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WEALTH BUILDING OPPORTUNITY |
OHIO NATIONAL
FUND, INC.
--------------------------------------------------------------------------------
[GRAPHIC]
SEMI-ANNUAL REPORT
------------------------
JUNE 30, 2000
Ohio National Fund, Inc.
[OHIO NATIONAL FINANCIAL SERVICES LOGO] [GRAPHIC]
<PAGE> 2
President's
Message
[John J. Palmer Photo]
Dear Investor:
In the first six months of 2000, investors have seen strong economic growth
coupled with sharp corrections in the market. Higher energy costs, three
interest rate hikes and the roller coaster performance of the stock market have
consumers' short-term confidence wavering and wondering "what could be next?"
Despite investors recent tribulations, most Ohio National Fund portfolios have
performed well over the last six months. While they have been affected by the
market turmoil, both in the United States and abroad, our managers' performance
for most of our portfolios has been in line or better than their benchmarks or
peers.
Here are a few highlights of Ohio National Fund activity.
- In January, Janus took over management of the Aggressive Growth Portfolio from
Strong Capital Corporation.
- Also in January, Jennison Associates began to manage the Capital Appreciation
Portfolio in place of T. Rowe Price.
- In a year and a half, Federated Global Investment Management has helped us to
realize healthy gains on the International Portfolio. The annual performance
ending June 30, 2000, for the Ohio National Fund International Portfolio was
61.12 percent, which outperformed the return of the MSCI Europe, Australia and
Far East Index of 17.16 percent.
- Eight out of 21 of the Ohio National Fund portfolios are in the top quartile
of their Lipper Fund categories for one-year -- Capital Appreciation, Core
Growth, Equity Income, Growth & Income, International, International Small
Company, Small Cap, and Social Awareness.
In the following pages, we're pleased to present you with a complete update of
Ohio National Fund's performance and investment activity for the six months
ending June 30, 2000.
Back to the Basics
All of the recent market activity brings us back to the fundamentals of
investing. Rather than guessing where the market will take us, we've found three
steps that have held up against the test of time:
1. Stay diversified.
2. Have a long-term investment philosophy.
3. Maintain a regular investment plan.
Staying diversified is a concept that many people have put by the wayside in
recent rears. Recent drops in stocks like Procter & Gamble and Amazon.com hammer
home the point that placing your retirement money in just one or two investments
may be a hazardous approach.
Through Ohio National's variable insurance products you can choose from a
variety of Ohio National Fund portfolios to help you stay diversified. Placing
your assets in several divergent portfolios helps you achieve a balanced
portfolio with little time, effort and expense on your part.
In recent years, with the rise of dot-com millionaires, day traders and vast
increases in daily trading volume many investors have just paid lip service to
the concept of long-term investing. The year 2000 is leading investors to
rethink the value of this tried and true concept.
Investment decisions should not be made on the basis of one-day or one-week
returns. Instead, a long-term allocation strategy based upon your risk
tolerances and
1
<PAGE> 3
long-term goals may help you to weather market volatility. Ohio National Fund's
wide array of portfolios allows you to invest in multiple portfolios across a
range of investment styles.
As always, we suggest the maintenance of a regular investment plan. Stopping
investment flow when the market is down only ensures that your money will not be
in play when the market rises. Investing in your variable insurance product
through a regular plan is easy. We offer automatic checking account drafts for
our variable insurance products. Additionally, Ohio National makes a dollar-cost
averaging program available for clients with a lump sum available for immediate
investment.
What the market will do in the future is an unfolding story for our portfolio
managers, the Wall Street gurus and even Alan Greenspan. So, our portfolio
managers continue to focus on the long-term performance of companies and look
for outstanding opportunities on a company-by-company basis. Through thorough
research, discipline and focus we are vigilantly monitoring our existing
holdings and new opportunities to ensure that we continue to meet your
expectations.
As always, your registered representative is available to provide you additional
information on investment opportunities available through your variable
insurance product.
Thank you again for the confidence you have placed in your variable insurance
product as you pursue your wealth-building efforts. Be assured that we will make
every effort to continue to merit that confidence.
Best regards,
/s/ JOHN J. PALMER
John J. Palmer
President and Director
P.S. Be sure to check out our redesigned web site--www.ohionational.com. You
are sure to find a host of other financial services.
--------------------------------------------------------------------------------
Directors & Officers of Ohio National Fund, Inc.
John J. Palmer, President and Director
Ronald L. Benedict, Secretary and Director
Ross Love, Director
James E. Bushman, Director
George M. Vredeveld, Director
Thomas A. Barefield, Vice President
Michael A. Boedeker, Vice President
Christopher A. Carlson, Vice President
Dennis R. Taney, Treasurer
Marcus L. Collins, Assistant Secretary
Yvonne L. Gross, Compliance Director and Assistant Treasurer
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 Equities, Inc. (Member NASD/SIPC), One Financial
Way, Cincinnati, Ohio 45242, telephone 513.794.6100. 8/00
2
<PAGE> 4
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
OBJECTIVE
The principal investment objective of the Equity Portfolio is long-term capital
growth. Current income is a secondary objective.
PERFORMANCE AS OF JUNE 30, 2000
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 6.23%
Three-year 8.92%
Five-year 13.37%
Ten-year 11.59%
Since inception (1/14/71) 10.85%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
During the first half, the market, like the worm Ourobouros, began and ended in
about the same place, but used the time to explore a lot of territory. The tech
laden NASDAQ started the year at 4186, soared to 5132 on March 10, fell to 3042
on May 24, and at this writing is 4093. The S&P displayed less volatility, but
likewise managed to make little progress.
Over the past year, the S&P has returned a little more than a passbook savings
account, but has generated considerably more angst. The NASDAQ, in contrast, has
compensated investors for its vicissitudes with a total return of almost 45% in
the last twelve months. This is terrific, but the momentum has clearly gone out
of that index, and is unlikely to return in anything like its former glory, in
our opinion. In early March, the NASDAQ was up over 24% year to date and 100% in
twelve months. In the last ninety days it fell 6%, and now stands below where it
started the year.
The problem for both markets has been interest rates, not earnings, or at least
not current earnings. The Fed has been tightening for about a year and its
attempt to slow the economy has begun to show some results. Earnings have been
fine and the current earnings season looks to be no exception. In the first
quarter of this year, S&P earnings rose 23% year over year. For all of 1999,
they rose 19%. For the quarter just ended, it looks like another 20% year over
year gain.
A different trend becomes evident when you slice the data this way: over the
past 5 years S&P earnings have risen from $32.68 in 1994 to an estimated $57.70
this year, an increase of 77%. The market has risen 254% with dividends
reinvested over the same period. Earnings grew a little over 10% per year and
the market went up over 20% per year. Valuations expanded sharply.
In 1999 the market's gain slowed to that of earnings, rising 19.6% while
earnings rose 19%. The market's multiple thus stayed the same as it had been in
1998. Now it has begun to decline.
In the first quarter earnings were up 23%, the S&P was up 2%. In the second
quarter, with earnings estimated to be up 20%, the market fell almost 3%.
Markets are discounting mechanisms; prices and the path of prices reflect
visible fundamentals and expectations about the future. In the mid to late 90's
the market correctly discerned that the US economy was on a path of rising
earnings growth rates, from the 7% long-term post-war average to one that
exceeded 10%, fueled by rising productivity that permitted speedier growth
without an accompanying increase in inflation. The rising productivity of
capital coupled with an increasing growth rate of earnings led to a sharp rise
in the market's over-all valuation. That rise was concentrated in technology
stocks, which began the second half of the decade at modest, and ended at
monstrous, valuations.
At the beginning of 1995, technology stocks represented 10% of the S&P 500;
today they total over 30% of the market's value. In 1995 they were demonstrably
undervalued; today valuations hover at all time highs and require superior
growth in order to be maintained.
The inability of the market to make progress despite powerful current earnings
growth is not just the result of the drag of interest rates brought on by Fed
tightening, but of what those rates portend: slowing growth. As the rate of
earnings growth slows, so too does the justifiable valuation of the market. For
the market to make much progress, I think investors will need to believe they
see the end of Fed tightening. Good earnings by themselves will just be
incorporated into the market via lower multiples, not via higher prices (unless
those earnings arrive at companies with suitably modest valuations).
Over time market prices have tended to track fundamentals. The long-term return
of stocks has been a function of beginning dividend yields and long-term
earnings growth. During the past 5 years, prices have risen much faster than
earnings as positive fundamentals have been incorporated into prices on a
leveraged basis.
3
<PAGE> 5
The combination of long-term evidence and short-term experience has led
investors to believe positive near-term fundamentals are highly correlated with
positive stock price behavior. Valuation seems to have been forgotten, due in
part to its apparent absence in the price/performance equation over last several
years, and no doubt in part by the dismal record of value investors over the
same period.
The question for investors is always: where is the best value in the market?
Five years ago, growth was undervalued and technology was particularly
undervalued. After years of spectacular out-performance, we think growth is at
best fairly valued and that many (not all) of the largest, most visible
technology names are over-priced.
In contrast, outside of the growth indices, many stocks appear undervalued, with
the median price-earnings ratio of the 1700 stocks in the Value Line index at
only 13.3x earnings. The re-appearance of dormant former corporate raiders such
as Carl Icahn and the formation of numerous buy-out funds testify to the
opportunities presented by modest valuations in many "old economy" companies.
We believe that in the next few years growth investors will become reacquainted
with valuation as high growth names under-perform their fundamentals and that
value investors will once again become reacquainted with solid performance in
their portfolios.
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
EQUITY PORTFOLIO (COMMENCED
OPERATIONS JANUARY 14, 1971) S&P 500 INDEX
---------------------------- -------------
<S> <C> <C>
10000 10000
'88 12236.2 11645.2
12367.1 12052.8
'89 14124.4 14034.3
15237.5 15847.5
'90 15798.2 16335.6
14649.7 15345.7
'91 15814.3 17543.2
17606.1 20032.6
'92 17370.2 19904.4
18935.2 21568.4
'93 20016.4 22608
21605.7 23722.5
'94 20916.5 22911.2
21659 24033.9
'95 25247.9 28876.7
27550.5 33029.2
'96 30211.9 36398.1
32607.7 40653.1
'97 36592.4 48986.9
38531.8 54169.8
'98 41934.1 63763.2
40734.8 69648.6
'99 44510.9 78271.1
48828.5 84305.8
'00 47285.5 83943.3
</TABLE>
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.
TOP 10 EQUITY HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. America Online Inc. 7.12
2. Gateway Inc. 6.30
3. UnitedHealth Group 4.69
4. MCI WorldCom Inc. 4.54
5. Waste Management 4.28
6. Nextel 3.54
7. Eastman Kodak Company 3.35
8. WPP Group PLC 3.33
9. Citigroup Inc. 3.20
10. Aetna Inc. 3.15
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Banking 13.82
2. Telecommunications & Cellular 12.29
3. Computer & Related 11.12
4. Financial Services 9.00
5. Medical & Related 7.27
</TABLE>
4
<PAGE> 6
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
--------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (1.4%)
79,000 General Motors Corp. ............. $ 4,586,938
------------
BANKING (11.5%)
302,000 Bank One Corp. ................... 8,021,875
105,000 Bank of America Corp. ............ 4,515,000
180,999 Chase Manhattan Corp. ............ 8,337,266
237,000 Fleet Boston Financial Corp. ..... 8,058,000
347,000 Washington Mutual Inc. ........... 10,019,625
------------
38,951,766
------------
COMPUTER & RELATED (11.1%)
92,134 *Dell Computer Corp. ............. 4,543,358
384,000 *Gateway Inc. .................... 21,792,000
84,000 International Business Machines... 9,203,250
202,982 *Storage Technology Corp. ........ 2,220,116
------------
37,758,724
------------
COMPUTER SOFTWARE (7.3%)
467,000 *America Online Inc. ............. 24,634,250
------------
CONSUMER PRODUCTS (6.2%)
110 *Berkshire Hathaway Inc. CL A..... 5,918,000
195,000 Eastman Kodak Co. ................ 11,602,500
260,000 Mattel Inc. ...................... 3,428,750
------------
20,949,250
------------
ENTERTAINMENT & LEISURE (0.8%)
108,832 *Metro-Goldwyn-Mayer Inc. ........ 2,843,236
------------
FINANCIAL SERVICES (9.0%)
87,000 Bear Stearns Co. Inc. ............ 3,621,375
184,000 Citigroup Inc. ................... 11,086,000
163,000 Fannie Mae........................ 8,506,563
68,000 Freddie Mac....................... 2,754,000
169,000 MBNA Corp. ....................... 4,584,125
------------
30,552,063
------------
FOOD & RELATED (4.5%)
289,000 Albertson's Inc. ................. 9,609,250
250,000 *Kroger Co. ...................... 5,515,625
------------
15,124,875
------------
HOTEL/LODGING (3.7%)
153,747 MGM Grand Inc. ................... 4,939,122
237,000 Starwood Hotels & Resorts
Worldwide........................ 7,658,063
------------
12,597,185
------------
INSURANCE SERVICES (6.0%)
170,000 Aetna Inc. ....................... 10,911,875
210,000 MGIC Investment Corp. ............ 9,555,000
------------
20,466,875
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
--------------------------------------------------------------
<C> <S> <C>
MANUFACTURING (0.9%)
63,000 Danaher Corp. .................... $ 3,114,563
------------
MEDICAL & RELATED (7.3%)
290,000 *Foundation Health Systems
Inc. ............................ 3,770,000
24,000 McKesson HBOC Inc. ............... 4,690,000
1 *Quorum Health Group Inc. ........ 5
189,000 United Healthcare Corp. .......... 16,206,750
------------
24,666,755
------------
RETAIL (4.4%)
250,000 *Amazon.com Inc. ................. 9,078,125
412,000 *Toys 'R' Us Inc. ................ 5,999,750
------------
15,077,875
------------
TELECOMMUNICATIONS & CELLULAR (8.2%)
342,000 *MCI Worldcom Inc. ............... 15,689,250
200,000 *Nextel Communications Inc. ...... 12,237,500
------------
27,926,750
------------
WASTE DISPOSAL (4.4%)
780,000 Waste Management Inc. ............ 14,820,000
------------
TOTAL U.S. COMMON STOCK (86.7%)
(COST $297,954,122).............. $294,071,105
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
FINLAND (2.7%)
TELECOMMUNICATIONS & CELLULAR (2.7%)
180,000 Nokia Corp. SP-ADR................ $ 8,988,750
------------
MEXICO (1.4%)
TELECOMMUNICATIONS & CELLULAR (1.4%)
84,000 Telefonos de Mexico SP-ADR........ 4,798,500
------------
NETHERLANDS (0.3%)
ELECTRICAL EQUIPMENT (0.3%)
18,400 Koninklijke Philips Electronics... 874,000
------------
UNITED KINGDOM (5.7%)
ADVERTISING (3.4%)
788,989 *WPP Group PLC.................... 11,526,418
BANKING (2.3%)
843,098 *Lloyds TSB Group PLC............. 7,964,494
------------
TOTAL UNITED KINGDOM.............. 19,490,912
------------
TOTAL FOREIGN COMMON STOCK (10.1%)
(COST $25,445,689)............... $ 34,152,162
------------
TOTAL COMMON STOCK (96.8%) (COST
$323,399,811).................... $328,223,267
------------
</TABLE>
(continued)
5
<PAGE> 7
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
--------------------------------------------------------------
<C> <S> <C>
FINANCIAL (5.7%)
$ 9,302,963 Banc of America 6.82% 07/03/00
repurchase price $9,308,178
collateralized by FNMA
certificates pool #c29216 due
07/01/29 (Cost $9,302,963)....... $ 9,302,963
10,000,000 Goldman Sachs 6.82% 07/03/00
repurchase price $10,005,605
(Cost $10,000,000)............... 10,000,000
------------
TOTAL SHORT-TERM NOTES (5.7%)
(COST $19,302,963)............... $ 19,302,963
------------
TOTAL HOLDINGS (102.5%) (COST
$342,702,774) (A)................ $347,526,230
------------
LIABILITIES, NET OF CASH &
RECEIVABLES (-2.5%).............. (8,498,414)
------------
TOTAL NET ASSETS (100.0%)......... $339,027,816
============
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of
foreign securities.
(a) Represents cost for financial reporting and federal income
tax purposes. See Note 1.
The accompanying notes are an integral part of these financial statements.
6
<PAGE> 8
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $342,702,774)........... $347,526,230
Cash in bank............................. 19,143
Receivable for securities sold........... 548,258
Receivable for fund shares sold.......... 72,413
Dividends and accrued interest
receivable............................. 595,197
Other.................................... 16,340
------------
Total assets........................... 348,777,581
------------
Liabilities:
Payable for securities purchased......... 8,714,471
Payable for fund shares redeemed......... 495,604
Payable for investment management
services (note 3)...................... 223,977
Other accrued expenses................... 42,713
Dividends payable........................ 273,000
------------
Total liabilities...................... 9,749,765
------------
Net assets at market value................. $339,027,816
============
Net assets consist of:
Par value, $1 per share.................. $ 13,276,435
Paid-in capital in excess of par value... 298,524,067
Accumulated undistributed net realized
gain on investments.................... 22,149,599
Net unrealized appreciation on
investments (note 1)................... 4,823,456
Undistributed net investment income...... 254,259
------------
Net assets at market value................. $339,027,816
============
Shares outstanding (note 4)................ 13,276,435
Net asset value per share.................. $ 25.54
============
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest................................. $ 401,663
Dividends................................ 1,494,801
------------
Total investment income................ 1,896,464
------------
Expenses:
Management fees (note 3)................. 1,284,840
Custodian fees (note 3).................. 27,598
Directors' fees (note 3)................. 3,858
Professional fees........................ 4,794
Accounting and transfer agent fees....... 83,315
Other.................................... 24,377
------------
Total expenses......................... 1,428,782
------------
Net investment income.................. $ 467,682
------------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments....... $ 22,149,599
Net decrease in unrealized appreciation
on investments......................... (32,933,570)
------------
Net loss on investments................ (10,783,971)
------------
Net decrease in net assets from
operations........................... $(10,316,289)
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
7
<PAGE> 9
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 467,682 $ 881,759
Realized gain on investments.............................. 22,149,599 127,818,941
Unrealized appreciation (depreciation) on investments..... (32,933,570) (74,881,941)
------------- -------------
Net increase (decrease) in net assets from
operations........................................... (10,316,289) 53,818,759
------------- -------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (213,423) (882,082)
Capital gains distributions............................... (1,104,920) (126,714,022)
Return of capital......................................... 0 (48,644)
------------- -------------
Total dividends and distributions..................... (1,318,343) (127,644,748)
------------- -------------
From capital share transactions (note 4):
Received from shares sold................................. 38,098,791 37,074,219
Received from dividends reinvested........................ 1,318,343 127,644,748
Paid for shares redeemed.................................. (18,368,953) (58,181,642)
------------- -------------
Increase in net assets derived from capital share
transactions......................................... 21,048,181 106,537,325
------------- -------------
Increase in net assets............................. 9,413,549 32,711,336
Net Assets:
Beginning of period....................................... 329,614,267 296,902,931
------------- -------------
End of period (a)......................................... $ 339,027,817 $ 329,614,267
============= =============
(a) Includes undistributed net investment income of......... $ 254,259 $ 0
============= =============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ---- ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 26.48 $36.31 $35.44 $32.30 $28.58
Income from investment operations:
Net investment income..................................... 0.04 0.12 0.45 0.51 0.47
Net realized & unrealized gain on investments............. (0.87) 6.85 1.56 5.24 4.58
------- ------ ------ ------ ------
Total income from investment operations................. (0.83) 6.97 2.01 5.75 5.05
------- ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.02) (0.11) (0.45) (0.63) (0.46)
Distributions from net realized capital gains............. (0.09) (16.68) (0.69) (1.98) (0.87)
Return of capital......................................... 0.00 (0.01) 0.00 0.00 0.00
------- ------ ------ ------ ------
Total distributions..................................... (0.11) (16.80) (1.14) (2.61) (1.33)
------- ------ ------ ------ ------
Net asset value, end of period.............................. $ 25.54 $26.48 $36.31 $35.44 $32.30
======= ====== ====== ====== ======
Total return................................................ (3.16)%(b) 19.87% 5.72% 18.17% 18.35%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.88%(a) 0.76% 0.64% 0.67% 0.73%
Ratio of net investment income to average net assets...... 0.29%(a) 0.31% 1.25% 1.43% 1.60%
Portfolio turnover rate..................................... 30% 124% 25% 19% 11%
Net assets at end of period (millions)...................... $ 339.0 $329.6 $296.9 $288.1 $232.8
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
8
<PAGE> 10
OHIO NATIONAL FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE AMORTIZED
AMOUNT SHORT-TERM NOTES COST
-------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (9.9%)
$2,438,000 American Honda Finance 6.570%
09/08/00.......................... $ 2,407,299
2,012,000 Ford Motor Credit Corp. 6.530%
07/26/00.......................... 2,002,876
2,021,000 General Motors Acceptance Corp.
6.480% 07/12/00................... 2,016,998
-----------
6,427,173
-----------
BUSINESS SERVICES (6.1%)
1,000,000 PHH Corp. 6.770% 07/19/00.......... 996,615
2,962,000 Xerox Corp. 6.680% 07/05/00........ 2,959,802
-----------
3,956,417
-----------
CHEMICALS (5.3%)
1,450,000 Great Lakes Chemical 6.750%
07/28/00.......................... 1,442,659
2,000,000 Sherwin-Williams 6.550% 08/09/00... 1,985,808
-----------
3,428,467
-----------
COMMUNICATIONS (3.3%)
649,000 AT&T 6.560% 07/11/00............... 647,817
1,500,000 AT&T 6.570% 08/25/00............... 1,484,944
-----------
2,132,761
-----------
CONSUMER PRODUCTS (4.2%)
2,720,000 Eastman Kodak 6.080% 07/07/00...... 2,717,244
-----------
ELECTRONIC/SEMICONDUCTORS (3.6%)
2,336,000 Eaton Corp. 6.630% 07/17/00........ 2,329,117
-----------
ENTERTAINMENT & LEISURE (2.6%)
1,714,000 Walt Disney Co. 6.420% 07/19/00.... 1,708,498
-----------
FOOD & RELATED (7.1%)
1,717,000 Coca Cola 6.060% 07/05/00.......... 1,715,844
651,000 Coca Cola 6.520% 07/11/00.......... 649,821
2,229,000 Fortune Brands 6.100% 07/10/00..... 2,225,601
-----------
4,591,266
-----------
FINANCE (31.5%)
850,000 Allmerica Financial 6.600%
07/25/00.......................... 846,260
1,342,000 Allmerica Financial 6.620%
08/15/00.......................... 1,330,895
2,315,000 American Express Credit 6.520%
07/27/00.......................... 2,304,099
2,685,000 American General Finance 6.570%
07/18/00.......................... 2,676,670
1,439,000 Associates Corp. 6.450% 07/06/00... 1,437,711
1,500,000 Associates First Capital 6.630%
07/06/00.......................... 1,498,619
1,605,000 CIT Group 6.540% 07/21/00.......... 1,599,169
2,044,000 GE Capital 6.530% 08/14/00......... 2,027,687
2,240,000 Household Finance 6.500%
07/19/00.......................... 2,232,720
1,711,000 Textron Financial Corp. 6.550%
07/18/00.......................... 1,705,708
2,730,000 USAA Capital Corp. 6.370%
07/14/00.......................... 2,723,720
-----------
20,383,258
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE AMORTIZED
AMOUNT SHORT-TERM NOTES COST
-------------------------------------------------------------
<C> <S> <C>
INSURANCE (4.8%)
$2,139,000 Prudential Funding 6.520%
07/13/00.......................... $ 2,134,351
1,008,000 Safeco Corp. 6.800% 08/11/00....... 1,000,194
-----------
3,134,545
-----------
MACHINERY & EQUIPMENT (2.8%)
1,812,000 John Deere Capital Corp. 6.470%
07/03/00.......................... 1,811,349
-----------
MEDIA & PUBLISHING (10.3%)
2,195,000 Gannett 6.510% 07/28/00............ 2,184,283
2,419,000 Knight-Ridder 6.530% 07/24/00...... 2,408,907
2,072,000 Tribune Co. 6.550% 08/08/00........ 2,057,674
-----------
6,650,864
-----------
METALS & MINING (1.4%)
898,000 Alcoa Inc. 6.500% 07/20/00......... 894,919
-----------
OIL, ENERGY & NATURAL GAS (7.8%)
1,954,000 Chevron USA 6.550% 07/03/00........ 1,953,289
3,114,000 Consolidated Natural Gas 6.650%
07/31/00.......................... 3,096,743
-----------
5,050,032
-----------
RETAIL (3.5%)
2,274,000 Walmart Stores 6.500% 07/18/00..... 2,267,020
-----------
UTILITIES (4.7%)
2,047,000 Edison International 6.650%
08/16/00.......................... 2,029,606
1,000,000 Texas Utilities 6.780% 07/18/00.... 996,798
-----------
3,026,404
-----------
WIRELESS EQUIPMENT (2.0%)
1,308,000 Motorola Inc. 6.540% 08/24/00...... 1,295,169
-----------
TOTAL SHORT-TERM NOTES (110.9%)
(COST $71,804,503)................ $71,804,503
-----------
TOTAL HOLDINGS (110.9%)
(COST $71,804,503)(a)............. $71,804,503
-----------
LIABILITIES, NET OF CASH &
RECEIVABLES (-10.9%).............. (7,059,998)
-----------
TOTAL NET ASSETS (100.0%).......... $64,744,505
===========
</TABLE>
---------------
(a) Also represents cost for federal income tax purposes.
The accompanying notes are an integral part of these financial statements.
9
<PAGE> 11
OHIO NATIONAL FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at value (note
1) (cost $71,804,503)................... $71,804,503
Cash in bank.............................. 928
Receivable for fund shares sold........... 132,550
Interest receivable....................... 390,300
Other..................................... 1,684
-----------
Total assets............................ 72,329,965
-----------
Liabilities:
Payable for fund shares redeemed.......... 7,168,967
Payable for investment management services
(note 3)................................ 13,712
Other accrued expenses.................... 55
Dividends payable......................... 402,726
-----------
Total liabilities....................... 7,585,460
-----------
Net assets at market value.................. $64,744,505
===========
Net assets consist of:
Par value, $1 per share................... $ 6,474,773
Paid-in capital in excess of par value.... 58,269,732
-----------
Net assets at market value.................. $64,744,505
===========
Shares outstanding (note 4)................. 6,474,773
Net asset value per share................... $ 10.00
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest................................... $2,030,756
----------
Expenses:
Management fees (note 3)................... 98,015
Custodian fees (note 3).................... 4,236
Directors' fees (note 3)................... 835
Professional fees.......................... 4,039
Accounting and transfer agent fees......... 14,718
Other...................................... 5,288
----------
Total expenses........................... 127,131
Less fees waived (note 3)................ (16,336)
----------
Net expenses........................... 110,795
----------
Net investment income.................... $1,919,961
----------
Net increase in net assets from
operations............................. $1,919,961
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE> 12
OHIO NATIONAL FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment income from operations................. $ 1,919,961 $ 2,578,576
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (1,919,961) (2,578,576)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 241,741,923 223,206,883
Received from dividends reinvested........................ 1,919,961 2,578,576
Paid for shares redeemed.................................. (246,075,460) (203,029,030)
------------ ------------
Increase (decrease) in net assets derived from capital
share transactions................................... (2,413,576) 22,756,429
------------ ------------
Increase (decrease) in net assets.................. (2,413,576) 22,756,429
Net Assets:
Beginning of period....................................... 67,158,081 44,401,652
------------ ------------
End of period............................................. $ 64,744,505 $ 67,158,081
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.00 $10.00 $10.00 $10.00 $10.00
Income from investment operations:
Net investment income..................................... 0.29 0.49 0.52 0.52 0.50
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.29) (0.49) (0.52) (0.52) (0.50)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $10.00 $10.00 $10.00 $10.00 $10.00
====== ====== ====== ====== ======
Total return................................................ 2.96%(b) 5.02% 5.39% 5.37% 5.17%
Ratios net of fees waived by advisor:
Ratio of expenses to average net assets................... 0.34%(a) 0.36% 0.36% 0.38% 0.44%
Ratio of net investment income to average net assets...... 5.87%(a) 4.90% 5.26% 5.11% 4.98%
Ratios assuming no fees waived by advisor:
Ratio of expenses to average net assets................... 0.39%(a) 0.41% 0.41% 0.43% 0.49%
Net assets at end of period (millions)...................... $ 64.7 $ 67.2 $ 44.4 $ 29.1 $ 25.6
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
11
<PAGE> 13
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
OBJECTIVE
The Bond Portfolio seeks to obtain a high level of income and opportunity for
capital appreciation consistent with preservation of capital.
PERFORMANCE AS OF JUNE 30, 2000
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 3.63%
Three-year 4.72%
Five-year 5.52%
Ten-year 7.07%
Since inception (11/2/82) 7.93%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The Bond Portfolio trailed the Lehman Brothers Government/ Corporate
Intermediate Index for the first 6 months of this year 2.70% to 4.16%.
Conditions in the fixed income market have improved slightly in the first half
of this year after a most difficult year in 1999. While we trail the index
slightly in the first 6 months, our performance relative to most fund
competitors would show us generally in the top half of comparable funds.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
BOND PORTFOLIO LEHMAN BROS. GOVT./CORP. INDEX -
(Commenced operations November 2, 1982) INTERMEDIATE
-------------- --------------------------------
<S> <C> <C>
10000 10000
'88 10954.1 11376.7
11313.4 11634.9
'89 11962.8 12540.1
12525 13119.5
'90 12914.5 13520.9
13503.4 14322.7
'91 14104.3 14944.3
15253.9 16416.3
'92 15777.1 16910.5
16403.4 17593.6
'93 17673 18675.6
18157.3 19127.6
'94 17343.8 18622.6
17460 18754.8
'95 19541.3 20553.4
20760.6 21624.3
'96 20463.8 21578.9
21529.9 22500.3
'97 22266.2 23137
23528.7 24270.7
'98 24189.9 25103.2
24755.9 26305.7
'99 24676.7 26153.1
24898.8 26406.8
'00 25571.1 27254.5
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Household Finance 6.88%
07/03/00 4.32
2. Franchise Finance Co 8.25%
10/30/03 4.05
3. Anixter 8.00% 09/15/03 4.00
4. US Industries Inc/US 7.125%
10/15/03 3.98
5. Thermo Electron Conv 4.25%
01/01/03 3.77
6. Dial Corp 6.50% 09/15/08 3.72
7. Colonial 8.05% 07/15/06 3.52
8. Abitibi Consolidated Inc. 7.40%
04/01/18 3.51
9. Delta Air Lines 7.70% 12/15/16 2.75
10. Texas Utilities 7.48% 01/01/17 2.74
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Electrical Equipment 9.40
2. Industrial Services 7.37
3. Oil, Energy, & Natural Gas 7.14
4. Real Estate and Leasing 7.14
5. Utilities 6.78
</TABLE>
12
<PAGE> 14
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
AIR COURIER (1.6%)
$ 426,471 Federal Express Inc. 7.020%
01/15/16.......................... $ 392,105
-----------
AUTOMOTIVE & RELATED (0.4%)
100,000 Arvin Industries 10.000%
08/01/00.......................... 100,061
-----------
BUILDING & CONSTRUCTION (1.4%)
500,000 Owens Corning 7.500% 05/01/05...... 347,193
-----------
BUSINESS SERVICES (1.9%)
500,000 Cendant Corp. 7.750% 12/01/03...... 483,221
-----------
CHEMICALS (2.2%)
700,000 Mississippi Chemical Corp. 7.250%
11/15/17.......................... 563,494
-----------
COMMUNICATIONS (1.8%)
200,000 Comcast Cable Communications 8.375%
05/01/07.......................... 204,125
250,000 Tele-Communications, Inc. 8.250%
01/15/03.......................... 256,704
-----------
460,829
-----------
COMPUTER & RELATED (1.1%)
300,000 Apple Computer Inc. 6.500%
02/15/04.......................... 275,250
-----------
CONSUMER GOODS (3.6%)
1,000,000 Dial Corp. 6.500% 09/15/08......... 913,388
-----------
ELECTRICAL EQUIPMENT (9.4%)
1,000,000 Anixter Intl. 8.000% 09/15/03...... 982,086
500,000 Great Lakes Power 8.300%
03/01/05.......................... 494,108
500,000 Pioneer 8.500% 08/01/06............ 481,457
400,000 Tektronix Inc. 7.500% 08/01/03..... 401,816
-----------
2,359,467
-----------
ENTERTAINMENT & LEISURE (2.5%)
700,000 Mirage Resorts Inc. 6.750%
02/01/08.......................... 618,783
-----------
FOOD & RELATED (1.7%)
500,000 Gruma, SA de C.V. (Mexico) 7.625%
10/15/07.......................... 428,125
-----------
FINANCIAL SERVICES (5.9%)
1,000,000 Franchise Finance Corp. of America
8.250% 10/30/03................... 994,805
500,000 St. Paul Bancorp Inc. 7.125%
02/15/04.......................... 484,461
-----------
1,479,266
-----------
FOREIGN GOVERNMENT (1.8%)
200,000 British Columbia (United Kingdom)
7.000% 01/15/03................... 199,562
250,000 Province of Quebec (Canada) 8.625%
01/19/05.......................... 261,462
-----------
461,024
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FORESTRY & PAPER PRODUCTS (5.6%)
$1,000,000 Abitibi Consolidated Inc. 7.400%
04/01/18.......................... $ 862,085
300,000 Boise Cascade Co. 9.850%
06/15/02.......................... 307,289
250,000 ITT Rayonier Inc. 7.500%
10/15/02.......................... 250,093
-----------
1,419,467
-----------
HOTEL/LODGING (2.5%)
700,000 ITT Destinations 6.750% 11/15/05... 633,857
-----------
HOUSING, FURNITURE &
RELATED (0.5%)
140,000 Armstrong World 9.750% 04/15/08.... 133,528
-----------
INDUSTRIAL SERVICES (7.3%)
400,000 R&B Falcon Corp. Series B 6.750%
04/15/05.......................... 362,000
500,000 Tenaska Georgia Partners LP 9.500%
02/01/30.......................... 507,500
1,000,000 US Industries Inc. (144A) 7.125%
10/15/03.......................... 978,594
-----------
1,848,094
-----------
INSURANCE (2.5%)
250,000 Continental Corp. 7.250%
03/01/03.......................... 241,528
400,000 Transamerica Finance Corp. 7.500%
03/15/04.......................... 395,601
-----------
637,129
-----------
MACHINERY (3.7%)
1,000,000 Thermo Electron (144A) 4.250%
01/01/03.......................... 926,250
-----------
MEDICAL & RELATED (4.5%)
250,000 Bergen Brunswig 7.375% 01/15/03.... 216,356
300,000 Cardinal Health Inc. 6.500%
02/15/04.......................... 289,769
700,000 Watson Pharmaceuticals 7.125%
05/15/08.......................... 626,000
-----------
1,132,125
-----------
METALS & MINING (1.9%)
500,000 Cyprus Minerals 6.625% 10/15/05.... 470,944
-----------
OIL, ENERGY & NATURAL GAS (7.1%)
200,000 Atlantic Richfield 8.550%
03/01/12.......................... 218,289
100,000 DeKalb Energy 9.875% 07/15/00...... 100,034
500,000 Husky Oil Ltd. 8.900% 08/15/28..... 471,234
125,000 Marathon Oil 7.000% 06/01/02....... 124,468
400,000 PDV America Inc. 7.875% 08/01/03... 378,584
500,000 System Energy 7.800% 08/01/00...... 499,874
-----------
1,792,483
-----------
REAL ESTATE & LEASING (7.1%)
300,000 Avalon Properties Inc. 7.375%
09/15/02.......................... 296,201
900,000 Colonial Realty 8.050% 07/15/06.... 864,595
500,000 Security Capital US Realty 2.500%
05/22/03.......................... 385,625
250,000 Sun Communities 7.625% 05/01/03.... 244,494
-----------
1,790,915
-----------
RESTAURANTS (1.9%)
500,000 Wendy's Inc. 6.350% 12/05/05....... 478,676
-----------
</TABLE>
(continued)
13
<PAGE> 15
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION (6.6%)
$ 250,000 American President Cos. Ltd. 7.125%
11/15/03.......................... $ 189,775
700,000 Delta Air Lines 7.700% 12/15/05.... 675,144
350,000 Illinois Central Gulf Railroad
6.750% 05/15/03................... 347,114
474,140 Northwest Airlines 8.070%
01/02/15.......................... 453,342
-----------
1,665,375
-----------
UTILITIES (698%)
200,000 Cleveland Electric Illum. 7.625%
08/01/02.......................... 199,145
250,000 Kansas City Gas & Electric 8.290%
03/29/16.......................... 216,125
200,000 Old Dominion Electric 8.760%
12/01/22.......................... 208,028
200,000 Sprint Corp. 8.125% 07/15/02....... 204,140
700,000 Texas Utilities 7.480% 01/01/17.... 674,428
200,000 Toledo Edison Co. 7.875%
08/01/04.......................... 199,606
-----------
1,701,472
-----------
TOTAL LONG-TERM BONDS & NOTES
(93.4%) (COST $24,672,868)........ $23,512,521
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCE (4.2%)
$1,063,000 Household Finance 6.880%
07/03/00.......................... $ 1,062,594
-----------
TOTAL SHORT-TERM NOTES (4.2%) (COST
$1,062,594)....................... $ 1,062,594
-----------
TOTAL HOLDINGS (97.6%) (COST
$25,735,462)(a)................... $24,575,115
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (2.4%)................ 596,002
-----------
TOTAL NET ASSETS (100.0%).......... $25,171,117
===========
</TABLE>
---------------
(144A) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may be resold in transactions exempt from
registration, normally to qualified buyers. At the period end, the value
of these securities amounted to $1,904,844 or 7.6% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
The accompanying notes are an integral part of these financial statements.
14
<PAGE> 16
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $25,735,461)............. $24,575,115
Cash in bank.............................. 639
Receivable for fund shares sold........... 81,421
Dividends and accrued interest
receivable.............................. 936,161
Other..................................... 1,310
-----------
Total assets............................ 25,594,646
-----------
Liabilities:
Payable for fund shares redeemed.......... 2,087
Payable for investment management services
(note 3)................................ 12,295
Other accrued expenses.................... 16,147
Dividends payable......................... 393,000
-----------
Total liabilities....................... 423,529
-----------
Net assets at market value.................. $25,171,117
===========
Net assets consist of:
Par value, $1 per share................... 2,511,516
Paid-in capital in excess of par value.... 23,698,310
Accumulated net realized loss on
investments (note 1).................... (305,798)
Net unrealized depreciation on investments
(note 1)................................ (1,160,346)
Undistributed net investment income....... 427,435
-----------
Net assets at market value.................. $25,171,117
===========
Shares outstanding (note 4)................. 2,511,516
Net asset value per share................... $ 10.02
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $949,755
Dividends................................... 4,740
--------
Total investment income................... 954,495
--------
Expenses:
Management fees (note 3).................... 74,595
Custodian fees (note 3)..................... 2,535
Directors' fees (note 3).................... 339
Professional fees........................... 3,913
Accounting and transfer agent fees.......... 13,029
Other....................................... 2,130
--------
Total expenses............................ 96,541
--------
Net investment income..................... $857,954
--------
Unrealized loss on investments:
Net increase in unrealized depreciation on
investments............................... (191,467)
--------
Net loss on investments................... (191,467)
--------
Net increase in net assets from
operations.............................. $666,487
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
15
<PAGE> 17
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 857,954 $ 1,759,320
Realized loss on investments.............................. 0 (31,297)
Unrealized depreciation on investments.................... (191,467) (1,582,737)
----------- -----------
Net increase in net assets from operations............ 666,487 145,286
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (448,943) (1,743,554)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 2,338,939 5,505,101
Received from dividends reinvested........................ 448,943 1,743,554
Paid for shares redeemed.................................. (3,817,977) (8,047,905)
----------- -----------
Decrease in net assets derived from capital share
transactions......................................... (1,030,095) (799,250)
----------- -----------
Decrease in net assets............................. (812,551) (2,397,518)
Net Assets:
Beginning of period....................................... 25,983,668 28,381,186
----------- -----------
End of period (a)......................................... $25,171,117 $25,983,668
=========== ===========
(a) Includes undistributed net investment income of......... $ 427,435 $ 18,426
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 9.94 $10.56 $10.68 $10.62 $10.93
Income (loss) from investment operations:
Net investment income..................................... 0.34 0.68 0.67 0.71 0.69
Net realized and unrealized gain (loss) on investments.... (0.08) (0.62) (0.12) 0.23 (0.32)
------ ------ ------ ------ ------
Total income from investment operations................. 0.26 0.06 0.55 0.94 0.37
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.18) (0.68) (0.67) (0.88) (0.68)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $10.02 $ 9.94 $10.56 $10.68 $10.62
====== ====== ====== ====== ======
Total return................................................ 2.70%(b) 0.58% 5.22% 9.28% 3.71%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.77%(a) 0.77% 0.72% 0.78% 0.79%
Ratio of net investment income to average net assets...... 6.86%(a) 6.57% 6.21% 6.67% 6.54%
Portfolio turnover rate..................................... 0% 8% 12% 10% 3%
Net assets at end of period (millions)...................... $ 25.2 $ 26.0 $ 28.4 $ 21.8 $ 20.8
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
16
<PAGE> 18
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO
OBJECTIVE
The Omni Portfolio seeks a high level of long-term total rate of return
consistent with prudent investment risks. Total return consists of current
income and capital appreciation.
PERFORMANCE AS OF JUNE 30, 2000
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 8.19%
Three-year 8.52%
Five-year 12.10%
Ten-year 11.06%
Since inception (9/10/84) 11.32%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The Omni Portfolio has gone through a transformation process over the last six
months. Current management took over the portfolio in mid-February and sped up a
process that was already underway to make it more growth oriented. The fund has
had good performance as a result of the new strategy. Year-to-date performance
was 3.00%; vs. 1.39% for the combined Russell 3000 and Lehman Brothers
Government/Corporate Intermediate Indexes. The fund has been re-positioned to
reflect the higher valuations that the market has placed on faster-growing
companies. Much larger weightings have been given to the technology sector and
this has improved the fund's performance. In addition, fixed income positions
have been consolidated and longer duration securities are being replaced with
shorter duration securities. The portfolio will be allocated between stocks,
bonds and cash to achieve its objective. Currently, approximately 85% of the
fund is invested in stocks, 10% in bonds and 5% in cash. Management feels that
the equity market currently offers the most upside in total return and is
positioned accordingly.
Sustainable improved performance is expected due to the increased weighting in
larger, faster-growing technology companies combined with decreased weighting in
smaller, value-oriented companies. The market is rewarding growth-style
companies with superior valuations and stock performance and the fund now
reflects this. The portfolio has large allocations to the Computer and Related
Industries as well as the Communications and Electrical Equipment Industries.
The fund prefers investments in infrastructure and related suppliers to the
telecommunication and networking areas as businesses build capacity for their
information needs.
We have under-weighted the Basic Materials and Financial Sectors. Despite the
income stream that financials provide, they have been pruned down because of the
current interest rate environment. We will continue to monitor them and others
as well to capture any potential. Much of the opportunity that is available will
be dependent on the monetary policy of the Federal Reserve and we will be
positioned accordingly.
We will continue to be fully invested while keeping a minimal amount of cash
available for opportunities that present themselves. We thank you for your
continued support and look to report further success in the future.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
OMNI PORTFOLIO RUSSELL 3000 & LB GOV/CORP INT
(Commenced operations November 2, 1982) COMBINED
-------------- ------------------------------
<S> <C> <C>
10000 10000
'88 10796.9 11461.7
11157.5 11744.6
'89 12261 13282.7
12882.6 14394.4
'90 13307.7 14777
13128.1 14482.1
'91 14011.6 16091.6
15510.9 18231.8
'92 15735.8 18371.4
16845.1 19826.8
'93 17990.6 20910.6
19010.7 21814.3
'94 18413.7 21014.6
18909.1 21670.7
'95 21456.1 25008.8
23213.4 27735.8
'96 24875.5 29353.3
26820.7 31770.9
'97 29728.1 35516
31687.2 38733.1
'98 34165.1 42752.8
33123.1 45547.1
'99 35113.7 48545.9
36883.5 54819
'00 37990 55835.4
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Cisco Systems Inc 4.15
2. ADC 3.54
3. General Electric Co 3.07
4. Intel Corp 2.91
5. S & P 500 Depository 2.86
6. Sun Microsystems Inc 2.77
7. American 2.75
8. Texas Instruments 2.62
9. Johnson & Johnson 2.61
10. Baxter International 2.53
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer and Related 20.88
2. Electrical Equipment 10.86
3. Telecommunications & Cellular 10.65
4. Medical & Related 5.14
5. Oil, Energy, & Natural Gas 4.86
</TABLE>
17
<PAGE> 19
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
ADVERTISING (1.7%)
50,000 Young & Rubiam Inc. .............. $ 2,859,375
------------
AEROSPACE (1.3%)
64,000 Honeywell Intl. Inc. ............. 2,156,000
------------
BANKING (1.8%)
65,700 Chase Manhattan Corp. ............ 3,026,306
------------
BROADCAST RADIO & TV (3.0%)
78,284 *AT&T Corp. Liberty Media-A....... 1,898,387
86,500 *Infinity Broadcasting............ 3,151,843
------------
5,050,230
------------
BUSINESS SERVICES (2.2%)
30,000 Hewlett-Packard Co. .............. 3,746,250
------------
COMPUTER & RELATED (18.4%)
111,500 *Cisco Systems Inc. .............. 7,087,218
63,300 *Dell Computer Corp. ............. 3,121,481
51,000 *EMC Corp. ....................... 3,923,812
37,200 Intel Corp. ...................... 4,973,175
25,000 Intl Business Machines Corp. ..... 2,739,063
25,000 *Marchfirst Inc. ................. 456,250
52,000 *Sun Microsystems Inc. ........... 4,728,750
65,000 Texas Instruments Inc. ........... 4,464,688
------------
31,494,437
------------
COMPUTER SOFTWARE (3.0%)
50,000 *Citrix Systems Inc. ............. 946,875
51,000 Computer Associates............... 2,610,562
20,000 *Microsoft Corp. ................. 1,600,000
------------
5,157,437
------------
DRUGS (1.3%)
30,000 Merck & Co. Inc. ................. 2,298,750
------------
ELECTRICAL EQUIPMENT (10.9%)
56,666 *Analog Devices Inc. ............. 4,306,616
42,000 CTS Corp. ........................ 1,890,000
82,000 *Commscope........................ 3,362,000
99,000 General Electric Co. ............. 5,247,000
90,000 *Solectron Corp. ................. 3,768,750
------------
18,574,366
------------
ELECTRONIC MEASURING INSTRUMENTS (1.1%)
26,442 *Agilent Technologies Inc. ....... 1,950,098
------------
FINANCIAL SERVICES (2.4%)
85,810 Associates First Capital CL A..... 1,914,636
35,000 Citigroup Inc. ................... 2,108,750
------------
4,023,386
------------
INSURANCE SERVICES (2.8%)
39,999 American Intl. Group.............. 4,699,883
------------
MEDICAL & RELATED (5.1%)
61,500 Baxter International.............. 4,324,219
43,800 Johnson & Johnson................. 4,462,125
------------
8,786,344
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
MULTIMEDIA (3.1%)
58,500 Walt Disney Co. .................. $ 2,270,531
43,400 *Viacom Inc. CL B................. 2,959,338
------------
5,229,869
------------
OIL, ENERGY & NATURAL GAS (3.4%)
25,000 Occidental Petroleum Corp. ....... 526,563
40,000 Schlumberger Ltd. ................ 2,985,000
55,000 Williams Cos. Inc. ............... 2,292,812
------------
5,804,375
------------
PROTECTION/SAFETY (2.1%)
77,000 Tyco Intl. Ltd. .................. 3,647,875
------------
RETAIL (2.2%)
25,000 CVS Corp. ........................ 1,000,000
30,000 Home Depot Inc. .................. 1,498,125
25,000 Radioshack Corp. ................. 1,184,375
------------
3,682,500
------------
TELECOMMUNICATIONS & CELLULAR (11.6%)
23,426 AT&T Corp. ....................... 740,847
72,000 *ADC Telecom Inc. ................ 6,039,000
40,600 *General Motors CL H.............. 3,562,650
120,000 *McLeodUSA Inc. CL A.............. 2,482,500
49,600 *Tellabs Inc. .................... 3,394,500
79,875 *Worldcom Inc. ................... 3,664,266
------------
19,883,763
------------
WIRELESS EQUIPMENT (1.0%)
60,000 Motorola Inc. .................... 1,743,750
------------
TOTAL U.S. COMMON STOCKS (78.4%)
(COST $86,695,517)............... $133,814,994
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
MEXICO (1.7%)
TELECOMMUNICATIONS
5,000 Telephonos De Mexico SP ADR....... $ 2,856,250
------------
NETHERLANDS (0.7%)
OIL ENERGY & NATURAL GAS
4,000 Royal Dutch Petroleum............. 1,169,688
------------
TOTAL FOREIGN COMMON STOCKS (2.4%)
(COST $4,541,221)................ $ 4,025,938
------------
TOTAL COMMON STOCKS (80.8%) (COST
$91,236,738)..................... $137,840,932
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES DEPOSITORY SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
30,000 *NASDAQ 100 Shares................ $ 2,795,625
33,650 S&P 500 Depository Receipt........ 4,888,716
------------
TOTAL DEPOSITORY UNITS (4.5%)
(COST $7,476,946)................ $ 7,684,341
------------
</TABLE>
(continued)
18
<PAGE> 20
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
FOOD & RELATED (0.3%)
20,000 Conagra Capital 9.350% Series C $ 495,000
------------
TOTAL PREFERRED STOCKS (0.3%)
(COST $500,000) $ 495,000
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
GOVERNMENT (1.2%)
$2,005,000 U.S. Treasury Note 7.750% 02/15/01 $ 2,021,918
------------
AEROSPACE (0.3%)
500,000 AAR Corp. 7.250% 10/15/03......... 491,900
------------
CHEMICALS (0.9%)
1,750,000 Geon Company 7.500% 12/15/15...... 1,580,831
------------
COMMUNICATIONS (0.2%)
300,000 Sprint 8.125% 07/15/02............ 306,210
------------
CONSUMER PRODUCTS (0.8%)
1,400,000 Playtex Family Products 9.000%
12/15/03......................... 1,361,500
------------
FINANCIAL SERVICES (1.0%)
1,000,000 Fertinitro Finance Inc. 8.290%
04/01/20......................... 611,705
500,000 Litchfield Financial Corp. 9.250%
12/01/03 Ser. B.................. 515,350
500,000 RBF Finance 11.000% 03/15/06...... 538,125
------------
1,665,180
------------
FORESTRY & PAPER PRODUCTS (0.5%)
700,000 Boise Cascade Co. 9.850%
06/15/02......................... 717,008
250,000 ITT Rayonier Inc. 7.500%
10/15/02......................... 250,093
------------
967,101
------------
INDUSTRIAL SERVICES (0.5%)
1,000,000 Owens Illinois 7.850% 05/15/04.... 950,294
------------
INSURANCE SERVICES (0.3%)
500,000 Continental Corp. 7.250%
03/01/03......................... 483,055
------------
MACHINERY (0.2%)
500,000 ABC Rail Products Corp. 9.125%
01/15/04......................... 382,500
------------
MEDICAL & RELATED (0.3%)
500,000 Bergen Brunswig 7.375% 01/15/03... 432,713
------------
OIL, ENERGY & NATURAL GAS (0.8%)
400,000 Dekalb Energy 9.875% 07/15/00..... 400,136
375,000 Marathon Oil 7.000% 06/01/02...... 373,405
600,000 PVD America, Inc. 7.875%
08/01/03......................... 567,877
------------
1,341,418
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS & CELLULAR (1.1%)
$2,000,000 Cincinnati Bell Telephone 6.240%
12/30/03......................... $ 1,886,840
------------
TRANSPORTATION (0.8%)
500,000 American President Cos., Ltd.
7.125% 11/15/03.................. 379,552
1,000,000 Goodyear Tire Co. 8.125%
03/15/03......................... 1,010,760
------------
1,390,312
------------
UTILITIES (1.2%)
400,000 Cleveland Electric Illumination
7.625% 08/01/02.................. 398,290
700,000 ESI Tractebel 7.990% 12/30/11..... 621,055
1,000,000 Great Lakes Power 9.000%
08/01/04......................... 1,015,395
------------
2,034,740
------------
TOTAL LONG-TERM BONDS & NOTES
(10.1%) (COST $18,372,967)....... $ 17,296,512
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCE (3.5%)
$2,076,000 American Express Credit Corp.
6.570% 07/03/00.................. $ 2,075,242
2,909,000 Chevron USA 6.720% 07/06/00....... 2,906,285
917,000 Ford Motor Credit 6.730%
07/03/00......................... 916,657
------------
5,898,184
------------
RETAIL (0.8%)
1,437,000 Sears Roebuck Acceptance 6.920%
07/05/00......................... 1,435,895
------------
TOTAL SHORT-TERM NOTES (4.3%)
(COST $7,334,079)................ $ 7,334,079
------------
TOTAL HOLDINGS (100.0%)
(COST $124,920,730)(a)........... $170,650,864
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (0.0%)............... 83,498
------------
TOTAL NET ASSETS (100.0%)......... $170,734,362
============
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
The accompanying notes are an integral part of these financial statements.
19
<PAGE> 21
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $124,920,730)........... $170,650,864
Cash in bank............................. 11,497
Receivable for securities sold........... 1,950,566
Receivable for fund shares sold.......... 67,831
Dividends and accrued interest
receivable............................. 447,903
Other.................................... 10,328
------------
Total assets........................... 173,138,989
------------
Liabilities:
Payable for securities purchased......... 1,857,150
Payable for fund shares redeemed......... 312,729
Payable for investment management
services (note 3)...................... 78,253
Other accrued expenses................... 62,095
Dividends payable........................ 94,400
------------
Total liabilities...................... 2,404,627
------------
Net assets at market value................. $170,734,362
============
Net assets consist of:
Par value, $1 per share.................. $ 7,387,976
Paid-in capital in excess of par value... 96,601,407
Accumulated net realized gain on
investments (note 1)................... 20,600,615
Net unrealized appreciation on
investments
(note 1)............................... 45,730,134
Undistributed net investment income...... 414,230
------------
Net assets at market value................. $170,734,362
============
Shares outstanding (note 4)................ 7,387,976
Net asset value per share.................. $ 23.11
============
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 1,114,093
Dividends................................. 442,798
-----------
Total investment income................. 1,556,891
-----------
Expenses:
Management fees (note 3).................. 484,722
Custodian fees (note 3)................... 19,095
Directors' fees (note 3).................. 2,486
Professional fees......................... 4,452
Accounting and transfer agent fees........ 68,623
Other..................................... 15,740
-----------
Total expenses.......................... 595,118
-----------
Net investment income................... $ 961,773
-----------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments........ $20,600,615
Net decrease in unrealized appreciation on
investments............................. (16,243,009)
-----------
Net gain on investments................. 4,357,606
-----------
Net increase in net assets from
operations............................ $ 5,319,379
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
20
<PAGE> 22
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 961,773 $ 4,334,201
Realized gain on investments.............................. 20,600,615 7,456,237
Unrealized appreciation (depreciation) on investments..... (16,243,009) 8,982,511
------------ ------------
Net increase in net assets from operations............ 5,319,379 20,772,949
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (637,653) (4,249,788)
Capital gains distributions............................... (249,612) (6,524,769)
------------ ------------
Total dividends and distributions.................. (887,265) (10,774,557)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 2,032,298 7,966,478
Received from dividends reinvested........................ 887,265 10,774,557
Paid for shares redeemed.................................. (26,666,365) (53,110,394)
------------ ------------
Increase (decrease) in net assets derived from capital
share transactions................................... (23,746,802) (34,369,359)
------------ ------------
Increase (decrease) in net assets.................. (19,314,688) (24,370,967)
Net Assets:
Beginning of period....................................... 190,049,050 214,420,017
------------ ------------
End of period (a)......................................... $170,734,362 $190,049,050
============ ============
(a) Includes undistributed net investment income of......... $ 414,230 $ 90,111
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $22.55 $21.44 $21.06 $19.40 $17.60
Income from investment operations:
Net investment income..................................... 0.12 0.48 0.58 0.56 0.53
Net realized & unrealized gain on investments............. 0.55 1.91 0.38 2.87 2.10
------ ------ ------ ------ ------
Total income from investment operations............ 0.67 2.39 0.96 3.43 2.63
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.08) (0.48) (0.58) (0.69) (0.52)
Distributions from net realized capital gains............. (0.03) (0.80) 0.00 (1.08) (0.31)
------ ------ ------ ------ ------
Total distributions................................ (0.11) (1.28) (0.58) (1.77) (0.83)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $23.11 $22.55 $21.44 $21.06 $19.40
====== ====== ====== ====== ======
Total return................................................ 3.00%(b) 11.36% 4.53% 18.15% 15.54%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.67%(a) 0.67% 0.65% 0.71% 0.76%
Ratio of net investment income to average net assets...... 1.08%(a) 2.18% 2.71% 2.69% 2.89%
Portfolio turnover rate..................................... 54% 41% 18% 18% 12%
Net assets at end of period (millions)...................... $170.7 $190.0 $214.4 $193.7 $145.5
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
21
<PAGE> 23
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO
OBJECTIVE
The International Portfolio seeks long-term capital growth by investing
primarily in securities of foreign companies.
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
AVERAGE ANNUAL TOTAL RETURNS:
One-year 61.11%
Three-year 14.81%
Five-year 15.45%
Since inception (5/3/93) 16.20%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
So far in 2000, investors saw a difficult environment for technology, media and
telecommunication (TMT) stocks. An overdue mean reversion between old and new
economy shares coupled with heightened interest rate fears hurt the performance
of high beta companies. More specifically, Asian markets fell in countries like
Hong Kong, Korea, Singapore and Japan due to U.S. interest rate fears, the TMT
correction and fears of an economic slowdown (specifically for Japan). Western
European markets saw a rotation into previously depressed sectors like food and
beverage while the Euro continued to weaken against the U.S. and Japanese
bourses.
The semi-annual performance ending June 30, 2000, for the Ohio National
International Portfolio was -4.77%, which underperformed the return of the
Morgan Stanley Capital International Europe, Australia & Far East Index of
-4.06% due to a relative overweighting in the technology sector.
Due to Fed tightening a U.S. soft landing is a likely near term outcome.
However, a possible peaking in U.S. interest rates provides a good backdrop for
global equity markets for the 2(nd) half of 2000 and remains bullish on
international equity markets. On a regional basis, we still find good value
across Europe in technology, oil & gas and capital goods, but on a select basis,
driven by sustainable earnings growth, differentiation and valuation. In Asia,
we believe that Japan provides good potential if consumption can start to show
signs of recovery. Near-term opportunities in Korea, once the Chaebol
restructuring is cleared, and Hong Kong, also provide good long-term value. The
wild card in these export driven economies is a chance of economic slowdown in
the U.S.
Finally, some of our top holdings included, Alcatel, a telecom infrastructure
corporation; Cable and Wireless, a telecom operator; and Total Fina Elf, a
producer and distributor of oil and chemicals.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
INTERNATIONAL PORTFOLIO (COMMENCED MORGAN STANLEY CAPTL. INTL. EAFE
OPERATIONS MAY 3, 1993) INDEX
---------------------------------- --------------------------------
<S> <C> <C>
10000 10000
'95 14287.5 12021.4
15139.1 13049.2
'96 16812 13658.6
17331.4 13879.9
'97 19366.2 15456.7
17696.8 14040.8
'98 19367.4 16298.6
18383.5 16741.9
'99 18188.6 17406.6
30773.4 21256.9
'00 29305.5 20393.9
</TABLE>
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.
TOP 10 INTERNATIONAL HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Alcatel 2.98
2. Philips Electronics 2.33
3. Diageo PLC 2.22
4. Stmicroelectronics 2.02
5. Cable & Wireless 1.92
6. Intershop Comm AG 1.84
7. Nortel Networks Corp 1.82
8. British Aerospace PLC 1.79
9. Total Fina Elf 1.58
10. News Corp LTD 1.57
</TABLE>
TOP 5 COUNTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. United Kingdom 16.69
2. Japan 15.17
3. France 12.65
4. Germany 8.81
5. Netherlands 8.14
</TABLE>
The risk associated with investing on a worldwide basis includes differences in
regulation of financial data and reporting and currency exchanges as well as
economic and political systems which may be different from those in the United
States. The prices of small company stocks are generally more volatile than the
prices of large company stocks.
22
<PAGE> 24
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
JAPAN (16.4%)
87,000 Amada Co Ltd. (20)............... $ 737,531
117,000 Asahi Glass Co. Ltd. (5)......... 1,305,939
27,000 Bandai Co. Ltd. (10)............. 996,939
23,000 Canon Inc. (1)................... 1,143,880
47,500 Daiwabo Info. System Co. Ltd.
(9)............................. 859,040
67 DDI Corp. (29)................... 643,715
50,000 Fuji Oil (15).................... 445,062
6,600 Hirose Electric C. Ltd. (11)..... 1,026,383
164,000 JGC Corp. (34)................... 661,160
18,000 Katokichi (15)................... 455,235
8,000 Kyocera Corp. (11)............... 1,355,626
317,000 Mitsubishi Heavy Inds. Ltd.
(11)............................ 1,403,382
45,100 NEC Corp. (11)................... 1,414,619
30,000 Nikon Corp. (11)................. 1,110,535
40,000 Nippon Electric Glass Co. (11)... 923,091
900 Nippon Television Network (22)... 584,939
1,810 Nippon TV -- New Shares (22)..... 1,179,786
73 *NTT Corp. (29).................. 969,529
38 *NTT Docomo NPV (34)............. 1,027,269
17,100 Paris Miki Inc. (27)............. 1,111,383
20,200 Sony Corp. (11).................. 1,883,672
570 Sotoh Co. (30)................... 2,577
16,000 *Taiyo Yuden Co. (11)............ 1,000,706
34,000 Tokyo Electric Poser Co. (32).... 827,862
19,000 Tostem Corp. (5)................. 309,612
73,000 Toshiba Corp. (11)............... 823,068
69,000 *Yaskawa Electric Corp. (11)..... 823,463
82,000 Yamaha Motor Co. Ltd. (3)........ 749,211
------------
25,775,214
------------
UNITED KINGDOM (16.3%)
28,366 *ARM Holdings PLC ADR (11)....... 932,532
168,500 BAA PLC (31)..................... 1,342,590
134,300 Bass PLC (15).................... 1,504,843
448,400 British Aerospace PLC (1)........ 2,799,433
475,300 British Energy PLC (32).......... 1,266,584
176,550 Cable & Wireless (29)............ 3,003,526
387,050 Diageo PLC (15).................. 3,471,304
37,500 EMI Group PLC (22)............... 348,548
22,000 *Energis PLC (29)................ 821,929
6,900 *GEO Interactive Media (9)....... 131,823
80,300 Pace Micro Technology (11)....... 1,162,759
74,231 Prudential Corp. PLC (19)........ 1,089,511
58,000 Psion PLC (9).................... 559,754
120,200 Railtrack Group PLC (31)......... 1,865,362
148,000 Royal Bank of Scotland (4)....... 2,472,943
1 Securicor PLC (28)............... 2
47,825 *Shire Pharmaceuticals Grp PLC
(23)............................ 829,568
197,050 TI Group PLC (6)................. 1,065,140
223,900 Vodafone Airtouch (29)........... 909,829
------------
25,577,980
------------
FRANCE (15.3%)
7,800 AXA (19)......................... 1,230,179
70,875 Alcatel (11)..................... 4,654,141
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
FRANCE (CONTINUED)
2,895 Bouygues (29).................... $ 1,937,030
2,500 *Canal Plus (22)................. 420,574
7,325 Christian Dior (10).............. 1,662,880
7,100 *Compagnie De Saint-Gobain (6)... 960,973
5,000 *France Telecom SA (29).......... 699,682
6,600 *Groupe Danone (15).............. 876,897
18,800 *Lagardere S.C.A. (22)........... 1,437,598
1,400 *Liberty Surf Group (9).......... 45,485
9,000 M-6 Metropole Television (22).... 547,129
50,130 STMicroelectronics (11).......... 3,162,506
18,070 Tf1 Television Francaise (22).... 1,260,871
31,400 *Thomson-CSF (1)................. 1,238,365
16,100 Total Fina Elf (12).............. 2,471,503
15,430 *Vivendi Ex Gen Des Faux (32).... 1,363,523
------------
23,969,336
------------
GERMANY (9.2%)
575 *Adva AG Optical Networking
(11)............................ 324,822
37,350 Baader Wertpapierhandelsbank
AG (14)......................... 1,160,282
63,400 Bayersche Motoren Werke AG (3)... 1,933,168
3,400 DIS Deutsche Industries Service
(28)............................ 405,261
6,150 *Epcos AG (11)................... 624,294
4,530 *GFK AG (22)..................... 220,830
5,950 *Infineon Technologies AG (11)... 485,696
6,300 *Intershop Communications AG
(9)............................. 2,884,469
13,400 Medion AG (27)................... 1,362,813
29,130 Schering AG (23)................. 1,588,495
18,550 Siemens AG (33).................. 2,780,224
23,400 Wella AG -- PFD (10)............. 722,451
------------
14,492,805
------------
NETHERLANDS (6.6%)
47,140 *ASM Lithography Holding (9)..... 2,080,053
13,300 *ASM Lithography Holding ADR
(9)............................. 572,330
14,400 *ASM International (11).......... 378,517
51,100 *BE Semiconductor Industries
(11)............................ 798,598
53,400 Koninklijke Ahold (27)........... 1,573,637
77,100 Koninklijke (Royal) Philips
Electronis (11)................. 3,640,584
2,000 *Open TV Corp. (9)............... 89,750
34,100 Toolex Alpha (20)................ 554,106
23,700 *United Pan-Europe
Communications (29)............. 620,483
------------
10,308,058
------------
CANADA (5.7%)
10,200 *C-MAC Industries Inc. (11)...... 482,139
23,850 *Descartes Systems Group Inc.
(9)............................. 708,623
119,000 *Mosaic Group Inc. (9)........... 1,446,418
41,100 *Nortel Networks Corp. (29)...... 2,850,273
40,350 *Quebecor World (22)............. 982,252
22,850 *Rogers Communications CL B
(22)............................ 647,280
</TABLE>
(continued)
23
<PAGE> 25
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
CANADA (CONTINUED)
51,400 *Talisman Energy Inc. (12)....... $ 1,702,458
22,700 *Ulster Petroleums Ltd. (12)..... 208,445
------------
9,027,888
------------
SWEDEN (3.8%)
111,200 Ericsson LM-B (29)............... 2,207,617
140,750 Gambro AB-A Shares (23).......... 1,152,934
36,500 SKF AB-B Shares (24)............. 612,503
23,750 *Modern Times Group CL B (22).... 1,134,845
145,110 *Readsoft AB (9)................. 891,486
------------
5,999,385
------------
SOUTH KOREA (2.6%)
75 *Daelim Industrial Co. (5)....... 492
71,000 *Hyundai Electronics Ind. Co.
(11)............................ 1,400,865
18,700 Samsung SDI Co. Ltd. (11)........ 897,244
2,510 Samsung Electronics Co. (11)..... 830,645
3,000 *SK Telecom (29)................. 982,041
------------
4,111,287
------------
AUSTRALIA (2.4%)
106,100 E.R.G. Ltd. (11)................. 823,124
45,150 News Corp. Ltd. ADR (22)......... 2,460,675
31,500 News Corp. Ltd. (22)............. 433,360
------------
3,717,159
------------
HONG KONG (2.1%)
693,000 Amoy Properties Ltd. (26)........ 466,706
1,794,000 Beijing Datang Power (32)........ 402,727
319,000 *Brilliance China Automotive
(3)............................. 54,833
358,000 *China Unicom (29)............... 760,031
400,000 Cosco Pacific Ltd. (28).......... 315,563
120,000 Television Broadcasts Ltd.
(22)............................ 800,452
950,000 *Yanzhou Coal Mining Co. (24).... 196,200
2,010,000 *Zhejiang Expressway Co. (31).... 342,924
------------
3,339,436
------------
FINLAND (1.5%)
21,400 Nokia Oyj (29)................... 1,093,330
10,200 Nokia Corp. Spon. ADR (29)....... 509,363
22,200 Perlos Oyj (11).................. 702,378
6,585 *Sanitec Oyj (10)................ 66,090
2,200 *Satama Interactive OYJ (9)...... 8,517
------------
2,379,678
------------
ITALY (1.2%)
79,800 Bulgari SPA (10)................. 1,067,876
48,250 *Pininfarina SPA (3)............. 814,475
------------
1,882,351
------------
PORTUGAL (1.2%)
165,900 Portugal Telecom SA (29)......... 1,864,848
------------
SWITZERLAND (1.1%)
240 *Agefi Groupe SA (22)............ 72,163
2,157 Publicitas Holding SA (22)....... 1,614,788
------------
1,686,951
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
NORWAY (1.0%)
26,800 *Petroleum Geo Services ADR
(12)............................ $ 457,275
10,500 Smedvig ASA-A Shares (12)........ 189,924
23,500 Smedvig ASA-B Shares (12)........ 383,933
22,600 Tomra Systems ASA (34)........... 599,998
------------
1,631,130
------------
BELGIUM (0.9%)
34,000 *Lernout & Hauspie Speech (11)... 1,498,125
------------
THAILAND (0.8%)
152,800 Hana Microelectronics (11)....... 1,200,878
------------
SINGAPORE & MALAYSIAN (0.7%)
119,800 *Chartered Semiconductor (11).... 1,046,561
------------
DENMARK (0.5%)
4,800 Novo-Nordisk CL B (23)........... 818,100
------------
SPAIN (0.5%)
22,200 *Sogecable (22).................. 789,804
------------
BRAZIL (0.5%)
20,200 *Unibanco Uniao de Bancos
Brazileriros SA ADR (4)......... 580,750
35,600 *Usinas Siderurgicas de M
Preference (25)................. 165,190
------------
745,940
------------
MEXICO (0.4%)
12,300 *Telefonos De Mexico -- SP ADR
(29)............................ 702,638
------------
TAIWAN (0.3%)
12,000 *Advanced Semiconductor
Engineering Inc. GDR (11)....... 204,000
4,008 *Macronix Intl. Co. Ltd. SP ADR
(11)............................ 102,475
2,880 *Taiwan Semiconductor ADR (11)... 111,600
------------
418,075
------------
GREECE (0.1%)
8,520 *Tiletipos S.A. (29)............. 102,554
------------
BELGIUM (0.0%)
473 *Telinfo Strip (29).............. 5
------------
TOTAL FOREIGN COMMON STOCK
(91.1%) (COST $124,591,563)..... $143,086,186
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES US COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (0.0%)
4,300 *Infonet Services Corp. CL B..... $ 51,331
------------
CONSUMER PRODUCTS (1.2%)
167,500 *Reckitt & Coleman............... 1,864,154
------------
TOTAL US COMMON STOCK (1.2%)
(COST $1,946,424)............... $ 1,915,485
------------
TOTAL COMMON STOCK (92.3%) (COST
$11,508,688).................... $145,001,671
------------
</TABLE>
(continued)
24
<PAGE> 26
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (0.5%)
$ 809,000 State Street Bank 3.875% due
07/03/00 repurchase price
$809,825 collateralized by U.S.
Treasury Bond due 04/15/29 (Cost
$809,000)
TOTAL REPURCHASE AGREEMENTS
(0.5%) (COST $809,000).......... $ 809,000
------------
TOTAL HOLDINGS (92.8%) (COST
$11,937,688)(a)................. $145,810,671
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (7.2%).............. 11,305,214
------------
TOTAL NET ASSETS (100.0%)........ $157,115,885
============
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Also represents cost for Federal income tax purposes.
Industry Classifications
<TABLE>
<C> <S>
(1) Aerospace
(2) Appliances & Household
Durables
(3) Automotive
(4) Banking
(5) Building/Construction
(6) Capital Goods
(7) Chemicals
(8) Communications
(9) Computer Products
(10) Consumer Products
(11) Electrical & Electronics
(12) Energy and Oil
(13) Entertainment & Leisure
(14) Finance
(15) Food & Beverage
(16) Forest & Paper Products
(17) Governmental
(18) Hotels
(19) Insurance
(20) Machinery
(21) Manufacturing
(22) Media & Publishing
(23) Medical & Health Care
(24) Metal & Mining
(25) Plastics
(26) Real Estate
(27) Retailing
(28) Services
(29) Telecommunications
(30) Textile
(31) Transportation
(32) Utilities
(33) Diversified
(34) Miscellaneous
</TABLE>
The accompanying notes are an integral part of these financial statements.
25
<PAGE> 27
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $126,537,987)........... $145,810,671
Cash..................................... 7,213,583
Receivable for securities sold........... 11,327,446
Receivable for fund shares sold.......... 1,220,500
Unrealized gain on forward currency
contracts (note 5)..................... 36,318
Dividends and accrued interest
receivable............................. 334,781
Other.................................... 980
------------
Total assets........................... 165,944,279
------------
Liabilities:
Unrealized loss on forward currency
contracts (note 5)..................... 228,308
Payable for securities purchased......... 8,242,370
Payable for fund shares redeemed......... 191,107
Payable for investment management
services (note 3)...................... 110,740
Other accrued expenses................... 55,869
------------
Total liabilities...................... 8,828,394
------------
Net assets at market value................. $157,115,885
============
Net assets consist of:
Par value, $1 per share.................. $ 7,711,746
Paid-in capital in excess of par value... 91,456,007
Net unrealized appreciation
(depreciation) on:
Investments (note 1)................... 19,272,684
Foreign currency related
transactions......................... (86,674)
Forward currency contracts (note 5).... (191,990)
Accumulated net realized gain on
investments (note 1)................... 38,954,112
------------
Net assets at market value................. $157,115,885
============
Shares outstanding (note 4)................ 7,711,746
Net asset value per share.................. $ 20.37
============
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest................................. $ 295,622
Dividends (net of $54,181 foreign taxes
withheld).............................. 600,157
------------
Total investment income................ 895,779
------------
Expenses:
Management fees (note 3)................. 735,418
Accounting, custody, and transfer agent
fees (note 3).......................... 248,634
Directors' fees (note 3)................. 2,208
Professional fees........................ 4,381
Printing, proxy, and postage fees........ 10,763
Other.................................... 7,351
------------
Total expenses......................... 1,008,755
------------
Net investment loss.................... $ (112,976)
------------
Realized and unrealized gain (loss) on
investments and foreign currency:
Net realized gain (loss) from:
Investments............................ $ 39,401,451
Forward currency related
transactions......................... (247,267)
Net decrease in unrealized appreciation
on:
Investments............................ (45,731,349)
Foreign currency related
transactions......................... (47,020)
------------
Net loss on investments................ (6,624,185)
------------
Net decrease in net assets from
operations........................... $ (6,737,161)
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE> 28
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (112,976) $ (190,997)
Realized gain (loss) on investments and foreign currency
transactions............................................ 39,154,184 (4,215,702)
Unrealized appreciation (depreciation) on investments and
foreign currency transactions........................... (45,778,369) 75,219,428
------------ ------------
Net increase (decrease) in net assets from
operations........................................... (6,737,161) 70,812,729
------------ ------------
Dividends and distributions to shareholders:
Capital gains and foreign currency related transaction
distributions........................................... (1,124,467) 0
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 43,736,140 13,371,176
Received from dividends reinvested........................ 1,124,467 0
Paid for shares redeemed.................................. (52,923,622) (51,458,009)
------------ ------------
Decrease in net assets derived from capital share
transactions........................................... (8,063,015) (38,086,833)
------------ ------------
Increase (decrease) in net assets..................... (15,924,643) 32,725,896
Net Assets:
Beginning of period....................................... 173,040,528 140,314,632
------------ ------------
End of period............................................. $157,115,885 $173,040,528
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $21.51 $12.86 $13.39 $15.49 $14.38
Income (loss) from investment operations:
Net investment income (loss).............................. (0.01) (0.02) 0.32 0.28 0.25
Net realized and unrealized gain on investments and
foreign currency transactions........................... (0.99) 8.67 0.24 0.08 1.76
------ ------ ------ ------ ------
Total income from investment operations................. (1.00) 8.65 0.55 0.36 2.01
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 0.00 (0.32) (0.37) (0.25)
Distributions from net realized capital gains and foreign
currency related transaction............................ (0.14) 0.00 (0.75) (2.09) (0.65)
Distributions in excess of net realized capital gains and
foreign currency related transaction.................... 0.00 0.00 (0.01) 0.00 0.00
------ ------ ------ ------ ------
Total distributions..................................... (0.14) 0.00 (1.08) (2.46) (0.90)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $20.37 $21.51 $12.86 $13.39 $15.49
====== ====== ====== ====== ======
Total return................................................ (4.77)%(b) 67.40% 3.88% 2.11% 14.48%
Ratios and supplemental data:
Ratios net of fees waived by Adviser:
Ratio of expenses to average net assets................. 1.16%(a) 1.21% 1.17% 1.22% 1.15%
Ratio of net investment income (loss) to average net
assets................................................ (0.13)%(a) (0.15)% 2.31% 1.82% 1.64%
Ratios assuming no fees waived by Adviser:
Ratio of expenses to average net assets................. 1.16%(a) 1.26% 1.17% 1.22% 1.15%
Portfolio turnover rate..................................... 108% 338% 22% 24% 14%
Net assets at end of period (millions)...................... $157.1 $173.0 $140.3 $156.0 $137.3
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
27
<PAGE> 29
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO (a)
OBJECTIVE
The Capital Appreciation Portfolio seeks maximum capital growth by investing
primarily in common stocks.
PERFORMANCE AS OF JUNE 30, 2000
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 1.36%
Three-year 7.49%
Five-year 10.88%
Since inception (4/30/94) 11.80%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
Performance for the fund for the six months ending June 30 was 3.22% which
compares favorably with the S&P 500 which was down .42%.
Jennison assumed responsibility for the management of the fund during this
period. Our first priority was to convert the portfolio to stocks that are
typical of a Jennison opportunistic strategy. This is a multi cap value strategy
that invests in stocks that are attractively valued with current or emerging
earnings growth that we believe is not fully recognized or appreciated by the
market.
The first half of 2000 was a period in which the market turned away from
cyclical stocks as fears of a slower economy combined with the prospects of a
margin squeeze due to rising raw material costs led to less confidence in
cyclical earnings. Throughout the period, we had a significant exposure to the
basic materials sector but a relatively low exposure to the technology sector.
The three outstanding performers during the period were Millipore, Vertex
Pharmaceuticals and International Rectifier. All in all, we are pleased, despite
our cyclical exposure, we were able to beat both the market as well as value
benchmarks for the period.
Our strategy during the first half has been to emphasize stocks in which we have
the greatest confidence that earnings expectations can be met. One area we have
particularly favored in this regard is the insurance sector. We believe both the
property and casualty as well as the life sectors are examples of areas where
the fundamental outlook is favorable and valuations are very attractive. In
general, while overall market uncertainties certainly exist, we are encouraged
by the underlying portfolio characteristics which show better expected earnings
growth than the S&P 500, but a P/E at roughly one half that of the S&P 500.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CAPITAL APPRECIATION PORTFOLIO
(COMMENCED OPERATIONS APRIL 30, 1994) S&P INDEX LB GOV/COR COMBINED
------------------------------- -----------------------------
<S> <C> <C>
10000 10000
'96 13688.1 13611.2
14835.1 14798.4
'97 16014.5 16786.1
17089.1 18180.7
'98 18032.4 20362
18099.1 21879.8
'99 19621.3 23454.3
19268.1 24630.3
'00 19888.5 24883
</TABLE>
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.
TOP 10 LONG TERM HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. XL Capital Ltd CL A 2.90
2. Dexter Corp 2.58
3. International 2.48
4. Knight Ridder Inc 2.33
5. Allstate Corporation 2.31
6. Cable & Wireless PLC 2.23
7. The Hartford 2.18
8. Diebold Inc 2.14
9. Litton Industries 2.13
10. John Hancock 2.07
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Insurance Services 11.82
2. Medical and Related 8.53
3. Oil, Energy and Natural Gas 8.33
4. Manufacturing 8.24
5. Forestry and Paper Products 7.13
</TABLE>
---------------
(a) Prior to 8/1/99 the portfolio was known as the Small Cap Growth Portfolio.
28
<PAGE> 30
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
AEROSPACE (4.8%)
23,400 Boeing Co. ........................ $ 978,412
29,300 *Litton Industries Inc. ........... 1,230,600
29,700 Raytheon Co. CL B.................. 571,725
-----------
2,780,737
-----------
AUTOMOTIVE & RELATED (2.3%)
21,200 *Autozone Inc. .................... 466,400
29,500 Hertz Corp CL A.................... 827,844
-----------
1,294,244
-----------
BANKING (3.9%)
5,850 Chase Manhattan Corp. ............. 269,466
36,500 Fleet Boston Financial Corp. ...... 1,241,000
39,100 U.S. Bancorp....................... 752,675
-----------
2,263,141
-----------
BUSINESS SERVICES (3.7%)
30,200 Manpower Inc. ..................... 966,400
64,100 Pall Corp. ........................ 1,185,850
-----------
2,152,250
-----------
CHEMICALS (7.5%)
6,100 Cabot Corp. ....................... 166,225
75,300 Crompton Corp. .................... 922,425
28,200 *Cytec Industries Inc. ............ 696,188
61,600 Englehard Corp. ................... 1,051,050
18,800 Minerals Technologies Inc. ........ 864,800
16,700 Rohm & Haas Co. ................... 576,150
-----------
4,276,838
-----------
COMPUTER & RELATED (3.0%)
44,400 Diebold Inc. ...................... 1,237,650
63,900 *Informix Corp. ................... 475,256
-----------
1,712,906
-----------
CONSUMER PRODUCTS (1.0%)
31,400 Polaroid Corp. .................... 567,163
-----------
ELECTRICAL EQUIPMENT (2.2%)
11,000 *General Motors Corp. CL H......... 965,250
11,700 *Gentex Corp. ..................... 293,963
-----------
1,259,213
-----------
ENTERTAINMENT & LEISURE (1.5%)
29,600 *Sabre Holdings Corp. ............. 843,600
-----------
FINANCIAL SERVICES (1.1%)
9,900 American General Corp. ............ 603,900
-----------
FORESTRY & PAPER PRODUCTS (7.1%)
42,000 Boise Cascade Corp. ............... 1,086,750
23,400 Bowater Inc. ...................... 1,032,525
36,900 Fort James Corp. .................. 853,313
106,800 *Pactiv Corp. ..................... 841,050
6,800 Temple-Inland Inc. ................ 285,600
-----------
4,099,238
-----------
HOTEL/LODGING (1.6%)
95,700 Hilton Hotels Corp. ............... 897,187
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
INSURANCE SERVICES (11.8%)
60,100 Allstate Corp. .................... $ 1,337,225
10,100 Cigna Corp. ....................... 944,350
22,600 Hartford Financial Services Grp.... 1,264,188
50,700 *John Hancock Financial Services... 1,200,956
18,800 Safeco Corp. ...................... 373,650
31,000 XL Capital Ltd. CL A............... 1,677,875
-----------
6,798,244
-----------
MANUFACTURING (8.5%)
31,100 Dexter Corp. ...................... 1,492,800
15,000 *FMC Corp. ........................ 870,000
50,300 *Polo Ralph Lauren Corp. .......... 716,775
25,800 Rockwell Intl Corp. ............... 812,700
38,300 Snap-On Inc. ...................... 1,019,737
-----------
4,912,012
-----------
MEDIA & PUBLISHING (4.1%)
25,400 Knight Ridder Inc. ................ 1,350,963
8,000 Meredith Corp. .................... 270,000
11,100 New York Times Co. CL A............ 438,450
8,500 Tribune Co. ....................... 297,500
-----------
2,356,913
-----------
MEDICAL & RELATED (8.5%)
15,300 American Home Products Corp. ...... 898,875
17,700 *Aviron............................ 546,487
69,000 *Caremark Rx Inc. ................. 470,062
31,900 HCA -- The Healthcare Corp. ....... 968,963
85,400 *Health Mgmt. Assoc. Inc CL A...... 1,115,538
67,900 *Healthsouth Corp. ................ 488,031
4,000 *Vertex Pharmaceuticals Inc. ...... 421,500
-----------
4,909,456
-----------
METALS & MINING (2.5%)
19,904 Alcoa Inc. ........................ 577,216
45,000 USX -- U.S. Steel Group............ 835,313
-----------
1,412,529
-----------
OIL, ENERGY & NATURAL GAS (8.3%)
24,700 Burlington Resources Inc. ......... 944,775
43,600 Conoco Inc. CL A................... 959,200
23,200 Diamond Offshore Drilling.......... 814,900
6,200 Halliburton Co. ................... 292,562
39,000 USX -- Marathon Group.............. 977,437
24,300 Unocal Corp. ...................... 804,938
-----------
4,793,812
-----------
RETAIL (1.7%)
59,000 *Kmart Corp. ...................... 401,938
57,000 *Saks Inc. ........................ 598,500
-----------
1,000,438
-----------
SEMICONDUCTOR MANUFACTURING (3.5%)
25,600 *Intl. Rectifier Corp. ............ 1,433,600
9,800 *National Semiconductor Corp. ..... 556,150
-----------
1,989,750
-----------
</TABLE>
(continued)
29
<PAGE> 31
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS & CELLULAR (2.3%)
18,300 *Global Crossing Ltd. ............. $ 481,519
19,100 *PanAmSat Corp. ................... 834,431
-----------
1,315,950
-----------
TRANSPORTATION & EQUIPMENT (4.4%)
35,700 AMR Corp. ......................... 943,819
10,700 *Continental Airlines CL B......... 502,900
18,700 *EGL Inc. ......................... 575,023
17,100 *Northwest Airlines Corp. ......... 520,481
-----------
2,542,223
-----------
TOTAL U.S. COMMON STOCKS (95.3%)
(COST $55,282,904)................ $54,781,744
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
CANADA (2.3%)
TELECOMMUNICATIONS & CELLULAR
25,800 Cable & Wireless PLC SP ADR........ $ 1,291,613
-----------
TOTAL FOREIGN STOCKS (2.3%) (COST
$1,198,114)....................... $ 1,291,613
-----------
TOTAL COMMON STOCKS (97.6%) (COST
$56,481,018)...................... $56,073,357
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCE (4.2%)
$ 2,426,000 AXPCC 6.880% 07/03/00............ $ 2,426,000
------------
TOTAL SHORT-TERM NOTES (4.2%)
(COST $2,426,000)............... $ 2,426,000
------------
TOTAL HOLDINGS (101.8%) (COST
$58,907,018)(a)................. $ 58,499,357
------------
LIABILITIES, NET OF CASH &
RECEIVABLES (-1.8%)............. (1,038,546)
------------
TOTAL NET ASSETS (100.0%)........ $ 57,460,811
============
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
The accompanying notes are an integral part of these financial statements.
30
<PAGE> 32
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $58,907,018)............. $58,499,357
Cash...................................... 292
Receivable for fund shares sold........... 267,791
Dividends and accrued interest
receivable.............................. 1,699,732
Other..................................... 2,398
-----------
Total assets............................ 60,469,570
-----------
Liabilities:
Payable for securities purchased.......... 1,245,277
Payable for fund shares redeemed.......... 63,296
Payable for investment management services
(note 3)................................ 39,316
Other accrued expenses.................... 13,870
Dividends payable......................... 1,647,000
-----------
Total liabilities....................... 3,008,759
-----------
Net assets at market value.................. $57,460,811
===========
Net assets consist of:
Par value, $1 per share................... $ 4,615,694
Paid-in capital in excess of par value.... 51,927,931
Accumulated net realized income on
investments (note 1).................... 1,229,062
Net unrealized depreciation on investments
(note 1)................................ (407,661)
Undistributed net investment income....... 95,785
-----------
Net assets at market value.................. $57,460,811
===========
Shares outstanding (note 4)................. 4,615,694
Net asset value per share................... $ 12.45
===========
</TABLE>
STATEMENT OF OPERATIONS
Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest................................... $ 101,395
Dividends.................................. 420,652
----------
Total investment income.................. 522,047
----------
Expenses:
Management fees (note 3)................... 234,257
Custodian fees (note 3).................... 11,015
Directors' fees (note 3)................... 875
Professional fees.......................... 4,048
Accounting and transfer agent fees......... 26,853
Other...................................... 5,530
----------
Total expenses........................... 282,578
----------
Net investment income.................... $ 239,469
----------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments......... $1,258,919
Net increase in unrealized depreciation on
investments.............................. (46,181)
----------
Net gain on investments.................. 1,212,738
----------
Net increase in net assets from
operations............................. $1,452,207
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
31
<PAGE> 33
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 239,469 $ 2,109,910
Realized gain on investments.............................. 1,258,919 6,044,556
Unrealized depreciation on investments.................... (46,181) (3,470,618)
------------ ------------
Net increase in net assets from operations............ 1,452,207 4,683,848
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (151,350) (2,102,848)
Capital gains distributions............................... (65,790) (5,994,413)
------------ ------------
Total dividends and distributions..................... (217,140)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 2,969,706 8,091,987
Received from dividends reinvested........................ 217,140 8,097,261
Paid for shares redeemed.................................. (11,579,784) (24,674,975)
------------ ------------
Decrease in net assets derived from capital share
transactions......................................... (8,392,938) (8,485,727)
------------ ------------
Decrease in net assets............................. (7,157,871) (11,899,140)
Net Assets:
Beginning of period....................................... 64,618,682 76,517,822
------------ ------------
End of period (a)......................................... $ 57,460,811 $ 64,618,682
============ ============
(a) Includes undistributed net investment income of......... $ 95,785 $ 7,667
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $12.11 $12.92 $13.53 $12.93 $11.99
Income from investment operations:
Net investment income..................................... 0.05 0.39 0.34 0.39 0.48
Net realized and unrealized gain on investments........... 0.33 0.42 0.46 1.48 1.31
------ ------ ------ ------ ------
Total income from investment operations................. 0.38 0.81 0.80 1.87 1.79
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.03) (0.39) (0.34) (0.46) (0.44)
Distributions from net realized capital gains............. (0.01) (1.23) (1.06) (0.81) (0.41)
Distributions in excess of capital gains.................. 0.00 0.00 (0.01) 0.00 0.00
------ ------ ------ ------ ------
Total distributions..................................... (0.04) (1.62) (1.41) (1.27) (0.85)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $12.45 $12.11 $12.92 $13.53 $12.93
====== ====== ====== ====== ======
Total return................................................ 3.22%(b) 6.46% 5.91% 15.19% 15.75%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.96%(a) 0.95% 0.93% 0.95% 0.97%
Ratio of net investment income to average net assets...... 0.81%(a) 2.94% 2.52% 2.88% 3.90%
Portfolio turnover rate..................................... 175% 34% 45% 41% 37%
Net assets at end of period (millions)...................... $ 57.5 $ 64.6 $ 76.5 $ 59.8 $ 38.3
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
32
<PAGE> 34
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO
OBJECTIVE
The Small Cap Portfolio seeks maximum capital growth by investing primarily in
common stocks of small- and medium-size companies.
PERFORMANCE AS OF JUNE 30, 2000
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 87.24%
Three-year 44.12%
Five-year 31.89%
Since inception (4/30/94) 32.54%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
HOW HAS THE OHIO NATIONAL SMALL CAP PORTFOLIO PERFORMED RELATIVE TO ITS
BENCHMARKS YEAR-TO-DATE?
After posting record-breaking gains in the middle of the first quarter of 2000,
small-cap stocks were subsequently punished by investors' sudden flight from
rapid-growth sectors during the remainder of the first half. This volatility
created a challenging market environment, but the Small Cap Fund, thanks to
strong stock selection and meticulous research, fared significantly better than
the Russell 2000 Index, which gained 3.06% in the six-month period ended June
30, 2000. While the Fund posted a negative return in the second quarter, it was
relatively minimal, and we were pleased with the Fund's solid overall gain of
20.85% in the first half.
The average annual total returns for the one-, five-, and since-inception
periods ended June 30, 2000 were also strong; the Fund posted 87.24% for the
one-year period, 31.89% for the five-year period, and 32.54% for the since-
inception period of 4/30/94 - 6/30/00. Please do note that the performance for
the one-year period ended June 30, 2000 was attributable to unusually favorable
market conditions, and may not be repeated or consistently achieved in the
future.
WHAT MARKET TRENDS IMPACTED YOUR INVESTMENT STRATEGIES IN THE FIRST SIX MONTHS
OF 2000?
Our hands-on management style and dedication to in-depth research, always
valuable when exploring the small-cap market, were vital tools during the
extreme twists and turns small caps experienced during the first half. We have
always been vigilant about avoiding stocks that are merely "news-makers," opting
instead for small growth companies that show strong earnings. This proved
advantageous as a number of overvalued firms eschewed by the Small Cap Fund not
only plunged in the second quarter, but also offered little hope of revival in a
less friendly market.
We continued to carefully monitor the 10 largest holdings in the Fund in an
effort to appropriately position the stocks that we believe have the best
appreciation potential. It is fairly common to see stocks "climb" their way to
the top of portfolios after they have exhausted their potential. However, we try
to keep the top 10 "fresh" with our best ideas and monitor the performance of
these holdings with the goal that they outperform the market.
As our strategies grew more cautious to hedge risk during the market's
second-quarter decline, we gravitated toward these top 10 stocks, resulting in a
slight increase in portfolio concentration among the holdings in which we have
the most confidence.
WHICH INVESTMENT IDEAS CONTRIBUTED THE MOST, AND WHICH CONTRIBUTED THE LEAST TO
THE SMALL CAP FUND'S PERFORMANCE DURING THE FIRST HALF?
In the first quarter, one idea that was particularly influential was the theme
we call "enabling materials." We are referring to those materials related to
semiconductor advancement--a key growth area in the technology sector as
companies race to discover new materials that offer performance advantages over
silicon. Several of the Fund's stocks, therefore, are related to LEDs (light
emitting diodes), semiconductors used to enable traffic lights, digital clocks,
and other such technologies. Our holdings in this area, which made positive
contributions to the Fund's overall performance in the first half, include CREE
RESEARCH, INC. (1.76% of the Fund as of June 30, 2000; +90.62% in the first half
of 2000), AMERICAN XTAL TECHNOLOGY, INC. (2.22% of the Fund; +184.47%), and
EMCORE CORPORATION (2.89% of the Fund; +239.44%).
Another technology-related theme emerged in the second quarter from research
indicating that less than 4% of the buildings in the U.S. have fiberoptic
penetration--yet there is an insatiable appetite for bandwidth. As a result, we
are seeing great demand for technology that provides comparable fiber-type
bandwidth quickly and easily.
One solution to this is called "broadband fixed wireless." There are a number of
smaller communications equipment companies serving this market by supplying
millimeter wave radios and components allowing voice and data to be transmitted
and received without the need to lay costly fiberoptic cable. Some of the
companies that are benefiting from this "broadband fixed wireless" theme and
boosting the Fund's performance are DIGITAL MICROWAVE CORPORATION, 3.07% of the
Fund and the Fund's largest holding as of June 30, 2000,
33
<PAGE> 35
HARRIS CORPORATION (2.44% of the Fund), REMEC, INC. (2.31% of the Fund), Telaxis
Communications Corporation (.46% of the Fund), and VYYO, INC (.48% of the Fund).
There were, however, some first-half laggards within the technology sector. With
the second-quarter sell-off, software holdings PC-TEL, INC. (1.01% of the Fund)
and EXCHANGE APPLICATIONS, INC. (.72% of the Fund) struggled. However, we
continue to have confidence in these companies' long-term growth prospects, and
therefore have kept them in the Fund.
The Fund's overweight position in transportation stocks, which served it well
early in the year, proved detrimental later in the half as concerns over a
slowing economy increased. As a result, we cut back or sold many of our holdings
in this area.
WHERE DO YOU GET YOUR INVESTMENT IDEAS?
Our investment ideas are the results of the small-cap team's exhaustive equity
research. Using our bottom-up, company-by-company approach, we seek to identify
particular areas of strength within the Small Cap Fund's portfolio. We then
investigate additional companies positioned to capitalize on the market or
industry dynamics that we've pinpointed during this process, thereby leveraging
our cumulative findings into new investment themes.
We also meet with numerous companies to determine the quality of their products
and the capabilities of their management teams, and we regularly speak with the
executives leading the companies in the Fund. This process keeps us abreast of
the latest news about our holdings, these firms' industries, and the small-cap
market in general. Being well informed is the first step to generating ideas.
LOOKING AHEAD, WHAT ENCOURAGES YOU ABOUT THE DOMESTIC SMALL-CAP MARKET?
Although the recent market volatility has hampered many small-cap stocks'
performance of late, our enthusiasm for small-cap investing remains strong. In
fact, we are pleased to be navigating a more value-conscious market, and believe
that this challenging environment will serve as a much-needed test of small
growth companies' mettle. In our opinion, the truly deserving firms will
ultimately flourish, and we invite the opportunity to find them and harness
their vision and earnings potential on behalf of the Small Cap Fund's future.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. Investment return and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Part of Founders Small Cap
Fund's performance is due to the Fund's purchase of securities sold in initial
public offerings (IPOs). There is no guarantee that the Fund's investments in
IPOs, if any, will continue to have a similar impact on performance. There are
risks associated with small-cap investing such as limited product lines and
small market share. There is no guarantee that the Fund will continue to own the
stocks listed, and portfolio composition is subject to change. Due to recent
market volatility, current performance is less than the figures shown.
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
SMALL CAP PORTFOLIO (COMMENCED
OPERATIONS APRIL 30, 1994) RUSSELL 2000 INDEX
------------------------------ ------------------
<S> <C> <C>
10000 10000
'96 18455.4 14212.3
18986.9 15002.5
'97 18979.3 16532.8
20594.4 18343.1
'98 21372.9 19309.8
22770.7 17933
'99 30341.9 19597.2
47011.8 21745.1
'00 56813.7 22403.9
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Digital Microwave 3.07
2. EMCORE Corporation 2.89
3. Insight Enterprises 2.58
4. Harris Corporation 2.44
5. Remec Inc 2.31
6. American Xtal 2.22
7. National Oilwell Inc 1.91
8. GSI Lumonics 1.83
9. Cree Research, Inc. 1.76
10. Core Laboratories NV 1.76
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Electronic Components 15.96
2. Computer & Related 10.14
3. Communications 8.35
4. Medical & Related 6.08
5. Internet Software 5.78
</TABLE>
The prices of small company stocks are generally more volatile than the price of
large company stocks.
34
<PAGE> 36
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
AEROSPACE (1.2%)
55,400 *The Titan Corp. ................ $ 2,479,150
------------
BROADCAST RADIO & TV (3.0%)
54,690 *Cox Radio Inc. ................. 1,531,320
*Entercom Communications
48,125 Corp. .......................... 2,346,094
44,425 *Peagus Communications Corp. .... 2,179,602
------------
6,057,016
------------
BUSINESS SERVICES (4.4%)
3,225 *Aether Systems Inc. ............ 661,125
28,750 *Corp Executive Board............ 1,721,406
*Management Network Group
71,000 Inc. ........................... 2,485,000
16,975 *Remedy Corp. ................... 946,356
126,300 *Vertitas DG Inc. ............... 3,283,800
------------
9,097,687
------------
CHEMICALS (1.1%)
43,225 *Albany Molecular Research....... 2,353,061
------------
COMMUNICATIONS (5.4%)
167,554 *Digital Microwave Corp. ........ 6,387,996
24,850 *Netro Corp. .................... 1,425,769
44,825 *Razorfish Inc. ................. 720,001
89,824 *Spectrasite Hldgs. Inc. ........ 2,548,756
------------
11,082,522
------------
COMPUTER & RELATED (9.9%)
34,275 *Adept Technology Inc. .......... 1,602,356
26,050 *CDW Computer Centers Inc. ...... 1,628,125
25,900 *Documentum Inc. ................ 2,314,813
57,325 *eLoyalty Corp. ................. 730,894
90,395 *Insight Enterprises Inc. ....... 5,361,553
13,625 *Mercury Interactive Corp. ...... 1,318,219
42,225 *SanDisk Corp. Designs........... 2,583,642
75,125 *Secure Computing Corp. ......... 1,413,289
22,450 *Silicon Storage Technology...... 1,982,616
40,725 *SmartDisk Corp. ................ 1,119,937
68,750 *Zamba Corp. .................... 378,125
------------
20,433,569
------------
COMPUTER SERVICES (1.5%)
63,700 *Braun Consulting Inc. .......... 1,345,663
26,275 *Tanning Technology Corp. ....... 505,794
93,750 *Zomax Optical Media Inc. ....... 1,230,469
------------
3,081,926
------------
COMPUTER SOFTWARE (1.4%)
55,625 *Exchange Application Inc. ...... 1,481,016
27,400 *Peregrine Systems............... 950,438
31,875 *TenFold Corp. .................. 523,945
------------
2,955,399
------------
CONSUMER PRODUCTS (1.9%)
85,550 *Fossil Inc. .................... 1,662,878
70,262 *Jakks Pacific Inc. ............. 1,036,364
53,250 *Pinnacle Systems Inc. .......... 1,197,293
------------
3,896,535
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
DRUGS (2.5%)
27,850 *Biocryst Pharmaceuticals........ $ 798,947
34,180 *King Pharmaceuticals Inc. ...... 1,499,680
9,225 *Minimed Inc. ................... 1,088,550
3,800 *Protein Design Labs Inc. ....... 626,822
39,375 *Regeneron Pharmaceuticals....... 1,173,867
------------
5,187,866
------------
ELECTRICAL EQUIPMENT (2.7%)
15,600 *Capsone Turbine Corp. .......... 702,975
114,712 *Remec Inc. ..................... 4,803,565
------------
5,506,540
------------
ELECTRICAL SERVICES (3.3%)
65,743 *Dycom Industries................ 3,024,178
66,525 *Quanta Services Inc. ........... 3,658,875
------------
6,683,053
------------
ELECTRONIC COMPONENTS (18.3%)
31,875 *Advanced Energy Ind............. 1,878,633
*American Xtal Technology
106,700 Inc. ........................... 4,614,775
25,900 *American Superconductor......... 1,249,675
58,150 *Astropower Inc. ................ 1,577,319
56,300 *Brooks Automation Inc. ......... 3,599,681
27,450 *Cree Research Inc. ............. 3,664,575
50,055 *Emcore Corp. ................... 6,006,600
119,300 *Gentex Corp. ................... 2,997,413
28,450 *Kopin Corp. .................... 1,970,162
54,475 Methode Electronics.............. 2,104,097
37,500 *Pericom Semiconductor........... 2,550,000
20,375 *PRI Automation Inc. ............ 1,332,334
68,550 *Therma-Wave Inc. ............... 1,529,522
52,875 *Valence Technology Inc. ........ 974,883
24,900 *Zoran Corp. .................... 1,641,844
------------
37,691,513
------------
FINANCIAL SERVICES (0.7%)
47,575 *CompuCredit Corp. .............. 1,427,250
------------
HOUSING, FURNITURE & RELATED (0.3%)
12,875 *Trex Co. Inc. .................. 643,750
------------
INTERNET SOFTWARE (6.9%)
21,150 *Alteon Websystems Inc. ......... 2,116,322
15,875 *Digex Inc. ..................... 1,078,508
36,225 *Eprise Corp. ................... 595,448
50,300 *F5 Networks Inc. ............... 2,744,494
43,675 *Globix Corp. ................... 1,280,223
15,950 *ITXC Corp. ..................... 564,730
17,250 *Interwoven Inc. ................ 1,897,230
52,325 *Liquid Audio Inc. .............. 495,452
13,300 *Macromedia Inc. ................ 1,285,944
54,800 *PC-Tel Inc. .................... 2,082,400
------------
14,140,751
------------
</TABLE>
(continued)
35
<PAGE> 37
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
INDUSTRIAL SERVICES (1.8%)
31,875 *Insituform Technologies......... $ 864,609
59,800 *Shaw Group Inc. ................ 2,818,075
------------
3,682,684
------------
LASER/COMPONENTS (1.9%)
108,725 *GSI Lumonics Inc. .............. 3,818,966
------------
MACHINERY (1.9%)
121,175 *National Oilwell Inc. .......... 3,983,628
------------
MANUFACTURING (0.7%)
71,825 *Concord Camera Corp. ........... 1,499,347
------------
MEDICAL & RELATED (4.2%)
53,887 *Accredo Health Inc. ............ 1,862,469
31,375 *Celgene Corp. .................. 1,847,203
7,900 *Myraid Genetics Inc. ........... 1,169,817
15,150 *Patterson Dental................ 772,650
37,125 *PolyMedica Corp. ............... 1,605,656
26,225 *Zoll Medical Corp. ............. 1,285,025
------------
8,542,820
------------
MOTION PICTURE & SERVICE (1.6%)
50,800 *Macrovision Corp. .............. 3,247,231
------------
NETWORKING PRODUCTS (1.3%)
33,175 *Black Box Corp. ................ 2,626,527
------------
OIL, ENERGY & NATURAL GAS (2.3%)
50,800 *Cal Drive International......... 2,752,725
37,150 Helmrich & Payne................. 1,388,481
39,150 *Syntroleum Corp. ............... 670,444
------------
4,811,650
------------
RETAIL (4.4%)
63,875 *CEC Entertainment Inc. ......... 1,636,797
62,975 *Michaels Stores Inc. ........... 2,885,042
57,375 *The Mens Wearhouse Inc. ........ 1,280,180
*Tweeter Home Entertainment
41,500 Group........................... 1,260,562
77,450 *Ultimate Electronics Inc. ...... 2,075,418
------------
9,137,999
------------
TELECOMMUNICATINS & CELLULAR (5.3%)
155,375 Harris Corp. .................... 5,088,531
30,150 *Tekelec......................... 1,452,853
29,950 *Telaxis Communications.......... 935,937
18,000 *Telecorp PCS Inc. .............. 725,625
31,945 *Viasat Inc. .................... 1,733,016
36,750 *Vyyo Inc. ...................... 992,250
------------
10,928,212
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION SERVICE & EQUIPMENT (0.9%)
37,875 C.H. Robinson World.............. $ 1,874,813
------------
TOTAL U.S. COMMON STOCK (90.8%)
(COST $134,828,935)............. $186,871,465
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
CANADA (0.8%)
COMPUTER SOFTWARE (0.8%)
47,525 *Optimal Robotics Corp. ......... $ 1,559,944
------------
NETHERLANDS (2.4%)
ELECTRONIC COMPONENTS (0.6%)
52,100 *ASM International............... 1,380,650
OIL, ENERGY & NATURAL GAS (1.8%)
126,075 *Core Laboratories............... 3,664,055
------------
TOTAL NETHERLANDS................ 5,044,705
------------
ISRAEL (0.7%)
COMPUTER & RELATED (0.7%)
19,300 *M-Systems Flash Disk Pioneer.... 1,502,988
------------
TOTAL FOREIGN COMMON STOCK (3.9%)
(COST $6,503,808)............... $ 8,107,637
------------
TOTAL COMMON STOCK (94.7%) (COST
$141,332,743)................... $194,979,102
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (6.2%)
$12,729,000 Firstar 4.650% 07/03/00
repurchase price $12,733,448
collateralized by GNMA
certificates pool # 290329 due
10/01/29 (Cost $12,729,000)..... $ 12,729,000
------------
TOTAL REPURCHASE AGREEMENTS
(6.2%) (COST $12,729,000)....... $ 12,729,000
------------
TOTAL HOLDINGS (100.9%) (COST
$154,061,743)(A)................ $207,708,102
------------
LIABILITIES, NET OF CASH &
RECEIVABLES (-0.9%)............. (1,927,423)
------------
TOTAL NET ASSETS (100.0%)........ $205,780,679
============
</TABLE>
---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax basis. See note 1.
The accompanying notes are an integral part of these financial statements.
36
<PAGE> 38
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $154,061,743)........... $207,708,102
Cash in bank............................. 151
Receivable for securities sold........... 1,640,081
Receivable for fund shares sold.......... 425,672
Dividends and accrued interest
receivable............................. 4,533
Other.................................... 42,332
------------
Total assets........................... 209,820,871
------------
Liabilities:
Payable for securities purchased......... 3,901,905
Payable for fund shares redeemed......... 6,584
Payable for investment management
services (note 3)...................... 127,450
Other accrued expenses................... 4,253
------------
Total liabilities...................... 4,040,192
------------
Net assets at market value................. $205,780,679
============
Net assets consist of:
Par value, $1 per share.................. $ 5,446,148
Paid-in capital in excess of par value... 108,078,200
Accumulated net realized gain on
investments (note 1)................... 38,609,972
Net unrealized appreciation on
investments (note 1)................... 53,646,359
------------
Net assets at market value................. $205,780,679
============
Shares outstanding (note 4)................ 5,446,148
Net asset value per share.................. $ 37.78
============
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 171,648
Dividends................................. 53,270
-----------
Total investment income................. 224,918
-----------
Expenses:
Management fees (note 3).................. 750,630
Custodian fees (note 3)................... 8,552
Directors' fees (note 3).................. 2,208
Professional fees......................... 4,381
Accounting and transfer agent fees........ 28,841
Other..................................... 13,727
-----------
Total expenses.......................... 808,339
-----------
Net investment loss..................... $ (583,421)
-----------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments........ $38,881,931
Net decrease in unrealized appreciation on
investments............................. (3,453,376)
-----------
Net gain on investments................. 35,428,555
-----------
Net increase in net assets from
operations............................ $34,845,134
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
37
<PAGE> 39
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (583,421) $ (641,905)
Realized gain on investments.............................. 38,881,931 49,188,742
Unrealized appreciation (depreciation) on investments..... (3,453,376) 36,969,442
------------ ------------
Net increase in net assets from operations............ 34,845,134 85,516,279
------------ ------------
Dividends and distributions to shareholders:
Capital gains distributions............................... (2,306,132) (42,956,147)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 16,470,484 22,600,298
Received from dividends reinvested........................ 2,306,132 42,956,147
Paid for shares redeemed.................................. (13,452,813) (15,774,683)
------------ ------------
Increase (decrease) in net assets derived from capital
share transactions................................... (5,323,803) 49,781,762
------------ ------------
Increase in net assets............................. 37,862,805 92,341,894
Net Assets:
Beginning of period....................................... 167,917,874 75,575,980
------------ ------------
End of period............................................. $205,780,679 $167,917,874
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 --------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $31.62 $20.70 $18.72 $18.03 $15.85
Income (loss) from investment operations:
Net investment loss....................................... (0.11) (0.16) (0.06) (0.02) (0.08)
Net realized & unrealized gain on investments............. 6.70 21.96 2.04 1.54 2.80
------ ------ ------ ------ ------
Total income from investment operations................. 6.59 21.80 1.98 1.52 2.72
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 0.00 0.00 0.00 0.00
Distributions from net realized capital gains............. (0.43) (10.88) 0.00 (0.83) (0.54)
------ ------ ------ ------ ------
Total distributions..................................... (0.43) (10.88) 0.00 (0.83) (0.54)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $37.78 $31.62 $20.70 $18.72 $18.03
====== ====== ====== ====== ======
Total return................................................ 20.85%(b) 106.46% 10.57% 8.47% 17.71%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.86%(a) 0.89% 0.91% 0.94% 0.96%
Ratio of net investment loss to average net assets........ (0.62)%(a) (0.61)% (0.30)% (0.11)% (0.48)%
Portfolio turnover rate..................................... 83% 166% 99% 80% 70%
Net assets at end of period (millions)...................... $205.8 $167.9 $ 75.6 $ 58.3 $ 38.5
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
38
<PAGE> 40
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (a)
OBJECTIVE
The International Small Company seeks to provide long-term capital growth of
capital by investing primarily in equity securities of foreign companies having
a market capitalization at the time of purchase of $1.5 billion or less.
PERFORMANCE AS OF JUNE 30, 2000
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 43.94%
Three-year 23.47%
Five-year 19.35%
Since inception (3/31/95) 18.97%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The performance of the MSCI World ex-US Small Cap Index, measured in U.S.
dollars, was 4.9% in the first half of the year. Japan was the best performing
region, returning 15.02%. Pacific excluding Japan was the worst performing
region with -10.36% return in the first half of the year. The MSCI Europe Small
Cap Index returned 0.98% over this period. After a sell-off in the highly rated
growth sectors, particularly Technology, Media and Telecom (TMT), in the
beginning of March, bearishness and weakness in these sectors continued into
May. A sector rotation into "old" economy stocks became prevalent. One of the
most obvious effects of the increasing volatility in the small cap market was
the number of postponements or cancellations of corporate issues. Although some
initial public offerings (IPOs) have been successfully completed in recent
weeks, a significant slowing of IPOs and secondaries has taken place. Volatility
in the international small cap market was exacerbated by decreasing trading
volume and an imbalance of sellers and buyers. Looking at the broad market, it
is becoming clear that continuing volatility, particularly in the TMT sectors,
is beginning to refocus investors' attention on fundamentals and earnings
visibility. In short, overall valuation is becoming more important as investors
become more rational.
For the first half, the Ohio National International Small Company Portfolio had
a negative return of 14.22% which underperformed the 4.9% return of the MSCI
World ex-US Small Cap Index. Most of the first half of 2000 has been
characterized by a continuation of the negative trends seen in the beginning of
March. Despite sharp price drops in the TMT sectors, we have found opportunities
in defensive growth areas where volatility is much less. For example, the
increase in gasoline prices prompted us to look at opportunities in the oil
exploration and production sector which have proven to be good investments for
the fund.
A slower US economy implies a weaker dollar, and further recovery for the euro.
Growth in continental Europe should be less affected than other regions by a US
slowdown. In fact, nearly all economic data and surveys show that growth in
Europe is accelerating. A strengthening euro would thus confirm European
investors' current preference for less economically sensitive sectors. After a
dull first half we expect Europe to perform well, as a strengthening euro should
produce more inflows into the region. In Japan, the markets are currently
preparing for a normalization in monetary policy. Central bank governor Masaru
Hayami has indicated on several occasions that the zero interest rate policy
adopted by the Bank of Japan will be brought to an end as soon as the economic
recovery is firmly in place. Following the strong growth in the first quarter
(10% annualized), driven mainly by private demand and exports, this time seems
to be nearing. OPEC's recent decision to raise the output of oil should have
lowered the oil price, but the continued strength increases the risk of
inflationary pressures.
We continue to follow our investment strategy of investing in local consumption
stocks and secondary beneficiaries of global trade. This approach has produced
results over the long-term that reinforce this approach. We expect Europe to
perform better this year than last year. Strong economic indicators,
particularly from Germany, initially give us confidence on an economic recovery
for the region. As such we will maintain our weightings as follows: overweight
Europe, underweight Asia/Pacific and Japan, and underweight Latin America.
---------------
(a) Prior to 5/1/99 the portfolio was known as The Global Contrarian Portfolio.
39
<PAGE> 41
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
INTERNATIONAL SMALL COMPANY
PORTFOLIO (COMMENCED OPERATIONS
MARCH 31, 1995) EAFE
------------------------------- ----
<S> <C> <C>
10000 10000
'97 13407.9 12951.5
13630.5 11765.1
'98 14466.1 13657
14110.2 14028.4
'99 17531.9 14585.4
29422 17811.6
'00 25235.3 17088.5
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Li & Fung LTD 1.23
2. Swisslog Holding AG-R 1.02
3. Kudelski SA Bearer 1.01
4. Pinguely-Haulotte 1.01
5. Matalan PLC 0.97
6. Nippon Thompson Colt 0.97
7. Zeltia SA 0.97
8. Saatchi & Saatchi PLC 0.88
9. Teligent AB 0.83
10. Modern Times Grp 0.75
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Japan 17.71
2. Switzerland 12.64
3. Germany 9.50
4. United Kingdom 8.67
5. Canada 7.63
</TABLE>
The risk associated with investing on a worldwide basis includes differences in
regulation of financial data and reporting and currency exchanges as well as
economic and political systems which may be different from those in the United
States. The prices of small company stocks are generally more volatile than the
prices of large company stocks.
40
<PAGE> 42
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
JAPAN (17.8%)
13,000 Amano Corp. (28)................... $ 144,982
44000 Bunka Shutter Co Ltd. (5).......... 111,901
25,000 Central Glass Co. Ltd. (5)......... 132,577
140,000 Daido Steel Co. Ltd. (24).......... 327,038
18000 Dainippon Pharmaceuitical Co.
(23).............................. 239,740
20,000 *Dainippon Screen Mfg. Co. Ltd.
(11).............................. 190,081
8,000 Daio Paper Corp. (16).............. 79,876
35,000 *Dowa Mining Co. (24).............. 113,738
2,700 Enplas Corp. (11).................. 167,852
82,000 Furukawa Co. Ltd. (20)............. 210,860
42,000 Gunze Ltd. (10).................... 162,992
29,000 *Hino Motors Ltd. (3).............. 105,986
10,000 Hisamitsu Pharmaceuticals Co. Inc.
(23).............................. 153,629
10,000 Hitachi AIC Inc. (11).............. 124,429
32,000 Hitachi Koki Co. Ltd. (11)......... 114,539
41,000 *Kanebo Ltd. (10).................. 126,671
8,000 Kinseki (11)....................... 135,261
5,000 *Kirin Beverage Corp. (15)......... 132,812
1,000 *Kobayashi Pharmaceutical Co. Ltd.
(23).............................. 93,251
300 Kose Corp. (10).................... 96,925
24,000 *Lion Corp. (10)................... 99,242
3,500 Meiwa Esate Co. Ltd. (26).......... 92,309
2,700 Meitec Corp. (9)................... 106,815
3,000 Moritex Corp. (11)................. 272,689
68,000 Nachi-Fujikoshi Corp. (20)......... 128,102
70,000 Nichiei Co Ltd. (14)............... 209,014
40,000 Nichirei Corp. (15)................ 170,301
40,000 Nippon Denko Co. Ltd. (24)......... 64,051
29,000 Nippon Paint Co. Ltd. (7).......... 103,254
4,000 Nippon Sanso Corp. (7)............. 139,029
24,000 Nippon Thompson (20)............... 363,962
4,000 Nitori Co. (27).................... 150,709
68,000 *Renown Inc. (10).................. 99,279
2,000 Right On Co. (27).................. 162,200
1,500 Rock Field Co. (15)................ 78,840
5,000 Santen Pharmaceutical Co. Ltd.
(23).............................. 120,567
1,100 *Sato Corp. (11)................... 29,426
26,000 Seiren Co. Ltd. (10)............... 100,410
42,000 *Seiyu Ltd. (27)................... 178,025
8000 *Showa Denko K.K. (7).............. 117,553
55,000 Toho Gas Co. Ltd. (12)............. 107,239
4,800 Toyo Corp. (11).................... 138,803
75,000 Toyobo Co. Ltd. (10)............... 147,648
500 *Toys R US -- Japan Ltd. (27)...... 84,774
25,000 *Tsugami Corp. (20)................ 124,335
10,000 Uny Co. Ltd. (27).................. 137,993
6 Yoshinoya D&C Co. Ltd. (15)........ 122,074
3,800 Zuken Inc. (9)..................... 110,959
-----------
6,724,742
-----------
SWITZERLAND (12.7%)
75 Bank Sarasin & Cie (4)............. 193,293
117 Bobst AG-Bearer Shares (20)........ 188,461
2,000 *Card-Guard Scientific Survival
Ltd. (23)......................... 95,112
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
SWITZERLAND (CONTINUED)
500 *Distefora Holding AG (9).......... $ 139,601
35 Distronic Holding AG (23).......... 234,099
300 *EMTS Technologie AG (29).......... 20,434
50 ESEC Holding AG (11)............... 123,339
400 Feintool Intl. Holding (20)........ 176,725
335 Geberit Intl. AG (5)............... 112,033
600 Gretag Imaging Group (9)........... 115,608
140 Gretag-Macbeth Holding AG (11)..... 92,781
100 Jelmoli Holdings AG-Bearer (27).... 125,794
4,200 *Jomed (23)........................ 166,232
30 *Kudelski SA Bearer (29)........... 377,750
60 *Kuoni Reisen Holding (13)......... 27,797
464 *Logitech Intl. (9)................ 330,564
550 *Micronas Semiconductor Hldg AG
(11).............................. 307,121
220 Mikron Holding AG (20)............. 162,133
70 OZ Holding AG (14)................. 87,626
67 Phonak Holding AG (29)............. 193,232
520 Reiter Holdings (20)............... 175,498
200 *Saurer AG (20).................... 124,935
200 SEZ Holding AG (11)................ 183,230
176 *Straumann Holding AG (23)......... 264,597
780 Swisslog Holding AG (20)........... 382,904
280 Tecan AG (23)...................... 268,205
120 Unilabs AG (23).................... 128,862
-----------
4,797,966
-----------
GERMANY (9.9%)
250 *ADVA AG Optical Networking (29)... 141,227
565 *Biodata Information Tech. AG
(9)............................... 190,099
1290 *Brokat Infosystems AG (9)......... 98,397
104 *CE Consumer Electronic AG (11).... 13,917
2,601 *Norcom Information Technology
(9)............................... 208,838
5,600 *Datasave AG Information Systems
(9)............................... 101,702
1,125 Dis Deutscher Industrie Services
(28).............................. 134,094
1,900 Elmos Semiconductor AG (11)........ 92,622
942 *Fluxx.com AG (9).................. 43,670
3,200 *GFK AG (22)....................... 155,995
1,000 *GFT Ges Fuer Technologiecon AG
(9)............................... 176,832
3,000 *Girindus AG (23).................. 93,769
1,800 *GPC Biotech AG (23)............... 94,629
1,000 *Heyde AG Beratung (9)............. 155,804
3,700 *Jenoptik AG (21).................. 106,099
4,550 Kamps AG (15)...................... 144,826
1,800 *Kinowelt Medien AG (22)........... 87,747
2,800 *Kontron Embedded Computers AG
(9)............................... 254,256
400 LPKF Lasr & Electronics (11)....... 106,864
1,408 Medion AG (27)..................... 143,197
6,800 *ON Track Innovations Ltd. (29).... 116,671
370 *Pandatel AG (29).................. 43,147
2,700 Pfeifeer Vacuum Techology AG
(20).............................. 106,587
1,700 *Singgulus Technologies AG (20).... 103,671
2,000 *Sinnercrader AG (9)............... 50,660
3,000 *Suess Microtec (29)............... 112,408
1,785 Tecis Holding AG (14).............. 165,501
1,500 *Tellesens AG (9).................. 59,502
</TABLE>
(continued)
41
<PAGE> 43
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
GERMANY (CONTINUED)
1,400 *Tiscon AG Infosystems (9)......... $ 120,571
2,750 *Wedeco AG Water Tech (32)......... 103,829
3,200 Zapf Creation AG (10).............. 195,758
-----------
3,722,889
-----------
UNITED KINGDOM (8.7%)
1,474 *Autonomy Corp. (9)................ 178,354
11,000 *Baltimore Technologies PLC (9).... 84,228
2,700 *Berisford PLC (33)................ 132,846
5,000 *Cambridge Antibody Technology Grp.
(23).............................. 226,679
5,300 Capital Radio PLC (22)............. 123,957
2,200 *Dialog Semiconductor PLC (11)..... 115,658
14,000 Ed & F Man Group PLC (14).......... 111,869
10,000 Eidos PLC (9)...................... 72,780
9,300 *Geo Interactive Media Group PLC
(9)............................... 177,674
8,700 *Glotel PLC (9).................... 98,606
6,300 Guardian IT (28)................... 129,912
22,600 Hit Entertainment PLC (22)......... 149,063
46,500 *Matalan (27)...................... 363,104
4,000 *Orchestream Ltd. (9).............. 19,165
2,800 *Oxford Glycosciences (23)......... 79,603
10,000 Pace Micro Technology PLC (29)..... 144,802
6,500 RM PLC (9)......................... 65,294
51,000 Saatchi & Saatchi PLC (22)......... 328,261
50,000 *Scoot.com PLC (22)................ 116,941
34,000 Securicor PLC (28)................. 70,240
9,000 *Shire Pharmaceuticals Grp PLC
(23).............................. 156,113
5,000 Skillsgroup (9).................... 10,500
45,000 *Skyepharma PLC (23)............... 59,361
53,000 Taylor Nelson (22)................. 211,752
7,216 *Trafficmaster PLC (28)............ 64,991
-----------
3,291,753
-----------
CANADA (8.1%)
5,000 *AGF Management Ltd.-B (4)......... 146,195
2,200 *Air Canada (31)................... 28,969
9,000 *Bonavista Petroleum Ltd. (12)..... 158,012
8,000 *Canadian Hunter Exploration Ltd.
(12).............................. 169,897
2,000 Clearnet Communications Inc.
(29).............................. 55,531
4,500 *Cognicase Inc. (9)................ 82,349
2,700 *Corus Entertainment Inc. Cl B
(22).............................. 72,017
7,000 *Crestar Energy Inc. (12).......... 106,591
9,000 *Datamirror Corp. (9).............. 110,305
1,200 *Descartes Systems Grp Inc. (9).... 35,654
3,000 Diversinet Corp. (9)............... 35,625
2,000 *Four Seasons Hotels Inc. (18)..... 125,194
9,700 *Genesis Exploration Ltd (12)...... 72,051
5,000 *GSI Lumonics Inc. (20)............ 175,231
24,000 *Gulf Canada Res Ltd. (12)......... 111,824
2,200 *Hemosol Inc. (23)................. 21,615
6,000 *Manitoba Telecom Services (29).... 103,113
37,000 *Methanex Corp. (7)................ 123,675
5,800 *Microforum Inc. (9)............... 39
5,900 *Mitel Corp. (29).................. 123,108
22,000 *Mosaic Group Inc. (9)............. 267,405
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
CANADA (CONTINUED)
5,000 *Nova Chemicals Corp. (7).......... $ 105,004
5,600 *Precision Drilling Corp. (12)..... 216,301
4,600 *Quebecor World Inc. (22).......... 110,426
4,700 *Prio Alto Exploration (12)........ 86,009
1,800 *Sierra Wireless (29).............. 97,238
15,800 *SR Telecom Inc. (29).............. 86,420
2,800 *Talisman Energy Inc. (12)......... 92,741
8,000 *Tecsys Inc. (9)................... 70,228
3,000 *Wi-Lan Inc. (29).................. 84,476
-----------
3,073,243
-----------
FRANCE (7.3%)
600 *Alten (9)......................... 92,278
900 *Avenir Telecom (29)............... 180,656
1000 *Club Mediterrance (13)............ 135,635
628 *Egide SA (11)..................... 144,066
6000 *Elior (28)........................ 75,875
400 *Generale Location SA (28)......... 38,215
4,250 *Genesys (9)....................... 184,634
1,200 *Genset SA (23).................... 86,027
3,100 *Group Sonopar (22)................ 151,120
770 Groupe Crit (9).................... 116,289
8,000 *Ifosources (9).................... 115,008
1100 *Ingenico (9)...................... 98,625
5,000 *Integra Net SA (9)................ 44,543
2,400 Ipsos (22)......................... 252,344
1500 Jet Multimedia (9)................. 68,391
1,850 *Pierre & Vacances (13)............ 110,520
18170 Pinguely-Haulotte (20)............. 378,618
900 Radiall SA (29).................... 116,136
3,400 *Remy Cointreau (15)............... 110,659
555 *SOITEC (11)....................... 129,972
10000 *Valtech (9)....................... 124,261
-----------
2,753,872
-----------
HONG KONG (5.7%)
29,000 Asia Satellite Telecom Hldgs
Ltd.(29).......................... 99,139
28,000 ASM Pacific Technology Ltd. (20)... 104,880
7,800 Beijing Enterprises (14)........... 92,052
1,100,000 Beijing North Star Co. (26)........ 108,651
600,000 Beijing Yanhua Pertochemical Co
Ltd. (7).......................... 70,040
262,000 China Everbright Ltd. (14)......... 205,013
600,000 *China Shipping Development Co.
Ltd. (31)......................... 109,292
180,000 Cosco Pacific Ltd. (28)............ 142,003
86,000 Esprit Asia Holdings Ltd. (27)..... 89,358
103,800 Giordano International Ltd. (27)... 157,785
66,000 Great Eagle Holdings (26).......... 104,136
240,000 Huaneng Power Intl. (32)........... 78,506
67,000 Kerry Properties (26).............. 70,905
92,000 Li & Fung Ltd. (10)................ 460,260
132,000 *NG Fung Hong Ltd. (15)............ 70,694
220,000 *Stone Electronic Technology
(11).............................. 51,080
54,000 Wing Hang Bank Ltd. (4)............ 134,383
-----------
2,148,177
-----------
</TABLE>
(continued)
42
<PAGE> 44
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
SWEDEN (4.5%)
5,000 *Arkivator AB (29)................. $ 136,523
7,500 *Aspiro Information AB (9)......... 23,977
19,925 Enea Data AB (9)................... 136,011
6,700 HIQ Intl AB (9).................... 64,791
5,900 *Modern Times Group CL B (22)...... 281,919
1,500 *Partnertech AB (11)............... 22,441
3,750 Proffice AB (28)................... 100,685
30,000 *Readsoft AB (9)................... 184,306
2,800 Sigma AB CL B (9).................. 75,816
9,375 *SwitchCore AB (29)................ 98,126
29,000 *Telelogic AB (9).................. 214,454
15,650 *Teligent AB (29).................. 311,585
2,500 *Utfors AB (29).................... 55,462
-----------
1,706,096
-----------
NETHERLANDS (2.6%)
4,350 *BE Semiconductor Ind. (11)........ 67,982
2,100 Beter Bed Holding (27)............. 63,029
5,000 Buhrmann (28)...................... 143,139
2,600 Fugro (12)......................... 148,491
2,700 Koninlijke Luchtvaart Maatchappij
(31).............................. 72,778
3,000 *Nutreco Holding (15).............. 114,702
6,130 *Ordina Beheer (9)................. 205,078
3,850 *Versatel Telecom Intl. (29)....... 161,921
-----------
977,120
-----------
NORWAY (2.3%)
8,500 Bergesen D Y ASA-B (31)............ 163,172
10,250 *Frontline Ltd. (31)............... 125,595
6,000 *Norman ASA (9).................... 98,025
23,000 *Nutri Pharma ASA (23)............. 106,019
900 *Opticom ASA (9)................... 96,730
9,100 *Prosafe ASA (12).................. 134,867
6,000 *Tandberg ASA (29)................. 143,187
-----------
867,595
-----------
FINLAND (2.1%)
6,700 *Amer Yhtymae OYJ CL A (10)........ 184,441
5,000 *Elcoteq Network Corp. CL A (29)... 109,684
1,117 *Nokian Renkaat (3)................ 30,963
32,320 JOT Automation Group OYJ (11)...... 215,943
7,000 *Perlos OYJ (11)................... 221,470
3,700 *Tecnomen OYJ (29)................. 31,830
-----------
794,331
-----------
SINGAPORE & MALAYSIAN (2.1%)
29,000 *Datacraft Asia Ltd. (29).......... 255,200
75,000 JIT Holdings Ltd. (29)............. 131,038
93,000 Keppel Telecom & Transport (29).... 120,521
56,000 Keppel Land Ltd. (26).............. 74,191
26,000 Sembcorp Logistics Ltd. (28)....... 145,907
-----------
726,857
-----------
DENMARK (1.9%)
3,000 Danisco A/S (15)................... 100,340
4,000 DSV De Sammensluttede Vognmad
(31).............................. 89,704
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
DENMARK (CONTINUED)
1,000 Groupe 4 Falck A/S (28)............ $ 152,497
1,700 *Neurosearch A/S (23).............. 132,890
6,600 Vestas Wind Systems A/S (11)....... 242,739
-----------
718,170
-----------
SOUTH KOREA (1.9%)
1,000 Cheil Communications Inc. (22)..... 130,490
9,800 Daeduck Electronics Co. (11)....... 99,316
0 *Handysoft Corp. (11).............. 6
3,700 Hite Brewery Co Ltd. (15).......... 162,597
15,000 Honam Petrochemical (7)............ 100,491
1,700 LG AD Inc. (22).................... 108,401
4,625 Ssangyong Oil Refining (12)........ 111,163
-----------
712,464
-----------
SPAIN (1.7%)
3,310 *Abengoa SA (6).................... 89,063
6,600 *Radiotronica SA (29).............. 117,277
4,500 Telecomunicaiones Y Energia (3).... 73,381
6,000 Zeltia S.A. (23)................... 361,311
-----------
641,032
-----------
ITALY (1.2%)
16,000 *Bayerische Vita Spa (4)........... 137,184
6,250 Brembo Spa (3)..................... 64,520
1,800 *Ericsson Spa (29)................. 105,124
4,900 *Ferretti Spa (10)................. 12,833
16,000 *Marzotto Spa (10)................. 130,760
-----------
450,421
-----------
AUSTRALIA (0.9%)
14,000 AAPT Ltd. (29)..................... 45,890
42,000 Amcom Telecommunications Ltd.
(29).............................. 39,191
18,000 ERG Ltd. (29)...................... 139,644
21,900 Secure Network Solutions Ltd.
(9)............................... 120,777
-----------
345,502
-----------
ISRAEL (0.7%)
7,000 Ampal-American Israel Co. CL A
(14).............................. 105,000
1,600 BATM Advanced Technology (9)....... 139,920
700 *Oridion Systems Ltd. (23)......... 18,513
-----------
263,433
-----------
LUXEMBOURG (0.3%)
1,200 *Theil Logistik AG (31)............ 113,555
-----------
HUNGARY (0.3%)
2,600 Egis Gyogyszergyar (23)............ 108,921
-----------
NEW ZEALAND (0.2%)
86,000 Air New Zealand Ltd. CL B (31)..... 87,534
-----------
AUSTRIA (0.1%)
1,000 Sanochemia Pharmazeutika AG (15)... 50,651
-----------
TOTAL FOREIGN COMMON STOCK (93.0%)
(COST $30,104,724)................ $35,076,324
-----------
</TABLE>
(continued)
43
<PAGE> 45
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (0.4%)
$ 149,000 State Street Bank 8.125% due
07/03/00 repurchase price $149,125
collateralized by U.S. Treasury
Bond due 08/15/21 (Cost
$149,000)......................... $ 149,000
-----------
TOTAL REPURCHASE AGREEMENTS (0.4%)
(COST $149,000)................... $ 149,000
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
TOTAL HOLDINGS (93.4%)
(COST $30,253,724)(a)............. $35,225,324
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (6.6%)................ 2,485,462
-----------
TOTAL NET ASSETS (100.0%).......... $37,710,786
===========
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
PLC Public limited company.
(a) Represents cost for financial reporting purposes and differs from cost
basis for federal income tax basis. See note 1.
Industry Classifications
<TABLE>
<C> <S>
(1) Aerospace
(2) Appliances & Household Durables
(3) Automotive
(4) Banking
(5) Building/Construction
(6) Capital Goods
(7) Chemicals
(8) Communications
(9) Computer Products
(10) Consumer Products
(11) Electrical & Electronics
(12) Energy and Oil
(13) Entertainment & Leisure
(14) Finance
(15) Food & Beverage
(16) Forest & Paper Products
(17) Governmental
(18) Hotels
(19) Insurance
(20) Machinery
(21) Manufacturing
(22) Media & Publishing
(23) Medical & Health Care
(24) Metal & Mining
(25) Plastics
(26) Real Estate
(27) Retailing
(28) Services
(29) Telecommunications
(30) Textile
(31) Transportation
(32) Utilities
(33) Diversified
(34) Miscellaneous
</TABLE>
The accompanying notes are an integral part of these financial statements.
44
<PAGE> 46
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (A)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $30,253,727)............. $35,225,324
Cash in bank.............................. 385,090
Unrealized gain on forward currency
contracts (note 5)...................... 232
Receivable for securities sold............ 2,257,141
Receivable for fund shares sold........... 484,440
Dividends and accrued interest
receivable.............................. 52,723
Other..................................... 46,153
-----------
Total assets............................ 38,451,103
-----------
Liabilities:
Unrealized loss on forward currency
contracts (note 5)...................... 5,119
Payable for securities purchased.......... 605,455
Payable for fund shares redeemed.......... 70
Payable for investment management services
(note 3)................................ 31,114
Other accrued expenses.................... 98,559
-----------
Total liabilities....................... 740,317
-----------
Net assets at market value.................. $37,710,786
===========
Net assets consist of:
Par value, $1 per share................... $ 2,178,720
Paid-in capital in excess of par value.... 24,814,511
Accumulated net realized gain on
investments (note 1).................... 5,739,626
Net unrealized appreciation (depreciation)
on:
Investments (note 1).................... 4,971,597
Foreign currency related transactions... 11,219
Forward currency contracts (note 5)..... (4,887)
-----------
Net assets at market value.................. $37,710,786
===========
Shares outstanding (note 4)................. 2,178,720
Net asset value per share................... $ 17.31
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 19,912
Dividends (net of $12,915 foreign taxes
withheld)............................... 118,953
-----------
Total investment income................. 138,865
-----------
Expenses:
Management fees (note 3).................. 208,761
Accounting, custody, and transfer agent
fees (note 3)........................... 137,446
Directors' fees (note 3).................. 557
Professional fees......................... 3,969
Printing, postage, and proxy fees......... 2,715
Other..................................... 731
-----------
Total expenses.......................... 354,179
-----------
Net investment loss..................... $ (215,314)
-----------
Realized and unrealized gain (loss) on
investments and foreign currency:
Net realized gain (loss) from:
Investments............................. $ 5,708,000
Forward currency related transactions... (188,635)
Net increase (decrease) in unrealized
appreciation (depreciation) on:
Investments........................... (11,826,346)
Foreign currency related
transactions....................... 18,966
-----------
Net gain on investments............... (6,288,015)
-----------
Net increase in net assets from
operations......................... $(6,503,329)
===========
</TABLE>
---------------
(a) Prior to 5/1/99 the portfolio was known as the Global Contrarian Portfolio.
The accompanying notes are an integral part of these financial statements.
45
<PAGE> 47
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (c)
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment (loss)..................................... $ (215,314) $ (355,952)
Realized gain on investments and foreign currency
transactions............................................ 5,519,365 3,593,770
Unrealized appreciation (depreciation) on investments and
foreign currency transactions........................... (11,807,380) 17,793,576
------------ -----------
Net increase (decrease) in net assets from
operations........................................... (6,503,329) 21,031,394
------------ -----------
Dividends and distributions to shareholders:
Capital gains and foreign currency related transaction
distributions........................................... (164,038) (3,775,161)
------------ -----------
From capital share transactions (note 4):
Received from shares sold................................. 19,072,196 6,574,950
Received from dividends reinvested........................ 164,038 3,775,161
Paid for shares redeemed.................................. (13,004,708) (9,277,931)
------------ -----------
Increase (decrease) in net assets derived from capital
share transactions................................... (6,231,526) 1,072,180
------------ -----------
Increase (decrease) in net assets.................. (435,841) 18,328,413
Net Assets:
Beginning of period....................................... 38,146,627 19,818,214
------------ -----------
End of period............................................. $ 37,710,786 $38,146,627
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $20.25 $10.76 $11.73 $11.66 $10.80
Income from investment operations:
Net investment income (loss).............................. (2.10) (0.20) 0.29 0.29 0.28
Net realized & unrealized gain (loss) on investments &
foreign currency transactions........................... (2.76) 11.81 0.12 1.03 1.00
------ ------ ------ ------ ------
Total income (loss) from investment operations.......... (2.86) 11.61 0.42 1.32 1.28
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 0.00 (0.29) (0.38) (0.24)
Distributions from net realized capital gains & foreign
currency related transactions........................... (0.08) (2.12) (1.10) (0.87) (0.18)
------ ------ ------ ------ ------
Total distributions..................................... (0.08) (2.12) (1.39) (1.25) (0.42)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $17.31 $20.25 $10.76 $11.73 $11.66
====== ====== ====== ====== ======
Total return................................................ (14.22)%(b) 108.51% 3.53% 11.67% 12.09%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.71%(a) 2.06% 1.30% 1.32% 1.29%
Ratio of net investment income (loss) to average net
assets.................................................. 1.04%(a) 2.48% 2.33% 2.44%
Portfolio turnover rate..................................... 132% 314% 55% 29% 18%
Net assets at end of period (millions)...................... $ 37.7 $ 38.1 $ 19.8 $ 18.0 $ 11.3
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) Prior to 5/1/99 the portfolio was known as the Global Contrarian Portfolio.
The accompanying notes are an integral part of these financial statements.
46
<PAGE> 48
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
OBJECTIVE
The principal investment objective of the Aggressive Growth Portfolio is to seek
capital growth. The portfolio invests in a diversified collection of securities
believed to represent attractive growth opportunities.
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
TOTAL RETURNS:
One-year 2.22%
Three-year 3.86%
Five-year 6.44%
Since inception (3/31/95) 8.14%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The first six months of the year were characterized by volatility in the
financial markets, triggered by concerns over the direction of interest rates.
In June, however, investors welcomed reports suggesting economic growth was
moderating. In view of this, at their June meeting Fed policymakers held rates
steady. At the same time, they warned the economy was still growing at a pace
that threatened rising inflation and, therefore, would not rule out additional
rate hikes. This admonishment, together with a host of weak corporate earnings
announcements, combined to push stock prices lower across the board.
Against this hostile backdrop, the Portfolio lagged its benchmark, the Russell
2500 Index, declining 6.62% while the Russell 2500 gained 5.69%. Nonetheless,
the fundamentals of a number of our holdings strengthened during the period. JDS
Uniphase, for instance, was a stellar performer. This manufacturer of photonic
components continues to see tremendous demand for its products as
telecommunications and cable operators deploy its offerings to expand
fiber-optic capacity. VERITAS, a relatively new position in the Portfolio, also
enhanced our results. As a leader in storage management software, VERITAS is
benefiting from the explosion of data created by companies' computer systems.
As for disappointments, while we remain excited about the synergies that will be
created once America Online's (AOL's) acquisition of Time Warner is approved, we
opted to take profits in AOL because the combined company would have comprised
an outsized position in the Portfolio.
Looking ahead, it is unclear whether recent signs of an economic slowdown will
be enough to appease the Federal Reserve and allay their fears of inflation.
That being the case, near-term market volatility will most likely persist.
Nevertheless, we will continue to do what we have always done, whether the
economy is growing or slowing: look for outstanding opportunities on a
company-by-company basis as we vigilantly monitor our existing holdings to
ensure our expectations are being met.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO
(COMMENCED OPERATIONS MARCH 31,
1995) RUSSELL 2500 INDEX
------------------------------- ------------------
<S> <C> <C>
10000 10000
'97 13448.8 16240
14395.6 18153
'98 15547.3 19180.5
15524 18359.6
'99 14740 20357.1
16417.4 22793.9
'00 15066.3 24088.5
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Nokia Corp-Spon ADR 6.35
2. Verisign Inc 5.97
3. Veritas Software 3.77
4. Sun Microsystems Inc 3.41
5. JDS Uniphase 3.15
6. Cisco Systems Inc 2.81
7. I2 Technologies Inc 2.35
8. Art Technology Group 2.02
9. Vodafone AirTouch 1.82
10. Xilinx Inc 1.80
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 15.93
2. Communications 10.28
3. Electrical Equipment 6.03
4. Retail 4.15
5. Medical & Related 3.88
</TABLE>
The prices of small company stocks are generally more volatile than the prices
of large company stocks.
47
<PAGE> 49
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
ADVERTISING (0.2%)
1,145 *DoubleClick Inc. ................. $ 43,653
-----------
AUTOMOTIVE & RELATED (1.0%)
6,995 Harley-Davidson Inc. .............. 269,308
-----------
BANKING (1.3%)
7,595 Firstar Corp. ..................... 159,970
6,755 Washington Mutual Inc. ............ 195,051
-----------
355,021
-----------
BROADCAST & CABLE TV (5.1%)
4,000 *Clear Channel Communications...... 300,000
6,300 *Comcast Corp. CL A................ 255,150
5,300 *Cox Communications Inc. CL A...... 241,481
6,500 *Echostar Communications........... 215,211
5,100 Time Warner Inc. .................. 387,600
-----------
1,399,442
-----------
COMMUNICATIONS (1.3%)
5,800 *Nextel Communications Inc. ....... 354,888
-----------
COMPUTER & RELATED (14.3%)
2,000 *Brocade Communications Systems.... 366,969
11,800 *Cisco Systems Inc. ............... 750,038
4,855 Symbol Technologies Inc. .......... 262,170
10,000 *Sun Microsystems Inc. ............ 909,375
9,016 *Verisign Inc. .................... 1,591,324
-----------
3,879,876
-----------
COMPUTER SOFTWARE (8.8%)
6,000 *I2 Technologies Inc. ............. 625,594
3,700 *Oracle Corp. ..................... 311,031
4,300 *TIBCO Software Inc. .............. 461,108
8,900 *Veritas Software Corp. ........... 1,005,839
-----------
2,403,572
-----------
CONSUMER PRODUCTS (1.8%)
5,605 Colgate-Polmolive Co. ............. 335,599
3,815 Nike Inc. CL B..................... 151,885
-----------
487,484
-----------
ELECTRONICS/SEMICONDUCTOR (8.9%)
4,000 *Applied Material Inc. ............ 362,500
3,000 *Conexant Systems Inc. ............ 145,875
7,000 *JDS Uniphase Corp. ............... 839,125
6,000 Texas Instruments Inc. ............ 412,125
5,467 *Vishay Intertechnology Inc. ...... 207,404
5,800 *Xilinx Inc. ...................... 478,862
-----------
2,445,891
-----------
FINANCIAL SERVICES (0.8%)
12,490 *E*Trade Group Inc. ............... 206,085
-----------
FOOD & RELATED (1.0%)
12,000 *Kroger Co. ....................... 264,750
-----------
HOTEL & LODGING (1.1%)
8,910 MGM Grand Inc. .................... 286,234
-----------
INSTRUMENTS-SCIENTIFIC (1.3%)
5,000 PE-Corp. PE Biosystems Grp......... 329,375
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
INTERNET SOFTWARE & SERVICES (5.9%)
5,555 *America Online Inc. .............. $ 293,026
5,330 *Art Technology Group Inc. ........ 537,997
1,110 *Inktomi Corp. .................... 131,258
1,275 *Macromedia Inc. .................. 123,276
5,500 *Priceline.com Inc. ............... 208,914
2,160 *Yahoo! Inc. ...................... 267,570
-----------
1,562,041
-----------
MEDICAL & RELATED (4.6%)
1,620 *Abgenix Inc. ..................... 194,172
1,915 *Celera Genomics Group............. 179,053
2,110 *Genetach Inc. .................... 362,920
6,620 Pfizer Inc. ....................... 317,760
3,260 Pharmacia Corp. ................... 168,501
-----------
1,222,406
-----------
NETWORK PRODUCTS (0.9%)
1,350 *Juniper Networks Inc. ............ 196,509
440 *ONI System Corp. ................. 51,569
-----------
248,078
-----------
PUBLISHING-NEWSPAPERS (0.5%)
3,285 New York Times Co. CL A............ 129,757
-----------
RETAIL (4.1%)
10,000 GAP Inc. .......................... 312,500
4,000 Home Depot Inc. ................... 199,750
2,595 Tiffany & Co. ..................... 175,162
12,810 Walgreen Co. ...................... 412,322
-----------
1,099,734
-----------
TELECOMMUNICATIONS & CELLULAR (0.3%)
975 *Level 3 Communications Inc. ...... 85,800
-----------
WIRELESS EQUIPMENT (1.3%)
1,670 *Aether Systems Inc. .............. 342,350
-----------
TOTAL U.S. COMMON STOCK (64.5%)
(COST $17,245,624)................ $17,415,745
-----------
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
FINLAND (6.4%)
COMMUNICATIONS (6.4%)
33,900 Nokia Corp-Spon ADR................ $ 1,692,881
-----------
GERMANY (0.7%)
COMMUNICATIONS (0.7%)
7 *NTT Moblie........................ 189,884
-----------
ISRAEL (1.0%)
COMPUTER & RELATED (1.0%)
1,245 *Check Point Software Technology... 263,629
-----------
MEXICO (1.4%)
BROADCAST RADIO & TV (1.3%)
5,155 *Grupo Televisa SA SP GDR.......... 355,373
-----------
NETHERLANDS (0.6%)
COMPUTER & RELATED (0.6%)
3,540 *ASM Lithography Holdings.......... 156,202
-----------
</TABLE>
(continued)
48
<PAGE> 50
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
SOUTH KOREA (0.9%)
TELECOMMUNICATIONS & CELLULAR (0.9%)
6,705 SK Telecom Co. Ltd. ............... $ 243,475
-----------
SPAIN (1.0%)
TELECOMMUNICATIONS & CELLULAR (1.0%)
4,090 *Telefonica SP-ADR................. 262,016
-----------
TAIWAN (1.1%)
ELECTRONICS/SEMICONDUCTORS (1.1%)
7,600 Taiwan Semiconductors ADR.......... 294,975
-----------
UNITED KINGDOM (5.9%)
COMMUNICATIONS (3.3%)
109,576 Vodafone Airtouch PLC.............. 442,917
11,710 Vodafone Airtouch PLC-SP ADR....... 485,233
-----------
928,150
-----------
COMPUTER & RELATED (2.2%)
2,700 *Colt Telecom Group SP-ADR......... 366,188
5,200 *Psion PLC......................... 251,519
-----------
617,707
-----------
ELECTRONIC/SEMICONDUCTORS (0.4%)
2,300 *Bookham Technology................ 136,275
-----------
TOTAL UNITED KINGDOM............... 1,682,132
-----------
TOTAL FOREIGN COMMON STOCK (19.0%)
(COST $1,381,893)................. $ 5,140,567
-----------
TOTAL COMMON STOCK (83.5%)
(COST $21,219,504)................ $22,556,312
-----------
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
COMPUTER & RELATED (0.5%)
$ 157,000 E-Trade Group
6.000% 02/01/07.................... $ 142,281
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (1.7%)
$ 225,000 Level 3 Communications Inc. 0.000%
03/15/08.......................... $ 223,875
250,000 Level 3 Communications Inc. 6.000%
03/15/10.......................... 226,250
-----------
450,125
-----------
TOTAL LONG-TERM NOTES (2.2%)
(COST $586,477)................... $ 592,406
-----------
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (12.6%)
Federal Home Mortgage Corp.
5.950% 07/03/00.................... $ 3,398,759
-----------
TOTAL SHORT-TERM NOTES (12.6%)
(COST $3,398,759)................. $ 3,398,759
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (0.4%)
$ 106,000 Firstar 4.250% 07/03/00 repurchase
price $106,037 collateralized by
GNMA certificates pool # 280329
due 10/01/29 (Cost $106,000)...... $ 106,000
-----------
TOTAL REPURCHASE AGREEMENTS (0.4%)
(COST $106,000)................... $ 106,000
-----------
TOTAL HOLDINGS (98.7%) (COST
$25,310,740)(A)................... $26,653,477
-----------
CASH AND RECEIVABLES, NET OF
LIABILITIES (1.3%)................ 373,851
-----------
TOTAL NET ASSETS (100.0%).......... $27,027,328
===========
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Represents cost for financial reporting purposes and differs from cost
basis for federal income tax basis. See note 1.
The accompanying notes are an integral part of these financial statements.
49
<PAGE> 51
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $25,310,740)............. $26,653,477
Cash in bank.............................. 601
Receivable for fund shares sold........... 322,105
Receivable for fund shares sold........... 67,135
Dividends and accrued interest
receivable.............................. 19,420
Variation margin on futures contracts
(note 1)................................ 6,909
Other..................................... 636
-----------
Total assets............................ 27,070,283
-----------
Liabilities:
Payable for securities purchases.......... 16,329
Payable for fund shares redeemed.......... 120
Payable for investment management services
(note 3)................................ 17,318
Other accrued expenses.................... 9,188
-----------
Total liabilities....................... 42,955
-----------
Net assets at market value.................. $27,027,328
===========
Net assets consist of:
Par value, $1 per share................... $ 2,445,447
Paid-in capital in excess of par value.... 24,411,246
Accumulated net realized gain (loss) on:
Investments (note 1)...................... (1,216,066)
Futures contracts......................... 39,721
Net unrealized appreciation on:
Investments (note 1)...................... 1,342,737
Futures contracts (note 1)................ 4,243
-----------
Net assets at market value.................. $27,027,328
===========
Shares outstanding (note 4)................. 2,445,447
Net asset value per share................... $ 11.05
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 77,080
Dividends................................. 16,864
-----------
Total investment income................. 93,944
-----------
Expenses:
Management fees (note 3).................. 100,544
Custodian fees (note 3)................... 2,412
Directors' fees (note 3).................. 339
Professional fees......................... 3,913
Accounting and transfer agent fees........ 9,001
Other..................................... 2,141
-----------
Total expenses.......................... 118,350
-----------
Net investment loss..................... $ (24,406)
-----------
Realized and unrealized gain (loss) on
investments:
Net realized gain from:
Investments............................. $ 1,332,374
Futures contracts....................... 39,721
Net increase (decrease) in unrealized
appreciation (depreciation) on:
Investments............................. (3,072,548)
Futures contracts....................... 4,243
-----------
Net loss on investments................. (1,696,210)
-----------
Net decrease in net assets from
operations............................ $(1,720,616)
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
50
<PAGE> 52
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (24,406) $ (75,692)
Realized gain (loss) on investments and futures
contracts............................................... 1,372,095 (2,241,204)
Unrealized appreciation (depreciation) on investments and
futures contracts....................................... (3,068,305) 3,175,859
----------- -----------
Net increase (decrease) in net assets from
operations........................................... (1,720,616) 858,963
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 6,955,878 3,879,661
Paid for shares redeemed.................................. (1,532,014) (7,861,693)
----------- -----------
Increase (decrease) in net assets derived from capital
share transactions................................... 5,423,864 (3,982,032)
----------- -----------
Increase (decrease) in net assets.................. 3,703,248 (3,123,069)
Net Assets:
Beginning of period....................................... 23,324,080 26,447,149
----------- -----------
End of period............................................. $27,027,328 $23,324,080
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------------
(UNAUDITED) 1999 1998 1997 1996
---------------- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $11.79 $11.15 $11.09 $10.03 $11.84
Income (loss) from investment operations:
Net investment income (loss).............................. (0.01) (0.03) (0.01) (0.05) 1.64
Net realized and unrealized gain (loss) on investments.... (0.73) 0.67 0.88 1.29 (1.59)
------ ------ ------ ------ ------
Total income from investment operations................. (0.74) 0.64 0.87 1.24 0.05
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 0.00 0.00 (0.14) (1.86)
Distributions from net realized capital gains............. 0.00 0.00 (0.81) (0.04) 0.00
------ ------ ------ ------ ------
Total distributions..................................... 0.00 0.00 (0.81) (0.18) (1.86)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $11.05 $11.79 $11.15 $11.09 $10.03
====== ====== ====== ====== ======
Total return................................................ (6.62)%(b) 5.76% 7.84% 12.53% 0.76%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.92%(a) 0.95% 0.94% 0.97% 1.01%
Ratio of net investment income (loss) to average net
assets.................................................. (0.19)%(a) (0.32)% (0.09)% (0.40)% 15.81%
Portfolio turnover rate..................................... 119% 241% 203% 193% 1987%
Net assets at end of period (millions)...................... $ 27.0 $ 23.3 $ 26.4 $ 19.9 $ 12.0
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
51
<PAGE> 53
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
OBJECTIVE
The objective of the Core Growth Portfolio is to provide long-term capital
appreciation.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 105.24%
Three-year 37.70%
Since inception (1/3/97) 31.89%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The Ohio National Fund Core Growth Portfolio returned 21.77% for the first half,
2000. This compares with the Russell Mid Cap Growth Index return of 12.14% over
the same period.
The most significant event for the equity markets during the first half of 2000
was volatility. Whether it was caused by an aggressively restrictive Federal
Reserve or valuation levels that were unsustainable by mid-March, volatility
ruled the day. This was especially evident in the technology sector that
experienced both the biggest run up over the last 18 months and the biggest
correction during the two month sell-off. Overall though, the first half of 2000
turned out to be a very good period for reasons other than just performance.
First, fundamentals of many aggressive growth companies continued to be strong
and actually improved throughout the half. Second, rational thinking returned to
the market. Investors began to scrutinize business models and we are now passed
the days when companies attained stratospheric valuations with only a semblance
of a business strategy, no real track record, and no visible path to
profitability. We believe this is not only healthy for the stock market in the
long run, but necessary in order for those companies that possess improving
fundamentals and executed business plans to come to the forefront.
Several factors led to the favorable results in the first half. First, growth
stocks outperformed value stocks across mid and large capitalization stocks.
This is evidenced by the return of the Russell Mid Cap Growth Index of 12.1% vs.
-0.7% for the Russell Mid Cap Value Index. Second, we were overweighted the
Technology and Energy sectors when they had among the best returns in the
market. Third, the individual stocks in the Technology and Health Care sectors
of the Fund outperformed the stocks held in the benchmark. And lastly, the
companies in the Fund experienced a minimal number of earnings disappointments
this year.
The Fund continues to have a large weighting in Technology, representing nearly
62% of the total. Health Care and Energy represent the next largest areas of
focus as the Consumer and Services sectors have declined. The portfolio is
dominated by fewer sectors today than historically. This reflects an economy
that is very narrow in its underlying strengths. For these reasons, the Fund is
potentially more volatile than prior quarters. Having said that, it would be
tough to imagine a six-month period more volatile than what we just experienced.
As other sectors become more attractive we will attempt to provide more
diversification.
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
CORE GROWTH PORTFOLIO (COMMENCED
OPERATIONS JANUARY 3, 1997) RUSSELL 3000 INDEX
-------------------------------- ------------------
<S> <C> <C>
10000 10000
'98 11069.1 15145.8
10546.7 16312
'99 12823.7 18165.1
21615.6 21959.7
'00 26319.2 22168.4
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Verisign, Inc 3.99
2. Redback Networks 3.85
3. MRV Communications 3.03
4. Art Tech Group 2.97
5. Globalspan Inc 2.86
6. Newport Corporation 2.82
7. Extreme Networks Inc 2.55
8. Vitria Technology 2.42
9. Teva Pharmaceutical 2.37
10. Infospace 2.24
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 17.53
2. Internet Software 10.59
3. Medical & Related 8.72
4. Electronics Components SE 8.67
5. Telecommunications & Cellular 7.46
</TABLE>
52
<PAGE> 54
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
ADVERTISING (1.8%)
16,500 *Getty Images Inc. ................... $ 611,531
4,300 *Lamar Advertising Co. ............... 186,244
-----------
797,775
-----------
AUDIO VIDEO (1.0%)
4,500 *Polycom Inc. ........................ 423,422
-----------
BANKING (0.6%)
9,300 Bank One Corp. ....................... 247,031
-----------
BROADCAST RADIO & TV (0.7%)
2,900 *Univision Communications ............ 300,150
-----------
CAPACITORS (0.7%)
12,600 *Kemet Corp. ......................... 315,787
-----------
COMMERCIAL SERVICES (1.1%)
9,300 *Convergys Corp. ..................... 482,437
-----------
COMPUTER & RELATED (5.7%)
9,400 *Bea Systems.......................... 464,712
5,100 *Brocade Comm. Systems................ 935,770
4,000 *Mercury Interactive Corp............. 387,000
5,000 *Sandisk Corp......................... 305,937
600 *Storagenetworks Inc.................. 54,150
3,150 *Veritas Software Corp. .............. 355,999
-----------
2,503,568
-----------
COMPUTER SOFTWARE (2.1%)
3,600 *Micromuse Inc. ...................... 595,744
5,600 *Quest Software Inc................... 310,100
-----------
905,844
-----------
DRUGS (5.7%)
15,500 *Celgene Corp. ....................... 912,563
2,400 *Incyte Pharmaceutical ............... 197,250
10,000 *Medics Pharmaceutical ............... 570,000
11,400 *Medimmune Inc. ...................... 843,600
-----------
2,523,413
-----------
ELECTRONICS/SEMICONDUCTORS (9.0%)
7,700 *Atmel Electronic Co. ................ 358,050
5,200 *Celestica Inc. ...................... 258,050
10,900 *Cypress Semiconductor Corp. ......... 460,525
10,200 *Globalspan Inc. ..................... 1,245,197
3,200 *QLogic Corp. ........................ 211,400
8,000 *Triqunit Semiconductor............... 765,500
7,700 *Xilinx Inc. ......................... 635,731
-----------
3,934,453
-----------
ENTERTAINMENT & LEISURE (0.7%)
12,800 *Premier Parks........................ 291,200
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
FIBER OPTICS (8.8%)
3,800 *C-Cor.Net Corp. ..................... $ 102,600
2,700 *Ciena Corp. ......................... 450,056
9,600 *Finisar Corp. ....................... 251,400
6,600 *JDS Uniphase Corp. .................. 791,175
19,600 *MRV Communications .................. 1,318,100
1,500 *SCL Inc. ............................ 427,781
4,900 *Sycamore Networks Inc. .............. 540,838
-----------
3,881,950
-----------
INSTRUMENTS/CONTROL (7.8%)
10,600 *Credence Systems Corp. .............. 584,988
9,500 *Cytyc Corp. ......................... 507,062
20,900 *Mettler-Toledo Intl. ................ 836,000
5,100 *Microchip Technologies .............. 297,155
11,400 *Newport Corp. ....................... 1,224,075
-----------
3,449,280
-----------
INTERNET & RELATED (8.6%)
7,200 *Ariba Inc. .......................... 705,938
7,800 *China.com Corp. ..................... 159,413
17,600 *Infospace.com ....................... 972,400
13,500 *Rare Medium Group ................... 213,469
9,820 *Verisign Inc. ....................... 1,733,230
-----------
3,784,450
-----------
INTERNET SOFTWARE (10.6%)
12,800 *Art Tech Group....................... 1,292,000
7,300 *Commerce One Inc. ................... 331,352
6,300 *Clarent Corp. ....................... 450,450
19,100 *Niku Corp. .......................... 644,625
16,800 *Vignette Corp. ...................... 873,862
17,200 *Vitria Technology Inc. .............. 1,051,350
-----------
4,643,639
-----------
MEDICAL & RELATED (0.6%)
11,800 *Allscripts Inc. ..................... 271,400
-----------
NETWORK PRODUCTS (10.2%)
3,100 *Emulex Corp. ........................ 203,631
10,500 *Extreme Networks Inc. ............... 1,107,750
2,800 *Foundry Networks Inc. ............... 309,400
4,800 *Juniper Networks Inc. ............... 698,700
9,400 *Redback Networks .................... 1,673,200
3,000 *Turnstone Systems ................... 497,016
-----------
4,489,697
-----------
RETAIL (2.0%)
4,900 Tiffany & Co. ........................ 330,750
14,500 *Zale Corp. .......................... 529,350
-----------
860,000
-----------
</TABLE>
(continued)
53
<PAGE> 55
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
OIL, ENERGY & NATURAL GAS (8.8%)
6,900 *BJ Services Co. ..................... $ 431,250
4,900 Baker Hughs Inc. ..................... 156,800
12,100 *Cooper Cameron Corp. ................ 798,600
12,600 Diamond Offshore Drilling ............ 442,575
21,600 Ensco International .................. 773,550
13,000 EOG Resources Inc. ................... 435,500
13,900 *Global Marine Inc. .................. 391,806
12,100 Santa Fe International ............... 422,744
-----------
3,852,825
-----------
TELECOMMUNICATIONS & WIRELESS (5.2%)
6,600 *Advanced Fibre Communications ....... 299,062
57,000 *Ditech Communications Corp. ......... 539,006
2,300 *Natural Microsystems Corp. .......... 258,606
6,800 Netro Corp. .......................... 390,150
3,300 *Sonus Networks Inc. ................. 520,988
5,600 *Tekelec ............................. 269,850
-----------
2,277,662
-----------
TOTAL U.S. COMMON STOCK (91.7%) (COST
$30,231,365)......................... $40,235,983
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
ISRAEL (4.2%)
COMPUTER & RELATED (1.1%)
2,200 *Check Point Software................ $ 465,850
MEDICAL & RELATED (2.3%)
18,600 Teva Pharmaceutical.................. 1,031,138
-----------
TELECOMMUNICATIONS (0.8%)
2,800 *Audiocodes Ltd. .................... $ 336,000
-----------
TOTAL ISRAEL......................... 1,832,988
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
IRELAND (1.0%)
EDUCATIONAL SOFTWARE (1.1%)
9,800 *Smartforce PLC SP ADR .............. 470,400
-----------
TOTAL FOREIGN COMMON STOCK (5.3%)
(COST $1,482,326)................... $ 2,303,388
-----------
TOTAL COMMON STOCK (97.0%) (COST
$31,713,691)........................ $42,539,371
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (2.1%)
$933,000 Firstar 4.250% 07/03/00 repurchase
price $933,326 collateralized by
GNMA certificates pool # 280329 due
10/01/29 (Cost $933,000)............ $ 933,000
-----------
TOTAL SHORT-TERM NOTES (2.1%) (COST
$933,000)........................... $ 933,000
-----------
TOTAL HOLDINGS (99.1%) (COST
$32,646,691) (a).................... $43,472,371
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (0.9%).................. 414,366
-----------
TOTAL NET ASSETS (100.0%)............ $43,886,737
===========
</TABLE>
---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes. See Note 1.
The accompanying notes are an integral part of these financial statements.
54
<PAGE> 56
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $32,646,690)............. $43,472,371
Cash in bank.............................. 127
Receivable for securities sold............ 608,022
Receivable for fund shares sold........... 45,847
Dividends and accrued interest
receivable.............................. 4,546
Other..................................... 6,631
-----------
Total assets............................ 44,137,544
-----------
Liabilities:
Payable for securities purchased.......... 193,341
Payable for fund shares redeemed.......... 22,017
Payable for investment management services
(note 3)................................ 31,169
Other accrued expenses.................... 4,280
-----------
Total liabilities....................... 250,807
-----------
Net assets at market value.................. $43,886,737
===========
Net assets consist of:
Par value, $1 per share................... $ 2,160,026
Paid-in capital in excess of par value.... 24,889,997
Accumulated net realized gain on
investments (note 1).................... 6,011,033
Net unrealized appreciation on investments
(note 1)................................ 10,825,681
-----------
Net assets at market value.................. $43,886,737
===========
Shares outstanding (note 4)................. 2,160,026
Net asset value per share................... $ 20.32
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 26,210
Dividends................................. 10,518
-----------
Total investment income................. 36,728
-----------
Expenses:
Management fees (note 3).................. 180,676
Custodian fees (note 3)................... 2,412
Directors' fees (note 3).................. 497
Professional fees......................... 3,953
Accounting and transfer agent fees........ 5,365
Other..................................... 3,983
-----------
Total expenses.......................... 196,886
-----------
Net investment loss..................... $ (160,158)
-----------
Realized and unrealized gain on investments:
Net realized gain from investments........ $ 6,094,869
Net increase in unrealized appreciation on
investments............................. 715,313
-----------
Net gain on investments................. 6,810,182
-----------
Net increase in net assets from
operations............................ $ 6,650,024
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
55
<PAGE> 57
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (160,158) $ (143,620)
Realized gain on investments.............................. 6,094,869 8,876,766
Unrealized appreciation on investments.................... 715,313 7,472,326
----------- -----------
Net increase in net assets from operations............ 6,650,024 16,205,472
----------- -----------
Dividends and distributions to shareholders:
Capital gain distributions................................ (775,296) (6,552,496)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 9,404,514 9,907,186
Received from dividends reinvested........................ 775,296 6,552,496
Paid for shares redeemed.................................. (3,630,273) (6,431,773)
----------- -----------
Increase in net assets derived from capital share
transactions......................................... 6,549,537 10,027,909
----------- -----------
Increase in net assets............................. 12,424,265 19,680,885
Net Assets:
Beginning of period....................................... 31,462,472 11,781,587
----------- -----------
End of period............................................. $43,886,737 $31,462,472
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 --------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------ ------ ------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 16.98 $10.54 $ 9.68 $10.00
Income (loss) from investment operations:
Net investment loss....................................... (0.08) (0.10) (0.06) (0.02)
Net realized and unrealized gain (loss) on investments.... 3.79 11.05 0.92 (0.30)
------- ------ ------ ------
Total income (loss) from investment operations.......... 3.71 10.95 0.86 (0.32)
------- ------ ------ ------
Less distributions:
Distributions from net realized capital gains............. (0.37) (4.51) 0.00 0.00
------- ------ ------ ------
Net asset value, end of period.............................. $ 20.32 $16.98 $10.54 $ 9.68
======= ====== ====== ======
Total return................................................ 21.77%(b) 104.95% 8.82% 3.08%
Ratios and supplemental data:
Ratio of expenses to average net assets..................... 1.03%(a) 1.06% 1.13% 1.11%
Ratio of net investment loss to average net assets........ (0.84)%(a) (0.75)% (0.62)% (0.18)%
Portfolio turnover rate..................................... 83% 264% 134% 65%
Net assets at end of period (millions)...................... $ 43.9 $ 31.5 $ 11.8 $ 9.5
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
56
<PAGE> 58
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
OBJECTIVE
The Growth & Income Portfolio's investment objective is long-term total return.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 34.58%
Three-year 28.22%
Since inception (1/3/97) 28.31%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
We endured a very difficult second quarter in the ON Series Growth & Income
portfolio. In the quarter, the portfolio declined 13.45% against a 4.00% decline
in the Russell 2500 and a 4.51% decline in the Russell Midcap index. This steep
fall pulled down our year to date returns as well. For the first six months of
the year, the ON Series Growth & Income portfolio is down .68% versus a 5.69%
increase and a 5.12% rise in the Russell 2500 and Russell Midcap bench marks
respectively. Twelve month results remain solid however: for the 12 months
ending 6/30/00 the ON Series Growth & Income portfolio is up 34.58%
significantly outpacing both the Russell 2500 index, up 18.34%, and the Russell
Midcap index, up 12.64%
The first half of 2000 saw two distinctly different market environments. We
enjoyed a strong first 75 days in which we significantly outperformed the midcap
benchmarks. However, a powerful correction that began with a crack in the NASDAQ
on March 10, 2000 swept through late March, April and most of May before small
and midcap stocks rallied in June. While our June performance helped stop the
bleeding, we endured significant damage in the three month correction, which by
our measure was one of the strongest, fastest declines in small and midcap
stocks on record.
Our performance suffered in part because the portfolio held a number of
positions that were smaller in market capitalization than the benchmarks. As of
June 30, 2000 the ON Series Growth & Income portfolio held approximately 40% of
its assets in stocks with market capitalizations above $5 billion while 62% of
the Russell Midcap index was housed in stocks above $5 billion. Thus 60 % of
portfolio assets were in positions under $5 billion in market cap while the
benchmark contained only 38% of its assets under $5 billion. While several of
these "smaller" positions of under $5 billion in market cap helped performance
early in the year, they detracted significantly from returns during the
correction. Historically, small cap stocks are less liquid than many midcap
companies, and can decline more sharply in corrections. One of the frustrating
aspects of this correction was the "uncoupling" of a company's stock performance
from its business fundamentals. A number of our positions declined more than we
believed the fundamentals warranted.
Primus Telecommunications Group, Inc. provides telecom and internet access
service to about 1.9 million business and residential customers in areas
primarily outside the U.S. The company continues to add new customers at an
attractive pace, while it completes the buildout of its own telecom network.
Primus enjoys strong growth, increasing revenues by over 100% last year and is
operating in an EBITDA cash flow positive environment. While company
fundamentals are strong, telecom stocks came under pressure this Spring and the
stock fell sharply. We remain positive on the company, and held onto our shares
throughout the correction. Primus is one example of several stocks with strong
fundamentals that we believe has long term value despite a recent decline in
share price.
Over the past six months we have expanded the healthcare exposure of the
portfolio. At the end of the second quarter, healthcare made up approximately
5.3% of the portfolio and contributed positively to first half returns. We have
made a number of successful investments in the biotech area. We believe the
advances in genomic coding, coupled with increased interest from the big drug
companies in playing a role in this burgeoning opportunity, will make this an
exciting are in which to invest. However, valuation of these companies is very
difficult and we are more inclined to trade these positions rather than make
longer term commitments. Beyond biotech, we are expanding our focus in the
medical device and hospital /HMO areas. A more favorable political environment
and the growth of a budget surplus in the US economy has brought some life to
the healthcare sector, which has severely underperformed most other sectors
since 1997.
After last year's strong runup in stock prices, coupled with multiple interest
rate increases by the Federal Reserve, few investors should be surprised that
stocks cooled off early in 2000. The magnitude of the correction surprised many
investors. Looking forward, we see many companies with very strong fundamental
operating environments. Valuations of small and midcap stocks, while not low,
are certainly more attractive than they were early in the year, and are lower
than the multiples of many "must own" NASDAQ stocks. Clearly the market is
watching the Fed's actions towards interest rates. Consensus estimates predict
another 25 basis point hike in August with no further hikes as we enter the end
of an election year. In this somewhat uncertain environment, we are working hard
to uncover the stocks of companies that will enable us to return our performance
to levels we have delivered in the past.
57
<PAGE> 59
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
GROWTH & INCOME PORTFOLIO
(COMMENCED OPERATIONS JANUARY 3, 1997) RUSSELL 2500 INDEX
-------------------------------- ------------------
<S> <C> <C>
10000 10000
'98 14452.3 13139.4
14625.8 12577
'99 17752.8 13945.4
23730.1 15614.7
'00 23891.5 16501.6
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Thermo Electron 2.16
2. Tektronix Inc 2.13
3. Apache Corp 1.93
4. Southdown Inc 1.78
5. Nabors Industries 1.77
6. Global Marine Inc 1.74
7. AES Corp 1.57
8. Amgen Inc 1.45
9. Software.com Inc 1.45
10. UnitedHealth Group 1.41
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Telecommunications & Cellular 24.18
2. Cable Television 10.70
3. Consumer Products 6.29
4. Broadcast Radio & TV 6.01
5. Healthcare 5.30
</TABLE>
58
<PAGE> 60
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
--------------------------------------------------------------
<C> <S> <C>
BANKING (4.2%)
75,000 Amsouth Bancorp................... $ 1,181,250
34,500 Fleet Boston Financial Corp. ..... 1,173,000
70,000 U.S. Bancorp...................... 1,347,500
50,000 Washington Mutual Inc. ........... 1,443,750
------------
5,145,500
------------
BUILDING & CONSTRUCTION (1.8%)
37,500 Southdown Inc. ................... 2,165,625
------------
CHEMICALS (0.5%)
250,000 *Seminis Inc. .................... 656,250
------------
COMMUNICATIONS (3.4%)
39,100 *BroadWing Inc. .................. 1,014,156
65,000 *Primus Telecom. Group Inc. ...... 1,616,875
5,000 *Sprint Corp. PCS Group........... 297,500
115,000 *Startec Global Communications
Corp. ........................... 1,229,062
------------
4,157,593
------------
COMPUTER & RELATED (4.9%)
29,700 *Checkfree Holdings Corp. ........ 1,531,406
25,000 Jack Henry & Assoc................ 1,253,125
70,000 *MetaCreations Corp. ............. 840,000
7,500 *Siebel Systems Inc. ............. 1,226,719
40,000 *Sungard Data Systems Inc. ....... 1,240,000
------------
6,091,250
------------
CONTAINERS (1.0%)
120,000 *Packaging Corp. of America....... 1,215,000
------------
ELECTRICAL - GENERATION (1.6%)
42,000 *AES Corp. ....................... 1,916,250
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (10.8%)
43,400 *Atmel Corp. ..................... 1,600,375
25,000 *Cypress Semiconductor Corp. ..... 1,056,250
13,000 *Globespan Inc. .................. 1,587,016
25,000 *Intl. Rectifier Corp. ........... 1,400,000
16,200 *LSI Logic Crop................... 876,825
22,800 *Maxim Integrated Products
Inc. ............................ 1,548,975
29,600 Molex Inc. ....................... 1,424,500
25,000 *Novellus Systems Inc. ........... 1,414,062
10,000 *Sanmina Corp. ................... 855,000
10,000 *Triquint Semiconductor Inc. ..... 956,875
6,900 *Xilinx Inc. ..................... 569,681
------------
13,289,559
------------
FINANCIAL SERVICES (3.3%)
45,000 *Concord EFS Inc. ................ 1,170,000
5,500 Merrill Lynch & Co. .............. 632,500
27,500 Paychex Inc. ..................... 1,155,000
27,500 Price (T Rowe) Assoc. Inc. ....... 1,168,750
------------
4,126,250
------------
ENTERTAINMENT & LEISURE (1.8%)
19,500 *Macrovision Corp. ............... 1,246,477
15,000 *Viacom Inc. CL B................. 1,022,812
------------
2,269,289
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
--------------------------------------------------------------
<C> <S> <C>
HOTEL/LODGING (1.3%)
175,000 Hilton Hotels Corp. .............. $ 1,640,625
------------
INDUSTRIAL SERVICES (0.8%)
20,000 *Cognex Corp. .................... 1,035,000
------------
INSURANCE SERVICES (1.4%)
20,000 United Healthcare Corp. .......... 1,715,000
------------
INTERNET SOFTWARE & SERVICES (2.7%)
20,000 *Lycos Inc. ...................... 1,080,000
13,600 *Software.com Inc. ............... 1,766,300
57,900 *Ziff-Davis Inc. -- ZDNet......... 521,100
------------
3,367,400
------------
MEDICAL & RELATED (7.6%)
25,200 *Amgen Inc. ...................... 1,770,300
14,900 *Biogen Inc. ..................... 961,050
8,000 *Celera Genomics Group............ 748,000
25,000 *Cytc Corp. ...................... 1,334,375
87,500 *Endocardial Solutions Inc. ...... 743,750
25,000 *Elan Corp. ...................... 1,210,937
60,000 *Tenet Healthcare Corp. .......... 1,620,000
32,500 *The Healthcare Corp. ............ 987,187
------------
9,375,599
------------
OIL, ENERGY & NATURAL GAS (16.7%)
40,000 Apache Corp. ..................... 2,352,500
45,000 Baker & Hughes.................... 1,440,000
51,000 *Barrett Resources Corp. ......... 1,552,313
25,000 Burlington Resources Inc. ........ 956,250
50,000 EOG Resources Corp. .............. 1,675,000
30,000 Ensco International Inc. ......... 1,074,375
75,000 *Global Marine Inc. .............. 2,114,063
52,000 *Nabors Industries Inc. .......... 2,161,250
40,000 Noble Affiliates Inc. ............ 1,490,000
75,000 *Ocean Energy Inc. ............... 1,064,063
27,600 Phillips Petroleum Co. ........... 1,398,975
30,000 *Rowan Companies Inc. ............ 911,250
35,000 Santa Fe Intl. Corp. ............. 1,222,813
22,500 Texaco Inc. ...................... 1,198,125
------------
20,610,977
------------
RETAIL (4.5%)
20,000 *CDW Computer Centers Inc. ....... 1,250,000
70,000 *Kroger Co. Inc. ................. 1,544,375
70,000 Mattel Inc. ...................... 923,125
25,000 RadioShack Corp. ................. 1,184,375
84,800 *Stamps.com Inc. ................. 620,100
------------
5,521,975
------------
SCIENTIFIC & TECHNICAL INSTRUMENTS (6.8%)
19,300 *Millipore Corp. ................. 1,454,738
25,500 PerkinElmer Inc. ................. 1,686,188
35,000 Tektronix Inc. ................... 2,590,000
125,000 *Thermo Electron Corp. ........... 2,632,813
------------
8,363,739
------------
</TABLE>
(continued)
59
<PAGE> 61
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
--------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (4.8%)
50,000 *Harris Corp. .................... $ 1,637,500
96,800 *Motient Corp. ................... 1,518,550
30,000 *Tekelec Inc. .................... 1,445,625
200,000 *E.spire Communications Inc. ..... 1,350,000
------------
5,951,675
------------
WASTE DISPOSAL (0.9%)
70,000 *Republic Services Inc. CL A...... 1,120,000
------------
UTILITIES (1.4%)
47,500 Montana Power Co. ................ 1,677,344
------------
TOTAL U.S. COMMON STOCK (82.2%)
(COST $96,645,330)............... $101,411,900
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
--------------------------------------------------------------
<C> <S> <C>
CANADA (2.6%)
OIL, ENERGY & NATURAL GAS (1.5%)
300,000 *Bonus Resource Service........... $ 728,907
35,000 Talisman Energy Inc. ............. 1,159,375
------------
1,888,282
------------
TELECOMMUNICATIONS (1.1%)
20,000 Nortel Networks Corp. ............ 1,365,000
------------
TOTAL CANADA...................... 3,253,282
------------
NETHERLANDS (1.3%)
ELECTRONIC/SEMICONDUCTOR (1.3%)
25,000 STMicroelectronics................ 1,604,686
------------
TOTAL FOREIGN COMMON STOCK (3.9%)
(COST $4,457,467)................ $ 4,857,968
------------
TOTAL COMMON STOCK (86.1%)
(COST $101,102,797).............. $106,269,868
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES SHORT OPTIONS VALUE
--------------------------------------------------------------
<C> <S> <C>
(100) Sanmina Corp July/$90.00.......... $ (32,500)
(100) TriQuint Semiconductor
Inc./July/$130.00................ (12,500)
------------
TOTAL SHORT OPTIONS (0.0%)
(COST -$86,897).................. $ (45,000)
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT CONVERTIBLE DEBENTURES VALUE
--------------------------------------------------------------
<C> <S> <C>
COMPUTER & RELATED (0.5%)
$ 1,000,000 Silicon Graphics Inc.
5.250% 09/01/04................... $ 632,500
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (0.5%)
$ 1,000,000 Check Point Systems Inc.
5.250% 11/01/05................... 650,000
------------
MEDICAL & RELATED (0.4%)
500,000 Human Genome Sciences
3.750 03/15/07 (144A)............. 413,750
------------
OIL, ENERGY & NATURAL GAS (0.5%)
250,000 Offshore Logistics Inc.
6.000% 12/15/03................... 231,250
700,000 *Transocean Sedco Zero Coupon
05/24/00......................... 420,000
------------
651,250
------------
TELECOMMUNICATIONS (2.0%)
1,500,000 Digital Island 6.000% 02/15/05.... 1,070,625
2,000,000 Prime Telecomm Group 5.750%
02/15/07 (144A).................. 1,397,500
------------
2,468,125
------------
TOTAL CONVERTIBLE DEBENTURES
(3.9%) (COST $4,931,373)......... $ 4,815,625
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
--------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (11.7%)
$14,386,000 Firstar 4.250% 07/03/00 repurchase
price $14,391,025 collateralized
by GNMA certificates pool #
280329 due 10/01/29 (Cost
$14,386,000)..................... $ 14,386,000
------------
TOTAL SHORT-TERM NOTES (11.7%)
(COST $14,386,000)............... $ 14,386,000
------------
TOTAL HOLDINGS (101.7%)
(COST $120,333,273) (A).......... $125,426,493
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.7%)............... (2,048,472)
------------
TOTAL NET ASSETS (100.0%)......... $123,378,021
============
</TABLE>
---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost
basis for federal income tax basis. See note 1.
(144A) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may be resold in transactions exempt from
registration, normally to qualified buyers. At the period end, the value
of these securities amounted to $1,811,250 or 1.5% of net assets. These
securities were deemed liquid personate to procedures approved by the
Board of Directors.
The accompanying notes are an integral part of these financial statements.
60
<PAGE> 62
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value (note 1)
(cost $120,333,273).................... $125,426,493
Cash in bank............................. 350,182
Receivable for securities sold........... 3,483,973
Receivable for fund shares sold.......... 120,476
Dividends and accrued interest
receivable............................. 157,216
Other.................................... 23,491
------------
Total assets........................... 129,561,831
------------
Liabilities:
Payable for securities purchased......... 6,071,378
Payable for fund shares redeemed......... 22,196
Payable for investment management
services (note 3)...................... 85,958
Other accrued expenses................... 4,278
------------
Total liabilities...................... 6,183,810
------------
Net assets at market value................. $123,378,021
============
Net assets consist of:
Par value, $1 per share.................. $ 6,621,415
Paid-in capital in excess of par value... 90,936,797
Accumulated net realized income on
investments (note 1)................... 20,726,589
Net unrealized appreciation on
investments (note 1)................... 5,093,220
------------
Net assets at market value................. $123,378,021
============
Shares outstanding (note 4)................ 6,621,415
Net asset value per share.................. $ 18.63
============
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 301,458
Dividends................................. 202,463
-----------
Total investment income................. 503,921
-----------
Expenses:
Management fees (note 3).................. 517,842
Custodian fees (note 3)................... 6,031
Directors' fees (note 3).................. 1,432
Professional fees......................... 4,188
Accounting and transfer agent fees........ 20,587
Other..................................... 8,870
-----------
Total expenses.......................... 558,950
-----------
Net investment loss..................... $ (55,029)
-----------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments........ $20,987,455
Net decrease in unrealized appreciation on
investments............................. (20,654,756)
-----------
Net gain on investments................. 332,699
-----------
Net increase in net assets from
operations............................ $ 277,670
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
61
<PAGE> 63
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment income (loss).............................. $ (55,029) $ 104,749
Realized gain on investments.............................. 20,987,455 20,934,796
Unrealized appreciation (depreciation) on investments..... (20,654,756) 19,500,116
------------ ------------
Net increase in net assets from operations............ 277,670 40,539,661
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. 0 (104,749)
Capital gains distributions............................... (1,942,652) (16,246,477)
Return of capital......................................... 0 (53,900)
------------ ------------
Total dividends and distributions..................... (1,942,652) (16,405,126)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 15,619,250 29,440,102
Received from dividends reinvested........................ 1,942,652 16,405,126
Paid for shares redeemed.................................. (5,567,324) (8,304,844)
------------ ------------
Increase in net assets derived from capital share
transactions......................................... 11,994,578 37,540,384
------------ ------------
Increase in net assets............................. 10,329,596 61,674,919
Net Assets:
Beginning of period....................................... 113,048,425 51,373,506
------------ ------------
End of period............................................. $123,378,021 $113,048,425
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------ ------ ------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 18.78 $13.63 $12.85 $10.00
Income from investment operations:
Net investment income (loss).............................. (0.01) 0.02 0.14 0.11
Net realized and unrealized gain on investments........... 0.17 8.33 0.77 3.52
------- ------ ------ ------
Total income from investment operations................. 0.16 8.35 0.91 3.63
------- ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0 (0.02) (0.13) (0.11)
Distributions from net realized capital gains............. (0.31) (3.17) 0.00 (0.67)
Return of capital......................................... 0 (0.01) 0.00 0.00
------- ------ ------ ------
Total distributions..................................... (0.31) (3.20) (0.13) (0.78)
------- ------ ------ ------
Net asset value, end of period.............................. $ 18.63 $18.78 $13.63 $12.85
======= ====== ====== ======
Total return................................................ 0.68%(b) 62.25% 7.09% 36.58%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.91%(a) 0.95% 0.97% 0.95%
Ratio of net investment income to average net assets...... (0.09)%(a) 0.15% 1.09% 1.04%
Portfolio turnover rate..................................... 244% 417% 286% 185%
Net assets at end of period (millions)...................... $ 123.4 $113.0 $ 51.4 $ 18.7
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
62
<PAGE> 64
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO
OBJECTIVE
The S&P 500 Index Portfolio seeks total return approximating that of the S&P 500
Index, including reinvestment of dividends, at a risk level consistent with that
of the S&P 500 Index.
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
TOTAL RETURN:
One-year 12.37%
Three-year 21.50%
Since inception (1/3/97) 24.69%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The second quarter of 2000 was a difficult one for the U.S. equity markets.
Strong economic growth continued to cause the markets to be concerned about
aggressive Fed tightening, which the Fed delivered on May 16. Despite the 2.7%
decline in the S&P 500 Index in the second quarter and relatively flat
performance year to date, the S&P 500 Index generated a 7.25% total return year
over year. With S&P 500 earnings continuing to grow but returns negative in the
latest quarter and year to date, the entire decline is attributable to P/E
compression. Forward earnings by companies in the S&P 500 grew by 14% year over
year, which we believe will result in improved performance in the second half of
2000 and into fiscal year 2001.
Company contribution to the S&P 500 Index performance continued to narrow. Year
over year, only five of the S&P 500 companies needed to be held according to
their weights to match the index returns. The other 495 companies cancelled each
other out in terms of performance contribution. Four of those five
companies -- Intel, Cisco, Oracle, and Nortel -- are technology companies and
they contributed 88% of the index return. Technology was again the best
performing sector year over year with a return of 45%. However, we are committed
to maintaining a diversified portfolio so fund shareholders will benefit from a
variety of market conditions.
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
S&P 500 INDEX PORTFOLIO
(COMMENCED OPERATIONS JANUARY 3, 1997) S&P 500 INDEX
----------------------- -------------
<S> <C> <C>
10000 10000
'98 15524.9 15697.7
17127.1 17146.7
'99 19247.4 19269.4
21516.7 20755.1
'00 21628.6 20665.8
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Intel Corp 2.87
2. General Electric Co 2.12
3. Cisco Systems Inc 1.82
4. Microsoft Corp 1.79
5. Merck & Co Inc 1.66
6. Oracle Corporation 1.62
7. Pfizer Incorporated 1.57
8. SBC Communications 1.48
9. Dell Computer Corp 1.48
10. Johnson & Johnson 1.36
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 4.95
2. Electronic Components 3.72
3. Computer Software 3.66
4. S&P 500 Index 3.41
5. Communications 3.36
</TABLE>
63
<PAGE> 65
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
-----------------------------------------------------------
<C> <S> <C>
AEROSPACE (0.8%)
28,000 Boeing Co. ..................... $ 1,170,750
14,700 Honeywell Intl. Inc. ........... 495,206
------------
1,665,956
------------
AUTOMOTIVE & RELATED (0.4%)
20,300 Ford Motor Co. ................. 872,900
2,657 Visteon Corp. .................. 32,227
------------
905,127
------------
BANKING (1.9%)
40,000 Bank One Corp. ................. 1,062,500
44,250 Chase Manhattan Corp. .......... 2,038,266
19,100 Fifth Third Bancorp............. 1,208,075
------------
4,308,841
------------
CHEMICALS (0.3%)
15,000 EI Dupont De Nemours............ 656,250
------------
COMMUNICATIONS (3.4%)
69,250 AT&T Corp. ..................... 2,190,031
12,000 *Qualcomm Inc. ................. 720,000
72,000 SBC Communications Inc. ........ 3,114,000
31,550 *Worldcom Inc. ................. 1,447,356
------------
7,471,387
------------
COMPUTER & RELATED (4.9%)
60,000 *Cisco Systems Inc. ............ 3,813,750
63,000 *Dell Computer Corp. ........... 3,106,688
16,100 Hewlett-Packard Co. ............ 2,010,488
19,000 Intl. Business Machines......... 2,081,688
------------
11,012,614
------------
COMPUTER SOFTWARE (3.7%)
19,000 Computer Associates............. 972,563
47,000 *Microsoft Corp. ............... 3,760,000
40,500 *Oracle Corp. .................. 3,404,531
------------
8,137,094
------------
CONSUMER PRODUCTS (2.6%)
31,000 Edison International............ 635,500
12,000 Gillette Co. ................... 419,250
28,000 Johnson & Johnson............... 2,852,500
25,000 Philip Morris Cos. Inc. ........ 664,063
20,000 Procter & Gamble Co. ........... 1,145,000
------------
5,716,313
------------
DRUGS (3.7%)
22,000 *Amgen Inc. .................... 1,545,500
45,500 Merck & Co Inc. ................ 3,486,437
32,700 Pharmacia Corp. ................ 1,690,181
29,500 Schering-Plough................. 1,489,750
------------
8,211,868
------------
ENTERTAINMENT & LEISURE (1.2%)
66,000 Walt Disney Co. ................ 2,561,625
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
-----------------------------------------------------------
<C> <S> <C>
ELECTRICAL EQUIPMENT (2.5%)
84,000 General Electric Co. ........... $ 4,452,000
40,000 Thomas & Betts Corp. ........... 765,000
14,000 Xerox Corp. .................... 290,500
------------
5,507,500
------------
ELECTRONIC COMPONENTS/SEMICONDUCTOR (3.7%)
6,140 *Agilent Technologies Inc. ..... 452,825
14,100 *Applied Materials.............. 1,277,812
9,000 Enerson Electric Co. ........... 543,375
45,000 Intel Corp. .................... 6,015,938
------------
8,289,950
------------
FINANCIAL SERVICES (3.3%)
46,000 American Express Co. ........... 2,397,750
40,000 Associates First Capital Corp CL
A............................. 892,500
21,500 Citigroup Inc. ................. 1,295,375
42,000 FleetBoston Financial Corp. .... 1,428,000
14,000 Lehman Brothers Holding Inc. ... 1,323,875
------------
7,337,500
------------
FOOD & RELATED (1.6%)
17,000 Campbell Soup Co. .............. 495,125
31,000 Coca-Cola Co. .................. 1,780,563
27,000 *Kroger Co. .................... 595,688
38,000 Sara Lee Corp. ................. 733,875
------------
3,605,251
------------
FORESTRY & PAPER PRODUCTS (0.2%)
8,000 Weyerhaeuser Co. ............... 344,000
------------
INSURANCE SERVICES (0.9%)
17,000 American Intl. Group Inc. ...... 1,997,500
------------
INTERNET SOFTWARE (0.5%)
23,000 *America Online Inc. ........... 1,213,250
------------
MEDICAL & RELATED (2.0%)
47,900 Boston Scientific Corp. ........ 1,050,806
68,750 Pfizer Inc. .................... 3,300,000
------------
4,350,806
------------
OIL, ENERGY & NATURAL GAS (2.9%)
36,000 Exxon Mobil Corp. .............. 2,826,000
32,000 Royal Dutch Pete Co.
(Netherlands)................. 1,970,000
10,000 Schlumberger Ltd. .............. 746,250
35,000 USX-Marathon Group.............. 877,188
------------
6,419,438
------------
RESTAURANTS (0.2%)
15,500 McDonalds Corp. ................ 510,531
------------
SECURITY SYSTEMS & SERVICES (0.6%)
30,000 Tyco Intl. Ltd. ................ 1,421,250
------------
RETAIL (2.6%)
50,500 Home Depot Inc. ................ $ 2,521,844
22,400 Target Corp. ................... 1,299,200
16,250 The Gap Inc. ................... 507,812
27,000 Wal-Mart Stores Inc. ........... 1,555,875
------------
5,884,731
------------
</TABLE>
(continued)
64
<PAGE> 66
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
-----------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (2.3%)
22,200 Bell Atlantic................... $ 1,128,036
30,000 Lucent Technologies Inc. ....... 1,777,500
33,500 Nortel Networks Corp. .......... 2,286,375
------------
5,191,911
------------
TRANSPORTATION & EQUIPMENT (0.1%)
18,000 Norfolk Southern Corp. ......... 267,750
------------
UTILITIES (0.5%)
20,000 Duke Energy Corp. .............. 1,127,500
------------
TOTAL COMMON STOCK (46.8%) (COST
$89,630,653).................. $104,115,943
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES DEPOSITORY RECEIPTS VALUE
-------------------------------------------------------------
<C> <S> <C>
UNIT INVESTMENT TRUST (3.4%)
52,200 S&P 500 Depository Receipts....... $ 7,583,681
------------
TOTAL DEPOSITORY RECEIPTS (3.4%)
(COST $7,510,166)................ $ 7,583,681
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (6.7%)
$ 751,000 Daimler-Chrysler 6.400%
07/06/00......................... $ 750,332
362,000 Daimler-Chrysler 6.570%
07/21/00......................... 360,679
3,253,000 Daimler-Chrysler 6.510%
08/10/00......................... 3,229,470
1,217,000 Daimler-Chrysler 6.530%
08/23/00......................... 1,205,300
3,237,000 General Motors Acceptance 6.540%
08/09/00......................... 3,214,066
2,616,000 General Motors Acceptance 6.520%
07/17/00......................... 2,608,419
1,597,000 General Motors Acceptance 6.530%
8/16/00.......................... 1,583,675
2,053,000 Hertz Cop. 6.460% 07/10/00........ 2,049,685
------------
15,001,626
------------
BANKING (4.1%)
3,031,000 Deusche Bank 6.520% 08/24/00...... 3,001,357
6,191,000 Deusche Bank 6.570% 07/26/00...... 6,162,754
------------
9,164,111
------------
FINANCIAL SERVICES (25.6%)
1,708,000 American Express 6.510%
08/11/00......................... 1,695,337
176,000 American Express 6.580%
07/06/00......................... 175,839
2,404,000 American General Corp. 6.540%
08/04/00......................... 2,389,151
2,019,000 American General Corp. 6.580%
07/25/00......................... 2,010,143
3,233,000 American General Finance 6.320%
07/05/00......................... 3,230,730
2,631,000 Associates Corp. 6.530%
08/17/00......................... 2,608,570
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
$2,295,000 Associates Corp. 6.590%
07/27/00......................... $ 2,284,077
3,549,000 CIT Group 6.440% 07/10/00......... 3,543,286
1,689,000 CIT Group 6.560% 07/24/00......... 1,681,921
4,769,000 Citicorp 6.270% 07/03/00.......... 4,767,339
2,043,000 G E Capital 6.540% 08/18/00....... 2,025,185
2,922,000 Heller Financial 6.620%
07/18/00......................... 2,912,866
1,755,000 Heller Financial 6.620%
07/20/00......................... 1,748,868
3,033,000 Heller Financial 6.640%
08/07/00......................... 3,012,301
2,154,000 Household Finance 6.500%
07/13/00......................... 2,149,333
1,234,000 Household Finance 6.530%
08/14/00......................... 1,224,151
3,147,000 Household Finance 6.550%
08/08/00......................... 3,125,242
2,301,000 New Center Asset Trust 6.560%
08/22/00......................... 2,279,197
2,578,000 New Center Asset Trust 6.560%
07/14/00......................... 2,571,893
1,752,000 Norwest Financial 6.570%
07/19/00......................... 1,746,245
1,220,000 Paineweber Group 6.650%
08/03/00......................... 1,212,563
4,115,000 Paineweber Group 6.800%
07/28/00......................... 4,094,014
1,180,000 Paineweber Group 6.450%
07/07/00......................... 1,178,732
3,388,000 Paineweber Group 6.520% 7/11/00... 3,381,864
------------
57,048,847
------------
INSURANCE SERVICES (2.1%)
2,001,000 Prudential Funding 6.510%
08/15/00......................... 1,984,717
1,762,000 Prudential Funding 6.540%
08/28/00......................... 1,743,434
1,016,000 Prudential Funding 6.550%
08/25/00......................... 1,005,833
------------
4,733,984
------------
MACHINERY (2.5%)
4,103,000 John Deere Capital 6.550%
08/21/00......................... 4,064,928
1,492,000 John Deere Capital 6.620%
07/31/00......................... 1,483,769
------------
5,548,697
------------
RETAIL (3.1%)
1,649,000 Sears Roebuck Acceptance 6.820%
08/02/00......................... $ 1,639,003
2,176,000 Sears Roebuck Acceptance 6.850%
08/01/00......................... 2,163,164
2,976,000 Sears Roebuck Acceptance 6.600%
07/12/00......................... 2,969,998
------------
6,772,165
------------
TOTAL SHORT-TERM NOTES (44.1%)
(COST $98,269,430)............... $ 98,269,430
------------
TOTAL HOLDINGS (94.3%) (COST
$195,410,249) (a)................ $209,969,054
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (5.7%)............... 12,790,922
------------
TOTAL NET ASSETS (100.0%)......... $222,759,976
============
</TABLE>
---------------
* Non-income producing securities
(a) Represents cost for financial reporting purposes and differs from cost for
federal income tax purposes. See Note 1.
The accompanying notes are an integral part of these financial statements.
65
<PAGE> 67
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $195,410,249)........... $209,969,054
Cash in bank............................. 1,002
Receivable for securities sold........... 1,079,750
Receivable for fund shares sold.......... 162,666
Variation margin on futures contracts
(note 1)............................... 11,834,556
Dividends and accrued interest
receivable............................. 174,793
Other.................................... 41,643
------------
Total assets........................... 223,263,464
------------
Liabilities:
Payable for securities purchased......... 391,238
Payable for fund shares redeemed......... 1,148
Payable for investment management
services (note 3)...................... 65,638
Other accrued expenses................... 7,464
Dividends payable........................ 38,000
------------
Total liabilities...................... 503,488
------------
Net assets at market value................. $222,759,976
============
Net assets consist of:
Par value, $1 per share.................. $ 13,821,806
Paid-in capital in excess of par value... 180,671,849
Accumulated net realized income on
investments (note 1)................... 14,107,368
Net unrealized appreciation
(depreciation) on:
Investments (note 1)................... 14,558,805
Futures contracts (note 1)............. (2,190,000)
Undistributed net investment income...... 1,790,148
------------
Net assets at market value................. $222,759,976
============
Shares outstanding (note 4)................ 13,821,806
Net asset value per share.................. $ 16.12
============
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 3,150,042
Dividends................................. 597,799
-----------
Total investment income................. 3,747,841
-----------
Expenses:
Management fees (note 3).................. 397,211
Custodian fees (note 3)................... 13,053
Directors' fees (note 3).................. 3,301
Professional fees......................... 4,656
Accounting and transfer agent fees........ 46,148
Other..................................... 17,084
-----------
Total expenses.......................... 481,453
-----------
Net investment income................... $ 3,266,388
-----------
Realized and unrealized gain on investments:
Net realized gain from:
Investments............................. $11,975,631
Futures contracts....................... 2,140,367
Net increase (decrease) in unrealized
appreciation (depreciation) on:
Investments............................. (9,543,231)
Futures contracts....................... (6,773,200)
-----------
Net loss on investments................. (2,200,433)
-----------
Net increase in net assets from
operations............................ $ 1,065,955
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
66
<PAGE> 68
OHIO NATIONAL FUND, INC.
S&P 500 PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 3,266,388 $ 4,219,735
Realized gain on investments and futures contracts........ 14,115,998 16,124,128
Unrealized appreciation (depreciation) on investments and
futures contracts....................................... (16,316,431) 18,777,088
------------ ------------
Net increase in net assets from operations............ 1,065,955 39,120,951
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (1,566,330) (4,150,432)
Capital gains distributions............................... (273,548) (15,896,517)
------------ ------------
Total dividends and distributions..................... (1,839,878) (20,046,949)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 19,780,584 103,721,037
Received from dividends reinvested........................ 1,839,878 20,046,949
Paid for shares redeemed.................................. (14,655,490) (20,430,472)
------------ ------------
Increase in net assets derived from capital share
transactions......................................... 6,964,972 103,337,514
------------ ------------
Increase in net assets............................. 6,191,049 122,411,516
Net Assets:
Beginning of period....................................... 216,568,927 94,157,411
------------ ------------
End of period (a)......................................... $222,759,976 $216,568,927
============ ============
(a) Includes undistributed net investment income of......... $ 1,790,148 $ 90,091
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ---------------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------- ------ ------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 16.17 $ 14.23 $11.73 $10.00
Income (loss) from investment operations:
Net investment income (loss).............................. 0.24 0.40 0.38 (0.45)
Net realized and unrealized gain (loss) on investments.... (0.15) 3.28 3.09 (2.70)
------- ------- ------ ------
Total income (loss) from investment operations.......... 0.09 3.68 3.47 (3.15)
------- ------- ------ ------
Less distributions:
Dividends from net investment income...................... (0.12) (0.44) (0.33) (0.45)
Distributions from net realized capital gains............. (0.02) (1.30) (0.64) (0.91)
Distributions in excess realized capital gains............ 0.00 0.00 0.00 (0.06)
------- ------- ------ ------
Total distributions..................................... (0.14) (1.74) (0.97) (1.42)
------- ------- ------ ------
Net asset value, end of period.............................. $ 16.12 $ 16.17 $14.23 $11.73
======= ======= ====== ======
Total return................................................ 0.52%(b) 25.63% 30.00% 31.75%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.45%(a) 0.49% 0.49% 0.52%
Ratio of net investment income to average net assets...... 3.03%(a) 2.62% 2.89% 5.29%
Portfolio turnover rate..................................... 22% 68% 115% 445%
Net assets at end of period (millions)...................... $ 222.8 $ 216.6 $94.20 $22.10
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
67
<PAGE> 69
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
OBJECTIVE
The objective of the Social Awareness Portfolio is to provide long-term growth
of capital by investing primarily in the common stocks and other equity
securities of companies that, in the Adviser's opinion, conduct their business
in a way that enhances society's quality of life. The portfolio's social concern
criteria will necessarily limit the universe of securities that may be selected
for this portfolio. However, the Adviser believes the portfolio's objective of
long-term capital growth can be achieved despite this limitation.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 25.63%
Three-year 4.15%
Since inception (1/3/97) 7.29%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The portfolio has benefited from a dramatic overhaul over the last twelve
months. Current management has made the portfolio more growth oriented, which
has improved the fund's performance remarkably. Year-to-date performance was
strong at 11.50%; vs. -0.42% for the S&P 500. Over the last twelve months, the
fund is up 25.63% vs. 7.25% for the S&P 500. Volatility of markets has played a
key role in the fund by providing opportunities for the fund's re-balancing. The
fund has been re-positioned to reflect the higher valuations that the market has
placed on faster-growing companies. Much larger weightings have been given to
the technology sector and this has improved the fund's performance. Management
has had no difficulty in finding superior growth companies that match the fund's
social responsibility objective.
Improved performance can be directly related to the increased weighting in
larger, faster-growing technology companies combined with decreased weighting in
smaller, value-oriented companies. The market is rewarding growth-style
companies with superior valuations and stock performance and the fund now
reflects this. The portfolio has large allocations to the Computer and Related
Industries as well as the Communications Industry. The fund prefers investments
in infrastructure and related suppliers to the telecommunication and networking
areas as businesses build capacity for their information needs.
We have under-weighted the Basic Materials and Financial Sectors. Despite the
income stream that financials provide, they have been pruned down because of the
current interest rate environment. We will continue to monitor them and others
as well to capture any potential. Much of the opportunity that is available will
be dependent on the monetary policy of the Federal Reserve and we will be
positioned accordingly.
We will continue to be fully invested while keeping a minimal amount of cash
available for opportunities that present themselves. We thank you for your
continued support and look to report further success in the future.
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
SOCIAL AWARENESS PORTFOLIO
(COMMENCED OPERATIONS JANUARY 3, 1997) RUSSELL 3000 INDEX
-------------------------------- ------------------
<S> <C> <C>
10000 10000
'98 12462.4 15145.8
9748.1 16312
'99 10181.9 18165.1
11473 21959.8
'00 12791.2 22168.4
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. ADC 6.63
2. General Electric Co 4.19
3. EMC Corporation 4.06
4. Scientific Atlanta 3.93
5. American Int'l Group 3.87
6. Sun Microsystems 3.84
7. Texas Instruments 3.62
8. Intel Corporation 3.52
9. Cisco Systems Inc 3.35
10. Viacom Incorporated 3.32
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 18.06
2. Communications 14.61
3. Electronic Components/SE 10.44
4. Telecommunications Equipment 8.09
5. Electronic Components/
Semiconductor 6.14
</TABLE>
68
<PAGE> 70
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
AEROSPACE (1.2%)
1,300 Honeywell Intl. Inc. .............. $ 43,794
----------
BANKING (1.7%)
3,000 Firstar Corp. ..................... 63,187
----------
BROADCAST RADIO & TV (2.9%)
3,000 *Infinity Broadcast................ 109,312
----------
COMMUNICATIONS (11.9%)
3,000 *ADC Telecommunication............. 251,625
4,500 *McleodUSA Inc. ................... 93,094
2,100 *Worldcom Inc. .................... 96,338
----------
441,057
----------
COMPUTER & RELATED (18.1%)
2,000 *Cisco Systems Inc. ............... 127,125
2,400 *Citrix Systems.................... 45,450
2,000 *EMC Corp. ........................ 153,874
800 Intl. Business Machines............ 87,650
2,600 *Solectron......................... 108,875
1,600 *Sun Microsystems.................. 145,500
----------
668,474
----------
CONSUMER PRODUCTS (2.8%)
1,000 Johnson & Johnson.................. 101,875
----------
DIVERSIFIED MANUFACTURING (4.3%)
3,000 General Electric Co. .............. 159,000
----------
DRUGS (1.8%)
900 *Medimunne Inc. ................... 66,600
----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (16.6%)
1,000 Agilent Technologies............... 73,750
1,000 *Altera Corp. ..................... 101,937
2,000 CTS Corp. ......................... 90,000
1,000 Intel Corp. ....................... 133,687
2,000 Texas Instruments Inc. ............ 137,375
1,000 *Transwitch Corp. ................. 77,187
----------
613,936
----------
FINANCIAL SERVICES (3.3%)
2,000 Citigroup Inc. .................... 120,500
----------
INSURANCE SERVICES (4.0%)
1,250 American Intl. Group............... 146,875
----------
MEDIA & PUBLISHING (3.4%)
1,844 *Viacom Inc. CL B.................. 125,738
----------
OIL, ENERGY & NATURAL GAS (2.2%)
1,100 Schlumberger Ltd. ................. $ 82,088
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
RETAIL (4.9%)
1,900 Circuit City Stores................ $ 63,056
2,400 The Home Depot Inc. ............... 119,850
----------
182,906
----------
SECURITY SYSTEMS & SERVICES (2.9%)
2,300 Tyco Intl. Ltd. ................... 108,963
----------
TELECOMMUNICATIONS (8.1%)
2,000 *Commscope Inc. ................... 82,000
2,000 Scientific Atlanta Inc. ........... 149,000
1,000 *Telltabs Inc. .................... 68,438
----------
299,438
----------
TOTAL U.S. COMMON STOCK (90.1%)
(COST $2,430,507)................ $3,333,743
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
FINLAND (2.7%)
COMMUNICATIONS (2.7%)
2,000 Nokia Corp ADR........................ $ 99,875
----------
MEXICO (1.5%)
TELECOMMUNICATIONS (1.5%)
1,000 *Telefonos De Mexico.................. 57,125
----------
TOTAL FOREIGN COMMON STOCK (4.2%)
(COST $97,159)....................... $ 157,000
----------
TOTAL COMMON STOCK (94.3%) (COST
$2,527,666).......................... $3,490,743
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (8.2%)
$150,000 American Express 6.880% 07/03/00...... $ 149,943
152,000 Household Finance 6.720% 07/05/00..... 151,887
----------
TOTAL SHORT-TERM NOTES (8.2%) (COST
$301,829)............................ $ 301,830
----------
TOTAL HOLDINGS (102.5%) (COST
$2,829,495)(A)....................... $3,792,573
----------
LIABILITIES, NET OF CASH & RECEIVABLES
(-2.5%).............................. (91,981)
----------
TOTAL NET ASSETS (100.0%)............. $3,700,592
==========
</TABLE>
---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax basis. See note 1.
The accompanying notes are an integral part of these financial statements.
69
<PAGE> 71
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $2,748,502)............... $ 3,729,386
Investment in an affiliate at market value
(cost $80,993)........................... 63,187
Cash in bank............................... 1,183
Receivable for fund shares sold............ 120
Dividends and accrued interest
receivable............................... 816
-----------
Total assets............................. 3,794,692
-----------
Liabilities:
Payable for securities purchased........... 79,060
Payable for fund shares redeemed........... 1,785
Payable for investment management services
(note 3)................................. 1,847
Other accrued expenses..................... 11,408
-----------
Total liabilities........................ 94,100
-----------
Net assets at market value................... $ 3,700,592
===========
Net assets consist of:
Par value, $1 per share.................... $ 963,078
Paid-in capital in excess of par value..... 4,057,589
Accumulated net realized loss on
investments (note 1)..................... (2,283,153)
Net unrealized appreciation on investments
(note 1)................................. 963,078
-----------
Net assets at market value................... $ 3,700,592
===========
Shares outstanding (note 4).................. 321,984
Net asset value per share.................... $ 11.49
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 5,049
Dividends................................. 6,736
-----------
Total investment income................. 11,785
-----------
Expenses:
Management fees (note 3).................. 11,001
Custodian fees (note 3)................... 2,399
Directors' fees (note 3).................. 80
Professional fees......................... 3,849
Accounting and transfer agent fees........ 2,213
Other..................................... 509
-----------
Total expenses.......................... 20,051
-----------
Net investment loss..................... $ (8,266)
-----------
Realized and unrealized gain on investments:
Net realized gain from investments........ $ 151,321
Net increase in unrealized appreciation on
investments............................. 262,137
-----------
Net gain on investments................. 413,458
-----------
Net increase in net assets from
operations............................ $ 405,192
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
70
<PAGE> 72
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED JUNE 30,
--------------------------------
2000 1999
---------------- ------------
<S> <C> <C>
From operations:
Net investment income (loss).............................. $ (8,266) $ 19,816
Realized gain (loss) on investments....................... 151,321 (1,812,454)
Unrealized appreciation on investments.................... 262,137 2,093,387
------------ ------------
Net increase in net assets from operations............ 405,192 300,749
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. 0 (19,816)
Dividend paid in excess of net investment income.......... 0 (831)
------------ ------------
Total dividends....................................... 0 (20,647)
From capital share transactions (note 4):
Received from shares sold................................. 485,001 876,492
Received from dividends reinvested........................ 0 20,647
Paid for shares redeemed.................................. (779,534) (4,178,575)
------------ ------------
Decrease in net assets derived from capital share
transactions......................................... (294,533) (3,281,436)
------------ ------------
Increase (decrease) in net assets.................. 110,659 (3,001,334)
Net Assets:
Beginning of period....................................... 3,589,933 6,591,267
------------ ------------
End of period............................................. $ 3,700,592 $ 3,589,933
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 -------------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------- ------- -------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 10.31 $ 8.80 $ 11.40 $ 10.00
Income (loss) from investment operations:
Net investment income (loss).............................. (0.03) 0.04 0.05 0.09
Net realized and unrealized gain (loss) on investments.... 1.21 1.51 (2.60) 2.47
-------- ------- ------- -------
Total income (loss) from investment operations.......... 1.18 1.55 (2.55) 2.56
-------- ------- ------- -------
Less distributions:
Dividends from net investment income...................... 0.00 (0.04) (0.05) (0.07)
Distributions from net realized capital gains............. 0.00 0.00 0.00 (1.09)
-------- ------- ------- -------
Total distributions..................................... 0.00 (0.04) (0.05) (1.16)
-------- ------- ------- -------
Net asset value, end of period.............................. $ 11.49 $ 10.31 $ 8.80 $ 11.40
======== ======= ======= =======
Total return................................................ 11.50%(b) 17.69% (22.41)% 25.63%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.09%(a) 0.93% 0.81% 0.95%
Ratio of net investment income to average net assets...... (0.45)%(a) 0.47% 0.55% 0.75%
Portfolio turnover rate..................................... 19% 122% 71% 40%
Net assets at end of period (millions)...................... $ 3.7 $ 3.6 $ 6.6 $ 4.8
</TABLE>
The accompanying notes are an integral part of these financial statements.
71
<PAGE> 73
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
OBJECTIVE
The Strategic Income Portfolio seeks to generate high current income by
investing at least 80% of its assets in income-producing securities, including
at least 40% of assets in a core group of U.S. government and corporate
fixed-income securities, and the remainder in other income-producing securities.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
One-year (0.86%)
Three-year 0.95%
Since inception (1/3/97) 1.65%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The Strategic Income Fund witnessed improved performance for the first half of
2000. According to the Morgan Stanley REIT index, REIT's produced a 13% total
return compared to -0.42% for the S&P 500 for the first six months of 2000. The
combination of strong earnings reports, solid domestic economy, and good
valuation attracted many investors into the market. Maintaining a full,
diversified exposure to REIT's has helped the Fund generate solid performance
relative to other bond funds while maintaining a high dividend yield.
Other segments of the Fund have been met with mixed performance. Our outlook for
2000 envisioned corporate and mortgage-backed bonds providing better total
returns compared to Treasury securities. Through June, both corporate and
mortgage-related bonds are underperforming Treasury securities. The Fund has
maintained approximately a 40% allocation to corporate bonds in a variety of
industries and 15% in Mortgage related securities.
Equity markets have been volatile thus far in 2000. Our focus on "value" type
issues with high dividend yields helped reduce volatility within the portfolio.
One area that helped performance was the preferred stock market. Tax-related
selling last December resulted in depressed asset prices as we find their low
volatility and high yields attractive for the Fund. As the new year has
unfolded, the Fund has benefited from increasing the allocation to preferred
stocks.
In summary, the Firstar Stellar Strategic Income Fund has accomplished its goal
of delivering a high yield. Relative to other bond funds, the Fund's total
return is highly competitive thus far in 2000.
CHANGE IN VALUE OF $10,000 INVESTMENT
[STRATEGIC INCOME PORTFOLIO CHART]
<TABLE>
<CAPTION>
STRATEGIC INCOME PORTFOLIO
(COMMENCED OPERATIONS JANUARY 3, 1997) SB CORP BOND
-------------------------------- ------------
<S> <C> <C>
10000 10000
'98 10962.4 11477.8
10747.5 11959.9
'99 10711 11713.6
10231.1 11766.2
'00 10618.9 12048.6
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. GNMA Pool #436197X 7.00%
02/15/28 4.69
2. Federated Dept. Stores 8.50%
06/15/03 3.31
3. Phillip Morris Co. 7.125%
08/15/02 3.20
4. Lehman Bros Holdings 7.125%
09/15/03 3.18
5. ABM-AMRO Bank N.V. 7.75%
05/15/23 3.17
6. Duke Power Co 7.875% 05/01/24 3.15
7. Merrill Lynch & Co. NT 7.00%
04/27/08 3.08
8. SPIEKER PPTYS LP 7.125%
12/01/06 3.08
9. Sears Roebuck Acceptance Global
7.00% 06/15/07 3.07
10. FNMA 6.5% 4/18/25 3.05
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. REIT 20.67
2. Government 17.46
3. Financial Services 11.85
4. Retail 10.35
5. Banking 8.50
</TABLE>
72
<PAGE> 74
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
GOVERNMENT (17.5%)
$ 85,146 FNMA 9.000% 04/01/16.................. $ 87,700
17,478 FNMA 7.500% 07/15/21.................. 17,536
67,005 FNMA 7.500% 10/01/24.................. 66,104
100,000 FNMA 6.500% 04/18/25.................. 93,782
55,977 FNMA 7.000% 09/01/27.................. 54,058
29,147 FNMA 7.500% 09/01/28.................. 28,755
49,231 GNMA 7.500% 06/15/27.................. 48,930
148,208 GNMA 7.000% 02/15/28.................. 144,191
----------
541,056
----------
AEROSPACE (2.8%)
100,000 Lockhead Corp. 7.875% 03/15/23........ 89,219
----------
BANKING (8.5%)
100,000 ABM-AMRO Bank N.V. 7.750% 05/15/23.... 97,475
75,000 Banc One Corp. 8.000% 04/29/27........ 72,252
100,000 NB Capital Trust 8.250% 04/15/27...... 93,711
----------
263,438
----------
COMMUNICATIONS (1.5%)
50,000 GTE Corp. 7.830% 05/01/23............. 47,294
----------
CONSUMER PRODUCTS (3.2%)
100,000 Phillip Morris Co. 7.125% 08/15/02.... 98,260
----------
FINANCIAL SERVICES (9.2%)
100,000 Lehman Brothers Holdings 7.125%
09/15/03............................. 97,713
100,000 Merrill Lynch & Co. NT 7.000%
04/27/08............................. 94,799
100,000 Zurich Capital Trust (144A) 8.376%
06/01/37............................. 93,161
----------
285,673
----------
FORESTRY & PAPER PRODUCTS (0.8%)
25,000 Fort James Corp. 6.625% 09/15/04...... 23,912
----------
OIL ENERGY & NATURAL GAS (2.8%)
75,000 Transcanada Pipeline 9.875%
01/01/21............................. 86,284
----------
REAL ESTATE & LEASING (5.2%)
100,000 Spieker Properties Inc. 7.125%
12/01/06............................. 94,673
75,000 Spieker Properties Inc. 7.350%
12/01/17............................. 65,319
----------
159,992
----------
RETAIL (10.3%)
100,000 Federated Dept. Stores 8.500%
06/15/03............................. 101,730
50,000 May Department Stores Co. 7.625%
08/15/13............................. 49,565
75,000 JC Penney Inc. 9.450% 07/15/02........ 75,037
100,000 Sears Roebuck Acceptance Global 7.000%
06/15/07............................. 94,473
----------
320,805
----------
UTILITIES (3.2%)
100,000 Duke Power Co. 7.875% 05/01/24........ 96,981
----------
TOTAL LONG-TERM BONDS & NOTES (65.0%)
(COST $2,172,315).................... $2,012,914
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES REAL ESTATE INVESTMENT TRUSTS VALUE
-------------------------------------------------------------
<C> <S> <C>
5,000 Bedford Property Invs. Inc............ $ 92,812
2,000 Brandywine Realty Trust............... 38,250
2,000 Developers Divers Realty Corp......... 29,875
2,000 Glimcher Realty Trust SBI............. 28,750
603 Healthcare Realty Trust Inc........... 10,289
190 Hospitality Properties Trust.......... 4,287
2,000 Kroger Equity Inc..................... 33,750
3,581 LTC Properties Inc.................... 21,262
2,000 Lasalle Hotel Properties.............. 28,750
2,000 Lexington Corp. Properties Trust...... 22,375
2,500 Liberty Property Trust................ 64,844
1,000 Mills Corp............................ 18,813
2,000 New Plan Excel Realty Trust........... 26,000
6,000 Sizeler Property Investors Inc........ 45,000
4,600 Winston Hotels Inc.................... 34,500
----------
499,557
----------
TOTAL REAL ESTATE INVEST. TRUSTS
(16.1%)
(COST $582,921)...................... $ 499,557
----------
</TABLE>
<TABLE>
<CAPTION>
CLOSED-END MARKET
SHARES INVESTMENT COMPANIES VALUE
-------------------------------------------------------------
<C> <S> <C>
6,900 First Commonwealth Fund Inc.......... $ 62,531
-----------
TOTAL INVESTMENT COMPANIES (2.0%)
(COST $83,397)...................... $ 62,531
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
ELECTRICAL EQUIPMENT (0.6%)
600 American Electric Power.............. $ 17,775
-----------
HOTEL/LODGING (2.6%)
7,000 RFS Hotels Invs. Inc................. 82,250
-----------
UTILITIES (1.0%)
1,000 TXU Corp............................. 29,500
-----------
TOTAL COMMON STOCK (4.2%)
(COST $151,615)..................... $ 129,525
-----------
</TABLE>
(continued)
73
<PAGE> 75
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
COMMUNICATIONS (1.9%)
2,500 MCI Capital 8% Series A.............. $ 58,281
-----------
FINANCIAL SERVICES (2.6%)
1,500 Citigroup Cap I 8% 9/30/36........... 36,000
2,000 PLC Capital Trust I 8.25%............ 45,500
-----------
81,500
-----------
OIL, ENERGY & NATURAL GAS (1.5%)
2,000 Enron Capital Trust I 8.3%........... 47,375
-----------
REAL ESTATE & LEASING (1.4%)
2,000 Kimco Realty Corp. 8.5%.............. 43,500
-----------
UTILITIES (1.8%)
2,500 Alabama Power Capital Tr II 7.6%..... 55,938
-----------
TOTAL PREFERRED STOCK (9.2%)
(COST $313,495)..................... $ 286,594
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.7%)
$ 83,000 Firstar Bank 4.250% 07/03/00
repurchase price $83,029
collateralized by GNMA certificates
pool # 280329 due 10/01/29 (Cost
$83,000)............................ $ 83,000
-----------
TOTAL REPURCHASE AGREEMENTS (2.7%)
(COST $83,000)...................... $ 83,000
-----------
TOTAL HOLDINGS (99.2%)
(COST $3,386,743) (a)............... $ 3,074,121
-----------
CASH & RECEIVABLES,
NET OF LIABILITIES (0.8%)........... 25,042
-----------
TOTAL NET ASSETS (100.0%)............ $ 3,099,163
===========
</TABLE>
---------------
(144A) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may be resold in transactions exempt from
registration, normally to qualified buyers. At the period end, the value
of these securities amounted to $93,161 or 3.0% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
(a) Represents cost for financial reporting purposes and differs from cost
basis for federal income tax basis. See note 1.
The accompanying notes are an integral part of these financial statements.
74
<PAGE> 76
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $3,386,743)............... $3,074,121
Cash in bank............................... 720
Dividends and accrued interest
receivable............................... 63,388
----------
Total assets............................. 3,138,229
----------
Liabilities:
Payable for fund shares redeemed........... 45
Payable for investment management services
(note 3)................................. 2,024
Other accrued expenses..................... 11,997
Dividends payable.......................... 25,000
----------
Total liabilities........................ 39,066
----------
Net assets at market value................... $3,099,163
==========
Net assets consist of:
Par value, $1 per share.................... $ 368,685
Paid-in capital in excess of par value..... 3,395,747
Accumulated net realized loss on
investments (note 1)..................... (403,679)
Net unrealized depreciation on investments
(note 1)................................. (312,622)
Undistributed net investment income........ 51,032
----------
Net assets at market value................... $3,099,163
==========
Shares outstanding (note 4).................. 368,685
Net asset value per share.................... $ 8.41
==========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 81,805
Dividends................................... 44,318
--------
Total investment income................... 126,123
--------
Expenses:
Management fees (note 3).................... 11,978
Custodian fees (note 3)..................... 2,391
Directors' fees (note 3).................... 60
Professional fees........................... 3,844
Accounting and transfer agent fees.......... 3,735
Other....................................... 380
--------
Total expenses............................ 22,388
--------
Net investment income..................... $103,735
--------
Realized and unrealized gain (loss) on
investments:
Net realized loss from investments.......... $(14,953)
Net decrease in unrealized depreciation on
investments............................... 24,703
--------
Net gain on investments................... 9,750
--------
Net increase in net assets from
operations.............................. $113,485
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
75
<PAGE> 77
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 103,735 $ 261,370
Realized loss on investments.............................. (14,953) (291,696)
Unrealized appreciation (depreciation) on investments..... 24,703 (139,474)
---------- -----------
Net increase (decrease) in net assets from
operations........................................... 113,485 (169,800)
---------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (68,024) (245,907)
---------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 120,596 262,247
Received from dividends reinvested........................ 68,024 245,907
Paid for shares redeemed.................................. (229,965) (1,016,913)
---------- -----------
Decrease in net assets derived from capital share
transactions......................................... (41,345) (508,759)
---------- -----------
Increase (decrease) in net assets.................. 4,116 (924,466)
Net Assets:
Beginning of period....................................... 3,095,047 4,019,513
---------- -----------
End of period (a)......................................... $3,099,163 $ 3,095,047
========== ===========
(a) Includes undistributed net investment income of......... $ 51,032 $ 15,463
========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------ ------ ------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 8.29 $ 9.34 $10.16 $10.00
Income (loss) from investment operations:
Net investment income..................................... 0.28 0.65 0.68 0.71
Net realized and unrealized gain (loss) on investments.... 0.03 (1.07) (0.82) 0.13
------ ------ ------ ------
Total income (loss) from investment operations.......... 0.31 (0.42) (0.14) 0.84
------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.19) (0.63) (0.68) (0.67)
Distributions from net realized capital gains............. 0.00 0.00 0.00 (0.01)
------ ------ ------ ------
Total distributions..................................... (0.19) (0.63) (0.68) (0.68)
------ ------ ------ ------
Net asset value, end of period.............................. $ 8.41 $ 8.29 $ 9.34 $10.16
====== ====== ====== ======
Total return................................................ 3.79%(b) (4.81)% (1.42)% 8.74%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.49%(a) 1.27% 1.18% 1.30%
Ratio of net investment income to average net assets...... 6.89%(a) 7.23% 7.12% 7.04%
Portfolio turnover rate..................................... 2% 53% 104% 102%
Net assets at end of period (millions)...................... $ 3.1 $ 3.1 $ 4.0 $ 3.2
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
76
<PAGE> 78
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (a)
OBJECTIVE
The Firstar Growth & Income seeks to provide both reasonable income and
long-term capital appreciation by investing in income producing securities,
including dividend paying common and preferred stock as well as fixed income
securities.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 2.86%
Three-year 4.47%
Since inception (1/3/97) 5.37%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The Firstar Growth and Income Fund posted a 4.50% total return during the first
six months of the year. This compares to a -0.42% return for the Standard and
Poor's 500 Index and a -4.1% return for the Standard and Poor's Barra Value
Index. Based on the Fund's profile, an appropriate benchmark is a fifty-fifty
blend of these two indexes.
Within the technology sector, we emphasized companies benefiting from
accelerating unit growth in internet infrastructure and wireless communications.
Specific holdings that contributed to the Fund's strong relative performance
were Texas Instruments, the largest global producer of Digital Signal Processors
(DSPs are chips found in virtually every cellular phone produced); Nortel
Networks, the leading provider of fiber optic technology for the
telecommunications industry; and Nokia, the largest global producer of cellular
phones.
Strength in the Fund's holdings in the capital goods sector was paced by
Millipore, a manufacturer of products used to analyze and purify liquids and
gases. In the microelectronics segment, Millipore has been a beneficiary of a
strong semi conductor capital equipment cycle while the company's
biopharmaceutical segment should benefit from increased research and development
activity in genomics and monclonal antibodies.
With short-term interest rates approaching 7%, stock prices will continue to be
volatile over the summer months. However, volatility creates opportunities to
buy top quality companies with proven management teams at attractive prices. As
always, the Growth and Income Fund's focus is high quality companies with
predictable sales, earnings and cash flow growth, strong balance sheets and
innovative management. Ongoing market volatility should force investors to seek
companies with strong underlying fundamentals rather than chase the hottest new
internet story. Investor rotation back to quality stocks should equate to even
better relative performance for the Growth and Income Fund.
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
FIRSTAR GROWTH & INCOME PORTFOLIO
(COMMENCED OPERATIONS JANUARY 3, 1997) S&P 500 INDEX
--------------------------------- -------------
<S> <C> <C>
10000 10000
98 11253.2 15697.7
11289.2 17146.7
99 11670.8 19269.4
11488.7 20755.1
'00 12005.7 20665.8
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Pfizer Inc. 2.74
2. Millipore Corp 1.97
3. Nortel Networks 1.92
4. Northern Trust 1.92
5. Microsoft Corp 1.82
6. Citigroup Inc 1.78
7. Tyco International 1.75
8. Bank of New York 1.71
9. Schlumberger Ltd 1.60
10. Ecolab Inc 1.60
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 8.54%
2. Drugs 8.50%
3. Banking 5.53%
4. Financial Services 3.99%
5. Consumer Products 3.97%
</TABLE>
---------------
(a) Prior to 5/1/99 the portfolio was known as The Stellar Portfolio.
77
<PAGE> 79
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
ADVERTISING (1.3%)
1,075 Interpublic Group of Cos. Inc......... $ 46,225
----------
AUTOMOTIVE & RELATED (0.2%)
600 Delphi Automotive Systems............. 8,738
----------
BANKING (6.9%)
1,375 Bank of New York Inc.................. 63,938
1,050 Chase Manhattan Corp.................. 48,366
1,175 Mellon Bank Corp...................... 42,814
1,100 Northern Trust Corp................... 71,569
650 Wells Fargo Co........................ 25,188
----------
251,875
----------
BROADCAST RADIO & TV (1.6%)
500 *Infinity Broadcasting Corp - A....... 18,219
550 Timer Warner Inc...................... 41,800
----------
60,019
----------
BUILDING & CONSTRUCTION (0.6%)
575 Martin Marietta Material Inc.......... 23,252
----------
BUSINESS SERVICES (5.5%)
825 Automatic Data Processing Inc......... 44,189
900 First Data Corp....................... 44,663
1,400 Manpower Inc.......................... 44,800
1,200 Robert Half Intl. Inc................. 34,200
1,200 Viad Corp............................. 32,700
----------
200,552
----------
CHEMICALS (0.5%)
375 Monsanto Co........................... 16,969
----------
COMPUTER & RELATED (8.9%)
775 *Cisco Systems Inc.................... 49,261
325 Compaq Computer Corp.................. 8,308
400 *Dell Computer Corp................... 19,725
550 *EMC Corp./Mass....................... 42,315
200 Hewlett-Packard Co.................... 24,975
425 Intel Corp............................ 56,817
225 Intl. Business Machines............... 24,652
850 *Microsoft Corp....................... 68,000
175 *Oracle Corp.......................... 14,711
225 *Sun Microsystems Inc................. 20,461
----------
329,225
----------
CONSUMER PRODUCTS (4.0%)
425 Avery Dennison Corp................... 28,528
400 Avon Products Inc..................... 17,800
450 Estee Lauder Cos. Inc................. 22,247
450 Johnson & Johnson..................... 45,844
550 Kimberly-Clark Corp................... 31,556
----------
145,975
----------
CONTAINERS (0.3%)
400 Aloca Inc............................. 11,600
----------
DELIVERY SERVICE (0.9%)
575 United Parcel Service................. 33,925
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
DRUGS (8.5%)
650 Abbott Laboratories................... $ 28,966
850 American Home Products Corp........... 49,937
850 Bristol-Myers Squibb Co............... 49,513
575 Lilly (Eli) & Co...................... 57,428
325 Merck & Co. Inc....................... 24,903
2,131 Pfizer Inc............................ 102,288
----------
313,035
----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (2.8%)
150 *Analog Devices Inc................... 11,400
593 Molex Inc............................. 20,755
400 Montana Power Co...................... 14,125
850 Texas Instruments Inc................. 58,384
----------
104,664
----------
FINANCIAL SERVICES (4.9%)
750 American Express Co................... 39,094
1,100 Citigroup Inc......................... 66,275
1,075 Franklin Resources.................... 32,653
500 Morgan Stanley Dean Witter & Co....... 41,625
----------
179,647
----------
FOOD & BEVERAGES (3.5%)
525 Anheuser-Busch Cos.................... 39,211
1,050 PepsiCo Inc........................... 46,659
550 *Safeway Inc.......................... 24,819
450 Sysco Corp............................ 18,956
----------
129,645
----------
INDUSTRIAL SERVICES (1.6%)
1,525 Ecolab Inc............................ 59,570
----------
INSTRUMENT-SCIENTIFIC (2.0%)
975 Millipore Corp........................ 73,491
----------
INSURANCE SERVICES (2.8%)
375 American Intl. Group.................. 44,062
550 Marsh & McLennan Cos. Inc............. 57,441
----------
101,503
----------
MEDIA & PUBLISHING (5.3%)
925 Harcourt General Inc.................. 50,297
975 McGraw-Hill Cos. Inc.................. 52,650
900 New York Times Co..................... 35,550
325 Walt Disney Co........................ 12,614
657 *Viacom Inc........................... 44,799
----------
195,910
----------
MEDICAL & RELATED (1.8%)
500 Baxter Intl. Inc...................... 35,156
1,050 HCA - The Healthcare Corp............. 31,894
----------
67,050
----------
</TABLE>
(continued)
78
<PAGE> 80
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
OIL, ENERGY & NATURAL GAS (9.2%)
550 Enron Corp............................ $ 35,475
1,425 Enron Corp. Notes 2002................ 44,175
485 Exxon Mobil Corp...................... 38,073
900 *Nabors Industries Inc................ 37,406
700 Phillips Petroleum Co................. 35,481
800 Schlumberger Ltd...................... 59,700
405 Transocean Sedco Forex Inc............ 21,642
1,375 USX-Marathon Group.................... 34,461
775 Williams Companies Inc................ 32,308
----------
338,721
----------
RETAIL (3.5%)
875 Gap Inc............................... 27,344
100 *Kohls Corp........................... 5,562
400 Loews Co.............................. 16,425
450 Target Corp........................... 26,100
200 Wal-Mart Stores Inc................... 11,525
1,325 Walgreen Co........................... 42,648
----------
129,604
----------
SECURITY SYSTEMS & SERVICES (1.8%)
1,375 Tyco International Ltd................ 65,141
----------
TELECOMMUNICATIONS & CELLULAR (3.4%)
525 Alltel Corp........................... 32,517
600 AT&T Corp............................. 18,975
125 Corning Inc........................... 33,734
300 *General Motors CL H.................. 26,325
300 SBC Communications Inc................ 12,975
----------
124,526
----------
TELEPHONE INTEGRATED (3.3%)
1,050 Bell Atlantic Corp.................... 53,353
125 Cox Communications Inc................ 13,875
1,075 Sprint Corp........................... 54,825
----------
122,053
----------
TRANSPORTATION & EQUIPMENT (0.5%)
400 Expeditors Intl. Washington Inc....... 19,000
----------
UTILITIES (2.2%)
300 Duke Energy Corp...................... 16,912
1,050 General Electric Co................... 55,650
400 Nisource Inc.......................... 7,450
----------
80,012
----------
TOTAL U.S. COMMON STOCK (87.8%)
(COST $2,922,418).................... $3,231,927
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCKS VALUE
-------------------------------------------------------------
<C> <S> <C>
CANADA (1.9%)
COMMUNICATIONS (1.9%)
1,050 Nortel Networks Corp.................. $ 71,662
----------
FINLAND (1.1%)
TELECOMMUNICATIONS (1.1%)
800 Nokia Corp. SP-ADR.................... 39,950
----------
SINGAPORE (0.3%)
ELECTRONIC COMPONENTS/SEMICONDUCTORS (0.3%)
150 Flextronics Intl. Ltd................. 10,303
----------
SWEDEN (0.4%)
TELECOMMUNICATIONS (0.4%)
800 Ericsson (LM) Telecom SP ADR.......... 16,000
----------
TOTAL FOREIGN COMMON STOCK (3.7%)
(COST $95,271)....................... 137,915
----------
TOTAL COMMON STOCK (91.5%)
(COST $3,017,689).................... $3,369,842
----------
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE MARKET
SHARES INVESTMENT TRUSTS VALUE
-------------------------------------------------------------
<C> <S> <C>
900 AMB Property Corp..................... $ 20,531
300 Post Propertys........................ 13,200
325 Spieker Properties Inc................ 15,356
----------
49,087
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(1.3%)
(COST $48,303)....................... $ 49,087
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (0.5%)
75 Global Crossing Co.................... $ 16,697
----------
TOTAL PREFERRED STOCK (0.5%)
(COST $18,750)....................... $ 16,697
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (9.0%)
$332,000 Firstar Bank 4.250% 07/03/00
repurchase price $332,116
collateralized by GNMA certificates
pool # 280329 due 10/01/29 (Cost
$332,000)............................ $ 332,000
----------
TOTAL REPURCHASE AGREEMENTS (9.0%)
(COST $332,000)...................... $ 332,000
----------
TOTAL HOLDINGS (102.3%)
(COST $3,416,742).................... $3,767,626
----------
LIABILITIES, NET OF CASH & RECEIVABLES
(-2.3%).............................. (86,549)
----------
TOTAL NET ASSETS (100.0%)............. $3,681,077
==========
</TABLE>
---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax basis. See note 1.
The accompanying notes are an integral part of these financial statements.
79
<PAGE> 81
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (a)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $3,416,742)............... $3,767,626
Cash in bank............................... 836
Receivable for securities sold............. 2,447
Receivable for fund shares sold............ 286
Dividends and accrued interest
receivable............................... 1,910
----------
Total assets............................. 3,773,105
----------
Liabilities:
Payable for securities purchased........... 79,318
Payable for investment management services
(note 3)................................. 2,704
Other accrued expenses..................... 10,006
----------
Total liabilities........................ 92,028
----------
Net assets at market value................... $3,681,077
==========
Net assets consist of:
Par value, $1 per share.................... $ 331,859
Paid-in capital in excess of par value..... 3,074,326
Accumulated net realized loss on
investments (note 1)..................... (75,992)
Net unrealized appreciation on investments
(note 1)................................. 350,884
----------
Net assets at market value................... $3,681,077
==========
Shares outstanding (note 4).................. 331,859
Net asset value per share.................... $ 11.09
==========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest..................................... $ 4,083
Dividends.................................... 19,600
--------
Total investment income.................... 23,683
--------
Expenses:
Management fees (note 3)..................... 15,452
Custodian fees (note 3)...................... 2,568
Directors' fees (note 3)..................... 187
Professional fees............................ 916
Accounting and transfer agent fees........... 665
Other........................................ 3,857
--------
Total expenses............................. 23,645
--------
Net investment income...................... $ 38
--------
Realized and unrealized gain (loss) on
investments:
Net realized loss from investments........... $(18,420)
Net increase in unrealized appreciation on
investments................................ 176,090
--------
Net gain on investments.................... 157,670
--------
Net increase in net assets from
operations............................... $157,708
========
</TABLE>
---------------
(a) Prior to 5/1/99 the portfolio was known as the Stellar Portfolio.
The accompanying notes are an integral part of these financial statements.
80
<PAGE> 82
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (a)
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 2000 ----------
(UNAUDITED) 1999
---------------- ----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 38 $ 39,874
Realized loss on investments.............................. (18,420) (51,251)
Unrealized appreciation on investments.................... 176,090 71,069
---------- ----------
Net increase in net assets from operations............ 157,708 59,692
---------- ----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. 0 (41,725)
---------- ----------
From capital share transactions (note 4):
Received from shares sold................................. 275,217 437,571
Received from dividends reinvested........................ 0 41,725
Paid for shares redeemed.................................. (58,009) (796,078)
---------- ----------
Increase (decrease) in net assets derived from capital
share transactions................................... 217,208 (316,782)
---------- ----------
Increase (decrease) in net assets.................. 374,916 (298,815)
Net Assets:
Beginning of period....................................... 3,306,161 3,604,976
---------- ----------
End of period............................................. $3,681,077 $3,306,161
========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 ------------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------ ------ ------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.62 $10.56 $10.65 $10.00
Income from investment operations:
Net investment income..................................... 0.00 0.12 0.37 0.32
Net realized and unrealized gain (loss) on investments.... 0.47 0.06 (0.07) 0.64
------ ------ ------ ------
Total income from investment operations................. 0.47 0.18 0.30 0.96
------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 (0.12) (0.35) (0.31)
Distributions from net realized capital gains............. 0.00 0.00 (0.04) 0.00
------ ------ ------ ------
Total distributions..................................... 0.00 (0.12) (0.39) (0.31)
------ ------ ------ ------
Net asset value, end of period.............................. $11.09 $10.62 $10.56 $10.65
====== ====== ====== ======
Total return................................................ 4.50%(c) 1.76% 2.92% 9.70%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.37%(b) 1.39% 1.43% 1.54%
Ratio of net investment income to average net assets...... 0.00%(b) 1.16% 3.53% 3.07%
Portfolio turnover rate..................................... 50% 197% 81% 17%
Net assets at end of period (millions)...................... $ 3.7 $ 3.3 $ 3.6 $ 2.8
</TABLE>
---------------
(a) Prior to 5/1/99 the portfolio was known as the Stellar Portfolio.
(b) Annualized.
(c) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
81
<PAGE> 83
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
OBJECTIVE
The Relative Value Portfolio seeks the highest total return as is consistent
with reasonable risk by investing in stocks deemed to represent characteristics
with low volatility, above-average yields and are undervalued relative to the
stocks comprising the S&P Composite Stock Index.
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
TOTAL RETURN:
One-year (5.31%)
Three-year 11.36%
Since inception (1/3/97) 14.51%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
Value investing continued to be out of favor during the first six months of
2000. However, performance for the fund exceeded its value peer group. The fund
was down -3.47% for the six-month period ending June 30, 2000 while the Standard
& Poor's 500/Barra Value Index declined -4.07% for the same period.
The fund continues to maintain a 1% cash position. Top performing sectors for
the first six months included technology and healthcare. Under performing
sectors included consumer staples, communication services, and capital goods.
Technology, financials, and healthcare stocks represent 55% of the total
portfolio. Intel Corporation is the largest fund holding at 9.5% and was the top
performing stock year-to-date with a return of +57.9%. Procter and Gamble was
the worst performing stock down -47.2%.
We feel confident that as the Federal Reserve gets closer to finishing their
recent trend of raising interest rates that "value" investing will return to
favor. We continue to look for opportunities in financial, consumer, and
technology stocks.
CHANGE IN VALUE OF $10,000 INVESTMENT
[RELATIVE VALUE PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
RELATIVE VALUE PORTFOLIO (COMMENCED
OPERATIONS JANUARY 3, 1997) S&P 500 INDEX
----------------------------------- -------------
<S> <C> <C>
10000 10000
'98 14213.4 15697.7
15485.5 17146.7
'99 16959.8 19269.4
16635.8 20755.1
'00 16056.9 20665.8
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Intel Corp 9.50
2. International 6.23
3. Broadwing Inc 4.84
4. General Electric Co 4.66
5. Citigroup Inc 4.21
6. Lucent Technologies 3.68
7. Merck & Co Inc 3.06
8. Smithkline Beecham 2.89
9. Texaco Inc 2.84
10. Procter & Gamble Co 2.80
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 15.73
2. Communications 11.66
3. Drugs 10.63
4. Oil, Energy, & Natural Gas 9.29
5. Banking 9.28
</TABLE>
82
<PAGE> 84
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
AEROSPACE (1.4%)
4,812 Honeywell International Inc....... $ 162,104
-----------
APPLIANCES (0.8%)
2,000 Whirlpool Corp.................... 93,250
-----------
AUTOMOTIVE & RELATED (2.3%)
2,500 Ford Motor Co..................... 107,500
1,500 General Motors Corp............... 87,094
3,000 Goodyear Tire & Rubber Co......... 60,000
327 Visteon Corp...................... 3,968
-----------
258,562
-----------
BANKING (10.3%)
5,613 Amsouth Bancorporation............ 88,405
6,000 Bank of New York Inc.............. 279,000
3,000 Bank America Corp................. 129,000
6,000 First Financial Bancorp........... 129,938
4,500 First Tennessee National.......... 74,531
6,500 KeyCorp........................... 114,563
4,000 Mellon Bank Corp.................. 145,750
3,500 North Fork Bancorp................ 52,937
2,000 PNC Bank Corp..................... 93,750
2,000 TCF Financial Corp................ 51,375
-----------
1,159,249
-----------
COMMUNICATIONS (10.0%)
5,000 AT&T Corp......................... 158,125
21,000 *BroadWing Inc.................... 544,688
7,000 Lucent Technologies Inc........... 414,750
-----------
1,117,563
-----------
COMPUTER & RELATED (17.8%)
8,000 Intel Corp........................ 1,069,500
6,400 Intl. Business Machines Corp...... 701,200
3,000 *Microsoft Corp................... 240,000
-----------
2,010,700
-----------
CONSUMER PRODUCTS (7.6%)
2,500 Eastman Kodak Co.................. 148,750
5,000 Gillette Co....................... 174,688
8,000 Philip Morris Cos. Inc............ 212,500
5,500 Procter & Gamble Co............... 314,875
-----------
850,813
-----------
DRUGS (7.7%)
4,000 American Home Products Corp....... 235,000
5,000 Bristol Myers Squibb Co........... 291,250
4,500 Merck & Co. Inc................... 344,813
6,000 Pharmacia Corp.................... 310,125
-----------
1,181,188
-----------
ELECTRICAL EQUIPMENT (5.1%)
9,900 General Electric Co............... 524,700
1,000 Johnson Controls Inc.............. 51,312
-----------
576,012
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (7.8%)
4,500 American Express Co............... $ 234,562
7,875 Citigroup Inc..................... 474,469
6,000 Union Planters Corp............... 167,625
-----------
876,656
-----------
INSURANCE SERVICES (2.8%)
5,000 Cincinnati Financial Corp......... 157,188
15,000 Ohio Casualty Corp................ 159,375
-----------
316,563
-----------
OIL, ENERGY & NATURAL GAS (7.7%)
2,000 Duke Energy Corp.................. 112,750
3,960 Exxon Mobil Corp.................. 310,860
4,000 TXU Corp.......................... 118,000
6,000 Texaco Inc........................ 319,500
-----------
861,110
-----------
RETAIL (2.8%)
4,000 *Federated Department Stores...... 135,000
10,000 J.C. Penney Inc................... 184,375
-----------
319,375
-----------
UTILITIES (3.0%)
6,000 Cinergy Corp...................... 152,626
3,000 GTE Corp.......................... 186,750
-----------
339,376
-----------
TOTAL U.S. COMMON STOCK (89.9%)
(COST $8,444,637)............... $10,122,521
-----------
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (7.1%)
COMMUNICATIONS (1.7%)
1,000 Cable & Wireless Pub Co Ltd.
ADR............................. $ 50,063
3,500 Vodafone Group PLC ADR............ 145,031
-----------
195,094
-----------
DRUGS (2.9%)
5,000 SmithKline Beecham PLC ADR CL A... 325,935
-----------
OIL, ENERGY & NATURAL GAS (2.5%)
4,920 BP Amoco PLC...................... 278,287
-----------
TOTAL UNITED KINGDOM.............. 799,316
-----------
NETHERLANDS (1.6%)
OIL, ENERGY & NATURAL GAS (1.6%)
3,000 Royal Dutch Pete Co. NY Reg.
1.25............................ 184,688
-----------
TOTAL FOREIGN COMMON STOCK (8.7%)
(COST $696,581)................. $ 984,004
-----------
TOTAL COMMON STOCK (98.6%) (COST
$9,141,218)..................... $11,106,525
-----------
</TABLE>
(continued)
83
<PAGE> 85
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
---------------------------------------------------------
<C> <S> <C>
FINANCIAL (1.4%)
$153,000 Firstar 4.25% 07/03/00 repurchase
price $153,053 collateralized by
GNMA certificates pool # 280329
due 10/01/29 (cost $153,000).... $ 153,000
-----------
TOTAL REPURCHASE AGREEMENTS (1.4%)
(COST $153,000)................. $ 153,000
-----------
TOTAL HOLDINGS (100.0%)
(COST $9,294,218) (a)........... $11,259,525
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (0.0%).............. 6,947
-----------
TOTAL NET ASSETS (100.0%)......... $11,266,472
===========
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
The accompanying notes are an integral part of these financial statements.
84
<PAGE> 86
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $9,294,218).............. $11,259,525
Cash in bank.............................. 526
Receivables for fund shares sold.......... 7,622
Dividends and accrued interest
receivable.............................. 18,386
-----------
Total assets............................ 11,286,059
-----------
Liabilities:
Payable for investment management services
(note 3)................................ 8,503
Other accrued expenses.................... 7,784
Dividends payable......................... 3,300
-----------
Total liabilities....................... 19,587
-----------
Net assets at market value.................. $11,266,472
===========
Net assets consist of:
Par value, $1 per share................... $ 732,055
Paid-in capital in excess of par value.... 8,577,111
Accumulated net realized loss on
investments (note 1).................... (33,344)
Net unrealized appreciation on investments
(note 1)................................ 1,965,307
Undistributed net investment income....... 25,343
-----------
Net assets at market value.................. $11,266,472
===========
Shares outstanding (note 4)................. 732,055
Net asset value per share................... $ 15.39
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 4,592
Dividends................................... 111,525
---------
Total investment income................... 116,117
---------
Expenses:
Management fees (note 3).................... 50,293
Custodian fees (note 3)..................... 2,547
Directors' fees (note 3).................... 158
Professional fees........................... 1,011
Accounting and transfer agent fees.......... 5,164
Other....................................... 2,289
---------
Total expenses............................ 61,462
---------
Net investment income..................... $ 54,655
---------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments.......... $ 146,248
Net decrease in unrealized appreciation on
investments............................... (620,875)
---------
Net loss on investments................... (474,627)
---------
Net decrease in net assets from
operations.............................. $(419,972)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
85
<PAGE> 87
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 54,655 $ 92,742
Realized gain (loss) on investments....................... 146,248 (169,231)
Unrealized appreciation (depreciation) on investments..... (620,875) 842,413
----------- -----------
Net increase in assets from operations................ (419,972) 765,924
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (29,312) (92,742)
Return of capital......................................... 0 (53)
----------- -----------
Total dividends and distributions..................... (29,312) (92,795)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 1,125,667 2,841,978
Received from dividends reinvested........................ 29,312 92,795
Paid for shares redeemed.................................. (1,321,047) (1,735,051)
----------- -----------
Increase in net assets derived from capital share
transactions......................................... (166,068) 1,199,722
----------- -----------
Increase in net assets............................. (615,352) 1,872,851
Net Assets:
Beginning of period....................................... 11,881,824 10,008,973
----------- -----------
End of period (a)......................................... $11,266,472 $11,881,824
=========== ===========
(a) Includes undistributed income of........................ $ 25,343 $ 0
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEARS ENDED DECEMBER 31,
JUNE 30, 2000 --------------------------------
(UNAUDITED) 1999 1998 1997
---------------- ------ ------ ------
<S> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $15.98 $15.02 $12.68 $10.00
Income from investment operations:
Net investment income..................................... 0.07 0.13 0.15 0.16
Net realized and unrealized gain on investments........... (0.62) 1.01 2.48 2.66
------ ------ ------ ------
Total income from investment operations................. (0.55) 1.14 2.63 2.82
------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.04) (0.18) (0.15) (0.14)
Distributions from net realized capital gains............. 0.00 0.00 (0.14) 0.00
------ ------ ------ ------
Total distributions..................................... (0.04) (0.18) (0.29) (0.14)
------ ------ ------ ------
Net asset value, end of period.............................. $15.39 $15.98 $15.02 $12.68
====== ====== ====== ======
Total return................................................ (3.47)%(b) 7.43% 20.72% 28.28%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.08%(a) 1.06% 1.08% 1.18%
Ratio of net investment income to average net assets...... 0.96%(a) 0.84% 1.19% 1.35%
Portfolio turnover rate..................................... 3% 9% 54% 7%
Net assets at end of period (millions)...................... $ 11.3 $ 11.9 $ 10.0 $ 5.7
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
86
<PAGE> 88
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO
OBJECTIVE
The Blue Chip Portfolio seeks growth of capital and income by investing in
securities of high quality companies.
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
TOTAL RETURN:
One-Year (10.65%)
Since inception (5/1/98) 1.02%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The six-month period ending June 30th provided anemic results from the stock
market with the S&P 500 returning -.42%. Despite a few difficult months for
growth stocks, value, as defined by the S&P/Barra Value Index, lagged with a
-4.07% return during the time period versus 2.58% for the S&P/Barra Growth
Index. Value sectors lagged as investors continue to fear that the Federal
Reserve's cumulative 175 basis points of tightening will result in a "hard
landing". Growth's strong relative performance was not driven by technology
which was up 3.2% in the time period, but by healthcare. The safety and
stability of the pharmaceuticals, and strong earnings momentum of the healthcare
maintenance organizations (HMOs) and hospitals drove the healthcare sector to a
23.63% return. Following healthcare were utilities, up 19.1%, and energy, up
4.5%. Sectors displaying weakness were basic materials, down 24.84%, consumer
cyclicals, down 18.89%, and communications services, down 14.8%.
The Ohio National Blue Chip Portfolio returned -5.75% for the period,
underperforming both the S&P 500 and the median Lipper Multi-Cap Value Fund
which returned -.42% and -1.10%, respectively. Leading sectors for the half
included healthcare, utilities and energy (up 5%). Lagging sectors included
basic materials, consumer cyclicals, and communication services (down 15%).
Aiding performance relative to the S&P 500 for the half was an overweight in
utilities, and favorable security selection in healthcare (Oxford Health Plans,
up 88%, and Abbott Laboratories, up 23%) and energy (Schlumberger, up 33%). More
than offsetting these favorable influences were both an underweight in
technology and unfavorable security performance of our holdings in the sector
(Novell, down 77%, Unisys, down 54%, and Motorola, down 41%). Other sectors that
dragged down performance were capital goods (Honeywell, down 42%) and finance
(Conseco, down 45%).
Our equity market outlook remains the same: U.S. stocks are overvalued, but
pockets of reasonable valuation exist within the market. Despite the recent
correction in technology stocks, the valuation differentials between the "haves"
and "have nots" remains extremely wide. The S&P Technology sector is still
valued at 50 times forward earnings. This is historically unprecedented and
remains amazing given the historic difficulty of developing a sustainable and
defendable, profitable franchise in such a rapidly evolving and volatile area of
the economy. Over one-third of the stocks in your portfolio trades for less than
11 times forward 12-month earnings, a huge discount to the S&P 500 Index which
trades at 25 times forward 12-month earnings. However, the catalyst to unwind
these valuation differences remains to be seen, and the specter of rising
interest rates and increased inflation keeps a damper on "Old Economy"
valuations. Many "New Economy" investors believe that technology shares will be
immune to rising rates, but "Old Economy" companies still generate the majority
of capital spending. At some point, investors will recognize the disparities
between the market values and franchise values of many overlooked leading
companies and will gravitate back toward these names given their compelling
risk/reward profile. We believe that the portfolio is well positioned to take
advantage of this rotation when it occurs.
87
<PAGE> 89
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO
CHANGE IN VALUE OF $10,000 INVESTMENT
[GRAPH]
<TABLE>
<CAPTION>
BLUE CHIP PORTFOLIO (COMMENCED
OPERATIONS MAY 1, 1998) S&P 500 INDEX
------------------------------ -------------
<S> <C> <C>
10000 10000
6/98 10024 10143
12/98 10254.6 11079.2
6/99 11456.4 12450.8
12/99 10860.7 13410.8
6/00 10236.2 13353.1
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Sun Microsystems Inc 2.82
2. News Corp Ltd PFD ADR 2.29
3. Philips Electronics 2.19
4. Viacom Inc Cl B 2.16
5. First Data Corp 1.97
6. U.S. West Inc 1.78
7. Boeing Company 1.66
8. Exxon Mobil Corp 1.62
9. GTE Corporation 1.61
10. Tyco International 1.61
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 8.77
2. Oil, Energy, and Natural Gas 7.79
3. Financial Services 5.68
4. Insurance Services 5.17
5. Electrical Equipment 4.78
</TABLE>
88
<PAGE> 90
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
AEROSPACE (1.7%)
2,300 Boeing Company..................... $ 96,169
----------
AUTOMOTIVE & RELATED (2.8%)
1,200 Cooper Tire & Rubber............... 13,350
1,389 Delphi Automotive Systems.......... 20,227
1,400 Ford Motor Co. .................... 60,200
800 General Motors Corp. .............. 46,450
200 Johnson Controls Inc. ............. 10,262
200 TRW Inc. .......................... 8,675
183 Visteon Corp. ..................... 2,223
----------
161,387
----------
BANKING (3.9%)
1,600 Bank of America Corp. ............. 68,800
900 Chase Manhattan Corp. ............. 41,456
1,500 PNC Financial Service Group........ 70,313
1,600 Washington Mutual Inc. ............ 46,200
----------
226,769
----------
BROADCAST RADIO & TV (0.9%)
1,000 *AT&T Corp.-Liberty Media.......... 24,250
1,800 Charter Communications Inc. ....... 29,587
----------
53,837
----------
BUSINESS SERVICES (2.4%)
1,900 *Cendant Corp. .................... 26,600
2,300 First Data Corp. .................. 114,138
----------
140,738
----------
CHEMICALS-DIVERSIFIED (0.8%)
1,100 PPG Industries Inc. ............... 48,744
----------
COMMUNICATIONS EQUIPMENT (1.5%)
600 Lucent Technologies Inc. .......... 35,550
1,800 Motorola Inc. ..................... 52,313
----------
87,863
----------
COMPUTER & RELATED (11.1%)
2,200 Compaq Computer Corp. ............. 56,237
1,200 Computer Associates Intl. Inc. .... 61,425
600 *Computer Sciences Corp. .......... 44,812
1,300 Electronic Data Systems Corp. ..... 53,625
800 Intl. Business Machines Co. ....... 87,650
900 *Lexmark Intl. Group CL A.......... 60,525
1,900 *Novell Inc. ...................... 17,575
1,300 *Seagate Technology Inc. .......... 71,500
1,800 *Sun Microsystems Inc. ............ 163,688
1,900 *Unisys Corp. ..................... 27,669
----------
644,706
----------
CONSUMER PRODUCTS (3.2%)
800 Kimberly-Clark Corp. .............. 45,900
1,000 Liz Claiborne Inc. ................ 35,250
2,000 Phillip Morris Co. Inc. ........... 53,125
3,600 UST Inc. .......................... 52,875
----------
187,150
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
DRUGS (4.1%)
1,800 Abbott Laboratories................ $ 80,212
900 Merck & Co. Inc. .................. 68,963
1,766 Pharmacia & Upjohn Inc. ........... 91,280
----------
240,455
----------
ELECTRICAL EQUIPMENT (1.0%)
400 *Micron Technology Inc. ........... 35,225
1,500 *Viasystems Group.................. 24,281
----------
59,506
----------
ENTERTAINMENT & LEISURE (4.1%)
1,400 Brunswick Corp. ................... 23,187
1,300 *Viacom Inc. CL A.................. 88,888
1,835 *Viacom Inc. CL B.................. 125,124
----------
237,199
----------
FINANCIAL SERVICES (3.9%)
1,702 Bear Stearns Co. Inc. ............. 70,846
4,300 CIT Group Inc. CL A................ 69,875
1,000 Countrywide Credit Ind. Inc. ...... 30,313
1,700 H & R Block Inc. .................. 55,037
----------
226,071
----------
FOOD & RELATED (2.8%)
700 Anheuser Busch Co. Inc. ........... 52,281
1,800 Corn Products Intl. Inc. .......... 47,700
3,200 *Sara Lee Corp. ................... 61,800
----------
161,781
----------
INSURANCE SERVICES (7.4%)
2,400 Allstate Corp. .................... 53,400
700 CIGNA Corp. ....................... 65,450
5,024 Conseco Inc. ...................... 48,984
1,600 Lincoln National Corp. ............ 57,800
1,100 Loews Corp. ....................... 66,000
700 Marsh & McLennan Co. Inc. ......... 73,106
1,400 MBIA Inc. ......................... 67,462
----------
432,202
----------
MACHINERY (1.0%)
1,400 Ingersoll-Rand Co. ................ 56,350
----------
MANUFACTURING (3.7%)
1,100 Honeywell Intl. Inc. .............. 37,056
500 Minnesota Mining & Mfg. Co. ....... 41,250
800 Textron Inc. ...................... 43,450
1,966 Tyco International Ltd............. 93,139
----------
214,895
----------
MEDICAL & RELATED (5.4%)
900 Baxter International Inc. ......... 63,281
1,400 Bristol-Myers Squibb Co. .......... 81,550
6,700 *Healthsouth Corp. ................ 48,156
2,100 *Oxford Health Plans Inc. ......... 50,006
800 United Health Group Inc. .......... 68,600
----------
311,593
----------
</TABLE>
(continued)
89
<PAGE> 91
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
MEDIA & PUBLISHING (1.0%)
1,100 Knight Ridder Inc. ................ $ 58,506
----------
OIL, ENERGY & NATURAL GAS (8.2%)
1,700 Ashland Inc. ...................... 59,606
1,200 Coastal Corp. ..................... 73,050
1,300 Diamond Offshore Drilling.......... 45,663
1,196 Exxon Mobil Corp. ................. 93,886
1,100 Schlumberger Ltd................... 82,088
1,500 Sunoco Inc. ....................... 44,156
174 Transocean Sedco Forex Inc. ....... 9,298
1,200 USX-Marathon Group................. 30,075
900 Williams Cos. Inc. ................ 37,519
----------
475,341
----------
RETAIL (3.9%)
1,200 *Federated Department Stores....... 40,500
2,300 *K Mart Corp. ..................... 15,669
2,100 Sherwin-Williams Co. .............. 44,494
3,900 *Toys "R" Us Inc. ................. 56,794
1,200 Wal-Mart Stores Inc. .............. 69,150
----------
226,607
----------
STEEL (0.6%)
1,000 Nucor Corp. ....................... 33,188
----------
TELEPHONE/LONG DISTANCE (7.2%)
1,600 AT&T Corp. ........................ 50,600
1,500 GTE Corp. ......................... 93,375
1,500 SBC Communications Inc. ........... 64,875
600 Sprint Corp. Fon Group............. 30,600
200 Telephone & Data Systems........... 20,050
1,200 U.S. West Inc. .................... 102,900
1,200 *Worldcom Inc. .................... 55,050
----------
417,450
----------
UTILITIES (3.4%)
2,200 Edison International............... 45,100
2,300 Entergy Corp. ..................... 62,531
1,400 FPL Group Inc. .................... 69,300
500 Montana Power Co. ................. 17,656
----------
194,587
----------
WASTE DISPOSAL (0.4%)
1,352 Waste Management Inc. ............. 25,688
----------
TOTAL U.S. COMMON STOCK (86.4%)
(COST $5,198,743)................ $5,018,782
----------
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
CANADA (0.4%)
TELECOMMUNICATIONS (0.4%)
200 BCE Inc. .......................... $ 4,762
314 Nortel Networks Corp. ............. 21,431
----------
TOTAL CANADA....................... 26,193
----------
NETHERLANDS (3.7%)
ELECTRICAL EQUIPMENT (2.2%)
2,672 Philips Electronics................ 126,920
----------
OIL, ENERGY & NATURAL GAS (1.5%)
1,400 Royal Dutch Petroleum Co. ADR...... 86,188
----------
TOTAL NETHERLANDS.................. 213,108
----------
TOTAL FOREIGN COMMON STOCK (4.1%)
(COST $164,768).................. $ 239,301
----------
TOTAL COMMON STOCK (90.5%) (COST
$5,363,511)...................... $5,258,083
----------
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
MEDIA & PUBLISHING FOREIGN (2.3%)
2,800 News Corp. Ltd. ADR Australia...... $ 133,000
----------
BUSINESS SERVICES (0.1%)
400 Cendent Corp. ..................... 8,700
----------
INSURANCE (1.0%)
800 *Metlife Capital Tr. 8% 5/15/03.... 55,350
----------
TRANSPORTATION & RELATED (1.0%)
1,500 Union Pacific 6.25% 4/1/28......... 58,875
----------
TOTAL FOREIGN PREFERRED STOCK
(4.4%) (COST $195,368)........... $ 255,925
----------
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
---------------------------------------------------------
<C> <S> <C>
FINANCIAL (5.1%)
$298,000 Firstar 4.25% due 07/03/00
repurchase price $298,104
collateralized by GNMA
certificates pool # 280329 due
10/01/29 (cost $298,000)......... $ 298,000
----------
TOTAL REPURCHASE AGREEMENTS (5.1%)
(COST $298,000).................. $ 298,000
----------
TOTAL HOLDINGS (100.00%) (COST
$5,856,879) (a).................. $5,812,008
----------
LIABILITIES, NET OF CASH &
RECEIVABLES (0.0%)............... (4,698)
----------
TOTAL NET ASSETS (100.0%).......... $5,807,310
==========
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
The accompanying notes are an integral part of these financial statements.
90
<PAGE> 92
OHIO NATIONAL FUND, INC
BLUE CHIP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $5,856,879)............... $5,812,008
Cash in bank............................... 718
Receivable for securities sold............. 5,395
Receivable for fund shares sold............ 21,122
Dividends and accrued interest
receivable............................... 7,206
----------
Total assets............................. 5,846,449
----------
Liabilities:
Payable for securities purchased........... 15,293
Payable for investment management services
(note 3)................................. 10,885
Other accrued expenses..................... 12,961
----------
Total liabilities........................ 39,139
----------
Net assets at market value................... $5,807,310
==========
Net assets consist of:
Par value, $1 per share.................... $ 581,411
Paid-in capital in excess of par value..... 5,326,723
Accumulated net realized gain on
investments (note 1)..................... (60,669)
Net unrealized depreciation on investments
(note 1)................................. (44,871)
Undistributed net investment income........ 4,716
----------
Net assets at market value................... $5,807,310
==========
Shares outstanding (note 4).................. 581,411
Net asset value per share.................... $ 9.99
==========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 5,131
Dividends................................... 42,326
---------
Total investment income................... 47,457
---------
Expenses:
Management fees (note 3).................... 22,975
Custodian fees (note 3)..................... 2,399
Directors' fees (note 3).................... 175
Professional fees........................... 748
Accounting and transfer agent fees.......... 12,847
Other....................................... 1,046
---------
Total expenses............................ 40,190
---------
Net investment income..................... $ 7,267
---------
Realized and unrealized loss on investments:
Net realized loss from investments.......... $ (46,561)
Net increase in unrealized depreciation on
investments............................... (240,669)
---------
Net loss on investments................... (287,230)
---------
Net decrease in net assets from
operations.............................. $(279,963)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
91
<PAGE> 93
OHIO NATIONAL FUND, INC
BLUE CHIP PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 7,267 $ 19,961
Realized gain (loss) on investments....................... (46,561) 82,632
Unrealized appreciation (depreciation) on investments..... (240,669) 85,697
---------- -----------
Net increase (decrease) in net assets from
operations........................................... (279,963) 188,290
---------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (2,551) (19,948)
Capital gains distributions............................... (25,185) (53,285)
---------- -----------
Total dividends and distributions..................... (27,736) (73,233)
---------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 1,563,270 3,047,439
Received from dividends reinvested........................ 27,736 73,233
Paid for shares redeemed.................................. (259,971) (1,330,868)
---------- -----------
Increase in net assets derived from capital share
transactions......................................... 1,331,035 1,789,804
---------- -----------
Increase in net assets............................. 1,023,336 1,904,861
---------- -----------
Net Assets:
Beginning of period....................................... 4,783,974 2,879,113
---------- -----------
End of period (a)......................................... $5,807,310 $ 4,783,974
========== ===========
(a) Includes undistributed net investment income of......... $ 4,716 $ 0
========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED MAY 1, 1998 TO
(UNAUDITED) 1999 DECEMBER 31, 1998
---------------- ---------- -----------------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.66 $10.22 $10.00
Income from investment operations:
Net investment income..................................... 0.01 0.05 0.00
Net realized and unrealized gain (loss) on investments.... (0.62) 0.56 0.23
------ ------ ------
Total income (loss) from investment operations.......... (0.61) 0.61 0.23
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.01) (0.05) (0.01)
Distributions from net realized capital gains............. (0.05) (0.12) 0.00
------ ------ ------
Total distributions................................... (0.06) (0.17) (0.01)
------ ------ ------
Net asset value, end of period.............................. $ 9.99 $10.66 $10.22
====== ====== ======
Total return................................................ (5.75)%(b) 5.86% 2.34%(b)
Ratios and supplemental data:
Ratios net of fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.56%(a) 1.35% 1.84%(a,c)
Ratio of net investment income to average net assets.... 0.28%(a) 0.53% 0.25%(a,c)
Ratios assuming no fees reimbursed by advisor:
Ratios of expenses to average net assets................ 1.56%(a) 1.35% 2.26%(a,c)
Portfolio turnover rate..................................... 22% 29% 32%
Net assets at end of period (millions)...................... $ 5.8 $ 4.8 $ 2.9
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has elected to reimburse certain operating expenses of the Blue
Chip portfolio.
The accompanying notes are an integral part of these financial statements.
92
<PAGE> 94
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
OBJECTIVE
The Equity Income Portfolio seeks above-average income and capital appreciation
by investing primarily in income-producing equity securities
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
TOTAL RETURN:
One Year 8.47%
Since inception (5/1/98) 11.60%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The stock market in the second quarter saw negative returns in each of the major
indices, with the Dow Jones Industrial Average ("Dow") down 3.99%, the S&P 500
Index ("S&P 500") down 2.70% and the technology dominated NASDAQ Composite Index
("NASDAQ") falling 13.27%. This represented a dramatic reversal from the first
quarter in which the NADSAQ returned 12.37%. Ned Davis Research, Inc. reports
that large capitalization stocks continued their first quarter outperformance
versus small capitalization stocks by 0.40% in the quarter. As in the first
quarter, large capitalization growth stocks outperformed large capitalization
value stocks, by 2.00%. This occurred during a volatile period in which the
NASDAQ lost 37% of its value from March to May, only to begin a significant
rally in June. Among S&P 500 sectors, healthcare provided the best returns by
far for the six-month period, up 23.63%, while consumer cyclicals and basic
materials lost 18.89% and 24.84%, respectively. These sector performances
suggest that investors believe the Federal Reserve interest rate increases are
slowing the U.S. economy. A slowdown would pressure earnings from cyclical
sectors such as basic materials, and find investors buying stocks of companies
with stable earnings expectations, such as pharmaceuticals.
The Ohio National Equity Income Portfolio returned -5.78% in the quarter, below
the -1.36% return of the Average VA Equity Income Fund, as reported by Lipper
Analytical Services. Still, on a year-to-date basis, the Portfolio's total
return of 0.90% surpassed the -2.52% return of the Average VA Equity Income
Fund. Further, our year-to-date performance bests that of the Dow Jones
Industrial Average -8.48%, the S&P 500 -0.42% and the NASDAQ -2.54%.
The markets have reacted strongly to Federal Reserve interest rate increases,
which began one year ago. Numerous signs are now appearing that these rate
increases are slowing the U.S. economy. The future course of the stock market
will be determined by the Federal Reserve's success in accomplishing a "soft
landing", wherein economic growth slows somewhat and inflation remains tame.
Given the widespread belief that the Federal Reserve will now become less
aggressive, the stock market will focus on earnings. Companies which provide
disappointing earnings results will find their stocks punished.
In this environment, the fund will continue to focus on holding the stocks of
leading companies in each sector. We will maintain a significant exposure to
stocks with a history of consistent annual dividend increases, as well as
convertible bonds and preferred stocks.
CHANGE IN VALUE OF $10,000 INVESTMENT
[EQUITY INCOME PORTFOLIO GRAPH]
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO (COMMENCED
OPERATIONS MAY 1, 1998) S&P 500 INDEX
---------------------------------- -------------
<S> <C> <C>
10000 10000
6/98 9993 10143
12/98 10549.6 11079.2
6/99 11642.6 12450.8
12/99 12516.9 13410.8
6/00 12628.3 13353.1
</TABLE>
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.
93
<PAGE> 95
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Corning Inc. 2.82
2. Citigroup Inc. 2.43
3. General Electric Co 2.37
4. AT&T Corp-Liberty Media-A 2.24
5. Pfizer Inc 2.17
6. Vitesse Semicond 4.00% 03/15/05 2.01
7. Morgan Stanley Dean Witter
Discv 1.99
8. Global Crossing Ltd Conv Pfd
6.75% 1.97
9. Monsanto Co Conv Pfd $2.6 1.69
10. EMC Corp/Mass 1.88
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Electrical Equipment 8.28
2. Computer & Related 8.11
3. Financial Services 5.17
4. Broadcast Radio & TV 4.78
5. Utilities 4.22
</TABLE>
94
<PAGE> 96
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (1.2%)
1,900 Ford Motor Co. .................... $ 81,700
248 Visteon Corp. ..................... 3,016
----------
84,716
----------
BANKING (2.9%)
1,300 Bank of America Corp. ............. 55,900
1,950 Chase Manhattan Corp. ............. 89,822
1,600 Mellon Financial Corp. ............ 58,300
----------
204,022
----------
BROADCAST RADIO & TV (2.2%)
6,200 *AT&T Corp.-Liberty Media-A........ 150,350
Chemicals (1.7%)
1,300 Air Products & Chemical Inc. ...... 40,056
1,792 Duponte (EI) DE Nemours & Co. ..... 78,400
----------
118,456
----------
COMMUNICATIONS EQUIPMENT (2.7%)
700 Corning Inc. ...................... 188,913
----------
COMPUTER & RELATED (10.5%)
2,054 *Apple Computer Inc. .............. 107,578
1,400 Amdocs Automatic................... 88,375
1,700 *Cisco Systems Inc. ............... 108,056
1,634 *EMC Corp./Mass.................... 125,716
600 Intl. Business Machines Corp. ..... 65,737
600 *Lexmark Intl. Group Inc. CL A..... 40,350
1,000 *Microsoft Corp. .................. 80,000
1,300 *Sun Microsystems Inc. ............ 118,219
----------
734,031
----------
DRUGS (4.4%)
1,800 Abbott Laboratories................ 80,213
3,025 Pfizer Inc. ....................... 145,200
1,600 Schering-Plough Corp. ............. 80,800
----------
306,213
----------
ELECTRONICS/SEMICONDUCTORS (6.2%)
3,000 General Electric Co. .............. 159,000
800 *JDS Uniphase Corp. ............... 95,900
800 Intel Corp. ....................... 106,950
800 RF Micro Devices Inc. ............. 70,100
----------
431,950
----------
ENTERTAINMENT LEISURE (1.1%)
1,900 Walt Disney Co. ................... 73,744
----------
FINANCIAL SERVICES (5.4%)
2,700 Citigroup Inc. .................... 162,675
700 Merrill Lynch & Co. ............... 80,500
1,600 Morgan Stanley Dean Witter......... 133,200
----------
376,375
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
FOOD & RELATED (1.2%)
2,200 General Mills Inc. ................ $ 84,150
----------
INSURANCE SERVICES (2.5%)
2,100 Allstate Corp. .................... 46,725
900 Chubb Corp. ....................... 55,350
700 Marsh & McLennan Co. Inc. ......... 73,106
----------
175,181
----------
MEDICAL & RELATED (2.8%)
1,000 Baxter International Inc. ......... 70,313
2,100 Bristol-Myers Squibb Co. .......... 122,325
----------
192,638
----------
OIL, ENERGY & NATURAL GAS (5.0%)
700 Chevron Corp. ..................... 59,369
2,413 Conoco Inc. CL B................... 59,269
1,600 Enron Corp. ....................... 103,200
1,560 Exxon Mobil Corp. ................. 122,460
----------
344,298
----------
PUBLISHING & NEWSPAPERS (1.0%)
1,700 New York Times Co. CL A............ 67,150
----------
RETAIL (2.3%)
1,776 Home Depot Inc. ................... 88,689
1,300 Wal-Mart Stores Inc. .............. 74,912
----------
163,601
----------
TOTAL U.S. COMMON STOCK (53.1%)
(COST $3,097,810)................ $3,695,788
----------
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
---------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (1.1%)
OIL, ENERGY & NATURAL GAS (1.1%)
1,300 British Petro-Amoco ADR............ $ 73,531
----------
FINLAND (1.8%)
COMMUNICATIONS EQUIPMENT (1.8%)
2,500 Norkia Corp. Spon. ADR............. 124,844
----------
NETHERLANDS (1.6%)
ELECTRONICS (1.6%)
2,400 Koninklijke Phillips Electronics... 114,000
----------
TOTAL FOREIGN COMMON STOCK (4.5%)
(COST $296,451).................. $ 312,375
----------
TOTAL COMMON STOCK (57.6%) (COST
$3,394,261)...................... $4,008,163
----------
</TABLE>
(continued)
95
<PAGE> 97
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES CLOSED-END INVESTMENTS VALUE
---------------------------------------------------------
<C> <S> <C>
1,200 Decs Trust VI...................... $ 82,350
----------
TOTAL CLOSED-END INVESTMENTS (1.2%)
(COST $60,000)................... $ 82,350
----------
<CAPTION>
MARKET
SHARES REAL ESTATE INVESTMENT TRUSTS VALUE
---------------------------------------------------------
<C> <S> <C>
600 Post Properties Inc. .............. $ 26,400
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(0.4%) (COST $23,639)............ $ 26,400
----------
<CAPTION>
MARKET
SHARES PREFERRED STOCKS VALUE
---------------------------------------------------------
<C> <S> <C>
BROADCAST RADIO & TV (2.5%)
1,200 Cox Communications Inc. Conv.
Prides $.875..................... $ 73,725
900 Cox Communications Conv.
Sprint PCS 7.75%................. 99,900
----------
173,625
----------
CHEMICALS (1.8%)
2,800 Monsanto Co. Conv. $2.60........... 126,700
----------
COMMUNICATIONS (3.1%)
600 Global Crossing Ltd. Conv. 6.75%... 131,700
500 Nextlink Communications Conv. ..... 86,063
----------
217,763
----------
FOOD & RELATED (0.9%)
1,200 *Suiza Foods Corp. $2.75........... 45,750
400 Suiza Foods Corp. Conv. (144A)..... 15,150
----------
60,900
----------
INSURANCE (1.8%)
1,800 *Metlife Capital Tr I 8% 5/15/03... 124,538
----------
MACHINERY (0.8%)
2,700 Ingresoll Rand Co. 6.75% Conv. .... 55,012
----------
TRANSPORTATION & EQUIPMENT (0.7%)
1,200 Union Pacific Cibv................. 47,100
----------
UTILITIES (2.6%)
1,600 Reliant Energy Conv. 2%............ 117,000
1,700 Texas Utilities Co. Prides
$4.625........................... 66,087
----------
183,087
----------
TOTAL PREFERRED STOCKS (14.2%)
(COST $1,012,387)................ $ 988,725
----------
<CAPTION>
FACE MARKET
AMOUNT CONVERTIBLE DEBENTURES VALUE
---------------------------------------------------------
<C> <S> <C>
ADVERTISING SERVICES (0.7%)
$ 5,000 Omnicom Group Inc.
4.250%01/03/07................... $ 14,044
20,000 Omnicom Group Inc.
2.250%01/06/13................... 36,750
----------
50,794
----------
COMPUTER & RELATED (3.2%)
105,000 Juniper Networks 4.750% 03/15/07... 114,844
35,000 Vertias Software Corp. 1.856%
08/13/06......................... 110,294
----------
225,138
----------
ELECTRONICS/SEMICONDUCTORS (6.5%)
20,000 ASM Lithography (144A) 4.250%
11/30/04......................... 26,750
25,000 Conexant Systems Inc. 4.000%
02/01/07 (144A).................. 19,656
20,000 Cypress Semiconductor Corp. 3.750%
07/01/05......................... 19,525
10,000 Cypress Semiconductor Corp. 6.000%
10/01/02......................... 17,775
15,000 LSI Logic Corp. (144A) 4.250%
03/15/04......................... 52,706
15,000 LSI Logic Corp. 4.250% 03/15/04.... 52,706
35,000 Sanmina Corp. 4.250% 05/01/04...... 70,000
60,000 SCI Systems Inc. 3.000% 03/15/07... 59,175
145,000 Vitesse Semiconductor 4.000%
03/15/05 (144A).................. 134,850
----------
453,143
----------
INTERNET PRODUCTS & SERVICES (3.5%)
40,000 Amazon.Com 4.750% 02/01/09......... 25,300
6,000 America On-line 4.000% 11/15/02.... 47,625
50,000 Digital Island 6.000% 02/15/05..... 35,687
15,000 Double Click Inc. 4.750%
03/15/06......................... 16,069
40,000 Exodus Communications Inc. 4.750%
7/15/08 (144A)................... 57,200
40,000 Exodus Communications Inc. 4.750%
07/15/08......................... 57,200
----------
239,081
----------
MEDICAL & RELATED (1.4%)
105,000 Roche Holdings Inc. (144A)
Zero Coupon Due 01/19/15......... 94,763
----------
TELECOMMUNICATIONS (3.5%)
85,000 Level 3 Communications 6.000%
03/15/10......................... 76,925
90,000 NTL Inc. (144A) 5.750% 12/15/09.... 71,100
95,000 Nextell Communications 5.250%
01/15/10 (144A).................. 96,425
----------
244,450
----------
TOTAL CONVERTIBLE DEBENTURES
(18.8%) (COST $1,229,708)........ $1,307,369
----------
</TABLE>
(continued)
96
<PAGE> 98
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
---------------------------------------------------------
<C> <S> <C>
FINANCIAL (4.2%)
$289,000 Firstar 4.25% 07/03/00 repurchase
price $289,101 collateralized by
GNMA certificates pool # 280329
due 10/01/29 (cost $289,000)..... $ 289,000
----------
TOTAL REPURCHASE AGREEMENTS (4.2%)
(COST $289,000).................. $ 289,000
----------
TOTAL HOLDINGS (96.4%)
(COST $6,008,995) (a)............ $6,702,007
----------
CASH & RECEIVABLES,
NET OF LIABILITIES (3.6%)........ 253,489
----------
TOTAL NET ASSETS (100.0%).......... $6,955,496
==========
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
(144A) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may be resold in transactions exempt from
registration, normally to qualified buyers. At the period end, the value
of these securities amounted to $553,450 or 8.0% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
The accompanying notes are an integral part of these financial statements.
97
<PAGE> 99
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $6,008,995)............... $6,702,007
Cash in bank............................... 615
Receivable for fund shares sold............ 144,140
Receivable for securities sold............. 168,343
Dividends and accrued interest
receivable............................... 23,410
----------
Total assets............................. 7,038,515
----------
Liabilities:
Payable for securities purchased........... 60,342
Payable for investment management services
(note 3)................................. 4,123
Other accrued expenses..................... 10,854
Dividends payable.......................... 7,700
----------
Total liabilities........................ 83,019
----------
Net assets at market value................... $6,955,496
==========
Net assets consist of:
Par value, $1 per share.................... $ 558,235
Paid-in capital in excess of par value..... 5,751,318
Accumulated net realized loss on
investments (note 1)..................... (65,315)
Net unrealized appreciation on investments
(note 1)................................. 693,012
Undistributed net investment income........ 18,246
----------
Net assets at market value................... $6,955,496
==========
Shares outstanding (note 4).................. 558,235
Net asset value per share.................... $ 12.46
==========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 17,219
Dividends................................... 43,773
--------
Total investment income................... 60,992
--------
Expenses:
Management fees (note 3).................... 20,692
Custodian fees (note 3)..................... 2,386
Directors' fees (note 3).................... 60
Professional fees........................... 3,844
Accounting and transfer agent fees.......... 2,710
Other....................................... 437
--------
Total expenses............................ 30,129
--------
Net investment income..................... $ 30,863
--------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments.......... $ 10,994
Net decrease in unrealized appreciation on
investments............................... (17,487)
--------
Net loss on investments................... (6,493)
--------
Net increase in net assets from
operations.............................. $ 24,370
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
98
<PAGE> 100
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- ----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 30,863 $ 32,240
Realized gain (loss) on investments....................... 10,994 (70,596)
Unrealized appreciation (depreciation) on investments..... (17,487) 592,478
---------- ----------
Net increase in net assets from operations............ 24,370 554,122
---------- ----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (12,617) (32,206)
---------- ----------
From capital share transactions (note 4):
Received from shares sold................................. 2,738,854 2,198,205
Received from dividends reinvested........................ 12,617 32,206
Paid for shares redeemed.................................. (181,403) (598,466)
---------- ----------
Increase in net assets derived from capital share
transactions......................................... 2,570,068 1,631,945
---------- ----------
Increase in net assets............................. 2,851,821 2,153,861
Net Assets:
Beginning of period....................................... 4,373,675 2,219,814
---------- ----------
End of period(a).......................................... $6,955,496 $4,373,675
========== ==========
(a) Includes undistributed net investment income of....... $ 18,246 $ 34
========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED MAY 1, 1998 TO
(UNAUDITED) 1999 DECEMBER 31, 1998
---------------- ---------- -----------------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $12.38 $10.53 $10.00
Income from investment operations:
Net investment income..................................... 0.12 0.11 0.07
Net realized and unrealized gain (loss) on investments.... (0.01) 1.85 0.53
------ ------ ------
Total income from investment operations................. 0.11 1.96 0.60
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.03) (0.11) (0.07)
------ ------ ------
Net asset value, end of period.............................. $12.46 $12.38 $10.53
====== ====== ======
Total return................................................ 0.90%(b) 18.58% 5.92%(b)
Ratios and supplemental data:
Ratios net of fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.08%(a) 1.28% 1.77%(a,c)
Ratio of net investment income to average net assets.... 1.11%(a) 1.05% 1.04%(a,c)
Ratios assuming no fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.08%(a) 1.28% 2.41%(a,c)
Portfolio turnover rate..................................... 40% 50% 38%
Net assets at end of period (millions)...................... $ 7.0 $ 4.4 $ 2.2
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has elected to reimburse certain operating expenses of the
Equity Income portfolio.
The accompanying notes are an integral part of these financial statements.
99
<PAGE> 101
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
OBJECTIVE
The High Income Bond Portfolio seeks high current income by investing primarily
in lower rated corporate debt obligations.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURNS:
<TABLE>
<S> <C>
One-year (2.04%)
Since inception (5/1/98) (0.04%)
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
The high yield market generated unattractive absolute and relative returns for
the 6 months ending June 30, 2000. For example, the Lehman Brothers Aggregate
Bond Index, a measure of high quality bond performance, returned 3.99% during
the period versus -1.21% for the Lehman Brothers High Yield Bond Index. Three
primary reasons accounted for the high yield market's underperformance. First,
credit risk remains high as the default rate for high yield securities ran at a
5.2% annualized rate during the period. Second, the Fed's campaign to slow the
domestic economy has created the possibility that a sustained business slowdown
may be near which could possibly lead to even higher default rates. Third, high
yield mutual funds experienced substantial redemption activity from January
through May placing considerable selling pressure on the market. A modest
reversal of shareholder activity in June did lead to a substantial rally in the
market. Illustrating the market's weakness, the yield spread between the Credit
Suisse First Boston High Yield Bond Index and Treasury securities widened from
573 basis points to 728 basis points during the period.
The Ohio National High Income Bond Portfolio has a return of (1.90)% vs. (1.18)%
for the Merrill-Lynch High-Yield Bond Index during the first six months of 2000.
Several factors impacted performance. On the positive side, the fund's
underweight in CCC-rated and below securities aided performance as that sector
traded lower in sympathy with above average default rates and the second quarter
weakness in the NASDAQ. The fund's overweights in the chemical and
telecommunications sectors positively impacted performance. Specific positions
in Albecca and R&B Falcon substantially outperformed the market based on good
operating performance while Johnstown America, Dialog, International Home Foods,
Verio and US Xchange announced plans to be acquired which led to strong
performance by their securities. Finally, Tekni-plex tendered for their
outstanding securities at attractive prices. On the negative side, the fund's
underweight in energy, gaming and BB-rated securities negatively impacted
performance as did poor performance by Regal Cinema, Dade, US Office Products,
AEI Resources and NationsRent.
Credit and mutual fund flows will dictate the performance of high yield
securities in the near term. We expect default rates to remain around 5 percent
for the balance of 2000 but believe the bulk of the performance impact of
deteriorating credit has already been felt with many issuers trading at
distressed levels. Positive mutual fund inflows in June and the rally they
triggered illustrate the fundamental value in the market. However, for the rally
to continue through the third quarter, credit conditions and mutual fund flows
need to stabilize.
From a portfolio perspective, our largest industry exposure continues to be the
telecommunication sector given the strong growth characteristics of the segment
coupled with what we believe will be a very healthy merger and acquisition
environment. We have also been maintaining our exposure to the beaten-down
health care segment as specific companies look attractive relative to the
overall market. From an overall market perspective, we believe substantial value
exists in two general areas, selective BB-rated securities which are trading
cheap to historical levels and issuers trading in the $75 to $90 range where
credit fundamentals are stable to improving. We are seeking to capitalize in
these areas while being always cognizant of the overall credit environment.
100
<PAGE> 102
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
CHANGE IN VALUE OF $10,000 INVESTMENT
[CHART]
<TABLE>
<CAPTION>
HIGH INCOME BOND PORTFOLIO
(COMMENCED OPERATIONS MAY 1, 1998) MERRILL LYNCH HIGH-YIELD BOND INDEX
---------------------------------- -----------------------------------
<S> <C> <C>
10000 10000
6/98 10090 10118
12/98 9958.8 10036
6/99 10172 10312
12/99 10157.7 10293.5
6/00 9963.7 10198.8
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Chancellor Media Corp 2.92
2. Nextel Communications 2.76
3. NTL Inc 2.52
4. Tenet Healthcare Corp. 2.21
5. Allied Waste North America,
Inc. 2.17
6. Nextlink Communications, Inc. 2.09
7. Global Crossing Holdings Ltd. 1.91
8. Level 3 Communications 1.90
9. United International Holdings,
Inc. 1.77
10. Intermedia Communication 1.67
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Telecommunications &
Cellular 23.68
2. Cable Television 10.97
3. Broadcast Radio & TV 6.92
4. Consumer Products 6.22
5. Healthcare 5.27
</TABLE>
101
<PAGE> 103
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
AEROSPACE (0.5%)
$ 50,000 Anteon Corp.
12.000% 05/15/09.................... $ 46,000
50,000 Fairchild Corp.
10.750% 04/15/09.................... 33,750
-----------
79,750
-----------
AUTOMOTIVE & RELATED (4.1%)
50,000 Aftermarket Technology Series D
12.000% 08/01/04.................... 50,250
150,000 American Axle & Manufacture
9.750% 03/01/09..................... 141,375
50,000 Collins & Aikman Products
11.500% 04/15/06.................... 48,125
50,000 Fleetpride Inc.
12.000% 08/01/05.................... 36,250
50,000 J.L. French Automotive C (144A)
11.500% 06/01/09.................... 45,750
225,000 Lear Corp. Co.
8.110% 05/15/09..................... 206,042
50,000 Transportation Mfg. Operation
11.250% 05/01/09.................... 43,750
-----------
571,542
-----------
BANKING (1.0%)
150,000 GS Escrow Corp.
7.125% 08/01/05..................... 133,647
-----------
BROADCAST RADIO & TV (5.7%)
50,000 *Big City Radio Inc. due 03/15/05
0% till 03/15/01 then 11.250%....... 28,250
300,000 Chancellor Media Corp.
8.125% 12/15/07..................... 302,625
100,000 Chancellor Media Corp.
9.000% 10/01/08..................... 102,500
150,000 *Fox/Liberty Networks LLC due
08/15/07
0% till 08/01/02 then 9.750%........ 117,375
50,000 Orion Network Systems
11.250% 01/15/07..................... 29,250
200,000 Sinclair Broadcast Group
8.750% 12/15/07..................... 177,000
50,000 XM Satellite Radio Inc. (144A)
14.000% 03/15/10.................... 44,375
-----------
801,375
-----------
BUILDING & CONSTRUCTION (0.9%)
50,000 Formica Corp.
10.875% 03/01/09.................... 38,750
50,000 Juno Lighting Inc.
11.875% 07/01/09.................... 41,750
50,000 NCI Building Systems Ser. B
9.250% 05/01/09..................... 47,250
-----------
127,750
-----------
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
BUSINESS SERVICES (4.7%)
$ 50,000 Buhrmann US Inc (144A)
12.250% 11/01/09.................... $ 52,250
50,000 Coinmatch Corp.
11.750% 11/15/05.................... 48,250
50,000 Crown Castle Intl. Corp.
10.750% 08/01/11.................... 51,000
100,000 *Crown Castle Intl. Corp. due
05/15/11
0% till 05/15/04 then 10.375%....... 61,500
100,000 *Crown Castle Intl. Corp. due
08/01/11
0% till 08/01/04 then 11.250%....... 62,500
150,000 Fisher Scientific Intl.
9.000% 02/01/08..................... 139,875
50,000 Orius Capital Corp. (144A)
12.750% 02/01/10.................... 51,750
100,000 Sitel Corp. NT
9.250% 03/15/06..................... 91,500
50,000 *Spectrasite Holdings Inc. due
03/15/10
0% 03/15/05 then 12.875%............ 27,750
50,000 URS Corp. (144A)
12.250% 05/01/09.................... 50,750
100,000 US Office Products Co.
9.750% 06/15/08..................... 22,500
-----------
659,625
-----------
CABLE TV (10.7%)
200,000 CSC Holdings Inc.
9.250% 11/01/05..................... 201,000
325,000 *Charter Communications H due
04/01/11
0% till 04/01/04 then 9.920%........ 186,063
125,000 Diamond Cable Comm. PLC due 02/15/07
0% till 02/15/02 then 10.750%....... 95,938
150,000 Echostar DBS Corp.
9.375% 02/01/09..................... 146,250
50,000 *Golden Sky DBS due 3/01/07
0% till 03/01/04 then 13.500%....... 34,000
325,000 *NTL Inc. due 04/01/08
0% till 04/01/03 then 9.750%........ 204,750
75,000 *NTL Inc. due 10/01/08
0% till 10/01/03 then 12.375%....... 48,750
100,000 Pegasus Communication Series B
9.625% 10/15/05..................... 97,000
50,000 *RCN Corp. due 10/15/07
0% till 10/15/02 then 11.125%....... 30,750
50,000 *RCN Corp. Ser. B due 10/15/07
0% till 10/15/02 then 9.800%........ 27,250
175,000 *Telewest Communication PLC due
10/01/07
0% till 10/01/00 then 11.000%....... 168,219
175,000 *United Intl. Holdings Series B due
02/15/08
0% till 02/15/03 then 10.750%....... 121,625
</TABLE>
(continued)
102
<PAGE> 104
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
CABLE TV (CONTINUED)
$200,000 *United Pan-Europe Communications due
08/01/09 0% till 08/01/04 then
12.500%............................. $ 99,000
50,000 *United Pan-Europe Communications due
11/01/09 0% till 11/01/04 then
13.375% (144A)...................... 24,750
-----------
1,485,345
-----------
CHEMICALS (3.7%)
50,000 Georgia Gulf Corp. (144A)
10.375% 11/01/07.................... 52,000
50,000 Huntsman Corp. (144A)
9.500% 07/01/07..................... 45,250
50,000 Huntsman ICI Chemicals (144A)
10.125% 07/01/09.................... 50,500
150,000 Lyondell Chemical Co.
10.875% 05/01/09.................... 149,250
200,000 Polymer Group Inc.
8.750% 03/01/08..................... 169,000
50,000 Texas Petrochemicals Corp.
11.125% 07/01/06.................... 42,750
-----------
508,750
-----------
CONGLOMERATES (0.5%)
75,000 Eagle Picher Industries
9.375% 03/01/08..................... 63,750
-----------
CONSUMER PRODUCTS (6.6%)
75,000 Albecca Inc.
10.750% 08/15/08.................... 63,375
100,000 Amscan Holdings Inc.
9.875% 12/15/07..................... 82,500
100,000 Chattem Inc. Series B
8.875% 04/01/08..................... 80,500
75,000 Jostens Inc. (144A)
12.750% 05/01/10.................... 74,625
100,000 NBTY Inc.
8.625% 09/15/07..................... 87,500
100,000 Playtex Family Products Corp.
9.000% 12/15/03..................... 97,500
150,000 Revlon Consumer Products Corp.
8.625% 02/01/08..................... 76,500
50,000 Royster-Clark
10.250% 04/01/09.................... 40,750
50,000 Scotts Co. (144A)
8.625% 01/15/09..................... 47,750
125,000 *Sealy Mattress Co. Series B due
12/05/07
0% till 12/15/02 then 10.875%....... 90,625
50,000 Sleepmaster L.L.C.(144A)
11.000% 05/15/09.................... 47,250
50,000 True Temper Sports Inc. Ser. B
10.875% 12/01/08.................... 49,250
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
CONSUMER PRODUCTS (CONTINUED)
$ 50,000 United Industries Corp.
9.875% 04/01/09..................... $ 30,250
50,000 Volume Services America
11.250% 03/01/09.................... 46,000
-----------
914,375
-----------
CONTAINERS (2.7%)
75,000 Huntsman Packaging Corp. (144A)
13.000% 06/01/10.................... 77,250
150,000 Owens-Illinois Inc.
7.150% 05/15/05..................... 137,372
50,000 Russell Stanley Holdings
10.875% 02/15/09.................... 34,250
75,000 Stone Container
11.500% 10/01/04.................... 78,000
50,000 Tenki-Plex Inc.
12.750% 06/15/10.................... 50,125
-----------
376,997
-----------
ECOLOGICAL SERVICES & EQUIPMENT
(2.2%)
200,000 Allied Waste N.A.
7.625% 01/01/06..................... 175,000
150,000 Allied Waste N.A. (144A)
10.000% 08/01/09.................... 126,000
-----------
301,000
-----------
ELECTRICAL EQUIPMENT (2.7%)
60,000 Amphenol Corp.
9.875% 05/15/07..................... 60,900
50,000 Fairchild Semiconductor
10.375% 10/01/07.................... 50,750
50,000 Flextronics Intl. Ltd. (144A)
9.875% 07/01/10..................... 50,875
32,000 SCG Holding Corp. (144A)
12.000% 08/01/09.................... 34,400
100,000 Telecommunications Techniques
9.750% 05/15/08..................... 92,500
100,000 Wesco Distribution Inc.
9.125% 06/01/08..................... 92,000
-----------
381,425
-----------
ENTERTAINMENT & LEISURE (1.9%)
100,000 *Amf Bowling Worldwide Inc. due
03/15/06
0% till 03/15/01 then 12.250%....... 20,500
325,000 *Premier Parks Inc. due 04/01/08
0% till 04/01/03 then 10.000%....... 223,438
100,000 Regal Cinemas Inc.
9.500% 06/01/08..................... 24,500
-----------
268,438
-----------
FINANCIAL SERVICES (1.1%)
50,000 RBF Finance Co.
11.375% 03/15/09.................... 54,250
100,000 Trizee Finance
10.875% 10/15/05.................... 101,000
-----------
155,250
-----------
</TABLE>
(continued)
103
<PAGE> 105
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
FOOD & RELATED (3.5%)
$100,000 Agrilink Foods Inc.
11.875% 11/01/08.................... $ 80,500
100,000 Aurora Foods Inc.
9.875% 02/15/07..................... 59,500
50,000 Carrols Corp. Co.
9.500% 12/01/08..................... 41,750
50,000 *Del Monte Foods Co. Ser. B due
12/15/07
0% till 12/15/02 then 12.500%....... 38,125
50,000 Dominos Inc.
10.375% 01/15/09.................... 46,625
100,000 Eagle Family Foods
8.750% 01/15/08..................... 59,500
100,000 International Home Foods
10.375% 11/01/06.................... 107,500
50,000 Triarc Consumer Products
10.250% 01/15/09 (144A)............. 48,500
-----------
482,000
-----------
HOTELS & LODGING (1.5%)
100,000 Florida Panthers RST
9.875% 04/15/09..................... 94,250
125,000 HMH Properties Inc. Series B
7.875% 08/01/08..................... 112,969
-----------
207,219
-----------
INDUSTRIAL (0.3%)
50,000 Unifax Investment Corp.
10.500% 11/01/03.................... 46,750
-----------
INTERNET SOFTWARE (2.3%)
50,000 Exodus Communications (144A)
11.625% 07/15/10.................... 50,500
50,000 Northerpoint Communications
12.875% 02/15/10.................... 36,250
100,000 Psinet Inc.
10.000% 02/15/05.................... 93,000
50,000 Psinet Inc.
11.000% 08/01/09.................... 47,000
50,000 Rhythms Net Connections (144A)
14.000% 02/15/10.................... 36,250
50,000 Verio Inc. (144A)
10.625% 11/15/09.................... 55,250
-----------
318,250
-----------
MACHINERY (0.3%)
50,000 WEC Co.
12.00% 07/15/09..................... 42,250
-----------
MANUFACTURING (0.7%)
50,000 Blout Inc. (144A)
13.000% 08/01/09.................... 51,250
50,000 Cabot Safety Corp.
12.500% 07/15/05.................... 50,250
-----------
101,500
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
MEDICAL & RELATED (5.3%)
$125,000 Columbia HCA Healthcare
6.910% 06/15/05..................... $ 114,318
100,000 Conmed Corp.
9.000% 03/15/08..................... 92,000
50,000 Dade Intl. Inc. Series B
11.125% 05/01/06.................... 28,250
50,000 *Genesis Health Ventures
9.250% 10/01/06..................... 4,750
50,000 Hanger Orthopedic Group
11.250% 06/15/09.................... 43,750
100,000 Hudson Respiratory Care Inc.
9.125% 04/15/08..................... 70,500
100,000 Kinetic Concepts Corp.
9.625% 11/01/07..................... 74,500
75,000 Tenet Health Corp.
9.250% 09/01/10..................... 75,938
250,000 Tenet Health Corp.
8.125% 12/01/08..................... 231,250
-----------
735,256
-----------
METAL & MINING (0.7%)
7,500 *AEI Resources Inc. (144A)
11.500% 12/15/06.................... 7,875
100,000 Neenah Corp. 11.125% 05/01/07........ 77,000
50,000 *Republic Technologies (144A)13.750%
07/15/09............................ 6,500
-----------
91,375
-----------
PRINTING & PUBLISHING (0.3%)
50,000 Garden State Newspapers Inc.
8.750% 10/01/09..................... 45,750
-----------
OIL, ENERGY & NATURAL GAS (2.0%)
50,000 Forest Oil Corp.
10.500% 01/15/06.................... 51,125
100,000 Pride Petroleum Services
9.375% 05/01/07..................... 100,500
50,000 R&B Falcon Corp.
12.250% 03/15/06.................... 55,250
75,000 Triton Energy Ltd.
8.750% 04/15/02..................... 74,625
-----------
281,500
-----------
RENTAL AUTO/EQUIPMENT (1.2%)
50,000 Nationsrent Inc.
10.375% 12/15/08.................... 32,250
50,000 United Rentals Inc.
9.250% 01/15/09..................... 45,250
100,000 United Rentals Inc.
9.000% 04/01/09..................... 89,000
-----------
166,500
-----------
RETAIL (0.3%)
50,000 Community Distributions Inc.
10.250% 10/15/04.................... 39,750
-----------
</TABLE>
(continued)
104
<PAGE> 106
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS & CELLULAR (22.2%)
$ 50,000 Arch Communications Group
12.750% 07/01/07.................... $ 40,250
150,000 *Call-Net Enterprises Inc. due
08/15/07
0% till 8/15/02 then 9.270%......... 71,805
100,000 *Call-Net Enterprises Inc. due
05/15/09
0% till 05/15/04 then 10.800%....... 38,500
50,000 Centennial Cellular Corp.
10.750% 12/15/08.................... 50,250
275,000 Global Crossing (144A)
9.500% 11/15/09..................... 265,375
100,000 Hermes Europe Railtel B.V.
11.500% 08/15/07.................... 88,000
250,000 Intermedia Communications
8.600% 06/01/08..................... 229,375
100,000 *Level 3 Communication Inc. due
12/01/08
0% till 12/01/03 then 10.500%....... 60,000
225,000 Level 3 Communication Inc.
9.125% 05/01/08..................... 203,062
225,000 *McLeod USA Inc. due 03/01/07 0% till
03/01/02 then 10.500%............... 186,750
50,000 Metromedia Fiber Network
10.000% 12/15/09.................... 49,250
100,000 Millicom International due 06/01/06
0% till 06/01/01 then 13.500%....... 85,500
225,000 *Nextel Communications due 02/15/08
0% till 02/15/03 then 9.950%........ 165,937
225,000 Nextel Communications (144A)
9.375% 11/15/09..................... 217,125
225,000 *Nextlink Communications due 04/15/08
0% 04/15/03 then 9.450%............. 141,750
100,000 Nexlink Communications
10.750% 06/01/09.................... 148,875
125,000 *Qwest Communications Intl. due
10/15/07
0% 10/15/02 then 9.470%............. 101,875
100,000 Rogers Cantel
8.800% 10/01/07..................... 100,000
150,000 *Telesystem Intl. Wireless Ser. B
due 06/30/07 0% till 06/30/02
then 13.250%........................ 105,750
75,000 Teligent Inc.
11.500% 12/01/07.................... 59,625
50,000 Teligent Inc.
11.500% 03/01/08.................... 24,250
100,000 Tritel PCS Inc. due 05/15/09
0% till 05/15/04 then 12.750%....... 66,500
100,000 *Triton PCS Inc. due 05/01/08
0% till 05/01/03 then 11.000%....... 73,500
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
-------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS & CELLULAR
(CONTINUED)
$ 50,000 US Exchange L.L.C.
15.000% 07/01/08.................... $ 54,625
225,000 *Viatel Inc. due 04/15/08 0% till
04/15/03 then 12.500%............... 104,625
50,000 VoiceStream Wireless
10.375% 11/15/09.................... 52,250
125,000 *VoiceStream Wireless Holdings due
11/15/09 0% till 11/15/04 then
11.875% (144A)...................... 84,375
100,000 Williams Communications
10.875% 10/01/09.................... 98,000
149,000 *Winstar Communications I due
04/15/10
0% till 04/15/05 then 14.750%....... 71,520
50,000 Winstar Communications I
12.750% 04/15/10 (144A)............. 48,500
-----------
3,087,199
-----------
TEXTILES & RELATED (0.7%)
100,000 GFSI Inc. Series B
9.625% 03/01/07..................... 72,500
75,000 *Glenoit Corp. 11.000% 04/15/07...... 10,875
50,000 Pillowtex Corp. 10.000% 11/15/06..... 18,250
-----------
101,625
-----------
TRANSPORTATION & EQUIPMENT (1.6%)
50,000 Allied Holdings Inc.
8.625% 10/01/07..................... 44,500
50,000 *Gearbulk Holding Ltd.
11.250% 12/01/04.................... 50,625
50,000 Railworks Corp.
11.500% 04/15/09.................... 48,250
125,000 Stena Line AB
10.625% 06/01/08.................... 73,750
-----------
217,125
-----------
UTILITIES (1.6%)
75,000 Caithness Coso Fund Corp.
9.050% 12/15/09..................... 73,500
100,000 El Paso Electric Co.
9.400% 05/01/11..................... 105,451
50,000 *Niagara Mohawk Power Series H due
07/01/10 0% till 07/01/03 then
8.500%.............................. 38,244
-----------
217,195
-----------
TOTAL LONG-TERM BONDS & NOTES (93.5%)
(COST $14,199,112).................. $13,010,263
-----------
</TABLE>
(continued)
105
<PAGE> 107
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
MEDIA & PUBLISHING (0.8%)
1,300 Primedia Inc. Series H
8.625% 04/01/10..................... $ 111,150
-----------
OIL, ENERGY & NATURAL GAS (0.5%)
54 R&B Falcon Corp. 13.875%............. 62,547
-----------
TELECOMMUNICATIONS (0.2%)
50 *Benedek Communications
11.500% 05/18/08.................... 32,750
-----------
TOTAL PREFERRED STOCKS (1.5%)
(COST $227,946)..................... $ 206,447
-----------
<CAPTION>
MARKET
SHARES WARRANTS VALUE
-------------------------------------------------------------
<C> <S> <C>
50 Metricom Inc......................... $ 1,012
50 Republic Technology.................. 1
-----------
TOTAL WARRANTS (0.0%)................ $ 1,013
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (4.0%)
$561,000 Firstar Bank 4.25% due 07/03/00
repurchase price $561,196
collateralized by GNMA certificates,
pool # 280329 due 10/01/28 (cost
$561,000)........................... $ 561,000
-----------
TOTAL REPURCHASE AGREEMENTS (4.0%)
(COST $561,000)..................... $ 561,000
-----------
TOTAL HOLDINGS (99.0%)
(COST $14,988,057)(a)............... $13,778,723
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.0%).................. 132,035
-----------
TOTAL NET ASSETS (100.0%)............ $13,910,758
===========
</TABLE>
---------------
* Non-income producing securities.
(144A) Security exempt from registration under Rule 144A of the Securities Act
of 1933. These Securities may be resold in transactions exempt from
registration, normally to qualified buyers. At the period end, the value
of these securities amounted to $1,695,775 or 12.2% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
The accompanying notes are an integral part of these financial statements.
106
<PAGE> 108
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1)(cost $14,988,057).............. $13,778,723
Cash in bank.............................. 198
Receivable for fund shares sold........... 26,903
Dividends and accrued interest
receivable.............................. 501,395
-----------
Total assets............................ 14,307,219
-----------
Liabilities:
Payable for securities sold............... 152,802
Payable for investment management services
(note 3)................................ 8,371
Other accrued expenses.................... 20,288
Dividends payable......................... 215,000
-----------
Total liabilities....................... 396,461
-----------
Net assets at market value.................. $13,910,758
===========
Net assets consist of:
Par value, $1 per share................... $ 1,556,356
Paid-in capital in excess of par value.... 13,718,054
Accumulated net realized loss on
investments (note 1).................... (393,385)
Net unrealized depreciation on investments
(note 1)................................ (1,209,334)
Undistributed net investment income....... 239,067
-----------
Net assets at market value.................. $13,910,758
===========
Shares outstanding (note 4)................. 1,566,356
Net asset value per share................... $ 8.88
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 519,833
Dividends................................... 5,606
---------
Total investment income................... 525,439
---------
Expenses:
Management fees (note 3).................... 48,417
Custodian fees (note 3)..................... 2,318
Directors' fees (note 3).................... 158
Professional fees........................... 3,869
Accounting and transfer agent fees.......... 12,531
Other....................................... 1,003
---------
Total expenses............................ 68,296
---------
Net investment income..................... $ 457,143
---------
Realized and unrealized loss on investments:
Net realized loss from investments.......... $(196,582)
Net increase in unrealized depreciation on
investments............................... (493,254)
---------
Net loss on investments................... (689,836)
---------
Net decrease in net assets from
operations.............................. $(232,693)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
107
<PAGE> 109
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED MAY 1, 1998 TO
(UNAUDITED) 1999 DECEMBER 31, 1998
---------------- ----------- -----------------
<S> <C> <C> <C>
From operations:
Net investment income..................................... $ 457,143 $ 712,592 $ 385,649
Realized loss on investments.............................. (196,582) (196,803) 18,061
Unrealized depreciation on investments.................... (493,254) (299,814) (416,266)
----------- ----------- -----------
Net increase (decrease) in net assets from
operations......................................... (232,693) 215,975 (12,556)
----------- ----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (231,310) (698,972) (386,035)
----------- ----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 1,938,772 2,977,591 10,451,643
Received from dividends reinvested........................ 231,310 698,972 404,096
Paid for shares redeemed.................................. (405,812) (1,013,822) (8,340)
----------- ----------- -----------
Increase in net assets derived from capital share
transactions....................................... 1,764,270 2,662,741 10,847,399
----------- ----------- -----------
Increase in net assets............................. 1,300,267 2,179,744 10,430,747
Net Assets:
Beginning of period....................................... 12,610,491 10,430,747 0
----------- ----------- -----------
End of period (a)......................................... $13,910,758 $12,610,491 $10,430,747
=========== =========== ===========
(a) Includes undistributed net investment income of......... $ 239,067 $ 13,620 $ 0
=========== =========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED MAY 1, 1998 TO
(UNAUDITED) 1999 DECEMBER 31, 1998
---------------- ---------- -----------------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 9.22 $ 9.59 $10.00
Income (loss) from investment operations:
Net investment income..................................... 0.31 0.57 0.38
Net realized and unrealized loss on investments........... (0.49) (0.38) (0.40)
------ ------ ------
Total Income (loss) from investment operations.......... (0.18) 0.19 (0.02)
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.16) (0.56) (0.37)
Distributions from net realized capital gains............. 0.00 0.00 (0.02)
------ ------ ------
Total distributions..................................... (0.16) (0.56) (0.39)
------ ------ ------
Net asset value, end of period.............................. $ 8.88 $ 9.22 $ 9.59
====== ====== ======
Total return................................................ (1.90)%(b) 1.95% 0.20%(b)
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.05%(a) 1.13% 1.20%(a)
Ratio of net investment income to average net assets...... 7.04%(a) 6.19% 5.79%(a)
Portfolio turnover rate..................................... 8% 31% 11%
Net assets at end of period (millions)...................... $ 13.9 $ 12.6 $ 10.4
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
108
<PAGE> 110
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (a)
OBJECTIVE
The Capital Growth Portfolio seeks capital appreciation by investing primarily
in common stocks of emerging growth companies.
PERFORMANCE AS OF JUNE 30, 2000
<TABLE>
<S> <C>
TOTAL RETURN:
One-Year 86.49%
Since inception (5/1/98) 77.71%
</TABLE>
A substantial portion of the Capital Growth portfolio's investments have been in
initial public offerings or recent issues of technology companies that were
purchased during a period favorable for those stocks. There can be no assurance
that such investments will continue to be as available or that they will
continue to have so positive an effect on the portfolio's future performance.
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses.
COMMENTS
We weathered a very tough second quarter and have ended the first half of 2000
in solid shape. Bolstered by strong first quarter performance, the ON Series
Capital Growth portfolio was up 9.85% at mid-year against a slight increase of
1.23% in the Russell 2000 Growth. This performance helped us maintain our
longer-term performance advantage over the benchmark. For the last twelve months
ending June 30, 2000 the portfolio is up 86.49% against a rise of 28.39% in the
benchmark.
Sparked by a break in biotech stocks in early March, smaller fast growing stocks
declined precipitously in March and entered into a period of volatility in April
and May in which the general trend was downward. Measuring the daily close of
the Russell 2000 Growth we calculate the index declined 35.01% from a peak on
March 10, 2000 to a low on May 25, 2000. In that same time period the Emerging
Growth composite declined 49.66%. This correction ranks as one of the sharpest
in small cap history.
While we endured a fast, sharp decline in March, the first two months of the
second quarter brought a slower, longer kind of pain. Fortunately, sensing at
least some of the selling was overdone, investors returned to our market segment
in June and the Russell 2000 Growth finished June with a one month advance of
12.92%. The portfolio posted a strong 32.31% return for June.
Historically we have focused on "upgrading" the portfolio with the highest
quality, fastest growing, small growth stocks coming out of a correction. When
stocks get beaten up significantly, we see little incremental risk in owning
quality stocks that may be more expensive than the rest of the universe. We have
found that investors often look to these names when they return to the market.
Thus in April and May we bolstered positions in stocks from the hardware,
networking, and software sectors. We continue to be overweighted in the software
space and used the market weakness early in the quarter to expand a number of
positions. We expanded our position in SonicWall, a provider of Internet
security products. SonicWall has seen a significant increase in demand for its
security product serving the broadband market. This demand has driven triple
digit revenue and earnings growth over the last several quarters. The company is
at the confluence of two key investment premises: the expanding need for
Internet security, and the rapid growth of broadband access.
Despite the rally in many small cap stocks, we endured our share of
disappointments in the quarter as well. Exchange Applications, a small company
that provides customer management software for e-commerce and e-marketing
initiatives, has been a strong contributor to performance over the last several
quarters. This software area presents a huge growth opportunity and Exchange
Applications has been an attractive way to invest. The company has a smaller
market capitalization and more attractive valuation than competitors Epiphany
and Broadbase Software. However, the stock corrected in the March decline, and
fell again in April and May. While Exchange Applications reported strong numbers
in the first quarter, the market perceived that too large a percentage of
Exchange Applications revenue came from one relationship. Additionally, a holder
of the company's stock was forced to sell a large slug of Exchange Applications
stock into an already weak market. We believe Exchange Applications is remedying
the customer concentration issue. They have launched a new product set that has
proven very popular and has them on track for a strong third quarter. Thus we
purchased more stock on weakness early in the second quarter, and longer term
think the company will continue to succeed.
---------------
(a) Prior to 8/1/99 the portfolio was known as the Small Cap Growth Portfolio.
109
<PAGE> 111
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (a) (CONTINUED)
The Exchange Applications example helps to confirm why we believe running a
diversified portfolio is the most prudent way to participate in the small growth
area. The stock was a significant position, and detracted from performance in
the quarter, but in our broadly diversified portfolio, it did not drag down our
results too significantly.
Despite the volatility of the market, and the strong correction many Internet
related stocks have endured, we are optimistic about business opportunities in
many segments of the market. We see great opportunities in wireless, broadband
access, the continued build-out of the Internet, and Internet content delivery.
The decline of the on-line retailers should not surprise investors, and we don't
sense that the decline will have a long term impact on other fast growth
sectors. While we are optimistic at the company level, we do expect that we will
endure more volatility throughout the remainder of the year.
We appreciate your confidence in our effort and are very pleased to have you as
a client.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CAPITAL GROWTH PORTFOLIO RUSSELL 2000 INDEX
------------------------ ------------------
<S> <C> <C>
6/98 9706 9450
12/98 10339.8 8776.2
6/99 18424.5 9590.7
12/99 31281.1 10641.8
6/00 34359.2 10964.2
</TABLE>
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.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Informatica Corp 2.00
2. Cobalt Networks Inc. 1.72
3. Be Free Inc 1.72
4. Alteon Websystems 1.71
5. Digital Island Inc. 1.62
6. Verisign Inc 1.53
7. Protein Design Labs 1.47
8. Art Technology Group 1.45
9. Iss Group Inc 1.41
10. Entrust Technologies 1.38
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Internet Software 18.01
2. Computer Peripheral Equipment 11.11
3. Computer & Related 4.99
4. Electronic Components/
Semiconductors 4.66
5. Internet Content 4.09
</TABLE>
---------------
(a) Prior to 8/1/99 the portfolio was known as the Small Cap Growth Portfolio.
110
<PAGE> 112
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
ADVERTISING (0.5%)
3,600 *Lamar Advertising Co. ........... $ 155,925
1,300 *TMP Worldwide Inc. .............. 95,956
-----------
251,881
-----------
APPLICATION SOFTWARE (1.3%)
2,900 *Ondisplay Inc. .................. 236,169
3,800 *Peregrine Systems Inc. .......... 131,813
4,200 *Quest Software Inc. ............. 232,575
-----------
600,557
-----------
BROADCAST RADIO & TV (2.3%)
3,750 *Citadel Communications Corp. .... 131,016
9,400 *Cox Radio Inc. CL A.............. 263,200
6,100 *Echostar Communications.......... 201,967
4,800 *Entercom Communications Inc. .... 234,000
4,400 *Hispanic Broadcasting Corp. ..... 145,750
5,900 *Spanish Broadcasting System
Inc. ............................ 121,319
-----------
1,097,252
-----------
BUSINESS SERVICES (4.2%)
5,656 *Axciom Corp. .................... 154,126
8,650 *Caminus Corp. ................... 211,925
3,350 *Forrester Research Inc. ......... 243,922
10,900 *Informix Corp. .................. 81,069
6,300 *On Assignment Inc. .............. 192,150
3,700 *Mercator Software Inc. .......... 254,375
14,850 *Professional Detailing........... 505,828
2,200 *Turnstone Systems Inc. .......... 364,478
-----------
2,007,873
-----------
CHEMICALS (0.4%)
7,300 *Surmodics Inc. .................. 189,800
-----------
COMPUTER DATA SECURITY (3.3%)
7,900 *Entrust Technologies Inc. ....... 653,725
6,750 *ISS Group Inc. .................. 666,457
3,000 *Sonicwall Inc. .................. 264,187
-----------
1,584,369
-----------
COMPUTER & RELATED (2.3%)
6,100 *Active Software Inc. ............ 473,894
100 *Handspring Inc. ................. 2,700
3,600 *Immersion Corp. ................. 108,000
4,600 *Nvidia Corp. .................... 292,388
4,850 *Primus Knowledge Solutions....... 218,250
-----------
1,095,232
-----------
COMPUTER SERVICES (2.1%)
2,200 *Bisys Group Inc. ................ 135,300
5,000 *Sykes Enterprises Inc. .......... 64,375
4,085 *Verisign Inc. ................... 721,003
600 *Webmethods Inc. ................. 94,312
-----------
1,014,990
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
COMPUTER SOFTWARE (11.2%)
8,400 *Bea Systems Inc. ................ $ 415,275
2,400 *Business Objects SA.............. 211,500
10,500 *Cysive Inc. ..................... 250,680
4,100 *Digex Inc. ...................... 278,544
8,100 *Digimarc Corp. .................. 311,850
22,800 *Exchange Applications Inc. ...... 607,050
11,200 *Firepond Inc. ................... 403,200
11,500 *Informatica Corp. ............... 942,281
3,700 *Interactive Intelligence......... 138,750
4,554 *Kana Communications Inc. ........ 281,779
8,500 *Netiq Corp. ..................... 506,813
3,900 *Portal Software.................. 249,113
4,650 *Tibico Software Inc. ............ 498,640
50 *Virage Inc. ..................... 903
4,200 *Vitria Technology Inc. .......... 256,725
-----------
5,353,103
-----------
COMMERCIAL SERVICES (1.0%)
8,100 *Memberworks Inc. ................ 272,363
9,450 *Student Advantage Inc. .......... 69,103
4,800 *TeleTech Holdings Inc. .......... 149,100
-----------
490,566
-----------
DRUGS (0.5%)
700 *Charles River Laboratories
Intl............................. 15,531
4,100 *Cubist Pharmaceuticals Inc. ..... 201,925
-----------
217,456
-----------
ELECTRONIC COMPONENTS/
SEMICONDUCTORS (8.5%)
700 *Alpha Industries Inc. ........... 30,844
3,500 *Applied Micro Circuits........... 345,625
2,100 *Cree Research Inc. .............. 280,350
750 *Exar Corp. ...................... 65,391
5,050 *Globespan Inc. .................. 616,495
5,700 *Integrated Device Tech Inc. ..... 341,288
11,050 *Interlink Electronics Inc. ...... 462,719
8,500 *LTX Corp. ....................... 296,969
400 *Manufacturers Services Ltd....... 8,225
11,544 *Microsemi Corp. ................. 391,775
3,600 *Mobility Electronics Inc. ....... 46,800
750 *Molecular Devices Corp. ......... 51,891
3,800 *Photon Dynamics Inc. ............ 283,813
11,300 *PLX Technology Inc. ............. 468,950
8,200 *Power Integrations Inc. ......... 193,213
5,400 *Superconductor Tech Inc. ........ 212,288
-----------
4,096,636
-----------
</TABLE>
(continued)
111
<PAGE> 113
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
FIBER OPTICS (1.9%)
1,900 *Avanex Corp. .................... $ 181,450
2,800 *Cinena Corp. .................... 466,725
900 *Exfo Electro-Optical
Engineering...................... 39,487
5,700 *Metromedia Fiber Network......... 226,219
-----------
913,881
-----------
FINANCIAL SERVICES (1.2%)
6,600 *Financial Federal Corp. ......... 114,675
3,600 *Knight Trading Group Inc. ....... 107,325
7,250 *Nextcard Inc. ................... 61,625
8,500 Waddell & Reed Financial Inc. .... 278,906
-----------
562,531
-----------
INTERNET CONTENT (4.0%)
8,700 *24/7 Media Inc. ................. 135,938
2,150 *CoolSavings.com.................. 13,034
4,100 *Critical Path Inc. .............. 239,081
15,250 *HomeStore.com Inc. .............. 445,109
10,800 *Lifeminders Inc. ................ 319,275
12,000 *Mypoints.com Inc. ............... 227,437
9,800 *Netcreations Inc. ............... 448,963
6,500 *Sportsline USA Inc. ............. 110,906
-----------
1,939,743
-----------
INTERNET SOFTWARE (18.7%)
8,050 *Alteon Websystems Inc. .......... 805,503
6,800 *Art Technology Group Inc. ....... 686,375
90,300 *Be Free Inc. .................... 812,700
15,750 *Digital Island Inc. ............. 765,844
7,850 *DSL.net Inc. .................... 80,953
10,100 *Espeed Inc. CL A................. 438,719
1,700 *Internap Network Services........ 70,577
4,050 *ITXC Corp. ...................... 143,395
3,350 *Keynote Systems Inc. ............ 236,384
7,900 *Navisite Inc. ................... 330,319
29,500 *Netcentives Inc. ................ 549,438
11,300 *Netopia Inc. .................... 454,825
10,300 *Proxicom Inc. ................... 493,113
11,900 *Psinet Inc. ..................... 298,987
8,700 *Realnetworks Inc. ............... 439,894
5,500 *Register.com Inc. ............... 168,094
14,200 *Retek Inc. ...................... 454,400
4,800 *Scient Corp. .................... 211,800
3,900 *Software.com Inc. ............... 506,513
4,200 *Verio Inc. ...................... 233,034
13,600 *Viant Corp. ..................... 402,900
3,100 *Vignette Corp. .................. 161,248
4,450 *Watchguard Technologies Inc. .... 244,472
-----------
8,989,487
-----------
MEDIA & PUBLISHING (0.9%)
4,400 *Macromedia Inc. ................. 425,425
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
MEDICAL & RELATED (4.5%)
1,700 *Community Health Care............ $ 27,519
10,200 *Cytyc Corp. ..................... 544,425
1 Medtronic Inc. ................... 21
4,200 *Protein Design Labs Inc. ........ 692,803
2,600 *Province Healthcare Co. ......... 93,925
10,500 *Resmed Inc. ..................... 280,875
11,200 *Sunrise Assisted Living Inc. .... 207,200
1,500 *Techne Corp. .................... 195,000
6,900 *Thoratec Labs Corp. ............. 111,694
-----------
2,153,462
-----------
MOTION PICTURES & SERVICES (0.5%)
3,800 *Macrovision Corp. ............... 242,903
-----------
NETWORKING PRODUCTS (3.5%)
14,050 *Cobalt Networks Inc. ............ 813,144
2,500 *Extreme Networks Inc. ........... 263,750
3,600 *Foundry Networks Inc. ........... 397,800
6,100 *Paradyne Networks Inc. .......... 198,631
-----------
1,673,325
-----------
RESEARCH & DEVELOPMENT (1.2%)
2,600 *Albany Molecular Research
Inc. ............................ 141,538
6,300 *Aurora Bioscience Corp. ......... 429,581
-----------
571,119
-----------
RETAIL (0.9%)
6,800 *Bed Bath & Beyond Inc. .......... 246,500
5,000 *Factory 2-U Stores Inc. ......... 189,062
-----------
435,562
-----------
TELECOMMUNICATIONS EQUIPMENT
(2.6%)
1,350 *Anaren Microwave Inc. ........... 177,166
2,700 *Ditech Communication Corp. ...... 255,319
7,100 *Efficient Networks............... 522,294
1,300 *Next Level Communication Inc. ... 111,475
4,000 *Primus Telecommunications........ 99,500
150 *Stratos Lightwave Inc. .......... 4,181
2,800 *Viatel Inc. ..................... 79,975
-----------
1,249,910
-----------
TELECOMMUNICATIONS SERVICES (5.2%)
6,250 *Allegiance Telecom Inc. ......... 400,000
1,400 *Caprock Communication Corp. ..... 27,300
4,500 Copper Mountain Networks Inc. .... 396,563
4,100 *Crown Castle Intl. Corp. ........ 149,650
8,400 *Electric Lightwave Inc. CL A..... 156,975
17,600 *Dodson Communications Corp. ..... 338,800
35,900 *Metrocall Inc. .................. 323,100
12,900 *McLeodUSA Inc. CL A.............. 266,869
9,393 *Nextlink Communications Inc. .... 356,347
2,800 *West Tele Services Corp. ........ 70,875
-----------
2,486,479
-----------
</TABLE>
(continued)
112
<PAGE> 114
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
THERAPEUTICS (2.8%)
3,700 *Abgenix Inc. .................... $ 443,480
3,050 *Gilead Sciences Inc. ............ 216,931
5,900 *Medarex Inc. .................... 498,550
2,900 *Pharamacyclics Inc. ............. 176,900
1,600 *Praecis Pharmaceuticals Inc. .... 44,600
-----------
1,380,461
-----------
TRANSPORTATION & EQUIPMENT (0.4%)
4,650 *Forward Air Corp. ............... 186,000
-----------
WIRELESS EQUIPMENT (3.8%)
13,200 *American Tower Corp. ............ 550,275
14,150 *Metawave Communications Corp. ... 377,628
5,000 *Netro Corp. ..................... 286,875
5,150 *Pinacle Holdings................. 278,100
2,800 *Powerwave Technologies Inc. ..... 123,200
6,400 *Spectrasite Holdings Inc. ....... 181,600
4,600 *Weblink Wireless Inc. ........... 60,950
-----------
1,858,628
-----------
TOTAL U.S. COMMON STOCK
(89.7%) (COST $34,946,115)........ $43,068,631
-----------
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
CANADA (1.2%)
HOTEL/LODGING (0.8%)
6,500 Four Seasons Hotels Inc. ......... 404,219
MEDICAL & RELATED (0.4%)
4,000 *Visible Genetics Inc. ........... 180,500
-----------
TOTAL CANADA...................... 584,719
-----------
ISRAEL (1.3%)
COMPUTER DATA SECURITY (0.8%)
1,800 *Check Point Software Tech Ltd.... 381,150
TELECOMMUNICATIONS EQUIPMENT
(0.5%)
2,100 *AudioCodes Ltd................... 252,000
-----------
TOTAL ISRAEL...................... 633,150
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
----------------------------------------------------------
<C> <S> <C>
BERMUDA (0.0%)
TELECOMMUNICATIONS EQUIPMENT
(0.0%)
50 *Marvell Technology Group Ltd..... $ 2,850
-----------
TOTAL FOREIGN COMMON STOCK
(2.5%) (COST $736,693)............ $ 1,220,719
-----------
TOTAL COMMON STOCK
(92.2%) (COST $35,682,808)........ $44,289,350
-----------
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
----------------------------------------------------------
<C> <S> <C>
FINANCIAL (6.1%)
$2,907,000 Firstar 4.250% 07/03/00 repurchase
price $2,908,015 collateralized
by GNMA certificates pool # 8375
due 02/20/24 (cost $2,907,000)... $ 2,907,000
-----------
TOTAL SHORT-TERM NOTES
(6.1%) (COST $2,907,000)......... $ 2,907,000
-----------
TOTAL HOLDINGS (98.3%)
(COST $38,589,808) (A)........... $47,196,350
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.7%)............... 802,495
-----------
TOTAL NET ASSETS (100.0%) $47,998,845
===========
</TABLE>
---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax basis. See note 1.
The accompanying notes are an integral part of these financial statements.
113
<PAGE> 115
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (a)
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $38,589,808)............. $47,196,350
Cash in bank.............................. 799
Receivable for fund shares sold........... 398,142
Receivable for fund shares sold........... 518,553
Dividends and accrued interest
receivable.............................. 647
Other..................................... 5,954
-----------
Total assets............................ 48,120,445
-----------
Liabilities:
Payable for securities purchased.......... 84,767
Payable for investment management services
(note 3)................................ 31,634
Other accrued expenses.................... 5,199
-----------
Total liabilities....................... 121,600
-----------
Net assets at market value.................. $47,998,845
===========
Net assets consist of:
Par value, $1 per share................... $ 1,560,718
Paid-in capital in excess of par value.... 36,758,796
Accumulated net realized gain on
investments (note 1).................... 1,072,789
Net unrealized appreciation on investments
(note 1)................................ 8,606,542
-----------
Net assets at market value.................. $47,998,845
===========
Shares outstanding (note 4)................. 1,560,718
Net asset value per share................... $ 30.75
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest................................... $ 92,771
Dividends.................................. 269
----------
Total investment income.................. 93,040
----------
Expenses:
Management fees (note 3)................... 156,124
Custodian fees (note 3).................... 2,386
Directors' fees (note 3)................... 319
Professional fees.......................... 3,909
Accounting and transfer agent fees......... 4,352
Other...................................... 2,027
----------
Total expenses........................... 169,117
----------
Net investment loss...................... $ (76,077)
----------
Realized and unrealized gain on investments:
Net realized gain from investments......... $1,096,671
Net increase in unrealized appreciation on
investments.............................. 1,178,938
----------
Net gain on investments.................. 2,275,609
----------
Net increase in net assets from
operations............................. $2,199,532
==========
</TABLE>
---------------
(a) Prior to 8/1/99 the portfolio was known as the Small Cap Growth Portfolio.
The accompanying notes are an integral part of these financial statements.
114
<PAGE> 116
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (d)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED
(UNAUDITED) 1999
---------------- -----------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (76,077) $ (46,265)
Realized gain on investments.............................. 1,096,671 2,648,384
Unrealized appreciation on investments.................... 1,178,938 6,870,977
----------- -----------
Net increase in net assets from operations............ 2,199,532 9,473,096
----------- -----------
Dividends and distributions to shareholders:
Capital gain distributions................................ (23,882) (2,233,461)
From capital share transactions (note 4):
Received from shares sold................................. 35,279,426 18,417,413
Received from dividends reinvested........................ 23,882 2,233,461
Paid for shares redeemed.................................. (9,751,587) (9,890,108)
----------- -----------
Increase in net assets derived from capital share
transactions......................................... 25,551,721 10,760,766
----------- -----------
Increase in net assets............................. 27,727,371 18,000,401
Net Assets:
Beginning of period....................................... 20,271,474 2,271,073
----------- -----------
End of period............................................. $47,998,845 $20,271,474
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 2000 YEAR ENDED MAY 1, 1998 TO
(UNAUDITED) 1999 DECEMBER 31, 1998
---------------- ---------- -----------------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $28.01 $ 10.47 $10.00
Income from investment operations:
Net investment loss....................................... (0.06) (0.12) (0.09)
Net realized and unrealized gain on investments........... 2.82 21.25 0.56
------ ------- ------
Total income from investment operations................. 2.76 21.13 0.47
------ ------- ------
Less distributions:
Distributions from net realized capital gains............. (0.02) (3.59) 0.00
------ ------- ------
Net asset value, end of period.............................. $30.75 $ 28.01 $10.47
====== ======= ======
Total return................................................ 9.85%(b) 202.38% 4.62%(b)
Ratios and supplemental data:
Ratios net of fees reimbursed by advisor:
Ratio of expenses to average net assets................. 0.97%(a) 1.09% 1.96%(a,c)
Ratio of net investment income (loss) to average net
assets................................................ (0.43)%(a) (0.61)% 1.47%(a,c)
Ratios assuming no fees reimbursed by advisor:
Ratio of expenses to average net assets................. 0.97%(a) 1.09% 2.72%(a,c)
Portfolio turnover rate..................................... 52% 185% 121%
Net assets at end of period (millions)...................... $ 48.0 $ 20.3 $ 2.3
</TABLE>
---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has elected to reimburse certain operating expenses of the
Capital Growth portfolio.
(d) Prior to 8/1/99 the portfolio was known as the Small Cap Growth portfolio.
The accompanying notes are an integral part of these financial statements.
115
<PAGE> 117
OHIO NATIONAL FUND, INC.
NASDAQ 100 INDEX PORTFOLIO
OBJECTIVE
The Nasdaq 100 Index Portfolio seeks long-term growth of capital by investing
primarily in stocks that are included in the Nasdaq 100 Index.
PERFORMANCE AS OF JUNE 30, 2000
TOTAL RETURNS:
<TABLE>
<S> <C>
Since inception (5/1/00) -8.45%
</TABLE>
Returns represent past performance, which is no guarantee of future results.
Investment return and principal value will vary so that shares, when redeemed,
may be worth more or less than their original cost. Actual results for variable
annuity and variable universal life contracts will be lower due to contract
charges. Consult your contract for applicable charges for mortality and
expenses. Unlike the other portfolios, the Nasdaq 100 Index portfolio is a non-
diversified fund. The portfolio's concentration among relatively few companies
and its concentration largely within a narrow range of related industries
renders the portfolio vulnerable to greater volatility than is likely to be
experienced by diversified portfolios. Changes in the prices of one or a few
stocks can greatly affect the net asset value of the portfolio, either up or
down.
COMMENTS
The Nasdaq 100 Index Portfolio was launched on May 1, 2000. The Nasdaq 100 Index
has outperformed the S&P 500 Index and Dow Jones Industrial Average (DJIA) over
the past 1 year, 3 year, 5 year, and 10 year periods. The Nasdaq 100 Index also
has had a higher level of volatility compared to the S&P 500 Index and DJIA.
Some of the increased volatility resulted from the lack of diversification in
the Nasdaq 100 Index. The Nasdaq 100 Index is predominated by companies in the
technology sector. Further, the twenty largest companies in the Nasdaq 100 Index
account for over 60% of the index weight. The Nasdaq 100 Index Portfolio is an
excellent means to participate in the collective performance of 100 high-growth
companies, many of which have become household names such Intel, Microsoft,
Qualcomm, Amgen, Oracle, and Yahoo.
TOP 10 HOLDINGS AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Intel Corp 7.97
2. Microsoft Corp 7.36
3. Cisco Systems Inc 7.26
4. Oracle Corp 5.01
5. JDS Uniphase Corp 4.09
6. Nasdaq-100 Shares 3.41
7. Sun Microsystems Inc 3.25
8. Nextel Comm Inc 2.81
9. QUALCOMM Inc 2.56
10. MCI WorldCom Inc 2.42
</TABLE>
TOP 5 INDUSTRIES AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
Telecommunications or
1. Related 25.81
2. Electrical Components SE 16.75
3. Computer & Related 13.39
4. Computer Software 13.00
5. Networking Products 10.50
</TABLE>
116
<PAGE> 118
OHIO NATIONAL FUND, INC.
NASDAQ 100 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
APPLICATION SOFTWARE (0.6%)
500 *Citrix Systems Inc. ................ $ 9,469
600 *Intuit Inc. ........................ 24,825
-----------
34,294
-----------
BROADCASTING & CABLE TV (1.2%)
350 *Adelphia Communications Corp. ...... 16,406
1,250 *Comcast Corp. ...................... 50,625
-----------
67,031
-----------
COMPUTER & RELATED (11.1%)
1,300 *Apple Computer Inc. ................ 68,087
2,800 *Dell Computer Inc. ................. 138,075
700 *Siebel Systems Inc. ................ 114,494
2,100 *Sun Microsystems Inc. .............. 190,969
1,200 *Vertias Software Corp. ............. 135,619
-----------
647,244
-----------
COMPUTER SOFTWARE (13.6%)
550 *BMC Software Inc. .................. 20,066
400 *I2 Technologies Inc. ............... 41,706
5,400 *Microsoft Corp. .................... 432,000
3,500 *Oracle Corp. ....................... 294,219
-----------
787,991
-----------
CONSUMER PRODUCTS (0.8%)
600 Cintas Corp. ........................ 22,013
700 *Costco Wholesale Corp. ............. 23,100
-----------
45,113
-----------
ELECTRONIC COMPONENTS/
SEMICONDUCTORS (20.4%)
350 *Adobe Systems Inc. ................. 45,500
850 *Altera Corp. ....................... 86,647
750 *American Power Conversion Corp...... 30,609
1,200 *Applied Materials Inc. ............. 108,750
400 *Applied Micro Circuits Corp. ....... 39,500
700 *Conexant Systems Inc. .............. 34,037
3,500 Intel Corp. ......................... 467,906
650 *KLA-Tencor Corp. ................... 38,066
1,150 *Maxium Integrated Products Inc...... 78,128
450 *PMC-Sierra Inc. .................... 79,959
250 *Qlogic Corp. ....................... 16,516
200 *Sanmina Corp. ...................... 17,100
500 *Vitesse Semiconductor Corp. ........ 36,781
1,300 *Xilinx Inc. ........................ 107,331
-----------
1,186,830
-----------
FIBER OPTICS (5.9%)
2,000 *JDS Uniphase Corp. ................. 239,750
1,500 *Metromedia Fober Network Inc. ...... 61,516
150 *SDL Inc. ........................... 42,779
-----------
344,045
-----------
FINANCIAL SERVICES (0.4%)
600 Paychex Inc. ........................ 25,200
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
INTERNET SOFTWARE & SERVICES (4.6%)
750 *Broadvision Inc. ................... $ 38,109
850 *CMGI Inc. .......................... 38,941
400 *Verisign Inc. ...................... 70,600
750 *Yahoo! Inc. ........................ 92,906
525 *eBay Inc. .......................... 28,514
-----------
269,070
-----------
MEDICAL & RELATED (5.4%)
1,450 *Amgen Inc. ......................... 101,862
500 *Biogen Inc. ........................ 32,250
700 *Chiron Corp. ....................... 33,250
2,050 *Immunex Corp. ...................... 101,347
600 *Medimmune Inc. ..................... 44,400
-----------
313,109
-----------
NETWORKING PRODUCTS (10.4%)
500 *3Com Corp. ......................... 28,813
430 *Ciena Corp. ........................ 71,676
6,700 *Cisco Systems Inc. ................. 425,869
950 *Network Appliance Inc. ............. 76,475
-----------
602,833
-----------
RETAIL (1.1%)
550 *Amazon.com Inc. .................... 19,972
550 *Bed Bath & Beyond Inc. ............. 19,937
600 *Starbucks Corp. .................... 22,913
-----------
62,822
-----------
SATELLITE TELECOMMUNICATIONS (0.6%)
700 *Echostar Communications Corp. ...... 23,177
300 *PanAmSat Corp. ..................... 13,106
-----------
36,283
-----------
TELECOMMUNICATIONS & RELATED (17.7%)
1,150 *ADC Telecomm Inc. .................. 96,456
450 *Comverse Technology Inc. ........... 41,850
650 *Gemstar Intl. Group Ltd............. 39,944
2,500 *Global Crossing Ltd................. 65,781
750 Level 3 Communications Inc. ......... 66,000
1,250 *Linear Technology Corp. ............ 79,922
3,100 *MCI Worldcom Inc. .................. 142,213
1,400 *Mclead USA Inc. .................... 28,963
2,700 *Nextel Communications Inc. ......... 165,206
725 NTL Inc. ............................ 43,409
2,500 *Qualcomm Inc. ...................... 150,000
700 *Tellabs Inc. ....................... 47,906
500 *Voice Stream Wireless Corp. ........ 58,148
-----------
1,025,798
-----------
WIRELESS EQUIPMENT (0.4%)
250 RF Micro Devices Inc. ............... 21,906
-----------
TOTAL U.S. COMMON STOCK (94.2%)
(COST $5,506,987)................... $ 5,469,569
-----------
</TABLE>
117
<PAGE> 119
OHIO NATIONAL FUND, INC.
NASDAQ 100 INDEX PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS JUNE 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
-------------------------------------------------------------
<C> <S> <C>
SWEDEN (1.0%)
TELECOMMUNICATIONS & RELATED (1.0%)
3,000 Ericsson (LM) ADR.................... $ 60,000
-----------
TOTAL FOREIGN COMMON STOCK (1.0%)
(COST $66,188)...................... $ 60,000
-----------
TOTAL COMMON STOCK (95.2%)
(COST $5,573,175)................... $ 5,529,569
-----------
<CAPTION>
MARKET
SHARES UNIT INVESTMENT TRUST VALUE
-------------------------------------------------------------
<C> <S> <C>
2,150 NASDAQ 100 Shares $ 200,353
-----------
TOTAL UNIT INVESTMENT TRUST (3.4%)
(COST $190,244)..................... $ 200,353
-----------
</TABLE>
<TABLE>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.4%)
$139,000 American Express Credit
6.880% 07/03/00.................... $ 138,947
-----------
TOTAL SHORT-TERM NOTES (2.4%)
(COST $139,947).................... $ 138,947
-----------
TOTAL HOLDINGS (101.0%)
(COST $5,903,366) (a).............. $ 5,868,869
-----------
LIABILITIES, NET OF CASH
& RECEIVABLES (-1.0%).............. (58,826)
-----------
TOTAL NET ASSETS (100.0%)........... $ 5,810,043
===========
</TABLE>
---------------
* Non-income producing securities.
ADR (American depository receipt) represents ownership of foreign securities.
(a) Represents cost for federal income tax and financial reporting purposes.
See note 1.
The accompanying notes are an integral part of these financial statements.
118
<PAGE> 120
OHIO NATIONAL FUND, INC.
NASDAQ 100 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1)(cost $5,902,366)............... $ 5,868,869
Cash in bank.............................. 251
Receivable for fund shares sold........... 69,805
Other..................................... 16
-----------
Total assets............................ 5,938,941
-----------
Liabilities:
Payable for securities purchased.......... 122,256
Payable for investment management services
(note 3)................................ 3,353
Other accrued expenses.................... 3,289
-----------
Total liabilities....................... 128,898
-----------
Net assets at market value.................. $ 5,810,043
===========
Net assets consist of:
Par value, $1 per share................... $ 589,719
Paid-in capital in excess of par value.... 5,253,821
Net unrealized depreciation on investments
(note 1)................................ (33,497)
-----------
Net assets at market value.................. $ 5,810,043
===========
Shares outstanding (note 4)................. 589,719
Net asset value per share................... $ 9.85
===========
</TABLE>
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 3,487
Dividends................................... 114
---------
Total investment income................... 3,601
---------
Expenses:
Management fees (note 3).................... 6,220
Custodian fees (note 3)..................... 787
Directors' fees (note 3).................... 29
Professional fees........................... 1,893
Accounting and transfer agent fees.......... 648
Other....................................... 178
---------
Total expenses............................ 9,755
---------
Net investment income..................... $ (6,154)
---------
Unrealized loss on investments:
Net increase in unrealized depreciation on
investments............................... $ (33,497)
Net decrease in net assets from operations.... $ (39,651)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
119
<PAGE> 121
OHIO NATIONAL FUND, INC.
NASDAQ 100 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MAY 1, 2000 TO
JUNE 30, 2000
(UNAUDITED)
--------------
<S> <C>
From operations:
Net investment loss....................................... $ (6,154)
Unrealized depreciation on investments.................... (33,497)
----------
Net decrease in net assets from operations............ (39,651)
----------
From capital share transactions (note 4):
Received from shares sold................................. 5,889,617
Paid for shares redeemed.................................. (39,923)
----------
Increase in net assets derived from capital share
transactions......................................... 5,849,694
----------
Increase in net assets............................. 5,810,043
Net Assets:
Beginning of period....................................... 0
----------
End of period............................................. $5,810,043
==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MAY 1, 2000 TO
JUNE 30, 2000
(UNAUDITED)
--------------
<S> <C>
Per share data:
Net asset value, beginning of period........................ $10.00
Income (loss) from investment operations:
Net investment loss....................................... (0.02)
Net unrealized loss on investments........................ (0.13)
------
Total Income (loss) from investment operations.......... (0.15)
------
Net asset value, end of period.............................. $ 9.85
======
Total return................................................ (1.48)%(b)
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.15%(a)
Ratio of net investment income to average net assets...... (0.73)%(a)
Portfolio turnover rate..................................... 0%
Net assets at end of period (millions)...................... $ 5.8
</TABLE>
---------------
(a) Annualized.
(b) Calculated since inception May 1, 2000 (not annualized).
The accompanying notes are an integral part of these financial statements.
120
<PAGE> 122
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS
(1) BASIS OF PRESENTATION AND SIGNIFICANT ACCOUNTING POLICIES
Ohio National Fund, Inc. (Fund) is registered under the Investment Company
Act of 1940 as amended (the "1940 Act"), as a diversified, open-end
management investment company. The Fund is a series investment company which
consists of 21 separate investment portfolios that seek the following
investment objectives:
- Equity Portfolio -- long-term growth of capital by investing principally in
common stocks or other equity securities. Current income is a secondary
objective.
- Money Market Portfolio -- maximum current income consistent with
preservation of capital and liquidity by investing in high quality money
market instruments.
- Bond Portfolio -- high level of return consistent with preservation of
capital by investing primarily in high quality intermediate and long-term
debt securities.
- Omni Portfolio -- high level of long-term total return consistent with
preservation of capital by investing in stocks, bonds, and money market
instruments.
- International Portfolio -- long-term capital growth by investing primarily
in common stocks of foreign companies.
- Capital Appreciation Portfolio -- maximum capital growth by investing
primarily in common stocks that are (1) considered to be undervalued or
temporarily out of favor with investors, or (2) expected to increase in
price over the short term.
- Small Cap Portfolio -- maximum capital growth by investing primarily in
common stocks of small- and medium-sized companies.
- International Small Company Portfolio -- long-term growth of capital by
investing primarily in equity securities of foreign companies having a
market capitalization at time of purchase of $1.5 billion or less.
- Aggressive Growth Portfolio -- capital growth.
- Core Growth Portfolio -- long-term capital appreciation.
- Growth & Income Portfolio -- long-term total return by investing in equity
and debt securities focusing on small- and mid-cap companies that offer
potential for capital appreciation, current income, or both.
- S&P 500 Index Portfolio -- total return that approximates that of the
Standard & Poor's 500 Index ("S&P 500") by investing in common stocks and
in stock index futures contracts hedged by U.S. Government obligations,
investment grade corporate bonds and cash equivalents.
- Social Awareness Portfolio -- long-term capital growth by investing
primarily in common stocks and other equity securities of companies that,
in the Advisor's opinion, conduct their business in a way that enhances
society's quality of life.
- Strategic Income Portfolio -- high current income by investing at least 40%
of its assets in a core group of U.S. government and corporate fixed income
securities and the remainder in other income producing securities.
- Firstar Growth and Income Portfolio -- reasonable income and long-term
capital appreciation by investing in income producing securities including
dividend-paying common, preferred stocks and fixed-income securities.
- Relative Value Portfolio -- maximum total return consistent with reasonable
risk by investing primarily in equity securities.
- Blue Chip Portfolio -- growth of capital and income by concentrating
investment decisions in securities of high quality companies.
- Equity Income Portfolio -- above average income and capital appreciation by
investing primarily in high quality income producing equity securities
including common stock, preferred stock, REIT's, and securities convertible
into common stock.
- High Income Bond Portfolio -- seek high current income by investing
primarily in lower rated corporate debt obligations commonly referred to as
"junk bonds". The portfolio's investments are generally rated Baa or lower
by Moody's, or BBB or lower by S&P or Fitch.
(continued)
121
<PAGE> 123
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- Capital Growth -- capital appreciation by investing in and actively
managing equity securities in emerging growth companies.
The Nasdaq 100 Index Portfolio commenced operations on May 1, 2000.
- 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, the Nasdaq 100 Index portfolio is a non-diversified fund.
The following is a summary of significant accounting policies:
Investments in the Money Market Portfolio are valued at amortized cost in
accordance with Rule 2a-7, which approximates market value. All net
investment income of the Money Market Portfolio is declared and paid daily as
a dividend to shareholders immediately before the computation of the net
asset value of Money Market Portfolio shares. Dividends are automatically
reinvested in additional Money Market Portfolio shares at the net asset value
immediately following such computation. Distributions arising from net
investment income from the remaining portfolios are declared and paid to
shareholders quarterly and are recorded on the ex-dividend date.
Distributions arising from accumulated net realized capital gains are
recorded on the ex-dividend date and are distributed to shareholders at least
once a year.
For all but the Money Market Portfolio, securities which are traded on U.S.
and foreign stock exchanges or in the over-the-counter markets are valued at
the last sale price or, if there has been no sale that day, at the last bid
reported as of 4:00 p.m. Eastern time on each day the New York Stock Exchange
is open for unrestricted trading. Over-the-counter securities are valued at
the last bid price as of the close of trading on the Exchange. Short-term
investments (investments with remaining maturities of 60 days or less) are
valued at amortized cost and fixed income securities are valued by using
market quotations, or independent pricing services which use prices provided
by market makers or estimates of market value obtained from yield data
relating to instruments or securities with similar characteristics. All
investments and cash quoted in foreign currencies are valued daily in U.S.
dollars on the basis of the foreign currency exchange rates prevailing at the
time of such valuation.
Foreign currency exchange rates are generally determined prior to 4:00 p.m.
Eastern time. Occasionally, events affecting the value of foreign investments
and such exchange rates occur between the time at which they are determined
and the time of valuation, which in the case of the International, Small Cap,
International Small Company, Aggressive Growth, Firstar Growth & Income, Blue
Chip, and Small Cap Growth Portfolios would not be reflected in the
computation of the portfolios' net asset value. If events materially
affecting the value of such securities or currency exchange rates occurred
during such time period, the securities are valued at their fair value as
determined in good faith by or under the direction of the Fund's Board of
Directors.
In connection with purchases and sales of securities denominated in foreign
currencies, the Fund may enter into forward foreign currency exchange
contracts (forward contracts). A forward contract is a commitment to purchase
or sell a foreign currency at a future date, at a negotiated rate.
Additionally, the Fund may enter into such contracts to hedge certain other
foreign currency denominated investments. These contracts are recorded at
market value, and the related realized and unrealized foreign exchange gains
and losses are included in the statement of operations. In the event that
counterparties fail to settle these currency contracts or the related foreign
security trades, the Fund could be exposed to foreign currency fluctuations.
Each portfolio other than the Money Market Portfolio and S&P 500 Index
Portfolio may (a) write call options traded on a registered national
securities exchange if such portfolio owns the underlying securities subject
to such options, and purchase call options for the purpose of closing out
positions it has written, (b) purchase put options on securities owned, and
sell such options in order to close its positions in put options, (c)
purchase and sell financial futures and options thereon, and (d) purchase and
sell financial index options; provided, however, that no option or futures
contract shall be purchased or sold if, as a result, more than one-third of
the total assets of the portfolio would be hedged by options or futures
contracts, and no more than 5% of any portfolio's total assets, at market
value, may be used for premiums on open options and initial margin deposits
on futures contracts. Options are recorded at market value, and the related
realized and unrealized gains and losses are included in the statement of
operations. The portfolios making use of options bear the market risk of an
unfavorable change in the price of any security underlying the options.
(continued)
122
<PAGE> 124
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Fund may invest in 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
Standard & Poor's 500 Index or on narrow-based stock indexes. A particular
index will be selected according to Ohio National Investments, Inc.'s
("ONI's"), the investment advisor to the Fund, investment strategy for the
particular portfolio. The Fund may enter into such contracts to reduce the
risk of fluctuation of portfolio securities values or to take advantage of
expected market fluctuations.
The S&P 500 Index Portfolio currently holds investments in S&P 500 Index
Futures Contracts. The contracts in the S&P 500 Index Portfolio are fully
hedged with commercial paper, cash on deposit with broker and receivable for
securities sold. The futures contracts in the S&P 500 Index Portfolio at June
30, 2000 are as follows:
<TABLE>
<CAPTION>
EXPIRATION UNDERLYING FACE UNREALIZED CASH DEPOSITED AS
PORTFOLIO PURCHASED DATE AMOUNT AT VALUE GAIN/LOSS MARGIN REQUIREMENT
--------- --------- ---------- --------------- ----------- ------------------
<S> <C> <C> <C> <C> <C>
S&P 500 300 S&P 500 Index Contracts Sept '00 $112,297,500 $(2,190,000) $5,625,000
</TABLE>
The call option positions in the Growth & Income Portfolio as of June 30, 2000
are as follows:
<TABLE>
<CAPTION>
NUMBER
AMOUNT OF OF CONTRACTS
PREMIUMS OPTIONED
---------- ------------
<S> <C> <C>
Call options outstanding 12/31/99........................... $ -- --
Call options written........................................ $ 273,777 956
Call options closed or expired.............................. $ (186,880) (756)
Call options exercised...................................... $ -- --
---------- ----
Call options outstanding 06/30/00........................... $ 86,897 200
========== ====
</TABLE>
Securities transactions are recorded on a trade date basis. Dividend income
is recognized on the ex-dividend date (except in the case of foreign
securities in the International, Small Cap, International Small Company,
Aggressive Growth, Firstar Growth & Income, Blue Chip, and Small Cap Growth
Portfolios, in which dividends are recorded as soon after the ex-dividend
date as the fund becomes aware of such dividends), and interest income is
accrued daily as earned. Net realized gain or loss on investments and foreign
exchange transactions are determined using the first-in, first-out method
except in the case of the Aggressive Growth and Growth and Income Portfolios
in which the identified cost basis is used.
The books and records of all the portfolios are maintained in U.S. dollars.
Foreign currency amounts in the International, Small Cap, International Small
Company, Aggressive Growth, Firstar Growth & Income, Blue Chip and Small Cap
Growth Portfolios are translated into U.S. dollars on the following basis:
(1) market value of investments, other assets and liabilities -- at exchange
rates prevailing at the end of the period.
(2) purchases and sales of investments, income and expenses--at the rates of
exchange prevailing on the respective dates of such transaction.
Although the net assets and the market value of the portfolios are presented
at the foreign exchange rates at the end of the period, the portfolios do not
generally isolate the effect of fluctuations in foreign exchange rates from
the effect of changes in the market price of the investments. However, for
tax purposes, the portfolios do isolate the effect of fluctuations in foreign
exchange rates when determining the gain or loss upon sale or maturity of
foreign-currency denominated debt obligations pursuant to Federal income tax
regulations.
(continued)
123
<PAGE> 125
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Foreign investment and currency transactions may involve certain
considerations and risks not typically associated with investing in U.S.
companies and the U.S. Government. These risks, including re-evaluation of
currency and future adverse political and economic developments, could cause
investments and their markets to be less liquid and prices more volatile than
those of comparable U.S. companies and the U.S. Government.
Each portfolio may acquire repurchase agreements from member banks of the
Federal Reserve System which ONI deems creditworthy under guidelines approved
by the Board of Directors, subject to the seller's agreement to repurchase
such securities at a mutually agreed upon date and price. The repurchase
price generally equals the price paid by the portfolio plus interest
negotiated on the basis of current short-term rates, which may be more or
less than the rate on the underlying portfolio securities. The seller, under
a repurchase agreement, is required to maintain as collateral for the
repurchase transaction securities in which the portfolio has a perfected
security interest with a value not less than 100% of the repurchase price
(including accrued interest). At June 30, 2000 certain of the portfolios
invested in repurchase agreements in which the aggregate amounted to
$53,037,963. These securities are collateralized by various GNMA certificates
with a market value of $53,061,091. Securities subject to repurchase
agreements are held by the Fund's custodian or another qualified custodian or
in the Federal Reserve/Treasury book-entry system. Repurchase agreements are
considered to be loans by the portfolio under the 1940 Act.
Net investment income (loss) and net realized gains (losses) may differ for
financial statement and tax purposes primarily due to net operating and wash
sale losses. The character of distributions made during the period from net
investment income or net realized gains, if any may differ from their
ultimate characterization for federal income tax purposes. On the statement
of assets and liabilities, as a result of permanent book-to-tax differences,
the following reclassifications were made in the International, Small Cap,
International Small Company, Aggressive Growth, Core Growth, Growth & Income,
Social Awareness, Capital Growth and Nasdaq 100 Index Portfolios: accumulated
net investment loss has been decreased by $360,243, $583,421, $403,949,
$24,406, $160,158, $55,029, $8,266, $76,077 and $6,154 respectively. This
classification has no effect on net assets or net asset value per share.
For Federal income tax purposes, the Bond, Aggressive Growth, Social
Awareness, Strategic Income, Firstar Growth & Income, Relative Value, Equity
Income and High Income Bond Portfolios had capital loss carryovers of
$305,798, $1,752,158, $2,433,931, $375,826, $50,917, $169,231 $76,310 and
$196,803 respectively, at December 31, 1999. If not offset by capital gains,
$41,235 will expire in 2003 and $2,893 in 2005 in the Bond Portfolio,
$230,373, $622,020, $97,030 and $5,714 will expire in 2006 in the Bond,
Social Awareness, Strategic Income and Equity Income Portfolios, respectively
and $31,297, $1,752,158, $1,811,911, $278,796, $50,917, $169,231, $70,596 and
$196,803 will expire in 2007 in the Bond, Aggressive Growth, Social
Awareness, Strategic Income, Firstar Growth & Income, Relative Value, Equity
Income and High Income Bond Portfolios, respectively. The Board of Directors
does not intend to authorize a distribution of any net realized gain for a
portfolio until the capital loss carryover has been offset or expires.
It is the policy of the Fund to distribute to its shareholders substantially
all of its taxable income, thus gaining relief from Federal income taxes
under provisions of current tax regulations applicable to investment
companies of this type. Accordingly, no provision for Federal income taxes
has been made.
Expenses directly attributable to a portfolio are charged to that portfolio.
Expenses not directly attributed to a portfolio are allocated on the basis of
relative net assets.
The preparation of financial statements in conformity with generally accepted
accounting principles 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.
(continued)
124
<PAGE> 126
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The gross unrealized appreciation and depreciation on investments in each
portfolio as of June 30, 2000 were as follows:
<TABLE>
<CAPTION>
CAPITAL
EQUITY BOND OMNI INTERNATIONAL APPRECIATION
------------ ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation.............................. $ 36,031,116 $ 181,612 $ 53,218,539 $ 23,928,651 $ 4,472,618
Depreciation.............................. (31,207,660) (1,341,958) (7,488,405) (4,655,967) (4,880,279)
Net Unrealized:
Appreciation (Depreciation)............... 4,823,456 (1,160,346) 45,730,134 19,272,684 (407,661)
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL SMALL AGGRESSIVE CORE GROWTH &
CAP COMPANY GROWTH GROWTH INCOME
------------ ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation............................. $ 60,747,003 $ 7,459,262 $ 3,102,445 $ 13,318,424 $ 12,095,661
Depreciation............................. (7,100,644) (2,487,665) (1,759,708) (2,492,744) (7,002,441)
Net Unrealized:
Appreciation............................. 53,646,359 4,971,597 1,342,737 10,825,681 5,093,220
</TABLE>
<TABLE>
<CAPTION>
FIRSTAR
S&P 500 SOCIAL STRATEGIC GROWTH RELATIVE
INDEX AWARENESS INCOME & INCOME VALUE
------------ ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation.............................. $ 22,763,599 $ 1,122,550 $ 13,004 $ 492,600 $ 3,115,924
Depreciation.............................. (8,204,794) (159,472) (325,626) (141,716) (1,150,617)
Net Unrealized:
Appreciation (Depreciation)............... 14,558,805 963,078 (312,622) 350,884 1,965,307
</TABLE>
<TABLE>
<CAPTION>
EQUITY HIGH INCOME CAPITAL NASDAQ 100
BLUE CHIP INCOME BOND GROWTH INDEX
------------ ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation............................. $ 712,730 $ 990,371 $ 329,640 $ 11,171,304 $ 365,485
Depreciation............................. (757,601) (297,359) (1,538,975) (2,564,762) (398,981)
Net Unrealized:
Appreciation (Depreciation).............. (44,871) 693,012 (1,209,334) 8,606,542 (33,497)
</TABLE>
(2) INVESTMENT TRANSACTIONS
Purchases and sales of investment securities (excluding short-term
securities) for the year ended June 30, 2000 were as follows:
<TABLE>
<CAPTION>
CAPITAL
EQUITY BOND OMNI INTERNATIONAL APPRECIATION
------------ ----------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases................................ $ 92,259,715 $ 0 $ 90,425,130 $ 167,953,269 $ 97,432,908
Sales.................................... 74,543,471 731,372 112,376,430 172,413,273 97,936,647
U.S. Government Obligations:
Purchases................................ -- -- -- -- --
Sales.................................... -- -- -- -- 1,720,000
</TABLE>
(continued)
125
<PAGE> 127
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL SMALL AGGRESSIVE CORE GROWTH &
CAP COMPANY GROWTH GROWTH INCOME
------------- ------------- ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases.............................. $ 142,513,442 $ 57,048,119 $ 27,863,515 $ 35,490,418 $269,410,854
Sales.................................. 148,254,574 52,032,543 26,026,698 30,308,907 270,005,625
U.S. Government Obligations:
Purchases.............................. -- -- -- -- --
Sales.................................. -- -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
FIRSTAR
S&P 500 SOCIAL STRATEGIC GROWTH RELATIVE
INDEX AWARENESS INCOME & INCOME VALUE
------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases.............................. $ 23,108,393 $ 673,167 $ 47,353 $ 1,854,688 $ 489,784
Sales.................................. 23,999,781 1,077,092 99,779 1,616,543 336,368
U.S. Government Obligations:
Purchases.............................. -- -- -- -- --
Sales.................................. -- -- 18,467 -- --
</TABLE>
<TABLE>
<CAPTION>
HIGH INCOME EQUITY CAPITAL NASDAQ 100
BLUE CHIP BOND INCOME GROWTH INDEX
------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases.............................. $ 2,236,509 $ 3,015,581 $ 4,294,820 $ 40,074,821 $ 5,763,419
Sales.................................. 1,091,204 970,041 2,107,046 15,555,440 0
U.S. Government Obligations:
Purchases.............................. -- -- -- -- --
Sales.................................. -- -- -- -- --
</TABLE>
(3) INVESTMENT ADVISORY AGREEMENT, SUB-ADVISORY AGREEMENTS AND TRANSACTIONS WITH
AFFILIATED PERSONS
The Fund has an investment advisory agreement with Ohio National Investments,
Inc. ("ONI") a wholly owned subsidiary of Ohio National Life Insurance
Company (ONLIC), under the terms of which ONI provides portfolio management
and investment advice to the Fund and administers its other affairs, subject
to the supervision of the Fund's Board of Directors. As compensation for its
services, ONI receives from the Fund annual fees on the basis of each
portfolio's average daily net assets based on the following schedule: (a) for
each of the Bond, Omni and Social Awareness Portfolios, 0.60% of the first
$100 million of each Portfolio's net assets, 0.50% of the next $150 million
of net assets, 0.45% of the next $250 million of net assets, 0.40% of the
next $500 million of net assets, 0.30% of the next $1 billion of net assets,
and 0.25% of net assets over $2 billion; (b) for the Money Market Portfolio,
0.30% of the first $100 million of net assets, 0.25% of the next $150 million
of net assets, 0.23% of the net $250 million of net assets, 0.20% of the next
$500 million of net assets, and 0.15% of net assets over $1 billion; (c) for
the International, Firstar Growth & Income, Relative Value, Capital Growth,
and Blue Chip Portfolios, 0.90% of each Portfolio's net assets; (d) for the
Capital Appreciation, Small Cap, Aggressive Growth and Strategic Income
Portfolios, 0.80% of each Portfolio's net assets, (e) for the Core Growth
Portfolio, 0.95% of the first $150 million of net assets, and 0.80% of net
assets over $150 million; (f) for the Growth & Income Portfolio, 0.85% of the
first $200 million of net assets and 0.80% of net assets over $200 million,
(g) for the S&P 500 Index Portfolio, 0.40% of the first $100 million of net
assets, 0.35% of the next $150 million of net assets, and 0.33% of net assets
over $250 million; (h) for the International Small Company Portfolio, 1.00%
of that Portfolio's net assets; (i) for the High Income Bond and Equity
Income, 0.75% of each Portfolio's net assets; and (j) for the Equity
Portfolio, 0.80% of the first $500 million of the Portfolio's net assets, and
0.75% of net assets over $500 million. However, as to the Money Market
Portfolio, the Advisor is presently waiving any of its fee in excess of
0.25%. In addition, after January 1, 1999, the advisor began waiving any fees
in excess of 0.85% in the International Portfolio.
(continued)
126
<PAGE> 128
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Under the Investment Advisory Agreement, the Fund authorizes ONI to retain
sub-advisors for the International, Capital Appreciation, Small Cap,
International Small Company, Aggressive Growth, Core Growth, Growth & Income,
Capital Growth, Strategic Income, Firstar Growth & Income, Relative Value,
High Income Bond, Equity Income, Blue Chip, and Equity Portfolios subject to
the approval of the Fund's Board of Directors. ONI has entered into
Sub-Advisory Agreements with T. Rowe Price Associates, Inc. ("TRPA"),
Founders Asset Management, Inc. ("FAM"), Strong Capital Management, Inc.
("SCM"), Pilgrim Baxter & Associates, Ltd. ("PBA"), Robertson Stephens
Investment Management, L.P. ("RSIM"), Firstar Bank, N.A. ("Firstar"), Firstar
Investment Research and Management Co., L.L.C. ("Firmco"), Federated
Investment Counseling ("FIC"), and Legg Mason Fund Advisers, Inc. ("LM")
respectively, to manage the investment and reinvestment of those Portfolios'
assets, subject to the supervision of ONI. As compensation for their
services, (a) TRPA receives from ONI a fee at an annual rate of 0.50% of
average daily net assets of the Capital Appreciation Portfolio; (b) FAM
receives from ONI a fee at an annual rate of 0.625% of the first $75 million,
0.55% of the next $75 million, 0.50% between $150 and $300 million, and 0.40%
of the average daily net asset value in excess of $300 million of the Small
Cap Portfolio; (c) SCM receives from ONI a fee at an annual rate of 0.55% of
the first $50 million, and 0.45% of average daily net asset value in excess
of $50 million of the Aggressive Growth Portfolio; (d) PBA receives from ONI
a fee at an annual rate of 0.65% of the first $50 million, 0.60% of the next
$100 million, and 0.50% of average daily net assets in excess of $150 million
of the Core Growth Portfolio; (e) RSIM receives from ONI a fee at an annual
rate of (i) 0.60% of the first $100 million, 0.55% of the next $100 million,
and 0.50% of average daily net assets in excess of $200 million of the Growth
& Income Portfolio, and (ii) 0.64% of the first $100 million, 0.60% of the
next $100 million, and 0.55% of the average daily net assets in excess of
$200 million of the Small Cap Growth Portfolio; (f) Firstar receives from ONI
fees at an annual rate of (i) 0.55% of the first $50 million and 0.50% of
average daily net assets in excess of $50 million of the Strategic Income
Portfolio, (ii) 0.65% of the first $50 million and 0.60% of average daily net
assets in excess of $50 million of the Relative Value Portfolio; (g) Firmco
receives from ONI fees at an annual rate of 0.65% of the first $50 million
and 0.60% of average daily assets in excess of $50 million of the First
Growth & Income Portfolio; (h) FIC receives from ONI fees at an annual rate
of (i) 0.50% of the first $35 million, 0.35% of the next $65 million, and
0.25% of the average daily net assets in excess of $100 million of each of
the Equity Income and Blue Chip Portfolios, (ii) 0.50% of the first $30
million, 0.40% of the next $20 million, 0.30% of the next $25 million, and
0.25% of the average daily net assets in excess of $75 million of the High
Income Bond Portfolio, (iii) 0.40% of the first $200 million and 0.35% of
average daily net assets in excess of $200 million of the International
Portfolio, and (iv) 0.75% of the first $100 million and 0.65% of average
daily net assets in excess of $100 million of the International Small Company
Portfolio; and (i) LM receives from ONI fees at the annual rate of 0.45% of
the first $500 million and 0.40% of the average daily net assets in excess of
$500 million of the Equity Portfolio.
Effective January 1, 1999 FIC replaced SGAM as the sub-adviser for the
International and Global Contrarian Portfolios. As compensation for their
services FIC will receive from ONI fees at an annual rate of (i) 0.40% of the
first $200 million and 0.35% of average net assets in excess of $200 million
of the International Portfolio and (ii) 0.75% of the first $100 million and
0.65% of the average daily net assets in excess of $100 million of the Global
Contrarian Portfolio.
Effective August 1, 1999 LM replaced ONI (adviser) as the sub-adviser for the
Equity Portfolio. As compensation for their services LM will receive from ONI
fees at an annual rate of (i) 0.45% of the first $500 million and 0.40% of
the average net assets in excess of $200 million of the Equity Portfolio.
Each director who is not an officer of the Fund or an employee of ONI or its
corporate affiliates is paid a quarterly retainer fee of $2,000 plus $400 for
each meeting attended.
The Fund's transfer agent and dividend paying agent is American Data
Services, Inc., The Hauppauge Corporate Center, 150 Motor Parkway, Suite 109,
Hauppauge, New York. The Fund's custodian for those portfolios other than the
International and International Small Company Portfolios is Firstar Bank,
N.A., 425 Walnut Street, Cincinnati. Ohio. The custodian for the
International and International Small Company Portfolios is State Street
Bank-Kansas City, 801 Pennsylvania, Kansas City, Missouri. For assets held
outside the United States, Firstar Bank and State Street Bank-Kansas City
enter into subcustodial agreements, subject to approval by the Board of
Directors.
(continued)
127
<PAGE> 129
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(4) CAPITAL SHARE TRANSACTIONS
Capital share transactions for the six months ended June 30, 2000 and the
year ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
EQUITY MONEY MARKET BOND
------------------------ ------------------------ ------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00 12-31-99
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 1,507,881 957,794 24,174,493 22,320,710 235,870 532,591
Capital shares issued on reinvested
dividends............................ 51,258 4,875,492 191,996 257,858 45,185 171,315
Capital shares redeemed................ 731,144 1,560,827 24,607,546 20,302,903 384,485 777,574
</TABLE>
<TABLE>
<CAPTION>
OMNI INTERNATIONAL CAPITAL APPRECIATION
------------------------ ------------------------ ------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00 12-31-99
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 90,637 366,349 2,047,571 908,052 246,730 611,576
Capital shares issued on reinvested
dividends............................ 37,277 488,865 44,549 -- 17,753 658,894
Capital shares redeemed................ 1,169,581 2,428,393 2,424,089 3,773,197 986,330 1,857,003
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP INT'L SMALL COMPANY AGGRESSIVE GROWTH
------------------------ ------------------------ ------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00 12-31-99
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 466,486 873,277 965,861 444,549 608,012 381,709
Capital shares issued on reinvested
dividends............................ 59,596 1,388,684 6,749 191,099 -- --
Capital shares redeemed................ 391,166 602,086 678,081 593,735 132,084 775,957
</TABLE>
<TABLE>
<CAPTION>
CORE GROWTH GROWTH & INCOME S&P 500 INDEX
------------------------ ------------------------ ------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00 12-31-99
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 476,098 781,709 796,111 1,882,536 1,241,922 6,848,877
Capital shares issued on reinvested
dividends............................ 36,346 395,539 89,639 905,619 110,318 1,258,144
Capital shares redeemed................ 205,579 442,104 284,893 536,400 927,388 1,325,233
</TABLE>
<TABLE>
<CAPTION>
SOCIAL AWARENESS STRATEGIC INCOME FIRSTAR GROWTH & INCOME
------------------------ ------------------------ ------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00 12-31-99
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 43,252 99,912 22,943 28,748 25,766 41,852
Capital shares issued on reinvested
dividends............................ -- 2,521 -- 28,040 -- 4,000
Capital shares redeemed................ 69,542 503,237 27,727 113,496 5,356 75,846
</TABLE>
<TABLE>
<CAPTION>
RELATIVE VALUE BLUE CHIP EQUITY INC.
------------------------ ------------------------ ------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00 12-31-99
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 72,493 181,502 155,473 282,532 218,102 192,426
Capital shares issued on reinvested
dividends............................ 1,784 5,881 2,742 6,959 963 2,831
Capital shares redeemed................ 85,633 110,451 25,748 122,210 14,252 52,654
</TABLE>
(continued)
128
<PAGE> 130
OHIO NATIONAL FUND, INC. June 30, 2000 (Unaudited)
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
NASDAQ 100
HIGH INCOME CAPITAL GROWTH INDEX
------------------------ ------------------------ ----------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS
ENDED ENDED ENDED ENDED ENDED
06-30-00 12-31-99 06-30-00 12-31-99 06-30-00
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Capital shares issued on sales......... 217,427 314,320 1,148,985 876,365 593,911
Capital shares issued on reinvested
dividends............................ 26,515 74,356 680 81,368 --
Capital shares redeemed................ 45,503 108,995 312,603 451,086 4,192
</TABLE>
The Fund is authorized to issue 250,000,000 of its capital shares. 20,000,000
shares each have been allocated to the Equity, Omni, and International
Portfolios, and 10,000,000 are allocated to each of the other portfolios. The
remaining 20,000,000 are unallocated at this time.
(5) COMMITMENTS
As of June 30, 2000, the International, International Small Company, and
Aggressive Growth Portfolios had entered into forward currency contracts, as
set forth below, summarized by currency:
INTERNATIONAL PORTFOLIO
<TABLE>
<CAPTION>
CURRENCY TO BE DELIVERED CURRENCY TO BE RECEIVED UNREALIZED
SETTLE ------------------------- U.S. $ VAL. ------------------------- U.S. $ VAL. -------------------
DATES AMOUNT TYPE AT 06/30/00 AMOUNT TYPE AT 06/30/00 GAIN LOSS
------ --------- -------------- ----------- --------- -------------- ----------- ------- ---------
<C> <S> <C> <C> <C> <C> <C> <C> <C>
10/05/01 3,650,000 New Zld Dollar 1,713,858 1,750,175 U.S. Dollar 1,750,175 $36,318
10/05/01 1,942,166 U.S. Dollar 1,942,166 3,650,000 New Zld Dollar 1,713,858 $(228,308)
---------- ---------- ------- ---------
$3,656,024 $3,661,133 $36,318 $(228,308)
========== ========== ======= =========
</TABLE>
INTERNATIONAL SMALL COMPANY
<TABLE>
<CAPTION>
CURRENCY TO BE DELIVERED CURRENCY TO BE RECEIVED UNREALIZED
SETTLE -------------------------- U.S. $ VAL. -------------------------- U.S. $ VAL. -------------------
DATES AMOUNT TYPE AT 06/30/00 AMOUNT TYPE AT 06/30/00 GAIN LOSS
------ ---------- -------------- ----------- ---------- -------------- ----------- ------- ---------
<C> <C> <S> <C> <C> <C> <C> <C> <C>
11/13/00 18,480,000 Japanese Yen 178,267 173,147 U.S. Dollar 173,147 $(5,119)
11/13/00 178,035 U.S. Dollar 178,035 18,480,000 Japanese Yen 178,267 $ 232
---------- ---------- ------- ---------
$ 356,302 $ 363,046 $ 232 $(5,119)
========== ========== ======= =========
</TABLE>
AGGRESSIVE GROWTH
<TABLE>
<CAPTION>
CURRENCY TO BE DELIVERED CURRENCY TO BE RECEIVED UNREALIZED
SETTLE ------------------------- U.S. $ VAL. ------------------------- U.S. $ VAL. -------------------
DATES AMOUNT TYPE AT 06/30/00 AMOUNT TYPE AT 06/30/00 GAIN LOSS
------ --------- -------------- ----------- --------- -------------- ----------- ------- ---------
<C> <C> <S> <C> <C> <C> <C> <C> <C>
09/08/00 15,000 Great Britain 25,083 26,090 U.S. Dollar 26,090 $ 1,007
09/08/00 25,000 Great Britain 37,897 39,424 U.S. Dollar 39,424 $ 1,527
10/05/00 50,000 Great Britain 75,835 75,970 U.S. Dollar 75,970 $ 135
01/26/01 160,000 Great Britain 243,288 244,880 U.S. Dollar 244,862 $ 1,574
---------- ---------- ------- ---------
$ 382,103 $ 386,346 $ 4,243 $0
========== ========== ======= =========
</TABLE>
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Ohio National Fund, Inc.
Post Office Box 371
Cincinnati, Ohio 45201
Form 1325 Rev. 8/00
[GRAPHIC]
