923,156  

Futures contracts

                                 (61,320                          

Foreign currency related transactions

                          3,758        25,233       11,835       132        1,327         
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Net realized/unrealized gain on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions

     35,378,291        3,208,431        5,082,952        9,246,225        21,197,765       9,214,773       8,795,240        30,619,990        10,222,393  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

Change in net assets from operations

   $ 37,429,528      $ 5,898,685      $ 5,390,892      $ 9,873,436      $ 22,888,289     $ 9,748,792     $ 8,819,670      $ 30,637,606      $ 10,154,009  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

*Taxes withheld

   $      $      $ 1,398      $ 7,240      $ 370,480     $ 103,929     $ 840      $ 10,142      $  
  

 

 

    

 

 

    

 

 

    

 

 

    

 

 

   

 

 

   

 

 

    

 

 

    

 

 

 

 

The accompanying notes are an integral part of these financial statements.

132


Ohio National Fund, Inc.

 

    Statements of Operations    For the Six-Month Period Ended June 30, 2017 (Unaudited)   

 

                                                        S&P  
     S&P 500®      Strategic     High Income      ClearBridge      Nasdaq-100®           Bryton           MidCap 400®  
     Index      Value     Bond      Small Cap      Index     Bristol     Growth     Balanced     Index  
      Portfolio      Portfolio     Portfolio      Portfolio      Portfolio     Portfolio     Portfolio     Portfolio     Portfolio  

Investment income:

                     

Interest

   $ 193      $     $ 9,261,525      $      $ 71     $     $     $ 6,533,431     $ 16  

Dividends from unaffiliated issuers, net of taxes withheld*

     8,986,736        13,552,140       207,752        1,529,557        1,142,475       1,307,627       176,638       6,763,253       401,509  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     8,986,929        13,552,140       9,469,277        1,529,557        1,142,546       1,307,627       176,638       13,296,684       401,525  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

                     

Management fees

     1,494,917        1,805,786       1,054,907        1,140,190        338,883       780,035       401,794       2,844,644       103,031  

Custodian fees

     28,105        21,879       6,783        8,056        12,785       8,297       9,534       19,387       37,019  

Directors’ fees

     31,134        17,411       11,188        9,665        6,533       7,322       3,308       34,588       1,845  

Professional fees

     26,087        18,801       15,389        14,629        12,753       13,317       11,114       28,113       11,212  

Accounting fees

     62,440        33,619       50,448        20,281        14,351       15,590       8,712       67,234       10,600  

Administration fees

     9,486        9,409       9,374        9,339        9,316       9,323       9,301       9,559       9,265  

Printing and filing fees

     9,276        9,187       5,194        4,495        1,650       13,236       3,450       15,553       1,919  

Compliance expense

     6,933        6,933       6,933        6,934        6,933       6,933       6,933       6,933       6,933  

Other

     13,623        8,528       4,263        3,859        3,116       4,263       2,511       19,235       944  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     1,682,001        1,931,553       1,164,479        1,217,448        406,320       858,316       456,657       3,045,246       182,768  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     7,304,928        11,620,587       8,304,798        312,109        736,226       449,311       (280,019     10,251,438       218,757  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Realized/unrealized gain on investments, futures contracts, foreign currency related transactions, and written options:

                     

Net realized gain (loss) on:

                     

Investments in securities of unaffiliated issuers

     12,813,202        14,801,243       1,183,905        11,760,744        4,769,237       23,176,353       3,885,509       8,512,139       683,414  

Futures contracts

     1,068,651                            267,053                         29,172  

Foreign currency related transactions

            (97,568                                            

Written options

                                                  412,834        

Change in unrealized appreciation/depreciation on:

                     

Investments in securities of unaffiliated issuers

     55,185,040        13,903,008       5,903,905        5,451,770        20,646,072       (1,475,334     6,096,784       41,718,597       1,759,973  

Futures contracts

     99,156                            (9,154                       2,867  

Foreign currency related transactions

            38,840                                              

Written options

                                                  (259,478      
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized/unrealized gain on investments, futures contracts, foreign currency related transactions, and written options

     69,166,049        28,645,523       7,087,810        17,212,514        25,673,208       21,701,019       9,982,293       50,384,092       2,475,426  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets from operations

   $ 76,470,977      $ 40,266,110     $ 15,392,608      $ 17,524,623      $ 26,409,434     $ 22,150,330     $ 9,702,274     $ 60,635,530     $ 2,694,183  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

*Taxes withheld

   $      $ 337,512     $      $ 4,549      $     $ 6,253     $     $ 21,094     $ 9  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The accompanying notes are an integral part of these financial statements.

133


Ohio National Fund, Inc.

 

    Statements of Operations    For the Six-Month Period Ended June 30, 2017 (Unaudited)   

 

                   ON     ON Moderately                    
     Bristol      Risk Managed      Conservative     Conservative     ON Balanced     ON Moderate     ON  
     Growth      Balanced      Model     Model     Model     Growth Model     Growth Model  
      Portfolio      Portfolio      Portfolio**     Portfolio**     Portfolio**     Portfolio**     Portfolio**  

Investment income:

                

Interest

   $      $ 1,468,161      $     $     $     $     $  

Dividends from unaffiliated issuers, net of taxes withheld*

     696,861        2,037,052        723,907       1,710,994       4,461,296       3,544,597       125,412  

Dividends from affililiates

                         12,472       57,631       95,335       19,032  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total investment income

     696,861        3,505,213        723,907       1,723,466       4,518,927       3,639,932       144,444  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Expenses:

                

Management fees

     478,412        1,344,076        133,828       428,856       1,867,291       2,882,655       650,826  

Custodian fees

     6,764        27,474        3,617       4,357       5,257       6,077       5,207  

Directors’ fees

     4,309        10,808        3,685       11,849       54,847       89,785       17,864  

Professional fees

     11,655        15,069        7,077       9,992       25,370       38,067       12,156  

Accounting fees

     10,227        57,170        7,827       7,827       7,827       7,827       7,827  

Administration fees

     9,290        9,329        8,750       8,750       8,750       8,750       8,750  

Printing and filing fees

     4,423        5,271        3,158       5,655       23,848       38,710       8,264  

Compliance expense

     6,933        6,933        4,267       4,267       4,267       4,266       4,267  

Other

     2,401        5,067        719       2,332       10,868       17,891       3,522  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Total expenses

     534,414        1,481,197        172,928       483,885       2,008,325       3,094,028       718,683  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Less expenses reduced or reimbursed by advisor

                   (71,437     (163,949     (703,330     (1,133,726     (305,598
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net expenses

     534,414        1,481,197        101,491       319,936       1,304,995       1,960,302       413,085  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net investment income (loss)

     162,447        2,024,016        622,416       1,403,530       3,213,932       1,679,630       (268,641
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Realized/unrealized gain on investments, futures contracts, and foreign currency related transactions:

                

Net realized gain (loss) on:

                

Investments in securities of unaffiliated issuers

     12,004,786        2,275,101        30,000       71,726       370,426       218,276       44,429  

Investments in affiliates

                   42,598       236,215       1,206,155       1,088,202       313,062  

Futures contracts

            3,990,768                                 

Foreign currency related transactions

            78                                 

Change in unrealized appreciation/depreciation on:

                

Investments in securities of unaffiliated issuers

     3,783,114        13,520,069        751,433       2,013,170       9,136,743       8,553,390       791,335  

Investments in affiliates

                   931,313       5,094,400       38,622,653       66,026,163       17,073,726  

Futures contracts

            547,476                                 
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net realized/unrealized gain on investments, futures contracts, and foreign currency related transactions

     15,787,900        20,333,492        1,755,344       7,415,511       49,335,977       75,886,031       18,222,552  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets from operations

   $ 15,950,347      $ 22,357,508      $ 2,377,760     $ 8,819,041     $ 52,549,909     $ 77,565,661     $ 17,953,911  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

*Taxes withheld

   $ 3,691      $ 1,649      $     $     $     $     $  
  

 

 

    

 

 

    

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

** For the period from March 1, 2017 (inception) to June 30, 2017 (Unaudited)

 

The accompanying notes are an integral part of these financial statements.

134


Ohio National Fund, Inc.

 

    Statements of Changes in Net Assets   

 

     Equity   Bond   Omni   Capital Appreciation
     Portfolio   Portfolio   Portfolio   Portfolio
     Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended
     Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,
     2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016

Increase (Decrease) in net assets:

                                

Operations:

                                

Net investment income

     $ 2,051,237     $ 5,567,497     $ 2,690,254     $ 5,360,664     $ 307,940     $ 548,355     $ 627,211     $ 4,370,483

Net realized gain on investments and foreign currency related transactions

       16,847,312       13,905,247       462,043       1,222,360       4,364,681       102,741       7,096,527       3,967,555

Change in unrealized appreciation on investments and foreign currency related transactions

       18,530,979       45,292,838       2,746,388       5,678,977       718,271       4,237,353       2,149,698       29,929,870
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from operations

       37,429,528       64,765,582       5,898,685       12,262,001       5,390,892       4,888,449       9,873,436       38,267,908
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Capital transactions:

                                

Received from shares sold

       394,188,965       74,625,434       30,037,557       43,120,961       4,568,224       22,508,648       77,179,798       26,186,350

Paid for shares redeemed

       (446,426,877 )       (92,865,870 )       (30,191,797 )       (50,720,513 )       (5,493,184 )       (18,210,716 )       (93,118,103 )       (299,174,418 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from capital transactions

       (52,237,912 )       (18,240,436 )       (154,240 )       (7,599,552 )       (924,960 )       4,297,932       (15,938,305 )       (272,988,068 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets

       (14,808,384 )       46,525,146       5,744,445       4,662,449       4,465,932       9,186,381       (6,064,869 )       (234,720,160 )

Net assets:

                                

Beginning of period

       581,814,106       535,288,960       158,702,860       154,040,411       57,885,513       48,699,132       195,707,999       430,428,159
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

End of period

     $ 567,005,722     $ 581,814,106     $ 164,447,305     $ 158,702,860     $ 62,351,445     $ 57,885,513     $ 189,643,130     $ 195,707,999
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Undistributed net investment income

     $ 7,576,459     $ 5,525,222     $ 8,050,918     $ 5,360,664     $ 856,295     $ 548,355     $ 5,003,904     $ 4,376,693
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

The accompanying notes are an integral part of these financial statements.

135


Ohio National Fund, Inc.

 

    Statements of Changes in Net Assets   

 

     ON International Equity   ON Foreign   Aggressive Growth   Small Cap Growth
     Portfolio   Portfolio   Portfolio   Portfolio
     Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended
     Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,
     2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016

Increase (Decrease) in net assets:

                                

Operations:

                                

Net investment income (loss)

     $ 1,690,524     $ 2,311,311     $ 534,019     $ 611,684     $ 24,430     $ (48,739 )     $ 17,616     $ 94,462

Net realized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions

       20,378,803       (2,908,384 )       12,005,369       1,355,648       2,804,429       3,612,672       4,970,927       4,425,258

Change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions

       818,962       (7,063,923 )       (2,790,596 )       (7,904,384 )       5,990,811       (1,590,805 )       25,649,063       9,943,195
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from operations

       22,888,289       (7,660,996 )       9,748,792       (5,937,052 )       8,819,670       1,973,128       30,637,606       14,462,915
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Capital transactions:

                                

Received from shares sold

       10,796,917       18,416,529       15,247,053       15,529,970       5,870,719       17,503,430       150,796,324       35,048,894

Paid for shares redeemed

       (21,777,338 )       (28,208,183 )       (13,224,890 )       (21,246,851 )       (8,026,398 )       (20,962,621 )       (165,785,939 )       (55,439,909 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from capital transactions

       (10,980,421 )       (9,791,654 )       2,022,163       (5,716,881 )       (2,155,679 )       (3,459,191 )       (14,989,615 )       (20,391,015 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets

       11,907,868       (17,452,650 )       11,770,955       (11,653,933 )       6,663,991       (1,486,063 )       15,647,991       (5,928,100 )

Net assets:

                                

Beginning of period

       141,524,909       158,977,559       66,672,990       78,326,923       49,865,734       51,351,797       232,306,906       238,235,006
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

End of period

     $ 153,432,777     $ 141,524,909     $ 78,443,945     $ 66,672,990     $ 56,529,725     $ 49,865,734     $ 247,954,897     $ 232,306,906
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Undistributed net investment income (loss)

     $ 1,529,331     $ (161,193 )     $ 1,045,518     $ 511,499     $ 24,430     $     $ (231,283 )     $ (248,899 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

The accompanying notes are an integral part of these financial statements.

136


Ohio National Fund, Inc.

 

    Statements of Changes in Net Assets   

 

     Mid Cap Opportunity   S&P 500® Index   Strategic Value   High Income Bond
     Portfolio   Portfolio   Portfolio   Portfolio
     Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended
     Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,
     2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016

Increase (Decrease) in net assets:

                                

Operations:

                                

Net investment income (loss)

     $ (68,384 )     $ (215,629 )     $ 7,304,928     $ 9,504,257     $ 11,620,587     $ 11,653,440     $ 8,304,798     $ 12,498,039

Net realized gain (loss) on investments, futures contracts, and foreign currency related transactions

       5,299,237       (338,817 )       13,881,853       7,146,352       14,703,675       25,978,158       1,183,905       (5,416,854 )

Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions

       4,923,156       1,686,385       55,284,196       44,613,505       13,941,848       (5,901,300 )       5,903,905       20,481,746
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from operations

       10,154,009       1,131,939       76,470,977       61,264,114       40,266,110       31,730,298       15,392,608       27,562,931
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Capital transactions:

                                

Received from shares sold

       3,892,646       11,015,154       414,490,211       481,935,063       496,677,473       230,579,093       217,907,731       145,585,402

Paid for shares redeemed

       (9,432,369 )       (20,652,206 )       (430,531,203 )       (111,283,422 )       (423,165,557 )       (96,596,881 )       (228,448,507 )       (53,611,878 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from capital transactions

       (5,539,723 )       (9,637,052 )       (16,040,992 )       370,651,641       73,511,916       133,982,212       (10,540,776 )       91,973,524
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets

       4,614,286       (8,505,113 )       60,429,985       431,915,755       113,778,026       165,712,510       4,851,832       119,536,455

Net assets:

                                

Beginning of period

       70,198,258       78,703,371       842,639,396       410,723,641       475,521,276       309,808,766       313,757,468       194,221,013
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

End of period

     $ 74,812,544     $ 70,198,258     $ 903,069,381     $ 842,639,396     $ 589,299,302     $ 475,521,276     $ 318,609,300     $ 313,757,468
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Undistributed net investment income (loss)

     $ (68,384 )     $     $ 16,565,725     $ 9,260,797     $ 22,777,108     $ 11,156,521     $ 20,810,339     $ 12,505,541
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

The accompanying notes are an integral part of these financial statements.

137


Ohio National Fund, Inc.

 

    Statements of Changes in Net Assets   

 

 

     ClearBridge Small Cap   Nasdaq-100® Index   Bristol   Bryton Growth
     Portfolio   Portfolio   Portfolio   Portfolio
     Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended   Six-Month Period   Year Ended
     Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,   Ended June 30,   December 31,
     2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016   2017 (Unaudited)   2016

Increase (Decrease) in net assets:

                                

Operations:

                                

Net investment income (loss)

     $ 312,109     $ 1,201,809     $ 736,226     $ 1,168,073     $ 449,311     $ 1,044,015     $ (280,019 )     $ (860,516 )

Net realized gain (loss) on investments and futures contracts

       11,760,744       9,259,292       5,036,290       3,504,093       23,176,353       5,891,996       3,885,509       (7,638,999 )

Change in unrealized appreciation/depreciation on investments and futures contracts

       5,451,770       27,407,702       20,636,918       4,693,663       (1,475,334 )       16,891,694       6,096,784       15,613,273
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from operations

       17,524,623       37,868,803       26,409,434       9,365,829       22,150,330       23,827,705       9,702,274       7,113,758
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Capital transactions:

                                

Received from shares sold

       199,186,060       176,227,241       38,390,151       62,657,502       172,542,191       17,790,000       73,335,944       23,716,928

Paid for shares redeemed

       (212,163,084 )       (32,385,445 )       (27,758,261 )       (54,533,803 )       (186,036,506 )       (52,376,277 )       (81,587,537 )       (98,411,908 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets from capital transactions

       (12,977,024 )       143,841,796       10,631,890       8,123,699       (13,494,315 )       (34,586,277 )       (8,251,593 )       (74,694,980 )
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Change in net assets

       4,547,599       181,710,599       37,041,324       17,489,528       8,656,015       (10,758,572 )       1,450,681       (67,581,222 )

Net assets:

                                

Beginning of period

       275,714,066       94,003,467       156,056,433       138,566,905       207,924,145       218,682,717       94,587,373       162,168,595
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

End of period

     $ 280,261,665     $ 275,714,066     $ 193,097,757     $ 156,056,433     $ 216,580,160     $ 207,924,145     $ 96,038,054     $ 94,587,373
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

Undistributed net investment income (loss)

     $ 1,407,405     $ 1,095,296     $ 1,904,299     $ 1,168,073     $ 1,493,327     $ 1,044,016     $ (280,019 )     $
    

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

 

 

The accompanying notes are an integral part of these financial statements.

138


Ohio National Fund, Inc.

 

    Statements of Changes in Net Assets   

 

                 S&P                          
     Balanced     MidCap 400® Index     Bristol Growth     Risk Managed Balanced  
     Portfolio     Portfolio     Portfolio     Portfolio  
     Six-Month Period     Year Ended     Six-Month Period     Year Ended     Six-Month Period     Year Ended     Six-Month Period     Year Ended  
     Ended June 30,     December 31,     Ended June 30,     December 31,     Ended June 30,     December 31,     Ended June 30,     December 31,  
     2017 (Unaudited)     2016     2017 (Unaudited)     2016     2017 (Unaudited)     2016     2017 (Unaudited)     2016  

Increase (Decrease) in net assets:

                

Operations:

                

Net investment income

   $ 10,251,438     $ 18,594,618     $ 218,757     $ 542,920     $ 162,447     $ 424,532     $ 2,024,016     $ 2,324,310  

Net realized gain on investments, futures contracts, foreign currency related transactions, and written options

     8,924,973       1,778,556       712,586       3,365,004       12,004,786       4,713,343       6,265,947       149,292  

Change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency related transactions, and written options

     41,459,119       22,371,779       1,762,840       (31,624     3,783,114       3,610,910       14,067,545       5,432,477  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets from operations

     60,635,530       42,744,953       2,694,183       3,876,300       15,950,347       8,748,785       22,357,508       7,906,079  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Capital transactions:

                

Received from shares sold

     470,760,852       178,836,349       24,374,408       5,426,998       115,927,986       13,636,740       58,082,783       145,512,489  

Paid for shares redeemed

     (492,087,409     (134,411,384     (18,151,573     (7,686,316     (125,513,979     (21,052,560     (29,393,999     (35,661,000
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets from capital transactions

     (21,326,557     44,424,965       6,222,835       (2,259,318     (9,585,993     (7,415,820     28,688,784       109,851,489  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets

     39,308,973       87,169,918       8,917,018       1,616,982       6,364,354       1,332,965       51,046,292       117,757,568  

Net assets:

                

Beginning of period

     952,091,955       864,922,037       47,889,238       46,272,256       117,558,106       116,225,141       272,081,588       154,324,020  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of period

   $ 991,400,928     $ 952,091,955     $ 56,806,256     $ 47,889,238     $ 123,922,460     $ 117,558,106     $ 323,127,880     $ 272,081,588  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Undistributed net investment income

   $ 27,106,944     $ 16,855,506     $ 779,633     $ 560,876     $ 586,979     $ 424,532     $ 4,298,457     $ 2,274,441  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The accompanying notes are an integral part of these financial statements.

139


Ohio National Fund, Inc.

 

    Statements of Changes in Net Assets   

 

     ON     ON Moderately                    
     Conservative     Conservative     ON Balanced     ON Moderate     ON  
     Model     Model     Model     Growth Model     Growth Model  
     Portfolio     Portfolio     Portfolio     Portfolio     Portfolio  
     Period from     Period from     Period from     Period from     Period from  
     March 1, 2017     March 1, 2017     March 1, 2017     March 1, 2017     March 1, 2017  
     (inception) to     (inception) to     (inception) to     (inception) to     (inception) to  
     June 30,     June 30,     June 30,     June 30,     June 30,  
     2017 (Unaudited)     2017 (Unaudited)     2017 (Unaudited)     2017 (Unaudited)     2017 (Unaudited)  

Increase (Decrease) in net assets:

          

Operations:

          

Net investment income (loss)

   $ 622,416     $ 1,403,530     $ 3,213,932     $ 1,679,630     $ (268,641

Net realized gain on investments

     72,598       307,941       1,576,581       1,306,478       357,491  

Change in unrealized appreciation on investments

     1,682,746       7,107,570       47,759,396       74,579,553       17,865,061  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets from operations

     2,377,760       8,819,041       52,549,909       77,565,661       17,953,911  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Capital transactions:

          

Received from shares sold

     111,662,464       347,449,331       1,575,820,420       2,612,393,375       525,631,321  

Paid for shares redeemed

     (8,216,890     (19,409,327     (74,614,350     (109,124,374     (22,846,268
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets from capital transactions

     103,445,574       328,040,004       1,501,206,070       2,503,269,001       502,785,053  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Change in net assets

     105,823,334       336,859,045       1,553,755,979       2,580,834,662       520,738,964  

Net assets:

          

Beginning of period

                              
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

End of period

   $ 105,823,334     $ 336,859,045     $ 1,553,755,979     $ 2,580,834,662     $ 520,738,964  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Undistributed net investment income (loss)

   $ 622,416     $ 1,403,530     $ 3,213,932     $ 1,679,630     $ (268,641
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

The accompanying notes are an integral part of these financial statements.

140


Ohio National Fund, Inc.

 

    Financial Highlights   

 

    Selected per-share data           Ratios and supplemental data  
          Operations      Distributions                        Ratios to average net assets        
                                                                Ratios assuming        
                                                                no expenses        
                                                    Ratios net of expenses     reduced or        
                                                    reduced or     reimbursed by        
                                                    reimbursed by adviser     adviser        
                Net realized and                                                        
                unrealized gain                                                        
                (loss) on                                                        
                investments           Distributions                                            
    Net asset value,           and foreign           from net     Net asset value,           Net assets at end                       Portfolio  
    beginning of year     Net investment     currency related     Total from     investment     end of year or           of year or period           Net investment           turnover  
    or period     income     transactions     operations     income     period     Total Return     (in millions)     Expenses     income     Expenses     rate  
 

 

 

 

Equity Portfolio

                       

Six-Month Period Ended June 30, 2017+

    $36.09       0.17       2.26       2.43         —       $38.52          6.73%*       $567.0         0.80%**         0.72%**         0.80%**          20%*  

Year ended December 31, 2016

    $32.02       0.35       3.72       4.07         —       $36.09       12.71%       $581.8       0.82%       1.05%       0.82%         47%  

Year ended December 31, 2015

    $33.44       0.21       (1.44)       (1.23)       (0.19)       $32.02       -3.69%       $535.3       0.81%       0.69%       0.81%         47%  

Year ended December 31, 2014

    $29.41       0.12       4.02       4.14       (0.11)       $33.44       14.07%       $518.7       0.83%       0.69%       0.83%         46%  

Year ended December 31, 2013

    $21.54       0.27       7.84       8.11       (0.24)       $29.41       37.69%       $221.4       0.87%       0.98%       0.87%         43%  

Bond Portfolio

                       

Six-Month Period Ended June 30, 2017+

    $16.54       0.28       0.33       0.61         —       $17.15          3.69%*       $164.4         0.64%**         3.34%**         0.64%**          44%*  

Year ended December 31, 2016

    $15.33       0.59       0.62       1.21         —       $16.54         7.89%       $158.7       0.65%       3.33%       0.65%         88%  

Year ended December 31, 2015

    $15.65       0.56       (0.88)       (0.32)         —       $15.33       -2.04%       $154.0       0.64%       3.46%       0.64%         93%  

Year ended December 31, 2014

    $14.78       0.50       0.37       0.87         —       $15.65         5.89%       $158.7       0.64%       3.34%       0.64%         35%  

Year ended December 31, 2013

    $15.07       0.56       (0.85)       (0.29)         —       $14.78       -1.92%       $151.6       0.66%       3.34%       0.66%         15%  

Omni Portfolio

                       

Six-Month Period Ended June 30, 2017+

    $26.93       0.15       2.37       2.52         —       $29.45          9.36%*       $  62.4         0.77%**         1.02%**         0.77%**          86%*  

Year ended December 31, 2016

    $24.43       0.25       2.25       2.50         —       $26.93       10.23%       $  57.9       0.80%       1.09%       0.80%       194%  

Year ended December 31, 2015

    $24.15       0.28       0.24       0.52       (0.24)       $24.43         2.15%       $  48.7       0.77%       1.23%       0.77%       186%  

Year ended December 31, 2014

    $21.74       0.26       2.37       2.63       (0.22)       $24.15       12.12%       $  37.2       0.77%       1.06%       0.77%       198%  

Year ended December 31, 2013

    $16.82       0.24       4.89       5.13       (0.21)       $21.74       30.53%       $  37.9       0.79%       1.17%       0.79%       210%  

Capital Appreciation Portfolio

                       

Six-Month Period Ended June 30, 2017+

    $37.70       0.20       1.77       1.97         —       $39.67          5.23%*       $189.6         0.84%**         0.66%**         0.84%**          25%*  

Year ended December 31, 2016

    $32.88       0.91       3.91       4.82         —       $37.70       14.66%       $195.7       0.82%       1.21%       0.82%         55%  

Year ended December 31, 2015

    $33.82       0.29       (0.98)       (0.69)       (0.25)       $32.88       -2.05%       $430.4       0.80%       0.86%       0.80%         69%  

Year ended December 31, 2014

    $31.24       0.08       2.59       2.67       (0.09)       $33.82         8.54%       $449.4       0.83%       0.56%       0.83%         67%  

Year ended December 31, 2013

    $23.32       0.13       7.91       8.04       (0.12)       $31.24       34.51%       $138.0       0.88%       0.45%       0.88%         49%  

 

+

Unaudited

*

Not annualized

**

Annualized

 

The accompanying notes are an integral part of these financial statements.

141


Ohio National Fund, Inc.

 

    Financial Highlights   

 

    Selected per-share data       Ratios and supplemental data
        Operations               Ratios to average net assets    
                                        Ratios assuming no    
                                Ratios net of expenses   expenses reduced    
                                reduced or   or reimbursed by    
                                reimbursed by adviser   adviser    
            Net realized and                                
            unrealized                                
            gain (loss) on                                
            investments,                                
            futures contracts,                                
            foreign                                
            currency contracts,                                
    Net asset value,       and other foreign       Net asset value,       Net assets at end               Portfolio
    beginning of   Net investment   currency related   Total from   end of year or       of year or period       Net investment       turnover
    year or period   income (loss)   transactions   operations   period   Total Return   (in millions)   Expenses   income (loss)   Expenses   rate

ON International Equity Portfolio

                                           

Six-Month Period Ended June 30, 2017+

      $11.89       0.15       1.77       1.92       $13.81       16.15 %*       $153.4       1.02 %**       2.21 %**       1.02 %**       124 %(a),*

Year ended December 31, 2016

      $12.50       0.22       (0.83 )       (0.61 )       $11.89       -4.88 %       $141.5       1.02 %       1.57 %       1.02 %       69 %

Year ended December 31, 2015

      $12.55       0.19       (0.24 )       (0.05 )       $12.50       -0.40 %(b)       $159.0       1.00 %       1.21 %       1.00 %       72 %

Year ended December 31, 2014

      $13.85       0.18       (1.48 )       (1.30 )       $12.55       -9.39 %       $174.4       0.84 %       1.43 %       1.00 %       95 %

Year ended December 31, 2013

      $12.41       0.23       1.21       1.44       $13.85       11.60 %       $189.4       0.75 %       1.52 %       1.01 %       53 %

ON Foreign Portfolio

                                           

Six-Month Period Ended June 30, 2017+

      $27.72       0.21       3.82       4.03       $31.75       14.54 %*       $  78.4       1.19 %**       1.47 %**       1.19 %**       121 %(a),*

Year ended December 31, 2016

      $29.98       0.26       (2.52 )       (2.26 )       $27.72       -7.54 %       $  66.7       1.24 %       0.89 %       1.24 %       51 %

Year ended December 31, 2015

      $27.39       0.03       2.56       2.59       $29.98       9.46 %(b)       $  78.3       1.23 %       0.12 %       1.23 %       58 %

Year ended December 31, 2014

      $30.03       0.12       (2.76 )       (2.64 )       $27.39       -8.79 %       $  67.6       1.18 %       0.38 %       1.18 %       65 %

Year ended December 31, 2013

      $23.52       0.12       6.39       6.51       $30.03       27.68 %       $  77.0       1.19 %       0.40 %       1.19 %       51 %

Aggressive Growth Portfolio

                                           

Six-Month Period Ended June 30, 2017+

      $15.61       0.01       2.78       2.79       $18.40       17.87 %*       $  56.5       0.95 %**       0.09 %**       0.95 %**       28 %*

Year ended December 31, 2016

      $15.09       (0.02 )       0.54       0.52       $15.61       3.45 %       $  49.9       0.95 %       -0.09 %       0.95 %       63 %

Year ended December 31, 2015

      $13.70       (0.01 )       1.40       1.39       $15.09       10.15 %       $  51.4       0.93 %       -0.10 %       0.93 %       60 %

Year ended December 31, 2014

      $12.50       (0.03 )       1.23       1.20       $13.70       9.60 %       $  39.9       0.94 %       -0.23 %       0.94 %       55 %

Year ended December 31, 2013

      $  9.51       (0.02 )       3.01       2.99       $12.50       31.44 %       $  39.4       0.97 %       -0.25 %       0.97 %       60 %

Small Cap Growth Portfolio

                                           

Six-Month Period Ended June 30, 2017+

      $26.61             3.58       3.58       $30.19       13.45 %*       $248.0       0.85 %**       0.01 %**       0.85 %**       10 %*

Year ended December 31, 2016

      $25.01       0.01       1.59       1.60       $26.61       6.40 %       $232.3       0.86 %       0.04 %       0.86 %       25 %

Year ended December 31, 2015

      $25.07       (0.03 )       (0.03 )       (0.06 )       $25.01       -0.24 %(b)       $238.2       0.85 %       -0.12 %       0.85 %       37 %

Year ended December 31, 2014

      $22.65       (0.05 )       2.47       2.42       $25.07       10.64 %       $212.1       0.89 %       -0.31 %       0.89 %       58 %

Year ended December 31, 2013

      $15.59       (0.03 )       7.09       7.06       $22.65       45.29 %       $109.5       1.04 %       -0.29 %       1.04 %       69 %(c)

 

+

Unaudited

*

Not annualized

**

Annualized

(a)

Effective May 1, 2017, the sub-adviser to the Portfolio changed from Federated Global Investment Management Corp. to Lazard Asset Management LLC for the ON International Equity Portfolio and to Templeton Global Advisors Limited for the ON Foreign Portfolio. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the sub-adviser contributed to a higher portfolio turnover rate for the six-month period ended June 30, 2017 as compared to prior years.

(b)

Initial Public Offering (IPO) investments had a significant impact on the total return in this period and such performance may be difficult to repeat.

(c)

The cost of purchases and proceeds from sales of securities that were incurred to realign the Portfolio’s holdings subsequent to the December 20, 2013 reorganization are excluded from the 2013 portfolio turnover rate calculation. If such amounts had not been excluded, the portfolio turnover rate would have been 146%.

 

The accompanying notes are an integral part of these financial statements.

142


Ohio National Fund, Inc.

 

    Financial Highlights   

 

    Selected per-share data       Ratios and supplemental data
        Operations    Distributions                Ratios to average net assets    
                                            Ratios assuming    
                                            no expenses    
                                    Ratios net of expenses   reduced or    
                                    reduced or   reimbursed by    
                                    reimbursed by adviser   adviser    
            Net realized and                                    
            unrealized gain                                    
            (loss) on                                    
            investments,                                    
            futures       Distributions                            
    Net asset value,       contracts, foreign       from net   Net asset value,       Net assets at end               Portfolio
    beginning of   Net investment   currency related   Total from   investment   end of year or       of year or period       Net investment       turnover
    year or period   income (loss)   transactions   operations   income   period   Total Return   (in millions)   Expenses   income (loss)   Expenses   rate

Mid Cap Opportunity Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $30.37       (0.03 )       4.53       4.50         —       $34.87       14.82 %*       $  74.8       0.97 %**       -0.19 %**       0.97 %**       32 %*

Year ended December 31, 2016

      $29.90       (0.09 )       0.56       0.47         —       $30.37       1.57 %       $  70.2       0.98 %       -0.29 %       0.98 %       61 %

Year ended December 31, 2015

      $31.49       (0.07 )       (1.52 )       (1.59 )         —       $29.90       -5.05 %(a)       $  78.7       0.94 %       -0.21 %       0.94 %       59 %

Year ended December 31, 2014

      $28.24       (0.05 )       3.30       3.25         —       $31.49       11.51 %       $  86.7       0.94 %       -0.18 %       0.94 %       61 %

Year ended December 31, 2013

      $21.32       (0.07 )       6.99       6.92         —       $28.24       32.46 %       $  83.0       0.96 %       -0.28 %       0.96 %       44 %

S&P 500® Index Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $24.32       0.22       2.00       2.22         —       $26.54       9.13 %*       $903.1       0.38 %**       1.67 %**       0.38 %**       4 %*

Year ended December 31, 2016

      $21.82       0.25       2.25       2.50         —       $24.32       11.46 %       $842.6       0.42 %       1.84 %       0.42 %       8 %

Year ended December 31, 2015

      $21.93       0.37       (0.17 )       0.20       (0.31 )       $21.82       0.91 %       $410.7       0.41 %       1.72 %       0.41 %       14 %

Year ended December 31, 2014

      $19.63       0.32       2.25       2.57       (0.27 )       $21.93       13.11 %       $388.2       0.43 %       1.64 %       0.43 %       11 %

Year ended December 31, 2013

      $15.08       0.26       4.52       4.78       (0.23 )       $19.63       31.74 %       $314.9       0.45 %       1.68 %       0.45 %       15 %

Strategic Value Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $15.60       0.29       1.00       1.29         —       $16.89       8.27 %*       $589.3       0.76 %**       4.55 %**       0.76 %**       14 %*

Year ended December 31, 2016

      $14.07       0.36       1.17       1.53         —       $15.60       10.87 %       $475.5       0.78 %       3.19 %       0.78 %       32 %

Year ended December 31, 2015

      $13.92       0.53       0.06       0.59       (0.44 )       $14.07       4.26 %       $309.8       0.78 %       3.47 %       0.78 %       13 %

Year ended December 31, 2014

      $13.09       0.93       0.68       1.61       (0.78 )       $13.92       12.41 %       $332.6       0.78 %       5.37 %       0.78 %       22 %

Year ended December 31, 2013

      $11.09       0.35       1.97       2.32       (0.32 )       $13.09       21.00 %       $397.7       0.79 %       3.58 %       0.79 %       22 %

High Income Bond Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $18.10       0.52       0.39       0.91         —       $19.01       5.03 %*       $318.6       0.74 %**       5.28 %**       0.74 %**       17 %*

Year ended December 31, 2016

      $15.82       0.43       1.85       2.28         —       $18.10       14.41 %       $313.8       0.80 %       5.56 %       0.80 %       30 %

Year ended December 31, 2015

      $16.32       1.18       (1.68 )       (0.50 )         —       $15.82       -3.06 %       $194.2       0.80 %       5.65 %       0.80 %       29 %

Year ended December 31, 2014

      $15.88       1.57       (1.13 )       0.44         —       $16.32       2.77 %       $230.1       0.77 %       5.73 %       0.77 %       33 %

Year ended December 31, 2013

      $14.83       1.10       (0.05 )       1.05         —       $15.88       7.08 %       $307.9       0.77 %       6.36 %       0.77 %       29 %

 

+

Unaudited

*

Not annualized

**

Annualized

(a)

Initial Public Offering (IPO) investments had a significant impact on the total return in this period and such performance may be difficult to repeat.

 

The accompanying notes are an integral part of these financial statements.

143


Ohio National Fund, Inc.

 

    Financial Highlights   

 

    Selected per-share data       Ratios and supplemental data
        Operations   Distributions               Ratios to average net assets    
                                            Ratios assuming    
                                            no expenses    
                                    Ratios net of expenses   reduced or    
                                    reduced or   reimbursed by    
                                    reimbursed by adviser   adviser    
            Net realized and                                    
            unrealized gain                                    
            (loss) on       Distributions                            
    Net asset value,       investments and       from net   Net asset value,       Net assets at end               Portfolio
    beginning of year   Net investment   futures   Total from   investment   end of year or       of year or period       Net investment       turnover
    or period   income (loss)   contracts   operations   income   period   Total Return   (in millions)   Expenses   income (loss)   Expenses   rate

ClearBridge Small Cap Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $51.21       0.07       3.28       3.35         —       $54.56       6.54 %*       $280.3       0.89 %**       0.23 %**       0.89 %**       23 %*

Year ended December 31, 2016

      $40.00       0.22       10.99       11.21         —       $51.21       28.03 %       $275.7       0.93 %       0.92 %       0.93 %       51 %

Year ended December 31, 2015

      $41.01       (0.10 )       (0.91 )       (1.01 )         —       $40.00       -2.46 %       $  94.0       1.01 %       -0.29 %       1.01 %       126 %(a)

Year ended December 31, 2014

      $40.03       (0.19 )       1.17       0.98         —       $41.01       2.45 %       $  75.5       1.00 %       -0.45 %       1.00 %       44 %

Year ended December 31, 2013

      $30.73       (0.15 )       9.45       9.30         —       $40.03       30.26 %       $  80.4       1.01 %       -0.44 %       1.01 %       42 %

Nasdaq-100® Index Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $12.59       0.05       2.03       2.08         —       $14.67       16.52 %*       $193.1       0.45 %**       0.82 %**       0.45 %**       5 %*

Year ended December 31, 2016

      $11.80       0.09       0.70       0.79         —       $12.59       6.69 %       $156.1       0.48 %       0.84 %       0.48 %       13 %

Year ended December 31, 2015

      $10.88       0.09       0.91       1.00       (0.08 )       $11.80       9.14 %       $138.6       0.46 %       0.79 %       0.46 %       19 %

Year ended December 31, 2014

      $9.25       0.12       1.62       1.74       (0.11 )       $10.88       18.77 %       $121.7       0.48 %       1.23 %       0.48 %       23 %

Year ended December 31, 2013

      $6.85       0.07       2.39       2.46       (0.06 )       $  9.25       35.98 %       $  95.8       0.51 %       0.94 %       0.51 %       43 %

Bristol Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $24.02       0.06       2.61       2.67         —       $26.69       11.12 %*       $216.6       0.82 %**       0.43 %**       0.82 %**       103 %*

Year ended December 31, 2016

      $21.49       0.12       2.41       2.53         —       $24.02       11.77 %       $207.9       0.83 %       0.49 %       0.83 %       223 %

Year ended December 31, 2015

      $20.75       0.12       0.73       0.85       (0.11 )       $21.49       4.08 %       $218.7       0.81 %       0.55 %       0.81 %       228 %

Year ended December 31, 2014

      $18.29       0.09       2.45       2.54       (0.08 )       $20.75       13.88 %       $232.0       0.81 %       0.42 %       0.81 %       239 %

Year ended December 31, 2013

      $13.01       0.09       5.27       5.36       (0.08 )       $18.29       41.21 %       $231.5       0.82 %       0.51 %       0.82 %       269 %

Bryton Growth Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $20.49       (0.07 )       2.25       2.18         —       $22.67       10.64 %*       $  96.0       0.97 %**       -0.59 %**       0.97 %**       101 %*

Year ended December 31, 2016

      $19.60       (0.19 )       1.08       0.89         —       $20.49       4.54 %       $  94.6       0.92 %       -0.62 %       0.92 %       188 %

Year ended December 31, 2015

      $20.47       (0.11 )       (0.76 )       (0.87 )         —       $19.60       -4.25 %       $162.2       0.88 %       -0.53 %       0.88 %       169 %

Year ended December 31, 2014

      $19.28       (0.09 )       1.28       1.19         —       $20.47       6.17 %       $179.1       0.88 %       -0.45 %       0.88 %       178 %

Year ended December 31, 2013

      $13.70       (0.11 )       5.69       5.58         —       $19.28       40.73 %       $180.8       0.89 %       -0.59 %       0.89 %       185 %

 

+

Unaudited

*

Not annualized

**

Annualized

(a)

Effective September 25, 2015, the sub-adviser changed from Eagle Asset Management, Inc. to ClearBridge, LLC. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the sub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2015 as compared to prior years.

 

The accompanying notes are an integral part of these financial statements.

144


Ohio National Fund, Inc.

 

    Financial Highlights   

 

    Selected per-share data       Ratios and supplemental data
        Operations    Distributions                Ratios to average net assets    
                                            Ratios assuming    
                                            no expenses    
                                    Ratios net of expenses   reduced or    
                                    reduced or   reimbursed by    
                                    reimbursed by adviser   adviser    
            Net realized and                                    
            unrealized gain (loss) on                                    
            investments, futures                                    
            contracts, foreign       Distributions                            
    Net asset value,       currency related       from net   Net asset value,       Net assets at end               Portfolio
    beginning of   Net investment   transactions, and written   Total from   investment   end of year or       of year or period       Net investment       turnover
    year or period   income   options   operations   income   period   Total Return   (in millions)   Expenses   income   Expenses   rate

Balanced Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $19.86       0.23       1.05       1.28         —       $21.14       6.45 %*       $991.4       0.63 %**       2.11 %**       0.63 %**       48 %*

Year ended December 31, 2016

      $18.99       0.39       0.48       0.87         —       $19.86       4.58 %       $952.1       0.64 %       2.05 %       0.64 %       99 %

Year ended December 31, 2015

      $18.96       0.30       (0.02 )       0.28       (0.25 )       $18.99       1.47 %       $864.9       0.64 %       1.58 %       0.64 %       92 %

Year ended December 31, 2014

      $18.02       0.16       0.92       1.08       (0.14 )       $18.96       5.99 %       $833.1       0.64 %       1.80 %       0.68 %       94 %

Year ended December 31, 2013

      $15.76       0.08       2.32       2.40       (0.14 )       $18.02       15.26 %       $249.1       0.75 %       1.45 %       0.75 %       82 %(a)

S&P MidCap 400® Index Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $15.12       0.04       0.82       0.86         —       $15.98       5.69 %*       $  56.8       0.71 %**       0.85 %**       0.71 %**       31 %*

Year ended December 31, 2016

      $13.81       0.17       1.14       1.31         —       $15.12       9.49 %       $  47.9       0.79 %       1.24 %       0.79 %       179 %(b)

Year ended December 31, 2015

      $14.49       0.25       (0.72 )       (0.47 )       (0.21 )       $13.81       -3.24 %       $  46.3       0.77 %       1.54 %       0.77 %       72 %

Year ended December 31, 2014

      $13.70       0.25       0.77       1.02       (0.23 )       $14.49       7.44 %       $  55.1       0.77 %       1.77 %       0.77 %       79 %

Year ended December 31, 2013

      $10.10       0.09       3.61       3.70       (0.10 )       $13.70       36.71 %       $  53.7       0.82 %       0.92 %       0.82 %       57 %(a)

Bristol Growth Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $18.65       0.03       2.54       2.57         —       $21.22       13.78 %*       $123.9       0.87 %**       0.27 %**       0.87 %**       102 %*

Year ended December 31, 2016

      $17.31       0.07       1.27       1.34         —       $18.65       7.74 %       $117.6       0.89 %       0.36 %       0.89 %       162 %

Year ended December 31, 2015

      $16.44       0.08       0.86       0.94       (0.07 )       $17.31       5.72 %       $116.2       0.86 %       0.43 %       0.86 %       168 %

Year ended December 31, 2014

      $14.72       0.06       1.71       1.77       (0.05 )       $16.44       12.01 %       $124.1       0.86 %       0.34 %       0.86 %       192 %

Year ended December 31, 2013

      $10.66       0.06       4.05       4.11       (0.05 )       $14.72       38.62 %       $122.3       0.88 %       0.42 %       0.88 %       237 %

Risk Managed Balanced Portfolio

                                               

Six-Month Period Ended June 30, 2017+

      $11.06       0.07       0.80       0.87         —       $11.93       7.87 %*       $323.1       0.99 %**       1.36 %**       0.99 %**       29 %*

Year ended December 31, 2016

      $10.66       0.09       0.31       0.40         —       $11.06       3.75 %       $272.1       1.03 %       1.09 %       1.03 %       78 %

Year ended December 31, 2015

      $10.83       0.03       (0.17 )       (0.14 )       (0.03 )       $10.66       -1.32 %       $154.3       1.11 %       0.81 %       1.11 %       71 %

Period From May 1, 2014 (inception)*** to June 30, 2014

      $10.00       0.03       0.80       0.83         —       $10.83       8.30 %*       $  33.8       1.43 %**       0.43 %**       1.43 %**       94 %*

 

+

Unaudited

*

Not annualized

**

Annualized

***

Represents date of inception and commencement of operations.

(a)

The cost of purchases and proceeds from sales of securities that were incurred to realign the Portfolio’s holdings subsequent to the December 20, 2013 reorganization are excluded from the 2013 portfolio turnover rate calculation. If such amounts had not been excluded, the portfolio turnover rate would have been 89% and 138% for the Balanced and the S&P MidCap 400® Index Portfolios, respectively.

(b)

Effective December 16, 2016, the sub-adviser to the Portfolio changed from First Trust Advisors L.P. to Geode Capital Management, LLC. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the sub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2016 as compared to prior years.

 

The accompanying notes are an integral part of these financial statements.

145


Ohio National Fund, Inc.

 

    Financial Highlights   

 

    Selected per-share data       Ratios and supplemental data
        Operations               Ratios to average net assets    
                                        Ratios assuming no    
                                Ratios net of expenses   expenses reduced    
                                reduced or   or reimbursed by    
                                reimbursed by adviser   adviser    
                                             
                                             
            Net realized and                                
    Net asset value,       unrealized       Net asset value,       Net assets at end               Portfolio
    beginning of   Net investment   gain on   Total from   end of year or       of year or period       Net investment       turnover
    year or period   income (loss)   investments   operations   period   Total Return   (in millions)   Expenses   income (loss)   Expenses   rate

ON Conservative Model Portfolio

                                           

Period From March 1, 2017 (inception)*** to June 30, 2017+

      $10.00       0.06       0.17       0.23       $10.23       2.30%*       $105.8       0.30%**,†       1.85%**,†       0.51%**,†       10%*

ON Moderately Conservative Model Portfolio

                                           

Period From March 1, 2017 (inception)*** to June 30, 2017+

      $10.00       0.04       0.22       0.26       $10.26       2.60%*       $336.9       0.30%**,†       1.30%**,†       0.45%**,†       7%*

ON Balanced Model Portfolio

                                           

Period From March 1, 2017 (inception)*** to June 30, 2017+

      $10.00       0.02       0.25       0.27       $10.27       2.70%*       $1,553.8       0.28%**,†       0.68%**,†       0.43%**,†       10%*

ON Moderate Growth Model Portfolio

                                           

Period From March 1, 2017 (inception)*** to June 30, 2017+

      $10.00       0.01       0.34       0.35       $10.35       3.50%*       $2,580.8       0.27%**,†       0.23%**,†       0.43%**,†       10%*

ON Growth Model Portfolio

                                           

Period From March 1, 2017 (inception)*** to June 30, 2017+

      $10.00       (0.01)       0.37       0.36       $10.36       3.60%*       $520.7       0.25%**,†       -0.16%**,†       0.44%**,†       9%*

 

+

Unaudited

*

Not annualized

**

Annualized

***

Represents date of inception and commencement of operations.

The ratios presented only reflect the direct income and expenses for the Portfolio, and do not include the indirect expenses related to the underlying funds in which the Portfolio invests.

 

The accompanying notes are an integral part of these financial statements.

146


Ohio National Fund, Inc.

 

    Notes to Financial Statements    June 30, 2017 (Unaudited)  

 

(1) Organization

Ohio National Fund, Inc. (the “Fund”) is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the “40 Act” ). The Fund is an open-end investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The Fund consists of twenty-five separate investment portfolios (the “Portfolios”) that seek the following objectives and strategies:

 

 

Equity Portfolio – Long-term growth of capital by investing at least 80% of its assets in equity securities.

 

 

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.

 

 

Capital Appreciation Portfolio – Long-term growth of capital by investing primarily in equity and equity related securities of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market.

 

 

ON International Equity Portfolio (formerly the International Portfolio) – Long-term growth of capital by investing at least 80% of its assets in securities of foreign companies. On May 1, 2017, the name, strategy, benchmark, and sub-adviser to this Portfolio were changed. Additional information is included within Note 3.

 

 

ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) – Long-term growth of capital by investing at least 80% of its assets in foreign securities. On May 1, 2017, the name, strategy, benchmark, and sub-adviser to this Portfolio were changed. Additional information is included within Note 3.

 

 

Aggressive Growth Portfolio – Long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential.

 

 

Small Cap Growth Portfolio – Long-term capital appreciation by investing at least 80% of its net assets in stocks of small capitalization companies.

 

 

Mid Cap Opportunity Portfolio – Long-term total return by investing at least 80% of its net assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth.

 

 

S&P 500® Index Portfolio – Total return approximating that of the Standard & Poor’s 500® Index (S&P 500® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P 500® Index by investing more than 80% of its net assets in securities making up the S&P 500® Index.

 

 

Strategic Value Portfolio – Growth of capital and income by investing primarily in high dividend yielding common stocks with dividend growth potential.

 

 

High Income Bond Portfolio – High current income by investing at least 80% of its net assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated Ba or lower by Moody’s, or BB or lower by Standard & Poor’s or Fitch.

 

 

ClearBridge Small Cap Portfolio – Long-term capital appreciation by investing at least 80% of its net assets in common stocks and other equity securities of small capitalization companies or in other investments that the portfolio managers believe have similar economic characteristics.

 

 

Nasdaq-100® Index Portfolio – Long-term growth of capital by investing primarily in stocks that are included in the Nasdaq-100® Index. Unlike the other Portfolios of the Fund, the Nasdaq-100® Index Portfolio is a non-diversified portfolio for purposes of Section 5(b) of the 40 Act.

 

 

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.

 

 

Balanced Portfolio – Capital appreciation and income by investing normally up to 75% of its total assets in equity securities of domestic and foreign companies of any market capitalization while maintaining a minimum of 25% of its total assets in fixed income securities.

 

  147    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

 

S&P MidCap 400® Index Portfolio – Total return approximating that of the Standard & Poor’s MidCap 400® Index (S&P MidCap 400® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P MidCap 400® Index by investing more than 80% of its net assets in the securities in the S&P MidCap 400® Index.

 

 

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.

 

 

Risk Managed Balanced Portfolio – Long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio invests in a balanced portfolio of equity and fixed-income securities and a risk management portfolio intended to enhance the risk adjusted return of the Portfolio.

 

 

ON Conservative Model Portfolio – Commenced operations on March 1, 2017 - The Portfolio is a fund of funds that seeks current income and preservation of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 0-25%, International Equity 0-10%, and Fixed Income 65-90%.

 

 

ON Moderately Conservative Model Portfolio – Commenced operations on March 1, 2017 - The Portfolio is a fund of funds that seeks current income and moderate growth of capital with a greater emphasis on current income. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 20-40%, International Equity 5-20%, and Fixed Income 30-70%.

 

 

ON Balanced Model Portfolio – Commenced operations on March 1, 2017 - The Portfolio is a fund of funds that seeks a balance between growth of capital and current income with a greater emphasis on growth of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 25-50%, International Equity 10-25%, and Fixed Income 25-50%.

 

 

ON Moderate Growth Model Portfolio – Commenced operations on March 1, 2017 - The Portfolio is a fund of funds that seeks growth of capital and moderate current income with a greater emphasis on growth of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 40-60%, International Equity 15-35%, and Fixed Income 10-30%.

 

 

ON Growth Model Portfolio – Commenced operations on March 1, 2017 - The Portfolio is a fund of funds that seeks growth of capital and some current income. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 50-80%, International Equity 15-45%, and Fixed Income 0-15%.

Additional detail regarding portfolio-specific objectives, policies, and investment strategies is provided in the prospectus and Statement of Additional Information of Ohio National Fund, Inc. There are no assurances that these objectives will be met. Each Portfolio, except the Nasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5(b) of the 40 Act.

At present, the Fund issues its shares to separate accounts of The Ohio National Life Insurance Company (“ONLIC”), Ohio National Life Assurance Corporation (“ONLAC”), and National Security Life and Annuity Company (“NSLA”) to support certain benefits under variable contracts issued by those entities, as well as for purchases by other Portfolios of the Fund. In the future, Fund shares may be used for other purposes but, unless there is a change in applicable law, they will not be sold directly to the public.

Interest in each Portfolio is represented by a separate class of the Fund’s capital stock, par value $1. Each share of a Portfolio participates equally in the Portfolio’s dividends, distributions, net assets, and voting matters.

The Fund is authorized to issue 1.55 billion of its capital shares. These authorized shares have been allocated to specific Portfolios of the Fund as follows:

 

Portfolio

   Authorized Shares

Equity

   35,000,000

Bond

   30,000,000

Omni

   15,000,000

Capital Appreciation

   25,000,000

ON International Equity

   90,000,000

ON Foreign

   32,000,000

Aggressive Growth

   24,000,000

Small Cap Growth

   30,000,000

Mid Cap Opportunity

   21,000,000

 

Portfolio

   Authorized Shares

S&P 500® Index

   90,000,000

Strategic Value

   75,000,000

High Income Bond

   45,000,000

ClearBridge Small Cap

   15,000,000

Nasdaq-100® Index

   50,000,000

Bristol

   23,000,000

Bryton Growth

   15,000,000

Balanced

   90,000,000

S&P MidCap 400® Index

   30,000,000
 

 

  148    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Portfolio

  Authorized Shares

Bristol Growth

  30,000,000

Risk Managed Balanced

  85,000,000

ON Conservative Model

  30,000,000

ON Moderately Conservative Model

  70,000,000

Portfolio

   Authorized Shares

ON Balanced Model

   200,000,000

ON Moderate Growth Model

   300,000,000

ON Growth Model

   100,000,000
 

The Fund’s Board of Directors (the “Board”) periodically reallocates authorized shares among the Portfolios of the Fund and may authorize additional shares as deemed necessary.

Under the Fund’s organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund. However, based on experience, the risk of loss to the Fund is expected to be remote.

(2) Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements:

Use of Estimates

The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation

Investments are valued using pricing procedures approved by the Board.

Fixed income instruments that mature in sixty days or less, and of sufficient credit quality, are valued at amortized cost. Amortized cost valuation involves valuing a security at its cost initially and thereafter amortizing to maturity any discounts or premiums on the level-yield method, regardless of the impact of fluctuating market interest rates on the value of the security. In these instances, amortized cost approximates fair value.

Investments, other than those securities aforementioned, are valued as follows:

Domestic equity securities that are traded on U.S. exchanges, other than Nasdaq Stock Market, are valued at the last trade price reported by the primary exchange of each security (4:00 pm Eastern Time for normal trading sessions). Domestic equity securities that are listed on the Nasdaq Stock Market are valued at the Nasdaq Official Closing Price (“NOCP”). Over-the-counter domestic equity securities are valued at the last trade price reported daily as of 4:00 pm Eastern Time (normal trading sessions). Over-the-counter traded ADRs may also be valued at an evaluated price based on the value of the underlying securities. If a domestic equity security is not traded on a particular day, the mean between the bid and ask prices reported at 4:00 pm Eastern Time (normal trading sessions) by the primary exchange will generally be used for valuation purposes. The principal sources for market quotations are independent pricing services that have been approved by the Board.

Fixed income securities that have a remaining maturity exceeding sixty days are generally valued at the bid price reported at 4:00 pm Eastern Time (normal trading sessions), as provided by independent pricing services approved by the Board. The last trade or last evaluated bid may be used if an evaluated bid price is not available.

U.S exchange-traded options are valued at the composite basis last sale price as reported to a Board-approved independent pricing service by the OPRA (Options Price Reporting Authority) at 4:15 pm Eastern Time (normal trading sessions). If there are no reported trades for a trading session, the evaluated composite-basis bid price will generally be used for valuation purposes.

Shares of open-end mutual funds are valued at each fund’s last calculated net asset value per share.

Shares of closed-end mutual funds that are traded on U.S. exchanges are valued similarly to other domestic equity securities, typically at the last trade price reported by the primary exchange of each fund (4:00 pm Eastern Time for normal trading sessions).

Restricted securities, illiquid securities, or other investments for which market quotations or other observable market inputs are not readily available are valued at an estimate of value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board.

 

  149    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Foreign equity securities are initially priced at the reported close price of the exchange on which a security is primarily traded. Securities not traded on a particular day are valued at the mean between the last reported bid and ask quotes at daily close, or the last sale price when appropriate. The principal sources for market quotations are independent pricing services that have been approved by the Board.

Equity securities that are primarily traded on foreign exchanges, other than those with close times that are consistent with the normal 4:00 pm Eastern Time close of U.S. equity markets, are further subjected to fair valuation pricing procedures provided by an independent fair valuation service. The service provides data that can be used to estimate the price of a foreign issue that would prevail in a liquid market given market information available daily at 4:00 pm Eastern Time (normal trading sessions). Multiple factors may be considered in performing this valuation, including an issue’s local close price, relevant general and sector indices, currency fluctuations, and pricing of related depository receipts, exchange traded funds, and futures. The pricing procedures are performed for each individual security for which there is a fairly large degree of certainty that the local close price is not the liquid market price at the time of U.S. market close. The procedures are performed each day there is a change in a consistently used market index from the time of local close to the U.S. market close. Backtesting analysis is performed on a quarterly basis to monitor the effectiveness of these procedures. The testing is reviewed by management of the Fund as well as the Fund’s Board. Prior results have indicated that these procedures have been effective in reaching valuation objectives.

The differences between the aggregate cost and values of investments are reflected as unrealized appreciation or unrealized depreciation.

Pricing inputs used in the Fund’s determination of its investment values are categorized according to a three-tier hierarchy framework. The hierarchy is summarized in three broad levels:

 

Level 1:    Quoted prices in active markets for identical securities.
Level 2:    Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.
Level 3:    Significant unobservable inputs, including the Fund’s own assumptions used to determine the value of securities.

The following is a summary of the inputs used in valuing each of the Portfolio’s assets (liabilities) at value as of June 30, 2017:

 

Portfolio

  

Financial Instrument Type

   Level 1      Level 2      Level 3  

Equity

   Common Stocks**    $ 560,453,563      $      $  
  

Closed-End Mutual Funds

     5,747,967                
  

Money Market Funds

     3,924,509                
     

 

 

    

 

 

    

 

 

 
      $ 570,126,039      $      $  
     

 

 

    

 

 

    

 

 

 

Bond

   Corporate Bonds**    $      $ 160,070,548      $  
  

Asset-Backed Securities**

            930,439         
  

Money Market Funds

     1,912,862                
     

 

 

    

 

 

    

 

 

 
      $ 1,912,862      $ 161,000,987      $  
     

 

 

    

 

 

    

 

 

 

Omni

   Common Stocks**    $ 48,082,674      $      $  
  

Corporate Bonds**

            12,445,777         
  

Asset-Backed Securities**

            79,866         
  

U.S. Treasury Obligations

            1,087,683         
  

Money Market Funds

     445,138                
     

 

 

    

 

 

    

 

 

 
      $ 48,527,812      $ 13,613,326      $  
     

 

 

    

 

 

    

 

 

 

Capital Appreciation

   Common Stocks**    $ 187,544,922      $      $  
  

Money Market Funds

     2,763,199                
     

 

 

    

 

 

    

 

 

 
      $ 190,308,121      $      $  
     

 

 

    

 

 

    

 

 

 

ON International Equity

   Common Stocks**    $ 17,727,760      $ 133,879,310      $  
  

Money Market Funds

     5,184,380                
     

 

 

    

 

 

    

 

 

 
      $ 22,912,140      $ 133,879,310      $  
     

 

 

    

 

 

    

 

 

 

ON Foreign

   Common Stocks**    $ 11,122,740      $ 63,385,764      $  
  

Money Market Funds

     4,609,669                
     

 

 

    

 

 

    

 

 

 
      $ 15,732,409      $ 63,385,764      $  
     

 

 

    

 

 

    

 

 

 

 

  150    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Portfolio

  

Financial Instrument Type

   Level 1     Level 2      Level 3  

Aggressive Growth

   Common Stocks**    $ 54,738,793     $      $  
  

Money Market Funds

     1,833,179               
     

 

 

   

 

 

    

 

 

 
      $ 56,571,972     $      $  
     

 

 

   

 

 

    

 

 

 

Small Cap Growth

   Common Stocks**    $ 234,254,254     $ 5,281,526      $  
  

Master Limited Partnerships**

     5,866,869               
  

U.S. Government Agency Issues

           3,599,870         
  

Money Market Funds

     681,953               
     

 

 

   

 

 

    

 

 

 
      $ 240,803,076     $ 8,881,396      $  
     

 

 

   

 

 

    

 

 

 

Mid Cap Opportunity

   Common Stocks**    $ 73,261,882     $      $  
  

Money Market Funds

     1,606,763               
     

 

 

   

 

 

    

 

 

 
      $ 74,868,645     $      $  
     

 

 

   

 

 

    

 

 

 

S&P 500® Index .

   Common Stocks**    $ 901,216,352     $      $  
  

Money Market Funds

     1,469,235               
     

 

 

   

 

 

    

 

 

 
      $ 902,685,587     $      $  
     

 

 

   

 

 

    

 

 

 
  

Futures Contracts

   $ (12,103   $      $  
     

 

 

   

 

 

    

 

 

 

Strategic Value

   Common Stocks**    $ 468,462,190     $ 104,299,365      $  
  

Money Market Funds

     8,623,132               
     

 

 

   

 

 

    

 

 

 
      $ 477,085,322     $ 104,299,365      $  
     

 

 

   

 

 

    

 

 

 

High Income Bond

   Corporate Bonds**    $     $ 301,404,949      $  
  

Exchange Traded Funds

     4,826,425               
  

Money Market Funds

     9,575,705               
     

 

 

   

 

 

    

 

 

 
      $ 14,402,130     $ 301,404,949      $  
     

 

 

   

 

 

    

 

 

 

ClearBridge Small Cap

   Common Stocks**    $ 278,255,459     $      $  
  

Money Market Funds

     10,906,206               
     

 

 

   

 

 

    

 

 

 
      $ 289,161,665     $      $  
     

 

 

   

 

 

    

 

 

 

Nasdaq-100® Index

   Common Stocks**    $ 190,794,581     $      $  
  

Money Market Funds

     4,528,792               
     

 

 

   

 

 

    

 

 

 
      $ 195,323,373     $      $  
     

 

 

   

 

 

    

 

 

 
  

Futures Contracts

   $ (24,515   $      $  
     

 

 

   

 

 

    

 

 

 

Bristol

   Common Stocks**    $ 216,033,020     $      $  
  

Money Market Funds

     770,084               
     

 

 

   

 

 

    

 

 

 
      $ 216,803,104     $      $  
     

 

 

   

 

 

    

 

 

 

Bryton Growth

   Common Stocks**    $ 95,404,286     $      $  
  

Money Market Funds

     1,846,433               
     

 

 

   

 

 

    

 

 

 
      $ 97,250,719     $      $  
     

 

 

   

 

 

    

 

 

 

Balanced

   Common Stocks**    $ 456,633,190     $      $  
  

Corporate Bonds**

           242,715,284         
  

Preferred Securities**

     22,909,512               
   Asset-Backed / Mortgage-Backed Securities**            8,712,637         
  

U.S. Treasury Obligations

           127,246,774         
  

Closed-End Mutual Funds

     65,943,882               
  

Exchange Traded Funds

     14,781,954               
  

Purchased Options

     1,792,000               
  

Money Market Funds

     71,561,701               
     

 

 

   

 

 

    

 

 

 
      $ 633,622,239     $ 378,674,695      $  
     

 

 

   

 

 

    

 

 

 

 

  151    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Portfolio

  

Financial Instrument Type

   Level 1     Level 2      Level 3  

S&P MidCap 400® Index

   Common Stocks**    $ 55,751,593     $      $  
   Money Market Funds      1,215,336               
     

 

 

   

 

 

    

 

 

 
      $ 56,966,929     $      $  
     

 

 

   

 

 

    

 

 

 
   Futures Contracts    $ (3,966   $      $  
     

 

 

   

 

 

    

 

 

 

Bristol Growth

   Common Stocks**    $ 122,446,994     $      $  
   Money Market Funds      983,256               
     

 

 

   

 

 

    

 

 

 
      $ 123,430,250     $      $  
     

 

 

   

 

 

    

 

 

 

Risk Managed Balanced

   Common Stocks**    $ 162,338,662     $      $  
   Corporate Bonds**            44,379,943         
   Preferred Securities**      334,213       1,421,716         
   Master Limited Partnerships**      1,838,219               
   Asset-Backed / Mortgage-Backed Securities**            6,291,529         
   U.S. Treasury Obligations            21,452,926         
   U.S. Government Agency        
   Mortgage-Backed Securities            21,990,650         
   Purchased Options      8,265,552       11,083,453         
   Money Market Funds      43,319,086               
     

 

 

   

 

 

    

 

 

 
      $ 216,095,732     $ 106,620,217      $  
     

 

 

   

 

 

    

 

 

 
   Futures Contracts    $ (382,361   $      $  
     

 

 

   

 

 

    

 

 

 

ON Conservative Model

   Open-End Mutual Funds    $ 105,848,318     $      $  
     

 

 

   

 

 

    

 

 

 

ON Moderately Conservative Model

   Open-End Mutual Funds    $ 336,946,551     $      $  
     

 

 

   

 

 

    

 

 

 

ON Balanced Model

   Open-End Mutual Funds    $ 1,554,100,775     $      $  
     

 

 

   

 

 

    

 

 

 

ON Moderate Growth Model

   Open-End Mutual Funds    $ 2,581,348,398     $      $  
     

 

 

   

 

 

    

 

 

 

ON Growth Model

   Open-End Mutual Funds    $ 520,844,155     $      $  
     

 

 

   

 

 

    

 

 

 

 

  

 

** For detailed industry descriptions, see the accompanying Schedules of Investments.

As stated above, the value assigned to the Fund’s foreign securities will, in most cases, not be the quoted or published prices of the investments on their respective primary markets or exchanges. Securities that are priced using fair value estimates are categorized as Level 2 in the fair value hierarchy, whereas securities that do not meet the established criteria are categorized as Level 1. The valuation of a foreign security from one valuation period to the next may result in a transfer between Levels 1 and 2 if the degree of certainty that the local close price is not the liquid market price at the time of U.S. market close is not similar for both periods. The Fund’s policy is to recognize transfers between fair value hierarchy levels at the reporting period end.

For the six-month period ended June 30, 2017, there were no transfers of securities between Level 1 and Level 2, nor any transfers of securities into or out of Level 3.

Foreign Securities and Currency

The books and records of all the Portfolios are maintained in U.S. dollars. All investments and cash quoted in foreign currencies are valued daily in U.S. dollars on the basis of the foreign currency exchange rates provided by an independent source. These exchange rates are currently determined daily, at 4:00 pm Eastern Time for normal trading sessions. Purchases and sales of foreign-denominated investments are recorded at rates of exchange prevailing on the respective dates of such transactions.

The Fund may not fully isolate that portion of the results of operations resulting from changes in foreign exchange rates from fluctuations arising from changes in market prices on foreign currency-denominated investments. For the portion that is isolated, amounts are reflected in the Statements of Operations as other foreign currency related transactions. However, for tax purposes, the Fund does fully isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon sale or maturity of such investments to the extent required by federal income tax regulations.

 

  152    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

All Portfolios of the Fund may invest in securities of foreign issuers. The ON International Equity and ON Foreign Portfolios may be invested entirely in foreign securities. Investments in securities of foreign issuers, including investments in foreign companies through the use of depositary receipts, carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability, or diplomatic developments that could adversely affect capital investment within those countries.

Restricted and Illiquid Securities

Restricted securities are those securities purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (“the 1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. 144A securities are issued by corporations without registration in reliance on 1933 Act provisions allowing for the private resale of unregistered securities to qualified institutional buyers. Section 4(a)(2) commercial paper is issued pursuant to Section 4(a)(2) of the 1933 Act which exempts an issue from registration. This paper may be used to finance non-current transactions, such as acquisitions, stock repurchase programs, and other long-term assets. Investments by a portfolio in Rule 144A and Section 4(a)(2) securities could have the effect of decreasing the liquidity of a Portfolio during any period in which qualified institutional investors were no longer interested in purchasing these securities.

Typically, the restricted securities noted above are not considered illiquid. The criteria used to determine if a restricted security is illiquid includes frequency of trades and quotes, available dealers willing to make transactions, availability of market makers in the security, and the nature of the security and its trades. The Bond and Omni Portfolios may invest up to 10% of their respective assets in illiquid securities. Each of the other Portfolios of the Fund may invest up to 15% of its net assets in illiquid securities.

Investment Transactions and Related Income

For financial reporting purposes, investment transactions are accounted for on a trade date basis. For purposes of executing separate account shareholder transactions in the normal course of business, however, the Fund’s investment transactions are recorded no later than the first calculation on the first business day following the trade date in accordance with Rule 2a-4 of the 40 Act. Accordingly, differences between the net asset values for financial reporting and for executing separate account shareholder transactions may arise.

Dividend income is recognized on the ex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Interest income is accrued daily as earned and includes the amortization of premium and accretion of discount. Net realized gain or loss on investments and foreign exchange transactions are determined using the specific identification method.

Distributions to Shareholders and Federal Taxes

Distributions arising from net investment income and net capital gains from the 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 fully or partially satisfies its distribution requirements by using consent dividends rather than cash distributions. The consent dividends, when authorized, become taxable to the shareholders as if they were paid in cash. The Fund has the intent to continue to comply with tax provisions pertaining to regulated investment companies and make distributions of taxable income, whether by cash or consent dividends, sufficient to relieve it from substantially all federal income and excise taxes. As such, no provisions for federal income or excise taxes have been recorded.

The character of income and realized capital gains distributions are determined in accordance with federal income tax regulations and may differ from net investment income and realized gains for financial reporting purposes. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature they are reclassified within the composition of net assets; temporary differences do not require such reclassification. Distributions to shareholders that exceed taxable income and net taxable realized gains are reported as return of capital distributions.

The Fund’s management and its tax agent perform an affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is more-likely-than-not (i.e. greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the Schedules of Investments. Differences between tax positions taken in a tax return and amounts recognized in the Schedules of Investments

 

  153    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense. Implementation of the evaluation included a review of tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal tax and the state of Maryland (i.e., the last four tax year ends and the interim tax period since then). The determination has been made that there are no uncertain tax positions that would require the Portfolios to record a tax liability and, therefore, there is no impact to the Portfolios’ Schedules of Investments.

Expense Allocation

Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses that cannot be directly attributed to a Portfolio are allocated among all the benefited Portfolios on a basis of relative net assets or other appropriate method.

Foreign Withholding Taxes

Certain Portfolios in the Fund may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally withheld based on income earned. These Portfolios accrue such taxes as the related income is earned.

Investment Company Modernization

In October 2016, the Securities and Exchange Commission (SEC) released its Final Rules on Investment Company Reporting Modernization (the “Rules”). The Rules, which introduce two new regulatory reporting forms for investment companies – Form N-Port and Form N-CEN – also contain amendments to Regulation S-X that require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Fund has early-adopted the enhanced disclosures regarding derivatives and investments in affiliates, which had no effect on the Fund’s net assets or results of operations. The Fund’s management is currently evaluating the impact of the new regulatory forms on the Fund’s financial statements.

Subsequent Events

Management has evaluated events and transactions through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements, and there are no subsequent events to report.

(3) Related Party and Other Transactions

The Fund has an Investment Advisory Agreement with Ohio National Investments, Inc. (“ONI”), a wholly-owned subsidiary of ONLIC. Under the terms of this agreement, ONI provides portfolio management and investment advice to the Fund and administers its operations, subject to the supervision of the Fund’s Board. This agreement is renewed annually upon the approval by the Board. As compensation for its services, ONI receives advisory fees from the Fund calculated on the basis of each Portfolio’s average daily net assets and the following current schedule of Board-approved annualized fee breakpoints.

 

Equity

  

Omni

  

ON Foreign2

0.79% of first $200 million

  

0.60% of first $100 million

  

0.85% of first $100 million

0.74% of next $800 million

  

0.50% of next $150 million

  

0.80% of next $100 million

0.70% over $1 billion

  

0.45% of next $250 million

  

0.70% of next $800 million

Bond

  

0.40% of next $500 million

  

0.67% over $1 billion

0.60% of first $100 million

  

0.30% of next $1 billion

  

Aggressive Growth

0.50% of next $150 million

  

0.25% over $2 billion

  

0.80% of first $100 million

0.45% of next $250 million

  

Capital Appreciation

  

0.75% of next $400 million

0.40% of next $500 million

  

0.80% of first $100 million

  

0.70% over $500 million

0.30% of next $1 billion

  

0.75% of next $300 million

  

Small Cap Growth

0.25% over $2 billion

  

0.65% of next $600 million

  

0.80% of first $150 million

  

0.60% over $1 billion

  

0.75% of next $150 million

  

ON International Equity1

  

0.70% of next $300 million

  

0.85% of first $100 million

  

0.65% over $600 million

  

0.80% of next $100 million

  
  

0.70% of next $800 million

  
  

0.67% over $1 billion

  

 

  154    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Mid Cap Opportunity

  

Nasdaq-100® Index

  

Bristol Growth

0.85% of first $100 million

  

0.40% of first $100 million

  

0.80% of first $100 million

0.80% of next $100 million

  

0.35% of next $150 million

  

0.70% of next $400 million

0.75% of next $300 million

  

0.33% over $250 million

  

0.65% over $500 million

0.70% over $500 million

  

Bristol

  

Risk Managed Balanced

S&P 500® Index

  

0.80% of first $100 million

  

0.90% of first $500 million

0.40% of first $100 million

  

0.70% of next $400 million

  

0.75% over $500 million

0.35% of next $150 million

  

0.65% over $500 million

  

ON Conservative Model3

0.33% over $250 million

  

Bryton Growth

  

0.40% of all net assets

Strategic Value

  

0.85% of first $100 million

  

ON Moderately Conservative Model3

0.75% of first $100 million

  

0.75% of next $400 million

  

0.40% of all net assets

0.70% of next $400 million

  

0.70% over $500 million

  

ON Balanced Model3

0.65% over $500 million

  

Balanced

  

0.40% of all net assets

High Income Bond

  

0.65% of first $200 million

  

ON Moderate Growth Model3

0.75% of first $75 million

  

0.60% of next $300 million

  

0.40% of all net assets

0.70% of next $75 million

  

0.55% over $500 million

  

ON Growth Model3

0.65% of next $75 million

  

S&P MidCap 400® Index

  

0.40% of all net assets

0.60% over $225 million

  

0.40% of first $100 million

  

ClearBridge Small Cap

  

0.35% of next $150 million

  

0.85% of first $200 million

  

0.33% over $250 million

  

0.80% of next $300 million

     

0.75% over $500 million

     

 

  1 

At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the International Portfolio.

Effective May 1, 2017, Lazard Asset Management, LLC replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Portfolio to ON International Equity Portfolio. Also, the Board approved a revision to the Portfolio’s advisory fee schedule shown above, also effective May 1, 2017. Previously, the advisory fee breakpoints, based on the Portfolio’s daily net assets, were:

0.85% of first $100 million

0.80% of next $100 million

0.70% over $200 million

 

  2 

At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the International Small-Mid Company Portfolio.

Effective May 1, 2017, Templeton Global Advisors Limited replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Small-Mid Company Portfolio to ON Foreign Portfolio. Also, the Board approved a revision to the Portfolio’s advisory fee schedule shown above, also effective May 1, 2017. Previously, the advisory fee breakpoints, based on the Portfolio’s daily net assets, were:

1.00% of first $100 million

0.90% of next $100 million

0.85% over $200 million

 

  3 

ONI has contractually agreed to make payments (by waiving management fees and/or reimbursing expenses) to the Fund to the extent that the annual ordinary operating expenses of the five new Model Portfolios, exclusive of certain expenses, exceed the following percentages of the average daily net assets (the “Fee Waiver Agreement.”)

 

ON Conservative Model

     0.82  

ON Moderately Conservative Model

     0.87  

ON Balanced Model

     0.94  

ON Moderate Growth Model

     0.99  

ON Growth Model

     1.03  

For purposes of calculating the expenses subject to the Fee Waiver Agreement, the annual operating expenses are those as presented in the Fund’s prospectus. The prospectus presentation of Fund expenses includes Acquired Fund Fees and Expenses (“AFFE”), which is a calculation of the indirect costs associated with the Portfolios’ underlying investments in other investment companies. The Fee Waiver Agreement will continue at least through April 30, 2018. The Fee Waiver

 

  155    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Agreement may only be terminated with the consent of the Board of Directors. Under the Fee Waiver Agreement, ONI is entitled to reimbursement of the excess expense payments paid by it in the three years following the date the particular expense payment occurred, but only if such reimbursement can be achieved without exceeding the applicable annual expense limitation in effect at the time of the expense payment or the reimbursement.

For the period from the Model Portfolios’ inception date, March 1, 2017, to June 30, 2017, ONI waived investment advisory fees or reimbursed the expenses of the Model Portfolios as follows:

 

Portfolio

     

ON Conservative Model

   $ 71,437     

ON Moderately Conservative Model

     163,949     

ON Balanced Model

     703,330     

ON Moderate Growth Model

     1,133,726     

ON Growth Model

     305,598     

Under the Investment Advisory Agreement, the Fund authorizes ONI to retain sub-advisers (“the Sub-Advisers”) for all Portfolios of the Fund, with the exception of the Bond Portfolio and the five new “Model” Portfolios, subject to the approval of the Board. ONI has entered into sub-advisory agreements with ClearBridge, LLC (“ClearBridge”), Suffolk Capital Management, LLC (“Suffolk”), Lazard Asset Management, LLC (“Lazard”), Templeton Global Advisors Limited (“Templeton”), Jennison Associates LLC (“Jennison”), Janus Capital Management LLC (“Janus”), Goldman Sachs Asset Management, L.P. (“Goldman Sachs”), Geode Capital Management, LLC (“Geode”), Federated Equity Management Company of Pennsylvania (“Federated Equity”), Federated Investment Management Company (“Federated Investment”), ICON Advisers, Inc. (“ICON”), and AnchorPath Financial, LLC (“AnchorPath”) to manage the investment of those Portfolios’ assets, subject to the supervision of ONI.

As compensation for their services, the Sub-Advisers receive from ONI a sub-advisory fee calculated on the basis of each of the aforementioned Portfolio’s average daily net assets and the following current Board-approved schedule of annualized fee breakpoints.

 

Equity (ClearBridge)

  

Small Cap Growth (Janus)

  

Bristol (Suffolk)

0.40% of first $200 million

  

0.55% of first $150 million

  

0.45% of first $100 million

0.38% over $200 million

  

0.45% over $150 million

  

0.40% of next $400 million

Omni (Suffolk)

  

Mid Cap Opportunity (Goldman Sachs)

  

0.35% over $500 million

0.30% of first $100 million

  

0.60% of first $100 million

  

Bryton Growth (Suffolk)

0.25% of next $150 million

  

0.55% of next $100 million

  

0.50% of first $100 million

0.225% of next $250 million

  

0.50% over $200 million

  

0.45% of next $400 million

0.20% of next $500 million

  

S&P 500®Index (Geode)6

  

0.40% over $500 million

0.15% of next $1 billion

  

0.025% of first $100 million

  

Balanced (ICON)

0.125% over 2 billion

  

0.020% of next $150 million

  

0.40% of first $200 million

Capital Appreciation (Jennison)

  

0.015% over $250 million

  

0.35% of next $300 million

0.75% of first $10 million

  

Strategic Value (Federated Equity)

  

0.30% over $500 million

0.50% of next $30 million

  

0.50% of first $35 million

  

S&P MidCap 400®Index (Geode)6

0.35% of next $25 million

  

0.35% of next $65 million

  

0.039% of first $100 million

0.25% of next $335 million

  

0.25% over $100 million

  

0.038% of next $150 million

0.22% of next $600 million

  

High Income Bond (Federated Investment)

  

0.037% of next $250 million

0.20% over $1 billion

  

0.50% of first $30 million

  

0.036% of next $500 million

ON International Equity (Lazard)4

  

0.40% of next $20 million

  

0.035% over $1 billion

0.40% on first $500 Million

  

0.30% of next $25 million

  

Bristol Growth (Suffolk)

0.35% on next $500 Million

  

0.25% over $75 million

  

0.45% of first $100 million

0.32% over $1 Billion

  

ClearBridge Small Cap (ClearBridge)

  

0.40% of next $400 million

ON Foreign (Templeton)5

  

0.55% of first $200 million

  

0.35% over $500 million

0.43% on first $500 Million

  

0.50% over $200 million

  

Risk Managed Balanced (Janus)

0.38% on next $500 Million

  

Nasdaq-100®Index (Geode)6

  

0.35% of first $500 million

0.35% over $1 Billion

  

0.05% of first $100 million

  

0.25% over $500 million

Aggressive Growth (Janus)

  

0.04% of next $150 million

  

Risk Managed Balanced (AnchorPath)

0.55% of first $100 million

  

0.03% over $250 million

  

0.20% of first $500 million

0.50% of next $400 million

     

0.15% over $500 million

0.45% over $500 million

     

 

  156    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

  4 

At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the International Portfolio.

Effective May 1, 2017, Lazard Asset Management, LLC replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Portfolio to ON International Equity Portfolio. Also, the Board approved a revision to the Portfolio’s sub-advisory fee schedule shown above, also effective at May 1, 2017. Previously, the sub-advisory fee breakpoints, based on the Portfolio’s daily net assets, were:

0.40% of first $200 Million

0.35% over $200 Million

 

  5 

At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the International Small-Mid Company Portfolio.

Effective May 1, 2017, Templeton Global Advisors Limited replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Small-Mid Company Portfolio to ON Foreign Portfolio. Also, the Board approved a revision to the Portfolio’s sub-advisory fee schedule shown above, also effective at May 1, 2017. Previously, the sub-advisory fee breakpoints, based on the Portfolio’s daily net assets, were:

0.75% of first $100 Million

0.65% over $100 Million

 

  6 

The sub-advisory fees for the three Portfolios sub-advised by Geode could be impacted by an agreed-upon minimum aggregate per annum fee of $150,000. For the six-month period ended June 30, 2017, the minimum aggregate fee had no impact on the sub-advisory fees that were calculated based on the fee schedules indicated above.

Prior to December 30, 2016, Suffolk, the sub-adviser to the Omni, Bristol, Bryton Growth, and Bristol Growth Portfolios had an affiliation with ONI. Ohio National Financial Services, Inc. (ONFS) owns 100% of ONLIC, the parent company of ONI, and, until December 30, 2016, also owned 84.698% of the voting interests of Suffolk. On December 30, 2016, a Purchase and Sale Agreement was executed for the purpose of transferring ONLIC’s ownership interests to a Suffolk employee ownership group. There were no Fund liabilities payable to Suffolk at June 30, 2017, as sub-advisory fees are accrued and paid by ONI rather than the Fund.

Pursuant to a service agreement among ONI, ONLIC, and the Fund, ONLIC has agreed to provide personnel and facilities to ONI on a cost-reimbursement basis. These personnel members include officers of the Fund. ONLIC also provides clerical and administrative services and such supplies and equipment as may be reasonably required in order for ONI to properly perform its advisory function pursuant to the Investment Advisory Agreement. ONLIC further performs duties to fulfill the transfer agent function on behalf of the Fund. Performance of these duties by ONLIC and availability of facilities, personnel, supplies, and equipment does not represent an expense to the Fund in excess of the advisory fees paid to ONI.

Pursuant to the Investment Advisory Agreement between ONI and the Fund, if the total expenses applicable to any Portfolio during any calendar quarter (excluding taxes, brokerage commissions, interest expense and management fees) exceed 1%, on an annualized basis, evaluated quarterly, of such Portfolio’s average daily net asset value, ONI will reimburse the Portfolio for such excess expenses. There were no expense reimbursements associated with this agreement during the six-month period ended June 30, 2017.

The Investment Advisory Agreement allows for a portion of the expenses related to the Fund’s Chief Compliance Officer and staff to be incurred by the Fund and paid from the Fund to the Fund’s adviser, ONI. Pursuant to the service agreement among ONI, ONLIC, and the Fund, ONLIC has provided the personnel, services, and equipment necessary for the execution of the Fund’s regulation-mandated compliance function and ONI has reimbursed ONLIC for costs allocated to the Fund. For the six-month period ended June 30, 2017, the Fund incurred compliance expenses totaling $159,995, which is allocated to the Portfolios by equal dollar amounts. Expenses incurred by the Portfolios are reflected on the Statements of Operations as “Compliance expense”.

Each director of the Board is compensated based on an annual retainer fee of $140,000, paid quarterly. The Board chair receives an additional quarterly retainer fee of $3,750, the lead independent director of the Board receives an additional quarterly retainer fee of $3,125, and the Audit Committee chair receives an additional quarterly retainer fee of $1,250; each paid quarterly. For the six-month period ended June 30, 2017, directors’ compensation and reimbursement of director expenses by the Portfolios of the Fund totaled $371,654.

The accounting agent and custodian for the Fund is State Street Bank (Kansas City, MO and Boston, MA). For assets held outside of the United States, State Street Bank utilizes a foreign sub-custodian network that is subject to oversight and periodic approval of the Board.

 

  157    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

(4) Capital Share Transactions

Capital share transactions for the six-month period ended June 30, 2017, and the year ended December 31, 2016, respectively, were as follows:

 

     Equity     Bond     Omni  
     Six-Month           Six-Month           Six-Month        
     Period Ended     Year Ended     Period Ended     Year Ended     Period Ended     Year Ended  
     6/30/2017     12/31/2016     6/30/2017     12/31/2016     6/30/2017     12/31/2016  

Capital shares issued on sales

     10,367,261       2,230,233       1,772,275       2,653,292       160,389       907,980  

Capital shares redeemed

     (11,769,656     (2,826,282     (1,778,190     (3,109,602     (193,079     (751,330
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase/(decrease)

     (1,402,395     (596,049     (5,915     (456,310     (32,690     156,650  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     Capital Appreciation     ON International Equity     ON Foreign  
     Six-Month           Six-Month           Six-Month        
     Period Ended     Year Ended     Period Ended     Year Ended     Period Ended     Year Ended  
     6/30/2017     12/31/2016     6/30/2017     12/31/2016     6/30/2017     12/31/2016  

Capital shares issued on sales

     1,948,652       792,089       860,196       1,559,945       493,995       550,491  

Capital shares redeemed

     (2,359,186     (8,694,235     (1,653,758     (2,369,033     (429,000     (757,661
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase/(decrease)

     (410,534     (7,902,146     (793,562     (809,088     64,995       (207,170
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     Aggressive Growth     Small Cap Growth     Mid Cap Opportunity  
     Six-Month           Six-Month           Six-Month        
     Period Ended     Year Ended     Period Ended     Year Ended     Period Ended     Year Ended  
     6/30/2017     12/31/2016     6/30/2017     12/31/2016     6/30/2017     12/31/2016  

Capital shares issued on sales

     344,006       1,176,118       5,295,221       1,410,206       119,079       367,577  

Capital shares redeemed

     (466,506     (1,385,111     (5,810,004     (2,206,610     (285,186     (688,315
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase/(decrease)

     (122,500     (208,993     (514,783     (796,404     (166,107     (320,738
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     S&P 500® Index     Strategic Value     High Income Bond  
     Six-Month           Six-Month           Six-Month        
     Period Ended     Year Ended     Period Ended     Year Ended     Period Ended     Year Ended  
     6/30/2017     12/31/2016     6/30/2017     12/31/2016     6/30/2017     12/31/2016  

Capital shares issued on sales

     15,998,220       20,751,886       30,315,917       14,744,875       11,777,434       8,187,969  

Capital shares redeemed

     (16,623,998     (4,923,612     (25,906,013     (6,274,225     (12,343,667     (3,137,431
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase/(decrease)

     (625,778     15,828,274       4,409,904       8,470,650       (566,233     5,050,538  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     ClearBridge Small Cap     Nasdaq-100® Index     Bristol  
     Six-Month           Six-Month           Six-Month        
     Period Ended     Year Ended     Period Ended     Year Ended     Period Ended     Year Ended  
     6/30/2017     12/31/2016     6/30/2017     12/31/2016     6/30/2017     12/31/2016  

Capital shares issued on sales

     3,780,518       3,777,046       2,718,671       5,283,661       6,676,498       828,739  

Capital shares redeemed

     (4,027,213     (743,571     (1,952,620     (4,629,245     (7,218,466     (2,348,472
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase/(decrease)

     (246,695     3,033,475       766,051       654,416       (541,968     (1,519,733
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
     Bryton Growth     Balanced     S&P MidCap 400® Index  
     Six-Month           Six-Month           Six-Month        
     Period Ended     Year Ended     Period Ended     Year Ended     Period Ended     Year Ended  
     6/30/2017     12/31/2016     6/30/2017     12/31/2016     6/30/2017     12/31/2016  

Capital shares issued on sales

     3,387,094       1,339,282       22,753,971       9,384,539       1,528,206       370,339  

Capital shares redeemed

     (3,766,576     (4,999,127     (23,788,714     (6,988,391     (1,140,883     (554,988
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net increase/(decrease)

     (379,482     (3,659,845     (1,034,743     2,396,148       387,323       (184,649
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

 

  158    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

     Bristol Growth     Risk Managed Balanced                               
     Six-Month           Six-Month                  
     Period Ended     Year Ended     Period Ended     Year Ended            
     6/30/2017     12/31/2016     6/30/2017     12/31/2016            

Capital shares issued on sales

     5,704,967       766,504       5,008,165       13,411,958      

Capital shares redeemed

     (6,168,578     (1,174,726     (2,526,548     (3,282,546    
  

 

 

   

 

 

   

 

 

   

 

 

     

Net increase/(decrease)

     (463,611     (408,222     2,481,617       10,129,412      
  

 

 

   

 

 

   

 

 

   

 

 

     
     ON     ON Moderately                        
     Conservative     Conservative     ON Balanced     ON Moderate     ON Growth      
     Model     Model     Model     Growth Model     Model      
     Period from     Period from     Period from     Period from     Period from      
     March 1, 2017     March 1, 2017     March 1, 2017     March 1, 2017     March 1, 2017      
     (inception) to     (inception) to     (inception) to     (inception) to     (inception) to      
     6/30/2017     6/30/2017     6/30/2017     6/30/2017     6/30/2017      

Capital shares issued on sales

     11,158,622       34,733,554       158,659,763       260,184,928       52,536,045    

Capital shares redeemed

     (813,833     (1,915,880     (7,359,967     (10,740,283     (2,250,126  
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

Net increase/(decrease)

     10,344,789       32,817,674       151,299,796       249,444,645       50,285,919    
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

(5) Investment Transactions

Cost of purchases and proceeds from sales of investments (excluding short-term and government securities) for the six-month period ended June 30, 2017 were as follows:

 

                    Capital    ON International
     Equity    Bond    Omni    Appreciation    Equity

Cost of purchases

     $ 115,090,387      $ 69,637,105      $ 51,224,800      $ 45,896,310      $ 179,058,921

Proceeds from sales

     $ 140,818,366      $ 62,668,808      $ 51,006,935      $ 50,389,238      $ 181,113,622
     ON Foreign    Aggressive
Growth
   Small Cap Growth    Mid Cap
Opportunity
   S&P 500® Index

Cost of purchases

     $ 86,108,530      $ 14,626,785      $ 23,285,194      $ 23,559,697      $ 32,531,098

Proceeds from sales

     $ 83,562,131      $ 17,603,679      $ 36,581,489      $ 28,723,189      $ 32,230,387
     Strategic Value    High Income
Bond
   ClearBridge Small
Cap
   Nasdaq-100®
Index
   Bristol

Cost of purchases

     $ 152,238,698      $ 51,546,482      $ 70,506,315      $ 19,019,629      $ 215,644,082

Proceeds from sales

     $ 73,425,865      $ 54,869,904      $ 61,370,048      $ 9,049,276      $ 228,449,627
     Bryton Growth    Balanced    S&P MidCap 400®
Index
   Bristol Growth    Risk Managed
Balanced

Cost of purchases

     $ 95,189,089      $ 369,561,271      $ 22,428,569      $ 125,118,549      $ 73,514,392

Proceeds from sales

     $ 103,179,684      $ 419,365,477      $ 16,072,272      $ 135,494,918      $ 45,372,083
     ON Conservative
Model
   ON Moderately
Conservative
Model
   ON Balanced
Model
   ON Moderate
Growth Model
   ON Growth Model

Cost of purchases

     $ 110,977,983      $ 346,002,363      $ 1,609,599,092      $ 2,669,000,430      $ 533,256,490

Proceeds from sales

     $ 6,885,009      $ 16,471,324      $ 104,834,294      $ 163,538,063      $ 30,634,887

 

  159    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Cost of purchases and proceeds from sales of government securities for the six-month period ended June 30, 2017 were as follows:

 

                          Risk Managed  
     Bond      Omni      Balanced      Balanced  

Cost of purchases

   $ 3,918,047      $      $ 69,937,852      $ 35,152,447  

Proceeds from sales

   $ 8,357,910      $ 482,133      $      $ 30,762,608  

(6) Financial Instruments

The Fund’s Portfolios may trade in financial instruments with off-balance sheet risk for hedging purposes or, otherwise, in accordance with stated investing objectives. These financial instruments may include options, futures, and foreign currency contracts that may involve, to a varying degree, elements of risk in excess of the amounts recognized on financial statements.

Options

A Portfolio may buy and write (i.e., sell) call and put options. In writing call options, the Portfolio gives the purchaser of the call option the right to purchase the underlying securities from the Portfolio at a specified “exercise” price at any time prior to the expiration of the option, normally within nine months. A Portfolio writes a covered call option when it owns the underlying securities and an uncovered call option when it does not. In purchasing put options, a Portfolio pays the seller of the put option a premium for the right of the Portfolio to sell the underlying securities to the seller at a specified exercise price prior to the expiration of the option. When a Portfolio sells a put option, it has the obligation to buy, and the purchaser of the put the right to sell, the underlying security at the exercise price during the option period. Whenever a Portfolio has a written covered call option outstanding, the underlying securities will be segregated by the Custodian and held in an escrow account to assure that such securities will be delivered to the option holder if the option is exercised. While the underlying securities are subject to the option, the Portfolio remains the record owner of the securities, entitling it to receive dividends and to exercise any voting rights. Whenever a Portfolio has a written uncovered call option outstanding, it will segregate with the Custodian cash or liquid assets that, when added to the amounts deposited with the broker as margin, equal to the market value of the securities underlying the call option (but not less than the exercise price of the call option). To cover a written put option, the Portfolio writing the option deposits cash or liquid securities in a segregated account at the Custodian. In order to terminate its position as the writer or the purchaser of an option, the Portfolio may enter into a “closing” transaction, which is the purchase (if the Portfolio has written the option) or sale (if the Portfolio is the purchaser of the option) of an option on the same underlying securities and having the same exercise price and expiration date as the option previously written or purchased by the Portfolio.

When a Portfolio writes a put or call option, an amount equal to the premium received is included on the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. Such liability is subject to off balance sheet risks to the extent of any future increases in market value of the written options. If an option expires on its stipulated expiration date or if the Portfolio enters into a closing purchase transaction, a gain or loss is realized. If a written call option on an individual security is exercised, a gain or loss is realized for the sale of the underlying security, and the proceeds from the sale are increased by the premium originally received. If a written call option on a securities index is exercised, a gain or loss is realized as determined by the premium originally received, the exercise price and the market value of the index. If a written put option on an individual security is exercised, the cost of the security acquired is decreased by the premium originally received. When a Portfolio purchases a put or call option, an amount equal to the premium paid is included on the Portfolio’s Statement of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if the Portfolio enters into a closing sale transaction, a gain or loss is realized. If a Portfolio exercises a call option on an individual security, the cost of the security acquired is increased by the premium paid for the call. If the Portfolio exercises a put option on an individual security, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. If the Portfolio exercises a put option on a security index, a gain or loss is realized as determined by the premium originally paid, the exercise price and the market value of the index.

The Balanced Portfolio held written options and purchased put options during the six-month period ended June 30, 2017. These instruments were used by the Portfolio to provide a hedge against equity price risk. During a period in which the prices of the Portfolio’s common stocks may decline, these instruments are designed to increase in value, thus providing price accumulation gains that partially offset the price accumulation losses of the common stocks in the Portfolio.

The Balanced Portfolio’s written call options, if any, are collateralized by cash and/or securities held by the Portfolio’s custodian under an Escrow Deposit Agreement between the custodian and the Options Clearing Corporation (“OCC”). Such collateral holdings are restricted from trading. The cash collateral or borrowings, if necessary, are included on the Statement of Assets and Liabilities.

 

  160    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

Written and purchased options are non-income producing securities.

The number of option contracts written and the premiums received by the Balanced Portfolio for the six-month period ended June 30, 2017 were as follows:

 

     Number of   Premiums
     Contracts   Received

Options outstanding, beginning of period

       400     $ 559,478

Options written during period

            

Options exercised during period

            

Options expired during period

            

Options closed during period

       (400 )       (559,478 )
    

 

 

     

 

 

 

Options outstanding, end of period

            
    

 

 

     

 

 

 

Transactions involving purchased options by the Balanced Portfolio for the six-month period ended June 30, 2017 were: Cost of purchases: $2.9 million, Expirations: $5.3 million.

The Risk Managed Balanced Portfolio also purchased call and put options associated with the S&P 500 Index or related exchange traded fund during the six-month period ended June 30, 2017. These instruments were used by the Risk Management Component of the Portfolio to provide for the Portfolio’s stated risk management strategy. Transactions involving purchased options by the Risk Managed Balanced Portfolio for the six-month period ended June 30, 2017 were: Cost of purchases: $12.8 million, Proceeds from sales: $11.6 million, Expirations: $0.5 million.

Futures Contracts

A Portfolio may buy or sell two kinds of financial futures contracts: stock index futures contracts and interest rate futures contracts. Stock index futures contracts are contracts developed by and traded on national commodity exchanges whereby the buyer will, on a specified future date, pay or receive a final cash payment equal to the difference between the actual value of the stock index on the last day of the contract and the value of the stock index established by the contract multiplied by the specific dollar amount set by the exchange. Futures contracts may be based on broad-based stock indexes such as the S&P 500 Index or on narrow-based stock indices. A particular index will be selected according to the Adviser’s investment strategy for the particular Portfolio. An interest rate futures contract is an agreement whereby one party agrees to sell and another party agrees to purchase a specified amount of a specified financial instrument (debt security) at a specified price at a specified date, time and place. Although interest rate futures contracts typically require actual future delivery of and payment for financial instruments, the contracts are usually closed out before the delivery date. A public market exists in interest rate futures contracts covering primarily the following financial instruments: U.S. Treasury bonds; U.S. Treasury notes; Government National Mortgage Association (GNMA) modified pass-through mortgage-backed securities; three-month U.S. Treasury bills; 90-day commercial paper; bank certificates of deposit; and Eurodollar certificates of deposit. U.S. futures contracts are traded on exchanges which have been designated “contract markets” by the Commodities Futures Trading Commission (“CFTC”) and must be executed through a futures commission merchant (“FCM”), or brokerage firm, which is a member of the relevant contract market. It is expected that futures contracts trading in additional financial instruments will be authorized.

The Fund, on behalf of each Portfolio, has filed with the National Futures Association, a notice claiming an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act, as amended, and the rules of the CFTC promulgated thereunder, with respect to each Portfolio’s operation. Accordingly, the Portfolios are not subject to registration or regulation as a commodity pool operator.

The buyer or seller of a futures contract is not required to deliver or pay for the underlying instrument unless the contract is held until the delivery date. However, both the buyer and seller are required to deposit “initial margin” for the benefit of the broker when the contract is entered into. Initial margin deposits are equal to a percentage of the contract’s value, as set by the exchange on which the contract is traded, and are similar to good faith deposits or performance bonds.

Unlike margin extended by a securities broker, initial margin payments do not constitute purchasing securities on margin for purposes of a Portfolio’s investment limitations. A Portfolio, its futures commission merchant and the Custodian retain control of the initial margin until the contract is liquidated. If the value of either party’s position declines, the party on the side of the declining position will be required to make additional “variation margin” payments to settle the change in value on a daily basis. The party that has a gain may be entitled to receive all or a portion of this amount. In the event of the bankruptcy of the FCM that holds margin on behalf of a Portfolio, the Portfolio may be entitled to return of margin owed to the Portfolio only in proportion to the amount received by the FCM’s other customers. ONI and the Sub-Advisers will attempt to minimize this risk by carefully monitoring the

 

  161    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

creditworthiness of the FCMs with which the Portfolios do business. In addition to the margin restrictions discussed above, transactions in futures contracts and options on futures contracts may involve the segregation of funds pursuant to requirements imposed by the SEC. Under those requirements, where a Portfolio has a long position in a futures contract or sells a put option, it will be required to establish a segregated account (not with an FCM or broker) containing cash or certain liquid assets equal to the purchase price of the contract or the exercise price of the option (less any margin on deposit). For a short position in futures contacts held by a Portfolio or call options sold by a Portfolio, those requirements mandate the establishment of a segregated account (not with a futures commission merchant or broker) containing cash or certain liquid assets that, when added to the amounts deposited as margin, equal the market value of the instruments underlying the futures contracts or call options. However, segregation of assets is not required if a Portfolio “covers” its position.

Portions of the S&P 500® Index, Nasdaq-100® Index, and S&P MidCap 400® Index Portfolios’ cash holdings, as noted on those Portfolios’ Schedules of Investments, were pledged at June 30, 2017 as collateral for futures contracts. These futures contracts were used by the Portfolios for the purpose of gaining equity exposure for cash and cash equivalents, thereby seeking to lessen a performance difference between the Portfolios and their respective benchmark indices. There were other index futures contracts that were executed and closed in the Portfolios during the six-month period ended June 30, 2017. Those contracts were executed for similar purposes as the contracts outstanding at June 30, 2017. For the six-month period ended June 30, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the S&P 500® Index Portfolio were $46.9 million and $54.0 million, respectively. For the six-month period ended June 30, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the Nasdaq-100® Index Portfolio were $26.3 million and $24.6 million, respectively. For the six-month period ended June 30, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the S&P MidCap 400® Index Portfolio were $4.3 million and $4.1 million, respectively.

Portions of the Risk Managed Balanced Portfolio’s securities and cash holdings, as noted on the Portfolio’s Schedule of Investments, were pledged at June 30, 2017 as collateral for futures contracts. These futures contracts were used by the Portfolio to provide for the Portfolio’s stated risk management strategy. There were other index futures contracts that were executed and closed in the Risk Managed Balanced Portfolio during the six-month period ended June 30, 2017. Those contracts were executed for similar purposes as the contracts outstanding at June 30, 2017. For the six-month period ended June 30, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the Portfolio were $436.0 million and $411.7 million, respectively.

Although there were no futures contracts in the ON International Equity Portfolio at June 30, 2017, there were index futures contracts that were executed and closed in that Portfolio during the six-month period ended June 30, 2017. Those contracts were executed for the purpose of increasing exposure to an attractive equities market, beyond that evidenced by the Portfolio’s investment in common stocks, while maintaining a significant cash balance that could be used for potentially higher-than-average shareholder transactions. For the six-month period ended June 30, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the Portfolio were $17.5 million and $25.4 million, respectively.

Foreign Currency Contracts

In order to hedge against changes in the exchange rates of foreign currencies in relation to the U.S. dollar, each Portfolio may engage in forward foreign currency contracts, foreign currency options and foreign currency futures contracts in connection with the purchase, sale or ownership of a specific security. The ON International Equity, ON Foreign, Strategic Value and High Income Bond Portfolios may engage in non-hedging related transactions to implement their investment strategies.

The Portfolios generally conduct their foreign currency exchange transactions on a spot (i.e., cash) basis at the spot rate prevailing in the foreign exchange currency market. When a Portfolio purchases or sells a security denominated in or exposed to a foreign currency, it may enter into a forward foreign currency contract (“forward contract”) for the purchase or sale, for a fixed amount of dollars, of the amount of currency involved in the underlying security transaction. A forward contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. In this manner, a Portfolio may obtain protection against a possible loss resulting from an adverse change in the relationship between the U.S. dollar and the foreign currency during the period between the date the security is purchased or sold and the date upon which payment is made or received. Although such contracts tend to minimize the risk of loss due to the decline in the value of the hedged currency, at the same time they tend to limit any potential gain which might result should the value of such currency increase.

Forward contracts are traded in the interbank market conducted directly between currency traders (usually large commercial banks) and their customers. Generally, a forward contract has no deposit requirement, and no commissions are charged. Although foreign exchange dealers do not charge a fee for conversion, they do realize a profit based on the difference between the prices at which they buy and sell various currencies. When the Portfolio manager believes that the currency of a particular foreign country may suffer a substantial decline against the U.S. dollar, a Portfolio may enter into a forward contract to sell, for a fixed amount of

 

  162    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

dollars, the amount of foreign currency approximating the value of some or all of that Portfolio’s securities denominated in or exposed to such foreign currency. No Portfolio will enter into such forward contracts or maintain a net exposure to such contracts where the consummation of the contracts would obligate the Portfolio to deliver an amount of foreign currency in excess of the value of its assets denominated in or exposed to that currency. At the consummation of a forward contract for delivery by a Portfolio of a foreign currency, the Portfolio may either make delivery of the foreign currency or terminate its contractual obligation to deliver the foreign currency by purchasing an offsetting contract obligating it to purchase, at the same maturity date, the same amount of the foreign currency. If the Portfolio chooses to make delivery of the foreign currency, it may be required to obtain such currency through the sale of its securities denominated in such currency or through conversion of other Portfolio assets into such currency. It is impossible to forecast the market value of Portfolio securities at the expiration of the forward contract. Accordingly, it may be necessary for the Portfolio to purchase additional foreign currency on the spot market (and bear the expense of such purchase) if the market value of the security is less than the amount of foreign currency the Portfolio is obligated to deliver, and if a decision is made to sell the security and make delivery of the foreign currency. Conversely, it may be necessary for the Portfolio to sell on the spot market some of the foreign currency received on the sale of its hedged security if the security’s market value exceeds the amount of foreign currency the Portfolio is obligated to deliver.

If the Portfolio retains the hedged security and engages in an offsetting transaction, it will incur a gain or loss to the extent that there has been movement in spot or forward contract prices. If a Portfolio engages in an offsetting transaction, it may subsequently enter into a new forward contract to sell the foreign currency. Should forward prices decline during the period between the Portfolio’s entering into a forward contract for the sale of a foreign currency and the date it enters into an offsetting contract for the purchase of the foreign currency, the Portfolio will realize a gain to the extent the price of the currency it has agreed to sell exceeds the price of the currency it has agreed to purchase. Should forward prices increase, the Portfolio will suffer a loss to the extent the price of the currency it has agreed to purchase exceeds the price of the currency it has agreed to sell.

Buyers and sellers of foreign currency options and futures contracts are subject to the same risks previously described with respect to options and futures generally. In addition, settlement of currency options and futures contracts with respect to most currencies must occur at a bank located in the issuing nation. The ability to establish and close out positions on such options is subject to the maintenance of a liquid market that may not always be available. Currency rates may fluctuate based on political considerations and governmental actions as opposed to purely economic factors.

Predicting the movements of foreign currency in relation to the U.S. dollar is difficult and requires different skills than those necessary to predict movements in the securities market. There is no assurance that the use of foreign currency hedging transactions can successfully protect a Portfolio against loss resulting from the movements of foreign currency in relation to the U.S. dollar. In addition, it must be remembered that these methods of protecting the value of a Portfolio’s securities against a decline in the value of a currency does not eliminate fluctuations in the underlying prices of the securities. It simply establishes a rate of exchange which can be achieved at some future point in time. Additionally, although such contracts tend to minimize the risk of loss due to the decline in the value of the hedged currency, at the same time they tend to limit any potential gain which might result should the value of such currency increase.

Although there were no foreign currency contracts in the Portfolios at June 30, 2017, the ON Foreign Portfolio entered into foreign currency contracts during the six-month period ended June 30, 2017 in order to mitigate the effect that exchange rate volatility had on the valuation of the Portfolio’s investments that were either significantly under-weighted or over-weighted in relation to the Portfolio’s benchmark index. For the six-month period ended June 30, 2017, the notional value of foreign currency contracts executed by the ON Foreign Portfolio were approximately $3.3 million for currencies bought and approximately $3.3 million for currencies sold.

 

  163    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

The values and financial statement effects of derivative instruments that were not accounted for as hedging instruments as of, and for the six-month period ended June 30, 2017, were as follows:

 

                        Location on
            Value-     Value-     Statements of
            Asset     Liability     Assets and

Portfolio

 

Instrument

 

Primary Risk Type

  Derivatives     Derivatives     Liabilities

S&P 500® Index

  Futures contracts   Equity price   $ 1,815,675     $ (1,827,778   (1)
     

 

 

   

 

 

   

Nasdaq-100® Index

  Futures contracts   Equity price   $ 2,600,265     $ (2,624,780   (1)
     

 

 

   

 

 

   

Balanced

  Purchased options   Equity price   $ 1,792,000     $     (2)
     

 

 

   

 

 

   

S&P MidCap 400® Index

  Futures contracts   Equity price   $ 1,047,661     $ (1,051,627   (1)
     

 

 

   

 

 

   

Risk Managed Balanced

  Purchased options   Equity price   $ 19,349,005     $     (2)
     

 

 

   

 

 

   
  Futures contracts   Equity price   $ 211,034,521     $ (211,416,882   (1)
     

 

 

   

 

 

   

 

  

 

 

  (1) 

Net unrealized appreciation/(depreciation) on futures contracts. The amounts represent the cumulative appreciation/(depreciation) of these futures contracts as reported in the Schedules of Open Futures Contracts. Only the current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities as Variation margin receivable or payable on futures contracts.

  (2) 

Investments in securities, at value.

 

               

Change in

Unrealized

   
            Realized Gain   Appreciation/    
            (Loss) on   Depreciation on    
            Derivatives   Derivatives   Location on
            Recognized in   Recognized in   Statements

Portfolio

 

Instrument

 

Risk Type

  Income   Income   of Operations

ON International Equity

  Futures contracts   Equity price     $ 773,873     $ (61,320 )   (3),(4)
       

 

 

     

 

 

     

ON Foreign

  Foreign currency contracts   Currency exchange rate     $ (24,837 )     $   (1),(2)
       

 

 

     

 

 

     

S&P 500® Index

  Futures contracts   Equity price     $ 1,068,651     $ 99,156   (3),(4)
       

 

 

     

 

 

     

Nasdaq-100® Index

  Futures contracts   Equity price     $ 267,053     $ (9,154 )   (3),(4)
       

 

 

     

 

 

     

Balanced

  Purchased options   Equity price     $ (5,343,582 )     $ 2,164,526   (5),(6)
       

 

 

     

 

 

     
  Written options   Equity price     $ 412,834     $ (259,478 )   (7),(8)
       

 

 

     

 

 

     

S&P MidCap 400® Index

  Futures contracts   Equity price     $ 29,172     $ 2,867   (3),(4)
       

 

 

     

 

 

     

Risk Managed Balanced

  Futures contracts   Equity price     $ 3,990,768     $ 547,476   (3),(4)
       

 

 

     

 

 

     
  Purchased options   Equity price     $ (469,705 )     $ (233,113 )   (5),(6)
       

 

 

     

 

 

     

 

  

 

  (1) 

Net realized gain (loss) on foreign currency contracts.

  (2) 

Change in unrealized appreciation/(depreciation) on foreign currency contracts.

  (3) 

Net realized gain (loss) on futures contracts.

  (4) 

Change in unrealized appreciation/(depreciation) on futures contracts.

  (5) 

Net realized gain (loss) on investments.

  (6) 

Change in unrealized appreciation/(depreciation) on investments.

  (7) 

Net realized gain (loss) on written options.

  (8) 

Change in unrealized appreciation/(depreciation) on written options.

The Portfolios may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) or similar agreements with their derivative contract counterparties whereby the Portfolios may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables and create one single net payment. For financial reporting purposes, the Portfolios offset derivative assets and liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. At June 30, 2017, there were no outstanding derivative transactions that were subject to netting arrangements.

 

  164    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

(7) Federal Income Tax Information

The cost basis for Federal income tax purposes may differ from the cost basis for financial reporting purposes. The table below details the unrealized appreciation (depreciation) and aggregate cost of securities at June 30, 2017 for Federal income tax purposes.

 

                      Capital     ON International        
    Equity     Bond     Omni     Appreciation     Equity     ON Foreign  

Gross unrealized:

           

Appreciation

  $ 87,495,090     $ 5,277,621     $ 6,332,213     $ 28,064,667     $ 7,469,126     $ 3,378,737  

Depreciation

    (21,485,157     (778,266     (1,404,183     (6,513,396     (4,221,073     (2,850,081
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 66,009,933     $ 4,499,355     $ 4,928,030     $ 21,551,271     $ 3,248,053     $ 528,656  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Aggregate cost of securities:

  $ 504,116,106     $ 158,414,494     $ 57,213,108     $ 168,756,850     $ 153,543,398     $ 78,589,517  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    Aggressive
Growth
    Small Cap
Growth
    Mid Cap
Opportunity
    S&P 500® Index     Strategic Value     High Income
Bond
 

Gross unrealized:

           

Appreciation

  $ 12,069,731     $ 57,808,707     $ 13,691,507     $ 240,869,315     $ 50,967,374     $ 10,247,008  

Depreciation

    (348,963     (5,838,775     (1,438,772     (13,690,443     (18,873,760     (3,499,690
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 11,720,768     $ 51,969,932     $ 12,252,735     $ 227,178,872     $ 32,093,614     $ 6,747,318  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Aggregate cost of securities:

  $ 44,851,204     $ 197,714,540     $ 62,615,910     $ 675,494,612     $ 549,291,073     $ 309,059,761  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    ClearBridge
Small Cap
    Nasdaq-100®
Index
    Bristol     Bryton Growth     Balanced     S&P MidCap 400®
Index
 

Gross unrealized:

           

Appreciation

  $ 43,810,737     $ 81,647,895     $ 25,647,737     $ 9,245,401     $ 74,950,508     $ 3,352,002  

Depreciation

    (10,520,971     (2,521,942     (6,536,350     (3,331,516     (15,316,939     (1,985,300
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 33,289,766     $ 79,125,953     $ 19,111,387     $ 5,913,885     $ 59,633,569     $ 1,366,702  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Aggregate cost of securities:

  $ 255,871,899     $ 116,172,905     $ 197,691,717     $ 91,336,834     $ 952,663,365     $ 55,596,261  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    Bristol Growth     Risk Managed
Balanced
    ON
Conservative
Model
    ON Moderately
Conservative
Model
    ON Balanced
Model
    ON Moderate
Growth Model
 

Gross unrealized:

           

Appreciation

  $ 17,893,997     $ 27,492,300     $ 1,832,758     $ 7,407,969     $ 47,759,396     $ 75,003,249  

Depreciation

    (2,290,349     (7,096,119     (150,012     (300,399           (423,696
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Net unrealized appreciation

  $ 15,603,648     $ 20,396,181     $ 1,682,746     $ 7,107,570     $ 47,759,396     $ 74,579,553  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 

Aggregate cost of securities:

  $ 107,826,602     $ 301,937,407     $ 104,165,572     $ 329,838,981     $ 1,506,341,379     $ 2,506,768,845  
 

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

 
    ON Growth Model                                

Gross unrealized:

           

Appreciation.

  $ 18,093,131            

Depreciation.

    (228,070          
 

 

 

           

Net unrealized appreciation

  $ 17,865,061            
 

 

 

           

Aggregate cost of securities:

  $ 502,979,094            
 

 

 

           

(8) Legal Matters

Effective December 20, 2013, the assets and liabilities of the Target Equity/Income Portfolio were acquired and assumed by the S&P MidCap 400® Index Portfolio (formerly the Target VIP Portfolio) in exchange for shares of the S&P MidCap 400® Index Portfolio (the “Reorganization”).

 

  165    (continued)


Ohio National Fund, Inc.

 

    Notes to Financial Statements (Continued)    June 30, 2017 (Unaudited)  

 

In December 2007, prior to the reorganization, the Target Equity/Income Portfolio, as a shareholder of Lyondell Chemical Company (“Lyondell”), participated in a cash out merger of Lyondell in which it received $48 per share of consideration (the “Merger”). Lyondell later filed for bankruptcy and two entities created by the Lyondell bankruptcy plan of reorganization have initiated lawsuits seeking to recover, or clawback, proceeds received by shareholders in the December 2007 merger based on fraudulent transfer claims.

The first action, Edward S. Weisfelner, as Trustee of the LB Creditor Trust v. Morgan Stanley & Co., Inc., et. al., was initiated on October 22, 2010 (the “Creditor Trust Action”), in the Supreme Court of the State of New York in the County of New York but has subsequently been removed to the U.S. Bankruptcy Court for the Southern District of New York. The second action, Edward S. Weisfelner, as Trustee of the LB Litigation Trust v. Holmes TTEE, et. al., was initiated on December 23, 2010 (the “Litigation Trust Action”), in the U.S. Bankruptcy Court for the Southern District of New York. Both actions attempt to recover the proceeds paid out to the holders of Lyondell shares at the time of the 2007 merger. The value of the proceeds to the Portfolio totaled $1,772,400.

On January 4, 2012, the Fund was named in a second amended complaint in the Creditor Trust Action. On April 9, 2014, plaintiffs filed a third amended complaint. In response, on July 30, 2014, the defendant group, including the Fund, filed an omnibus motion to dismiss. The outcome of these proceedings on the Portfolio cannot be predicted.

As a result of the aforementioned reorganization involving the Target Equity/Income Portfolio, any future claims that may result from these complaints will be assumed by the S&P MidCap 400® Index Portfolio as the Survivor Portfolio. Management of the Fund continues to assess the cases and has not yet determined the potential effect, if any, on the net asset value of the S&P MidCap 400® Index Portfolio.

Also, in December 2007, the S&P 500® Index and Strategic Value Portfolios, shareholders of the Tribune Company, participated in a similar cash out merger in which shareholders received $34 per share of consideration. The value of the proceeds received by the S&P 500® Index and Strategic Value Portfolios was $37,910 and $384,200, respectively. The company subsequently filed for bankruptcy and several legal complaints have been initiated by groups of Tribune Company creditors seeking to recover, or clawback, proceeds received by shareholders based on fraudulent transfer claims (the “Tribune Bankruptcy”).

The first action, Official Committee of Unsecured Creditors of Tribune Company v. FitzSimons, et. al. (“FitzSimons”) was initiated on November 1, 2010 in the U.S. Bankruptcy Court for the District of Delaware. As a result of these proceedings, the Court agreed to allow individual creditors to file similar complaints in U.S. state courts. The Fund is specifically named in a complaint in the U.S. District Court, Southern District of Ohio, Western Division, Deutsche Bank Trust Company Americas, et. al. v. American Electric Power, et. al., that was initiated in June of 2011. The Fund, along with the Strategic Value Portfolio, is also named in a similar complaint in the U.S. District Court, Eastern District of Pennsylvania, Deutsche Bank Trust Company Americas, et. al. v. Ametek Inc. Employees Master Retirement Trust, et. al. These Tribune litigation actions have been consolidated into a single Multidistrict Litigation (“MDL”) in the U.S. District Court, Southern District of New York. Thereafter, certain defendants in the MDL, including the Fund, filed various motions to dismiss. On September 23, 2013, the Court granted the motion to dismiss the individual creditors’ state-law fraudulent conveyance claim. Subsequently, on January 6, 2017, the Court granted the motion to dismiss the Trustee’s actual fraudulent conveyance claim. With pending appeals, the outcome of these proceedings on the two Portfolios of the Fund cannot be predicted. Management of the Fund continues to assess litigation matters and any offers of settlement.

 

  166   


Ohio National Fund, Inc.

 

    Additional Information (Unaudited)    June 30, 2017  

 

(1) Review and Approval of Advisory and Sub-advisory Agreements

At a meeting held on February 10, 2017, the Board of Directors, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved an amendment to the advisory agreement (the “Advisory Agreement”) between Ohio National Investments, Inc. (the “Adviser”) and the Ohio National Fund, Inc. (the “Fund”) for the purpose of adding the Conservative Model Portfolio (the “Conservative Model”), Moderately Conservative Model Portfolio (the “Moderately Conservative Model”), Balanced Model Portfolio (the “Balanced Model”), Moderate Growth Model Portfolio (the “Moderate Growth Model”), and Growth Model Portfolio (the “Growth Model”) (collectively, the “Portfolios”) to the portfolios managed by the Adviser under the Advisory Agreement. The Directors noted their familiarity with the Advisory Agreement and with the Adviser.

The Directors noted that the Adviser is responsible for monitoring the investment performance and other responsibilities of the various Sub-Advisers that have day-to-day responsibility for the decisions made for certain of the Fund’s investment portfolios (each, a “Portfolio”). They also noted that the Adviser reports to the Fund’s Board on its analysis of each Sub-Adviser’s performance at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Adviser will add or remove a particular Portfolio from a watchlist that it maintains. Watchlist criteria include, for example: (a) Portfolio performance over various time periods; (b) Portfolio risk issues, such as changes in key personnel involved with Portfolio management or changes in investment philosophy or process; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Sub-Adviser.

The Directors noted that the Adviser will have day-to-day responsibility for the management of each Portfolio as well as the compliance and administrative oversight responsibilities to the Portfolios, including collection and/or preparation of certain certifications required by the conditions of the Securities and Exchange Commission order (the “Order”) granted to the Fund, which, in summary, permits the Portfolios to operate as “Funds of Funds” and to invest in other investment companies in excess of the limits of Section 12(d)(1). They also noted that the Adviser will report to the Board on its analysis of each Portfolio’s performance at the regular meetings of the Board, which are held at least quarterly.

In considering the amendment to the Advisory Agreement, the Board requested and reviewed a significant amount of information relating to each Portfolio, including the following: (1) detail of the mix of underlying funds expected to be held in each model Portfolio; (2) historical weighted average returns that each model Portfolio would have realized had it been invested in the same mix of underlying funds over the relevant period (the “Hypothetical Performance”), as compared to the performance of the model Portfolio’s proposed benchmark “Benchmark Performance”); (3) performance data of the underlying funds expected to be held by the Portfolios; (4) comparative advisory fee and expense ratio information for a peer group of funds, as well as advisory fee and expense ratio peer comparison charts showing where each Portfolio’s proposed advisory fee and estimated expense ratio were located in the dispersion of its peer funds’ advisory fees and expense ratios; (5) comparative data regarding the expense ratio of each Portfolio as compared to its peer group; and (6) other information regarding the nature, extent and quality of services anticipated to be provided by the Adviser.

The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposed amendment in private session with such counsel at which no representatives of management or the Adviser were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating adding the portfolios to the Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to approving the amendment to the Advisory Agreement.

Nature, Extent and Quality of Services

The Board evaluated the nature, extent and quality of the advisory services anticipated to be provided to the Portfolios by the Adviser. As part of its review, the Board reviewed information regarding the Adviser’s operations, procedures and personnel. The Directors took into account information they received during the previous year at Board meetings in connection with the Adviser’s service to other portfolios of the Fund and through periodic reports regarding the Adviser’s performance of its duties to such other portfolios. The Directors considered the capabilities and resources that the Adviser has dedicated to performing services on behalf of the Fund and its portfolios, as well as the quality of the Adviser’s administrative and other services, including the Adviser’s support to contract owners. The Directors also considered the quality of the compliance programs of the Adviser and its responsiveness to inquiries and requests from the Board.

The Directors determined that, in light of the Portfolios’ fund-of-funds structure, the Adviser would be performing significant services to each Portfolio that are in addition to, rather than duplicative of, services provided under the advisory contracts of the underlying funds. In making this determination, they noted, in particular, the representations of representatives of the Adviser that

 

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Ohio National Fund, Inc.

 

    Additional Information (Unaudited) (Continued)    June 30, 2017   

 

the Adviser would perform regular reviews of each Portfolio and its underlying funds, focusing on the asset class make-up of the Portfolio, the percentages invested in each underlying fund, and each underlying fund’s performance against its benchmark, in order to make sure that the Portfolio is diversified, has the appropriate asset mix and is performing well. They also noted that the Adviser expects to periodically change the mix of the underlying funds as a result of its reviews.

The Directors also reviewed the conditions of the Order, and noted that the Adviser would bear significant responsibility and administrative burden in the monitoring and reporting required by the Order’s conditions. They also reviewed and approved the Adviser’s proposed compliance procedures relating to the Order, noting that they were familiar with the Adviser’s other compliance policies and procedures. It was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services anticipated to be provided to each Portfolio by the Adviser.

Investment Performance

Representatives of the Adviser reviewed with the Directors a performance analysis of the underlying funds anticipated to be held by each Portfolio at inception, comparing each underlying fund’s performance to that of its respective index. The Directors also reviewed a report of the Hypothetical Performance for each Portfolio over the one, three, five and ten year annualized periods based on the anticipated mix of underlying funds. They considered that the Hypothetical Performance information provided reflects outperformance relative to the Benchmark Performance over all periods shown for the Conservative Model, and over the three- and five-year periods for the Moderately Conservative Model, Balanced Model, and Moderately Aggressive Model. They noted that, although the Hypothetical Performance reflects underperformance for the Aggressive Model over all periods, the longer term returns, particularly the 5-year return, are in line with the Benchmark Performance. It was the Directors’ conclusion that the Adviser would be able to provide returns for each Portfolio consistent with their expectations.

Fees and Expenses

The Board reviewed charts showing, for each Portfolio, how the Portfolio’s advisory fee compared to the advisory fees of the funds in its peer group. The charts showed the number of funds in the peer group within each defined range of advisory fees, and the range that included the Portfolio. While the Board noted that the proposed advisory fee for each Portfolio appeared to be higher than the peer group median, they considered that the proposed advisory fees were well within the range of fees charged by peer funds. The Directors discussed the Portfolios’ estimated expense ratios (excluding acquired fund fees and expenses), noting that, although each appeared to be at or higher than the peer group median, the estimated expense ratios were well within the range of fees charged by peer funds. The Board concluded that the proposed advisory fees were reasonable.

Profitability and Economies of Scale

In considering the potential profitability of the Advisor in connection with its relationship with the Portfolios, they noted that the Adviser will waive fees otherwise payable to it in connection with the investment by a Portfolio in an underlying fund. The Directors further considered the statement of a representative of the Adviser that in analyzing its profitability for the Fund’s portfolios, the Adviser does not necessarily account for all of its costs in providing services to the Fund, including services outside the investment advisory function (such as Fund operations and legal functions), including those additional services required to maintain compliance with the Order. The Directors agreed that any projection of profit with respect to a Portfolio would be purely speculative at this time, as the Portfolios have not yet commenced operations. Accordingly, the profitability of the Adviser in connection with its relationship with the Portfolios was not a material factor in the Board’s deliberations. The Directors recognized that a Portfolio would likely realize economies of scale as the Portfolio’s net assets increase over time, but similarly noted that because the Portfolios had not yet commenced operations, discussions of economies of scale were premature. The Board concluded that the potential realization of economies of scale by the Portfolios from the Advisory Agreement with the Adviser should not be a material factor in the Board’s deliberations.

After consideration of the foregoing, the Board reached the following conclusions regarding the proposed Advisory Agreement with respect to each Portfolio, in addition to the conclusions set forth above: (a) the Adviser possesses the capability and resources to perform the duties required of it under the Advisory Agreement; (b) the investment philosophy, strategies and techniques of the Adviser are appropriate for pursuing the applicable Portfolio’s investment objective; (c) the Adviser is likely to execute its investment philosophy, strategies and techniques consistently over time; and (d) the Adviser maintains appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously approved the amendment to the Advisory Agreement to add the Portfolios.

 

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Ohio National Fund, Inc.

 

    Additional Information (Unaudited) (Continued)    June 30, 2017  

 

At a meeting held on March 15, 2017, the Board of Directors, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved a sub-advisory agreement between Ohio National Investments, Inc. (the “Adviser”) and Lazard Asset Management LLC (“Lazard”) with respect to the ON International Equity Portfolio (formerly the International Portfolio) (the “Lazard Sub-Advisory Agreement”) and a subadvisory agreement between the Adviser and Templeton Global Advisors Limited (“Templeton”; collectively with Lazard the “Sub-Advisers”) with respect to the ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) (the “Templeton Sub-Advisory Agreement”; collectively with the Lazard Sub-Advisory Agreement, the “Sub-Advisory Agreements”). The Directors noted that at their November 17, 2016 meeting, they had determined to replace Federated Global as sub-adviser to each of the International Portfolio and the International Small-Mid Company Portfolio upon the identification and approval of a new sub-adviser for each Portfolio. During the November meeting, they met with representatives of Lazard and Templeton and authorized the Adviser to proceed with the steps necessary to engage the Sub- Advisers.

In considering the approval of the Sub-Advisory Agreements, the Board requested and reviewed a significant amount of information relating to each Portfolio, including the following: (1) proposed advisory and sub-advisory fee information, including a comparison to existing fees for the Portfolio; (2) comparative advisory fee and expense ratio information for a peer group of funds, as well as advisory fee and sub-advisory fee peer comparison charts showing where each Portfolio’s proposed advisory fee and sub-advisory fee were located in the dispersion of its peer funds’ advisory fees and sub-advisory fees; (3) performance data for each of Lazard and Templeton of funds employing similar strategies to that of the respective Portfolio; (4) estimated Adviser profitability information; and (5) other information regarding the nature, extent and quality of services anticipated to be provided by each Sub-Adviser.

The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposed Sub-Advisory Agreement in private session with such counsel at which no representatives of management or the Adviser or either Sub-Adviser were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating each Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to each Sub-Advisory Agreement.

Nature, Extent and Quality of Services

The Board evaluated the nature, extent and quality of the advisory services anticipated to be provided by each of Lazard and Templeton. As part of its review, the Board reviewed information regarding each Sub-Adviser’s operations, procedures and personnel. The Directors considered the capabilities and resources that each Sub-Adviser is expected to dedicate to performing services on behalf of the Portfolio, as well as the quality of its administrative and other services. The Directors also considered the quality of the compliance programs of the Sub- Advisers, and reviewed information on each Sub-Adviser’s portfolio management and brokerage practices, including any soft dollar benefits received. It was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services anticipated to be provided to each Portfolio by the respective Sub-Adviser.

Investment Performance

With respect to the ON International Equity Portfolio, the Board considered the performance of Lazard International Equity Open, which utilizes a strategy similar to that of the Portfolio, relative to that of its Morningstar peer group and benchmark. The Directors noted the poor relative performance for the year ended January 31, 2017, and asked for an explanation why the Adviser was recommending Lazard as sub-adviser for the Portfolio. Representative of the Adviser indicated that the Adviser is looking for a sub-adviser that has a repeatable process that can be successful. They indicated that Lazard has been managing the style effectively, noting that even with the bad year in 2016, its 5-year performance is in the 41st percentile of its peer group. They explained that the problem in 2016 was the company mix (Lazard was not in financials and energy, which performed well), and that the performance was also hurt by the Fund’s country allocation and currency. Based on this explanation, the Directors concluded that Lazard has the ability to manage the Portfolio effectively going forward.

With respect to the ON Foreign Portfolio, the Board considered the performance of Templeton Foreign Fund (Advisor Class), which utilizes a strategy similar to that of the Portfolio, relative to that of its Morningstar peer group and benchmark. The Directors noted that it had outperformed its peer group average for the year to date, 1-, 3- and 5-year periods ended January 31, 2017, noting in particular that the Templeton Foreign Fund ranked in the top 3% for the 1-year period and the top 14% for the 5-year period. Based on this performance, The Directors concluded that Templeton had the ability to manage the Portfolio effectively going forward.

 

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Ohio National Fund, Inc.

 

    Additional Information (Unaudited) (Continued)    June 30, 2017  

 

Fees and Expenses, Profitability, and Economies of Scale

The Board reviewed charts showing, for each Portfolio, how the Portfolio’s proposed advisory and sub-advisory fees compared to the advisory and sub-advisory fees of the funds in its peer group. The charts showed the number of funds in the peer group within each defined range of advisory fees or sub-advisory fees, and the range that included the Portfolio. The Directors also noted that the Adviser, and not the Portfolios, is responsible for paying sub-advisory fees to the Sub-Advisers. The Board also considered the reasonableness of the proposed sub-advisory fees to be paid by the Adviser to each Sub-Adviser. The Directors relied on the ability of the Adviser to negotiate the terms of each sub-advisory agreement, including the sub-advisory fee, at arm’s length, noting that the Adviser is not affiliated with either Sub-Adviser.

With respect to the ON International Equity Portfolio, the Directors noted that the proposed advisory and sub-advisory fees were unchanged from the current fees, except that the Adviser had negotiated additional breakpoints in the Lazard Sub-Advisory Agreement that would be passed through to shareholders through additional breakpoints in the advisory fee. As to the ON Foreign Portfolio, the Directors noted that that the proposed advisory and sub-advisory fees were lower than the current fees.

The Directors remarked that because the sub-advisory fees were paid by the Adviser and not by a Portfolio, the Adviser was incentivized to negotiate a favorable fee. Accordingly, the cost of services provided by each Sub-Adviser and the profitability of the Sub-Adviser in connection with its relationship with the applicable Portfolio were not material factors in the Board’s deliberations. For similar reasons, the Board concluded that the potential realization of economies of scale by the Portfolios from the sub-advisory arrangements with the Sub-Advisers should not be a material factor in its deliberations.

After consideration of the foregoing, the Board reached the following conclusions regarding the proposed Sub-Advisory Agreements, in addition to the conclusions set forth above: (a) the Sub-Advisers possess the capability and resources to perform the duties required of them under the Sub-Advisory Agreements; (b) the investment philosophy, strategies and techniques of each Adviser are appropriate for pursuing the applicable Portfolio’s investment objective; (c) each Sub-Adviser is likely to execute its investment philosophy, strategies and techniques consistently over time; and (d) the Sub-Advisers maintain appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously approved the Sub-Advisory Agreements.

Also, at the meeting held on March 15, 2017, the Board of Directors, including a majority of the Independent Directors, approved new Sub-Advisory Agreements between the Adviser and Janus Capital Management, LLC (“Janus”) with respect to the Aggressive Growth, Small Cap Growth and Risk Managed Balanced (as to the Balanced component) Portfolios (collectively, the “Janus Sub-Advisory Agreements”). They noted that they were being asked to approve the new Janus Sub-Advisory Agreements due to a change of control at Janus as a result of its parent’s upcoming merger with Henderson Group plc (“Henderson”).

In considering the approval of the Janus Sub-Advisory Agreements, the Directors noted that they had approved the current sub-advisory agreements with Janus at their November 17, 2016 Board meeting. They also discussed with representatives of the Adviser a memorandum provided by Janus that indicated that the material terms of the Janus Sub-Advisory Agreements were identical to the material terms of the current Janus sub-advisory agreements and that adoption of the Janus Sub-Advisory Agreements would not result in any increase in fees or expenses borne by shareholders.

The Directors indicated, therefore, that their primary consideration for the purpose of approving the new Janus Sub-Advisory Agreements was to determine whether the anticipated quality of services to be provided by Janus to the Portfolios would in any way be negatively impacted as a result of the merger. In this regard, the Directors noted that they had received assurances from Janus that the quality of services that Janus provides to the Portfolios would not be materially impacted by the merger, except that Janus would gain the strength of a broader and deeper investment management team through the combined resources of Janus and Henderson. The Directors also noted that Janus would retain the same investment policies, key personnel and other support systems as under the current Janus sub-advisory agreements. Based on these representations, the Directors indicated that they were convinced that the merger would not have a negative impact on Janus’ ability to provide effective services as sub-adviser to each Portfolio. The Board then turned to its review of updated information relating to each Portfolio, including the following: (1) performance data for each Portfolio for various time periods, including year to-date through January 31, 2017, (2) comparative performance, advisory fee and expense ratio information for a peer group of funds in the respective Portfolio’s Morningstar category (a “Morningstar Peer Group” or “peer group”), as well as management fee peer comparison charts showing where each Portfolio’s sub-advisory fee was located in the dispersion of its peer funds’ sub-advisory fees; (3) comparable performance information for each Portfolio’s relevant benchmark index or indices; (4) comparative data regarding the expense ratio of each Portfolio, as compared to its Morningstar Peer Group; (5) profitability analyses for Janus with respect to each Portfolio; and (6) other information regarding the nature, extent and quality of services provided by Janus.

 

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Ohio National Fund, Inc.

 

    Additional Information (Unaudited) (Continued)    June 30, 2017  

 

The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposed Janus Sub-Advisory Agreements in private session with such counsel at which no representatives of management or the Adviser or Janus were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating each Janus Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to each Janus Sub-Advisory Agreement.

Nature, Extent and Quality of Services

The Board evaluated the nature, extent and quality of the advisory services provided by Janus. Because of the relatively brief time since their last review of the sub-advisory agreements with Janus, the Directors revisited and confirmed their deliberations from their November 17, 2016 meeting. The Directors took into account information they received during the previous year at Board meetings in connection with Janus’ service to the Portfolios. They considered that the change of control at Janus was not expected to result in any change that would negatively impact the services provided to the Portfolios, and that the nature, extent, and quality of services to be provided would be at least as good as those provided under the current agreements. It was the Directors’ conclusion that overall, they continued to be satisfied with the nature, extent and quality of services anticipated to be provided to each Portfolio by Janus.

Investment Performance

Representatives of the Adviser reviewed with the Directors the Aggressive Growth, Small Cap Growth, and Risk Managed Balanced Portfolios’ performance year-to-date and for the 1-, 3- and 5-year periods ended January 31, 2017, as compared to the Portfolio’s Morningstar Peer Group and benchmarks. The Directors agreed that the Aggressive Growth Portfolio continues to have strong performance, noting the Portfolio performed in the top 18% or higher, relative to its Peer Group, over every period shown. As to the Small Gap Growth Portfolio, the Directors noted the improved year-to-date returns, and acknowledged that Janus had rebounded from a challenging period as shown in the 1-year returns. They considered the longer term performance of the Portfolio, noting that the Portfolio is in the top 9% for the 5-year period. Turning to the “balanced” component of the Risk Managed Balanced Portfolio, the Directors noted that Janus had again shown significantly improved performance for the year-to-date period relative to that of the 1-year period. They noted that Janus contributed significantly to the Portfolio’s strong recent performance, and that for the recent 3 month period, the Janus component of the Risk Managed Balanced Portfolio ranked in the top 8% relative to peers. Overall, the Board concluded that the Portfolios’ performance was acceptable.

Fees and Expenses

The Board reviewed the advisory fee paid to Janus for each Portfolio and reviewed charts showing, for each Portfolio, how the Portfolios’ sub-advisory fees compared to the fees of the funds in its peer group. The Directors also noted that the Adviser, and not the Portfolios, is responsible for paying sub-advisory fees to Janus. The Board also considered the reasonableness of the sub-advisory fees paid by the Adviser to Janus. The Directors relied on the ability of the Adviser to negotiate the terms of each sub-advisory agreement, including the sub-advisory fee, at arm’s-length, noting that the Adviser is not affiliated with Janus. With respect to the Janus Sub- Advisory Agreements, the Directors noted that there were no changes proposed to the existing sub-advisory fees and, as they had at the November 17, 2016 meeting, concluded that the sub-advisory fees were reasonable.

Profitability and Economies of Scale

The Directors reviewed the profitability analysis provided by Janus with respect to each Portfolio it sub-advises. They noted that Janus realized a profit in connection with its relationship with each Portfolio, but agreed that the profit was not excessive in terms of percentage of revenue or actual dollars. They further noted that because the sub-advisory fees were paid by the Adviser and not by a Portfolio, the Adviser was incentivized to negotiate a favorable fee. Accordingly, the cost of services provided by the Sub-Adviser and the profitability of the Sub-Adviser in connection with its relationship with the applicable Portfolio were not material factors in the Board’s deliberations. For similar reasons, the Board concluded that the potential realization of economies of scale by the Portfolios from the sub-advisory arrangements with the Sub-Adviser should not be a material factor in its deliberations.

After consideration of the foregoing, the Board reached the following conclusions regarding the proposed Janus Sub-Advisory Agreements with respect to each Portfolio, in addition to the conclusions set forth above: (a) Janus possesses the capability and resources to perform the duties required of it under the Janus Sub-Advisory Agreements; (b) the investment philosophy, strategies and techniques of Janus are appropriate for pursuing the applicable Portfolio’s investment objective; (c) Janus is likely to execute its

 

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Ohio National Fund, Inc.

 

    Additional Information (Unaudited) (Continued)    June 30, 2017  

 

investment philosophy, strategies and techniques consistently over time; and (d) Janus maintains appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously approved the Janus Sub-Advisory Agreements.

(2) Expense Disclosure

An individual may not buy or own membership interests of the Fund directly. An individual acquires an indirect interest in the Fund by purchasing a variable annuity contract or variable insurance policy and allocating premiums or purchase payments to Fund Portfolios available through the separate accounts of ONLIC, ONLAC, and NSLA. Separate accounts of these entities are the shareholders of the Fund.

As a shareholder of the Fund, a separate account incurs ongoing costs, including management fees and other Fund expenses. This example is intended to help a policy/contract owner understand ongoing costs (in dollars) associated with the underlying investment in the 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, 2017 and held through June 30, 2017.

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 Ratio
     Investment      Investment    Expenses Paid    During Period
     Value      Value    During Period*    1/1/2017 – 6/30/2017

Portfolio

   1/1/2017      6/30/2017    1/1/2017 – 6/30/2017    (Annualized)

Equity

   $ 1,000.00      $1,067.30    $4.10    0.80%

Bond

     1,000.00      $1,036.90    $3.23    0.64%

Omni

     1,000.00      $1,093.60    $4.00    0.77%

Capital Appreciation

     1,000.00      $1,052.30    $4.27    0.84%

ON International Equity

     1,000.00      $1,161.50    $5.47    1.02%

ON Foreign

     1,000.00      $1,145.40    $6.33    1.19%

Aggressive Growth

     1,000.00      $1,178.70    $5.13    0.95%

Small Cap Growth

     1,000.00      $1,134.50    $4.50    0.85%

Mid Cap Opportunity

     1,000.00      $1,148.20    $5.17    0.97%

S&P 500® Index

     1,000.00      $1,091.30    $1.97    0.38%

Strategic Value

     1,000.00      $1,082.70    $3.92    0.76%

High Income Bond

     1,000.00      $1,050.30    $3.76    0.74%

ClearBridge Small Cap

     1,000.00      $1,065.40    $4.56    0.89%

Nasdaq-100® Index

     1,000.00      $1,165.20    $2.42    0.45%

Bristol

     1,000.00      $1,111.20    $4.29    0.82%

Bryton Growth

     1,000.00      $1,106.40    $5.07    0.97%

Balanced

     1,000.00      $1,064.50    $3.22    0.63%

S&P MidCap 400® Index

     1,000.00      $1,056.90    $3.62    0.71%

Bristol Growth

     1,000.00      $1,137.80    $4.61    0.87%

Risk Managed Balanced

     1,000.00      $1,078.70    $5.10    0.99%

ON Conservative Model

     1,000.00      $1,023.00    $0.68    0.20%

ON Moderately Conservative Model

     1,000.00      $1,026.00    $0.68    0.20%

ON Balanced Model

     1,000.00      $1,027.00    $0.64    0.19%

ON Moderate Growth Model

     1,000.00      $1,035.00    $0.61    0.18%

ON Growth Model

     1,000.00      $1,036.00    $0.58    0.17%

 

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Ohio National Fund, Inc.

 

    Additional Information (Unaudited) (Continued)    June 30, 2017  

 

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 Ratio
     Investment      Investment    Expenses Paid    During Period
     Value      Value    During Period*    1/1/2017 – 6/30/2017

Portfolio

   1/1/2017      6/30/2017    1/1/2017 – 6/30/2017    (Annualized)

Equity

   $ 1,000.00      $1,020.83    $4.01    0.80%

Bond

     1,000.00      $1,021.62    $3.21    0.64%

Omni

     1,000.00      $1,020.98    $3.86    0.77%

Capital Appreciation

     1,000.00      $1,020.63    $4.21    0.84%

ON International Equity

     1,000.00      $1,019.74    $5.11    1.02%

ON Foreign

     1,000.00      $1,018.89    $5.96    1.19%

Aggressive Growth

     1,000.00      $1,020.08    $4.76    0.95%

Small Cap Growth

     1,000.00      $1,020.58    $4.26    0.85%

Mid Cap Opportunity

     1,000.00      $1,019.98    $4.86    0.97%

S&P 500® Index

     1,000.00      $1,022.91    $1.91    0.38%

Strategic Value

     1,000.00      $1,021.03    $3.81    0.76%

High Income Bond

     1,000.00      $1,021.12    $3.71    0.74%

ClearBridge Small Cap

     1,000.00      $1,020.38    $4.46    0.89%

Nasdaq-100® Index

     1,000.00      $1,022.56    $2.26    0.45%

Bristol

     1,000.00      $1,020.73    $4.11    0.82%

Bryton Growth

     1,000.00      $1,019.98    $4.86    0.97%

Balanced

     1,000.00      $1,021.67    $3.16    0.63%

S&P MidCap 400® Index

     1,000.00      $1,021.27    $3.56    0.71%

Bristol Growth

     1,000.00      $1,020.48    $4.36    0.87%

Risk Managed Balanced

     1,000.00      $1,019.89    $4.96    0.99%

ON Conservative Model

     1,000.00      $1,023.80    $1.00    0.20%

ON Moderately Conservative Model

     1,000.00      $1,023.80    $1.00    0.20%

ON Balanced Model

     1,000.00      $1,023.85    $0.95    0.19%

ON Moderate Growth Model

     1,000.00      $1,023.90    $0.90    0.18%

ON Growth Model

     1,000.00      $1,023.95    $0.85    0.17%

 

  

 

 

  *

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 period (181 days) divided by the number of days in the fiscal year (365 days). Please note that the expenses shown in these tables are meant to highlight ongoing Fund costs only and do not reflect any contract-level expenses or Fund transactional costs, such as sales charges (loads) or exchange fees (if any). Therefore, these tables are useful in comparing ongoing fund costs only, and will not fully assist a policy/contract owner in determining the relative total expenses of different funds. In addition, if transactional costs were included, costs may have been higher for these Portfolios as well as for a fund being compared.

 

  173   


Ohio National Fund, Inc.

 

    Information about Directors and Officers (Unaudited)    June 30, 2017  

 

               Term of Office
and Length of
   Number of Portfolios
in the Fund to be
  

Principal Occupation(s)

During Past Five Years

Name and Address

   Age   

Position(s) with the Fund

  

Time Served

   Overseen by Director   

and Other Directorships

Independent Directors

              

George M. Vredeveld

One Financial Way

Cincinnati, Ohio

   74    Lead Independent Director, Member of Audit and Independent Directors Committees    Indefinite; Since March 1996    25    Professor Emeritus, Finance: University of Cincinnati (January 2014-present); Research Fellow and Member of Academic Council: Varna Free University, Varna, Bulgaria (2012-present); Alpaugh Professor of Economics: Lindner College of Business, University of Cincinnati (2004-2013); Founder/President: Economics Center at the University of Cincinnati (1977-2012).

Madeleine W. Ludlow

One Financial Way

Cincinnati, Ohio

   62    Director, Chairman of Audit Committee and Member of Independent Directors Committee    Indefinite; Since April 2012    25    Founder/Managing Director: West Capital Partners LLC (2010-present), Ludlow Ward Capital Advisors LLC (2005-2009); Director: ALLETE, Inc.

Geoffrey Keenan

One Financial Way

Cincinnati, Ohio

   58    Director, Member of Audit and Independent Directors Committees    Indefinite; Since January 2015    25    Executive Vice President and Chief Operating Officer: Gateway Investment Advisers, LLC (1995-2013).

Lawrence L. Grypp

One Financial Way

Cincinnati, Ohio

   68    Director, Member of Audit and Independent Directors Committees    Indefinite; Since December 2016    25    President: Goering Center for Family and Private Business (2008-present).
Interested Director               

John J. Palmer

One Financial Way

Cincinnati, Ohio

   77    Chairman and Director    Indefinite; Since July 1997    25    Insurance industry consultant (April 2010-present), President: Ohio National Fund, Inc. (1997-2010); Director and Vice Chairman: ONLIC (1997-2010); President and CEO: NSLA (2002-2010); Director: NSLA.
Officers               

Michael J. DeWeirdt

One Financial Way

Cincinnati, Ohio

   58    President    Indefinite; Since March 2017       Senior Vice President and Head of Annuities SBU: ONLIC (January 2016-present); Senior Vice PResident, Chief Risk Officer: ONLIC (September 2015-December 2015); Senior Vice President, Capital and Financial Risk Management: ONLIC (December 2012-September 2015); Founder: Chatfield Financial Group (January 2012-December 2012)

Paul J. Gerard

One Financial Way

Cincinnati, Ohio

   57    Vice President    Indefinite; Since March 2016       Senior Vice President and Chief Investment Officer: ONLIC and NSLA (January 2016-present); Senior Vice President, Investments: ONLIC (July 2012-December 2015); Vice President, Investments: ONLIC (February 2009-June 2012).

R. Todd Brockman

One Financial Way

Cincinnati, Ohio

   48    Treasurer    Indefinite; Since August 2004      

Vice President, Mutual Funds: ONLIC and NSLA (February 2014-present); Second Vice President, Mutual Fund

Operations: ONLIC and NSLA (January 2007-February 2014); Treasurer: ONI.

 

  174    (continued)


Ohio National Fund, Inc.

 

    Information about Directors and Officers (Unaudited) (Continued)    June 30, 2017  

 

             

Term of Office

and Length of

  

Number of Portfolios

in the Fund to be

  

Principal Occupation(s)

During Past Five Years

Name and Address

  Age   

Position(s) with the Fund

  

Time Served

   Overseen by Director   

and Other Directorships

Kimberly A. Plante

One Financial Way

Cincinnati, Ohio

  43    Secretary    Indefinite; Since March 2005       Second Vice President and Counsel: ONLIC (January 2016-present); Senior Associate Counsel: ONLIC (January 2011-January 2016); Secretary: ONI; Officer of various other Ohio National-affiliated companies.

Keith Dwyer

One Financial Way

Cincinnati, Ohio

  44    Chief Compliance Officer    Indefinite; Since August 2016       Second Vice President, Fund Compliance: ONLIC (August 2016-present); Director, Fund Compliance: ONLIC (January 2015-August 2016); Administrator, Fund Compliance: ONLIC (January2014-January 2015); Compliance Analyst (September 2009-September 2011 and April 2013- January 2014); Chief Compliance Officer: ONI, Fiduciary Capital Management (“FCM”) and other Ohio National-affiliated companies (August 2016- present); Chief Compliance Officer: Suffolk (August 2016-December 2016); Interim Chief Compliance Officer: ONI, Suffolk, FCM and other Ohio National-affiliated companies (November 2015-August 2016).

Emily Bae

One Financial Way

Cincinnati, Ohio

  32    Assistant Secretary    Indefinite; Since May 2013       Sr. Assistant Counsel and Privacy Officer: ONLIC (January 2016-present); Assistant Counsel: ONLIC (April 2013-January 2016); Assistant Secretary: ONI (April 2013-present); Counsel: Goodyear Tire & Rubber Company (January 2012-April 2013).

Daniel P. Leming

One Financial Way

Cincinnati, Ohio

  32    Assistant Treasurer    Indefinite; Since March 2016       Assistant Director, Fund Operations and Analysis: ONLIC (December 2016-present); Manager, Fund Operations and Analysis: ONLIC (February 2016- December 2016); Senior Mutual Fund Reporting & Operations Analyst: ONLIC (May 2012-Februrary 2016).

 

  175   


Ohio National Fund, Inc.

Post Office Box 371

Cincinnati, Ohio 45201

Form 1325 Rev. 8-17


Item 2. Code Of Ethics.

Not applicable for semiannual reports.

 

Item 3. Audit Committee Financial Expert.

Not applicable for semiannual reports.

 

Item 4. Principal Accountant Fees And Services.

Not applicable for semiannual reports.

 

Item 5. Audit Committee Of Listed Registrants.

Not applicable for semiannual reports.

 

Item 6. Schedule of Investments.

Schedules are included as part of the report to shareholders filed under Item 1 of this Form.

 

Item 7. Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies.

Not applicable for open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable for open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable for open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders.

There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors.

 

Item 11. Controls and Procedures.

 

  (a)

The Fund’s principal executive officer and principal financial officer have concluded, based on their evaluation conducted as of a date within 90 days of the filing of this report, that the Fund’s disclosure controls and procedures are adequately designed and are operating effectively to ensure (i) that material information relating to the Fund, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared; and (ii) that information required to be disclosed by the Fund on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

 

  (b)

There were no changes in the Fund’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting.

 

Item 12. Exhibits.

 

  (a)(1)

Not applicable for semiannual reports.


  (a)(2)

A separate certification for each principal executive officer and principal financial officer of the Fund as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as EX-99.CERT.

 

  (a)(3)

None.

 

  (b)

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/ Michael J. DeWeirdt

 

Michael J. DeWeirdt

 

President

 

(Principal Executive Officer)

 

September 8, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Ohio National Fund, Inc.

 

By:

 

/s/ Michael J. DeWeirdt

 

Michael J. DeWeirdt

 

President

 

(Principal Executive Officer)

 

September 8, 2017

 

By:

 

/s/ R. Todd Brockman

 

R. Todd Brockman

 

Treasurer

 

(Principal Financial Officer)

 

September 8, 2017