<PAGE> 1
B
OHIO NATIONAL
FUND, INC.
ANNUAL REPORT
-------------------------
DECEMBER 31, 1999
Ohio National Variable Account B
Ohio National Fund, Inc.
[LOGO - OHIO FINANCIAL SERVICES]
<PAGE> 2
President's
Message
[John J. Palmer Photo]
Dear Investor:
Thank you for being an investor in the Ohio National Fund. All of us here
appreciate your support.
We are pleased to provide you with an update of Ohio National Fund's performance
and investment activity for 1999.
Year of Expansion
What a difference a year can make. During the past year, we have made
adjustments in investment strategies to expand both the breadth of funds and
investment styles, and the quality of fund managers, within the Ohio National
Fund. The results, indeed, have been noteworthy and impressive.
- - In January, Federated Global Investment Management Corp., began managing our
International and International Small Company (formerly Global Contrarian)
portfolios. Federated Investment Counseling (FIC) already manages three other
portfolios of the Ohio National Fund. Both are part of Pittsburgh-based
Federated Investors, an investment manager founded in 1955, which now has more
than $110 billion in managed assets. For the year, the International portfolio
experienced a 67.40 percent annualized return, and the International Small
Company had a spectacular 108.51 percent annualized return.
- - In August, Legg Mason Fund Adviser, Inc., began to subadvise our $300 million
Equity portfolio. The portfolio manager, William H. Miller, III, CFA, was
Morningstar's "1998 Domestic Equity Fund Manager of the Year."* This is the
first agreement of Legg Mason Fund Adviser, Inc., to subadvise and to have Mr.
Miller manage a non-proprietary fund. This fund, which had previously lagged
behind our performance expectations, began to immediately see steady gains,
with a 19.87 percent annualized return. The Equity portfolio is now available
in all of Ohio National's variable annuity products, variable universal life
products and pension plans.
- - Fund manager recognition continued at the end of the year with Jim Callinan
named Morningstar's "1999 Domestic Equity Manager of the Year"* for RS
Emerging Growth Fund. Mr. Callinan manages our Capital Growth portfolio. This
portfolio returned a sensational 202.38 percent for the year.
- - The strength and quality of our fund managers is reinforced by the fact that
three of our managers were recently named "Fund Managers of the Decade" based
on their retail fund performance: the Equity portfolio's William Miller of
Legg Mason Fund Advisers, Inc.; the Capital Growth portfolio's Jim Callinan,
RS Investment Manager, LP; and the Growth and Income portfolio's John Wallace,
RS Investment Management LP.
The highlights also include:
- - Our S&P 500 Index portfolio returned 25.63 percent, another strong year of
performance. For 1998, this fund ranked #1 by Lipper Analytical in its class
of S&P Index funds.
- - Portfolios also ranked very well within their style and class. For example,
the fixed income Bond portfolio experienced a positive return in a difficult
year for fixed income funds when most portfolios had negative performance.
- - Four funds had a greater than 100 percent return during the past year.
- - The International and International Small Company portfolios easily
outperformed their peers and the EAFE (Europe, Australasia, Far East Equity
Index).
- - Five of the domestic equity funds outperformed the S&P 500 Index.
1
<PAGE> 3
To be sure, 1999 was about change and growth, as Ohio National Fund offered you
high-quality offerings from which to choose, depending on your investment style.
This focus on investment style choices and strong professional investment
managers means that we are working hard to provide even better products and
services for you. Last year, our objective was to improve the selections
available to you, and the evidence is before you today.
The Importance of Diversification
For all investors, we emphasize the value of diversification. As a company, we
certainly do not recommend investing solely in the "style of the moment" or
trying to base investment decisions on market timing. We remain dedicated to
staying in step with -- and whenever possible, ahead of -- other financial
service providers when it comes to improving our investment selections. Today,
with the comprehensive selection of investment styles now available within the
Ohio National Fund, diversification becomes an important tool for you as you
plan your wealth-building investment strategies.
In Closing
Information on your investments is contained in the following pages. Please note
in reviewing performance results that rates of return under variable contracts
differ from those of the underlying portfolios because of applicable sales
charges for mortality and interest guarantees. Please contact your registered
representative for additional information on financial protection and
tax-deferred accumulation options offered by your variable annuity or variable
universal life insurance contract. As your needs change over time, he or she
stands ready to serve you.
Thank you again for the confidence you have placed in Ohio National Fund as you
pursue your wealth building endeavors. Be assured that we will continue to make
every effort to merit your confidence and continued business.
Best regards,
/s/ JOHN J. PALMER
John J. Palmer
- --------------------------------------------------------------------------------
Directors and Officers of Ohio National Fund, Inc.
John J. Palmer, President and Director
Ronald L. Benedict, Secretary and Director
George E. Castrucci, Director
Ross Love, Director
George M. Vredeveld, Director
Thomas A. Barefield, Vice President
Michael A. Boedeker, Vice President
Dennis R. Taney, Treasurer
Marcus L. Collins, Assistant Secretary
William J. Hilbert, Jr., 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. 2/00
- ---------------
* Morningstar's Manager of the Year Award recognizes portfolio managers who
demonstrate excellent investment skills, the courage to differ from consensus
and the commitment to shareholders necessary to deliver outstanding long-term
performance.
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 DECEMBER 31, 1999
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 19.87%
Three-year 14.41%
Five-year 17.65%
Ten-year 12.35%
Since inception (1/14/71) 11.17%
</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
Your fund had a good fourth quarter, rising 19.01%. This outpaced both the S&P
500 and the Dow, which rose 14.88% and 11.66% respectively. Our objective is to
provide investment results in excess of those achievable by investing in an
index fund over a multi-year period; it is not to beat the index every day,
week, quarter, or year.
Investment success last year was determined almost exclusively by how heavily
weighted one was in technology. As you probably know, the technology heavy
NASDAQ index rose over 85% in 1999, the largest single increase of any broad
based index in history.
We believe that the dramatic price gains achieved by the major technology
companies have removed most of the undervaluation present a few years ago.
Accordingly, the risk of owning these securities has increased substantially.
Our experience has been that most investor's psychological assessment of risk is
inversely proportional to the most recent price action in their holdings. If a
stock has gone up a lot, they feel more confident about it and perceive its risk
to be lower than it was prior to the price rise. If a stock has dropped a lot,
they believe it is riskier because of its decline. The opposite is typically the
case.
We have written in the past about enantiodromia, the tendency for things to
swing back and forth. We think many of the securities which have performed
poorly for us in the last year or so are likely to do much better this year,
while many of our heretofore strongest performers are more vulnerable than they
have been.
The market's rocky start has clipped some of our financials, a group which
lagged the market badly last year as interest rates rose. We think rising rates
are the biggest risk to the equity market this year. The Federal Reserve
recently raised rates 25 basis points and the market expects further increases.
If rates peak this year, and start down or even stabilize, then our financials
should do quite well.
Portfolio activity was predictably modest in the quarter. We bought one stock:
Albertsons, a supermarket chain which has had some integration issues with their
purchase of American Stores, and earnings have suffered as a result. Trading now
at under 12x this year's earnings, we think Albertsons is a bargain. We sold
several issues, mostly smaller positions in a variety of industries. The money
from these sales was recycled into stocks whose prospects we deemed greater than
those of the companies sold.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
EQUITY PORTFOLIO (COMMENCED
OPERATIONS JANUARY 14, 1971) S&P 500 INDEX
---------------------------- -------------
<S> <C> <C>
10000.00 10000.00
'87' 10751.40 10318.00
12236.00 11645.00
'88' 12367.00 12052.80
14124.00 14034.00
'89' 15237.50 15847.50
15798.00 16335.00
'90' 14649.70 15345.70
15814.00 17543.00
'91' 17606.10 20032.60
17370.00 19904.00
'92' 18935.20 21568.40
20016.00 22607.00
'93' 21605.00 23722.50
20916.00 22911.00
'94' 21659.00 24033.90
25247.00 28876.00
'95' 27550.50 33029.20
30211.00 36398.00
'96' 32607.70 40653.10
36592.00 48986.00
'97' 38531.80 54169.80
41934.00 63763.00
'98' 40734.80 69648.60
44510.00 78271.10
'99' 48828.50 84305.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. America Online Inc. 15.42
2. Gateway Inc. 5.75
3. Dell Computer 4.69
4. Nextel 4.68
5. Nokia Corp - Spon ADR 4.19
6. WPP Group PLC 3.57
7. Citigroup Inc. 2.90
8. MGIC Investment Corp 2.88
9. Amgen Inc. 2.74
10. Chase Manhattan 2.63
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer Services 15.42
2. Computer Hardware 13.56
3. Computer and Related 13.56
4. Telecommunications & Cellular 12.71
5. Banking 11.42
</TABLE>
3
<PAGE> 5
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (1.6%)
72,688 General Motors Corp. ............. $ 5,283,509
------------
BANKING (9.9%)
229,016 Bank One Corp. ................... 7,342,825
79,756 Bank of America Corp. ............ 4,002,754
111,682 Chase Manhattan Corp. ............ 8,676,295
181,574 Fleet Boston Financial Corp. ..... 6,321,045
242,293 Washington Mutual Inc. ........... 6,299,618
------------
32,642,537
------------
BUSINESS SERVICES (0.8%)
50,882 First Data Corp. ................. 2,509,119
------------
COMPUTER & RELATED (13.6%)
303,439 *Dell Computer Corp. ............. 15,475,389
263,014 *Gateway Inc. .................... 18,953,446
61,911 International Business Machines... 6,686,388
193,834 *Storage Technology Corp. ........ 3,573,814
------------
44,689,037
------------
COMPUTER SOFTWARE (15.4%)
673,573 *America Online Inc. ............. 50,812,663
------------
CONSUMER PRODUCTS (2.7%)
102 *Berkshire Hathaway Inc. CL A..... 5,722,200
231,426 Mattel Inc. ...................... 3,037,466
------------
8,759,666
------------
ENTERTAINMENT & LEISURE (0.8%)
108,832 *Metro-Goldwyn-Mayer Inc. ........ 2,564,354
------------
FINANCIAL SERVICES (8.4%)
80,302 Bear Stearns Co. Inc. ............ 3,432,911
172,028 Citigroup Inc. ................... 9,558,306
121,394 Fannie Mae........................ 7,579,538
62,256 Freddie Mac....................... 2,929,923
155,384 MBNA Corp. ....................... 4,234,214
------------
27,734,892
------------
FOOD & RELATED (2.0%)
130,177 Albertson's Inc. ................. 4,198,208
131,105 *Kroger Co. ...................... 2,474,607
------------
6,672,815
------------
HOTEL/LODGING (3.1%)
37,614 MGM Grand Inc. ................... 1,892,454
169,605 *Mandalay Resort Group............ 3,413,301
215,500 Starwood Hotels & Resorts
Worldwide........................ 5,064,250
------------
10,370,005
------------
INSURANCE SERVICES (4.8%)
110,145 Aetna Inc. ....................... 6,147,468
157,812 MGIC Investment Corp. ............ 9,498,310
------------
15,645,778
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
MANUFACTURING (0.8%)
57,467 Danaher Corp. .................... $ 2,772,783
------------
MEDICAL & RELATED (7.8%)
150,221 *Amgen Inc. ...................... 9,022,649
268,946 *Foundation Health Systems
Inc. ............................ 2,672,651
244,715 McKesson HBOC Inc. ............... 5,521,382
1 *Quorum Health Group Inc. ........ 5
162,667 United Healthcare Corp. .......... 8,641,684
------------
25,858,371
------------
RETAIL (3.4%)
76,322 *Amazon.com Inc. ................. 5,810,012
373,657 *Toys 'R' Us Inc. ................ 5,347,966
------------
11,157,978
------------
TELECOMMUNICATIONS & CELLULAR (7.2%)
156,279 *MCI Worldcom Inc. ............... 8,292,555
149,463 *Nextel Communications Inc. ...... 15,413,372
------------
23,705,927
------------
WASTE DISPOSAL (2.3%)
437,283 Waste Management Inc. ............ 7,515,801
------------
TOTAL U.S. COMMON STOCK (84.6%)
(COST $255,982,424).............. $278,695,235
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINLAND (4.2%)
TELECOMMUNICATIONS & CELLULAR (4.2%)
72,687 Nokia Corp. SP-ADR................ $ 13,810,530
------------
MEXICO (1.3%)
TELECOMMUNICATIONS & CELLULAR (1.3%)
38,766 Telefonos de Mexico SP-ADR........ 4,361,175
------------
NETHERLANDS (2.3%)
ELECTRICAL EQUIPMENT (2.3%)
56,284 Koninklijke Philips Electronics... 7,598,340
------------
UNITED KINGDOM (5.1%)
ADVERTISING (3.6%)
744,666 *WPP Group PLC.................... 11,773,765
BANKING (1.5%)
401,180 *Lloyds TSB Group PLC............. 5,007,770
------------
TOTAL UNITED KINGDOM.............. 16,781,535
------------
TOTAL FOREIGN COMMON STOCK (12.9%)
(COST $27,507,365)............... $ 42,551,580
------------
TOTAL COMMON STOCK (97.5%) (COST
$283,489,789).................... $321,246,815
------------
</TABLE>
(continued)
4
<PAGE> 6
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (1.5%)
$2,578,781 Banc of America 3.100% 01/03/00
repurchase price $2,579,438
collateralized by FNMA
certificates pool #C00652 due
09/01/28 (Cost $2,578,781)....... $ 2,578,781
2,578,781 Morgan Stanley Dean Witter 2.250%
01/03/00 repurchase price
$2,579,258 collateralized by U.S.
Treasury due 05/15/05 (Cost
$2,578,781)...................... 2,578,781
------------
TOTAL REPURCHASE AGREEMENTS (1.5%)
(COST $5,157,562)................ $ 5,157,562
------------
TOTAL HOLDINGS (99.0%) (COST
$288,647,351) (A)................ $326,404,377
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.0%)............... 3,209,890
------------
TOTAL NET ASSETS (100.0%)......... $329,614,267
============
</TABLE>
<TABLE>
<S> <C>
* 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.
</TABLE>
The accompanying notes are an integral part of these financial statements.
5
<PAGE> 7
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $288,647,351)........... $326,404,377
Cash in bank............................. 26,830
Receivable for securities sold........... 4,036,326
Receivable for fund shares sold.......... 676,325
Dividends and accrued interest
receivable............................. 228,699
Other.................................... 16,986
------------
Total assets........................... 331,389,543
------------
Liabilities:
Payable for securities purchased......... 975,005
Payable for fund shares redeemed......... 469,693
Payable for investment management
services (note 3)...................... 217,046
Other accrued expenses................... 113,532
------------
Total liabilities...................... 1,775,276
------------
Net assets at market value................. $329,614,267
============
Net assets consist of:
Par value, $1 per share.................. $ 12,448,440
Paid-in capital in excess of par value... 278,303,882
Accumulated undistributed net realized
gain on investments.................... 1,104,919
Net unrealized appreciation on
investments (note 1)................... 37,757,026
------------
Net assets at market value................. $329,614,267
============
Shares outstanding (note 4)................ 12,448,440
Net asset value per share.................. $ 26.48
============
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest................................. $ 753,305
Dividends................................ 2,324,291
------------
Total investment income................ 3,077,596
------------
Expenses:
Management fees (note 3)................. 1,848,965
Custodian fees (note 3).................. 55,594
Directors' fees (note 3)................. 8,748
Professional fees........................ 39,954
Accounting and transfer agent fees....... 181,204
Other.................................... 61,372
------------
Total expenses......................... 2,195,837
------------
Net investment income.................. $ 881,759
------------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments....... $127,818,941
Net decrease in unrealized appreciation
on investments......................... (74,881,941)
------------
Net gain on investments................ 52,937,000
------------
Net increase in net assets from
operations........................... $ 53,818,759
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
6
<PAGE> 8
OHIO NATIONAL FUND, INC.
EQUITY PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
----------------------------
1999 1998
------------- ------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 881,759 $ 3,676,480
Realized gain on investments.............................. 127,818,941 5,493,034
Unrealized appreciation (depreciation) on investments..... (74,881,941) 6,996,269
------------- ------------
Net increase in net assets from operations............ 53,818,759 16,165,783
------------- ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (882,082) (3,678,591)
Capital gains distributions............................... (126,714,022) (5,566,857)
Return of capital......................................... (48,644) 0
------------- ------------
Total dividends and distributions..................... (127,644,748) (9,245,448)
------------- ------------
From capital share transactions (note 4):
Received from shares sold................................. 37,074,219 24,773,079
Received from dividends reinvested........................ 127,644,748 9,245,448
Paid for shares redeemed.................................. (58,181,642) (32,108,106)
------------- ------------
Increase in net assets derived from capital share
transactions......................................... 106,537,325 1,910,421
------------- ------------
Increase in net assets............................. 32,711,336 8,830,756
Net Assets:
Beginning of period....................................... 296,902,931 288,072,175
------------- ------------
End of period (a)......................................... $ 329,614,267 $296,902,931
============= ============
(a) Includes undistributed net investment income of......... $ 0 $ 323
============= ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------------------------
1999 1998 1997 1996 1995
---- ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $36.31 $35.44 $32.30 $28.58 $23.20
Income from investment operations:
Net investment income..................................... 0.12 0.45 0.51 0.47 0.50
Net realized & unrealized gain on investments............. 6.85 1.56 5.24 4.58 5.65
------ ------ ------ ------ ------
Total income from investment operations................. 6.97 2.01 5.75 5.05 6.15
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.11) (0.45) (0.63) (0.46) (0.39)
Distributions from net realized capital gains............. (16.68) (0.69) (1.98) (0.87) (0.38)
Return of capital......................................... (0.01) 0.00 0.00 0.00 0.00
------ ------ ------ ------ ------
Total distributions..................................... (16.80) (1.14) (2.61) (1.33) (0.77)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $26.48 $36.31 $35.44 $32.30 $28.58
====== ====== ====== ====== ======
Total return................................................ 19.87% 5.72% 18.17% 18.35% 27.20%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.76% 0.64% 0.67% 0.73% 0.73%
Ratio of net investment income to average net assets...... 0.31% 1.25% 1.43% 1.60% 1.90%
Portfolio turnover rate..................................... 124% 25% 19% 11% 14%
Net assets at end of period (millions)...................... $329.6 $296.9 $288.1 $232.8 $175.7
</TABLE>
The accompanying notes are an integral part of these financial statements.
7
<PAGE> 9
OHIO NATIONAL FUND, INC.
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE AMORTIZED
AMOUNT SHORT-TERM NOTES COST
- -------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (12.4%)
$1,900,000 American Honda 5.850% 02/07/00..... $ 1,888,576
800,000 Ford Motor Credit Corp. 5.250%
01/04/00.......................... 799,650
800,000 Ford Motor Credit Corp. 5.260%
01/05/00.......................... 799,532
1,601,000 General Motors Acceptance Corp.
5.990% 01/24/00................... 1,594,873
1,251,000 General Motors Acceptance Corp.
5.950% 02/11/00................... 1,242,523
1,000,000 Hertz Corp. 5.900% 01/07/00........ 999,017
1,000,000 Hertz Corp. 5.900% 01/06/00........ 999,181
-----------
8,323,352
-----------
BUSINESS SERVICES (2.6%)
1,750,000 PHH Corp. 6.650% 01/19/00.......... 1,744,181
-----------
COMMUNICATIONS (8.2%)
3,200,000 AT&T 5.860% 02/16/00............... 3,176,039
2,309,000 SBC Communications (144A) 5.820%
01/20/00.......................... 2,301,907
-----------
5,477,946
-----------
COMPUTER & RELATED (4.2%)
1,200,000 General Dynamics (144A) 6.020%
01/31/00.......................... 1,193,980
1,658,000 IBM Credit 5.780% 01/20/00......... 1,652,942
-----------
2,846,922
-----------
CONSUMER PRODUCTS (0.8%)
550,000 Johnson & Johnson (144A) 5.850%
03/13/00.......................... 543,565
-----------
FINANCE (29.7%)
324,000 American Express Credit 5.730%
01/18/00.......................... 323,123
688,000 American Express Credit 5.730%
01/19/00.......................... 686,029
1,000,000 American Express Credit 5.840%
01/18/00.......................... 997,242
600,000 American Express Credit 5.840%
01/19/00.......................... 598,248
2,734,000 American General Finance 5.700%
03/01/00.......................... 2,708,027
2,196,000 Associates Corp. 5.900% 01/27/00... 2,186,643
805,000 CIT Group 5.850% 02/04/00.......... 800,552
2,886,000 GTE Funding Inc. 6.050% 03/14/00... 2,850,594
1,119,000 GE Capital 5.710% 02/10/00......... 1,111,901
1,100,000 GE Capital 6.040% 01/28/00......... 1,095,017
1,301,000 Heller Financial 6.000% 01/26/00... 1,295,579
1,500,000 Household Finance 5.800%
01/14/00.......................... 1,496,858
1,611,000 Household Finance 5.820%
01/11/00.......................... 1,608,396
2,203,000 Merrill Lynch 5.930% 02/03/00...... 2,191,025
-----------
19,949,234
-----------
FOOD & RELATED (1.8%)
1,212,000 Coca Cola 5.800% 01/13/00.......... 1,209,657
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE AMORTIZED
AMOUNT SHORT-TERM NOTES COST
- -------------------------------------------------------------
<C> <S> <C>
INDUSTRIAL (4.8%)
$ 500,000 Cooper Industries 6.020%
02/08/00.......................... $ 496,823
1,100,000 Flour Corp. (144A) 5.800%
02/02/00.......................... 1,094,329
1,652,000 Flour Corp. (144A) 5.800%
01/21/00.......................... 1,646,677
-----------
3,237,829
-----------
INSURANCE (14.2%)
1,000,000 Aetna Services 5.700% 03/07/00..... 989,550
1,000,000 Aetna Services 5.970% 03/07/00..... 989,055
1,300,000 Aetna Services 6.400% 01/13/00..... 1,297,227
2,206,000 Allstate (144A) 5.750% 02/01/00.... 2,195,077
2,788,000 Prudential Funding 5.650%
02/14/00.......................... 2,768,747
1,328,000 Prudential Funding 5.940%
01/10/00.......................... 1,326,028
-----------
9,565,684
-----------
MACHINERY & EQUIPMENT (4.0%)
2,648,000 John Deere Capital 5.650%
01/12/00.......................... 2,643,429
-----------
MEDICAL & RELATED (4.2%)
2,831,000 Schering Plough 6.000% 02/08/00.... 2,813,070
-----------
OIL, ENERGY & NATURAL GAS (8.5%)
3,040,000 Chevron USA 5.900% 02/29/00........ 3,010,605
2,691,000 (EI) De Nemours Dupont 5.880%
01/25/00.......................... 2,680,451
-----------
5,691,056
-----------
RETAIL (4.7%)
3,200,000 Sears Roebuck Acceptance 5.250%
02/15/00.......................... 3,179,000
-----------
TOTAL SHORT-TERM NOTES (100.1%)
(COST $67,224,925)................ $67,224,925
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE AMORTIZED
AMOUNT REPURCHASE AGREEMENTS COST
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.2%)
$1,503,000 Firstar 1.000% 01/03/00 repurchase
price $1,503,124 collateralized by
GNMA certificates pool # 8375 due
02/20/24 (Cost $1,503,000)........ $ 1,503,000
-----------
TOTAL REPURCHASE AGREEMENTS (2.2%)
(COST $1,503,000).................. $ 1,503,000
-----------
TOTAL HOLDINGS (102.3%)
(COST $68,727,925) (a)............. $68,727,925
-----------
LIABILITIES, NET OF CASH &
RECEIVABLES (-2.3%)................ (1,569,844)
-----------
TOTAL NET ASSETS (100.0%).......... $67,158,081
===========
</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 $9,434,494 or 14.0% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
(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.
8
<PAGE> 10
OHIO NATIONAL FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at value (note
1) (cost $68,727,925)................... $68,727,925
Cash in bank.............................. 341
Receivable for fund shares sold........... 604,931
Other..................................... 1,785
-----------
Total assets............................ 69,334,982
-----------
Liabilities:
Payable for fund shares redeemed.......... 2,148,331
Payable for investment management services
(note 3)................................ 13,676
Other accrued expenses.................... 14,868
Dividends payable......................... 26
-----------
Total liabilities....................... 2,176,901
-----------
Net assets at market value.................. $67,158,081
===========
Net assets consist of:
Par value, $1 per share................... $ 6,715,830
Paid-in capital in excess of par value.... 60,442,251
-----------
Net assets at market value.................. $67,158,081
===========
Shares outstanding (note 4)................. 6,715,830
Net asset value per share................... $ 10.00
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 2,765,741
-----------
Expenses:
Management fees (note 3).................. 156,749
Custodian fees (note 3)................... 8,665
Directors' fees (note 3).................. 1,300
Professional fees......................... 4,796
Accounting and transfer agent fees........ 32,954
Other..................................... 8,826
-----------
Total expenses.......................... 213,290
Less fees waived (note 3)............... (26,125)
-----------
Net expenses.......................... 187,165
-----------
Net investment income................... $ 2,578,576
-----------
Net increase in net assets from
operations............................ $ 2,578,576
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
9
<PAGE> 11
OHIO NATIONAL FUND, INC.
MONEY MARKET PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
----------------------------
1999 1998
------------- ------------
<S> <C> <C>
From operations:
Net investment income from operations................. $ 2,578,576 $ 1,645,134
------------- ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (2,578,576) (1,645,134)
------------- ------------
From capital share transactions (note 4):
Received from shares sold................................. 223,206,883 61,020,166
Received from dividends reinvested........................ 2,578,576 1,645,134
Paid for shares redeemed.................................. (203,029,030) (47,405,261)
------------- ------------
Increase in net assets derived from capital share
transactions......................................... 22,756,429 15,260,039
------------- ------------
Increase in net assets............................. 22,756,429 15,260,039
Net Assets:
Beginning of period....................................... 44,401,652 29,141,613
------------- ------------
End of period............................................. $ 67,158,081 $ 44,401,652
============= ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<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..................................... 0.49 0.52 0.52 0.50 0.54
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.49) (0.52) (0.52) (0.50) (0.54)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $10.00 $10.00 $10.00 $10.00 $10.00
====== ====== ====== ====== ======
Total return................................................ 5.02% 5.39% 5.37% 5.17% 5.62%
Ratios net of fees waived by advisor:
Ratio of expenses to average net assets................... 0.36% 0.36% 0.38% 0.44% 0.44%
Ratio of net investment income to average net assets...... 4.90% 5.26% 5.11% 4.98% 5.39%
Ratios assuming no fees waived by advisor:
Ratio of expenses to average net assets................... 0.41% 0.41% 0.43% 0.49% 0.55%
Net assets at end of period (millions)...................... $ 67.2 $ 44.4 $ 29.1 $ 25.6 $ 15.7
</TABLE>
The accompanying notes are an integral part of these financial statements.
10
<PAGE> 12
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 DECEMBER 31, 1999
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 0.58%
Three-year 4.96%
Five-year 7.35%
Ten-year 7.11%
Since inception (11/2/82) 8.01%
</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 returned .58% in 1999 versus .39 for the Lehman Brothers
Government/Corporate Bond Index. The year was the most difficult in a long time
for the fixed income investors and the great majority of fixed income funds
provided investors with negative returns. We are pleased with the relative
performance of our fund versus that of competitors as our returns were in the
top 10%-15% by most comparisons.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROS. GOVT./CORP. INDEX -
BOND PORTFOLIO INTERMEDIATE
-------------- --------------------------------
<S> <C> <C>
10000.00 10000.00
'87' 10599.00 10896.10
10954.10 11376.70
'88' 11313.40 11634.90
11962.80 12540.10
'89' 12525.00 13119.50
12914.50 13520.90
'90' 13503.40 14322.70
14104.30 14944.30
'91' 15253.90 16416.30
15777.00 16910.50
'92' 16403.40 17593.60
17673.00 18675.60
'93' 18157.30 19127.60
17343.80 18622.60
'94' 17460.00 18754.80
19541.30 20553.40
'95' 20760.60 21624.30
20463.80 21578.90
'96' 21529.90 22500.30
22266.20 23137.00
'97' 23528.70 24270.70
24189.90 25103.20
'98' 24755.90 26305.70
24676.70 26153.10
'99' 24898.80 26406.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Franchise Finance Corp. of
Amer. 8.25% 10/30/2003 3.82
2. Anixter 8.00% 09/15/03 3.76
3. US Industries, Inc. 144A 7.125%
04/15/2005 3.75
4. Dial Corp. 6.5% 9/15/2008 3.54
5. Thermo Electron Corporation
4.25% 1/1/2003 3.38
6. Abitibi-Consolidated Inc. 7.40%
4/1/18 3.38
7. Colonial Realty 8.05% 07/15/06 3.32
8. Delta Airlines 144A 7.70%
12/15/2005 2.65
9. Texas Utilities 7.48% 0/01/17 2.59
10. Watson Pharmaceuticals, Inc.
7.125% 5/15/08 2.51
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Electrical Equipment 8.96
2. Oil, Energy, and Natural Gas 8.54
3. Utilities 7.78
4. Industrial Services 7.09
5. Real Estate and Leasing 6.83
</TABLE>
11
<PAGE> 13
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
AIR COURIER (1.6%)
$ 450,578 Federal Express Inc. 7.020%
01/15/16.......................... $ 404,711
-----------
AUTOMOTIVE & RELATED (0.4%)
100,000 Arvin Industries 10.000%
08/01/00.......................... 101,398
-----------
BUILDING & CONSTRUCTION (1.8%)
500,000 Owens Corning 7.500% 05/01/05...... 475,326
-----------
BUSINESS SERVICES (1.9%)
500,000 Cendant Corp. 7.750% 12/01/03...... 499,678
-----------
CHEMICALS (2.4%)
700,000 Mississippi Chemical Corp. 7.250%
11/15/17.......................... 613,282
-----------
COMMUNICATIONS (1.8%)
200,000 Comcast Cable Communications 8.375%
05/01/07.......................... 207,017
250,000 Tele-Communications, Inc. 8.250%
01/15/03.......................... 257,954
-----------
464,971
-----------
COMPUTER & RELATED (1.1%)
300,000 Apple Computer Inc. 6.500%
02/15/04.......................... 279,375
-----------
CONSUMER GOODS (3.5%)
1,000,000 Dial Corp. 6.500% 09/15/08......... 920,390
-----------
ELECTRICAL EQUIPMENT (9.0%)
1,000,000 Anixter Intl. 8.000% 09/15/03...... 977,991
500,000 Great Lakes Power 8.300%
03/01/05.......................... 489,767
500,000 Pioneer 8.500% 08/01/06............ 459,868
400,000 Tektronix Inc. 7.500% 08/01/03..... 401,573
-----------
2,329,199
-----------
ENTERTAINMENT & LEISURE (2.3%)
700,000 Mirage Resorts Inc. 6.750%
02/01/08.......................... 607,568
-----------
FOOD & RELATED (1.7%)
500,000 Gruma, SA de C.V. (Mexico) 7.625%
10/15/07.......................... 436,250
-----------
FINANCIAL SERVICES (5.7%)
1,000,000 Franchise Finance Corp. of America
8.250% 10/30/03................... 991,976
500,000 St. Paul Bancorp Inc. 7.125%
02/15/04.......................... 487,583
-----------
1,479,559
-----------
FOREIGN GOVERNMENT (1.8%)
200,000 British Columbia (United Kingdom)
7.000% 01/15/03................... 200,806
250,000 Province of Quebec (Canada) 8.625%
01/19/05.......................... 265,648
-----------
466,454
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
FORESTRY & PAPER PRODUCTS (5.5%)
$1,000,000 Abitibi Consolidated Inc. 7.400%
04/01/18.......................... $ 877,531
300,000 Boise Cascade Co. 9.850%
06/15/02.......................... 310,138
250,000 ITT Rayonier Inc. 7.500%
10/15/02.......................... 252,559
-----------
1,440,228
-----------
HOTEL/LODGING (2.3%)
700,000 ITT Destinations 6.750% 11/15/05... 601,010
-----------
HOUSING, FURNITURE & RELATED (0.6%)
140,000 Armstrong World 9.750% 04/15/08.... 156,323
-----------
INDUSTRIAL SERVICES (7.1%)
400,000 R&B Falcon Corp. Series B 6.750%
04/15/05.......................... 361,000
500,000 Tenaska Georgia Partners LP 9.500%
02/01/30.......................... 507,945
1,000,000 US Industries Inc. (144A) 7.125%
10/15/03.......................... 973,733
-----------
1,842,678
-----------
INSURANCE (2.5%)
250,000 Continental Corp. 7.250%
03/01/03.......................... 245,400
400,000 Transamerica Finance Corp. 7.500%
03/15/04.......................... 397,802
-----------
643,202
-----------
MACHINERY (3.4%)
1,000,000 Thermo Electron (144A) 4.250%
01/01/03.......................... 879,420
-----------
METALS & MINING (1.7%)
500,000 Cyprus Minerals 6.625% 10/15/05.... 447,589
-----------
MEDICAL & RELATED (4.6%)
250,000 Bergen Brunswig 7.375% 01/15/03.... 240,605
300,000 Cardinal Health Inc. 6.500%
02/15/04.......................... 289,767
700,000 Watson Pharmaceuticals 7.125%
05/15/08.......................... 652,181
-----------
1,182,553
-----------
OIL, ENERGY & NATURAL GAS (8.5%)
200,000 Atlantic Richfield 8.550%
03/01/12.......................... 215,355
100,000 DeKalb Energy 9.875% 07/15/00...... 101,457
400,000 Dresser Industries, Inc. 6.250%
06/01/00.......................... 400,470
500,000 Husky Oil Ltd. 8.900% 08/15/28..... 500,845
125,000 Marathon Oil 7.000% 06/01/02....... 123,943
400,000 PDV America Inc. 7.875% 08/01/03... 376,911
500,000 System Energy 7.800% 08/01/00...... 500,783
-----------
2,219,764
-----------
REAL ESTATE & LEASING (6.8%)
300,000 Avalon Properties Inc. 7.375%
09/15/02.......................... 296,798
900,000 Colonial Realty 8.050% 07/15/06.... 861,791
500,000 Security Capital US Realty 2.500%
05/22/03.......................... 368,750
250,000 Sun Communities 7.625% 05/01/03.... 246,363
-----------
1,773,702
-----------
</TABLE>
(continued)
12
<PAGE> 14
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION (6.5%)
$ 250,000 American President Cos. Ltd. 7.125%
11/15/03.......................... $ 174,763
700,000 Delta Air Lines 7.700% 12/15/05.... 689,240
350,000 Illinois Central Gulf Railroad
6.750% 05/15/03................... 346,242
481,406 Northwest Airlines 8.070%
01/02/15.......................... 467,954
-----------
1,678,199
-----------
RESTAURANTS (1.8%)
500,000 Wendy's Inc. 6.350% 12/05/05....... $ 471,227
-----------
UTILITIES (6.6%)
200,000 Cleveland Electric Illum. 7.625%
08/01/02.......................... 199,687
250,000 Kansas City Gas & Electric 8.290%
03/29/16.......................... 242,982
200,000 Old Dominion Electric 8.760%
12/01/22.......................... 203,843
200,000 Sprint Corp. 8.125% 07/15/02....... 204,279
700,000 Texas Utilities 7.480% 01/01/17.... 673,123
200,000 Toledo Edison Co. 7.875%
08/01/04.......................... 200,391
-----------
1,724,305
-----------
TOTAL LONG-TERM BONDS & NOTES
(92.9%) (COST $25,104,240)........ $24,138,361
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
UTILITIES (1.2%)
12,000 GTE Delaware, 8.750%, Series B..... $ 297,000
-----------
TOTAL PREFERRED STOCKS (1.2%) (COST
$300,000)......................... $ 297,000
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCE (4.1%)
$1,072,000 American Express Credit 1.000%
01/03/00.......................... $ 1,071,940
-----------
TOTAL SHORT-TERM NOTES (4.1%) (COST
$1,071,940)....................... $ 1,071,940
-----------
TOTAL HOLDINGS (98.2%) (COST
$26,476,180) (a).................. $25,507,301
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.8%)................ 476,367
-----------
TOTAL NET ASSETS (100.0%).......... $25,983,668
===========
</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 $1,853,153 or 7.1% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
(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.
13
<PAGE> 15
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $26,476,180)............. $25,507,301
Cash in bank.............................. 701
Receivable for fund shares sold........... 36,759
Dividends and accrued interest
receivable.............................. 524,084
Other..................................... 1,360
-----------
Total assets............................ 26,070,205
-----------
Liabilities:
Payable for fund shares redeemed.......... 57,164
Payable for investment management services
(note 3)................................ 13,329
Other accrued expenses.................... 16,044
-----------
Total liabilities....................... 86,537
-----------
Net assets at market value.................. $25,983,668
===========
Net assets consist of:
Par value, $1 per share................... $ 2,614,946
Paid-in capital in excess of par value.... 24,624,973
Accumulated net realized loss on
investments (note 1).................... (305,798)
Net unrealized depreciation on investments
(note 1)................................ (968,879)
Undistributed net investment income....... 18,426
-----------
Net assets at market value.................. $25,983,668
===========
Shares outstanding (note 4)................. 2,614,946
Net asset value per share................... $ 9.94
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest................................... $1,937,988
Dividends.................................. 26,250
----------
Total investment income.................. 1,964,238
----------
Expenses:
Management fees (note 3)................... 160,182
Custodian fees (note 3).................... 5,108
Directors' fees (note 3)................... 1,050
Professional fees.......................... 4,795
Accounting and transfer agent fees......... 26,474
Other...................................... 7,309
----------
Total expenses........................... 204,918
----------
Net investment income.................... $1,759,320
----------
Realized and unrealized loss on investments:
Net realized loss from investments......... $ (31,297)
Net increase in unrealized depreciation on
investments.............................. (1,582,737)
----------
Net loss on investments.................. (1,614,034)
----------
Net increase in net assets from
operations............................. $ 145,286
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
14
<PAGE> 16
OHIO NATIONAL FUND, INC.
BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-------------------------
1999 1998
----------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 1,759,320 $ 1,603,360
Realized loss on investments.............................. (31,297) (230,373)
Unrealized depreciation on investments.................... (1,582,737) (124,666)
----------- -----------
Net increase in net assets from operations............ 145,286 1,248,321
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (1,743,554) (1,604,016)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 5,505,101 10,579,517
Received from dividends reinvested........................ 1,743,554 1,604,016
Paid for shares redeemed.................................. (8,047,905) (5,213,682)
----------- -----------
Increase (decrease) in net assets derived from capital
share transactions................................... (799,250) 6,969,851
----------- -----------
Increase (decrease) in net assets.................. (2,397,518) 6,614,156
Net Assets:
Beginning of period....................................... 28,381,186 21,767,030
----------- -----------
End of period (a)......................................... $25,983,668 $28,381,186
=========== ===========
(a) Includes undistributed net investment income of......... $ 18,426 $ 2,660
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.56 $10.68 $10.62 $10.93 $ 9.70
Income (loss) from investment operations:
Net investment income..................................... 0.68 0.67 0.71 0.69 0.70
Net realized and unrealized gain (loss) on investments.... (0.62) (0.12) 0.23 (0.32) 1.08
------ ------ ------ ------ ------
Total income from investment operations................. 0.06 0.55 0.94 0.37 1.78
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.68) (0.67) (0.88) (0.68) (0.55)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $ 9.94 $10.56 $10.68 $10.62 $10.93
====== ====== ====== ====== ======
Total return................................................ 0.58% 5.22% 9.28% 3.71% 18.90%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.77% 0.72% 0.78% 0.79% 0.75%
Ratio of net investment income to average net assets...... 6.57% 6.21% 6.67% 6.54% 6.76%
Portfolio turnover rate..................................... 8% 12% 10% 3% 4%
Net assets at end of period (millions)...................... $ 26.0 $ 28.4 $ 21.8 $ 20.8 $ 18.1
</TABLE>
The accompanying notes are an integral part of these financial statements.
15
<PAGE> 17
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 DECEMBER 31, 1999
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 11.36%
Three-year 11.21%
Five-year 14.30%
Ten-year 11.09%
Since inception (9/10/84) 11.50%
</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 fund achieved double digit returns in 1999, finishing the year up
11.36%. Approximately half that return occurred during December 1999, when
Omni's value increased by 5.87%. With the recent change in fund managers, I feel
it is important to discuss the goals and strategies for the Omni fund.
Omni will be invested in approximately 80% equities and 20% fixed income (bonds
and commercial paper). The equities will be invested primarily in mid to large
market capital companies. Equities will be diversified into about 5
industries/classifications the manager has identified as growth industries:
financials; computer related; communications related; drug/healthcare related;
and a final category for all "other."
Interest rate risk and credit risk are being reduced in the 20% fixed income
portion of Omni; longer maturity bonds and weaker credits are being eliminated
from the fund. The goal of the fixed income portion of the Omni is to bring a
source of steady income to the fund, and to reduce the volatility of the fund
(i.e. the 20% of fixed income related holdings will retain a steady value, while
stock prices fluctuate), thereby reducing the risk of the fund.
The 20% fixed income related holdings will fluctuate, depending upon the
manager's perception of buying opportunities in equities (may reduce fixed
income to approximately 15% or less of the fund) and selling opportunities in
equities (may increase fixed income to 25% or more). Material changes in the
percent of fixed income held are expected to be infrequent.
The objective of the Omni portfolio is a high level of long-term total return
consistent with preservation of capital by investing in stock, bonds and money
market instruments. Total rate of return consists of current income including
dividends, interest and discount accruals and capital appreciation. We look
forward to making money for you in the Omni Fund, during the year 2000.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
OMNI PORTFOLIO S&P INDEX
-------------- ---------
<S> <C> <C>
10000.00 10000.00
'87' 9698.97 10318.30
10796.90 11645.20
'88' 11157.50 12052.80
12261.00 14034.30
'89' 12882.60 15847.50
13307.70 16335.60
'90' 13128.10 15345.70
14011.60 17543.20
'91' 15510.90 20032.60
15735.80 19904.30
'92' 16845.10 21568.30
17990.60 22608.00
'93' 19010.70 23722.50
18413.70 22911.20
'94' 18909.10 24033.90
21456.10 28876.70
'95' 23213.40 33029.10
24875.50 36398.10
'96' 26820.70 40653.10
29728.10 48986.90
'97' 31687.20 54169.80
34165.10 63763.20
'98' 33123.10 69648.60
35113.70 78271.10
'99' 36883.50 84305.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Cisco Systems Inc. 7.33
2. Texas Instruments 3.24
3. Sun Microsystems Inc. 3.06
4. Nasdaq 100 Shares 2.99
5. S & P 500 Depository 2.49
6. Microsoft Corp. 2.46
7. EMC Corporation 2.30
8. General Electric Company 2.28
9. American International Group 2.28
10. Intel Corp 1.91
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer and Related 27.70
2. Telecommunications & Cellular 6.70
3. Oil, Energy, and Natural Gas 5.79
4. Banking 5.70
5. Electrical Equipment 4.92
</TABLE>
16
<PAGE> 18
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (2.5%)
44,200 Globalstar Telecommunications..... $ 1,944,800
49,000 Honeywell Intl Inc................ 2,826,687
------------
4,771,487
------------
AUTOMOTIVE & RELATED (2.5%)
21,000 Eaton Corp. ...................... 1,525,125
58,777 Ford Motor Co. ................... 3,140,896
------------
4,666,021
------------
BANKING (3.6%)
45,050 Bank of America Corp. ............ 2,260,947
33,200 Chase Manhattan Corp. ............ 2,579,225
76,320 Firstar Corp. (b) ................ 1,612,260
52,500 Sovereign Bancorp Inc. ........... 391,289
------------
6,843,721
------------
BROADCAST RADIO & TV (0.8%)
40,000 Infinity Broadcasting............. 1,447,500
------------
BUSINESS SERVICES (3.7%)
30,000 Hewlett-Packard Co. .............. 3,418,125
54,500 Manpower Inc. .................... 2,050,562
67,000 Reynolds & Reynolds............... 1,507,500
------------
6,976,187
------------
CHEMICALS (0.7%)
40,000 Monsanto Co. ..................... 1,425,000
------------
COMMUNICATIONS (5.7%)
36,000 *ADC Telecommunications Inc. ..... 2,612,250
20,000 *Associated Group Inc. CL B....... 1,840,000
39,000 Bell Atlantic Corp. .............. 2,400,938
64,875 *MCI Worldcom Inc. ............... 3,442,430
16,000 *Williams Communication Group
Inc. ............................ 463,000
------------
10,758,618
------------
COMPUTER & RELATED (21.4%)
130,000 *Cisco Systems Inc. .............. 13,926,250
39,300 *Dell Computer Corp. ............. 2,004,300
40,000 *EMC Corp. ....................... 4,370,000
44,000 Intel Corp. ...................... 3,621,750
25,000 Intl Business Machines Corp. ..... 2,700,000
46,000 *NCR Corp......................... 1,742,250
75,000 *Sun Microsystems Inc. ........... 5,807,813
67,000 Texas Instruments Inc. ........... 6,490,625
------------
40,662,988
------------
COMPUTER SOFTWARE (4.3%)
51,000 Computer Associates............... 3,566,813
40,000 *Microsoft Corp. ................. 4,670,000
------------
8,236,813
------------
COMPUTER SERVICES (1.0%)
58,092 *Unisys Corp. .................... 1,855,320
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
DRUGS (4.8%)
56,000 Abbott Laboratories............... $ 2,033,500
90,000 *Catalytica Inc. ................. 1,220,625
30,000 Lilly (Eli) & Co. ................ 1,995,000
30,000 Merck & Co. Inc. ................. 2,011,875
53,000 *Watson Pharmaceutical............ 1,898,063
------------
9,159,063
------------
ELECTRICAL EQUIPMENT (5.6%)
47,000 *American Power Conversion
Corp. ........................... 1,239,625
33,333 *Analog Devices Inc. ............. 3,099,969
30,000 CBS Corp. ........................ 1,918,125
28,000 General Electric Co. ............. 4,333,000
------------
10,590,719
------------
FINANCIAL SERVICES (2.5%)
60,810 Associates First Capital CL A..... 1,668,474
50,000 MGIC Investment Corp. ............ 3,009,375
------------
4,677,849
------------
HOUSING & RELATED (0.6%)
139,781 Clayton Homes Inc. ............... 1,284,238
------------
INSURANCE SERVICES (3.2%)
50,000 AXA Financial Inc. ............... 1,693,750
39,999 American Intl Group............... 4,324,892
------------
6,018,642
------------
MEDICAL & RELATED (0.9%)
26,500 Baxter International.............. 1,664,531
------------
OIL, ENERGY & NATURAL GAS (3.2%)
53,630 Schlumberger Ltd. ................ 3,016,688
86,000 *Tesoro Petroleum................. 994,375
10,404 Transocean Sedco Forex Inc. ...... 350,492
235,000 USEC Inc. ........................ 1,645,000
------------
6,006,555
------------
PROTECTION/SAFETY (1.1%)
52,000 Tyco Intl. Ltd. .................. 2,021,500
------------
REAL ESTATE & LEASING (0.6%)
48,000 Commercial Net Lease Realty....... 477,000
50,000 JDN Realty Corp. ................. 806,250
------------
1,283,250
------------
RETAIL (0.8%)
20,400 Dayton Hudson Corp. .............. 1,498,125
------------
TEXTILES (0.3%)
58,000 Warnaco Group CL A................ 714,125
------------
TRANSPORTATION & EQUIPMENT (1.2%)
24,000 CNF Transfer Inc. ................ 828,000
22,000 United Parcel Services CL B....... 1,518,000
------------
2,346,000
------------
TOTAL COMMON STOCKS (71.0%) (COST
$70,162,595)..................... $134,908,252
------------
</TABLE>
(continued)
17
<PAGE> 19
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES DEPOSITORY SHARES VALUE
- -------------------------------------------------------------
<C> <S> <C>
31,100 NASDAQ 100 Shares................. $ 5,683,525
32,250 S&P 500 Depository Receipt........ 4,736,719
------------
TOTAL DEPOSITORY UNITS (5.5%)
(COST $9,833,849)................ $ 10,420,244
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
BANKING (1.5%)
46,000 Flagstar Bancorp Inc. ............ $ 862,500
30,000 National Australia Bank Conv. .... 828,750
25,000 *Sovereign Bancorp Conv. ......... 1,259,375
------------
2,950,625
------------
FINANCIAL SERVICES (0.3%)
30,000 Provident Capital TR II 8.750%.... 600,000
------------
FOOD & RELATED (0.3%)
20,000 Conagra Capital 9.350% Series C... 490,000
------------
OIL, ENERGY & NATURAL GAS (0.4%)
41,000 Consumer Energy II................ 845,625
------------
UTILITIES (0.3%)
20,000 GTE Delaware 8.750% Series B...... 495,000
------------
TOTAL PREFERRED STOCKS (2.8%)
(COST $5,963,837)................ $ 5,381,250
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT (1.1%)
$2,005,000 U.S. Treasury Note 7.750%
02/15/01......................... $ 2,040,088
------------
AEROSPACE (0.2%)
500,000 AAR Corp. 7.250% 10/15/03......... 489,842
------------
BANKING (0.5%)
1,000,000 Green Tree Financial CL A 8.700%
06/15/25......................... 1,043,056
------------
CHEMICALS (0.8%)
1,750,000 Geon Company 7.500% 12/15/98...... 1,531,023
------------
COMMUNICATIONS (1.0%)
1,600,000 Comcast Cable Communications
8.375% 05/01/07.................. 1,656,136
300,000 Sprint 8.125% 07/15/02............ 306,418
------------
1,962,554
------------
COMPUTERS & RELATED (0.3%)
700,000 Apple Computer Inc. 6.500%
02/15/04......................... 651,875
------------
CONSUMER PRODUCTS (1.0%)
1,400,000 Owens Corning 7.500% 05/01/05..... 1,330,911
500,000 Playtex Family Products 9.000%
12/15/03......................... 497,500
------------
1,828,411
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (0.9%)
$1,000,000 Fertinitro Finance Inc. 8.290%
04/01/20......................... $ 572,597
500,000 Litchfield Financial Corp. 9.250%
12/01/03 Ser. B.................. 522,950
500,000 RBF Finance 11.000% 03/15/06...... 535,000
------------
1,630,547
------------
FOOD & RELATED (0.4%)
740,000 Marsh Supermarkets Inc. 8.875%
04/01/07......................... 684,500
------------
FORESTRY & PAPER PRODUCTS (0.8%)
700,000 Boise Cascade Co. 9.850%
06/15/02......................... 723,656
500,000 Champion International 9.875%
06/01/00......................... 506,433
250,000 ITT Rayonier Inc. 7.500%
10/15/02......................... 252,559
------------
1,482,648
------------
HOUSING, FURNITURE & RELATED (0.7%)
250,000 Armstrong World 9.750% 04/15/08... 279,149
2,000,000 Oakwood Homes Corp. 8.125%
03/10/09......................... 1,030,000
------------
1,309,149
------------
INSURANCE (0.6%)
500,000 Continental Corp. 7.250%
03/01/03......................... 490,801
600,000 Transamerica Finance Corp. 7.500%
03/15/04......................... 596,704
------------
1,087,505
------------
MACHINERY (0.2%)
500,000 ABC Rail Products Corp. 9.125%
01/15/04......................... 432,500
------------
MEDICAL & RELATED (0.8%)
500,000 Bergen Brunswig 7.375% 01/15/03... 481,209
1,000,000 Tenet Healthcare Corp. 8.625%
01/15/07......................... 970,000
------------
1,451,209
------------
METALS & MINING (0.2%)
500,000 Cyprus Minerals 6.625% 10/15/05... 447,589
------------
OIL, ENERGY & NATURAL GAS (3.1%)
400,000 Dekalb Energy 9.875% 07/15/00..... 405,828
350,000 Dresser Industries, Inc. 6.250%
06/01/00......................... 350,411
375,000 Marathon Oil 7.000% 06/01/02...... 371,830
500,000 Petroleos Mexicanos Global 8.850%
09/15/04......................... 480,000
600,000 PVD America, Inc. 7.875%
08/01/03......................... 565,367
1,500,000 R & B Falcon Corp. Series B 6.750%
04/15/05......................... 1,353,750
500,000 United Refining Company 10.750%
06/15/07......................... 317,500
2,500,000 Windsor Petroleum Transport Corp.
7.840% 01/15/21.................. 1,975,000
------------
5,819,686
------------
</TABLE>
(continued)
18
<PAGE> 20
OHIO NATIONAL FUND, INC.
OMNI PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION (0.4%)
$ 500,000 American President Cos., Ltd.
7.125% 11/15/03.................. $ 349,526
400,000 Illinois Central Gulf Railroad
6.750% 05/15/03.................. 395,705
------------
745,231
------------
RESTAURANTS (1.0%)
1,900,000 Tricon Global Restaurants 7.450%
05/15/05......................... 1,828,801
------------
UTILITIES (1.9%)
400,000 Cleveland Electric Illumination
7.625% 08/01/02.................. 399,373
700,000 ESI Tractebel 7.990% 12/30/11..... 626,286
1,000,000 Great Lakes Power 9.000%
08/01/04......................... 1,021,619
700,000 Niagra Mohawk Power Corp. 7.750%
10/01/08......................... 700,749
400,000 Old Dominion Electric Co. 8.760%
12/01/22......................... 407,686
500,000 Texas New Mexico Power Co. 9.250%
09/15/00......................... 506,105
------------
3,661,818
------------
TOTAL LONG-TERM BONDS & NOTES
(15.9%) (COST $32,904,353)....... $ 30,128,032
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCE (3.8%)
$3,777,000 American Express Credit Corp.
1.000% 01/03/00.................. $ 3,776,790
1,200,000 General Motors Acceptance Corp.
6.600% 01/07/00.................. 1,198,680
1,200,000 General Motors Acceptance Corp.
6.610% 01/12/00.................. 1,197,576
1,200,000 Household Finance 6.450%
01/04/00......................... 999,463
------------
7,172,509
------------
INSURANCE SERVICES (1.2%)
1,019,000 Prudential Funding 6.330%
01/10/00......................... 1,017,387
1,346,000 Prudential Funding 6.460%
01/11/00......................... 1,343,584
------------
2,360,971
------------
TOTAL SHORT-TERM NOTES (5.0%)
(COST $9,533,481)................ $ 9,533,480
------------
TOTAL HOLDINGS (100.2%) (COST
$128,398,115)(a)................. $190,371,258
------------
LIABILITIES, NET OF CASH &
RECEIVABLES (-0.2%).............. (322,208)
------------
TOTAL NET ASSETS (100.0%)......... $190,049,050
============
</TABLE>
- ---------------
* Non-income producing securities.
(a) Represents cost for financial reporting and federal income tax purposes. See
Note 1.
(b) Security of an affiliate of the fund.
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
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $125,662,216)........... $187,896,498
Investment in an affiliate at market
value (cost $2,735,899)................ 2,474,760
Cash in bank............................. 964
Receivable for securities sold........... 3,370,875
Receivable for fund shares sold.......... 114,466
Dividends and accrued interest
receivable............................. 720,623
Other.................................... 10,775
------------
Total assets........................... 194,588,961
------------
Liabilities:
Payable for securities purchased......... 4,021,906
Payable for fund shares redeemed......... 349,876
Payable for investment management
services (note 3)...................... 86,430
Other accrued expenses................... 81,699
------------
Total liabilities...................... 4,539,911
------------
Net assets at market value................. $190,049,050
============
Net assets consist of:
Par value, $1 per share.................. $ 8,429,643
Paid-in capital in excess of par value... 119,306,542
Accumulated net realized gain on
investments (note 1)................... 249,611
Net unrealized appreciation on
investments
(note 1)............................... 61,973,143
Undistributed net investment income...... 90,111
------------
Net assets at market value................. $190,049,050
============
Shares outstanding (note 4)................ 8,429,643
Net asset value per share.................. $ 22.55
============
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 3,662,974
Dividends................................. 1,999,076
-----------
Total investment income................. 5,662,050
-----------
Expenses:
Management fees (note 3).................. 1,070,139
Custodian fees (note 3)................... 40,400
Directors' fees (note 3).................. 6,292
Professional fees......................... 28,751
Accounting and transfer agent fees........ 138,128
Other..................................... 44,139
-----------
Total expenses.......................... 1,327,849
-----------
Net investment income................... $ 4,334,201
-----------
Realized and unrealized gain on investments:
Net realized gain from investments........ $ 7,456,237
Net increase in unrealized appreciation on
investments............................. 8,982,511
-----------
Net gain on investments................. 16,438,748
-----------
Net increase in net assets from
operations............................ $20,772,949
===========
</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>
YEARS ENDED
----------------------------
1999 1998
------------ ------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 4,334,201 $ 5,640,411
Realized gain (loss) on investments....................... 7,456,237 (681,856)
Unrealized appreciation on investments.................... 8,982,511 3,546,023
------------ ------------
Net increase in net assets from operations............ 20,772,949 8,504,578
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (4,249,788) (5,642,402)
Capital gains distributions............................... (6,524,769) (33,599)
------------ ------------
Total dividends and distributions.................. (10,774,557) (5,676,001)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 7,966,478 30,642,850
Received from dividends reinvested........................ 10,774,557 5,676,001
Paid for shares redeemed.................................. (53,110,394) (18,442,457)
------------ ------------
Increase (decrease) in net assets derived from capital
share transactions................................... (34,369,359) 17,876,394
------------ ------------
Increase (decrease) in net assets.................. (24,370,967) 20,704,971
Net Assets:
Beginning of period....................................... 214,420,017 193,715,046
------------ ------------
End of period (a)......................................... $190,049,050 $214,420,017
============ ============
(a) Includes undistributed net investment income of......... $ 90,111 $ 5,698
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $21.44 $21.06 $19.40 $17.60 $14.76
Income from investment operations:
Net investment income..................................... 0.48 0.58 0.56 0.53 0.58
Net realized & unrealized gain on investments............. 1.91 0.38 2.87 2.10 2.72
------ ------ ------ ------ ------
Total income from investment operations............ 2.39 0.96 3.43 2.63 3.30
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.48) (0.58) (0.69) (0.52) (0.46)
Distributions from net realized capital gains............. (0.80) 0.00 (1.08) (0.31) 0.00
------ ------ ------ ------ ------
Total distributions................................ (1.28) (0.58) (1.77) (0.83) (0.46)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $22.55 $21.44 $21.06 $19.40 $17.60
====== ====== ====== ====== ======
Total return................................................ 11.36% 4.53% 18.15% 15.54% 22.75%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.67% 0.65% 0.71% 0.76% 0.75%
Ratio of net investment income to average net assets...... 2.18% 2.71% 2.69% 2.89% 3.56%
Portfolio turnover rate..................................... 41% 18% 18% 12% 10%
Net assets at end of period (millions)...................... $190.0 $214.4 $193.7 $145.5 $109.6
</TABLE>
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
AVERAGE ANNUAL TOTAL RETURNS:
One-year 67.40%
Three-year 21.10%
Five-year 17.91%
Since inception (5/3/93) 18.39%
</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
Markets in Asia and Europe rallied, led primarily by technology, media and
telecommunication stocks. Specifically in Asia, the technology rally finally
rolled into such bourses as Hong Kong, Korea and Singapore in the second half as
investors assessed the significant valuation discrepancy relative to the United
States. The year-to-date performance ending December 31, 1999 for the Ohio
National International Portfolio stood at 67.40%. This can be compared with
25.27% for the Morgan Stanley International Europe, Australia, and Far East
Index. Our investment discipline is driven by security selection where we are
looking for well-positioned companies with strong bottom line growth that are
trading at reasonable valuations. The fund's strong relative outperformance can
be attributable to being overweight technology, media and telecommunication
names throughout the international equity markets. Moreover, the fund continued
to benefit from remaining overweight Japan, as the economy continued to improve.
Finally, some of our top holdings included, Softbank, a leading Japanese-based
software and media company; JDS Uniphase, a leading provider of components for
telecommunication equipment; and ASM Lithography, a leading maker of
semi-conductor production equipment.
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>
10000.00 10000.00
9936.00 10052.00
'94' 13504.30 11698.70
14287.50 12021.40
'95' 15139.10 13049.20
16812.00 13658.60
'96' 17331.40 13879.90
19366.20 15456.70
'97' 17696.80 14040.80
19367.40 16298.60
'98' 18383.50 16741.90
18188.60 17406.60
'99' 30773.30 21256.90
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Sony Corp. 2.564
2. Furukawa Electric Co 2.055
3. Descartes Systems Group, Inc. 2.051
4. Intershop Communications AG 2.043
5. Telesystem International
Wireless, Inc. 1.779
6. ARM Holdings plc, ADR 1.668
7. Tf1 Television Francaise 1.619
8. ASM Lithography Holding NV, ADR 1.503
9. Murata Manufacturing Co. Ltd. 1.490
10. Sharp Corp. 1.461
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Electronic Components,
Instruments 17.01
2. Business & Public Services 12.52
3. Telecommunications 12.00
4. Electrical & Electronics 10.44
5. Broadcasting & Publishing 6.26
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
JAPAN (33.4%)
6,000 Alpha Systems Inc. (9)........... $ 1,261,490
27,000 Bandai Co. Ltd. (13)............. 858,107
23,000 Canon Inc. (2)................... 913,163
28,100 Capcom Co. Ltd. (9).............. 1,497,604
8,200 Csk Corp. (28)................... 1,331,117
127,000 Daiwa Securities Co. Ltd. (14)... 1,985,850
36,000 Daiwabo Info. System Co. Ltd.
(9)............................. 807,941
54,000 Fujitec Co. (20)................. 541,267
26,000 Fujitsu Ltd. (9)................. 1,184,823
235,000 Furukawa Electric Co. (11)....... 3,561,999
23,000 Hosiden Corp. (11)............... 1,475,455
2,000 *InterQ Inc. (28)................ 1,153,921
42,000 Japan Airport Terminal (32)...... 390,182
30 Japan Telecom Co. Ltd. (29)...... 1,202,816
6,200 Kokusai Den (KDD) (29)........... 858,518
10,000 *Komatsu Electronic Metals Co.
Ltd. (11)....................... 80,188
5,500 Kyocera Corp. (11)............... 1,425,288
236,000 Marubeni Corp. (34).............. 990,065
1,500 Matsushita Communication (11).... 396,049
17,000 Megachips Corp. (11)............. 1,087,229
15 Mobilephone Telecommunications
International Ltd. (29)......... 1,496,186
11,000 Murata Manufacturing Co. Ltd.
(11)............................ 2,581,655
58,000 NEC Corp. (11)................... 1,381,087
97,000 *New Japan Securities Co. (14)... 241,883
188,000 Nikko Securities Co. Ltd. (14)... 2,377,117
74,000 Nikon Corp. (11)................. 2,170,937
6,000 Nintendo Corp. Ltd. (13)......... 996,284
13,000 Nippon Broadcasting System
(22)............................ 1,131,430
1,300 Nippon Television Network (22)... 1,525,523
38 NTT Mobile Communication Network
Inc. (29)....................... 1,460,395
2,000 Obic Co. Ltd. (9)................ 1,415,998
13,200 Paris Miki Inc. (35)............. 947,467
45,300 Sega Enterprises (13)............ 1,439,713
99,000 Sharp Corp. (2).................. 2,531,635
2,100 Softbank Corp. (28).............. 2,008,410
15,000 Sony Corp. (3)................... 4,444,553
570 Sotoh Co. Ltd. (31).............. 2,659
50,000 Suruga Bank Ltd. (4)............. 696,753
33,000 Taiyo Yuden Co. (11)............. 1,955,603
170,000 Toho Bank Ltd. (4)............... 783,004
103,000 Toyo Trust & Banking (4)......... 423,039
447,000 Wako Securities Co. Ltd. (14).... 1,184,598
9,000 Yamada Denki (27)................ 976,922
27,000 Yokowo Co. Ltd. (11)............. 673,284
------------
57,849,207
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CANADA (8.6%)
31,200 *Canfor Corp. (16)............... $ 364,900
17,800 *CGI Group Inc. CL A (28)........ 760,658
36,800 *Cyberplex Inc. (28)............. 464,775
162,300 *Descartes Systems Group Inc.
(28)............................ 3,566,107
54,600 *Intl. Forest Products Ltd. CL A
(16)............................ 149,253
12,152 *JDS Uniphase Corp. (29)......... 1,960,270
119,000 *Mosaic Group Inc. (28).......... 922,353
18,600 Nortel Networks Corp. (11)....... 1,877,377
23,100 Onex Corp. (28).................. 835,277
15,950 *Research in Motion Ltd. (11).... 736,239
84,189 *Telesystem Intl. Wireless Inc.
(29)............................ 3,093,727
22,700 *Ulster Petroleums Ltd. (12)..... 201,865
------------
14,932,801
------------
GERMANY (8.6%)
4,131 Aixtron (11)..................... 581,845
37,350 Baader Wertpapierhandelsbank AG
(4)............................. 1,196,638
13,760 *Consors Discount Broker AG
(14)............................ 1,150,646
3,400 DIS Deutsche Industries Service
(14)............................ 280,891
16,100 *Epcos AG (11)................... 1,200,336
4,170 *GFK AG (28)..................... 172,252
12,605 *Intershop Communications AG
(28)............................ 3,606,669
5,534 Mannesmann AG (29)............... 1,340,352
13,400 Medion AG (34)................... 1,197,494
14,650 Siemens AG (30).................. 1,874,504
12,700 *Singulus Technologies AG (11)... 799,703
24,200 *Telegate AG (29)................ 1,409,251
------------
14,810,581
------------
UNITED KINGDOM (8.1%)
15,080 *ARM Holdings PLC ADR (11)....... 2,887,820
62,700 British Sky Broadcasting Grp PLC
(22)............................ 1,011,505
20,500 Eidos PLC (13)................... 1,807,822
26,650 *Energis PLC (29)................ 1,279,441
80,700 Enterprise Oil (12).............. 543,869
7,800 Filtronic PLC (11)............... 266,307
283,700 *Imagination Technologies Grp PLC
(28)............................ 1,863,763
106,000 Inverses PLC (30)................ 574,587
73,666 Prudential Corp. PLC (19)........ 1,448,267
12,600 Psion PLC (9).................... 527,643
94,100 Reckitt Benckiser PLC (10)....... 889,217
1 Securicor PLC (28)............... 3
90,525 *Shire Pharmaceuticals Grp PLC
(23)............................ 905,969
296 SmithKline Beecham PLC (10)...... 3,769
------------
14,009,982
------------
</TABLE>
(continued)
23
<PAGE> 25
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
NETHERLANDS (7.4%)
22,880 *ASM Lithography Holding ADR (11)
2,602,600
9,200 *BE Semiconductor Industries
(11)............................ $ 132,083
12,007 *Equant ADR (28)................. 1,344,784
5,200 Koninklijke (Royal) Philips
Electronics (2)................. 707,265
10,250 *KPNQUEST (28)................... 653,437
2,000 *OpenTV Corp. ADR (35)........... 160,500
15,410 *STMicroelectronics (11)......... 2,372,308
34,100 *Toolex Alpha (11)............... 566,870
7,900 *United Pan-Europe Communications
(29)............................ 1,010,825
15,872 *United Pan-Europe Communications
ADR (29)........................ 2,023,680
22,800 VNU -- Verenigde Nederlandse
Uitgeversbedrijven Verenigd
Bezit(22)....................... 1,198,627
------------
12,772,979
------------
FRANCE (6.2%)
9,800 Alcatel (11)..................... 2,251,158
4,100 Canal Plus (22).................. 596,893
8,400 Ciments Francais Ord A (5)....... 570,829
13,200 Lagardere S.C.A. (35)............ 718,146
700 M6 Metropole Television (22)..... 346,983
5,380 Tf1 Television Francaise (22).... 2,818,582
31,400 Thomson-CSF (1).................. 1,037,328
27,737 *Wavecom S.A. (11)............... 2,445,190
------------
10,785,109
------------
SOUTH KOREA (3.1%)
2,520 DaeDuck Industries (11).......... 27,741
504 *DaeDuck Industries Rights
(11)............................ 383
54,600 *Haansoft Inc. (35).............. 2,529,247
20,283 *Hyundai Electronics Ind. Co.
(11)............................ 117,893
2,300 *Korea Thrunet Co. Ltd. CL A
(29)............................ 156,113
4,000 Samsung Electronics Co. (11)..... 937,032
21,500 SK Corp. (12).................... 651,343
32,300 *Turbo Tek Co. Ltd. (20)......... 1,014,086
------------
5,433,838
------------
HONG KONG (2.6%)
188,000 *China Telecommunications (29)... 1,175,378
4,172,000 *E-New Media Co. Ltd. (30)....... 2,039,442
265,000 *Pacific Century CyberWorks Ltd.
(26)............................ 617,032
100,500 Television Broadcasts Ltd.
(22)............................ 685,213
------------
4,517,065
------------
SINGAPORE & MALAYSIAN (2.3%)
657,000 DBS Land Ltd. (26)............... 1,293,882
669,000 GES International Ltd. (11)...... 723,026
212,000 Natsteel Electronics Ltd. (11)... 1,120,144
548,000 OMNI Industries (16)............. 993,672
------------
4,130,724
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
SWEDEN (2.0%)
20,900 Allgon AB CL B (11).............. $ 415,058
12,800 *Modern Times Group CL B (22).... 634,743
48,370 *Readsoft AB (11)................ 881,015
22,800 Telefonaktiebolaget LM Ericsson
(11)............................ 1,465,540
------------
3,396,356
------------
SWITZERLAND (1.5%)
240 *Agefi Groupe SA (28)............ 92,035
2,400 *Charles Voegele Holding AG
(27)............................ 431,508
2,157 Publicitas Holding SA (22)....... 2,135,711
------------
2,659,254
------------
AUSTRALIA (1.3%)
666,000 *Davnet Ltd. (29)................ 1,005,857
106,100 E.R.G. Ltd. (11)................. 595,683
277,500 *LibertyOne Ltd. (29)............ 306,130
682,400 Westel Group Ltd. (29)........... 367,440
------------
2,275,110
------------
ISRAEL (1.1%)
57,400 *Orckit Communications Inc.
(29)............................ 1,969,538
------------
ITALY (1.1%)
79,800 Bulgari SPA (13)................. 717,155
48,250 Pininfarina SPA (3).............. 1,171,546
------------
1,888,701
------------
FINLAND (1.1%)
2,700 *Comptel Oyj (29)................ 189,982
4,500 Nokia OYJ (11)................... 816,075
22,200 *Perlos OYJ (11)................. 782,828
6,585 *Sanitec Oyj (5)................. 86,247
------------
1,875,132
------------
SPAIN (0.6%)
1,200 *Jazztel PLC ADR (29)............ 78,150
14,600 *Sogecable (22).................. 932,582
------------
1,010,732
------------
BELGIUM (0.5%)
22,800 *Global TeleSystems Grp Inc.
(29)............................ 792,300
473 *Telinfo SA-Strip VVPR (29)...... 5
------------
792,305
------------
THAILAND (0.4%)
152,800 *Hana Microelectronics Co. Ltd.
(11)............................ 733,440
------------
DENMARK (0.4%)
4,800 Novo-Nordisk CL B (22)........... 636,380
------------
NORWAY (0.2%)
24,300 *Tandberg Television (29)........ 335,673
------------
TAIWAN (0.2%)
12,000 *Advanced Semiconductor
Engineering Inc. GDR (11)....... 232,800
3,550 *Macronix Intl. Co. Ltd. ADR
(35)............................ 67,893
------------
300,693
------------
</TABLE>
(continued)
24
<PAGE> 26
OHIO NATIONAL FUND, INC.
INTERNATIONAL PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
GREECE (0.1%)
8,520 *Tiletipos S.A. (29)............. $ 210,909
------------
BRAZIL (0.1%)
35,600 Usinas Siderurgicas de M
Preference (25)................. 193,392
------------
IRELAND (0.1%)
1,600 *Ryanair Holdings PLC ADR (32)... 88,200
------------
TOTAL FOREIGN COMMON STOCK
(91.0%) (COST $92,593,004)...... $157,608,101
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES US COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS (0.5%)
4,300 *Infonet Services Corp. CL B..... $ 112,875
15,000 *Global Crossing Ltd............. 750,000
------------
862,875
------------
TOTAL US COMMON STOCK
(0.5%) (COST $873,939).......... $ 862,875
------------
TOTAL COMMON STOCK (91.5%)
(COST $93,466,943).............. $158,470,976
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (5.8%)
$10,008,000 State Street Bank 2.500% due
01/03/00 repurchase price
$10,010,256 collateralized by
U.S. Treasury Bond due 05/15/04
(Cost $8,260,000)............... $ 10,008,000
------------
TOTAL REPURCHASE AGREEMENTS
(5.8%) (COST $10,008,000)....... $ 10,008,000
------------
TOTAL HOLDINGS (97.3%)
(COST $103,474,943)(A).......... $168,478,976
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (2.7%).............. 4,561,552
------------
TOTAL NET ASSETS (100.0%)........ $173,040,528
============
</TABLE>
- ---------------
<TABLE>
<S> <C>
* 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 for federal income tax purposes. See Note 1.
</TABLE>
Industry Classifications
<TABLE>
<C> <S>
(1) Aerospace
(2) Appliances & Household
Durables
(3) Automotive
(4) Banking
(5) Building/Construction
(6) Cement
(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) Diversified
(31) Textile
(32) Transportation
(33) Utilities
(34) Wholesale
(35) 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
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $103,474,943)........... $168,478,976
Cash..................................... 816,612
Receivable for securities sold........... 4,894,861
Receivable for fund shares sold.......... 72,668
Dividends and accrued interest
receivable............................. 193,600
Other.................................... 980
------------
Total assets........................... 174,457,697
------------
Liabilities:
Unrealized loss on forward currency
contracts (note 5)..................... 191,991
Payable for securities purchased......... 880,810
Payable for fund shares redeemed......... 148,659
Payable for investment management
services (note 3)...................... 112,947
Other accrued expenses................... 82,762
------------
Total liabilities...................... 1,417,169
------------
Net assets at market value................. $173,040,528
============
Net assets consist of:
Par value, $1 per share.................. $ 8,043,715
Paid-in capital in excess of par value... 99,793,758
Net unrealized appreciation
(depreciation) on:
Investments (note 1)................... 65,004,033
Foreign currency related
transactions......................... (39,653)
Forward currency contracts (note 5).... (191,991)
Accumulated net realized gain on
investments (note 1)................... 430,666
------------
Net assets at market value................. $173,040,528
============
Shares outstanding (note 4)................ 8,043,715
Net asset value per share.................. $ 21.51
============
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest (net of $6,323 foreign taxes
withheld).............................. $ 203,119
Dividends (net of $114,482 foreign taxes
withheld).............................. 1,334,278
------------
Total investment income................ 1,537,397
------------
Expenses:
Management fees (note 3)................. 1,133,323
Accounting, custody, and transfer agent
fees (note 3).......................... 402,644
Directors' fees (note 3)................. 4,166
Professional fees........................ 19,031
Printing, proxy, and postage fees........ 38,362
Other.................................... 193,830
------------
Total expenses......................... 1,791,356
Less fees waived (note 3).............. (62,962)
------------
Net expenses........................... 1,728,394
------------
Net investment loss.................... $ (190,997)
------------
Realized and unrealized gain (loss) on
investments and foreign currency:
Net realized gain (loss) from:
Investments............................ $ 705,774
Forward currency related
transactions......................... (4,921,476)
Net increase in unrealized appreciation
on:
Investments............................ 73,800,124
Foreign currency related
transactions......................... 1,419,304
------------
Net gain on investments................ 71,003,726
------------
Net increase in net assets from
operations........................... $ 70,812,729
============
</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>
YEARS ENDED
---------------------------
1999 1998
------------ ------------
<S> <C> <C>
From operations:
Net investment income (loss).............................. $ (190,997) $ 3,449,743
Realized gain (loss) on investments and foreign currency
transactions............................................ (4,215,702) 7,812,947
Unrealized appreciation (depreciation) on investments and
foreign currency transactions........................... 75,219,428 (5,018,504)
------------ ------------
Net increase in net assets from operations............ 70,812,729 6,244,186
------------ ------------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. 0 (3,450,422)
Capital gains and foreign currency related transaction
distributions........................................... 0 (8,013,258)
Distributions in excess of capital gains and foreign
currency related transactions........................... 0 (74,797)
------------ ------------
Total dividends and distributions..................... 0 (11,538,477)
------------ ------------
From capital share transactions (note 4):
Received from shares sold................................. 13,371,176 11,643,429
Received from dividends reinvested........................ 0 11,538,477
Paid for shares redeemed.................................. (51,458,009) (33,603,085)
------------ ------------
Decrease in net assets derived from capital share
transactions........................................... (38,086,833) (10,421,179)
------------ ------------
Increase (decrease) in net assets..................... 32,725,896 (15,715,470)
Net Assets:
Beginning of period....................................... 140,314,632 156,030,102
------------ ------------
End of period............................................. $173,040,528 $140,314,632
============ ============
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $12.86 $13.39 $15.49 $14.38 $13.30
Income (loss) from investment operations:
Net investment income (loss).............................. (0.02) 0.32 0.28 0.25 0.31
Net realized and unrealized gain on investments and
foreign currency transactions........................... 8.67 0.24 0.08 1.76 1.28
------ ------ ------ ------ ------
Total income from investment operations................. 8.65 0.55 0.36 2.01 1.59
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 (0.32) (0.37) (0.25) (0.28)
Distributions from net realized capital gains and foreign
currency related transaction............................ 0.00 (0.75) (2.09) (0.65) (0.23)
Distributions in excess of net realized capital gains and
foreign currency related transaction.................... 0.00 (0.01) 0.00 0.00 0.00
------ ------ ------ ------ ------
Total distributions..................................... 0.00 (1.08) (2.46) (0.90) (0.51)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $21.51 $12.86 $13.39 $15.49 $14.38
====== ====== ====== ====== ======
Total return................................................ 67.40% 3.88% 2.11% 14.48% 12.10%
Ratios and supplemental data:
Ratios net of fees waived by Adviser:
Ratio of expenses to average net assets................. 1.21% 1.17% 1.22% 1.15% 1.12%
Ratio of net investment income (loss) to average net
assets................................................ (0.15)% 2.31% 1.82% 1.64% 2.29%
Ratios assuming no fees waived by Adviser:
Ratio of expenses to average net assets................. 1.26% 1.17% 1.22% 1.15% 1.12%
Portfolio turnover rate..................................... 338% 22% 24% 14% 7%
Net assets at end of period (millions)...................... $173.0 $140.3 $156.0 $137.3 $ 90.6
</TABLE>
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 DECEMBER 31, 1999
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 6.46%
Three-year 9.11%
Five-year 13.01%
Since inception (4/30/94) 12.27%
</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
MARKET ENVIRONMENT
Robust economic growth and consumer confidence formed the backdrop for a rise in
stock prices during the century's final quarter- with a notable surge on the
very last day. As was true all year, technology stocks powered the advance along
with other companies expected to maintain strong earnings momentum. After
trailing larger issues earlier in the year small- and mid-cap growth stocks
advanced smartly to surpass the large-cap S&P 500 Stock Index for the quarter.
Not all stocks participated in the rally. For income- and value-oriented stocks,
which include many holdings in the fund, the quarter was extremely
disappointing. Investors largely shunned companies of all sizes that lacked
robust earnings prospects of operated in areas far from the so-called "new
economy." Natural resources stocks had been an exception to this trend for much
of the year, but lagged in the fourth quarter as oil prices leveled off.
PERFORMANCE REVIEW
The fund's return was slightly negative for the final quarter as the technology
rally largely bypassed our holdings. Our best holdings for the period included
CHRIS-CRAFT, NEW YORK TIMES, and WASHINGTON POST in the media and communications
group; MACMILLAN BLOEDEL (now merged into WEYERHAEUSER), and DOMTAR in forest
products; and MOTOROLA in the technology sector -- new position. Holdings that
were disappointing included LOEWS, a diversified holding company, PHILIP MORRIS,
hurt by continued tobacco litigation, and ROUSE, a real estate investment trust
with major shopping mall holdings. Nevertheless, we see much value in these
beaten-down shares and may add to them in the future.
OUTLOOK
We are generally optimistic about the portfolio, since our holdings are cheap
and the underlying companies have significant value. Our bonds and convertibles
meet rational criteria designed to maximize returns over time versus the risks
we take. All wild bull markets come to an end, some in a painful fashion. When
the pendulum swings, this conservative portfolio will still be here seeking to
help investors increase their wealth with minimal risk.
CHANGE IN VALUE OF $10,000 INVESTMENT
- ---------------
(a) Prior to 8/1/99 the portfolio was known as the Small Cap Growth Portfolio.
<TABLE>
<CAPTION>
CAPITAL APPRECIATION PORTFOLIO S&P 500 INDEX
(COMMENCED OPERATIONS APRIL 30, -------------
1994)
-------------------------------
<S> <C> <C>
10000.00 10000.00
9975.00 9658.00
'95' 12816.50 13923.10
13688.10 15343.30
'96' 14835.10 17136.90
16014.50 20650.00
'97' 17089.10 22834.70
18032.40 26878.80
'98' 18099.10 29359.70
19621.30 32994.40
'99' 19268.10 35538.30
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Amerada Hess Corporation 4.94
2. Tennessee Valley Authority 4.07
3. Loews Corporation 3.68
4. Niagara Mohawk Holdings Inc. 3.36
5. Chris-Craft Industries, Inc. 3.32
6. The Washington Post Company Cl
B 2.84
7. Newmont Mining Corporation 2.73
8. Inco Ltd. CV 2.40
9. New York Times Co. 2.36
10. Times Mirror CV LYON New 2.33
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Oil, Energy, and Natural Gas 11.90
2. Media and Publishing 11.49
3. Metals and Mining 8.88
4. Insurance Services 8.25
5. Municipal 6.96
</TABLE>
28
<PAGE> 30
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CHEMICALS (3.7%)
23,500 Cabot Corp. ....................... $ 478,813
20,000 Englehard Corp. ................... 377,500
24,000 Great Lakes Chemical Corp. ........ 916,500
60,000 *Octel Corp. ...................... 622,500
-----------
2,395,313
-----------
CONSUMER PRODUCTS (1.9%)
27,000 Philip Morris Cos. Inc. ........... 626,063
15,000 Polaroid Corp. .................... 282,187
35,000 *Reebok International Ltd. ........ 286,562
-----------
1,194,812
-----------
ELECTRICAL EQUIPMENT (1.5%)
43,000 FirstEnergy Corp. ................. 975,562
-----------
ENTERTAINMENT & LEISURE (1.3%)
42,000 *Mandalay Resort Group ............ 845,250
-----------
FINANCIAL SERVICES (1.1%)
30,000 Leucadia National Corp. ........... 693,750
-----------
FOOD & RELATED (0.4%)
9,300 McCormick & Co. Inc. .............. 276,675
-----------
FORESTRY & PAPER PRODUCTS (2.3%)
34,000 Johns Manville Corp. .............. 476,000
14,000 Weyerhaeuser Co. .................. 1,005,375
-----------
1,481,375
-----------
INSURANCE SERVICES (6.7%)
3,000 Aenta Inc. ........................ 167,438
5,000 Berkley (WR) Corp. ................ 104,375
10,000 Cigna Corp. ....................... 805,625
39,200 Loews Corp. ....................... 2,378,950
8,500 Unitrin Inc. ...................... 319,812
4,500 White Mountains Ins. Group Ltd. ... 542,250
-----------
4,318,450
-----------
MEDIA & PUBLISHING (9.2%)
29,700 *Chris Craft Industries Inc. ...... 2,142,113
10,000 Meredith Corp. .................... 416,875
31,000 New York Times Co. CL A ........... 1,522,875
3,300 Washington Post CL B .............. 1,834,387
-----------
5,916,250
-----------
MEDICAL & RELATED (1.5%)
25,000 American Home Products Corp. ...... 985,938
-----------
METALS & MINING (3.3%)
50,000 Homestake Mining Co. .............. 390,625
72,000 Newmont Mining Corp. .............. 1,764,000
-----------
2,154,625
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
OIL, ENERGY & NATURAL GAS (11.6%)
56,200 Amerada Hess Corp. ................ $ 3,189,350
50,000 Mitchell Energy & Dev. CL B ....... 1,078,125
25,000 Murphy Oil Corp. .................. 1,434,375
4,500 Questar Corp. ..................... 67,500
22,500 Texaco Inc. ....................... 1,222,031
15,000 Unocal Corp. ...................... 503,438
-----------
7,494,819
-----------
REAL ESTATE & LEASING (0.8%)
24,000 Rouse Co. ......................... 510,000
-----------
RETAIL (1.7%)
9,500 J.C. Penny Co. Inc. ............... 189,406
194,000 *Petrie Stores Liq. Trust Unit .... 472,875
32,500 *Toys 'R' Us Holding Co. .......... 465,156
-----------
1,127,437
-----------
TRANSPORTATION & EQUIPMENT (1.0%)
41,500 Overseas Shipholding Group Inc. ... 614,719
-----------
UTILITIES (5.2%)
25,500 Kansas City Power & Light Co. ..... 562,594
156,000 *Niagara Mohawk Holding Inc. ...... 2,174,250
55,000 Unisource Energy Corp.. Holding
Co. .............................. 615,312
-----------
3,352,156
-----------
TOTAL U.S. COMMON STOCKS (53.2%)
(COST $33,284,485) ............... $34,337,131
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (1.1%)
CHEMICALS (1.1%)
17,000 Imperial Chemical Ind. ADR ........ $ 723,563
-----------
CANADA (1.8%)
FORESTRY & PAPER PRODUCTS (1.0%)
56,000 Abitibi Consolidated Inc. ......... 665,000
-----------
TRANSPORTATION & EQUIPMENT (0.8%)
23,500 Canadian Pacific Ltd. ............. 506,719
-----------
TOTAL CANADA ...................... 1,171,719
-----------
TOTAL FOREIGN STOCKS (2.9%)
(COST $1,770,780) ................ $ 1,895,282
-----------
TOTAL COMMON STOCKS (56.1%)
(COST $35,055,265) ............... $36,232,413
-----------
</TABLE>
(continued)
29
<PAGE> 31
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CONTAINERS (0.4%)
7,500 Owens-Illinois Inc. 4.750% CV...... $ 234,375
-----------
FINANCIAL SERVICES (0.6%)
7,000 Kemper Series E 5.750% (144A)...... 366,520
-----------
REAL ESTATE & LEASING (2.1%)
41,000 Rouse Co. Series B $3 CV........... 1,337,625
-----------
TRANSPORTATION & EQUIPMENT (1.7%)
27,000 Union Pacific Capital Trust CV
6.250% 04/01/28 (144A)............ 1,123,875
-----------
TOTAL PREFERRED STOCKS (4.8%) (COST
$3,787,910)....................... $ 3,062,395
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT (2.6%)
$ 400,000 FNMA 6.375% 01/16/02............... $ 398,547
100,000 FNMA 5.370% 02/07/01............... 98,934
200,000 U.S. Treasury Note 6.250%
04/30/01.......................... 200,250
400,000 U.S. Treasury Note 6.250%
10/31/01.......................... 400,125
620,000 U.S. Treasury Note 5.875%
09/30/02.......................... 613,607
-----------
1,711,463
-----------
COMMUNICATIONS (0.8%)
500,000 Bell South Telecommunications Inc.
5.850% 11/15/45................... 497,226
-----------
MUNICIPAL (7.0%)
450,000 Tennessee Valley Authority. 5.980%
04/01/36.......................... 425,913
1,450,000 Tennessee Valley Authority Ser. B
6.235% 07/15/45................... 1,440,837
2,810,000 Tennessee Valley Authority 5.800%
04/01/36.......................... 2,628,112
-----------
4,494,862
-----------
TOTAL LONG-TERM BONDS & NOTES
(10.4%) (COST $7,026,721).......... $ 6,703,551
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT CONVERTIBLE DEBENTURES VALUE
- -------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (0.6%)
$ 785,000 *Pep Boys MM&J Lyon, zero Coupon
Contracts due 09/20/11............ $ 416,050
-----------
DRUGS (1.3%)
1,660,000 *Roche Holdings Inc. (144A) zero
Coupon Contracts due 05/06/12..... 837,271
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT CONVERTIBLE DEBENTURES VALUE
- -------------------------------------------------------------
<C> <S> <C>
ENTERTAINMENT & LEISURE (0.1%)
$ 50,000 Ogden Corp Euro 5.750% 10/20/02.... $ 38,327
-----------
HOTEL/LODGING (1.9%)
1,650,000 Hilton Hotels 5.000% 05/15/06...... 1,260,188
-----------
INSURANCE SERVICES (1.6%)
1,235,000 Loews Corp. 3.125% 09/15/07........ 1,012,700
-----------
MEDIA & PUBLISHING (2.3%)
3,085,000 *Times Mirror zero Coupon Contracts
due 04/15/17...................... 1,507,794
-----------
MEDICAL & RELATED (1.4%)
865,000 Healthsouth Corp. 3.250% 04/01/03 671,456
450,000 PhyCor Inc. 4.500% 02/15/03........ 208,125
-----------
879,581
-----------
METALS & MINING (5.6%)
490,000 Homestake Mining Euro 5.500%
06/23/00.......................... 481,695
915,000 Homestake Mining HM (144A) 5.500%
06/23/00.......................... 890,981
1,625,000 InCo Ltd. 5.750% 07/01/04.......... 1,547,813
900,000 Teck Corp. 3.750% 07/15/06......... 666,000
-----------
3,586,489
-----------
OIL, ENERGY & NATURAL GAS (0.3%)
200,000 Texaco Capital 3.500% 08/05/04..... 195,028
-----------
RETAIL (0.1%)
115,000 Rite Aid Corp. 5.250% 09/15/02..... 78,487
-----------
WASTE DISPOSAL (1.7%)
1,275,000 Waste Management 4.000% 02/01/02... 1,122,00
-----------
TOTAL CONVERTIBLE DEBENTURES
(16.9%)
(COST $11,357,302)................. $10,993,915
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCE (0.8%)
$ 517,000 AIG Funding Inc. 4.800% 01/05/00... $ 516,724
METALS & MINING (2.9%)
1,900,000 Alcoa Inc. 4.100% 01/06/00......... 1,898,918
-----------
MEDIA & PUBLISHING (1.7%)
1,100,000 Knight Ridder Inc. 5.000%
01/06/00.......................... 1,099,236
-----------
DRUGS (4.9%)
3,200,000 Merck & Co. Inc. 4.000% 01/06/00... 3,198,223
COMPUTER & RELATED (1.9%)
1,200,000 IBM Credit Corp. 4.000% 01/06/00... 1,199,333
-----------
TOTAL SHORT-TERM NOTES (12.2%)
(COST $7,912,434).................. $ 7,912,434
-----------
</TABLE>
(continued)
30
<PAGE> 32
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
PUT OPTION PURCHASES MARKET
SHARES STOCK/EXPIRATION/EXERCISE PRICE VALUE
- -------------------------------------------------------------
<C> <S> <C>
15(b) Motorola Inc./Jan/$95.............. $ 281
15(b) Motorola Inc./Jan/$110............. 750
20(b) Weyerhaeuser Co./Jan/$75........... 8,250
-----------
TOTAL OPTIONS (0.0%)
(COST $75,837).................... $ 9,281
-----------
TOTAL HOLDINGS (100.4%)
(COST $65,215,469) (a)............ $64,853,989
-----------
LIABILITIES, NET OF CASH &
RECEIVABLES (-0.4%)............... (235,307)
-----------
TOTAL NET ASSETS (100.0%).......... $64,618,682
===========
</TABLE>
- ---------------
<TABLE>
<S> <C>
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs
from cost basis for federal income tax purposes. See Note 1.
(b) 100 share lots.
(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 $3,218,647 or 5.0% of net assets. These
securities were deemed liquid pursuant to procedures
approved by the Board of Directors.
</TABLE>
The accompanying notes are an integral part of these financial statements.
31
<PAGE> 33
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $65,215,469)............. $64,853,989
Receivable for fund shares sold........... 28,426
Dividends and accrued interest
receivable.............................. 324,476
Other..................................... 2,032
-----------
Total assets............................ 65,208,923
-----------
Liabilities:
Payable for fund shares redeemed.......... 513,799
Payable for investment management services
(note 3)................................ 43,843
Other accrued expenses.................... 32,599
-----------
Total liabilities....................... 590,241
-----------
Net assets at market value.................. $64,618,682
===========
Net assets consist of:
Par value, $1 per share................... $ 5,337,541
Paid-in capital in excess of par value.... 59,599,021
Accumulated net realized income on
investments (note 1).................... 35,933
Net unrealized depreciation on investments
(note 1)................................ (361,480)
Undistributed net investment income....... 7,667
-----------
Net assets at market value.................. $64,618,682
===========
Shares outstanding (note 4)................. 5,337,541
Net asset value per share................... $ 12.11
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest................................... $1,479,300
Dividends.................................. 1,312,217
----------
Total investment income.................. 2,791,517
----------
Expenses:
Management fees (note 3)................... 574,228
Custodian fees (note 3).................... 22,070
Directors' fees (note 3)................... 2,449
Professional fees.......................... 11,187
Accounting and transfer agent fees......... 53,824
Other...................................... 17,849
----------
Total expenses........................... 681,607
----------
Net investment income.................... $2,109,910
----------
Realized and unrealized gain (loss) on
investments:
Net realized gain from investments......... $6,044,556
Net increase in unrealized depreciation on
investments.............................. (3,470,618)
----------
Net gain on investments.................. 2,573,938
----------
Net increase in net assets from
operations............................. $4,683,848
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
32
<PAGE> 34
OHIO NATIONAL FUND, INC.
CAPITAL APPRECIATION PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
--------------------------
1999 1998
------------ -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 2,109,910 $ 1,755,709
Realized gain on investments.............................. 6,044,556 5,789,990
Unrealized depreciation on investments.................... (3,470,618) (3,695,595)
------------ -----------
Net increase in net assets from operations............ 4,683,848 3,850,104
------------ -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (2,102,848) (1,758,879)
Capital gains distributions............................... (5,994,413) (5,804,200)
Distributions in excess of capital gains.................. 0 (30,044)
------------ -----------
Total dividends and distributions..................... (8,097,261) (7,593,123)
------------ -----------
From capital share transactions (note 4):
Received from shares sold................................. 8,091,987 18,944,729
Received from dividends reinvested........................ 8,097,261 7,593,123
Paid for shares redeemed.................................. (24,674,975) (6,108,105)
------------ -----------
Increase (decrease) in net assets derived from capital
share transactions................................... (8,485,727) 20,429,747
------------ -----------
Increase (decrease) in net assets.................. (11,899,140) 16,686,728
Net Assets:
Beginning of period....................................... 76,517,822 59,831,094
------------ -----------
End of period (a)......................................... $ 64,618,682 $76,517,822
============ ===========
(a) Includes undistributed net investment income of......... $ 7,667 $ 605
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $12.92 $13.53 $12.93 $11.99 $10.25
Income from investment operations:
Net investment income..................................... 0.39 0.34 0.39 0.48 0.39
Net realized and unrealized gain on investments........... 0.42 0.46 1.48 1.31 1.85
------ ------ ------ ------ ------
Total income from investment operations................. 0.81 0.80 1.87 1.79 2.24
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.39) (0.34) (0.46) (0.44) (0.29)
Distributions from net realized capital gains............. (1.23) (1.06) (0.81) (0.41) (0.21)
Distributions in excess of capital gains.................. 0.00 (0.01) 0.00 0.00 0.00
------ ------ ------ ------ ------
Total distributions..................................... (1.62) (1.41) (1.27) (0.85) (0.50)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $12.11 $12.92 $13.53 $12.93 $11.99
====== ====== ====== ====== ======
Total return................................................ 6.46% 5.91% 15.19% 15.75% 22.62%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.95% 0.93% 0.95% 0.97% 0.96%
Ratio of net investment income to average net assets...... 2.94% 2.52% 2.88% 3.90% 3.47%
Portfolio turnover rate..................................... 34% 45% 41% 37% 32%
Net assets at end of period (millions)...................... $ 64.6 $ 76.5 $ 59.8 $ 38.3 $ 19.3
</TABLE>
The accompanying notes are an integral part of these financial statements.
33
<PAGE> 35
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 DECEMBER 31, 1999
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 106.46%
Three-year 35.29%
Five-year 31.13%
Since inception (4/30/94) 31.40%
</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 fourth quarter brought strong performance for growth stocks as a group, and
many small companies participated in this surge. Thanks to our bottom-up,
growth-oriented approach, the Small Cap Fund posted a strong return for the
quarter. Moreover, the Fund's 1999 returns helped vault its long-term
performance well ahead of its peer group.
TECHNOLOGY LEADING THE WAY
As it has for some time, technology continues to be the dominant sector in the
market, and the Fund benefited from strong stock selection within the category.
We continued to see promise in companies that are part of what we call the
"digital consumer electronics theme." As consumers are rapidly adopting new
high-performance electronics, we believe many stocks stand to benefit.
One such company is RAVISENT TECHNOLOGIES, INC. (1.98% of the Fund). Ravisent
provides software solutions that help manage digital video and audio streams for
personal computer systems and consumer electronics devices. These software
solutions enable playback and recording of multimedia formats such as DVD, DBS
(direct broadcast satellite), and HDTV (high definition television) on existing
PC and consumer electronic formats. We have owned this company since its initial
public offering earlier this year, and our recent meetings with management gave
us increased confidence in the company's business fundamentals.
We have also seen significant performance in other technology areas, such as
Internet professional service companies. BRAUN CONSULTING, 1.52% of the Fund,
one of our holdings in this sector, returned more 60% in the month of October
alone as the market realized how significantly undervalued this stock was
relative to many the other companies in this sector.
CONSTANT SEARCH FOR GROWTH
The Fund's overweighting in technology companies is largely the result of strong
performance by our carefully chosen holdings in the sector. We continue to
search for strong prospects in other traditional growth segments of the market,
such as healthcare and consumer goods. We remain committed to our growth
philosophy, searching for the market's best small companies in whatever sector
they may be found.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CAPITAL APPRECIATION PORTFOLIO S&P 500 INDEX
(COMMENCED OPERATIONS APRIL 30, -------------
1994)
-------------------------------
<S> <C> <C>
10000.00 10000.00
9975.00 9658.00
'95' 12816.50 13923.10
13688.10 15343.30
'96' 14835.10 17136.90
16014.50 20650.00
'97' 17089.10 22834.70
18032.40 26878.80
'98' 18099.10 29359.70
19621.30 32994.40
'99' 19268.10 35538.30
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Digital Microwave Corp 3.18
2. Cree Research, Inc. 2.44
3. USWeb Corporation 2.28
4. Rex Stores Corp 2.00
5. Ravisent Tech, Inc. 1.98
6. EMCORE Corporation 1.89
7. US Freightways Corp. 1.84
8. Insight Enterprises 1.80
9. Peregrine Systems 1.67
10. Fossil, Inc. 1.59
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Electrical Equipment 14.85
2. Computer and Related 14.34
3. Retail 10.74
4. Computer Software 6.77
5. Computer Services 4.93
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (1.3%)
44,950 *The Titan Corp. ................. $ 2,118,269
------------
BANKING (0.7%)
24,625 *Silicon Valley Banc. ............ 1,218,937
------------
BROADCAST RADIO & TV (0.4%)
24,300 *Radio Unica Corp. ............... 701,662
------------
BUSINESS SERVICES (2.7%)
6,000 *Aether Systems Inc. ............. 429,750
17,650 *Corp Executive Board ............ 986,194
49,750 *Management Network Group Inc. ... 1,623,094
32,500 *Remedy Corp. .................... 1,539,688
------------
4,578,726
------------
CHEMICALS (1.4%)
60,725 *Albany Molecular Research ....... 1,852,112
56,275 *U.S. Plastic Lumber Co. ......... 432,614
------------
2,284,726
------------
COLLECTIBLES (1.0%)
157,475 *The Topps Co. ................... 1,633,803
------------
COMMERCIAL SERVICES (0.5%)
21,300 *Pfsweb Inc. ..................... 798,750
------------
COMMUNICATIONS (5.1%)
12,550 *Allegiance Telecom Inc. ......... 1,157,738
10,775 *Cox Radio Inc. .................. 1,074,806
227,500 *Digital Microwave Corp. ......... 5,332,031
25,175 *Telecorp PCS Inc. ............... 956,650
------------
8,521,225
------------
COMPUTER & RELATED (16.4%)
28,550 *Bindview Development Corp. ...... 1,418,578
13,800 *CDW Computer Centers Inc. ....... 1,085,025
78,075 *Dendrite International .......... 2,644,791
31,650 *Documentum Inc. ................. 1,895,044
33,200 *Entrust Technologies Inc. ....... 1,989,925
22,200 *Exchange Application Inc. ....... 1,240,425
74,320 *Insight Enterprises Inc. ........ 3,019,250
24,275 *Macromedia Inc. ................. 1,775,109
12,375 *Mercury Interactive Corp. ....... 1,335,727
9,500 *NetIQ Corp. ..................... 494,594
86,304 *Ravisent Tech Inc. .............. 3,317,310
23,000 *SanDisk Corp. Designs ........... 2,213,750
18,125 *SmartDisk Corp. ................. 593,594
60,025 *TenFold Corp. ................... 2,397,248
102,775 *The 3DO Co. ..................... 934,610
72,550 *Zamba Corp. ..................... 1,260,556
------------
27,615,536
------------
COMPUTER SERVICES (4.9%)
35,650 *Braun Consulting Inc. ........... 2,548,975
22,800 *Digital River Inc. .............. 759,525
34,775 *Sykes Enterprises Inc. .......... 1,525,753
16,800 *Tanning Technology Corp. ........ 990,150
54,325 *Zomax Optical Media Inc. ........ 2,458,206
------------
8,282,609
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMPUTER SOFTWARE (5.7%)
32,050 *Aspect Development Inc. ......... $ 2,195,425
8,050 *Digex Inc. ...................... 553,438
81,550 *InfoCure Corp. .................. 2,543,341
33,850 *Peregrine Systems ............... 2,796,856
11,600 *Puma Technologies ............... 1,515,250
------------
9,604,310
------------
CONSUMER PRODUCTS (4.4%)
115,600 *Fossil Inc. ..................... 2,673,250
92,062 *Jakks Pacific Inc. .............. 1,720,409
49,125 *Pinnacle Systems Inc. ........... 1,998,773
63,875 *Yankee Candle Inc. .............. 1,041,961
------------
7,434,393
------------
DRUGS (0.7%)
21,037 *King Pharmaceuticals Inc. ....... 1,179,415
------------
EDUCATION/SCHOOLS (0.4%)
47,600 *ITT Educational Services Inc. ... 734,825
------------
ELECTRONIC COMPONENTS (14.5%)
17,275 *Advanced Energy Ind. ............ 850,794
88,450 *American Xtal Technology Inc. ... 1,542,347
14,425 *Applied Micro Circuits Corp. .... 1,835,581
18,500 *Astropower Inc. ................. 259,000
48,450 *Brooks Automation Inc. .......... 1,577,653
47,900 *Cree Research Inc. .............. 4,089,463
93,275 *Emcore Corp. .................... 3,171,350
43,950 *Gentex Corp. .................... 1,219,613
36,650 *Kopin Corp. ..................... 1,539,300
59,925 Methode Electronics .............. 1,925,091
48,525 *Pericom Semiconductor ........... 1,276,814
19,300 *PRI Automation Inc. ............. 1,295,512
21,800 *Sawtek Inc. ..................... 1,451,062
39,825 *Zoran Corp. ..................... 2,220,244
------------
24,253,824
------------
ELECTRICAL EQUIPMENT (1.8%)
3,775 Optical Coating Lab .............. 1,117,400
77,137 *Remec Inc. ...................... 1,966,994
------------
3,084,394
------------
ELECTRICAL SERVICES (2.1%)
38,312 *Dycom Industries ................ 1,688,122
64,975 *Quanta Services Inc. ............ 1,835,544
------------
3,523,666
------------
ENTERTAINMENT & LEISURE (2.0%)
97,475 Callaway Golf Co. ................ 1,724,089
72,675 *Station Casinos Inc. ............ 1,630,645
------------
3,354,734
------------
FIBER OPTICS (0.2%)
2,925 *Finisar Corp. ................... 262,884
------------
FINANCIAL SERVICES (2.7%)
61,700 *CompuCredit Corp. ............... 2,375,450
16,425 *NCO Group Inc. .................. 494,803
*Profit Recovery group Intl.
65,737 Inc. ............................ 1,746,139
------------
4,616,392
------------
</TABLE>
(continued)
35
<PAGE> 37
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
HOTEL/LODGING (0.5%)
65,400 *Sunterra ........................ $ 752,100
------------
HOUSING, FURNITURE & RELATED (0.5%)
28,475 *Trex Co. Inc. ................... 761,706
------------
INDUSTRIAL SERVICES (0.8%)
47,875 *Insituform Technologies ......... 1,352,469
------------
INTERNET SOFTWARE (4.8%)
11,450 *Andover.Net Inc. ................ 407,906
14,975 *ITXC Corp. ...................... 503,534
28,475 *Liquid Audio Inc. ............... 747,469
22,675 *National Information ............ 725,600
35,850 *PC-Tel Inc. ..................... 1,882,125
86,012 *USWeb Corp. ..................... 3,822,158
------------
8,088,792
------------
MACHINERY (0.8%)
31,325 *Astec Industries ................ 589,302
46,950 *National Oilwell Inc. ........... 736,528
------------
1,325,830
------------
MEDICAL & RELATED (2.5%)
28,025 *Accredo Health Inc. ............. 861,769
*Orthodontic Centers of America
45,050 Inc. ............................ 537,784
20,000 *Patterson Dental ................ 852,500
86,925 *PolyMedica Corp. ................ 2,010,141
------------
4,262,194
------------
MOTION PICTURE & SERVICE (0.6%)
13,625 *Macrovision Corp. ............... 1,008,250
------------
NETWORK PRODUCTS (1.0%)
5,650 *JNI Corp. ....................... 372,900
12,225 *Proxim Inc. ..................... 1,344,750
------------
1,717,650
------------
REAL ESTATE & LEASING (0.7%)
104,850 *Fairfield Communities Inc. ...... 1,127,138
------------
RETAIL (10.7%)
34,650 *99 Cents Only Stores ............ 1,325,363
26,950 *American Eagle Outfitters ....... 1,212,750
40,925 *Ames Department Stores .......... 1,179,151
46,300 *Bebe Stores Inc. ................ 1,250,100
9,200 *Chemdex Corp. ................... 1,021,200
55,825 *Pacific Sunwear of California ... 1,796,867
95,800 *Rex Stores Corp. ................ 3,353,000
94,625 *Sharper Image Corp. ............. 1,200,555
66,725 *The Mens Wearhouse Inc. ......... 1,960,047
*Tweeter Home Entertainment
38,950 Group ........................... 1,382,725
71,025 *Ultimate Electronics Inc. ....... 1,757,869
12,800 *Williams-Sonoma Inc. ............ 588,800
------------
18,028,427
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION SERVICE & EQUIPMENT (3.8%)
29,150 C.H. Robinson World .............. $ 1,158,712
93,875 Circle International ............. 2,088,719
64,625 US Freightways Corp. ............. 3,093,922
------------
6,341,353
------------
TOTAL U.S. COMMON STOCK (95.6%)
(COST $104,650,391) ............. $160,568,989
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CANADA (1.0%)
COMPUTER SOFTWARE (1.0%)
47,525 *Optimal Robotics Corp. .......... $ 1,770,306
------------
NETHERLANDS (1.2%)
ELECTRONIC COMPONENTS (1.2%)
85,000 ... *ASM International ............... 1,955,000
------------
NORWAY (0.6%)
OIL, ENERGY & NATURAL GAS (0.6%)
85,525 *Stolt Comex Seaway .............. 946,120
------------
TOTAL FOREIGN COMMON STOCK (2.8%)
(COST $3,490,289)................ $ 4,671,426
------------
TOTAL COMMON STOCK (98.4%) (COST
$108,140,680).................... $165,240,415
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.3%)
$3,908,000 Firstar 1.000% 01/03/00 repurchase
price $3,908,321 collateralized
by GNMA certificates pool #8375
due 02/20/24 (Cost $3,908,000)... $ 3,908,000
------------
TOTAL REPURCHASE AGREEMENTS (2.3%)
(COST $3,908,000)................ $ 3,908,000
------------
TOTAL HOLDINGS (100.7%) (COST
$112,048,680) (a)................ $169,148,415
------------
LIABILITIES, NET OF CASH &
RECEIVABLES (-0.7%).............. (1,230,541)
------------
TOTAL NET ASSETS (100.0%)......... $167,917,874
============
</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.
36
<PAGE> 38
OHIO NATIONAL FUND, INC.
SMALL CAP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $112,048,680)........... $169,148,415
Cash in bank............................. 406
Receivable for securities sold........... 2,131,112
Receivable for fund shares sold.......... 78,512
Dividends and accrued interest
receivable............................. 5,256
Other.................................... 2,661
------------
Total assets........................... 171,366,362
------------
Liabilities:
Payable for securities purchased......... 3,243,761
Payable for fund shares redeemed......... 73,662
Payable for investment management
services (note 3)...................... 104,929
Other accrued expenses................... 26,136
------------
Total liabilities...................... 3,448,488
------------
Net assets at market value................. $167,917,874
============
Net assets consist of:
Par value, $1 per share.................. $ 5,311,232
Paid-in capital in excess of par value... 103,472,734
Accumulated net realized gain on
investments (note 1)................... 2,034,173
Net unrealized appreciation on
investments (note 1)................... 57,099,735
------------
Net assets at market value................. $167,917,874
============
Shares outstanding (note 4)................ 5,311,232
Net asset value per share.................. $ 31.62
============
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 247,410
Dividends................................. 39,204
-----------
Total investment income................. 286,614
-----------
Expenses:
Management fees (note 3).................. 826,722
Custodian fees (note 3)................... 17,148
Directors' fees (note 3).................. 2,107
Professional fees......................... 9,629
Accounting and transfer agent fees........ 57,698
Other..................................... 15,215
-----------
Total expenses.......................... 928,519
-----------
Net investment loss..................... $ (641,905)
-----------
Realized and unrealized gain on investments:
Net realized gain from investments........ $49,188,742
Net increase in unrealized appreciation on
investments............................. 36,969,442
-----------
Net gain on investments................. 86,158,184
-----------
Net increase in net assets from
operations............................ $85,516,279
===========
</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>
YEARS ENDED
---------------------------
1999 1998
------------ -----------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (641,905) $ (187,071)
Realized gain (loss) on investments....................... 49,188,742 (4,198,422)
Unrealized appreciation on investments.................... 36,969,442 11,754,403
------------ -----------
Net increase in net assets from operations............ 85,516,279 7,368,910
------------ -----------
Dividends and distributions to shareholders:
Capital gains distributions............................... (42,956,147) (961)
------------ -----------
From capital share transactions (note 4):
Received from shares sold................................. 22,600,298 16,824,812
Received from dividends reinvested........................ 42,956,147 961
Paid for shares redeemed.................................. (15,774,683) (6,922,311)
------------ -----------
Increase in net assets derived from capital share
transactions......................................... 49,781,762 9,903,462
------------ -----------
Increase in net assets............................. 92,341,894 17,271,411
Net Assets:
Beginning of period....................................... 75,575,980 58,304,569
------------ -----------
End of period............................................. $167,917,874 $75,575,980
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------------------------------
1999 1998 1997 1996 1995
------ ------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $20.70 $18.72 $18.03 $15.85 $11.99
Income (loss) from investment operations:
Net investment loss....................................... (0.16) (0.06) (0.02) (0.08) (0.02)
Net realized & unrealized gain on investments............. 21.96 2.04 1.54 2.80 3.95
------ ------ ------ ------ ------
Total income from investment operations................. 21.80 1.98 1.52 2.72 3.93
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 0.00 0.00 0.00 (0.07)
Distributions from net realized capital gains............. (10.88) 0.00 (0.83) (0.54) 0.00
------ ------ ------ ------ ------
Total distributions..................................... (10.88) 0.00 (0.83) (0.54) (0.07)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $31.62 $20.70 $18.72 $18.03 $15.85
====== ====== ====== ====== ======
Total return................................................ 106.46% 10.57% 8.47% 17.71% 33.01%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.89% 0.91% 0.94% 0.96% 0.96%
Ratio of net investment loss to average net assets........ (0.61)% (0.30)% (0.11)% (0.48)% (0.11)%
Portfolio turnover rate..................................... 166% 99% 80% 70% 75%
Net assets at end of period (millions)...................... $167.9 $ 75.6 $ 58.3 $ 38.5 $ 16.0
</TABLE>
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 DECEMBER 31, 1999
AVERAGE ANNUAL TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 108.51%
Three-year 34.08%
Since inception (3/31/95) 25.53%
</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
This was a very good year for international small cap funds. We are pleased to
report that the Ohio National International Small Company Portfolio returned
108.51% for the year. According to Lipper, the 1999 average return for the
international small cap investment objective was 74.8%. Hence, the fund
continues to provide one of the best returns in its asset class.
The fund derived its excellent performance principally from its investments in
Asia at the beginning of the year. The Asian recovery process in its infancy
presented some compelling reasons and investment opportunities in the region.
Japan, the largest Asian economy, largely accounted for nearly 30% of the fund
throughout the year while Europe largely underperformed because of the decrease
in global demand for goods produced in Germany and the weakness or uncertainty
in the Euro, the new European currency.
Looking forward, we expect Germany to lead Europe's recovery in 2000. Good
economic indicators point to our optimistic outlook: industrial production
orders up, business confidence levels up and unemployment down. In fact, Europe
is expected to grow 3% this year, up from 2% in 1999.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
INTERNATIONAL SMALL COMPANY EAFE
PORTFOLIO (COMMENCED OPERAITONS ----
MARCH 31, 1995)
-------------------------------
<S> <C> <C>
10000.00 10000.00
10421.00 10073.00
'96 12206.80 11630.30
13407.90 12951.50
'97 13630.50 11765.10
14466.00 13657.00
'98 14110.20 14028.40
17531.90 14585.40
'99 29422.00 17811.60
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Baltimore Technologies PLC 2.18
2. Intershop Communications AG 1.77
3. Datacraft Asia Ltd. 1.72
4. Trafficmaster PLC 1.71
5. Secure Network Solutions Ltd. 1.65
6. Solution 6 Holdings Ltd. 1.61
7. ARM Holdings plc, ADR 1.56
8. Framtidsfabriken AB 1.44
9. Pacific Century Regional
Developments Ltd. 1.35
10. Matalan 1.30
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Business & Public Services 26.19
2. Electronic Components,
Instruments 14.45
3. Telecommunications 8.67
4. Electrical & Electronics 7.87
5. Broadcasting & Publishing 4.96
</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.
- ---------------
(a) Prior to 5/1/99 the portfolio was known as The Global Contrarian Portfolio.
39
<PAGE> 41
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
JAPAN (20.7%)
6,500 Aoi Advertising Promotion Inc.
(22).............................. $ 116,321
700 Avex Inc. (13)..................... 174,555
1,000 Drake Beam Morin Japan Inc. (28)... 325,641
1,000 Fast Retailing Co. Ltd. (31)....... 406,806
500 Funai Electric Co. Ltd. (11)....... 294,348
1,300 Hokuto Corp. (15).................. 69,793
18,000 Japan Asia Investment Co. Ltd.
(14).............................. 295,717
22,000 Japan Radio Co. (29)............... 212,987
600 Kadokawa Shoten Publishing Co.
(22).............................. 201,838
5,000 Kinseki (11)....................... 53,051
1,000 Kobayashi Pharmaceutical Co. Ltd.
(23).............................. 78,232
3,800 Koei Co. Ltd. (9).................. 136,006
5 *Liquid Audio Japan Inc. (28)...... 317,328
6,000 Meiki Co. Ltd. (20)................ 143,751
3,000 Misumi Corp. (34).................. 236,163
4,000 Mitsumi Electric (11).............. 125,171
1,200 Moshi Moshi Hotline Inc. (29)...... 165,461
1,900 Mycal Card Inc. (14)............... 60,385
1,590 Nichii Gakkan Co. (28)............. 310,817
24,000 Nippon Thompson (11)............... 198,083
3,600 Nissin Co. Ltd. (14)............... 147,858
8,000 Nitori Co. (34).................... 320,751
9,000 Nitto Kohki Co. Ltd. (20).......... 188,783
2,000 Pasona Softbank Inc. (14).......... 158,811
2,200 Plaza Create (28).................. 225,895
3,000 Q' sai Co. Ltd. (15)............... 187,757
2,000 Right On Co. (13).................. 195,580
3,000 Rock Field Co. (15)................ 115,881
10,000 Sailor Pen Co. Ltd. (13)........... 205,359
4,000 Shinkawa (20)...................... 142,773
4,000 Sumisho Computer Systems Corp.
(9)............................... 275,377
16,000 Toyo Communication Equipment
(29).............................. 297,281
900 Trans Cosmos (9)................... 383,728
1,700 Trend Micro Inc. (9)............... 428,907
2,000 Venture Link Co. Ltd. (28)......... 173,088
4,000 Yamada Denki (27).................. 434,187
3,000 Yokowo Co. Ltd. (11)............... 74,809
-----------
7,879,279
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (13.7%)
3,100 *ARM Holdings PLC ADR (11)......... $ 593,650
2,200 *Autonomy Corp. (29)............... 106,700
10,050 *Baltimore Technologies PLC (28)... 833,423
1,500 *EBookers.com PLC ADR (28)......... 25,969
3,400 Eidos PLC (13)..................... 299,824
9,000 FI Group PLC (28).................. 111,770
4,000 Filtronic PLC (11)................. 136,568
12,600 Guardian IT (28)................... 195,420
8,000 *Imagination Technologies Group PLC
(28).............................. 52,556
2,000 *Independent Energy Hldgs PLC ADR
(12).............................. 66,625
8,000 Kewill Systems PLC (20)............ 202,586
7,000 *Kingston Communication (Hull) PLC
(29).............................. 86,366
18,100 Matalan (31)....................... 498,622
7,000 Nestor Healthcare Group PLC (23)... 73,057
10,000 Pace Micro Technology PLC (29)..... 85,355
16,500 RM PLC (9)......................... 228,941
51,000 Saatchi & Saatchi PLC (28)......... 307,399
100,000 *Scoot.com PLC (22)................ 243,524
23,000 Securicor PLC (28)................. 59,174
8,000 *Shire Pharmaceuticals Grp PLC
(23).............................. 80,064
53,000 Taylor Nelson (28)................. 234,552
44,416 *Trafficmaster PLC (28)............ 655,809
7,000 Ultraframe (5)..................... 57,483
-----------
5,235,437
-----------
SWEDEN (8.3%)
7,000 *A-Com AB (22)..................... 159,579
3,900 *Connecta AB (28).................. 132,904
3,050 *Framtidsfabriken AB (28).......... 551,945
13,000 *Icon Medialab Intl. AB (28)....... 452,179
4,000 *Industrial & Financial Systems
(11).............................. 86,958
1,400 *Information Highway AB (11)....... 231,965
2,000 Linne Group AB (9)................. 55,700
5,900 *Modern Times Group CL B (22)...... 292,577
10,000 *Readsoft AB (9)................... 182,141
81,000 Rotternos AB (16).................. 107,557
2,800 Sigma AB CL B (11)................. 59,883
10,000 *SwitchCore AB (29)................ 408,936
3,500 *Telelogic AB (11)................. 185,901
15,650 *Teligent AB (29).................. 266,660
-----------
3,174,885
-----------
</TABLE>
(continued)
40
<PAGE> 42
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
HONG KONG (7.8%)
54,000 Asia Satellite Telecom Hldgs Ltd.
(29).............................. $ 170,541
157,000 China Everbright Ltd. (27)......... 129,260
39,400 *China Pharmaceutical Enterprise &
Investment Corp. Ltd. (23)........ 710
222,000 City Telecom Ltd. (29)............. 215,617
112,000 Cosco Pacific Ltd. (32)............ 92,931
86,000 Esprit Asia Holdings Ltd. (27)..... 92,931
190,000 *Founder Hong Kong Ltd. (9)........ 232,199
223,800 Giordano International Ltd. (27)... 230,321
119,000 *Great Wall Technology Co. (11).... 115,579
300,000 Hanny Holdings Ltd. (9)............ 283,656
215,000 Hong Kong Construction Hldgs Ltd.
(5)............................... 78,134
108,000 Legend Holdings Ltd. (9)........... 268,142
114,000 Li & Fung Ltd. (34)................ 285,972
360,000 *Quality Healthcare (23)........... 138,934
164,000 Shaw Brothers Ltd. (13)............ 190,931
620,000 *Stone Electronic Technology
(11).............................. 438,670
-----------
2,964,528
-----------
GERMANY (7.6%)
1,000 *ADVA AG Optical Networking (29)... 189,410
600 *Brokat Infosystems AG (9)......... 119,691
1,150 CE Consumer Electronic AG (11)..... 152,939
3,200 *GFK AG (28)....................... 132,184
1,000 *GFT Ges Fuer Technologiecon AG
(9)............................... 102,765
2,400 *Intershop Communications AG (9)... 686,712
5,126 Kamps AG (15)...................... 356,347
3,584 Kamps AG -- New (15)............... 240,124
1,408 Medion AG (34)..................... 125,826
6,052 *Steag Hamatech AG (20)............ 220,116
4,935 *Tecis Holding AG (14)............. 202,610
1,000 *Tiscon Infosystems (9)............ 62,062
9,600 *Zapf Creation AG (13)............. 319,176
-----------
2,909,962
-----------
AUSTRALIA (5.9%)
39,500 APN News & Media Ltd. (22)......... 86,891
10,509 Aristocrat Leisure Ltd. (13)....... 151,126
51,680 Challenger International Ltd.
(14).............................. 139,815
8,400 IXLA Ltd.( CALL-Option ) Strike
Price: 0.2; Expiration
Date:3-31-2000 (9)................ 7,391
55,500 *LibertyOne Ltd. (11).............. 61,226
47,610 One Tel Ltd. (29).................. 73,468
168,000 *PowerLan Ltd. (29)................ 163,270
2,000 *Protel International Ltd. (29).... 7,355
83,670 *Sausage Software Ltd. (9)......... 285,698
139,500 *Secure Network Solutions Ltd.
(28).............................. 632,059
56,500 *Solution 6 Holdings Ltd. (9)...... 615,872
10,000 *Techniche Ltd. (29)............... 34,474
-----------
2,258,645
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CANADA (4.7%)
1,350 *Biovail Corp. Intl. (23).......... $ 126,563
54,000 *Breakwater Resources Ltd. (24).... 149,107
8,400 *Canadian Hunter Exploration Ltd.
(12).............................. 138,062
18,400 *Canfor Corp. (16)................. 215,197
3,000 *Certicom Corp. (11)............... 178,547
4,000 *Cinar Corp. (22).................. 98,000
2,000 *Clearnet Communications Inc.
(29).............................. 68,720
5,200 *Clearnet Communications Inc.
(29).............................. 178,750
6,000 *Corel Corp. (9)................... 90,750
6,000 *Cyberplex Inc. (9)................ 75,779
7,900 *Descartes Systems Grp Inc. (9).... 173,581
5,800 *Microforum Inc. Warrants (9)...... 2,890
15,200 Newfoundland Capital Corp. Ltd.
(22).............................. 104,401
4,000 *Precision Drilling Corp. (12)..... 102,422
1,500 *Research in Motion Ltd. (11)...... 69,239
-----------
1,772,008
-----------
SINGAPORE & MALAYSIAN (4.6%)
5,000 Creative Technology Ltd. (9)....... 86,875
79,000 Datacraft Asia Ltd. (28)........... 655,700
80,000 Flextech Holdings Ltd. (11)........ 89,823
130,000 GES International Ltd. (11)........ 140,498
93,000 Keppel Telecom & Transport (29).... 151,324
36,000 *Pacific Century Regional
Developments Ltd. (26)............ 516,602
26,000 *Sembcorp Logistics Ltd. (32)...... 105,374
-----------
1,746,196
-----------
FRANCE (4.0%)
600 *Alten (29)........................ 103,490
900 *Avenir Telecom (29)............... 170,650
2,000 *Business Objects SA ADR (9)....... 267,250
2,200 *Consodata SA (28)................. 99,743
915 *Infogrames Entertainment (13)..... 151,186
400 *Integra -- Net SA (11)............ 58,193
906 *Intercall (28).................... 35,599
3,500 *Ipsos (11)........................ 289,505
400 NRJ SA (22)........................ 275,451
1,000 *Valtech (28)...................... 82,565
-----------
1,533,632
-----------
SWITZERLAND (3.9%)
500 4M Technologies Holding SA (11).... 150,563
35 Disetronic Holdings AG (23)........ 163,702
500 Distefora Holding AG (27).......... 121,645
179 Edipresse SA-Bearer (22)........... 99,026
700 Gretag Imaging Group (28).......... 101,543
43 *Kudelski SA (11).................. 256,805
450 *Micronas Semiconductor Hldg AG
(12).............................. 121,645
37 Phonak Holding AG (11)............. 63,268
400 SEZ Holding AG (11)................ 224,052
600 Swisslog Holding AG (35)........... 175,394
-----------
1,477,643
-----------
</TABLE>
(continued)
41
<PAGE> 43
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINLAND (3.5%)
47,320 JOT Automation Group OYJ (11)...... $ 440,993
6,000 Metsa-Serla Oy CL B (16)........... 69,820
1,000 Nokian Renkaat (3)................. 38,084
13,500 Perlos OYJ (11).................... 476,044
7,000 PMJ Automec Oyj (11)............... 82,303
3,464 Rapala Normark (13)................ 16,752
8,900 Talentum (22)...................... 216,099
-----------
1,340,095
-----------
SOUTH AFRICA (1.9%)
38,990 Iscor Ltd. (24).................... 147,778
216,200 Metro Cash and Carry Ltd. (34)..... 246,181
7,800 Nasionale Pers Beperk CL N (22).... 74,225
222,500 Profurn Ltd. (27).................. 241,049
-----------
709,233
-----------
GREECE (1.8%)
3,850 Arcadia Metal Industrial C. Rokas
S.A. (20)......................... 84,331
3,850 Arcadia Metal Industrial C. Rokas
S.A. Rights (20).................. 69,073
930 Chipita International (15)......... 14,431
4,200 *Interamerican Life Ins. Co. S.A.
(19).............................. 138,860
2,000 Maillis (35)....................... 75,178
5,700 Sarantis SA (23)................... 197,490
1,035 Tiletipos S.A. (29)................ 25,621
3,500 *Warehouse S.A. (28)............... 73,303
-----------
678,287
-----------
ISRAEL (1.6%)
5,000 *Geo Interactive Media Grp PLC
(9)............................... 140,370
2,000 *Gilat Satellite Networks (11)..... 237,500
2,800 *NICE-Systems Ltd. ADR (28)........ 137,725
5,500 *Taro Pharmaceutical Ind. Ltd.
(23).............................. 79,750
-----------
595,345
-----------
DENMARK (1.2%)
1,000 Falck A/S (28)..................... 104,846
2,000 *Vestas Wind Systems A/S (11)...... 354,447
-----------
459,293
-----------
SOUTH KOREA (1.1%)
1,000 Cheil Communications Inc. (28)..... 75,649
9,000 Comtec System Co. Ltd. (11)........ 122,061
100 *Handysoft Corp. (11).............. 81,990
15,500 Mirae Co. (28)..................... 120,536
-----------
400,236
-----------
NETHERLANDS (0.9%)
8,650 *BE Semiconductor Ind. (11)........ 124,187
4,090 *Detron Group (29)................. 88,182
3,850 *Versatel Telecom Intl. (29)....... 135,761
-----------
348,130
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
IRELAND (0.6%)
5,000 *Trintech Group PLC ADR (9)........ $ 247,500
-----------
TURKEY (0.6%)
580,000 Hurriyet Gazetecilik ve Matbaacilik
A.S. (22)......................... 106,932
500,000 *Tat Konserve Sanayii A.S. (15).... 124,447
-----------
231,379
-----------
ITALY (0.5%)
12,000 Class Editori SPA (22)............. 209,157
-----------
SPAIN (0.5%)
8,550 NH Hoteles S.A. (18)............... 96,306
5,000 Zeltia S.A. (23)................... 88,156
-----------
184,462
-----------
AUSTRIA (0.2%)
2,400 DO & CO Restaurants & Catering AG
(15).............................. 90,191
-----------
NORWAY (0.2%)
6,000 *Tandberg ASA (29)................. 78,402
-----------
PHILIPPINES (0.1%)
44,000 *ABS-CBN Broadcasting Corp. (22)... 54,591
-----------
HUNGRY (0.1%)
2,359 *North American Bus Ind. (3)....... 49,520
-----------
TOTAL FOREIGN COMMON STOCK (96.0%)
(COST $19,830,093)................ $36,628,036
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (6.4%)
$2,446,000 State Street Bank 2.500% due
01/03/00 repurchase price
$2,446,503 collateralized by U.S.
Treasury Bond due 05/15/04 (Cost
$2,020,000)....................... $ 2,446,000
-----------
TOTAL REPURCHASE AGREEMENTS (6.4%)
(COST $2,446,000)................. $ 2,446,000
-----------
TOTAL HOLDINGS (102.4%) (COST
$22,276,093)(A)................... $39,074,036
-----------
LIABILITIES, NET OF CASH &
RECEIVABLES (-2.4%)............... (927,409)
-----------
TOTAL NET ASSETS (100.0%).......... $38,146,627
===========
</TABLE>
- ---------------
<TABLE>
<S> <C>
* 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 purposes. See Note 1.
</TABLE>
42
<PAGE> 44
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
Industry Classifications
<TABLE>
<C> <S>
(1) Aerospace
(2) Appliances & Household
Durables
(3) Automotive
(4) Banking
(5) Building/Construction
(6) Cement
(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) Diversified
(31) Textile
(32) Transportation
(33) Utilities
(34) Wholesale
(35) Miscellaneous
</TABLE>
The accompanying notes are an integral part of these financial statements.
43
<PAGE> 45
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (A)
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $22,276,093)............. $39,074,036
Cash in bank.............................. 196,075
Unrealized gain on forward currency
contracts (note 5)...................... 11,864
Receivable for securities sold............ 247,736
Receivable for fund shares sold........... 11,111
Dividends and accrued interest
receivable.............................. 15,526
Other..................................... 81
-----------
Total assets............................ 39,556,429
-----------
Liabilities:
Unrealized loss on forward currency
contracts (note 5)...................... 16,752
Payable for securities purchased.......... 1,303,740
Payable for fund shares redeemed.......... 21,674
Payable for investment management services
(note 3)................................ 32,457
Other accrued expenses.................... 35,179
-----------
Total liabilities....................... 1,409,802
-----------
Net assets at market value.................. $38,146,627
===========
Net assets consist of:
Par value, $1 per share................... $ 1,884,191
Paid-in capital in excess of par value.... 19,314,839
Accumulated net realized gain on
investments (note 1).................... 163,454
Net unrealized appreciation (depreciation)
on:
Investments (note 1).................... 16,797,943
Foreign currency related transactions... (8,913)
Forward currency contracts (note 5)..... (4,887)
-----------
Net assets at market value.................. $38,146,627
===========
Shares outstanding (note 4)................. 1,884,191
Net asset value per share................... $ 20.25
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 42,799
Dividends (net of $8,047 foreign taxes
withheld)............................... 156,165
-----------
Total investment income................. 198,964
-----------
Expenses:
Management fees (note 3).................. 239,451
Accounting, custody, and transfer agent
fees (note 3)........................... 256,654
Directors' fees (note 3).................. 694
Professional fees......................... 3,172
Printing, postage, and proxy fees......... 7,371
Other..................................... 47,574
-----------
Total expenses.......................... 554,916
-----------
Net investment loss..................... $ (355,952)
-----------
Realized and unrealized gain (loss) on
investments and foreign currency:
Net realized gain (loss) from:
Investments............................. $ 3,970,825
Forward currency related transactions... (377,055)
Net increase (decrease) in unrealized
appreciation (depreciation) on:
Investments........................... 17,788,741
Foreign currency related
transactions....................... 4,835
-----------
Net gain on investments............... 21,387,346
-----------
Net increase in net assets from
operations......................... $21,031,394
===========
</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.
44
<PAGE> 46
OHIO NATIONAL FUND, INC.
INTERNATIONAL SMALL COMPANY PORTFOLIO (D)
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-------------------------
1999 1998
----------- -----------
<S> <C> <C>
From operations:
Net investment income (loss).............................. $ (355,952) $ 479,653
Realized gain on investments and foreign currency
transactions............................................ 3,593,770 1,799,973
Unrealized appreciation (depreciation) on investments and
foreign currency transactions........................... 17,793,576 (1,711,464)
----------- -----------
Net increase in net assets from operations............ 21,031,394 568,162
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. 0 (479,631)
Capital gains and foreign currency related transaction
distributions........................................... (3,775,161) (1,831,630)
----------- -----------
Total dividends and distributions..................... (3,775,161) (2,311,261)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 6,574,950 4,215,794
Received from dividends reinvested........................ 3,775,161 2,311,261
Paid for shares redeemed.................................. (9,277,931) (2,989,242)
----------- -----------
Increase in net assets derived from capital share
transactions......................................... 1,072,180 3,537,813
----------- -----------
Increase in net assets............................. 18,328,413 1,794,714
Net Assets:
Beginning of period....................................... 19,818,214 18,023,500
----------- -----------
End of period............................................. $38,146,627 $19,818,214
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31, APRIL 1,
------------------------------------ 1995 TO
1999 1998 1997 1996 DEC. 31, 1995
------ ------ ------ ------ -------------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.76 $11.73 $11.66 $10.80 $10.00
Income from investment operations:
Net investment income (loss).............................. (0.20) 0.29 0.29 0.28 0.13
Net realized & unrealized gain on investments & foreign
currency transactions................................... 11.81 0.12 1.03 1.00 0.75
------ ------ ------ ------ ------
Total income from investment operations................. 11.61 0.42 1.32 1.28 0.88
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 (0.29) (0.38) (0.24) (0.08)
Distributions from net realized capital gains & foreign
currency related transactions........................... (2.12) (1.10) (0.87) (0.18) 0.00
------ ------ ------ ------ ------
Total distributions..................................... (2.12) (1.39) (1.25) (0.42) (0.08)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $20.25 $10.76 $11.73 $11.66 $10.80
====== ====== ====== ====== ======
Total return................................................ 108.51% 3.53% 11.67% 12.09% 8.89%(b)
Ratios and supplemental data:
Ratio of expenses to average net assets................... 2.06% 1.30% 1.32% 1.29% 1.58%(a,c)
Ratio of net investment income (loss) to average net
assets.................................................. (1.44)% 2.48% 2.33% 2.44% 1.64%(a,c)
Portfolio turnover rate..................................... 314% 55% 29% 18% 6%
Net assets at end of period (millions)...................... $ 38.1 $ 19.8 $ 18.0 $ 11.3 $ 4.4
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
(c) The advisor has reimbursed certain operating expenses of the International
Small Company Portfolio for the period ended December 31, 1995. Had the
advisor not reimbursed such expenses, the annualized ratio of expenses to
average net assets would have been 1.90% and the annualized ratio of net
investment income to average net assets would have been 1.32%.
(d) 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.
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
TOTAL RETURNS:
One-year 5.76%
Three-year 8.67%
Since inception (3/31/95) 11.00%
</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 surged to the upside in the fourth quarter despite the Federal
Reserve's decision to hike short-term interest rates in the face of a global
economic strength. The absence of inflation and the Fed's resolve to keep
inflation contained gave investors the confidence to move back into stocks after
a six-month period of market consolidation. Although the stock market's advance
was very narrow, companies generating superior revenue growth performed
extremely well throughout the period, particularly technology issues.
The Russell 2500 Index has replaced the NASDAQ Composite Index as the benchmark
for the Aggressive Growth Portfolio because it more closely matches the
investment style and objectives of the portfolio. The Fund had good relative
performance with the Russell 2500 benchmark during the period. The improved
relative and absolute performance came primarily from a mid-year decision to
boost the fund's exposure to technology stocks. Our telecommunications, Internet
infrastructure beneficiaries, and real estate selections led the relative
outperformance of the Fund. An overweight in media also assisted relative
performance for the period. The market's advance benefited from strong corporate
profits and subsiding concerns over Y2K.
We remain overweight in the consumer cyclical, retail, and technology (with
emphasis on telecommunications and Internet infrastructure beneficiaries)
sectors. Given the current interest rate environment, we will continue to
maintain our underweights within financial industries.
The growth of the Internet and its acceptance as an important source of
competitive advantage should continue to enhance the prospects of companies
engaged in business to business commerce, wireless connectivity, Internet
content, bandwidth expansion, the building of new brands and a host of other
applications. The successful implementation of technology remains an essential
source of global competitiveness with superior returns on capital and market
share gains the principal result.
Our outlook is mixed. The economy and corporate profits remain strong, but
rising interest rates and technology valuations are points of concern. Our
strategy in this environment is to stay the course with the successful portfolio
we have had over the past few months with a slightly reduced risk profile.
Should the main areas of risk prove to be a problem, our relatively small size
gives us a flexibility advantage compared to our larger competitors.
During the next six months, we expect the U.S. economy to continue to grow at a
more moderate pace. We expect the Fed to remain vigilant, poised to nudge
interest rates preemptively higher to offset signs of inflationary pressure. In
our view, companies able to generate unit growth will continue to be the big
winners (without pricing, unit growth supports the higher revenue run rates
needed to offset cost pressures) in this environment.
As growth investors, our investment team is constantly on the look out for
investments exhibiting sustainable fundamental improvement regardless of market
capitalization or industry in order to consistently outperform the broader
market averages.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH PORTFOLIO NASDAQ COMPOSITE INDEX RUSSELL 2500 INDEX
(COMMENCED OPERATIONS ---------------------- ------------------
MARCH 31, 1995)
---------------------------
<S> <C> <C> <C>
10000.00 10000.00 10000.00
11027.00 11422.00 10891.00
'96' 12792.60 15797.40 14597.70
13448.80 17645.70 16240.00
'97' 14395.60 19216.20 18153.00
15547.30 23186.20 19180.50
'98' 15524.00 26833.40 18359.60
14740.00 32871.00 20357.10
'99' 16417.40 49796.20 22793.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Pinnacle Holdings 3.52
2. Oracle Corporation 3.51
3. Microsoft Corp 2.72
4. Central Garden & Pet 2.69
5. Cisco Systems Inc 2.62
6. DoubleClick Inc 2.58
7. AMFM Inc 2.54
8. Infinity 2.36
9. Microcell 2.22
10. Viacom Inc Cl. B 2.22
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer and Related 16.32
2. Computer Software 10.36
3. Communications 8.84
4. Broadcast Radio & TV 7.98
5. Oil, Energy and Natural Gas 7.39
</TABLE>
The prices of small company stocks are generally more volatile than the prices
of large company stocks.
46
<PAGE> 48
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ADVERTISING (3.3%)
2,375 *DoubleClick Inc. ................. $ 601,023
1,000 *Lamar Advertising Co. CL A........ 60,563
2,625 *Valassis Communications Inc. ..... 110,906
-----------
772,492
-----------
AUTOMOTIVE & RELATED (1.1%)
9,000 Oshkosh Truck Corp. ............... 263,813
-----------
BANKING (1.4%)
12,800 TCF Financial Corp. ............... 318,400
-----------
BROADCAST RADIO & TV (9.5%)
7,575 *AMFM Inc. ........................ 592,744
4,900 *Clear Channel Communications...... 437,325
2,800 *Emmis Communications CL A......... 348,994
15,216 *Infinity Broadcasting Corp A...... 550,629
3,650 *MediaOne Group Inc. .............. 280,365
-----------
2,210,057
-----------
BUSINESS SERVICES (1.1%)
1,100 *CSG Systems Intl. Inc. ........... 43,863
1,950 *Consolidated Graphics Inc. ....... 29,128
4,225 *Pierce Leahy Corp. ............... 182,731
-----------
255,722
-----------
CABLE TELEVISION (0.3%)
1,200 *Adelphia Communications CL A...... 78,750
-----------
COMMUNICATIONS (5.3%)
1,800 *BroadWing Inc. ................... 66,375
400 *Ciena Corp. ...................... 23,000
1,000 *Globalstar Telecommunications..... 44,000
3,100 Lucent Technologies Inc. .......... 231,919
700 *Nextel Communications Inc. ....... 72,188
19,350 *Pinnacle Holdings Inc. ........... 819,956
-----------
1,257,438
-----------
COMPUTER & RELATED (13.4%)
750 *Ariba Inc. ....................... 133,031
5,700 *Cisco Systems Inc. ............... 610,612
3,680 *Dell Computer Corp. .............. 187,680
3,400 *EMC Corp. ........................ 371,450
2,225 Hewlett-Packard Co. ............... 253,511
3,250 *Intel Corp. ...................... 267,516
3,025 Intl. Business Machines............ 326,700
2,100 *Lexmark Intl. Group Inc. CL A..... 190,050
3,050 *Microchip Technology Inc. ........ 208,734
1,325 *Sandisk Corp. .................... 127,531
575 *VerticalNet Inc. ................. 94,300
835 *Yahoo! Inc. ...................... 361,294
-----------
3,132,409
-----------
COMPUTER SOFTWARE (10.4%)
400 *Braun Consulting.................. 28,600
1,500 *Legato Systems Inc. .............. 103,219
5,425 *Microsoft Corp. .................. 633,369
7,300 *Oracle Corp. ..................... 818,056
2,500 *Pinnacle Systems Inc. ............ 101,719
5,400 *USinternetworking Inc. ........... 377,325
2,175 *Vignette Corp. ................... 354,525
-----------
2,416,813
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CONSUMER PRODUCTS (0.5%)
850 Motorola Inc. ..................... $ 125,162
-----------
DRUGS (0.4%)
2,250 Jones Pharma Inc. ................. 97,734
-----------
DURABLE GOODS (0.6%)
3,900 Applied Power Inc. CL A............ 143,325
-----------
EDUCATION/SCHOOLS (1.2%)
17,900 *ITT Educational Services Inc. .... 276,331
-----------
ELECTRICAL EQUIPMENT (6.1%)
1,300 *Agilent Technologies Inc. ........ 100,506
750 *Applied Material Inc. ............ 95,016
4,800 *Atmel Corp. ...................... 141,900
600 *JDS Uniphase Corp. ............... 96,788
6,650 *Kent Electronics Corp. ........... 151,287
4,400 Methods Electronics CL A........... 141,350
950 *Rambus Inc. ...................... 64,066
7,225 *Rayovac Corp. .................... 136,372
1,100 *SDL Inc. ......................... 239,800
1,350 Texas Instruments Inc. ............ 130,781
4,100 *Vishay Intertechnology Inc. ...... 129,663
-----------
1,427,529
-----------
ENTERTAINMENT & LEISURE (4.7%)
5,725 *Bally Total Fitness Corp. ........ 152,786
27,000 *Movie Gallery Inc. ............... 116,437
13,300 *Park Place Entertainment.......... 166,250
5,193 *SCP Pool Corp. ................... 134,693
8,550 *Viacom Inc. CL B.................. 516,741
-----------
1,086,907
-----------
FIBER OPTICS (0.3%)
425 *E-Tek Dynamics Inc. .............. 57,216
-----------
FINANCIAL SERVICES (2.2%)
4,276 Citigroup.......................... 237,585
960 Household Intl. Inc. .............. 35,760
2,050 *Nova Corp. ....................... 64,703
6,100 Waddell & Reed Financial CL A...... 165,463
-----------
503,511
-----------
INSURANCE SERVICES (0.6%)
4,600 Protective Life.................... 146,338
-----------
INTERNET SOFTWARE & SERVICES (3.3%)
12,125 *Alloy Online Inc. ................ 190,969
5,950 *America Online Inc. .............. 448,853
800 *Internet Capital Group Inc. ...... 136,000
-----------
775,822
-----------
MEDIA & PUBLISHING (0.3%)
1,200 *CBS Corp. ........................ 76,725
-----------
MEDICAL & RELATED (2.8%)
400 *Hanger Orthopedic Group Inc. ..... 4,000
1,600 *Medimmune Inc. ................... 265,400
2,500 *Priority Healthcare Corp. ........ 72,344
12,150 *Syborn Intl. Corp. ............... 299,953
-----------
641,697
-----------
</TABLE>
(continued)
47
<PAGE> 49
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
NETWORK PRODUCTS (0.9%)
5,500 *Cabletron Systems................. $ 143,000
225 *Juniper Networks Inc. ............ 76,500
-----------
219,500
-----------
OIL, ENERGY & NATURAL GAS (7.4%)
6,100 *BJ Services Co. .................. 255,056
2,650 *Cooper Cameron Corp. ............. 129,684
4,300 Devon Energy Corp. ................ 141,362
4,900 *Marine Drilling Co. Inc. ......... 109,944
9,700 *Nabors Industries Inc. ........... 300,094
7,325 *Noble Drilling Corp. ............. 239,894
42,500 *Ocean Energy Inc. ................ 329,375
17,200 Union Pacific Resources Group...... 219,300
-----------
1,724,709
-----------
PERSONAL SERVICES (2.1%)
1,300 *Carriage Services Inc. CL A....... 7,719
44,500 *Coinmach Laundry Corp. ........... 472,812
-----------
480,531
-----------
RENTAL & LEASING (1.2%)
3,950 Hertz Corp. ....................... 197,994
4,025 *Rent-A-Center Inc. ............... 79,745
-----------
277,739
-----------
RETAIL (6.8%)
850 *Amazon.com Inc. .................. 64,706
60,575 *Central Garden & Pet Co. ......... 628,466
3,800 *Insight Enterprises Inc. ......... 154,375
11,900 Regis Corp Minn. RJQ .............. 224,612
4,100 *Stamps.com Inc. .................. 170,662
30,050 *Sunglass Hut International........ 338,063
-----------
1,580,884
-----------
THERAPEUTICS (0.8%)
400 *Abgenix Inc. ..................... 53,000
5,300 *Neurocrine Biosciences Inc. ...... 131,175
-----------
184,175
-----------
TELECOMMUNICATIONS & CELLULAR (2.1%)
750 *Powertel Inc. .................... 75,281
4,600 *Sonera Corp. ..................... 318,550
1,600 *Tut Systems Inc. ................. 85,800
-----------
479,631
-----------
TRANSPORTATION & EQUIPMENT (0.4%)
6,400 *Wisconsin Central Trans. Corp. ... 86,000
-----------
TOTAL U.S. COMMON STOCK (90.5%)
(COST $17,245,624)................ $21,097,360
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
CANADA (2.2%)
TELECOMMUNICATIONS & CELLULAR (2.2%)
15,750 *Microcell Telecommunications...... $ 517,781
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINLAND (2.9%)
COMMUNICATIONS (1.9%)
2,375 Nokia Corp-Spon ADR................ $ 451,250
-----------
TELECOMMUNICATIONS & CELLULAR (1.0%)
3,300 *Sonera OYJ........................ 225,082
-----------
TOTAL FINLAND...................... 676,332
-----------
GERMANY (0.5%)
COMMUNICATIONS (0.5%)
3 NTT Mobile......................... 115,187
-----------
LUXEMBOURG (0.1%)
TELECOMMUNICATIONS & CELLULAR (0.1%)
425 *Millicom Intl. Cellular SA........ 26,509
-----------
SWEDEN (0.6%)
TELECOMMUNICATIONS & CELLULAR (0.6%)
2,200 Ericsson (LM) Tel-SP............... 144,513
-----------
UNITED KINGDOM (2.0%)
COMMUNICATIONS (1.0%)
4,825 *Vodafone Airtouch PLC-SP ADR...... 238,838
COMPUTER & RELATED (1.0%)
5,200 *Psion PLC......................... 226,283
-----------
TOTAL UNITED KINGDOM............... 465,121
-----------
TOTAL FOREIGN COMMON STOCK (8.3%)
(COST $1,381,894)................. $ 1,945,443
-----------
TOTAL COMMON STOCK (98.8%)
(COST $18,627,518)................ $23,042,803
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT (0.1%)
$ 30,000 U.S. T-Bill 5.070% 02/10/00........ $ 29,831
TOTAL SHORT-TERM NOTES (0.1%)
(COST $29,831).................... $ 29,831
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (1.2%)
$ 277,000 Firstar 1.000% 01/03/00 repurchase
price $277,023 collateralized by
GNMA certificates pool #8375 due
02/20/24 (Cost $277,000).......... $ 277,000
-----------
TOTAL REPURCHASE AGREEMENTS (1.2%)
(COST $277,000)................... $ 277,000
-----------
TOTAL HOLDINGS (100.1%)
(COST $18,934,349) (A)............ $23,349,634
-----------
LIABILITIES, NET OF CASH &
RECEIVABLES (-0.1%)............... (25,554)
-----------
TOTAL NET ASSETS (100.0%).......... $23,324,080
===========
</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 purposes. See Note 1.
The accompanying notes are an integral part of these financial statements.
48
<PAGE> 50
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $18,934,349)............. $23,349,634
Cash in bank.............................. 341
Receivable for fund shares sold........... 18,730
Dividends and accrued interest
receivable.............................. 2,029
Other..................................... 735
-----------
Total assets............................ 23,371,469
-----------
Liabilities:
Payable for fund shares redeemed.......... 15,374
Payable for investment management services
(note 3)................................ 14,917
Other accrued expenses.................... 17,098
-----------
Total liabilities....................... 47,389
-----------
Net assets at market value.................. $23,324,080
===========
Net assets consist of:
Par value, $1 per share................... $ 1,978,164
Paid-in capital in excess of par value.... 19,479,071
Accumulated net realized loss on
investments (note 1).................... (2,548,440)
Net unrealized appreciation on investments
(note 1)................................ 4,415,285
-----------
Net assets at market value.................. $23,324,080
===========
Shares outstanding (note 4)................. 1,978,164
Net asset value per share................... $ 11.79
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 27,796
Dividends................................. 119,691
-----------
Total investment income................. 147,487
-----------
Expenses:
Management fees (note 3).................. 186,707
Custodian fees (note 3)................... 4,849
Directors' fees (note 3).................. 1,050
Professional fees......................... 4,791
Accounting and transfer agent fees........ 18,327
Other..................................... 7,455
-----------
Total expenses.......................... 223,179
-----------
Net investment loss..................... $ (75,692)
-----------
Realized and unrealized loss on investments:
Net realized loss from:
Investments............................. $(1,569,512)
Futures contracts....................... (671,692)
Net increase (decrease) in unrealized
appreciation (depreciation) on:
Investments............................. 3,209,009
Futures contracts....................... (33,150)
-----------
Net gain on investments................. 934,655
-----------
Net increase in net assets from
operations............................ $ 858,963
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
49
<PAGE> 51
OHIO NATIONAL FUND, INC.
AGGRESSIVE GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-------------------------
1999 1998
----------- -----------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (75,692) $ (21,640)
Realized gain (loss) on investments and futures
contracts............................................... (2,241,204) 1,441,462
Unrealized appreciation on investments and futures
contracts............................................... 3,175,859 374,808
----------- -----------
Net increase in net assets from operations............ 858,963 1,794,630
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. 0 0
Capital gains distributions............................... 0 (1,782,997)
----------- -----------
Total dividends and distributions..................... 0 (1,782,997)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 3,879,661 7,546,285
Received from dividends reinvested........................ 0 1,782,997
Paid for shares redeemed.................................. (7,861,693) (2,786,473)
----------- -----------
Increase (decrease) in net assets derived from capital
share transactions................................... (3,982,032) 6,542,809
----------- -----------
Increase (decrease) in net assets.................. (3,123,069) 6,554,442
Net Assets:
Beginning of period....................................... 26,447,149 19,892,707
----------- -----------
End of period............................................. $23,324,080 $26,447,149
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31, APRIL 1,
--------------------------------------- 1995 TO
1999 1998 1997 1996 DEC. 31, 1995
------ ------ ------ ------ -------------
<S> <C> <C> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $11.15 $11.09 $10.03 $11.84 $10.00
Income (loss) from investment operations:
Net investment income (loss).............................. (0.03) (0.01) (0.05) 1.64 1.56
Net realized and unrealized gain (loss) on investments.... 0.67 0.88 1.29 (1.59) 1.08
------ ------ ------ ------ ------
Total income from investment operations................. 0.64 0.87 1.24 0.05 2.64
------ ------ ------ ------ ------
Less distributions:
Dividends from net investment income...................... 0.00 0.00 (0.14) (1.86) (0.80)
Distributions from net realized capital gains............. 0.00 (0.81) (0.04) 0.00 0.00
------ ------ ------ ------ ------
Total distributions..................................... 0.00 (0.81) (0.18) (1.86) (0.80)
------ ------ ------ ------ ------
Net asset value, end of period.............................. $11.79 $11.15 $11.09 $10.03 $11.84
====== ====== ====== ====== ======
Total return................................................ 5.76% 7.84% 12.53% 0.76% 26.95%(b)
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.95% 0.94% 0.97% 1.01% 1.02%(a)
Ratio of net investment income (loss) to average net
assets.................................................. (0.32)% (0.09)% (0.40)% 15.81% 18.18%(a)
Portfolio turnover rate..................................... 241% 203% 193% 1987% 1488%
Net assets at end of period (millions)...................... $ 23.3 $ 26.4 $ 19.9 $ 12.0 $ 4.0
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated on an aggregate basis (not annualized).
The accompanying notes are an integral part of these financial statements.
50
<PAGE> 52
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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 104.95%
Since inception (1/3/97) 29.40%
</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 69.57% for the second
half, 1999 and 106.90% for the full year ending December 31, 1999. This compares
with the Russell Mid Cap Growth Index returns of 32.51% and 51.31% respectively
for the same periods.
The key factors that led to the favorable results in the second half were
evident throughout the year. First, growth stocks significantly outperformed
value stocks across all capitalizations. This is evidenced by the full year,
1999 return of the Russell Mid Cap Growth Index of 51.31% vs. -0.10% for the
Russell Mid Cap Value Index. Second, we were overweighted in the technology
sector when technology had, by far, the best returns in the market. And third,
the individual stocks in each major sector of the Fund outperformed the stocks
held in the benchmark. This was especially true in the technology sector where
the Fund's technology holdings significantly outperformed those technology
stocks represented in the Russell Mid Cap Growth Index. In addition, the Fund's
holdings in the Consumer, Health Care, Industrial and Services sectors well
exceeded those of the benchmark.
Throughout all of 1999, consumers continued to spend, the manufacturing sector
continued to grow, corporate profits remained strong, jobs were plentiful and
inflation remained low. During the year, foreign economies began to recover. By
the end of the year, the strength and length of the bull market has surpassed
most expectations. And now, computer-related Y2K worries appear to be over. Few
economists are predicting the economy will slow significantly in 2000. During
the second half of 1999, the Fed raised interest rates three times to absorb the
additional liquidity it injected into the market in 1998. While many predicted
that the third increase would be disruptive, the stock market barely missed a
beat. The question for the new year is whether the Fed will raise interest rates
beyond reversing what it had done in 1998, with the intention of slowing the
economy. Some economists are already predicting that the Fed will raise rates
one of more time in early 2000. In response, worried investors sent the market
down sharply in early January believing that Alan Greenspan would indeed take
the millennium punchbowl away.
Although equity mutual funds overall experienced net inflows for 1999, small-cap
funds actually experienced net outflows for the year. And according to L. Keith
Mullins of Salomon Smith Barney, he predicts a "significant rotation by
institutional capital" into small- and mid-cap stocks. If Institutional
investors begin to rotate more assets out of large-caps and retail investors
continue their shift begun at the end of last year, we believe small- and
mid-cap stocks could enjoy a second year of strong performance.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CORE GROWTH PORTFOLIO (COMMENCED
OPERATIONS JANUARY 3, 1997) RUSSELL 3000 INDEX
-------------------------------- ------------------
<S> <C> <C>
'97' 9691.92 13169.10
11069.10 15145.80
'98' 10546.70 16312.00
12823.70 18165.00
'99' 21615.60 21959.70
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Infospace.com 2.86
2. VERISIGN, INC. 2.85
3. Triquint Semiconductor, Inc. 2.76
4. Medimmune, Inc. 2.69
5. JDS Uniphase 2.67
6. MicroStrategy Inc. 2.60
7. Emulex Corp 2.57
8. Lycos Inc. 2.30
9. GETTY IMAGES, INC. 2.30
10. Lamar Advertising 2.27
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer and Related 17.58
2. Retail 9.04
3. Medical and Related 8.09
4. Internet Service Providers 8.05
5. Internet Software 7.94
</TABLE>
51
<PAGE> 53
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ADVERTISING (6.6%)
14,800 *Getty Images Inc. ................... $ 723,350
11,800 *Lamar Advertising Co. ............... 714,638
6,500 Omnicom Group ........................ 650,000
-----------
2,087,988
-----------
BROADCAST RADIO & TV (2.1%)
18,750 *Infinity Broadcasting Corp. ......... 678,516
-----------
COMMUNICATIONS (6.8%)
4,300 *Ciena Corp. ......................... 247,250
7,300 *Commscope Inc. ...................... 294,281
6,600 *Exodus Communications Inc. .......... 586,163
5,200 *JDS Uniphase Corp. .................. 838,825
500 *MCK Communications Inc. ............. 11,250
3,000 *Powerwave Technologies Inc. ......... 175,125
-----------
2,152,894
-----------
COMPUTER & RELATED (9.9%)
4,600 *Bea Systems.......................... 321,713
7,200 *Emulex Corp. ........................ 810,000
3,400 *Redback Networks..................... 603,500
4,700 *Verisign Ubc......................... 896,525
3,300 *Veritas Software Corp. .............. 472,312
-----------
3,104,050
-----------
COMPUTER SOFTWARE (6.0%)
2,000 *Active Software Inc. ................ 184,000
1,300 *Broadbase Software................... 146,250
500 *Intertrust Technologies.............. 58,812
4,100 *Informatica Corp. ................... 436,138
3,900 *MicroStrategy Inc. .................. 819,000
1,200 *VA Linux Systems Inc. ............... 247,950
-----------
1,892,150
-----------
CONSULTING SERVICES (1.8%)
13,100 *USWeb Corp. ......................... 582,131
-----------
CONSUMER PRODUCTS (1.2%)
5,200 *Gemstar Intl. Group.................. 370,500
-----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (8.3%)
11,000 *Atmel Electronic Co. ................ 325,188
9,300 *Cypress Semiconductor Corp. ......... 301,087
6,800 *Fairchild Semiconductor Intl......... 202,300
5,400 *Integrated Device Technology Inc. ... 156,600
3,700 *LSI Logic Corp. Designs.............. 249,750
3,500 *Microchip Technologies............... 239,531
1,600 *QLogic Corp. ........................ 255,800
7,800 *Triqunit Semiconductor............... 867,750
-----------
2,598,006
-----------
ENTERTAINMENT & LEISURE (1.0%)
10,400 *Premier Parks........................ 300,300
-----------
FIBER OPTICS (1.9%)
3,100 *C-Cor.Net Corp. ..................... 237,538
800 *Finisar Corp. ....................... 71,900
900 *Sycamore Networks Inc. .............. 277,200
-----------
586,638
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (1.8%)
10,200 *Ameritrade Holdings.................. $ 221,213
13,500 *E Trade Group........................ 352,687
-----------
573,900
-----------
FOOD & RELATED (0.5%)
3,200 *Whole Food Market.................... 148,400
-----------
INTERNET CONTENT (1.2%)
10,900 *Rare Medium Group.................... 371,963
-----------
INTERNET SERVICE PROVIDER (8.1%)
3,600 *Ariba Inc. .......................... 638,550
4,200 *Infospace.com........................ 898,800
9,100 *Lycos Inc. .......................... 724,019
5,900 *Verio Inc. .......................... 272,506
-----------
2,533,875
-----------
INTERNET SOFTWARE (7.8%)
900 *Akamai Technologies.................. 294,863
3,900 *Art Tech Group....................... 507,000
2,200 *Broadvision Inc. .................... 374,137
2,100 *Commerce One Inc. ................... 412,650
2,000 *F5 Networks Inc. .................... 228,000
2,600 *Viant Corp. ......................... 257,400
2,600 *Vignette Corp. ...................... 423,800
-----------
2,497,850
-----------
MEDICAL & RELATED (6.5%)
10,700 *Allscripts Inc. ..................... 470,800
4,600 *Celgene Corp. ....................... 322,000
9,200 *Medics Pharmaceutical................ 391,575
5,100 *Medimmune Inc. ...................... 845,963
-----------
2,030,338
-----------
NETWORK PRODUCTS (1.1%)
1,000 *Juniper Networks Inc. ............... 340,000
-----------
OIL, ENERGY & NATURAL GAS (3.3%)
11,700 *Cooper Cameron Corp. ................ 572,569
9,500 Diamond Offshore Drilling............. 290,344
9,600 EOG Resources Inc. ................... 168,600
-----------
1,031,513
-----------
RENTAL & LEASING (0.3%)
5,800 *United Rentals Inc. ................. 99,325
-----------
RETAIL (9.0%)
14,800 *American Eagle Outfitters............ 666,000
3,300.. Circuit City Stores................... 148,706
7,400 *Insight Enterprises.................. 300,625
7,800 Tandy Corp. .......................... 383,663
7,200 Tiffany & Co. ........................ 642,600
14,500 *Zale Corp. .......................... 701,437
-----------
2,843,031
-----------
</TABLE>
(continued)
52
<PAGE> 54
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
SCIENTIFIC & TECHNICAL INSTRUMENTS (4.7%)
4,200 *Cytyc Corp. ......................... $ 256,463
17,100 *Mettler-Toledo Intl.................. 653,006
2,900 PE Corp-PE Biosystem.................. 348,906
5,000 PerkinElmer Inc. ..................... 208,437
-----------
1,466,812
-----------
TELECOMMUNICATIONS & CELLULAR (2.8%)
1,500 *Ditech Communications Corp. ......... 140,250
6,900 *MRV Communications................... 433,837
2,900 *Univision Communications-A........... 296,342
-----------
870,429
-----------
TOTAL U.S. COMMON STOCK (92.7%)
(COST $19,666,025)................... $29,160,609
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ISRAEL (3.4%)
COMPUTER & RELATED (1.7%)
2,700 *Check Point Software................ $ 536,626
MEDICAL & RELATED (1.7%)
7,200 Teva Pharmaceutical.................. 516,150
-----------
TOTAL ISRAEL......................... 1,052,776
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
SINGAPORE (1.0%)
ELECTRONIC COMPONENTS/SEMICONDUCTOR (1.0%)
7,000 *Flextronics Intl. Ltd. ............. $ 322,000
-----------
TOTAL FOREIGN COMMON STOCK (4.4%)
(COST $758,992)..................... $ 1,374,776
-----------
TOTAL COMMON STOCK (97.1%)
(COST $20,425,017).................. $30,535,385
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (2.1%)
$657,000 Firstar 1.000% 01/03/00 repurchase
price $657,054 collateralized by
GNMA certificates pool #8375 due
02/20/24 (Cost $657,000)............ $ 657,000
-----------
TOTAL REPURCHASE AGREEMENTS (2.1%)
(COST $657,000)..................... $ 657,000
-----------
TOTAL HOLDINGS (99.2%)
(COST $21,082,017) (a).............. $31,192,385
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (0.8%).................. 270,087
-----------
TOTAL NET ASSETS (100.0%)............ $31,462,472
===========
</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.
53
<PAGE> 55
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $21,082,017)............. $31,192,385
Cash in bank.............................. 348
Receivable for securities sold............ 759,581
Receivable for fund shares sold........... 55,646
Dividends and accrued interest
receivable.............................. 2,342
-----------
Total assets............................ 32,010,302
-----------
Liabilities:
Payable for securities purchased.......... 484,703
Payable for fund shares redeemed.......... 33,987
Payable for investment management services
(note 3)................................ 22,403
Other accrued expenses.................... 6,737
-----------
Total liabilities....................... 547,830
-----------
Net assets at market value.................. $31,462,472
===========
Net assets consist of:
Par value, $1 per share................... $ 1,853,161
Paid-in capital in excess of par value.... 18,807,483
Accumulated net realized gain on
investments (note 1).................... 691,460
Net unrealized appreciation on investments
(note 1)................................ 10,110,368
-----------
Net assets at market value.................. $31,462,472
===========
Shares outstanding (note 4)................. 1,853,161
Net asset value per share................... $ 16.98
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 39,508
Dividends................................. 18,845
-----------
Total investment income................. 58,353
-----------
Expenses:
Management fees (note 3).................. 180,739
Custodian fees (note 3)................... 4,849
Directors' fees (note 3).................. 350
Professional fees......................... 1,598
Accounting and transfer agent fees........ 11,981
Other..................................... 2,456
-----------
Total expenses.......................... 201,973
-----------
Net investment loss..................... $ (143,620)
-----------
Realized and unrealized gain on investments:
Net realized gain from investments........ $ 8,876,766
Net increase in unrealized appreciation on
investments............................. 7,472,326
-----------
Net gain on investments................. 16,349,092
-----------
Net increase in net assets from
operations............................ $16,205,472
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
54
<PAGE> 56
OHIO NATIONAL FUND, INC.
CORE GROWTH PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
--------------------------
1999 1998
----------- -----------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (143,620) $ (62,638)
Realized gain (loss) on investments....................... 8,876,766 (1,185,242)
Unrealized appreciation on investments.................... 7,472,326 2,239,047
----------- -----------
Net increase in net assets from operations............ 16,205,472 991,167
----------- -----------
Dividends and distributions to shareholders:
Capital gain distributions................................ (6,552,496) 0
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 9,907,186 4,380,111
Received from dividends reinvested........................ 6,552,496 0
Paid for shares redeemed.................................. (6,431,773) (3,133,724)
----------- -----------
Increase in net assets derived from capital share
transactions......................................... 10,027,909 1,246,387
----------- -----------
Increase in net assets............................. 19,680,885 2,237,554
Net Assets:
Beginning of period....................................... 11,781,587 9,544,033
----------- -----------
End of period............................................. $31,462,472 $11,781,587
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------
1999 1998 1997
------ ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.54 $ 9.68 $10.00
Income (loss) from investment operations:
Net investment loss....................................... (0.10) (0.06) (0.02)
Net realized and unrealized gain (loss) on investments.... 11.05 0.92 (0.30)
------ ------ ------
Total income (loss) from investment operations.......... 10.95 0.86 (0.32)
------ ------ ------
Less distributions:
Distributions from net realized capital gains............. (4.51) 0.00 0.00
------ ------ ------
Net asset value, end of period.............................. $16.98 $10.54 $ 9.68
====== ====== ======
Total return................................................ 104.95% 8.82% 3.08%
Ratios and supplemental data:
Ratio of expenses to average net assets..................... 1.06% 1.13% 1.11%
Ratio of net investment loss to average net assets........ (0.75)% (0.62)% (0.18)%
Portfolio turnover rate..................................... 264% 134% 65%
Net assets at end of period (millions)...................... $ 31.5 $ 11.8 $ 9.5
</TABLE>
The accompanying notes are an integral part of these financial statements.
55
<PAGE> 57
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
OBJECTIVE
The Growth & Income Portfolio's investment objective is long-term total return.
PERFORMANCE AS OF DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 62.25%
Three-year 33.38%
Since inception (1/3/97) 33.50%
</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 Growth & Income portfolio finished the fourth quarter with
strong performance increasing 40.45% against a 17.23% return in the benchmark
Russell Midcap index. This fourth quarter return helped propel the portfolio to
a calendar year return of 62.25% against the Russell Midcap index return of
18.23%.
Investors began to show real interest in midcap securities last year,
particularly late in the year. In the fourth quarter the Russell Midcap index
outperformed the S&P 500, which is dominated by large cap stocks.
While most market indices all produced positive performance in 1999, the indices
somewhat mask the performance of the broad market. According to Jarrett
Investment Research, of 4,900 actively traded stocks, only 49% had stock prices
higher at the close of the calendar year 1999 than they did 12 months earlier on
December 31, 1998. So while the indices increased, more than half the stocks in
this study lay flat or declined during the year. The stocks that increased went
up on average 135%, while those stocks that declined dropped an average of 31%.
It was a year of modest breadth, where the strong stocks got stronger and the
rest of the market went ignored.
We maintained our yearlong overweight to technology through the fourth quarter,
which contributed to our positive returns. We achieved positive returns from a
broad range of technology stocks in the semiconductor, software, and Internet
sectors.
We also maintained significant weighting to telecommunications companies, many
of which are categorized as utilities, in the Russell index. We see great
opportunity in this area fueled by the spread of the Internet and wireless
communications. Primus Telecommunications is a facilities based global
telecommunications company offering long distance, Internet, and data access.
The market viewed Primus largely as a wholesale international long distance
provider, and as such, the company maintained a low P/E multiple, typical of
these types of companies. However, we came to understand that Primus was in the
process of transitioning its business toward providing full service voice and
data services to customers on a global basis. Primus has deployed a global
network that will enable it to migrate its traffic onto its own network. We
believe this will result in a lower cost structure leading to higher margins,
more predictable revenue growth, and ultimately, a higher multiple for the
stock.
For much of the year, we have maintained an overweighed allocation to the energy
service sector. Our results from this investment have been mixed this year, and
dampened our returns in the fourth quarter. However, we continue to hold these
stocks and believe they will provide long strong returns to the portfolio long
term.
Looking ahead we are cautiously optimistic about the next year. We expect the
markets to remain volatile, particularly if investors continue to focus on the
small and midcap sectors. With this in mind, we want to remind our clients that
we seek upside returns but keep a close eye on risk management as well.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
GROWTH & INCOME PORTFOLIO RUSSELL 2000 INDEX
(COMMENCED OPERATIONS JANUARY 3, ------------------
1997)
--------------------------------
<S> <C> <C>
'97' 13657.50 12226.70
14452.30 12871.00
'98' 14625.80 11953.30
17752.80 13062.60
'99' 23730.10 14494.30
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Primus Telecommunica 3.87
2. Administaff Inc 2.21
3. Valuevision Intl Inc 2.15
4. Startec Global 2.05
5. Montana Power Co 1.74
6. United Global Com 1.73
7. Viatel Inc 1.59
8. Verify Inc 1.58
9. Symantec Corp 1.56
10. Network Solutions 1.54
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<S> <C>
1. Computer and Related 16.40
2. Communications 12.99
3. Oil, Energy, and Natural Gas 7.78
4. Broadcast Radio & TV 5.86
5. Retail 5.63
</TABLE>
56
<PAGE> 58
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ADVERTISING (1.0%)
23,500 *Getty Images Inc. ............... $ 1,148,562
------------
BANKING (0.9%)
22,500 *Knight/Trimark Group Inc. ....... 1,035,000
------------
BROADCAST RADIO & TV (5.9%)
23,500 *AT&T Corp. Liberty Media Group... 1,333,625
24,000 *CBS Corp. ....................... 1,534,500
30,000 *Infinity Broadcasting Corp. ..... 1,085,625
27,700 *United Global Com Inc. CL A...... 1,956,312
7,000 *Univision Communications CL A.... 715,312
------------
6,625,374
------------
BUILDING & CONSTRUCTION (2.0%)
23,000 Florida Rock Industries........... 792,063
30,000 *Maverick Tube Corp. ............. 740,625
16,000 Texas Industries.................. 681,000
------------
2,213,688
------------
BUSINESS SERVICES (3.4%)
82,500 *Administaff Inc. ................ 2,495,625
40,000 *Teletech Holdings Inc. .......... 1,348,125
------------
3,843,750
------------
CABLE TELEVISION (0.2%)
10,000 *Lodgenet Entertainment Corp. .... 248,750
------------
CHEMICALS (1.2%)
223,600 *Seminis Inc. .................... 1,411,475
------------
COMMUNICATIONS (13.0%)
11,500 *America Online Inc. ............. 867,531
35,000 *American Tower Corp. ............ 1,069,688
40,000 *BroadWing Inc. .................. 1,475,000
40,000 *Dset Corp. ...................... 1,495,000
114,500 *Primus Telecom. Group Inc. ...... 4,379,625
15,000 *RF Micro Devices Inc. ........... 1,026,562
2,500 *Sprint Corp. PCS Group........... 256,250
108,300 *Startec Global Communications
Corp. ........................... 2,314,913
33,500 *Viatel Inc. ..................... 1,796,437
------------
14,681,006
------------
COMPUTER & RELATED (5.8%)
10,000 *Checkfree Holdings Corp. ........ 1,045,000
8,000 *Network Solutions Inc. CL A...... 1,740,500
8,000 *RSA Security Inc. ............... 620,000
20,000 *Seagate Technology Inc. ......... 931,250
30,000 *Symantec Corp. .................. 1,758,750
25,000 *Ziff-Davis Inc. - ZDNet.......... 525,000
------------
6,620,500
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMPUTER SOFTWARE (12.9%)
8,500 *Broadbase Software Inc. ......... $ 956,250
25,000 *Commtouch Software Ltd. ......... 1,214,063
30,000 *Concentric Network Corp. ........ 924,375
25,000 *Hyperion Solutions Corp. ........ 1,087,500
70,000 *Informix Corp. .................. 796,250
20,000 *Intuit Inc. ..................... 1,198,750
20,000 *JD Edwards & Co. ................ 597,500
24,000 *Legato Systems Inc. ............. 1,651,500
15,000 *Pinnacle Systems Inc. ........... 610,313
17,000 *Project Software & Dev. Inc. .... 943,500
30,000 *Sterling Software................ 945,000
14,500 *TSI Intl. Software Ltd. ......... 821,062
42,000 *Verity Inc. ..................... 1,787,625
27,500 *Wind River Systems............... 1,010,625
------------
14,544,313
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (6.1%)
8,500 *Applied Micro Circuits Corp. .... 1,081,625
28,000 *Atmel Corp. ..................... 827,750
9,000 *LSI Logic Corp................... 607,500
12,500 *Lam Research Corp. .............. 1,394,531
23,100 *Sawtek Inc. ..................... 1,537,594
20,000 *Transwitch Corp. ................ 1,451,250
------------
6,900,250
------------
FINANCIAL SERVICES (4.4%)
6,000 American Express Co. ............. 997,500
25,000 A.G. Edwards, Inc. ............... 801,563
40,000 *First Health Group Corp. ........ 1,075,000
65,000 *Internet Capital Group Inc. ..... 850,000
14,000 Lehman Brothers Holdings Inc. .... 1,185,625
------------
4,909,688
------------
INDUSTRIAL SERVICES (0.4%)
11,300 *Cognex Corp. .................... 440,700
------------
INSURANCE SERVICES (0.8%)
17,500 *United Healthcare Corp. ......... 929,688
------------
INTERNET SOFTWARE (5.4%)
10,000 *24/7 Media Inc. ................. 562,500
14,000 *CNET Inc. ....................... 794,500
19,100 *Covad Communications Group
Inc. ............................ 1,068,406
8,500 *E-Stamp Corp. ................... 189,125
20,500 *E-Gain Communications Corp. ..... 773,875
20,000 *S1 Corp. ........................ 1,562,500
30,000 *StarMedia Network Inc. .......... 1,201,875
------------
6,152,781
------------
MEDIA & PUBLISHING (0.9%)
17,200 Knight Ridder Inc. ............... $ 1,023,400
------------
</TABLE>
(continued)
57
<PAGE> 59
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
MEDICAL & RELATED (4.3%)
22,500 *Amgen Inc. ...................... $ 1,351,406
87,450 *Endocardial Solutions Inc. ...... 765,188
40,000 *Ivax Corp. ...................... 1,030,000
10,000 *Medimmune Inc. .................. 1,658,750
------------
4,805,344
------------
MOTION PICTURES (1.0%)
46,000 *Metro-Goldwyn-Mayer.............. 1,083,875
------------
OIL, ENERGY & NATURAL GAS (7.6%)
20,000 *BJ Services Co. ................. 836,250
300,000 *Bonus Resource Service........... 485,763
22,500 *Cooper Cameron Corp. ............ 1,101,094
32,000 Devon Energy Corp. ............... 1,052,000
75,900 EOG Resources Corp. .............. 1,332,994
65,000 Ensco International Inc. ......... 1,486,875
40,500 *Marine Drilling Cos. Inc. ....... 908,719
12,500 Murphy Oil Corp. ................. 717,187
20,000 Unocal Corp. ..................... 671,250
------------
8,592,132
------------
RETAIL (5.6%)
35,000 *Abercrombie & Fitch Co. CL A..... 934,063
15,000 *Federated Department Stores...... 758,437
25,000 *Shop At Home Inc. ............... 248,438
39,000 *Stamps.com Inc. ................. 1,623,375
42,500 *Valuevision Intl Inc. CL A....... 2,435,781
40,000 *VitaminShoppe.com................ 365,000
------------
6,365,094
------------
SCIENTIFIC & TECHNICAL INSTRUMENTS (2.8%)
20,000 *Mettler-Toledo Intl. ............ 763,750
25,000 PerkinElmer Inc. ................. 1,042,188
35,000 Tektronix Inc. ................... 1,360,625
------------
3,166,563
------------
SECURITY SYSTEMS & SERVICES (1.0%)
65,000 *Sensormatic Electronics Corp. ... 1,133,438
------------
TELECOMMUNICATIONS (3.5%)
12,500 *Aware Inc. ...................... 454,687
30,000 *Digital Microwave Corp. ......... 703,125
8,000 *General Motors CL H.............. 768,000
12,500 *Level 3 Communications Inc. ..... 1,023,437
22,500 *Qwest Communications Intl.
Inc. ............................ 967,500
------------
3,916,749
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
UTILITIES (1.7%)
54,500 Montana Power Co. ................ $ 1,965,406
------------
TOTAL COMMON STOCK (91.8%)
(COST $78,206,755)............... $103,757,526
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
MEDICAL & RELATED (1.3%)
15,000 Cephalon Inc. 7.25% Conv. (144A).... $ 1,518,750
------------
TRANSPORTATION & EQUIPMENT (0.4%)
11,000 TWA 8% Ser.A Conv. ................. 115,500
1,500 Trans World Airlines 8% CV (144A)... 15,750
15,000 Trans World Airlines 4.625% CV
(144A)............................. 300,000
------------
431,250
------------
TOTAL PREFERRED STOCK (1.7%)
(COST $1,788,576).................. $ 1,950,000
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT CONVERTIBLE DEBENTURES VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMPUTER & RELATED (0.7%)
$1,000,000 Silicon Graphics Inc. 5.250%
09/01/04......................... $ 751,250
------------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (0.6%)
1,000,000 Check Point Systems Inc. 5.250%
11/01/05......................... 706,250
------------
OIL, ENERGY & NATURAL GAS (0.2%)
250,000 Offshore Logistics Inc. 6.000%
12/15/03......................... 203,750
------------
TOTAL CONVERTIBLE DEBENTURES
(1.5%)
(COST $1,625,469)................ $ 1,661,250
------------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (3.1%)
$3,501,000 Firstar 1.000% 01/03/00 repurchase
price $3,501,288 collateralized
by GNMA certificates pool #8375
due 02/20/24 (Cost $3,501,000)... $ 3,501,000
------------
TOTAL REPURCHASE AGREEMENTS (3.1%)
(COST $3,501,000)................ $ 3,501,000
------------
TOTAL HOLDINGS (98.1%)
(COST $85,121,800) (A)........... $110,869,776
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.9%)............... 2,178,649
------------
TOTAL NET ASSETS (100.0%)......... $113,048,425
============
</TABLE>
- ---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost for
federal income tax 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 $1,834,500 or 1.4% 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.
58
<PAGE> 60
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value (note 1)
(cost $85,121,800)..................... $110,869,776
Cash in bank............................. 456
Receivable for securities sold........... 6,518,550
Receivable for fund shares sold.......... 217,595
Dividends and accrued interest
receivable............................. 30,765
Other.................................... 294,043
------------
Total assets........................... 117,931,185
------------
Liabilities:
Payable for securities purchased......... 4,780,155
Payable for fund shares redeemed......... 11,003
Payable for investment management
services (note 3)...................... 74,159
Other accrued expenses................... 17,443
------------
Total liabilities...................... 4,882,760
------------
Net assets at market value................. $113,048,425
============
Net assets consist of:
Par value, $1 per share.................. $ 6,020,558
Paid-in capital in excess of par value... 79,596,666
Accumulated net realized income on
investments (note 1)................... 1,683,225
Net unrealized appreciation on
investments (note 1)................... 25,747,976
------------
Net assets at market value................. $113,048,425
============
Shares outstanding (note 4)................ 6,020,558
Net asset value per share.................. $ 18.78
============
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 319,506
Dividends................................. 471,848
-----------
Total investment income................. 791,354
-----------
Expenses:
Management fees (note 3).................. 607,062
Custodian fees (note 3)................... 12,070
Directors' fees (note 3).................. 2,000
Professional fees......................... 6,393
Accounting and transfer agent fees........ 45,249
Other..................................... 13,831
-----------
Total expenses.......................... 686,605
-----------
Net investment income................... $ 104,749
-----------
Realized and unrealized gain on investments:
Net realized gain from investments........ $20,934,796
Net increase in unrealized appreciation on
investments............................. 19,500,116
-----------
Net gain on investments................. 40,434,912
-----------
Net increase in net assets from
operations............................ $40,539,661
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
59
<PAGE> 61
OHIO NATIONAL FUND, INC.
GROWTH & INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
--------------------------
1999 1998
------------ -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 104,749 $ 410,653
Realized gain (loss) on investments....................... 20,934,796 (3,005,094)
Unrealized appreciation on investments.................... 19,500,116 5,132,366
------------ -----------
Net increase in net assets from operations............ 40,539,661 2,537,925
------------ -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (104,749) (411,458)
Capital gains distributions............................... (16,246,477) 0
Return of capital......................................... (53,900) 0
------------ -----------
Total dividends and distributions..................... (16,405,126) (411,458)
------------ -----------
From capital share transactions (note 4):
Received from shares sold................................. 29,440,102 35,505,173
Received from dividends reinvested........................ 16,405,126 411,458
Paid for shares redeemed.................................. (8,304,844) (5,375,872)
------------ -----------
Increase in net assets derived from capital share
transactions......................................... 37,540,384 30,540,759
------------ -----------
Increase in net assets............................. 61,674,919 32,667,226
Net Assets:
Beginning of period....................................... 51,373,506 18,706,280
------------ -----------
End of period............................................. $113,048,425 $51,373,506
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------
1999 1998 1997
------ ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $13.63 $12.85 $10.00
Income from investment operations:
Net investment income..................................... 0.02 0.14 0.11
Net realized and unrealized gain on investments........... 8.33 0.77 3.52
------ ------ ------
Total income from investment operations................. 8.35 0.91 3.63
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.02) (0.13) (0.11)
Distributions from net realized capital gains............. (3.17) 0.00 (0.67)
Return of capital......................................... (0.01) 0.00 0.00
------ ------ ------
Total distributions..................................... (3.20) (0.13) (0.78)
------ ------ ------
Net asset value, end of period.............................. $18.78 $13.63 $12.85
====== ====== ======
Total return................................................ 62.25% 7.09% 36.58%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.95% 0.97% 0.95%
Ratio of net investment income to average net assets...... 0.15% 1.09% 1.04%
Portfolio turnover rate..................................... 417% 286% 185%
Net assets at end of period (millions)...................... $113.0 $ 51.4 $ 18.7
</TABLE>
The accompanying notes are an integral part of these financial statements.
60
<PAGE> 62
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
TOTAL RETURN:
One-year 25.63%
Three-year 29.10%
Since inception (1/3/97) 29.20%
</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
The Ohio National S&P 500 Index Fund completed its third year of existence with
its third straight year of outstanding performance. During a volatile, but yet
good year for the S&P 500 Index, the Ohio National Index Fund returned -- after
fund expenses -- 25.63%, or over 4.5% more than the actual S&P 500 Index. The
actual Index returned, with dividends reinvested, 21.04% for 1999.
Although another outstanding year for the S&P 500 Index, the Nasdaq 100 index
and the Dow Jones Industrial Average both outperformed the S&P 500 for 1999. The
Nasdaq had another outstanding year, led by technology stocks, returning 102%
for 1999. The DJIA had its best year out of the past 5 years, with a return of
27%. The 3 year average returns for the three indexes are:
<TABLE>
<S> <C>
12/31/96 THROUGH 12/31/99 AVERAGE ANNUAL
RETURNS
S&P 500 Index 27.6%
Dow Jones Industrial Average 23.4%
Nasdaq 100 65.4%
</TABLE>
Although less volatile, and therefore less risky than the 30 stocks that make up
the Dow Jones Industrial Average, the S&P 500 index has returned more than the
Dow in each of the past three years. The Nasdaq has had a remarkable run up in
value over that same time period, which resulted in technology and internet
stocks currently near record high valuations.
We are looking forward to yet another year of earnings growth for the year 2000.
With Y2K scares out of the way, earnings growth remaining strong around 20% for
US companies, Fed Funds interest rate hikes nearing an end, inflation remaining
mild and overseas economies recovering, I expect to report another year of
double digit stock index returns to you in approximately 12 months.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P INDEX PORTFOLIO (COMMENCED
OPERATIONS JANUARY 3, 1997) S&P 500 INDEX
------------------------------ -------------
<S> <C> <C>
10000.00 10000.00
'97' 12058.00 12060.00
13174.60 13336.00
'98' 15524.90 15697.70
17127.10 17146.70
19247.40 19269.40
'99' 21516.70 20755.10
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Cisco Systems, Inc. 3.96
2. Microsoft Corporation 2.53
3. Oracle Corporation 2.12
4. General Electric Co 1.93
5. SBC Communications 1.91
6. American Express Co 1.90
7. Intel Corp 1.79
8. MediaOne Group Inc 1.62
9. Dell Computer Corp 1.48
10. Merck & Co Inc 1.41
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 12.75
2. Electrical Equipment 5.07
3. Communications 4.19
4. Consumer Products 4.02
5. Financial Services 3.63
</TABLE>
61
<PAGE> 63
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (0.9%)
28,000 Boeing Co. ....................... $ 1,163,750
14,700 Honeywell Intl. Inc. ............. 848,006
------------
2,011,756
------------
AUTOMOTIVE & RELATED (0.5%)
20,300 Ford Motor Co. ................... 1,084,781
------------
BANKING (2.3%)
40,000 Bank One Corp. ................... 1,282,500
29,500 Chase Manhattan Corp. ............ 2,291,781
19,100 Fifth Third Bancorp............... 1,401,462
------------
4,975,743
------------
CABLE TELEVISION (1.6%)
45,700 MediaOne Group Inc. .............. 3,510,331
------------
CHEMICALS (0.5%)
32,700 Monsanto Co. ..................... 1,164,937
------------
COMMUNICATIONS (4.2%)
36,000 AT&T Corp. ....................... 1,827,000
18,750 MCI Worldcom Inc. ................ 994,922
12,000 Qualcomm Inc. .................... 2,115,000
85,000 SBC Communications Inc. .......... 4,143,750
------------
9,080,672
------------
COMPUTER & RELATED (7.6%)
80,000 Cisco Systems Inc. ............... 8,570,000
63,000 Dell Computer Corp. .............. 3,213,000
22,100 Hewlett-Packard Co. .............. 2,518,019
19,000 Intl. Business Machines........... 2,052,000
------------
16,353,019
------------
COMPUTER SOFTWARE (5.2%)
17,000 Computer Associates............... 1,188,937
47,000 Microsoft Corp. .................. 5,487,250
41,000 Oracle Corp. ..................... 4,594,562
------------
11,270,749
------------
CONSUMER PRODUCTS (4.0%)
31,000 Edison International.............. 811,812
12,000 Gillette Co. ..................... 494,250
28,000 Johnson & Johnson................. 2,607,500
24,000 Philip Morris Cos. Inc. .......... 556,500
20,000 Procter & Gamble Co. ............. 2,191,250
25,000 Warner-Lambert Co. ............... 2,048,438
------------
8,709,750
------------
DRUGS (2.5%)
21,000 Amgen Inc. ....................... 1,261,313
45,500 Merck & Co. Inc. ................. 3,051,344
28,000 Schering-Plough................... 1,181,250
------------
5,493,907
------------
ELECTRICAL EQUIPMENT (2.5%)
27,000 General Electric Co. ............. 4,178,250
30,500 Thomas & Betts Corp. ............. 972,188
14,000 Xerox Corp. ...................... 317,625
------------
5,468,063
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ELECTRONIC COMPONENTS/SEMICONDUCTOR (2.6%)
13,000 Applied Materials................. $ 1,646,938
47,200 Intel Corp. ...................... 3,885,150
------------
5,532,088
------------
ENTERTAINMENT & LEISURE (0.9%)
65,000 Walt Disney Co. .................. 1,901,250
------------
FINANCIAL SERVICES (3.6%)
24,800 American Express Co. ............. 4,123,000
40,000 Associates First Capital Corp. CL
A................................ 1,097,500
42,000 FleetBoston Financial Corp. ...... 1,462,125
14,000 Lehman Brothers Holding Inc. ..... 1,185,625
------------
7,868,250
------------
FOOD & RELATED (1.7%)
17,000 Campbell Soup Co. ................ 657,688
31,000 Coca-Cola Co. .................... 1,805,750
24,000 Kroger Co. ....................... 453,000
38,000 Sara Lee Corp. ................... 838,375
------------
3,754,813
------------
FORESTRY & PAPER PRODUCTS (0.3%)
8,000 Weyerhauser Co. .................. 574,500
------------
INSURANCE SERVICES (0.9%)
17,000 American Intl. Group Inc. ........ 1,838,125
------------
INTERNET SOFTWARE (0.4%)
12,000 America Online Inc. .............. 905,250
------------
MEDICAL & RELATED (0.5%)
47,900 Boston Scientific Corp. .......... 1,047,813
------------
OIL, ENERGY & NATURAL GAS (2.8%)
36,000 Exxon Mobil Corp. ................ 2,900,250
32,000 Royal Dutch Pete Co.
(Netherlands).................... 1,934,000
9,000 Schlumberger Ltd. ................ 506,250
1,746 Transocean Sedco Forex Inc. ...... 58,818
30,000 USX-Marathon Group................ 740,625
------------
6,139,943
------------
RESTAURANTS (0.3%)
14,800 McDonalds Corp. .................. 596,625
------------
RETAIL (3.3%)
22,400 Dayton Hudson Corp. .............. 1,645,000
43,500 Home Depot Inc. .................. 2,982,469
16,250 The Gap Inc. ..................... 747,500
27,000 Wal-Mart Stores Inc. ............. 1,866,375
------------
7,241,344
------------
SECURITY SYSTEMS & SERVICES (0.3%)
15,000 Tyco Intl. Ltd. .................. 583,125
------------
TRANSPORTATION & EQUIPMENT (0.2%)
18,000 Norfolk Southern Corp. ........... 369,000
------------
UTILITIES (0.5%)
20,000 Duke Energy Corp. ................ 1,002,500
------------
TOTAL COMMON STOCK (50.1%) (COST
$84,416,979)..................... $108,478,334
------------
</TABLE>
(continued)
62
<PAGE> 64
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES DEPOSITORY SHARES VALUE
- -------------------------------------------------------------
<C> <S> <C>
UNIT INVESTMENT TRUST (0.8%)
11,400 S&P 500 Depository Receipts........ $ 1,674,375
-----------
TOTAL DEPOSITORY RECEIPTS (0.8%)
(COST $1,633,694)................. $ 1,674,375
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
AUTOMOTIVE & RELATED (5.9%)
$1,098,000 American Honda 5.950% 01/11/00.... $ 1,096,185
1,200,000 Ford Motor Credit 5.280%
01/03/00......................... 1,199,648
1,331,000 Ford Motor Credit 5.280%
01/04/00......................... 1,330,414
2,290,000 General Motors Acceptance 5.760%
01/28/00......................... 2,280,107
1,829,000 General Motors Acceptance 5.900%
02/24/00......................... 1,812,813
3,000,000 General Motors Acceptance 5.960%
01/27/00......................... 2,987,087
983,000 General Motors Acceptance 6.610%
01/13/00......................... 980,834
1,041,000 Hertz Corp. 5.780% 01/06/00....... 1,040,164
------------
12,727,252
------------
COMMUNICATIONS (0.8%)
1,678,000 SBC Communications 5.820% 01/20/00 1,672,846
------------
CONSUMER PRODUCTS (0.7%)
1,584,000 Johnson & Johnson 5.850% 03/13/00 $ 1,565,467
------------
COMPUTERS & RELATED (1.3%)
1,821,000 IBM Credit 5.900% 02/07/00........ 1,809,958
1,050,000 IBM Credit 5.820% 02/09/00........ 1,043,380
------------
2,853,338
------------
ENTERTAINMENT & LEISURE (1.9%)
4,160,000 Walt Disney Co. 5.660% 01/07/00... 4,156,076
------------
FINANCIAL SERVICES (15.0%)
1,168,000 American Express 5.970%
01/25/00......................... 1,163,351
1,676,000 American Express 5.900%
02/18/00......................... 1,662,816
1,350,000 American Express 5.900%
03/06/00......................... 1,335,618
862,000 American General Corp. 5.920%
02/15/00......................... 855,621
3,000,000 American General Finance 5.720%
01/20/00......................... 2,990,943
2,185,000 American General Finance 5.900%
02/11/00......................... 2,170,318
1,000,000 Associates Corp. 5.100%
01/05/00......................... 999,433
1,773,000 Associates Corp. 5.670%
01/14/00......................... 1,769,370
2,476,000 CIT Group 6.180% 01/25/00......... 2,465,799
1,365,000 CIT Group 5.980% 02/10/00......... 1,355,930
1,921,000 G E Capital 6.000% 01/21/00....... 1,914,597
749,000 G E Capital 5.920% 02/17/00....... 743,211
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
$1,795,000 G E Capital 6.060% 03/03/00....... $ 1,776,266
1,417,000 GTE Funding Inc. 6.040%
03/08/00......................... 1,401,072
1,455,000 GTE Funding Inc. 6.040%
03/14/00......................... 1,437,179
3,411,000 Heller Financial 6.000%
02/04/00......................... 3,391,671
1,503,000 Heller Financial 6.050%
02/08/00......................... 1,493,402
1,360,000 Heller Financial 6.000%
02/22/00......................... 1,348,213
1,030,000 Household Finance 6.200%
01/14/00......................... 1,027,694
1,300,000 Household Finance 5.900%
02/14/00......................... 1,290,626
------------
32,593,130
------------
FOOD & RELATED (0.8%)
1,776,000 Coca Cola 5.800% 01/11/00......... 1,773,139
------------
INDUSTRIAL SERVICES (4.7%)
2,000,000 Allied Signal 5.770% 02/01/00..... 1,990,063
2,191,000 Allied Signal 5.770% 02/02/00..... 2,179,763
2,556,000 Dupont (EI) De Nemours & Co.
5.740% 01/26/00.................. 2,545,811
2,109,000 Flour Corp. 5.800% 01/19/00....... 2,102,884
1,472,000 PHH Corp. 6.650% 01/21/00......... 1,466,562
------------
10,285,083
------------
INSURANCE SERVICES (6.0%)
1,610,000 Aetna Services 6.030% 02/03/00.... 1,601,101
4,579,000 Aetna Services 5.700% 03/07/00.... 4,531,149
2,428,000 Prudential Funding 5.750%
01/10/00......................... 2,424,510
4,363,000 Prudential Funding 5.780%
01/24/00......................... 4,346,888
------------
12,903,648
------------
MACHINERY (3.8%)
2,732,000 General Dynamics 6.020%
01/31/00......................... 2,718,294
2,034,000 General Dynamics 6.000%
02/29/00......................... 2,013,999
3,424,000 John Deere Capital 5.650%
01/12/00......................... 3,418,089
------------
8,150,382
------------
RETAIL (2.9%)
1,739,000 Sears Roebuck Acceptance 6.050%
01/13/00......................... 1,735,493
2,600,000 Sears Roebuck Acceptance 5.600%
01/18/00......................... 2,593,125
2,000,000 Sears Roebuck Acceptance 6.100%
02/16/00......................... 1,984,411
------------
6,313,029
------------
TOTAL SHORT-TERM NOTES (43.8%)
(COST $94,993,390)............... $ 94,993,390
------------
TOTAL HOLDINGS (94.7%) (COST
$181,044,063) (A)................ $205,146,099
------------
CASH & RECEIVABLES, NET OF
LIABILITIES (5.3%)............... 11,422,828
------------
TOTAL NET ASSETS (100.0%)......... $216,568,927
============
</TABLE>
- ---------------
(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.
63
<PAGE> 65
OHIO NATIONAL FUND, INC.
S&P 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $181,044,063)........... $205,146,099
Cash in bank............................. 131
Receivable for securities sold........... 600,937
Receivable for fund shares sold.......... 1,213,387
Variation margin on futures contracts
(note 1)............................... 10,075,591
Dividends and accrued interest
receivable............................. 93,060
------------
Total assets........................... 217,129,205
------------
Liabilities:
Payable for securities purchased......... 454,257
Payable for fund shares redeemed......... 5,104
Payable for investment management
services (note 3)...................... 66,118
Other accrued expenses................... 34,799
------------
Total liabilities...................... 560,278
------------
Net assets at market value................. $216,568,927
============
Net assets consist of:
Par value, $1 per share.................. $ 13,396,954
Paid-in capital in excess of par value... 174,131,728
Accumulated net realized income on
investments (note 1)................... 264,918
Net unrealized appreciation on:
Investments (note 1)................... 24,102,036
Futures contracts (note 1)............. 4,583,200
Undistributed net investment income...... 90,091
------------
Net assets at market value................. $216,568,927
============
Shares outstanding (note 4)................ 13,396,954
Net asset value per share.................. $ 16.17
============
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 4,122,240
Dividends................................. 878,457
-----------
Total investment income................. 5,000,697
-----------
Expenses:
Management fees (note 3).................. 618,602
Custodian fees (note 3)................... 26,279
Directors' fees (note 3).................. 3,498
Professional fees......................... 12,678
Accounting and transfer agent fees........ 95,739
Other..................................... 24,166
-----------
Total expenses.......................... 780,962
-----------
Net investment income................... $ 4,219,735
-----------
Realized and unrealized gain on investments:
Net realized gain from:
Investments............................. $ 7,880,014
Futures contracts....................... 8,244,114
Net increase in unrealized appreciation
on:
Investments............................. 16,284,388
Futures contracts....................... 2,492,700
-----------
Net gain on investments................. 34,901,216
-----------
Net increase in net assets from
operations............................ $39,120,951
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
64
<PAGE> 66
OHIO NATIONAL FUND, INC.
S&P 500 PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
--------------------------
1999 1998
------------ -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 4,219,735 $ 1,535,339
Realized gain on investments and futures contracts........ 16,124,128 3,954,160
Unrealized appreciation on investments and futures
contracts............................................... 18,777,088 9,569,105
------------ -----------
Net increase in net assets from operations............ 39,120,951 15,058,604
------------ -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (4,150,432) (1,519,364)
Capital gains distributions............................... (15,896,517) (4,001,278)
------------ -----------
Total dividends and distributions..................... (20,046,949) (5,520,642)
------------ -----------
From capital share transactions (note 4):
Received from shares sold................................. 103,721,037 61,751,546
Received from dividends reinvested........................ 20,046,949 5,520,642
Paid for shares redeemed.................................. (20,430,472) (4,725,079)
------------ -----------
Increase in net assets derived from capital share
transactions......................................... 103,337,514 62,547,109
------------ -----------
Increase in net assets............................. 122,411,516 72,085,071
Net Assets:
Beginning of period....................................... 94,157,411 22,072,340
------------ -----------
End of period (a)......................................... $216,568,927 $94,157,411
============ ===========
(a) Includes undistributed net investment income of......... $ 90,091 $ 20,788
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-------------------------------
1999 1998 1997
------- ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 14.23 $11.73 $10.00
Income (loss) from investment operations:
Net investment income (loss).............................. 0.40 0.38 (0.45)
Net realized and unrealized gain (loss) on investments.... 3.28 3.09 (2.70)
------- ------ ------
Total income (loss) from investment operations.......... 3.68 3.47 (3.15)
------- ------ ------
Less distributions:
Dividends from net investment income...................... (0.44) (0.33) (0.45)
Distributions from net realized capital gains............. (1.30) (0.64) (0.91)
Distributions in excess realized capital gains............ 0.00 0.00 (0.06)
------- ------ ------
Total distributions..................................... (1.74) (0.97) (1.42)
------- ------ ------
Net asset value, end of period.............................. $ 16.17 $14.23 $11.73
======= ====== ======
Total return................................................ 25.63% 30.00% 31.75%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.49% 0.49% 0.52%
Ratio of net investment income to average net assets...... 2.62% 2.89% 5.29%
Portfolio turnover rate..................................... 68% 115% 445%
Net assets at end of period (millions)...................... $ 216.6 $94.20 $22.10
</TABLE>
The accompanying notes are an integral part of these financial statements.
65
<PAGE> 67
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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 17.69%
Three-year 4.69%
Since inception (1/3/97) 4.72%
</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
1999 turned out to be another year of high returns for stock indices across the
board. Volatility has continued at extreme levels and we see this as a regular
market factor for the foreseeable future. The Social Awareness Fund has gone
through a major transformation over the last six months. Due to unacceptable
portfolio performance, new management was engaged to direct the fund beginning
at mid-year. The fund has progressed into a more growth-oriented portfolio and
has taken sizable positions in larger and more liquid securities. Fortunately,
this has had a positive impact on the fund's performance. Under old management,
the fund trailed the S & P 500 Index by 754 basis points halfway through the
year. Under current management, the fund outperformed the S & P 500 Index by 494
basis points during the second half of 1999. For 1999, the portfolio ended up
trailing the S & P 500 by 333 basis points. However, we are confident that the
changes we have made will continue to improve the fund's relative performance.
The improved performance of the fund is directly related to increased positions
in technology and faster-growing companies. We feel that the best areas for
continued performance lie in these growth areas and continue to hold large
weightings in them. We will continue to search for superior companies that have
outstanding fundamentals. Cash positions will continue to be a small weighting
within the fund.
In summary, we thank you for your continued support and patience. The Social
Awareness Portfolio is positioning itself to benefit from the vagaries of the
market and we look to report more positive news in the future.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
SOCIAL AWARENESS PORTFOLIO RUSSELL 2000 INDEX
(COMMENCED OPERATIONS JANUARY 3, ------------------
1997)
--------------------------------
<S> <C> <C>
10000.00 10000.00
'97' 11321.00 11020.00
12563.00 12227.00
'98' 12462.00 12871.00
9748.00 11953.00
10181.90 13062.60
'99' 11473.00 14494.30
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Citrix Systems 5.14
2. The Home Depot, Inc. 4.58
3. General Electric Company 4.31
4. ADC Telecommunications Inc. 4.04
5. American International Group 3.76
6. Sun Microsystems 3.45
7. Solectron 3.44
8. CTS Corporation 3.15
9. MCI WorldCom, Inc. 3.10
10. Citigroup Inc. 3.09
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 20.47
2. Communications 17.07
3. Electrical Equipment 8.86
4. Retail 6.97
5. Oil, Energy and Natural Gas 6.04
</TABLE>
66
<PAGE> 68
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (2.1%)
1,300 Honeywell Intl. Inc. ................. $ 74,994
----------
BANKING (1.8%)
3,000 Firstar Corp. (b) .................... 63,375
----------
BROADCAST RADIO & TV (4.9%)
1,700 *CBS Corp. ........................... 108,694
2,000 *Infinity Broadcast................... 72,375
----------
181,069
----------
BUSINESS SERVICES (4.0%)
2,000 *A C Nielsen Corp. ................... 49,250
2,500 Manpower.............................. 94,063
----------
143,313
----------
COMMUNICATIONS (14.4%)
2,000 *ADC Telecommunication................ 145,125
1,700 Bell Atlantic Corp. .................. 104,656
2,100 *MCI Worldcom Inc. ................... 111,431
1,500 *McleodUSA Inc. ...................... 88,312
1,400 *SBC Communications Inc. ............. 68,250
----------
517,774
----------
COMPUTER & RELATED (20.5%)
1,000 *Cisco Systems Inc. .................. 107,125
1,500 *Citrix Systems....................... 184,500
1,000 *EMC Corp. ........................... 109,250
800 Intl. Business Machines............... 86,400
1,300 *Solectron............................ 123,663
1,600 *Sun Microsystems..................... 123,900
----------
734,838
----------
CONSUMER PRODUCTS (2.6%)
1,000 Johnson & Johnson 93,125
----------
DIVERSIFIED MANUFACTURING (4.3%)
1,000 General Electric Co. ................. 154,750
----------
DRUGS (1.4%)
300 *Medimunne Inc. ...................... 49,763
----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (8.9%)
1,000 *Altera Corp. ........................ 49,563
1,500 CTS Corp. ............................ 113,063
1,300 Intel Corp. .......................... 107,006
500 Texas Instruments Inc. ............... 48,437
----------
318,069
----------
FIBER OPTICS (1.6%)
2,000 *Williams Communications Group........ 57,875
----------
FINANCIAL SERVICES (4.6%)
2,000 Associates First Capital.............. 54,875
2,000 Citigroup Inc. ....................... 111,125
----------
166,000
----------
FOOD & RELATED (1.5%)
2,400 Conagra Inc. ......................... 54,150
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
INSURANCE SERVICES (3.8%)
1,250 American Intl. Group.................. $ 135,156
----------
MEDICAL & RELATED (0.6%)
500 *Genzyme Corp. ....................... 22,500
----------
OIL, ENERGY & NATURAL GAS (7.0%)
1,000 Coastal Corp. ........................ 35,438
1,400 Kerr McGee............................ 86,800
1,100 Schlumberger Ltd. .................... 61,875
213 Transocean Sedco Forex Inc. .......... 7,189
2,000 Williams Cos. Inc. ................... 61,125
----------
252,427
----------
RETAIL (7.0%)
1,900 Circuit City Stores................... 85,618
2,400 The Home Depot Inc. .................. 164,550
----------
250,168
----------
SECURITY SYSTEMS & SERVICES (2.5%)
2,300 Tyco Intl. Ltd. ...................... 89,412
----------
TOTAL U.S. COMMON STOCK (93.5%) (COST
$2,708,968).......................... 3,358,758
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINLAND (2.7%)
COMMUNICATIONS (2.7%)
500 Nokia Corp. ADR....................... $ 95,000
----------
CANADA (0.7%)
MEDICAL & RELATED (0.7%)
1,200 *Biochem Pharm Inc. .................. 26,100
----------
TOTAL FOREIGN COMMON STOCK (3.4%)
(COST $69,949)....................... $ 121,100
----------
TOTAL COMMON STOCK (96.9%) (COST
$2,778,917).......................... $3,479,858
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT SHORT-TERM NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (3.2%)
$113,000 American Express 1.000% 01/03/00...... $ 112,993
----------
TOTAL SHORT-TERM NOTES (3.2%) (COST
$112,993)............................ $ 112,993
----------
TOTAL HOLDINGS (100.1%) (COST
$2,891,910) (A)...................... $3,592,851
----------
LIABILITIES, NET OF CASH & RECEIVABLES
(-0.1%).............................. (2,918)
----------
TOTAL NET ASSETS (100.0%)............. $3,589,933
==========
</TABLE>
- ---------------
* Non-income producing securities.
(a) Represents cost for financial reporting purposes and differs from cost for
federal income tax purposes. See Note 1.
(b) Security of an affiliate of the fund.
The accompanying notes are an integral part of these financial statements.
67
<PAGE> 69
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $2,810,917)............... $ 3,529,476
Investment in an affiliate at market value
(cost $80,993)........................... 63,375
Cash in bank............................... 240
Receivable for fund shares sold............ 4,899
Dividends and accrued interest
receivable............................... 2,199
-----------
Total assets............................. 3,600,189
-----------
Liabilities:
Payable for fund shares redeemed........... 13
Payable for investment management services
(note 3)................................. 1,773
Other accrued expenses..................... 8,470
-----------
Total liabilities........................ 10,256
-----------
Net assets at market value................... $ 3,589,933
===========
Net assets consist of:
Par value, $1 per share.................... $ 348,274
Paid-in capital in excess of par value..... 4,976,023
Accumulated net realized loss on
investments (note 1)..................... (2,434,474)
Net unrealized appreciation on investments
(note 1)................................. 700,941
Overdistributed net investment income...... (831)
-----------
Net assets at market value................... $ 3,589,933
===========
Shares outstanding (note 4).................. 348,274
Net asset value per share.................... $ 10.31
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................. $ 14,126
Dividends................................. 45,131
-----------
Total investment income................. 59,257
-----------
Expenses:
Management fees (note 3).................. 24,814
Custodian fees (note 3)................... 4,824
Directors' fees (note 3).................. 350
Professional fees......................... 1,598
Accounting and transfer agent fees........ 5,410
Other..................................... 2,445
-----------
Total expenses.......................... 39,441
-----------
Net investment income................... $ 19,816
-----------
Realized and unrealized gain (loss) on
investments:
Net realized loss from investments........ $(1,812,454)
Net increase in unrealized appreciation on
investments............................. 2,093,387
-----------
Net gain on investments................. 280,933
-----------
Net increase in net assets from
operations............................ $ 300,749
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
68
<PAGE> 70
OHIO NATIONAL FUND, INC.
SOCIAL AWARENESS PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-------------------------
1999 1998
----------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 19,816 $ 36,638
Realized loss on investments.............................. (1,812,454) (622,020)
Unrealized appreciation (depreciation) on investments..... 2,093,387 (1,498,903)
----------- -----------
Net increase (decrease) in net assets from
operations........................................... 300,749 (2,084,285)
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (19,816) (36,718)
Dividend paid in excess of net investment income.......... (831) 0
----------- -----------
Total dividends....................................... (20,647) (36,718)
From capital share transactions (note 4):
Received from shares sold................................. 876,492 5,521,237
Received from dividends reinvested........................ 20,647 36,718
Paid for shares redeemed.................................. (4,178,575) (1,687,515)
----------- -----------
Increase (decrease) in net assets derived from capital
share transactions................................... (3,281,436) 3,870,440
----------- -----------
Increase (decrease) in net assets.................. (3,001,334) 1,749,437
Net Assets:
Beginning of period....................................... 6,591,267 4,841,830
----------- -----------
End of period............................................. $ 3,589,933 $ 6,591,267
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
-----------------------------
1999 1998 1997
------- ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 8.80 $11.40 $10.00
Income (loss) from investment operations:
Net investment income..................................... 0.04 0.05 0.09
Net realized and unrealized gain (loss) on investments.... 1.51 (2.60) 2.47
------- ------ ------
Total income (loss) from investment operations.......... 1.55 (2.55) 2.56
------- ------ ------
Less distributions:
Dividends from net investment income...................... (0.04) (0.05) (0.07)
Distributions from net realized capital gains............. 0.00 0.00 (1.09)
------- ------ ------
Total distributions..................................... (0.04) (0.05) (1.16)
------- ------ ------
Net asset value, end of period.............................. $ 10.31 $ 8.80 $11.40
======= ====== ======
Total return................................................ 17.69% (22.41)% 25.63%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 0.93% 0.81% 0.95%
Ratio of net investment income to average net assets...... 0.47% 0.55% 0.75%
Portfolio turnover rate..................................... 122% 71% 40%
Net assets at end of period (millions)...................... $ 3.6 $ 6.6 $ 4.8
</TABLE>
The accompanying notes are an integral part of these financial statements.
69
<PAGE> 71
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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
One-year (4.81%)
Three-year 0.68%
Since inception (1/3/97) 0.68%
</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
For bond investors, 1999 was a year that most would like to simply forget.
Domestic fixed income markets registered one of their worst total return over
the past 25 years, second only to 1994. Treasury yields across the maturity
spectrum rose steadily throughout the year by 140 to 180 basis points depending
on the bond's maturity date. The investment objective for the Strategic Income
portfolio is to "generate high current income." We uniquely invest the portfolio
in these five asset classes: corporate bonds, mortgage-backed, international,
equity and real estate investment trusts (REIT's) securities. Within these broad
asset types, the Fund was highly diversified by issuer, geographic location, and
industry.
Last year, we took steps to improve the fund's total return (income and price).
Our decision to limit exposure to higher risk asset classes, remain diversified
across industries, and closely monitor fundamental trends helped to limit
portfolio volatility We believe our longer-term focus helps to reduce volatility
and leads to competitive long-term results.
CHANGE IN VALUE OF $10,000 INVESTMENT
[STRATEGIC INCOME PORTFOLIO CHART]
<TABLE>
<CAPTION>
STRATEGIC INCOME PORTFOLIO
(COMMENCED OPERATIONS JANUARY 3, LEHMAN BROS. GOVT./CORP. BOND INDEX
1997) -INTERMEDIATE
-------------------------------- -----------------------------------
<S> <C> <C>
10000.00 10000.00
'97' 10296.00 10274.00
10902.40 10777.40
'98' 10962.40 11147.10
10747.50 11681.00
'99' 10711.00 11613.30
10231.10 11725.90
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. GNMA Pool #436197X, 7.00%
02/15/2008 4.78
2. Federated Dept. Stores 8 1/2%
6/15/03 3.33
3. Lehman Bros Holdings 7.75%
5/15/23 3.19
4. ABM-AMRO Bank N.V 7.75%
05/15/2023 3.18
5. Philip Morris 7.125% 8/15/02 3.18
6. Duke Power Co 7.875% 5/01/24 3.15
7. Zurich Cap Trust 8.376% 6/1/37 3.15
8. NB CAP TRUST 8.25%, 04/15/2027 3.14
9. Merrill Lynch & Co. NT 7.00%
4/27/08 3.11
10. SPIEKER PPTYS LP 7.125% 12/1/06 3.06
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. REIT 19.44
2. Government 18.06
3. Retail 10.41
4. Financial Services 9.46
5. Banking 8.75
</TABLE>
70
<PAGE> 72
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
GOVERNMENT (18.1%)
$ 86,588 FNMA 9.000% 04/01/16.................. $ 90,287
21,844 FNMA 7.500% 07/15/21.................. 21,965
70,836 FNMA 7.500% 10/01/24.................. 70,117
100,000 FNMA 6.500% 04/18/25.................. 92,953
56,441 FNMA 7.000% 09/01/27.................. 54,605
29,436 FNMA 7.500% 09/01/28.................. 29,137
52,406 GNMA 7.500% 06/15/27.................. 51,877
153,107 GNMA 7.000% 02/15/28.................. 148,004
----------
558,945
----------
AEROSPACE (2.8%)
100,000 Lockhead Corp.
7.875% 03/15/23....................... 88,070
----------
AUTOMOTIVE & RELATED (2.3%)
75,000 Ford Motor Co
7.500% 08/01/26....................... 72,479
----------
BANKING (8.7%)
100,000 ABM-AMRO Bank N.V.
7.750% 05/15/23....................... 98,536
75,000 Banc One Corp. 8.000% 04/29/27........ 74,959
100,000 NB Capital Trust 8.250% 04/15/27...... 97,218
----------
270,713
----------
COMMUNICATIONS (1.5%)
50,000 GTE Corp. 7.830% 05/01/23............. 47,837
----------
CONSUMER PRODUCTS (3.3%)
100,000 Phillip Morris Co.
7.125% 08/15/02....................... 98,439
----------
FINANCIAL SERVICES (9.5%)
100,000 Lehman Brothers Holdings 7.125%
09/15/03 98,823
100,000 Merrill Lynch & Co. NT 7.000%
04/27/08............................. 96,394
100,000 Zurich Capital Trust (144A) 8.376%
06/01/37............................. 97,581
----------
292,798
----------
FORESTRY & PAPER PRODUCTS (1.7%)
25,000 Fort James Corp. 6.625% 09/15/04...... 24,164
30,000 International Paper Co. 7.625%
01/15/07............................. 29,661
----------
53,825
----------
OIL ENERGY & NATURAL GAS (2.8%)
75,000 Transcanada Pipeline 9.875%
01/01/21............................. 87,199
----------
REAL ESTATE & LEASING (5.2%)
100,000 Spieker Properties Inc. 7.125%
12/01/06............................. 94,744
75,000 Spieker Properties Inc. 7.350%
12/01/17............................. 65,857
----------
160,601
----------
RETAIL (10.4%)
100,000 Federated Dept. Stores 8.500%
06/15/03............................. 103,187
50,000 May Department Stores Co. 7.625%
08/15/13............................. 50,119
75,000 JC Penny Inc. 9.450% 07/15/02......... 74,146
100,000 Sears Roebuck Acceptance Global 7.000%
06/15/07............................. 94,598
----------
322,050
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
UTILITIES (3.2%)
$100,000 Duke Power Co. 7.875% 05/01/24........ $ 97,624
----------
TOTAL LONG-TERM BONDS & NOTES (69.5%)
(COST $2,305,514).................... $2,150,580
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES REAL ESTATE INVESTMENT TRUSTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
5,000 Bedford Property Invs. Inc. .......... $ 85,312
2,000 Brandywine Realty Trust............... 32,750
2,000 Developers Divers Realty Corp. ....... 25,750
603 Healthcare Realty Trust Inc. ......... 9,422
190 Hospitality Properties Trust.......... 3,622
2,000 Koger Equity Inc. .................... 33,750
3,581 LTC Properties Inc. .................. 30,215
2,000 Lasalle Hotel Properties.............. 23,375
2,000 Lexington Corp. Properties Trust...... 18,375
2,500 Liberty Property Trust................ 60,625
2,000 New Plan Excel Realty Trust........... 31,625
6,000 Sizeler Property Investors Inc. ...... 48,750
4,600 Winston Hotels Inc. .................. 37,375
----------
440,946
----------
TOTAL REAL ESTATE INVEST. TRUSTS
(14.2%) (COST $535,568).............. $ 440,946
----------
</TABLE>
<TABLE>
<CAPTION>
6,900 First Commonwealth Fund Inc. . $ 63,393
<C> <S> <C>
----------
TOTAL INVESTMENT COMPANIES (2.0%)
(COST $83,397)....................... $ 63,393
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
HOTEL/LODGING (2.4%)
7,000 RFS Hotels Invs. Inc. ............... $ 73,063
-----------
UTILITIES (1.8%)
1,000 Central & South West Corp. .......... 20,000
1,000 Texas Utilities Co. ................. 35,563
-----------
55,563
-----------
TOTAL COMMON STOCK (4.2%) (COST
$151,615)........................... $ 128,626
-----------
</TABLE>
(continued)
71
<PAGE> 73
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMMUNICATIONS (1.8%)
2,500 MCI Capital 8.00% Series A........... $ 55,313
-----------
FINANCIAL SERVICES (2.6%)
1,500 Citigroup Cap I 8.00% 9/30/36........ 35,062
2,000 PLC Capital Trust I 8.25%............ 44,000
-----------
79,062
-----------
OIL, ENERGY & NATURAL GAS (1.4%)
2,000 Enron Capital Trust I 8.30%.......... 43,750
-----------
REAL ESTATE & LEASING (1.2%)
2,000 Kimco Realty Corp. 8.50%............. 37,625
-----------
UTILITIES (1.7%)
2,500 Alabama Power Capital Tr. 7.60%...... 52,969
-----------
TOTAL PREFERRED STOCK (8.7%) (COST
$313,495)........................... $ 268,719
-----------
TOTAL HOLDINGS (98.6%) (COST
$3,389,589) (A)..................... $ 3,052,264
-----------
CASH & RECEIVABLES, NET OF
LIABILITIES (1.4%).................. 42,783
-----------
TOTAL NET ASSETS (100.0%)............ $ 3,095,047
===========
</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 $97,581 or 3.2% 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 for
federal income tax purposes. See Note 1.
The accompanying notes are an integral part of these financial statements.
72
<PAGE> 74
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $3,389,589)............... $ 3,052,264
Dividends and accrued interest
receivable............................... 41,728
Other...................................... 12,161
-----------
Total assets............................. 3,106,153
-----------
Liabilities:
Payable for fund shares redeemed........... 51
Payable for investment management services
(note 3)................................. 2,127
Other accrued expenses..................... 8,928
-----------
Total liabilities........................ 11,106
-----------
Net assets at market value................... $ 3,095,047
===========
Net assets consist of:
Par value, $1 per share.................... $ 373,469
Paid-in capital in excess of par value..... 3,432,166
Accumulated net realized loss on
investments (note 1)..................... (388,726)
Net unrealized depreciation on investments
(note 1)................................. (337,325)
Undistributed net investment income........ 15,463
-----------
Net assets at market value................... $ 3,095,047
===========
Shares outstanding (note 4).................. 373,469
Net asset value per share.................... $ 8.29
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 182,953
Dividends................................... 124,186
---------
Total investment income................... 307,139
---------
Expenses:
Management fees (note 3).................... 28,913
Custodian fees (note 3)..................... 4,809
Directors' fees (note 3).................... 350
Professional fees........................... 1,599
Accounting and transfer agent fees.......... 7,669
Other....................................... 2,429
---------
Total expenses............................ 45,769
---------
Net investment income..................... $ 261,370
---------
Realized and unrealized loss on investments:
Net realized loss from investments.......... $(291,696)
Net increase in unrealized depreciation on
investments............................... (139,474)
---------
Net loss on investments................... (431,170)
---------
Net decrease in net assets from
operations.............................. $(169,800)
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
73
<PAGE> 75
OHIO NATIONAL FUND, INC.
STRATEGIC INCOME PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-------------------------
1999 1998
----------- ----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 261,370 $ 268,867
Realized loss on investments.............................. (291,696) (97,030)
Unrealized depreciation on investments.................... (139,474) (230,070)
----------- ----------
Net decrease in net assets from operations............ (169,800) (58,233)
----------- ----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (245,907) (269,685)
Capital gains distributions............................... 0 (1,157)
----------- ----------
Total dividends and distributions..................... (245,907) (270,842)
----------- ----------
From capital share transactions (note 4):
Received from shares sold................................. 262,247 1,160,301
Received from dividends reinvested........................ 245,907 270,842
Paid for shares redeemed.................................. (1,016,913) (333,046)
----------- ----------
Increase (decrease) in net assets derived from capital
share transactions................................... (508,759) 1,098,097
----------- ----------
Increase (decrease) in net assets.................. (924,466) 769,022
Net Assets:
Beginning of period....................................... 4,019,513 3,250,491
----------- ----------
End of period (a)......................................... $ 3,095,047 $4,019,513
=========== ==========
(a) Includes undistributed net investment income of......... $ 15,463 $ 0
=========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
------------------------------
1999 1998 1997
------ ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 9.34 $10.16 $10.00
Income (loss) from investment operations:
Net investment income..................................... 0.65 0.68 0.71
Net realized and unrealized gain (loss) on investments.... (1.07) (0.82) 0.13
------ ------ ------
Total income (loss) from investment operations.......... (0.42) (0.14) 0.84
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.63) (0.68) (0.67)
Distributions from net realized capital gains............. 0.00 0.00 (0.01)
------ ------ ------
Total distributions..................................... (0.63) (0.68) (0.68)
------ ------ ------
Net asset value, end of period.............................. $ 8.29 $ 9.34 $10.16
====== ====== ======
Total return................................................ (4.81)% (1.42)% 8.74%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.27% 1.18% 1.30%
Ratio of net investment income to average net assets...... 7.23% 7.12% 7.04%
Portfolio turnover rate..................................... 53% 104% 102%
Net assets at end of period (millions)...................... $ 3.1 $ 4.0 $ 3.2
</TABLE>
The accompanying notes are an integral part of these financial statements.
74
<PAGE> 76
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME(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 DECEMBER 31, 1999
TOTAL RETURN:
<TABLE>
<S> <C>
One-year 1.76%
Three-year 4.24%
Since inception (1/3/97) 4.75%
</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
Aided by a 14.9% jump in the fourth quarter, the Standard & Poor's 500 Index
finished 1999 with an impressive +21.0% gain completing an unprecedented fifth
consecutive year of 20%+ returns. The Standard & Poor's MidCap 400 and SmallCap
600 Indexes both rebounded in the final quarter of the year bringing their
full-year results to +14.7% and +12.4% respectively. However, the indexes'
strong results mask an extreme divergence in performance across stocks and among
sectors. In particular, the stocks making up the technology sector within the
S&P 500 surged a breathtaking 79% in 1999. This gain is made even more
spectacular considering the technology sector was up 72% in 1998. Technology
stocks accounted for almost 80% of the S&P 500's 1999 return. In fact, market
breadth was narrower in 1999 than in all but one of the past eleven years. Seven
"mega stocks" accounted for half of the Index's performance. Ranked in order of
their contribution to the S&P 500's return, the "Magnificent Seven" are
Microsoft, Cisco Systems, General Electric, Wal-Mart, Oracle, Nortel and America
Online.
In contrast to the stock market's record-setting performance, the bond market
was under pressure throughout 1999. The thirty-year US Treasury bond ended the
year with a 6.5% yield, up from 5.1% at the beginning of the year. Taxable bonds
as measured by the Lehman Brothers Government/ Corporate Bond Index, delivered a
- -0.4% fourth quarter total return bringing the full-year result to -2.2%. For
tax-exempt fixed income investors, the news was only slightly better with the
Lehman Brothers State General Obligation Bond Index posting a -0.4% total return
for the quarter and a 1.1% return for the year.
Mid-year adjustments to our equity funds (highlighted by improved technology
stock selection) led to more competitive portfolio performance in the final
months of the year.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LEHMAN BROS. GOVT./CORP. INDEX -
FIRSTAR GROWTH & INCOME INTERMEDIATE
----------------------- --------------------------------
<S> <C> <C>
10000.00 10000.00
'97' 10531.00 12060.00
10969.10 13336.00
'98' 11253.20 15697.70
11289.20 17146.70
'99' 11670.80 19269.40
11488.70 20755.10
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Tyco International 2.59
2. Northern Trust 2.57
3. McGraw-Hill 2.42
4. Bristol-Myers Squibb 2.33
5. Enron Corp. 2.28
6. ALLTEL Corporation 2.25
7. Pepsico Inc 2.08
8. Citigroup Inc 2.02
9. Intel Corp 1.99
10. Bank of New York 1.94
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Oil, Energy, and Natural Gas 8.13
2. Consumer Products 7.88
3. Banking 7.86
4. Drugs 7.15
5. Telecommunications and Cellular 6.62
</TABLE>
- ---------------
(a) Prior to 5/1/99 the portfolio was known as The Stellar Portfolio.
75
<PAGE> 77
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ADVERTISING (1.9%)
1,100 Interpublic Group of Cos. Inc......... $ 63,456
----------
BANKING (7.9%)
1,600 Bank of New York Inc.................. 64,000
1,600 Mellon Bank Corp...................... 54,500
1,600 Northern Trust Corp................... 84,800
1,400 Wells Fargo Co........................ 56,612
----------
259,912
----------
BROADCAST RADIO & TV (2.4%)
650 *CBS Corp............................. 41,559
500 Timer Warner Inc...................... 36,219
----------
77,778
----------
BUILDING & CONSTRUCTION (1.1%)
900 Vulcan Materials Co................... 35,944
----------
BUSINESS SERVICES (4.0%)
800 Automatic Data Processing Inc......... 43,100
300 First Data Corp....................... 14,794
1,000 Manpower Inc.......................... 37,625
1,300 Viad Corp............................. 36,237
----------
131,756
----------
COMMUNICATIONS (3.0%)
700 Bell Atlantic Corp.................... 43,094
200 True North Communications............. 8,937
700 Sprint Corp........................... 47,119
----------
99,150
----------
COMPUTER & RELATED (5.2%)
100 Electronic Data Systems Corp.......... 6,694
100 Hewlett-Packard Co.................... 11,394
800 Intel Corp............................ 65,850
300 Intl. Business Machines............... 32,400
600 Lucent Technologies Inc............... 44,887
100 Microsoft Corp........................ 11,675
----------
172,900
----------
CONSUMER PRODUCTS (7.9%)
800 Avery Dennison Corp................... 58,300
1,000 Estee Lauder Cos. Inc................. 50,438
600 Johnson & Johnson..................... 55,875
800 Kimberly-Clark Corp................... 52,200
400 Procter & Gamble Co................... 43,825
----------
260,638
----------
CONTAINERS (0.3%)
100 Aloca Inc............................. 8,300
----------
CRUISE LINES (0.2%)
100 Carnival Corp CL A.................... 4,781
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
DRUGS (7.2%)
800 American Home Products Corp........... $ 31,550
1,200 Bristol-Myers Squibb Co............... 77,025
700 Lilly (Eli) & Co...................... 46,550
600 Merck & Co. Inc....................... 40,237
500 Warner Lambert Co..................... 40,969
----------
236,331
----------
DURABLE GOODS (1.0%)
900 Pentair Inc........................... 34,650
----------
ELECTRICAL EQUIPMENT (2.0%)
600 Molex Inc............................. 27,150
400 Texas Instruments Inc................. 38,750
----------
65,900
----------
FINANCIAL SERVICES (2.6%)
1,200 Citigroup Inc......................... 66,675
600 Franklin Resources.................... 19,238
----------
85,913
----------
FOOD & RELATED (4.7%)
700 Anheuser-Busch Cos. .................. 49,612
200 Coors (Adolph) CL B................... 10,500
1,950 PepsiCo Inc........................... 68,737
700 Sysco Corp............................ 27,694
----------
156,543
----------
FORESTRY & PAPER PRODUCTS (1.0%)
400 Consolidated Papers Inc............... 12,725
300 Weyerhaeuser Co....................... 21,544
----------
34,269
----------
INDUSTRIAL SERVICES (1.4%)
1,200 Ecolab Inc............................ 46,950
----------
INSTRUMENT-SCIENTIFIC (0.9%)
800 Millipore Corp........................ 30,900
----------
INSURANCE SERVICES (2.9%)
1,100 Hartford Life CL A.................... 48,400
500 Marsh & McLennan Cos. Inc............. 47,844
----------
96,244
----------
MEDIA & PUBLISHING (5.7%)
600 Houghton Mifflin Co................... 25,312
300 Knight Ridder Inc..................... 17,850
1,300 McGraw-Hill Cos. Inc.................. 80,113
1,300 New York Times Co..................... 63,863
----------
187,138
----------
MEDICAL & RELATED (1.5%)
1,400 Medtronic Inc......................... 51,013
----------
</TABLE>
(continued)
76
<PAGE> 78
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
OIL, ENERGY & NATURAL GAS (8.1%)
1,700 Enron Corp............................ $ 75,437
1,500 Enron Corp. Notes 2002................ 28,125
660 Exxon Mobil Corp...................... 53,171
900 Phillips Petroleum Co................. 42,300
600 Schlumberger Ltd...................... 33,750
116 Transocean Sedco Forex Inc............ 3,805
1,300 USX-Marathon Group.................... 32,094
----------
268,682
----------
RETAIL (4.8%)
1,500 CVS Corp.............................. 59,906
825 Gap Inc............................... 37,950
200 W.W. Grainger, Inc.................... 9,563
200 Wal-Mart Stores Inc................... 13,825
1,300 Walgreen Co........................... 38,025
----------
159,269
----------
SECURITY SYSTEMS & SERVICES (2.6%)
2,200 Tyco International Ltd................ 85,525
----------
TELECOMMUNICATIONS & CELLULAR (4.9%)
900 Alltel Corp........................... 74,419
700 *BroadWing Inc........................ 25,812
100 Corning Inc........................... 12,894
1,000 SBC Communications Inc................ 48,750
----------
161,875
----------
TRANSPORTATION & EQUIPMENT (0.1%)
100 Expeditors Intl. Washington Inc....... 4,381
----------
UTILITIES (1.6%)
300 General Electric Co................... 46,425
400 Nisource Inc.......................... 7,150
----------
53,575
----------
TOTAL COMMON STOCK (86.9%) (COST
$2,736,637).......................... $2,873,773
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCKS VALUE
- -------------------------------------------------------------
<C> <S> <C>
CANADA (1.5%)
COMMUNICATIONS (1.5%)
500 Nortel Networks Corp.................. $ 50,500
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCKS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINLAND (1.7%)
TELECOMMUNICATIONS (1.7%)
300 Nokia Corp. SP-ADR.................... $ 57,000
----------
107,500
----------
TOTAL FOREIGN COMMON STOCK (3.2%)
(COST $64,063)....................... 107,500
----------
TOTAL COMMON STOCK (90.1%) (COST
$2,800,700).......................... $2,981,273
----------
</TABLE>
<TABLE>
<CAPTION>
REAL ESTATE MARKET
SHARES INVESTMENT TRUSTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
900 AMB Property Corp..................... $ 17,944
200 Post Properties....................... 7,650
----------
25,594
----------
TOTAL REAL ESTATE INVESTMENT TRUSTS
(0.8%) (COST $27,785)................ $ 25,594
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FOOD & RELATED (1.0%)
700 Seagram LTD 7.5% Conv................. $ 31,500
----------
TOTAL PREFERRED STOCK (1.0%) (COST
$35,088)............................. $ 31,500
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (9.1%)
$301,000 Firstar Bank 1.000% 01/03/00
repurchase price $301,025
collateralized by GNMA certificates
pool # 8375 due 02/20/24 (Cost
$301,000)............................ $ 301,000
----------
TOTAL REPURCHASE AGREEMENTS (9.1%)
(COST $301,000)...................... $ 301,000
----------
TOTAL HOLDINGS (101.0%) (COST
$3,164,573) (A)...................... $3,339,367
----------
LIABILITIES, NET OF CASH & RECEIVABLES
(-1.0%).............................. (33,206)
----------
TOTAL NET ASSETS (100.0%)............. $3,306,161
==========
</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.
77
<PAGE> 79
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (A)
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $3,164,573)............... $3,339,367
Cash in bank............................... 409
Receivable for securities sold............. 33,555
Dividends and accrued interest
receivable............................... 2,593
----------
Total assets............................. 3,375,924
----------
Liabilities:
Payable for securities purchased........... 55,537
Payable for fund shares redeemed........... 3,830
Payable for investment management services
(note 3)................................. 2,482
Other accrued expenses..................... 7,914
----------
Total liabilities........................ 69,763
----------
Net assets at market value................... $3,306,161
==========
Net assets consist of:
Par value, $1 per share.................... $ 311,449
Paid-in capital in excess of par value..... 2,877,569
Accumulated net realized loss on
investments (note 1)..................... (57,572)
Net unrealized appreciation on investments
(note 1)................................. 174,794
Overdistributed net investment income...... (79)
----------
Net assets at market value................... $3,306,161
==========
Shares outstanding (note 4).................. 311,449
Net asset value per share.................... $ 10.62
==========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest..................................... $ 26,958
Dividends.................................... 60,747
--------
Total investment income.................... 87,705
--------
Expenses:
Management fees (note 3)..................... 32,127
Custodian fees (note 3)...................... 4,809
Directors' fees (note 3)..................... 350
Professional fees............................ 1,599
Accounting and transfer agent fees........... 6,077
Other........................................ 2,869
--------
Total expenses............................. 47,831
--------
Net investment income...................... $ 39,874
--------
Realized and unrealized gain (loss) on
investments:
Net realized loss from investments........... $(51,251)
Net increase in unrealized appreciation on
investments................................ 71,069
--------
Net gain on investments.................... 19,818
--------
Net increase in net assets from
operations............................... $ 59,692
========
</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.
78
<PAGE> 80
OHIO NATIONAL FUND, INC.
FIRSTAR GROWTH & INCOME PORTFOLIO (A)
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-----------------------
1999 1998
---------- ----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 39,874 $ 115,681
Realized gain (loss) on investments....................... (51,251) 20,231
Unrealized appreciation (depreciation) on investments..... 71,069 (54,343)
---------- ----------
Net increase in net assets from operations............ 59,692 81,569
---------- ----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (41,725) (114,147)
Capital gains distributions............................... 0 (14,635)
---------- ----------
Total Distributions................................... (41,725) (128,782)
---------- ----------
From capital share transactions (note 4):
Received from shares sold................................. 437,571 1,063,702
Received from dividends reinvested........................ 41,725 128,782
Paid for shares redeemed.................................. (796,078) (346,843)
---------- ----------
Increase (decrease) in net assets derived from capital
share transactions................................... (316,782) 845,641
---------- ----------
Increase (decrease) in net assets.................. (298,815) 798,428
Net Assets:
Beginning of period....................................... 3,604,976 2,806,548
---------- ----------
End of period (a)......................................... $3,306,161 $3,604,976
========== ==========
(a) Includes undistributed net investment income of......... $ 0 $ 1,772
========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
----------------------------
1999 1998 1997
------ ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $10.56 $10.65 $10.00
Income from investment operations:
Net investment income..................................... 0.12 0.37 0.32
Net realized and unrealized gain (loss) on investments.... 0.06 (0.07) 0.64
------ ------ ------
Total income from investment operations................. 0.18 0.30 0.96
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.12) (0.35) (0.31)
Distributions from net realized capital gains............. 0.00 (0.04) 0.00
------ ------ ------
Total distributions..................................... (0.12) (0.39) (0.31)
------ ------ ------
Net asset value, end of period.............................. $10.62 $10.56 $10.65
====== ====== ======
Total return................................................ 1.76% 2.92% 9.70%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.39% 1.43% 1.54%
Ratio of net investment income to average net assets...... 1.16% 3.53% 3.07%
Portfolio turnover rate..................................... 197% 81% 17%
Net assets at end of period (millions)...................... $ 3.3 $ 3.6 $ 2.8
</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.
79
<PAGE> 81
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
TOTAL RETURN:
One-year 7.43%
Three-year 18.49%
Since inception (1/3/97) 18.54%
</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
During the past twelve months the equity market continued its upward trend
despite significant market volatility. In this environment the portfolio
performed better than its peers, producing a return through November 30, 1999 of
12.2% on a net asset value basis. This compares to a return of 11.6% for the
average comparable fund as reported by Lipper Analytical Service, Inc. The
portfolio's "value" based investment strategy traditionally identifies companies
with below average volatility, low price-to-earnings ratio and above average
dividend yields. This strategy has produced consistent returns, and no changes
are planned.
As we look towards the future and 2000 in particular, we see a U.S. economy that
will continue to grow, but at a somewhat slower pace than in past years.
Consumer confidence is high but consumers also face a heavy debt burden. We
expect further Fed tightening, which combined with rising energy prices makes
likely a fairly sharp slowdown in the rate of consumer spending growth as we
progress through the year.
CHANGE IN VALUE OF $10,000 INVESTMENT
[RELATIVE VALUE LINE GRAPH]
<TABLE>
<CAPTION>
RELATIVE VALUE PORTFOLIO (COMMENCED
OPERATIONS JANUARY 3, 1997) S&P 500 INDEX
----------------------------------- -------------
<S> <C> <C>
10000.00 10000.00
'97' 11628.00 12060.00
12828.00 13336.00
'98' 14213.40 15697.70
15485.50 17146.70
'99' 16959.80 19269.40
16635.80 20755.10
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Intel Corporation 6.93
2. Broadwing Inc 6.52
3. International Business Machines
Corporation 5.82
4. The Procter & Gamble Company 5.07
5. Lucent Technologies Inc. 4.41
6. General Electric Company 4.30
7. Citigroup Inc 3.68
8. Texaco Inc 2.74
9. Smithkline Beecham 2.71
10. Bristol-Myers Squibb Company 2.70
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Communications 14.96
2. Computer & Related 12.74
3. Oil, Energy, and Natural Gas 11.18
4. Consumer Products 9.76
5. Drugs 9.28
</TABLE>
80
<PAGE> 82
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (2.3%)
4,812 Honeywell International Inc. ..... $ 277,592
------------
APPLIANCES (1.1%)
2,000 Whirlpool Corp. .................. 130,125
------------
AUTOMOTIVE & RELATED (2.8%)
2,500 Ford Motor Co. ................... 133,594
1,500 General Motors Corp. ............. 109,031
3,000 Goodyear Tire & Rubber Co. ....... 84,563
------------
327,188
------------
BANKING (9.2%)
5,613 Amsouth Bancorporation............ 108,401
6,000 Bank of New York Inc. ............ 240,000
3,000 Bank America Corp. ............... 150,563
6,000 First Financial Bancorp........... 128,250
4,500 First Tennessee National.......... 128,250
4,000 Mellon Bank Corp. ................ 136,250
3,500 North Fork Bancorp................ 61,250
2,000 PNC Bank Corp. ................... 89,000
2,000 TCF Financial Corp. .............. 49,750
------------
1,091,714
------------
COMMUNICATIONS (13.1%)
5,000 AT&T Corp. ....................... 253,750
21,000 BroadWing Inc. ................... 774,375
7,000 Lucent Technologies Inc. ......... 523,688
------------
1,551,813
------------
COMPUTER & RELATED (12.7%)
10,000 Intel Corp. ...................... 823,125
6,400 Intl. Business Machines Corp. .... 691,200
------------
1,514,325
------------
CONSUMER PRODUCTS (9.8%)
2,500 Eastman Kodak Co. ................ 165,625
5,000 Gillette Co. ..................... 205,937
8,000 Philip Morris Cos. Inc. .......... 185,500
5,500 Procter & Gamble Co. ............. 602,594
------------
1,159,656
------------
DRUGS (6.6%)
4,000 American Home Products Corp. ..... 157,750
5,000 Bristol Myers Squibb Co. ......... 320,938
4,500 Merck & Co. Inc. ................. 301,780
------------
780,468
------------
ELECTRICAL EQUIPMENT (4.8%)
3,300 General Electric Co. ............. 510,675
1,000 Johnson Controls Inc. ............ 56,875
------------
567,550
------------
FOOD & RELATED (1.8%)
6,000 Monsanto Co. ..................... 213,750
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL SERVICES (7.8%)
1,500 American Express Co. ............. $ 249,375
7,875 Citigroup Inc. ................... 437,555
6,000 Union Planters Corp. ............. 236,625
------------
923,555
------------
INSURANCE SERVICES (3.1%)
5,000 Cincinnati Financial Corp. ....... 155,937
13,000 Ohio Casualty Corp. .............. 208,813
------------
364,750
------------
OIL, ENERGY & NATURAL GAS (9.6%)
3,000 Atlantic Richfield Co. ........... 259,500
2,000 Duke Energy Corp. ................ 100,250
3,960 Exxon Mobil Corp. ................ 319,028
6,000 Texaco Inc. ...................... 325,875
4,000 Texas Utilities Co. .............. 142,250
------------
1,146,903
------------
RETAIL (1.7%)
4,000 Federated Department Stores 202,250
------------
UTILITIES (3.7%)
6,000 Cinergy Corp. .................... 144,750
3,000 GPU Inc. ......................... 89,812
3,000 GTE Corp. ........................ 211,687
------------
446,249
------------
TOTAL U.S. COMMON STOCK (90.1%)
(COST $8,357,797)................ $ 10,697,888
------------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
UNITED KINGDOM (4.6%)
COMMUNICATIONS (1.9%)
1,000 Cable & Wireless Pub Co. Ltd.
ADR.............................. $ 52,937
3,500 Vodafone Group PLC ADR............ 173,250
------------
226,187
------------
DRUGS (2.7%)
5,000 SmithKline Beecham PLC ADR CL A... 322,188
------------
TOTAL UNITED KINGDOM.............. 548,375
------------
NETHERLANDS (1.5%)
OIL, ENERGY & NATURAL GAS (1.5%)
3,000 Royal Dutch Pete Co. NY Reg.
1.25............................. 181,313
------------
TOTAL FOREIGN COMMON STOCK (6.1%)
(COST $483,597).................. $ 729,688
------------
TOTAL COMMON STOCK (96.2%) (COST
$8,841,394)...................... $ 11,427,576
------------
</TABLE>
(continued)
81
<PAGE> 83
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (3.8%)
$ 455,000 Firstar 1.000% 01/03/00 repurchase
price $455,037 collateralized by
GNMA certificates pool # 8375 due
02/20/24 (cost $455,000).......... $ 455,000
-----------
TOTAL REPURCHASE AGREEMENTS (3.8%)
(COST $455,000)................... $ 455,000
-----------
TOTAL HOLDINGS (100.0%) (COST
$9,296,394) (A)................... $11,882,576
-----------
LIABILITIES, NET OF CASH &
RECEIVABLES (0.0%)................ (752)
-----------
TOTAL NET ASSETS (100.0%).......... $11,881,824
===========
</TABLE>
- ---------------
(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.
82
<PAGE> 84
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $9,296,394).............. $11,882,576
Cash in bank.............................. 533
Dividends and accrued interest
receivable.............................. 18,464
-----------
Total assets............................ 11,901,573
-----------
Liabilities:
Payable for fund shares redeemed.......... 3,651
Payable for investment management services
(note 3)................................ 9,087
Other accrued expenses.................... 7,011
-----------
Total liabilities....................... 19,749
-----------
Net assets at market value.................. $11,881,824
===========
Net assets consist of:
Par value, $1 per share................... $ 743,411
Paid-in capital in excess of par value.... 8,731,876
Accumulated net realized loss on
investments (note 1).................... (179,592)
Net unrealized appreciation on investments
(note 1)................................ 2,586,182
Return of capital......................... (53)
-----------
Net assets at market value.................. $11,881,824
===========
Shares outstanding (note 4)................. 743,411
Net asset value per share................... $ 15.98
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 15,639
Dividends................................... 194,521
---------
Total investment income................... 210,160
---------
Expenses:
Management fees (note 3).................... 100,255
Custodian fees (note 3)..................... 4,819
Directors' fees (note 3).................... 350
Professional fees........................... 1,599
Accounting and transfer agent fees.......... 7,952
Other....................................... 2,443
---------
Total expenses............................ 117,418
---------
Net investment income..................... $ 92,742
---------
Realized and unrealized gain (loss) on
investments:
Net realized loss from investments.......... $(169,231)
Net increase in unrealized appreciation on
investments............................... 842,413
---------
Net gain on investments................... 673,182
---------
Net increase in net assets from
operations.............................. $ 765,924
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
83
<PAGE> 85
OHIO NATIONAL FUND, INC.
RELATIVE VALUE PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEARS ENDED
-------------------------
1999 1998
----------- -----------
<S> <C> <C>
From operations:
Net investment income..................................... $ 92,742 $ 105,388
Realized gain (loss) on investments....................... (169,231) 83,624
Unrealized appreciation on investments.................... 842,413 979,715
----------- -----------
Net increase in assets from operations................ 765,924 1,168,727
----------- -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (92,742) (105,730)
Capital gains distributions............................... 0 (91,539)
Return of capital......................................... (53) 0
----------- -----------
Total dividends and distributions..................... (92,795) (197,269)
----------- -----------
From capital share transactions (note 4):
Received from shares sold................................. 2,841,978 6,696,273
Received from dividends reinvested........................ 92,795 197,269
Paid for shares redeemed.................................. (1,735,051) (3,589,324)
----------- -----------
Increase in net assets derived from capital share
transactions......................................... 1,199,722 3,304,218
----------- -----------
Increase in net assets............................. 1,872,851 4,275,676
Net Assets:
Beginning of period....................................... 10,008,973 5,733,297
----------- -----------
End of period............................................. $11,881,824 $10,008,973
=========== ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEARS ENDED DECEMBER 31,
--------------------------------
1999 1998 1997
------ ------ ------
<S> <C> <C> <C>
Per share data:
Net asset value, beginning of period........................ $15.02 $12.68 $10.00
Income from investment operations:
Net investment income..................................... 0.13 0.15 0.16
Net realized and unrealized gain on investments........... 1.01 2.48 2.66
------ ------ ------
Total income from investment operations................. 1.14 2.63 2.82
------ ------ ------
Less distributions:
Dividends from net investment income...................... (0.18) (0.15) (0.14)
Distributions from net realized capital gains............. 0.00 (0.14) 0.00
------ ------ ------
Total distributions..................................... (0.18) (0.29) (0.14)
------ ------ ------
Net asset value, end of period.............................. $15.98 $15.02 $12.68
====== ====== ======
Total return................................................ 7.43% 20.72% 28.28%
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.06% 1.08% 1.18%
Ratio of net investment income to average net assets...... 0.84% 1.19% 1.35%
Portfolio turnover rate..................................... 9% 54% 7%
Net assets at end of period (millions)...................... $ 11.9 $ 10.0 $ 5.7
</TABLE>
The accompanying notes are an integral part of these financial statements.
84
<PAGE> 86
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
TOTAL RETURN:
One-Year 5.86%
Since inception (5/1/98) 5.19%
</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 great bull market of the 1990s rolled on in 1999 as the S&P 500 returned
21.0%. This was an unprecedented fifth consecutive year of 20+% returns for the
S&P 500. However, like 1998, the market's advance was narrow as a handful of
Technology stocks led the market. 1999 was an extremely difficult year for value
managers. Across the entire capitalization spectrum, growth stocks ruled on the
strength of the Technology sector. The Large-Cap Russell 1000 Growth Index
returned 33.1% while the Russell 1000 Value Index returned 7.3%, the Russell
Midcap Growth Index returned 51.2% while the Midcap Value Index returned -0.1%
and the Russell 2000 Growth Index returned 43.1% while Value Index returned
- -1.5%. Eleven stocks, nine of which were Technology related, provided two-thirds
of the S&P 500's return of 21.0%. The year-end run-up by Technology was
awe-inspiring. During the last 52 trading days of the year, the NASDAQ 100 Index
returned 57% and the Goldman Sachs Internet Index returned 63%. The market's
obsession with the Internet and the build-out of the Internet infrastructure has
created one of the most challenging market environments of the century. For
those companies which appear to be positioned correctly for the "new" economy,
valuation does not matter and no price is high enough to pay to participate. On
the other side of the ledger, there appears in the market no price low enough to
own those stocks which are out of favor. Over one-third of the stocks in the
Ohio National Blue Chip Portfolio are now trading at less than 11 times next
year's earnings. The S&P 500 currently trades at 30 times next year's earnings.
The Ohio National Blue Chip Portfolio returned 5.86% for the year,
underperforming our peer Lipper Multi-Cap Value Funds which returned 7.78%. The
fund's performance was impacted by an underweight in the Technology sector as
well as disappointing performances from a number of our Capital Goods and
Financial holdings. In those sectors our value disciplines led us to some of the
attractively valued second tier names which did not perform as well as the
ultra-large but less attractively valued leaders. We are obviously not pleased
with this year's performance but we maintain faith in the value disciplines
which have served us well over the long term -- identifying leading companies
which are temporarily out of favor and appear inexpensive relative to their
history relative to the market, as well as to their expected growth.
Our stock market outlook remains basically unchanged -- the market appears
overvalued by all traditional measures, but no visible catalyst is positioned to
change this. The recent parabolic run-up in the Technology and Internet areas of
the market definitely make us nervous as the speculation present in a large
portion of these names is unprecedented in our lifetimes. However, valuations
and fundamentals outside this area of the market seem reasonable and sustainable
given the healthy global economic environment as well as the muted inflationary
pressures in our own economy. In the financial and cyclical segments of the
market, valuations are extremely compelling, with many names trading between 7
and 11 times next year's earnings. Given the valuation disparities between the
"haves" and "have nots", combined with the speculative bubble which continues to
grow in the areas of the market mentioned above, we believe that there is a high
probability of the market rotating back towards more reasonably valued stocks
despite what happens to the market directionally. We believe that the Ohio
National Blue Chip Portfolio is well positioned if such a rotation were to
occur.
85
<PAGE> 87
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
BLUE CHIP PORTFOLIO (COMMENCED
OPERATIONS MAY 1, 1998) S&P 500 INDEX
------------------------------ -------------
<S> <C> <C>
'5/98' 10000.00 10000.00
'6/98' 10024.00 10143.00
'12/98' 10254.50 11079.20
'6/99' 11456.40 12450.80
'12/99' 10860.60 13410.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Sun Microsystems Inc 2.75
2. GTE Corporation 1.92
3. Motorola Inc 1.85
4. U.S. West Inc 1.81
5. A T & T CORP 1.80
6. Kimberly-Clark Corp 1.77
7. First Data Corp 1.75
8. Exxon Mobil Corp 1.68
9. Novell Inc 1.66
10. Viacom Inc Cl A 1.64
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 12.28
2. Oil, Energy, and Natural Gas 6.57
3. Consumer Products 6.37
4. Financial Services 5.58
5. Insurance Services 5.46
</TABLE>
86
<PAGE> 88
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (2.7%)
1,600 Boeing Company........................ $ 66,500
1,100 Honeywell Intl. Inc. ................. 63,456
----------
129,956
----------
AUTOMOTIVE & RELATED (3.2%)
889 Delphi Automotive Systems............. 14,002
900 Ford Motor Co. ....................... 48,094
700 General Motors Corp. ................. 50,881
700 Johnson Controls Inc. ................ 39,812
----------
152,789
----------
BANKING (2.9%)
1,000 Bank of America Corp. ................ 50,188
1,200 First Union Corp. .................... 39,375
1,900 Washington Mutual Inc. ............... 49,400
----------
138,963
----------
BROADCAST RADIO & TV (1.6%)
1,215 *CBS Corp. ........................... 77,684
----------
BUSINESS SERVICES (1.8%)
1,700 First Data Corp. ..................... 83,831
----------
COMMUNICATIONS (4.6%)
600 Motorola Inc. ........................ 88,350
900 SBC Communications Inc. .............. 43,875
1,200 U.S. West Inc. ....................... 86,400
----------
218,625
----------
COMPUTER & RELATED (12.3%)
800 *Computer Sciences Corp. ............. 75,700
1,100 Electronic Data Systems Corp. ........ 73,631
700 Intl. Business Machines Co. .......... 75,600
2,000 *Novell Inc. ......................... 79,625
1,300 *Seagate Technology Inc. ............. 60,531
2,500 *Storage Technology Corp. ............ 46,094
1,700 *Sun Microsystems Inc. ............... 131,644
1,400 *Unisys Corp. ........................ 44,712
----------
587,537
----------
CONSUMER PRODUCTS (6.4%)
1,200 Deere & Co. .......................... 52,050
600 Eastman Kodak Co. .................... 39,750
1,300 Kimberly-Clark Corp. ................. 84,825
800 Liz Claiborne Inc. ................... 30,100
1,400 Phillip Morris Co. Inc. .............. 32,462
2,600 UST Inc. ............................. 65,488
----------
304,675
----------
CONTAINERS (0.4%)
2,000 *Pactiv Corp. ........................ 21,250
----------
DRUGS (3.3%)
1,300 Abbott Laboratories................... 47,206
700 Merck & Co. Inc. ..................... 46,944
1,400 Pharmacia & Upjohn Inc. .............. 63,000
----------
157,150
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ELECTRICAL EQUIPMENT (2.6%)
800 FPL Group Inc. ....................... $ 34,250
1,300 Peco Energy Co. ...................... 45,175
2,000 Reliant Energy Inc. .................. 45,750
----------
125,175
----------
ENTERTAINMENT & LEISURE (2.0%)
800 Brunswick Corp. ...................... 17,800
1,300 *Viacom Inc. CL A..................... 78,569
----------
96,369
----------
FINANCIAL SERVICES (5.6%)
1,302 Bear Stearns Co. Inc. ................ 55,661
3,000 CIT Group Inc. CL A................... 63,375
700 CIGNA Corp. .......................... 56,394
1,000 H & R Block Inc. ..................... 43,750
900 MBIA Inc. ............................ 47,531
----------
266,711
----------
FOOD & RELATED (3.7%)
700 Anheuser Busch Co. Inc. .............. 49,613
1,800 Corn Products Intl. Inc. ............. 58,950
1,500 Nabisco Group Holdings................ 15,937
2,400 *Sara Lee Corp. ...................... 52,950
----------
177,450
----------
INDUSTRIAL SERVICES (3.7%)
2,600 Archer-Daniels Midland Co. ........... 31,688
700 *Lexmark Intl. Group CL A............. 63,350
1,100 Nucor Corp. .......................... 60,294
1,352 Waste Management Inc. ................ 23,237
----------
178,569
----------
INSURANCE SERVICES (5.5%)
1,400 Allstate Corp. ....................... 33,600
4,124 Conseco Inc. ......................... 73,717
1,200 Lincoln National Corp. ............... 48,000
800 Loews Corp. .......................... 48,550
600 Marsh & McLennan Co. Inc. ............ 57,412
----------
261,279
----------
MACHINERY (1.0%)
900 Ingersoll-Rand Co. ................... 49,556
----------
MANUFACTURING (4.9%)
800 PPG Industries Inc. .................. 50,050
1,300 Parker Hannifin Corp. ................ 66,706
800 Textron Inc. ......................... 61,350
1,466 Tyco International Ltd. .............. 56,991
----------
235,097
----------
MEDIA & PUBLISHING (1.0%)
800 Knight Ridder Inc. ................... 47,600
----------
</TABLE>
(continued)
87
<PAGE> 89
OHIO NATIONAL FUND, INC.
BLUE CHIP PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES U.S. COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
MEDICAL & RELATED (4.5%)
900 Baxter International Inc. ............ $ 56,531
800 Bristol-Myers Squibb Co. ............. 51,350
4,200 Healthsouth Corp. .................... 22,575
2,000 *Oxford Health Plans Inc. ............ 25,375
1,100 United Healthcare Corp. .............. 58,438
----------
214,269
----------
OIL, ENERGY & NATURAL GAS (5.4%)
1,200 Ashland Inc. ......................... 39,525
1,000 Diamond Offshore Drilling............. 30,563
996 Exxon Mobil Corp. .................... 80,240
900 Schlumberger Ltd. .................... 50,625
1,000 Sunoco Inc. .......................... 23,500
174 Transocean Sedco Forex Inc. .......... 5,882
1,200 USX-Marathon Group.................... 29,625
----------
259,960
----------
RESTAURANTS (0.7%)
800 *Tricon Global Restaurants Inc. ...... 30,900
----------
RETAIL (4.0%)
700 Federated Department Stores........... 35,394
2,300 *K Mart Corp. ........................ 23,144
1,600 Sherwin-Williams Co. ................. 33,600
3,000 *Toys 'R' Us Inc. .................... 42,937
800 Wal-Mart Stores Inc. ................. 55,300
----------
190,375
----------
RUBBER-TIRES (0.4%)
1,200 Cooper Tire & Rubber.................. 18,675
----------
TELECOMMUNICATIONS & CELLULAR (2.9%)
1,700 AT&T Corp. ........................... 86,275
1,100 Bellsouth Corp. ...................... 51,494
----------
137,769
----------
TRANSPORTATION & EQUIPMENT (0.9%)
1,000 Union Pacific Corp. .................. 43,625
----------
TRAVEL & VACATIONS (0.8%)
1,300 Galileo International Inc. ........... 38,918
----------
UTILITIES (4.2%)
1,600 Entergy Corp. ........................ 41,200
1,300 GTE Corp. ............................ 91,731
1,300 PG&E Corp. ........................... 26,650
1,200 Public Service Enterprises Group 41,775
----------
201,356
----------
TOTAL U.S. COMMON STOCK (93.0%) (COST
$4,304,341).......................... $4,446,113
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
NETHERLANDS (2.7%)
ELECTRICAL EQUIPMENT (1.6%)
568 Philips Electronics................... $ 76,680
OIL, ENERGY & NATURAL GAS (1.1%)
900 Royal Dutch Petroleum Co. ADR 54,394
----------
TOTAL NETHERLANDS..................... 131,074
----------
TOTAL FOREIGN COMMON STOCK (2.7%)
(COST $97,513) $ 131,074
----------
TOTAL COMMON STOCK (95.7%) (COST
$4,401,854).......................... $4,577,187
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES FOREIGN PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AUSTRALIA (1.6%)
MEDIA & PUBLISHING
2,300 News Corp. Ltd. ADR................... $ 76,906
----------
TOTAL FOREIGN PREFERRED STOCK (1.6%)
(COST $56,441)....................... $ 76,906
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (4.3%)
$206,000 Firstar 1.00% due 01/03/00 repurchase
price $206,017 collateralized by GNMA
certificates pool # 8375 due 02/20/24
(cost $206,000) $ 206,000
----------
TOTAL REPURCHASE AGREEMENTS (4.3%)
(COST $206,000)...................... $ 206,000
----------
TOTAL HOLDINGS (101.6%) (COST
$4,664,295) (A) $4,860,093
----------
LIABILITIES, NET OF CASH & RECEIVABLES
(-1.6%).............................. (76,119)
----------
TOTAL NET ASSETS (100.0%)............. $4,783,974
==========
</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 for
federal income tax purposes. See Note 1.
The accompanying notes are an integral part of these financial statements.
88
<PAGE> 90
OHIO NATIONAL FUND, INC
BLUE CHIP PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $4,664,295)............... $4,860,093
Cash in bank............................... 866
Receivable for securities sold............. 2,025
Receivable for fund shares sold............ 33
Dividends and accrued interest
receivable............................... 5,668
----------
Total assets............................. 4,868,685
----------
Liabilities:
Payable for fund shares redeemed........... 72,050
Payable for investment management services
(note 3)................................. 3,533
Other accrued expenses..................... 9,128
----------
Total liabilities........................ 84,711
----------
Net assets at market value................... $4,783,974
==========
Net assets consist of:
Par value, $1 per share.................... $ 448,944
Paid-in capital in excess of par value..... 4,128,142
Accumulated net realized gain on
investments (note 1)..................... 11,077
Net unrealized appreciation on investments
(note 1)................................. 195,798
Undistributed net investment income........ 13
----------
Net assets at market value................... $4,783,974
==========
Shares outstanding (note 4).................. 448,944
Net asset value per share.................... $ 10.66
==========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest..................................... $ 5,941
Dividends.................................... 64,604
--------
Total investment income.................... 70,545
--------
Expenses:
Management fees (note 3)..................... 33,744
Custodian fees (note 3)...................... 4,793
Directors' fees (note 3)..................... 347
Professional fees............................ 1,494
Accounting and transfer agent fees........... 8,122
Other........................................ 2,084
--------
Total expenses............................. 50,584
--------
Net investment income...................... $ 19,961
--------
Realized and unrealized gain on investments:
Net realized gain from investments........... $ 82,632
Net increase in unrealized appreciation on
investments................................ 85,697
--------
Net gain on investments.................... 168,329
--------
Net increase in net assets from
operations............................... $188,290
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
89
<PAGE> 91
OHIO NATIONAL FUND, INC
BLUE CHIP PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
----------- -----------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 19,961 $ 3,914
Realized gain (loss) on investments....................... 82,632 (18,271)
Unrealized appreciation on investments.................... 85,697 110,101
----------- ----------
Net increase in net assets from operations............ 188,290 95,744
----------- ----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (19,948) (4,115)
Capital gains distributions............................... (53,285) 0
----------- ----------
Total dividends and distributions..................... (73,233) (4,115)
----------- ----------
From capital share transactions (note 4):
Received from shares sold................................. 3,047,439 2,842,759
Received from dividends reinvested........................ 73,233 4,115
Paid for shares redeemed.................................. (1,330,868) (59,390)
----------- ----------
Increase in net assets derived from capital share
transactions......................................... 1,789,804 2,787,484
----------- ----------
Increase in net assets............................. 1,904,861 2,879,113
----------- ----------
Net Assets:
Beginning of period....................................... 2,879,113 0
----------- ----------
End of period............................................. $ 4,783,974 $2,879,113
=========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
----------- -----------------
<S> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 10.22 $ 10.00
Income from investment operations:
Net investment income..................................... 0.05 0.00
Net realized and unrealized gain on investments........... 0.56 0.23
----------- ----------
Total income from investment operations................. 0.61 0.23
----------- ----------
Less distributions:
Dividends from net investment income...................... (0.05) (0.01)
Distributions from net realized capital gains............. (0.12) 0.00
----------- ----------
Total distributions................................... (0.17) (0.01)
----------- ----------
Net asset value, end of period.............................. $ 10.66 $ 10.22
=========== ==========
Total return................................................ 5.86% 2.34%(b)
Ratios and supplemental data:
Ratios net of fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.35% 1.84%(a,c)
Ratio of net investment income to average net assets.... 0.53% 0.25%(a,c)
Ratios assuming no fees reimbursed by advisor:
Ratios of expenses to average net assets................ 1.35% 2.26%(a,c)
Portfolio turnover rate..................................... 29% 32%
Net assets at end of period (millions)...................... $ 4.8 $ 2.9
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated since inception, May 1, 1998. (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.
90
<PAGE> 92
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
TOTAL RETURN:
One Year 18.58%
Since inception (5/1/98) 15.50%
</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
After a third quarter correction which began in mid-July and ended in
mid-October, the market enjoyed a very strong performance to complete the year.
Including a rise of 14.5% in the fourth quarter, the S&P 500 has just completed
its fifth consecutive year of 20%+ gains. Much like last year, however, this
remarkable performance was attributed to a relatively small number of stocks.
Merrill Lynch reports that just 15 companies provided 100% of the S&P 500's
return in 1999. Nearly 60% of the stocks in the Index had negative returns for
the year. It was also the second consecutive year in which "growth" stocks
dramatically outperformed "value" stocks. According to Ned Davis Research, Inc.,
large-capitalization growth stocks outperformed large-capitalization value
stocks by 25.9% in 1999.
Your Ohio National Equity Income Portfolio had an outstanding year, returning
18.58% compared to the 3.34% return of the average equity income fund, as
reported by Lipper Analytical Services.
This performance has been achieved by consistently choosing market-leading
companies within a strategy of sector weightings similar to that of the S&P 500.
During the late summer/early fall stock market correction, the Ohio National
Equity Income Portfolio outperformed the S&P 500 with it's conservative
strategy. Income is achieved through the use of convertible bonds and preferred
stocks; further, approximately 30% of the fund's holdings is in common stocks
which have raised their dividends in at least each of the last ten years.
The U.S. economy continues to be very strong and international economies are
improving. Such strength has led to inflation fears, as reflected in the rising
yield on the 30-year Treasury bond. The Federal Reserve is expected to increase
short-term interest rates early in the new year, in an effort to cool the
economy and prevent inflation. A "soft landing" with continued low inflation
could allow this longest bull market on record to continue into the new
millennium.
CHANGE IN VALUE OF $10,000 INVESTMENT
[EQUITY INCOME PORTFOLIO]
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO (COMMENCED
OPERATIONS MAY 1, 1998) S&P 500 INDEX
---------------------------------- -------------
<S> <C> <C>
5/98 10000.00 10000.00
6/98 9993.00 10143.00
12/98 10549.60 11079.20
'6/99' 11642.50 12450.80
'12/99' 12516.90 13410.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. EMC Corp. Cnv Bond 3.25%
3/15/02 3.31
2. Motorola Inc 3.03
3. Vertias Software Corp Conv
1.856% 8/13/06 2.77
4. Exxon Mobil 2.51
5. Sun Microsystems Inc 2.48
6. General Electric Co 2.12
7. The Home Depot, Inc., Sub. Note
3.25% 10/01/01 2.00
8. International Business Machines
Corporation 1.98
9. Morgan Stanley 1.96
10. America Online Conv 4.0%
11/15/02 1.84
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer & Related 17.26
2. Communications 12.24
3. Electrical Equipment 5.55
4. Drugs 5.11
5. Finance 4.95
</TABLE>
91
<PAGE> 93
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
AEROSPACE (1.0%)
600 Textron Inc. ......................... $ 46,013
----------
APPLIANCES (0.6%)
400 Whirlpool Corp. ...................... 26,025
----------
AUTOMOTIVE & RELATED (2.1%)
1,300 Cooper Tire and Rubber Co. ........... 20,231
1,300 Ford Motor Co. ....................... 69,469
----------
89,700
----------
BANKING (3.5%)
700 Bank of America Corp. ................ 35,131
600 Chase Manhattan Corp. ................ 46,613
900 First Union Corp. .................... 29,531
1,200 Mellon Financial Corp. ............... 40,875
----------
152,150
----------
BROADCAST RADIO & TV (0.6%)
500 *AT&T Corp.-Liberty Media-A........... 28,375
----------
CHEMICALS (1.6%)
1,092 Duponte (EI) DE Nemours & Co. ........ 71,936
----------
COMMUNICATIONS (10.4%)
900 AT&T Corp. ........................... 45,675
800 *Decs Trust VI 37,200
900 GTE Corp. ............................ 63,506
1,195 *MCI Worldcom Inc. ................... 63,436
900 Motorola Inc. ........................ 132,525
600 Sprint Corp. ......................... 40,388
1,100 *Tellabs Inc. ........................ 70,606
----------
453,336
----------
COMPUTER & RELATED (8.5%)
627 *Apple Computer Inc. ................. 64,463
700 Amdocs Automatic...................... 22,487
400 *Cisco Systems Inc. .................. 42,850
800 Intl. Business Machines Corp. ........ 86,400
500 *Lexmark Intl. Group Inc. CL A........ 45,250
1,400 *Sun Microsystems Inc. ............... 108,413
----------
369,863
----------
CONSUMER PRODUCTS (4.2%)
700 Johnson & Johnson..................... 65,188
1,000 Kimberly Clark Corp. ................. 65,250
500 Procter & Gamble Co................... 54,781
----------
185,219
----------
DRUGS (5.1%)
1,400... Abbott Laboratories................... 50,837
1,000 Bristol-Myers Squibb Co. ............. 64,188
1,000 Pharmacia & Upjohn Inc. .............. 45,000
1,500 Schering-Plough Corp. ................ 63,281
----------
223,306
----------
ELECTRICAL EQUIPMENT (4.0%)
700 Emerson Electric Co. ................. 40,163
600 General Electric Co. ................. 92,850
500 Intel Corp. .......................... 41,156
----------
174,169
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ENTERTAINMENT LEISURE (1.2%)
1,800 Walt Disney Co. ...................... $ 52,650
----------
FINANCIAL SERVICES (5.0%)
200 Chubb Corp. .......................... 11,263
500 Citigroup Inc. ....................... 27,781
900 Freddie Mac Federal Home Loan......... 42,356
200 Lincoln National...................... 8,000
500 Merrill Lynch & Co. .................. 41,750
600 Morgan Stanley Dean Witter............ 85,650
----------
216,800
----------
FOOD & RELATED (3.3%)
1,700 General Mills Inc. ................... 60,775
1,000 HJ Heinz Co. ......................... 39,813
1,200 PepsiCo Inc. ......................... 42,300
----------
142,888
----------
FOREIGN (1.2%)
900 British Petro-Amoco ADR............... 53,381
----------
INSURANCE SERVICES (3.1%)
700 Allstate Corp. ....................... 16,800
1,300 Citigroup Inc. ....................... 72,231
500 Marsh & McLennan Co. Inc. ............ 47,844
----------
136,875
----------
MACHINERY (0.5%)
400 Ingersoll-Rand Co. ................... 22,025
MEDICAL & RELATED (2.3%)
700 Baxter International Inc. ............ 43,969
700 Warner-Lambert........................ 57,356
----------
101,325
----------
OFFICE EQUIPMENT (1.4%)
1,300 Pitney Bowes Inc...................... 62,806
----------
OIL, ENERGY & NATURAL GAS (4.5%)
500 Chevron Corp. ........................ 43,312
1,713 Conoco Inc. CL B...................... 42,611
1,360 Exxon Mobil Corp. .................... 109,565
----------
195,488
----------
PUBLISHING & NEWSPAPERS (1.5%)
1,300 New York Times Co. CL A............... 63,862
----------
REAL ESTATE INVESTMENT TRUST (0.4%)
400 Post Properties Inc. ................. 15,300
----------
RETAIL (2.9%)
1,276 Home Depot Inc. ...................... 87,520
2,000 TJX Cos. Inc. ........................ 40,875
----------
128,395
----------
UTILITIES (2.8%)
1,600 Enron Corp. .......................... 71,000
1,052 SBC Communications Inc. .............. 51,285
----------
122,285
----------
TOTAL COMMON STOCK (71.7%)
(COST $2,691,244) $3,134,172
----------
</TABLE>
(continued)
92
<PAGE> 94
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCKS VALUE
- -------------------------------------------------------------
<C> <S> <C>
BROADCAST RADIO & TV (1.1%)
400 Cox Communications Inc. Conv. Prides
$8.75................................ $ 27,200
200 Cox Communications Conv. Sprint PCS
$7.75................................ 19,450
----------
46,650
----------
CHEMICALS (1.2%)
1,600 Monsanto Co. Conv. $2.60.............. 53,000
----------
COMMUNICATIONS (1.6%)
200 Nextlink Communications Conv. ........ 38,375
300 Sprint PCS Conv. ..................... 29,944
----------
68,319
----------
COMPUTER & RELATED (1.4%)
600 PSINet Inc. Conv. C................... 35,025
500 Verio Inc. Conv. (144A)............... 28,250
----------
63,275
----------
CONSUMER PRODUCTS (0.4%)
500 Ralston Purina Co. 7% Conv. .......... 18,281
----------
CONTAINERS (0.8%)
1,800 Crown Cork & Seal Conv. .............. 37,350
----------
FOOD & RELATED (0.6%)
300 Suiza Foods Corp. $2.75............... 10,350
400 Suiza Foods Corp. Conv. (144A)........ 13,700
----------
24,050
----------
INSURANCE SERVICES (1.3%)
200 Jefferson Pilot 5.25% Conv. .......... 16,750
600 Lincoln Natl. Corp. Prides $1.94...... 13,200
1,200 Conseco Inc. Prides Series F.......... 28,050
----------
58,000
----------
MACHINERY (0.9%)
1,500 Ingersoll Rand Co. 6.75% Conv. ....... 38,250
----------
TRANSPORTATION & EQUIPMENT (0.8%)
800 Union Pacific Cibv.................... 33,300
----------
UTILITIES (0.9%)
900 Texas Utilities Co. Prides $4.62...... 39,263
----------
TOTAL PREFERRED STOCKS
(11.0%) (COST $539,488) $ 479,738
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES CONVERTIBLE DEBENTURES VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMMUNICATIONS (2.7%)
7,000 America On-line 4.000% 11/15/02....... $ 80,509
5,000 Exodus Communications I 5.000%
03/15/06............................. 38,925
----------
119,434
----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES CONVERTIBLE DEBENTURES VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMPUTER & RELATED (8.5%)
70,000 Citrix Systems Inc. Reg. Shares zero
coupon contracts due 03/22/19........ $ 62,125
50,000 Citrix Systems Inc. (144A) zero coupon
contracts due 03/22/19............... 44,375
15,000 EMC Corp. 3.250% due 03/15/02......... 144,863
45,000 Vertias Software Corp. 1.856%
08/13/06............................. 121,331
----------
372,694
----------
ELECTRONICS/SEMICONDUCTORS (1.6%)
20,000 ASM Lithography (144A) 4.250%
11/30/04............................. 23,125
15,000 LSI Logic Corp. (144A) 4.250%
03/15/04............................. 34,069
5,000 LSI Logic Corp. 4.250% 03/15/04....... 11,356
----------
68,550
----------
INDUSTRIAL SERVICES (0.8%)
5,000 Omnicom Group Inc. 4.250% 01/03/07.... 15,925
10,000 Omnicom Group Inc. 2.250% 01/06/13.... 20,462
----------
36,387
----------
MEDIA & PUBLISHING (0.6%)
20,000 Liberty Media Group (144A) 4.000%
11/15/29............................. 25,200
----------
TOTAL CONVERTIBLE DEBENTURES
(14.2%) (COST $294,944) $ 622,265
----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
FINANCIAL (3.8%)
$166,000 Firstar 1.000% 01/03/00 repurchase
price $166,014 collateralized by GNMA
certificates pool #8375 due 02/20/24
(cost $166,000)...................... $ 166,000
----------
TOTAL REPURCHASE AGREEMENTS
(3.8%) (COST $166,000)............... $ 166,000
----------
TOTAL HOLDINGS (100.7%)
(COST $3,691,676)(a)................. $4,402,175
----------
LIABILITIES, NET OF CASH &
RECEIVABLES (-0.7%).................. (28,500)
----------
TOTAL NET ASSETS (100.0%)............. $4,373,675
==========
</TABLE>
- ---------------
* Non-income producing securities.
(a) Represents cost for financial reporting and federal income tax 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 $168,719 or 3.9% 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.
93
<PAGE> 95
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $3,691,676)............... $4,402,175
Cash in bank............................... 602
Dividends and accrued interest
receivable............................... 4,723
----------
Total assets............................. 4,407,500
----------
Liabilities:
Payable for securities purchased........... 10,925
Payable for fund shares redeemed........... 11,409
Payable for investment management services
(note 3)................................. 2,620
Other accrued expenses..................... 8,871
----------
Total liabilities........................ 33,825
----------
Net assets at market value................... $4,373,675
==========
Net assets consist of:
Par value, $1 per share.................... $ 353,422
Paid-in capital in excess of par value..... 3,386,029
Accumulated net realized loss on
investments (note 1)..................... (76,309)
Net unrealized appreciation on investments
(note 1)................................. 710,499
Undistributed net investment income........ 34
----------
Net assets at market value................... $4,373,675
==========
Shares outstanding (note 4).................. 353,422
Net asset value per share.................... $ 12.38
==========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 7,419
Dividends................................... 64,001
--------
Total investment income................... 71,420
--------
Expenses:
Management fees (note 3).................... 22,667
Custodian fees (note 3)..................... 4,767
Directors' fees (note 3).................... 345
Professional fees........................... 1,485
Accounting and transfer agent fees.......... 7,842
Other....................................... 2,074
--------
Total expenses............................ 39,180
--------
Net investment income..................... $ 32,240
--------
Realized and unrealized gain (loss) on
investments:
Net realized loss from investments.......... $(70,596)
Net increase in unrealized appreciation on
investments............................... 592,478
--------
Net gain on investments................... 521,882
--------
Net increase in net assets from
operations.............................. $554,122
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
94
<PAGE> 96
OHIO NATIONAL FUND, INC.
EQUITY INCOME PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
----------- -----------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 32,240 $ 13,678
Realized loss on investments.............................. (70,596) (5,714)
Unrealized appreciation on investments.................... 592,478 118,021
----------- ----------
Net increase in net assets from operations............ 554,122 125,985
----------- ----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (32,206) (13,781)
----------- ----------
From capital share transactions (note 4):
Received from shares sold................................. 2,198,205 2,160,574
Received from dividends reinvested........................ 32,206 13,781
Paid for shares redeemed.................................. (598,466) (66,745)
----------- ----------
Increase in net assets derived from capital share
transactions......................................... 1,631,945 2,107,610
----------- ----------
Increase in net assets............................. 2,153,861 2,219,814
Net Assets:
Beginning of period....................................... 2,219,814 0
----------- ----------
End of period............................................. $ 4,373,675 $2,219,814
=========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
----------- -----------------
<S> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 10.53 $ 10.00
Income from investment operations:
Net investment income..................................... 0.11 0.07
Net realized and unrealized gain on investments........... 1.85 0.53
----------- ----------
Total income from investment operations................. 1.96 0.60
----------- ----------
Less distributions:
Dividends from net investment income...................... (0.11) (0.07)
----------- ----------
Net asset value, end of period.............................. $ 12.38 $ 10.53
=========== ==========
Total return................................................ 18.58% 5.92%(b)
Ratios and supplemental data:
Ratios net of fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.28% 1.77%(a,c)
Ratio of net investment income to average net assets.... 1.05% 1.04%(a,c)
Ratios assuming no fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.28% 2.41%(a,c)
Portfolio turnover rate..................................... 50% 38%
Net assets at end of period (millions)...................... $ 4.4 $ 2.2
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated since inception, May 1, 1998, (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.
95
<PAGE> 97
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 DECEMBER 31, 1999
TOTAL RETURNS:
<TABLE>
<S> <C>
One-year 1.95%
Since inception (5/1/98) 1.10%
</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
High yield bonds generated attractive relative returns in 1999 although absolute
returns were tempered by the general rise in interest rates and increasing
default rates. The spread between the First Boston High Yield Index and US
Treasury securities narrowed approximately 75 basis points as 1998's emerging
market problems did not dampen domestic economic growth in 1999. In fact, strong
economic growth and the resilience of emerging market economies were the primary
drivers in the roughly 175 basis point rise in the yield on 10-year Treasuries,
which dampened the performance of most fixed income securities. Default rates,
which reached their highest level since 1991, also negatively impacted returns
for high yield securities. The rise in default rates, despite a strong economy,
was the result of 1998's decline in energy prices which impacted many energy
companies in early 1999, and the high level of issuance in the 1996-1998 time
period. Historically, there is a correlation between periods of heavy issuance
and defaults on a lagged basis. For the year as a whole, spread tightening
coupled with the higher coupon returns available on high yield securities more
than offset the increase in default losses as the Lehman Brothers High Yield
Bond Index returned 2.39%, outperforming the Lehman Brothers Aggregate Bond
Index, a measure of high quality bond performance, which returned -0.82%.
The fund (adjusted for expenses) outperformed the Lehman Brothers High Yield
Bond Index in 1999. The fund's overweight in the telecommunication sector
positively impacted performance. Strong performers would include Telesystem
International, Triton PCS, Nextel, Teligent and Millicom. The fund's overweight
in cable TV and broadcasting also aided performance. The fund also had a much
lower default rate than the approximately 4% rate for the market as a whole.
Merger and acquisition activity positively impacted total returns as companies
such as Fox Liberty Media and Metronet engaged in transactions which benefited
bondholders. On the negative side, the fund's underweight in energy hurt
performance given the strong rebound in oil prices. Also, positions in Paging
Network, Ameriserve, Pillowtex, Dialog and Revlon negatively impacted
performance based on disappointing financial performance.
Looking into 2000, we believe that strong economic growth worldwide, coupled
with attractive yield spreads, will lead to good relative performance for high
yield bonds. However, possible Fed rate increases to slow the domestic economy
may temper absolute returns. We believe default rates, which increased in 1999
to their highest level in 8 years, will remain above average for the next few
quarters. However, given the high percentage of securities currently trading at
distressed levels, the performance impact of these defaults have, to some
degree, already been felt.
From a portfolio perspective, we continue to like the telecommunications sector
as strong operating gains and consolidation activity provide opportunities for
strong relative returns. We also think that cable TV plant upgrades in both the
US and western Europe will lead to strong performance by fund holdings in
companies such as UPC/United Pan European, NTL and Charter Communications. We
also believe that specific fund holdings in healthcare and chemicals, which
underperformed in 1999, are poised to rebound in 2000.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
HIGH INCOME BOND PORTFOLIO
(COMMENCED OPERATIONS MAY 1, 1998) MERRILL LYNCH HIGH-YIELD BOND INDEX
---------------------------------- -----------------------------------
<S> <C> <C>
5/98 10000.00 10000.00
6/98 10090.00 10118.00
12/98 9958.83 10036.00
6/99 10172.00 10312.00
12/99 10157.70 10312.00
</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.
96
<PAGE> 98
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
TOP 10 HOLDINGS AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Chancellor Media Corp. 8.125%
12/15/07 2.39
2. Tenet Healthcare Corporation,
Sr Sub 144a 8.125% 12/01/08 1.89
3. NTL Incorporated, Sr Deferred
0% Coupon until 4/1/03 then
9.75% 4/1/08 1.82
4. Premier Parks, Inc. 0% Coupon
until 4/1/03 then 10.00% 4/1/08 1.79
5. Level 3 Communications, Inc.,
Sr Note 9.125% 5/01/08 1.70
6. Polymer Group, Inc. 8.75%
3/1/08 1.53
7. Sinclair Broadcast Group, Inc.
8.75% 12/15/07 1.48
8. McLeodusa Inc. 0% Cpn until
3/1/02 then 10.50% 3/1/07 1.47
9. Intermedia Communication Sr
Note 8.60% 6/1/08 1.47
10. Allied Waste North Ameri Sr
Note Series 7 7.625% 11/1/06 1.44
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
Telecommunications &
1. Cellular 25.09
2. Broadcast Radio & TV 9.04
3. Cable Television 8.13
4. Consumer Products 6.23
5. Medical & Related 6.14
</TABLE>
97
<PAGE> 99
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
ADVERTISING (0.4%)
$ 50,000 Lamar Advertising Co. 8.625%
09/15/07............................ $ 49,250
-----------
AEROSPACE (0.7%)
50,000 Anteon Corp. 12.000% 05/15/09........ 46,750
50,000 Fairchild Corp. 10.750% 04/15/09..... 42,750
-----------
89,500
-----------
AUTOMOTIVE & RELATED (2.8%)
50,000 Aftermarket Technology Series D
12.000% 08/01/04.................... 50,375
100,000 American Axle & Manufacture 9.750%
03/01/09............................ 101,250
50,000 Collins & Aikman Products 11.500%
04/15/06............................ 49,750
50,000 HDA Parts System Inc. 12.00%
08/01/05............................ 45,750
50,000 J.L. French Automotive C 11.500%
06/01/09 (144A)..................... 51,375
50,000 Transportation Mfg. Operation 11.250%
05/01/09............................ 51,500
-----------
350,000
-----------
BANKING (0.4%)
50,000 GS Escrow Corp. 7.125% 08/01/05...... 45,384
-----------
BROADCAST RADIO & TV (9.0%)
100,000 ACME Television 10.875% 09/30/04..... 90,500
50,000 *Big City Radio Inc. due 03/15/05 0%
till 3/15/01 then 11.250%........... 32,500
300,000 Chancellor Media Corp. 8.125%
12/15/07............................ 301,875
100,000 Chancellor Media Corp. 9.000%
10/01/08............................ 104,500
150,000 Echostar DBS Corp. 9.375% 02/01/09... 151,875
150,000 *Fox/Liberty Networks LLC due
08/15/07 0% till 08/01/02 then
9.750%.............................. 121,500
50,000 Orion Network Systems 11.250%
01/15/07............................ 37,750
200,000 Sinclair Broadcast Group 8.750%
12/15/07............................ 187,000
175,000 *United Intl. Holdings Series B due
02/15/08 0% till 02/15/03 then
10.750%............................. 112,875
-----------
1,140,375
-----------
BUILDING & CONSTRUCTION (0.7%)
50,000 Formica Corp. 10.875% 03/01/09....... 46,000
50,000 Juno Lighting Inc. 11.875%
07/01/09............................ 46,750
-----------
92,750
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
BUSINESS SERVICES (3.1%)
$ 50,000 Buhrmann US Inc 12.250% 11/01/09
(144A).............................. $ 52,250
75,000 Dialog Corp. PLC 11.000% 11/15/07.... 36,375
100,000 Fisher Scientific Intl. 9.000%
02/01/08............................ 96,250
100,000 Sitel Corp. NT 9.250% 03/15/06....... 94,625
50,000 URS Corp. 12.250% 05/01/09 (144A).... 52,625
100,000 US Office Products Co. 9.750%
06/15/08............................ 52,500
-----------
384,625
-----------
CABLE TV (9.3%)
175,000 CSC Holdings Inc. 9.250% 11/01/05.... 179,813
100,000 *Charter Communications H due
04/01/11 0% till 04/01/04 then
9.920%.............................. 59,125
125,000 *Diamond Cable Comm. PLC due 02/15/07
0% till 02/15/02 then 10.750%....... 103,125
100,000 Lenfest Communication 8.375%
11/01/05............................ 102,500
325,000 *NTL Inc. due 04/01/08 0% till
04/01/03 then 9.750%................ 229,125
75,000 *NTL Inc. due 10/01/08 0% till
10/01/03 then 12.375%............... 53,063
100,000 Pegasus Communication Series B 9.625%
10/15/05............................ 101,500
50,000 *RCN Corp. Ser. B due 02/15/08 0%
till 02/15/03 then 9.800%........... 32,875
175,000 *Telewest Communication PLC due
10/01/07 0% till 10/01/00 then
11.000%............................. 164,500
200,000 *United Pan-Europe Communications due
08/01/09 0% till 08/01/04 then
12.500%............................. 114,000
50,000 *United Pan-Europe Communications due
11/01/09 0% till 11/01/04 then
13.375% (144A)...................... 28,750
-----------
1,168,376
-----------
CHEMICALS (5.4%)
50,000 General Chemical Ind. Products
10.625% 05/01/09.................... 49,750
50,000 Georgia Gulf Corp. 10.375% 11/01/07
(144A).............................. 52,437
50,000 Huntsman Corp. 9.500% 07/01/07
(144A).............................. 47,750
50,000 Huntsman ICI Chemicals 10.125%
07/01/09 (144A)..................... 51,500
150,000 Lyondell Chemical Co. 10.875%
05/01/09............................ 159,000
200,000 Polymer Group Inc. 8.750% 03/01/08... 193,000
50,000 Sterling Chemicals Inc. 11.750%
08/15/06............................ 37,750
</TABLE>
(continued)
98
<PAGE> 100
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
CHEMICALS (CONTINUED)
$ 50,000 Texas Petrochemicals Corp. 11.125%
07/01/06............................ $ 43,750
50,000 United Industries Corp. 9.875%
04/01/09............................ 46,000
-----------
680,937
-----------
CONSUMER PRODUCTS (6.2%)
75,000 Albecca Inc. 10.750% 08/15/08........ 51,375
100,000 Amscan Holdings Inc. 9.875%
12/15/07............................ 85,000
100,000 Chattem Inc. Series B 8.875%
04/01/08............................ 94,000
100,000 NBTY Inc. 8.625% 09/15/07............ 93,500
100,000 Playtex Family Products Corp. 9.000%
12/15/03............................ 99,750
150,000 Revlon Consumer Products Corp. 8.625%
02/01/08............................ 77,250
50,000 Scotts Co. 8.620% 01/15/09 (144A).... 49,000
125,000 *Sealy Mattress Co. Series B due
12/05/07 0% till 12/15/02 then
10.875%............................. 88,125
50,000 Sleepmaster L.L.C. 11.000% 05/15/09
(144A).............................. 50,312
50,000 True Temper Sports Inc. Ser.B 10.875%
12/01/08............................ 48,000
50,000 Volume Services America 11.250%
03/01/09............................ 49,500
-----------
785,812
-----------
DIVERSIFIED MANUFACTURING (0.4%)
50,000 *Blout Inc. 13.000% 08/01/09
(144A).............................. 53,000
-----------
CONTAINERS (1.2%)
50,000 Packaging Corp. of America 9.625%
04/01/09............................ 51,500
50,000 Russell Stanley Holdings 10.875%
02/15/09............................ 43,750
50,000 Tenki-Plex Inc. 9.250% 03/01/08...... 51,000
-----------
146,250
-----------
ECOLOGICAL SERVICES & EQUIPMENT (2.2%)
200,000 Allied Waste N.A. 7.625% 01/01/06.... 181,000
100,000 Allied Waste N.A. 10.000% 08/01/09
(144A).............................. 89,500
-----------
270,500
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
ELECTRICAL EQUIPMENT (2.7%)
$100,000 Amphenol Corp. 9.875% 05/15/07....... $ 104,500
50,000 SCG Holding Corp. 12.000% 08/01/09
(144A).............................. 53,375
100,000 Telecommunications Techniques 9.750%
05/15/08............................ 91,500
100,000 Wesco Distribution Inc. 9.125%
06/01/08............................ 94,500
-----------
343,875
-----------
ENTERTAINMENT & LEISURE (2.7%)
100,000 *Amf Bowling Worldwide Inc. due
03/15/06 0% till 03/15/01 then
12.250%............................. 33,500
325,000 *Premier Parks Inc. due 04/01/08 0%
till 04/01/03 then 10.000%.......... 225,875
100,000 Regal Cinemas Inc. 9.500% 06/01/08... 78,000
-----------
337,375
-----------
FOOD & RELATED (3.8%)
50,000 Agrilink Foods Inc. 11.875%
11/01/08............................ 50,500
150,000 Ameriserve Food Distribution Inc.
10.125% 07/15/07.................... 51,750
100,000 Aurora Foods Inc. 9.875% 02/15/07.... 101,750
50,000 Dominos Inc. 10.375% 01/15/09........ 48,375
100,000 Eagle Family Foods 8.750% 01/15/08... 76,500
100,000 International Home Foods 10.375%
11/01/06............................ 104,250
50,000 Triarc Consumer Products 10.250%
01/15/09 (144A)..................... 48,125
-----------
481,250
-----------
FIBER OPTICS (1.2%)
50,000 Metromedia Fiber Network 10.000%
12/15/09............................ 51,250
100,000 Williams Communications 10.875%
10/01/09............................ 105,250
-----------
156,500
-----------
FINANCIAL SERVICES (0.4%)
50,000 RBF Finance Co. 11.375% 03/15/09..... 54,000
-----------
HOTELS & LODGING (1.3%)
50,000 Florida Panthers RST 9.875%
04/15/09............................ 48,750
125,000 HMH Properties Inc. Series B 7.875%
08/01/08............................ 113,125
-----------
161,875
-----------
</TABLE>
(continued)
99
<PAGE> 101
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
INTERNET SOFTWARE (1.6%)
$100,000 Psinet Inc. 10.000% 02/15/05......... $ 99,500
50,000 Psinet Inc. 11.000% 08/01/09......... 51,500
50,000 Verio Inc. 10.625% 11/15/09 (144A)... 51,250
-----------
202,250
-----------
MEDICAL & RELATED (6.1%)
125,000 Columbia HCA Healthcare 6.910%
06/15/05............................ 113,785
100,000 Conmed Corp. 9.000% 03/15/08......... 94,000
50,000 Dade Intl. Inc. Series B 11.125%
05/01/06............................ 49,250
50,000 Genesis Health Ventures 9.250%
10/01/06............................ 20,750
50,000 Hanger Orthopedic Group 11.250%
06/15/09............................ 51,625
100,000 Hudson Respiratory Care Inc. 9.125%
04/15/08............................ 80,500
100,000 Kinetic Concepts Corp. 9.625%
11/01/07............................ 74,500
250,000 Tenet Health Corp. 8.125% 12/01/08... 238,125
50,000 Unilab Corp. 12.750% 10/01/09
(144A).............................. 52,250
-----------
774,785
-----------
METAL & MINING (1.0%)
75,000 AEI Resources Inc. 11.500% 12/15/06
(144A).............................. 49,125
50,000 Neenah Corp. 11.125% 05/01/07........ 46,500
50,000 Republic Technologies 13.750%
07/15/09 (144A)..................... 33,250
-----------
128,875
-----------
OIL, ENERGY & NATURAL GAS (2.1%)
100,000 Pride Petroleum Services 9.375%
05/01/07............................ 100,500
50,000 *R&B Falcon Corp. 12.250% 03/15/06... 55,500
50,000 *RCN Corp. due 10/15/07 0% till
10/15/02 then 11.125%............... 35,750
75,000 Triton Energy Ltd. 8.750% 04/15/02... 75,563
-----------
267,313
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
RENTAL AUTO/EQUIPMENT (1.5%)
$ 50,000 Nationsrent Inc. 10.375% 12/15/08.... $ 49,125
50,000 United Rentals Inc. 9.250%
01/15/09............................ 48,125
100,000 United Rentals Inc. 9.000%
04/01/09............................ 94,500
-----------
191,750
-----------
TELECOMMUNICATIONS & CELLULAR (22.9%)
50,000 American Cellular Corp. 10.500%
05/15/08............................ 55,375
50,000 Arch Communications Group 12.750%
07/01/07............................ 39,750
TELECOMMUNICATIONS & CELLULAR (CONTINUED)
150,000 *Call-Net Enterprises Inc. due
08/15/07 0% till 8/15/02 then
9.270%.............................. 83,625
100,000 *Call-Net Enterprises Inc. due
05/15/09 0% till 05/15/04 then
10.800%............................. 48,500
50,000 Centennial Cellular Corp. 10.750%
12/15/08............................ 53,875
100,000 *Crown Castle Intl. Corp. due
05/15/11 0% till 05/15/04 then
10.375%............................. 63,000
100,000 *Crown Castle Intl. Corp. due
08/01/11 0% till 08/01/04 then
11.250%............................. 63,000
175,000 Global Crossing 9.500% 11/15/09
(144A).............................. 173,906
50,000 Hermes Europe Railtel B.V. 10.375%
01/15/09............................ 49,625
50,000 Hermes Europe Railtel B.V. 11.500%
08/15/07............................ 51,625
200,000 Intermedia Communications 8.600%
06/01/08............................ 185,500
100,000 *Level 3 Communication Inc. due
12/01/08 0% till 12/01/03 then
10.500%............................. 61,250
225,000 Level 3 Communication Inc. 9.125%
05/01/08............................ 214,031
225,000 *McLeod USA Inc. due 03/01/07 0% till
03/01/02 then 10.500%............... 185,625
100,000 *Millicom International due 06/01/06
0% till 06/01/01 then 13.500%....... 83,000
225,000 *Nextel Communications due 02/15/08
0% till 02/15/03 then 9.950%........ 160,875
175,000 Nextel Communications 9.375% 11/15/09
(144A).............................. 172,813
225,000 *Nextlink Communications due 04/15/08
0% 04/15/03 then 9.450%............. 142,875
100,000 Nexlink Communications 10.750%
06/01/09............................ 104,250
50,000 Paging Network 10.125% 08/01/07...... 15,750
125,000 *Qwest Communications Intl. due
10/15/07 0% 10/15/02 then 9.470%.... 101,250
100,000 Rogers Cantel 8.800% 10/01/07........ 101,500
</TABLE>
(continued)
100
<PAGE> 102
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS & CELLULAR (CONTINUED)
$150,000 *Telesystem Intl. Wireless Ser. B due
06/30/07 0% till 06/30/02 then
13.250%............................. $ 96,750
75,000 Teligent Inc. 11.500% 12/01/07....... 73,875
50,000 Teligent Inc. 11.500% 03/01/08....... 30,250
100,000 *Triton PCS Inc. due 05/01/08 0% till
05/01/03 then 11.000%............... 71,500
50,000 US Exchange L.L.C. 15.000%
07/01/08............................ 48,125
50,000 US Unwired Inc. 13.375% 11/01/09
(144A).............................. 29,250
225,000 *Viatel Inc. due 04/15/08 0% till
04/15/03 then 12.500%............... 142,875
125,000 *VoiceStream Wireless Holdings due
11/15/09 0% till 11/15/04 then
11.875% (144A)...................... 75,938
100,000 *Winstar Communications I due
03/15/08 0% till 09/15/03 then
11.000%............................. 102,500
-----------
2,882,063
-----------
TEXTILES & RELATED (0.8%)
50,000 GFSI Inc. Series B 9.625% 03/01/07... 31,250
75,000 Glenoit Corp. 11.000% 04/15/07....... 19,125
100,000 Pillowtex Corp. 10.000% 11/15/06..... 46,500
-----------
96,875
-----------
TRANSPORTATION & EQUIPMENT (2.2%)
50,000 Allied Holdings Inc. 8.625%
10/01/07............................ 44,500
50,000 Gearbulk Holding Ltd. 11.250%
12/01/04............................ 51,625
50,000 Johnstown America Inc. 11.75%
08/15/05............................ 51,125
50,000 Railworks Corp. 11.500% 04/15/09..... 50,875
125,000 Stena Line AB 10.625% 06/01/08....... 75,625
-----------
273,750
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT LONG-TERM BONDS & NOTES VALUE
- -------------------------------------------------------------
<C> <S> <C>
UTILITIES (0.7%)
$ 50,000 Caithness Coso Fund Corp. 9.050%
12/15/09............................ $ 50,000
50,000 *Niagara Mohawk Power Series H due
07/01/10 0% till 07/01/03 then
8.500%.............................. 37,456
-----------
87,456
-----------
TOTAL LONG-TERM BONDS & NOTES (92.8%)
(COST $12,392,694).................. $11,696,751
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES PREFERRED STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
MEDIA & PUBLISHING (0.9%)
1,300 Primedia Inc. Series H 8.625%
04/01/10............................ 113,425
-----------
OIL, ENERGY & NATURAL GAS (0.4%)
51 R&B Falcon Corp. 13.875%............. 54,838
-----------
TELECOMMUNICATIONS (0.3%)
50 Benedek Communications 11.500%
05/18/08............................ 40,250
-----------
TOTAL PREFERRED STOCKS (1.6%) (COST
$228,650)........................... $ 208,513
-----------
</TABLE>
<TABLE>
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
$475,000 Firstar Bank 1.000% due 01/03/00
repurchase price $475,039
collateralized by GNMA certificates,
pool # 8375 due 02/20/24 (cost
$475,000)........................... $ 475,000
-----------
TOTAL REPURCHASE AGREEMENTS (3.8%)
(COST $475,000)..................... $ 475,000
-----------
TOTAL HOLDINGS (98.2%) (COST
$13,096,344) (a).................... $12,380,264
-----------
CASH & RECEIVABLES, (1.8%) NET OF
LIABILITIES......................... 230,227
-----------
TOTAL NET ASSETS (100.0%)............ $12,610,491
===========
</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 $1,163,469 or 9.2% of net assets. These
securities were deemed liquid pursuant to procedures approved by the
Board of Directors.
(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.
101
<PAGE> 103
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1)(cost $13,096,344).............. $12,380,264
Cash in bank.............................. 976
Receivable for fund shares sold........... 21,314
Dividends and accrued interest
receivable.............................. 233,755
Other..................................... 27
-----------
Total assets............................ 12,636,336
-----------
Liabilities:
Payable for fund shares redeemed.......... 988
Payable for investment management services
(note 3)................................ 7,997
Other accrued expenses.................... 16,860
-----------
Total liabilities....................... 25,845
-----------
Net assets at market value.................. $12,610,491
===========
Net assets consist of:
Par value, $1 per share................... $ 1,367,917
Paid-in capital in excess of par value.... 12,141,837
Accumulated net realized loss on
investments (note 1).................... (196,803)
Net unrealized depreciation on investments
(note 1)................................ (716,080)
Undistributed net investment income....... 13,620
-----------
Net assets at market value.................. $12,610,491
===========
Shares outstanding (note 4)................. 1,367,917
Net asset value per share................... $ 9.22
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest.................................... $ 831,914
Dividends................................... 11,211
---------
Total investment income................... 843,125
---------
Expenses:
Management fees (note 3).................... 86,401
Custodian fees (note 3)..................... 13,727
Directors' fees (note 3).................... 348
Professional fees........................... 1,512
Accounting and transfer agent fees.......... 26,401
Other....................................... 2,144
---------
Total expenses............................ 130,533
---------
Net investment income..................... $ 712,592
---------
Realized and unrealized loss on investments:
Net realized loss from investments.......... $(196,803)
Net increase in unrealized depreciation on
investments............................... (299,814)
---------
Net loss on investments................... (496,617)
---------
Net increase in net assets from
operations.............................. $ 215,975
=========
</TABLE>
The accompanying notes are an integral part of these financial statements.
102
<PAGE> 104
OHIO NATIONAL FUND, INC.
HIGH INCOME BOND PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
------------ -----------------
<S> <C> <C>
From operations:
Net investment income..................................... $ 712,592 $ 385,649
Realized gain (loss) on investments....................... (196,803) 18,061
Unrealized depreciation on investments.................... (299,814) (416,266)
------------ -----------
Net increase (decrease) in net assets from
operations........................................... 215,975 (12,556)
------------ -----------
Dividends and distributions to shareholders:
Dividends paid from net investment income................. (698,972) (386,035)
Capital gains distributions............................... 0 (18,061)
------------ -----------
Total dividends and distributions..................... (698,972) (404,096)
------------ -----------
From capital share transactions (note 4):
Received from shares sold................................. 2,977,591 10,451,643
Received from dividends reinvested........................ 698,972 404,096
Paid for shares redeemed.................................. (1,013,822) (8,340)
------------ -----------
Increase in net assets derived from capital share
transactions......................................... 2,662,741 10,847,399
------------ -----------
Increase in net assets............................. 2,179,744 10,430,747
Net Assets:
Beginning of period....................................... 10,430,747 0
------------ -----------
End of period (a)......................................... $ 12,610,491 $10,430,747
============ ===========
(a) Includes undistributed net investment income of......... $ 13,620 $ 0
============ ===========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
---------- -----------------
<S> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 9.59 $10.00
Income (loss) from investment operations:
Net investment income..................................... 0.57 0.38
Net realized and unrealized loss on investments........... (0.38) (0.40)
------ ------
Total Income (loss) from investment operations.......... 0.19 (0.02)
------ ------
Less distributions:
Dividends from net investment income...................... (0.56) (0.37)
Distributions from net realized capital gains............. 0.00 (0.02)
------ ------
Total distributions..................................... (0.56) (0.39)
------ ------
Net asset value, end of period.............................. $ 9.22 $ 9.59
====== ======
Total return................................................ 1.95% 0.20%(b)
Ratios and supplemental data:
Ratio of expenses to average net assets................... 1.13% 1.20%(a)
Ratio of net investment income to average net assets...... 6.19% 5.79%(a)
Portfolio turnover rate..................................... 31% 11%
Net assets at end of period (millions)...................... $ 12.6 $ 10.4
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated since inception, May 1, 1998. (not annualized).
The accompanying notes are an integral part of these financial statements.
103
<PAGE> 105
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 DECEMBER 31, 1999
<TABLE>
<S> <C>
TOTAL RETURN:
One-Year 202.38%
Since inception (5/1/98) 107.06%
</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 concluded a memorable year of performance in 1999 with very strong 4th
quarter performance, as investors flocked to fast growth stocks in both the
Russell 2000 Growth and the NASDAQ indices.
The Ohio National Capital Growth portfolio rose 62.91% in the fourth quarter,
against a gain of 33.39% in the benchmark Russell 2000 Growth. We managed to
outperform the benchmark in every quarter this year, leading to a calendar year
return of 202.38% for the Ohio National Capital Growth portfolio, against a
43.09% rise in the Russell 2000 Growth.
Investors' interest in small stocks broadened in the fourth quarter, fueling the
strong rally in the Russell 2000 Growth. In the fourth quarter, eight of the 11
Russell sectors produced positive performance. While we continued to emphasize
technology, our results were bolstered by strong performance from other sectors
as well.
We enjoyed strong returns from a number of stocks in the healthcare sector where
technology is merging into traditional healthcare and biotech to create emerging
growth investment opportunities. The focus of much of this new work is towards
prediction and prevention of illness rather than the traditional detection and
treatment of disease. Companies like Medarex Incorporated and Abgenix, Inc. are
pioneering new techniques in applying the study of DNA within a technology
framework. Typically these companies work closely with large drug companies to
accelerate their research and testing capabilities as the drug companies look to
create and rollout the next blockbuster drug.
Cytyc Corporation has applied new technology to cervical cancer screening.
Historically this test has had a high margin of error. Cytyc has introduced a
new technology that has made their version of the test more dependable. This
enhanced reliability has made Cytyc's ThinPrep System very popular among
healthcare providers. In turn, most HMO's are now providing partial or full
reimbursement on the ThinPrep Test, helping to fuel it's growth in the
marketplace.
We began accumulating the stock in late spring of this year when the stock was
reasonably undiscovered and had a market capitalization under $500 million.
Since then Cytyc has announced triple digit revenue and earnings increases for
the last two quarters, dramatically increasing visibility of the companies
fundamental story. The stock has moved up strongly in the third and fourth
quarters, finishing the year with a market cap over $1 billion.
Investor's appetite for fast growing stocks that are powering technology growth
seemed nearly insatiable in the quarter. The tech heavy NASDAQ rose 48.18% in
the fourth quarter alone! Gains in technology stocks also drove the strong
33.39% return in the benchmark, the Russell 2000 Growth. This strong performance
also helped to expand the technology sector weighting of the Russell 2000 Growth
from 22% at the beginning of the year to 34% at year-end.
Throughout the fourth quarter we maintained our yearlong emphasis on technology
companies. We continue to find many exciting companies that are creating change
in various sectors of the economy including telecommunications, media, hardware,
software, and above all, how businesses leverage the Internet.
Forrester Research estimates the market for internet and e-commerce services to
grow from $5.4 billion in 1998 to $32.7 billion in 2002, creating a business
opportunity with a compounded annual growth rate of 57%. The struggle for most
traditional, large companies is how to make their business more Web friendly,
and then how to integrate these new internet based applications with their
existing "legacy" systems. The supply of systems professionals with these
technical skills is constrained, and corporate America is thin
- ---------------
(a) Prior to 8/1/99 the portfolio was known as the Small Cap Growth Portfolio.
(continued)
104
<PAGE> 106
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (a) (CONTINUED)
on this expertise. This creates a major opportunity for small, fast moving
consulting firms to fill the void.
We owned a broad number of companies that provide internet system integration
and consulting services. Earlier in the year, we sensed that Fortune 1000
companies would spend significantly and quickly to get Internet capabilities
built. We took significant positions in companies like Sapient Corporation. We
have known these companies for a long time and believe they are well positioned
to gain in this internet spending race. We also invested in newcomers like
Proxicom and Scient Corporation, and were rewarded with strong performance
through the third and fourth quarters from these stocks as well.
Many of the stocks came public this year. We often participated in the Initial
Public Offering of these companies, and added to our positions over time.
Valuation of these stocks is not easy as the companies have short operating
histories, and valuations based on revenue multiples accelerated quickly.
Nonetheless, we developed metrics based on factors such as gross margins,
revenue per billable personnel, average engagement size, and sales force growth
and productivity. In addition we found it useful to build our own, more
realistic revenue and earnings models rather than rely solely on Street models,
which we find are often built to focus on large quarterly outperformance.
Nearly all the stocks have produced meaningful returns to the portfolio, as
investors have been attracted to the companies rapid revenue growth opportunity,
and as investors seeking internet exposure rotated out of more consumer based
internet investment opportunities.
1999 was a banner year for IPO volume as more than $75 billion (though mid
December) of new equity was issued, surpassing the previous record set in 1997.
We aggressively mined the IPO universe for new Emerging Growth investment
supply, participating in over 150 IPOs in calendar 1999. And we held onto to
many of these issues as we continued our research process on the companies as
they matured. Interestingly, the IPO position's impact on performance was not
that significant. We calculate that IPOs contributed only about 22% of the
portfolio's total return for 1999.
Two of our largest contributors to return, Network Solutions and Knight/Trimark
Group, were companies that came public in 1997 and 1998. We participated in
those companies IPOs and had built a strong knowledge base on the companies,
giving us the edge to own them in a meaningful way in 1999. This provides a
confirmation that our emerging growth research process pays off for investors
over time.
While we enjoyed a banner year in 1999, we remain optimistic as we enter a new
year. At the fundamental level, we see many companies with very compelling
growth opportunities, and with the capabilities in place to succeed in their
respective market. The volume of IPO's has provided us ample supply of
investment ideas. However, we are somewhat concerned about the flood of investor
money into this emerging growth space. It is reasonable to expect continued
volatility. As always, we will seek to take advantage of these periods of
volatility to improve the portfolio for the long term.
CHANGE IN VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CAPITAL GROWTH PORTFOLIO RUSSELL 2000 INDEX
------------------------ ------------------
<S> <C> <C>
5/98 10000.00 10000.00
6/98 9706.00 9450.00
12/98 10339.80 8776.22
6/99 18424.50 9590.65
12/99 31281.10 10641.80
</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 DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Network Solutions 3.11
2. BEA Systems Inc. 2.48
3. Knight/Trimark Group 1.75
4. NETIQ Corp. 1.52
5. Infospace.COM Inc. 1.37
6. Exchange Application 1.27
7. 24/7 MEDIA Inc. 1.25
8. Infinity 1.21
9. ISS Group, Inc. 1.09
10. Silknet Software 1.06
</TABLE>
TOP 5 INDUSTRIES AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
% of Net Assets
<C> <S> <C>
1. Computer and Related 22.23
2. Internet Software 11.79
3. Radio 5.54
4. Internet Content 5.47
5. Telecommunication Services 4.20
</TABLE>
(continued)
105
<PAGE> 107
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
ADVERTISING (0.7%)
2,300 *Lamar Advertising Co. ........... $ 139,294
-----------
APPLICATION SOFTWARE (1.9%)
1,200 *HNC Software Inc. ............... 126,900
50 *Ondisplay Inc. .................. 4,544
900 *Sapient Corp. ................... 126,844
1,400 *Siebel Systems Inc. ............. 117,600
-----------
375,888
-----------
AUTO/VIDEO EQUIPMENT (0.4%)
1,200 *Gemstar Intl. Group Ltd. ........ 85,500
-----------
BROADCAST RADIO & TV (5.6%)
1,500 *AMFM Inc. ....................... 117,375
2,350 *Citadel Communications Corp. .... 152,456
1,500 *Cox Radio Inc. CL A ............. 149,625
350 *Cumulus Media Inc. .............. 17,763
2,400 *EnteCorp. om Communications
Inc. ............................ 158,400
1,400 *Hispanic Broadcasting Corp. ..... 129,106
6,800 *Infinity Broadcasting Corp. ..... 246,075
3,800 *Spanish Broadcasting System
Inc. ............................ 152,950
200 *Wink Communications Inc. ........ 12,012
250 *XM Satellite Radio Holdings ..... 9,531
-----------
1,145,293
-----------
BUSINESS SERVICES (1.6%)
4,500 *Acxiom Corp. .................... 108,000
300 *Ebenx Inc. ...................... 13,575
1,100 *Fiserv Inc. ..................... 42,144
800 *Hotjobs.com Ltd. ................ 34,950
1,800 *Memberworks Inc. ................ 59,737
2,000 *On Assignment Inc. .............. 59,750
-----------
318,156
-----------
CHEMICALS (0.7%)
4,700 *Surmodics Inc. .................. 141,000
-----------
COMMUNICATIONS (2.4%)
1,900 *Echostar Communications ......... 185,250
900 *Emmis Broadcasting Corp CL A .... 112,176
1,500 *Filenet Corp. ................... 38,250
1,600 *Intraware Inc. .................. 126,400
700 *Research In Motion .............. 32,331
-----------
494,407
-----------
COMPUTER DATA SECURITY (1.9%)
500 *Check Point Software Tech
Ltd. ............................ 99,375
3,100 *ISS Group Inc. .................. 220,487
800 *RSA Security Inc. ............... 62,000
-----------
381,862
-----------
COMPUTER & RELATED (6.2%)
2,500 *Covad Communications Group ...... 139,844
350 *Immersion Corp. ................. 13,431
2,900 *Network Solutions ............... 630,931
1,050 *Primus Knowledge Solutions ...... 47,578
500 *Sandisk Corp. ................... 48,125
2,900 *Silicon Storage Technology ...... 119,625
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
COMPUTER & RELATED CONTINUED
2,300 *TSI Intl. Software Ltd. ......... $ 130,237
950 *Vertias Software Corp. .......... 135,969
-----------
1,265,740
-----------
COMPUTER SERVICES (0.5%)
1,200 *Bisys Group Inc. ................ 78,300
700 *Seue Software Inc. .............. 17,500
-----------
95,800
-----------
COMPUTER SOFTWARE (13.9%)
11,200 *Activision Inc. ................. 171,500
2,200 *Aspect Development Inc. ......... 150,700
7,200 *Bea Systems Inc. ................ 503,550
1,600 *Bluestone Software .............. 184,000
1,500 *Broadbase Software Inc. ......... 168,750
1,500 *Business Objects SA ............. 200,437
2,600 *Digex Inc. ...................... 178,750
4,600 *Exchange Applications Inc. ...... 257,025
700 *Extended Systems Inc. ........... 33,512
1,200 *Informatica Corp. ............... 127,650
2,600 *Interactive Intelligence ........ 69,225
1,400 *Mercury Interactive Corp. ....... 151,113
5,900 *Netiq Corp. ..................... 307,169
4,000 Sagent Technology Inc. ........... 119,750
2,250 *Scientific Learning Corp. ....... 82,125
650 *Tibico Software Inc. ............ 99,450
50 *VA Linux Systems Inc. ........... 10,331
50 *Vitria Technology Inc. .......... 11,700
-----------
2,826,737
-----------
DIRECT MARKETING (0.6%)
2,100 *Valuevision Intl. Inc. .......... 120,356
-----------
ELECTRONIC COMPONENTS/SEMICONDUCTORS (4.6%)
500 *Applied Micro Circuits .......... 63,625
2,500 *Conexnat Systems ................ 165,938
2,100 *Cree Research Inc. .............. 179,288
3,300 *Integrated Device ............... 95,700
1,400 *Lattice Semiconductor Corp. ..... 65,975
1,900 *Mips Technologies Inc. .......... 98,800
100 *Metalink Ltd. ................... 2,037
2,400 *Power Integrations Inc. ......... 115,050
2,000 *Sawtek Inc. ..................... 133,125
350 *Zoran Corp. ..................... 19,513
-----------
939,051
-----------
FINANCIAL SERVICES (2.4%)
3,100 *Financial Federal Corp. ......... 70,719
7,700 *Knight/Trimark Group Inc. ....... 354,200
1,950 *Nextcard Inc. ................... 56,306
-----------
481,225
-----------
FIBER OPTICS (0.4%)
1,800 *Metromedia Fiber Network ........ 86,288
-----------
HOTEL/LODGING (0.6%)
2,400 *Four Seasons Hotels Inc. ........ 127,800
-----------
</TABLE>
(continued)
106
<PAGE> 108
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
INTERNET CONTENT (5.5%)
4,500 *24/7 Media Inc. ................ $ 253,125
6,900 *Autoweb.com Inc. ................ 75,038
1,400 *About.com Inc. .................. 125,650
200 *CMG Information Services Inc. ... 55,375
300 *El Sitio Inc. ................... 11,025
50 *Egreetings Network Inc. ......... 506
1,300 *Infospace.com Inc. .............. 278,200
50 *Medialogic Inc. ................. 1,050
300 *Mypoints.com Inc. ............... 22,200
700 *NBC Internet Inc. ............... 54,075
300 *Netcreations Inc. ............... 13,200
4,200 *Sportsline USA Inc. ............. 210,525
500 *Webstakes.com Inc. .............. 9,875
-----------
1,109,844
-----------
INTERNET SOFTWARE (11.8%)
1,100 *Applied Theory Corp. ............ 30,525
1,100 *Broadvsion Inc. ................. 187,069
100 *C-Bridge Internet So ............ 4,862
1,500 *Clarent Corp. ................... 116,625
800 *Cybersource Corp. ............... 41,400
4,700 *Concentric Network Corp. ........ 144,819
3,050 *DSL.net Inc. .................... 44,034
1,300 *Earthlink Network Inc. .......... 55,250
100 *ECollege.com Inc. ............... 1,094
450 *Espeed Inc. CL A ................ 16,003
250 *Gric Communications ............. 6,344
550 *Internap Network Services ....... 95,150
2,550 *ITXC Corp. ...................... 85,744
750 *Keynote Systems Inc. ............ 55,313
2,800 *Liquid Audio Inc. ............... 73,500
2,600 *National Info Consortium Inc. ... 83,200
1,100 *Netopia Inc. .................... 59,744
1,700 *Navisite Inc. ................... 170,000
900 *Netcentives Inc. ................ 56,081
2,000 *PC-Tel Inc. ..................... 105,000
1,500 *Pcorder.com Inc. ................ 76,500
1,450 *Proxicom Inc. ................... 180,253
1,500 *Psinet Inc. ..................... 92,625
4,400 *Ramp Networks Inc. .............. 67,100
900 *Scient Corp. .................... 77,794
1,300 *Silknet Software Inc. ........... 215,475
2,800 *Verio Inc. ...................... 129,325
700 *Vignette Corp. .................. 114,100
150 *Xpedior Inc. .................... 4,312
-----------
2,389,241
-----------
MEDIA & PUBLISHING (1.6%)
2,800 *Macromedia Inc. ................. 204,750
1,100 *Univision Communications Inc. ... 112,406
-----------
317,156
-----------
MEDICAL & RELATED (4.5%)
2,700 *Cytyc Corp. ..................... 164,869
2,600 *Medarex Inc. .................... 96,850
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
MEDICAL & RELATED CONTINUED
1,100 *Medimmune Inc. .................. $ 182,463
1 *Medtronic Inc. .................. 15
1,900 *Pharamacyclics Inc. ............. 78,375
1,500 *Protein Design Labs Inc. ........ 105,000
3,300 *Resmed Inc. ..................... 137,775
4,800 *Visible Genetics Inc. ........... 144,000
-----------
909,347
-----------
MOTION PICTURES & SERVICES (0.4%)
1,200 *Macrovision Corp. ............... 88,800
-----------
NETWORKING PRODUCTS (2.9%)
50 *Cobalt Networks Inc. ............ 5,419
1,200 *Extreme Networks Inc. ........... 100,200
300 *Foundry Networks Inc. ........... 90,506
2,000 *Legato Systems Inc. ............. 137,625
4,850 *Netscout Systems Inc. ........... 150,350
1,200 *Network Appliance Inc. .......... 99,675
-----------
583,775
-----------
PERSONAL SERVICES (0.7%)
6,050 *Student Advantage Inc. .......... 134,234
-----------
PRE-PACKAGED SOFTWARE (2.2%)
3,000 *Brio Technology Inc. ............ 126,000
2,500 *Peregrine Systems Inc. .......... 206,563
1,000 *Realnetworks Inc. ............... 121,187
-----------
453,750
-----------
RETAIL (2.4%)
2,000 *American Eagle Outfitters
Inc. ............................ 90,000
3,200 *Bed Bath & Beyond Inc. .......... 111,200
1,100 *Expedia Inc. CL A ............... 38,500
3,200 *Factory 2-U Stores Inc. ......... 90,800
250 *Mothernature.com ................ 1,828
2,900 *Ticketmaster Online City Search
Inc. ............................ 111,469
3,750 *VitaminShoppe.com ............... 34,219
-----------
478,016
-----------
TELECOMMUNICATIONS EQUIPMENT (3.1%)
2,900 *Aware Inc. ...................... 105,488
1,900 *Digital Lightwave Inc. .......... 121,600
1,250 *Ditech Communication Corp. ...... 116,875
1,300 *Efficient Networks .............. 88,400
2,500 *Primus Telecommunications ....... 95,625
1,800 *Viatel Inc. ..................... 96,525
-----------
624,513
-----------
TELECOMMUNICATIONS SERVICES (4.6%)
2,200 *Allegiance Telecom Inc. ......... 202,950
2,600 *Caprock Communication Corp. ..... 84,338
3,400 Copper Mountain Networks Inc. .... 165,750
2,800 *Crown Castle Intl. Corp. ........ 89,950
5,400 *Electric Lightwave Inc. CL A .... 101,250
100 *Ibasis Inc. ..................... 2,875
100 *Infonet Services ................ 2,625
</TABLE>
(continued)
107
<PAGE> 109
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (CONTINUED)
SCHEDULE OF INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
MARKET
SHARES COMMON STOCK VALUE
- -------------------------------------------------------------
<C> <S> <C>
TELECOMMUNICATIONS SERVICES CONTINUED
2,800 *McLeodUSA Inc. CL A ............. $ 164,850
1,700 *Panamsat Corp. .................. 100,937
650 *Z-Tel Technologies .............. 26,244
-----------
941,769
-----------
TRANSPORTATION & EQUIPMENT (0.5%)
2,100 *Forward Air Corp. ............... 91,087
-----------
WIRELESS EQUIPMENT (1.7%)
6,000 *American Tower Corp. ............ 183,375
2,700 *Pinacle Holdings ................ 114,413
700 *RF Micro Devices Inc. ........... 47,906
-----------
345,694
-----------
TOTAL COMMON STOCK (86.3%) (COST
$10,064,019)..................... $17,491,623
-----------
<CAPTION>
FACE MARKET
AMOUNT REPURCHASE AGREEMENTS VALUE
- -------------------------------------------------------------
<C> <S> <C>
$ 2,559,000 Firstar 1.000% 01/03/00 repurchase
price $2,559,210 collateralized
by GNMA certificates pool # 8375
due 02/20/24 (cost $2,559,000)... $ 2,559,000
-----------
TOTAL SHORT-TERM NOTES
(12.6%) (COST $2,559,000)........ $ 2,559,000
-----------
TOTAL HOLDINGS (98.9%)
(COST $12,623,019) (A)........... $20,050,623
-----------
CASH & RECEIVABLES,
NET OF LIABILITIES (1.1%)........ 220,851
-----------
TOTAL NET ASSETS (100.0%)......... $20,271,474
===========
</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.
108
<PAGE> 110
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO (A)
STATEMENT OF ASSETS AND LIABILITIES
December 31, 1999
<TABLE>
<S> <C>
Assets:
Investments in securities at market value
(note 1) (cost $12,623,019)............. $20,050,623
Cash in bank.............................. 567
Receivable for fund shares sold........... 239,832
Dividends and accrued interest
receivable.............................. 183
Other..................................... 761
-----------
Total assets............................ 20,291,966
-----------
Liabilities:
Payable for investment management services
(note 3)................................ 13,481
Other accrued expenses.................... 7,011
-----------
Total liabilities....................... 20,492
-----------
Net assets at market value.................. $20,271,474
===========
Net assets consist of:
Par value, $1 per share................... $ 723,656
Paid-in capital in excess of par value.... 12,120,214
Net unrealized appreciation on investments
(note 1)................................ 7,427,604
-----------
Net assets at market value.................. $20,271,474
===========
Shares outstanding (note 4)................. 723,656
Net asset value per share................... $ 28.01
===========
</TABLE>
STATEMENT OF OPERATIONS
Year Ended December 31, 1999
<TABLE>
<S> <C>
Investment income:
Interest................................... $ 2,527
Dividends.................................. 33,179
----------
Total investment income.................. 35,706
----------
Expenses:
Management fees (note 3)................... 64,947
Custodian fees (note 3).................... 4,793
Directors' fees (note 3)................... 347
Professional fees.......................... 1,493
Accounting and transfer agent fees......... 8,305
Other...................................... 2,086
----------
Total expenses........................... 81,971
----------
Net investment loss...................... $ (46,265)
----------
Realized and unrealized gain on investments:
Net realized gain from investments......... $2,648,384
Net increase in unrealized appreciation on
investments.............................. 6,870,977
----------
Net gain on investments.................. 9,519,361
----------
Net increase in net assets from
operations............................. $9,473,096
==========
</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.
109
<PAGE> 111
OHIO NATIONAL FUND, INC.
CAPITAL GROWTH PORTFOLIO(D)
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
----------- -----------------
<S> <C> <C>
From operations:
Net investment loss....................................... $ (46,265) $ (17,592)
Realized gain (loss) on investments....................... 2,648,384 (414,923)
Unrealized appreciation on investments.................... 6,870,977 556,627
----------- ----------
Net increase in net assets from operations............ 9,473,096 124,112
----------- ----------
Dividends and distributions to shareholders:
Capital gain distributions................................ (2,233,461) 0
From capital share transactions (note 4):
Received from shares sold................................. 18,417,413 2,148,414
Received from dividends reinvested........................ 2,233,461 0
Paid for shares redeemed.................................. (9,890,108) (1,453)
----------- ----------
Increase in net assets derived from capital share
transactions......................................... 10,760,766 2,146,961
----------- ----------
Increase in net assets............................. 18,000,401 2,271,073
Net Assets:
Beginning of period....................................... 2,271,073 0
----------- ----------
End of period............................................. $20,271,474 $2,271,073
=========== ==========
</TABLE>
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1998 TO
1999 DECEMBER 31, 1998
---------- -----------------
<S> <C> <C>
Per share data:
Net asset value, beginning of period........................ $ 10.47 $10.00
Income from investment operations:
Net investment loss....................................... (0.12) (0.09)
Net realized and unrealized gain on investments........... 21.25 0.56
------- ------
Total income from investment operations................. 21.13 0.47
------- ------
Less distributions:
Distributions from net realized capital gains............. (3.59) 0.00
------- ------
Net asset value, end of period.............................. $ 28.01 $10.47
======= ======
Total return................................................ 202.38% 4.62%(b)
Ratios and supplemental data:
Ratios net of fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.09% 1.96%(a,c)
Ratio of net investment income (loss) to average net
assets................................................. (0.61)% 1.47%(a,c)
Ratios assuming no fees reimbursed by advisor:
Ratio of expenses to average net assets................. 1.09% 2.72%(a,c)
Portfolio turnover rate..................................... 185% 121%
Net assets at end of period (millions)...................... $ 20.3 $ 2.3
</TABLE>
- ---------------
(a) Annualized.
(b) Calculated since inception, May 1, 1998. (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.
110
<PAGE> 112
OHIO NATIONAL FUND, INC. December 31, 1999
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 twenty 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)
111
<PAGE> 113
OHIO NATIONAL FUND, INC. December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
- Capital Growth -- capital appreciation by investing in and actively
managing equity securities in emerging growth companies.
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.
Restricted securities and securities for which market quotations are not
readily available, if any, are valued at fair value using methods approved by
the Board of Directors. The differences between cost and market values of
such investments are reflected as unrealized appreciation or depreciation.
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)
112
<PAGE> 114
OHIO NATIONAL FUND, INC. December 31, 1999
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 and/or US Treasuries. The Aggressive Growth
Portfolio currently holds investments in S&P 500 Index Future Contracts. The
futures contracts in the S&P 500 Index Portfolio at December 31, 1999 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 500 284 S&P 500 Index Contracts March '00 $105,378,200 $4,583,200 $5,492,391
</TABLE>
The Growth & Income Portfolio wrote the following option contracts during 1999:
<TABLE>
<CAPTION>
NUMBER
AMOUNT OF OF CONTRACTS
PREMIUMS OPTIONED
---------- ------------
<S> <C> <C>
Options outstanding 12/31/98................................ $ 0 0
Options written............................................. $ 371,247 575
Options expired............................................. ($ 102,022) (295)
Options exercised........................................... $ 0 0
Options Closed.............................................. ($ 269,225) (280)
---------- ----
Options outstanding 12/31/99................................ $ 0 0
========== ====
</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)
113
<PAGE> 115
OHIO NATIONAL FUND, INC. December 31, 1999
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 December 31, 1999 certain of the portfolios
invested in repurchase agreements in which the aggregate amounted to
$15,043,000. These securities are collateralized by various GNMA certificates
with a market value of $15,459,983. 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
sales 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 and Capital
Growth Portfolios: accumulated net investment loss has been decreased by
$5,037,676, $641,905, $733,007, $75,692, $143,620 and $46,265 respectively,
resulting in a reclassification adjustment to decrease Paid-in capital in
excess of par value by $5,037,676, $641,905, $733,007, $75,692, $143,620 and
$46,265 respectively. This reclassification has no effect on net assets or
net asset value per share. The amount of losses recognized for financial
reporting purposes in excess of federal income tax reporting purposes in the
International, Capital Appreciation, Small Cap, International Small Company,
Aggressive Growth, Core Growth, Growth & Income, S&P 500 Index, Social
Awareness, Strategic Income, Firstar Growth & Income, Blue Chip and Capital
Growth Portfolios were $693,803, $74,111, $271,961, $32,794, $489,046,
$83,836, $260,863, $8,625, $543, $12,900, $334, $14,108 and $23,883
respectively. Cost for federal income tax purposes differs from value by net
unrealized appreciation (depreciation) of securities as follows:
<TABLE>
<CAPTION>
CAPITAL
EQUITY BOND OMNI INTERNATIONAL APPRECIATION
------------ ------------- ----------- ------------- ------------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation............................. $ 61,093,308 $ 161,959 $68,412,201 $66,661,007 $ 5,468,219
Depreciation............................. (23,336,283) (1,130,838) (6,439,058) (963,171) (5,755,588)
Net Unrealized:
Appreciation (Depreciation).............. 37,757,025 (968,879) 61,973,143 65,697,836 (287,369)
</TABLE>
<TABLE>
<CAPTION>
SMALL INTERNATIONAL AGGRESSIVE CORE GROWTH &
CAP SMALL COMPANY GROWTH GROWTH INCOME
------------ ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation............................. $ 59,863,916 $17,182,885 $ 5,997,068 $10,536,910 $28,773,514
Depreciation............................. (2,492,220) (352,148) (1,092,737) (342,706) (2,764,675)
Net Unrealized:
Appreciation............................. 57,371,696 16,830,737 4,904,331 10,194,204 26,008,839
</TABLE>
(continued)
114
<PAGE> 116
OHIO NATIONAL FUND, INC. December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
FIRSTAR
SOCIAL STRATEGIC GROWTH RELATIVE
S&P 500 AWARENESS INCOME & INCOME VALUE
------------ ------------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation............................. $ 28,927,674 $ 838,442 $ 16,525 $ 275,001 $ 3,258,043
Depreciation............................. (4,816,013) (136,958) (340,950) (99,873) (671,862)
Net Unrealized:
Appreciation (Depreciation).............. 24,111,661 701,484 (324,425) 175,128 2,586,181
</TABLE>
<TABLE>
<CAPTION>
EQUITY HIGH INCOME CAPITAL
BLUE CHIP INCOME BOND GROWTH
------------ ------------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Gross unrealized:
Appreciation............................. $ 695,359 $ 931,657 $ 354,483 $ 7,549,617
Depreciation............................. (485,453) (221,157) (1,070,563) (98,130)
Net Unrealized:
Appreciation (Depreciation).............. 209,906 710,500 (716,080) 7,451,487
</TABLE>
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.
(2) INVESTMENT TRANSACTIONS
Purchases and sales of investment securities (excluding short-term
securities) for the year ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
CAPITAL
EQUITY BOND OMNI INTERNATIONAL APPRECIATION
------------ ------------- ----------- ------------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases............................... $339,032,461 $ 2,075,823 $73,768,287 $416,649,551 $ 21,875,422
Sales................................... 342,273,276 3,062,866 92,715,064 449,551,906 33,594,817
U.S. Government Obligations
Purchases............................... -- -- -- -- 632,836
Sales................................... -- 500,000 1,275,000 -- 2,938,055
</TABLE>
(continued)
115
<PAGE> 117
OHIO NATIONAL FUND, INC. December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
SMALL INTERNATIONAL AGGRESSIVE CORE GROWTH &
CAP SMALL COMPANY GROWTH GROWTH INCOME
------------ ------------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases............................... $169,768,467 $78,920,047 $54,843,583 $ 50,981,138 $304,708,563
Sales................................... 164,571,666 72,922,749 57,414,856 47,352,429 286,401,809
U.S. Government Obligations
Purchases............................... -- -- -- -- --
Sales................................... -- -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
SOCIAL STRATEGIC FIRSTAR GROWTH RELATIVE
S&P 500 AWARENESS INCOME & INCOME VALUE
------------ ------------- ----------- -------------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases............................... $ 92,702,727 $ 4,735,735 $ 1,893,058 $ 5,676,834 $ 2,425,215
Sales................................... 56,811,197 8,048,175 2,283,150 5,565,717 969,221
U.S. Government Obligations
Purchases............................... -- -- -- -- --
Sales................................... -- -- -- -- --
</TABLE>
<TABLE>
<CAPTION>
HIGH INCOME EQUITY CAPITAL
BLUE CHIP BOND INCOME GROWTH
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C> <C>
Stocks & Bonds:
Purchases............................... $ 2,760,701 $ 5,828,367 $ 3,025,659 $ 17,743,903
Sales................................... 1,052,403 3,324,379 1,489,016 11,966,813
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.
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,
(continued)
116
<PAGE> 118
OHIO NATIONAL FUND, INC. December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
Prior to January 1, 1999 Societe Generale Asset Management Corp. sub-advised
the International and International Small Company Portfolios. Effective
August 1, 1999 LM replaced ONI (adviser) as the sub-adviser for the Equity
Portfolio.
Effective January 3, 2000 Jennison Associates LLC replaced T. Rowe Price
Associates, Inc. as the sub-adviser for the Capital Appreciation Portfolio
and Janus Capital Corp. replaced Strong Capital Management, Inc. as the
sub-adviser for the Aggressive Growth Portfolio. As compensation for their
services Jennison will receive from ONI fees at an annual rate of 0.50% of
the average net assets of the Capital Appreciation Portfolio and Janus will
receive from ONI fees at an annual rate of 0.55% of the first $50 million of
the average net assets and 0.45% of average net assets in excess of $50
million of the Aggressive Growth 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)
117
<PAGE> 119
OHIO NATIONAL FUND, INC. December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(4) CAPITAL SHARE TRANSACTIONS
Capital share transactions for the six months ended December 31, 1999 and the
year ended December 31, 1998 were as follows:
<TABLE>
<CAPTION>
EQUITY MONEY MARKET BOND
---------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 957,794 675,941 22,320,710 6,102,024 532,591 986,062
Capital shares issued on reinvested
dividends................................ 4,875,492 254,451 257,858 164,506 171,315 150,778
Capital shares redeemed.................... 1,560,827 883,690 20,302,903 4,740,526 777,574 486,752
</TABLE>
<TABLE>
<CAPTION>
OMNI INTERNATIONAL CAPITAL APPRECIATION
---------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 366,349 1,413,338 908,052 848,791 611,576 1,366,055
Capital shares issued on reinvested
dividends................................ 488,865 264,859 -- 855,911 658,894 580,235
Capital shares redeemed.................... 2,428,393 872,309 3,773,197 2,444,300 1,857,003 443,155
</TABLE>
<TABLE>
<CAPTION>
SMALL CAP INT'L SMALL COMPANY AGGRESSIVE GROWTH
---------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 873,277 918,465 444,549 346,731 381,709 667,591
Capital shares issued on reinvested
dividends................................ 1,388,684 47 191,099 211,017 -- 159,625
Capital shares redeemed.................... 602,086 381,989 593,735 252,173 775,957 249,214
</TABLE>
<TABLE>
<CAPTION>
CORE GROWTH GROWTH & INCOME S&P 500
---------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 781,709 447,717 1,882,536 2,697,893 6,848,877 4,704,361
Capital shares issued on reinvested
dividends................................ 395,539 -- 905,619 31,748 1,258,144 394,979
Capital shares redeemed.................... 442,104 315,206 536,400 416,202 1,325,233 366,640
</TABLE>
<TABLE>
<CAPTION>
SOCIAL AWARENESS STRATEGIC INCOME FIRSTAR GROWTH & INCOME
---------------------- ----------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 99,912 491,246 28,748 116,213 41,852 98,689
Capital shares issued on reinvested
dividends................................ 2,521 3,763 28,040 27,950 4,000 12,199
Capital shares redeemed.................... 503,237 170,620 113,496 33,901 75,846 32,973
</TABLE>
<TABLE>
<CAPTION>
RELATIVE VALUE BLUE CHIP EQUITY INC.
---------------------- ----------------------- ----------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 181,502 486,057 282,532 287,536 192,426 216,229
Capital shares issued on reinvested
dividends................................ 5,881 13,803 6,959 403 2,831 1,309
Capital shares redeemed.................... 110,451 285,649 122,210 6,276 52,654 6,719
</TABLE>
(continued)
118
<PAGE> 120
OHIO NATIONAL FUND, INC. December 31, 1999
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
HIGH INCOME CAPITAL GROWTH
---------------------- -----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
12-31-99 12-31-98 12-31-99 12-31-98
--------- --------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
Capital shares issued on sales............. 314,320 1,046,722 876,365 217,195
Capital shares issued on reinvested
dividends................................ 74,356 42,369 81,368 --
Capital shares redeemed.................... 108,995 855 451,086 186
</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 December 31, 1999, the International and International Small Company
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 12/31/99 AMOUNT TYPE AT 12/31/99 GAIN LOSS
------ ---------- -------------- ----------- ---------- -------------- ----------- -------- ---------
<C> <S> <C> <C> <C> <C> <C> <C> <C>
10/05/01 3,650,000 New Zld Dollar 1,910,958 1,750,175 U.S. Dollar 1,750,175 $(160,783)
10/05/01 1,942,166 U.S. Dollar 1,942,166 3,650,000 New Zld Dollar 1,910,958 (31,208)
---------- ---------- -------- ---------
$3,853,124 $3,661,133 $ 0 $(191,991)
========== ========== ======== =========
</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 12/31/99 AMOUNT TYPE AT 12/31/99 GAIN LOSS
------ ---------- -------------- ----------- ---------- -------------- ----------- -------- ---------
<C> <C> <S> <C> <C> <C> <C> <C> <C>
11/13/00 18,480,000 Japanese Yen 189,899 173,147 U.S. Dollar 173,147 $(16,752)
11/13/00 178,035 U.S. Dollar 178,035 18,480,000 Japanese Yen 189,899 $ 11,864
---------- ---------- -------- ---------
$ 367,934 $ 363,046 $ 11,864 $(16,752)
========== ========== ======== =========
</TABLE>
(continued)
119
<PAGE> 121
OHIO NATIONAL FUND, INC.
INDEPENDENT AUDITORS' REPORT
The Board of Directors and Shareholders of
Ohio National Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of Ohio
National Fund, Inc. -- Equity Portfolio, Money Market Portfolio, Bond Portfolio,
Omni Portfolio, International Portfolio, Capital Appreciation Portfolio
(formerly Small Cap Growth Portfolio), Small Cap Portfolio, International Small
Company Portfolio (formerly Global Contrarian Portfolio), Aggressive Growth
Portfolio, Core Growth Portfolio, Growth & Income Portfolio, S&P 500 Index
Portfolio, Social Awareness Portfolio, Strategic Income Portfolio, Firstar
Growth & Income Portfolio (formerly Stellar Portfolio), Relative Value
Portfolio, Blue Chip Portfolio, Equity Income Portfolio, High Income Bond
Portfolio, Capital Growth Portfolio (formerly the Small Cap Growth Portfolio)
(collectively, the Funds), including the schedules of investments, as of
December 31, 1999 and the related statements of operations, statements of
changes in net assets and the financial highlights for the periods indicated
herein. These financial statements and financial highlights are the
responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
verification of securities owned as of December 31, 1999, by confirmation with
the custodians and brokers and other appropriate audit procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Funds at December 31, 1999, the results of their operations, the changes in
their net assets and the financial highlights for the periods indicated herein,
in conformity with generally accepted accounting principles.
KPMG LLP
Cincinnati, Ohio
February 11, 2000
120
<PAGE> 122
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENTS OF ASSETS AND CONTRACT OWNERS' EQUITY
December 31, 1999
<TABLE>
<CAPTION>
MONEY
EQUITY MARKET BOND OMNI INTERNATIONAL
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ---------- ---------- ----------- -------------
<S> <C> <C> <C> <C> <C>
Assets -- Investments at market value (note
2)............................................ $52,359,628 $5,195,427 $4,056,141 $35,778,591 $33,560,519
=========== ========== ========== =========== ===========
Contract owners' equity
Contracts in accumulation period (note 3)... 51,245,715 4,306,774 4,015,613 35,237,550 33,545,985
Annuity reserves for contract in payment
period...................................... 1,113,913 888,653 40,528 541,041 14,534
----------- ---------- ---------- ----------- -----------
Total contract owners' equity................. $52,359,628 $5,195,427 $4,056,141 $35,778,591 $33,560,519
=========== ========== ========== =========== ===========
<CAPTION>
CAPITAL
APPRECIATION SMALL CAP
SUBACCOUNT SUBACCOUNT
------------ -----------
<S> <C> <C>
Assets -- Investments at market value (note
2)............................................ $11,116,842 $19,591,957
=========== ===========
Contract owners' equity
Contracts in accumulation period (note 3)... 11,108,182 19,591,957
Annuity reserves for contract in payment
period...................................... 8,660 0
----------- -----------
Total contract owners' equity................. $11,116,842 $19,591,957
=========== ===========
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL AGGRESSIVE CORE GROWTH &
COMPANY GROWTH GROWTH INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------- ---------- ---------- -----------
<S> <C> <C> <C> <C>
Assets -- Investments at market value (note 2).......... $7,091,706 $2,845,349 $4,586,920 $15,238,449
========== ========== ========== ===========
Contract owners' equity
Contracts in accumulation period (note 3)............. 7,091,706 2,845,349 4,586,920 15,212,722
Annuity reserves for contract in payment period....... 0 0 0 25,727
---------- ---------- ---------- -----------
Total contract owners' equity........................... $7,091,706 $2,845,349 $4,586,920 $15,238,449
========== ========== ========== ===========
<CAPTION>
S&P 500 SOCIAL EQUITY
INDEX AWARENESS INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ----------
<S> <C> <C> <C>
Assets -- Investments at market value (note 2).......... $23,937,966 $ 350,697 $ 3,137
=========== =========== =========
Contract owners' equity
Contracts in accumulation period (note 3)............. 23,703,999 350,697 0
Annuity reserves for contract in payment period....... 233,967 0 0
----------- ----------- ---------
Total contract owners' equity........................... $23,937,966 $ 350,697 $ 3,137
=========== =========== =========
</TABLE>
The accompanying notes are an integral part of these financial statements.
121
<PAGE> 123
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENTS OF ASSETS AND CONTRACT OWNERS' EQUITY
December 31, 1999
<TABLE>
<CAPTION>
HIGH INCOME CAPITAL DOW TARGET 10 DOW TARGET 5
BOND GROWTH NOVEMBER NOVEMBER
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ---------- ------------- ------------
<S> <C> <C> <C> <C>
Assets -- Investments at market value (note
2)......................................... $ 12,685 $ 198,091 $ 7,285 $ 7,943
========== ========== ========== ==========
Contract owners' equity
Contracts in accumulation period (note
3)...................................... $ 12,685 $ 198,091 $ 7,285 $ 7,943
========== ========== ========== ==========
<CAPTION>
JANUS ASPEN SERIES
-----------------------------------------
WORLDWIDE
GROWTH GROWTH BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ---------- ----------
<S> <C> <C> <C>
Assets -- Investments at market value (note
2)......................................... $ 1,138,374 $779,519 $566,872
=========== ======== ========
Contract owners' equity
Contracts in accumulation period (note
3)...................................... $ 1,138,374 $779,519 $566,872
=========== ======== ========
</TABLE>
<TABLE>
<CAPTION>
MORGAN
STRONG VARIABLE FUNDS STANLEY GOLDMAN SACHS
--------------------------------------- ---------- ------------------------
OPPORTUNITY SCHAFER MID-CAP US REAL VIT GROWTH VIT CORE
II VALUE II GROWTH II ESTATE & INCOME US EQUITY
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Assets -- Investments at market value (note
2).......................................... $ 5,502 $ 5,744 $ 112,271 $58,379 $22,280 $92,184
======= ======= ========= ======= ======= =======
Contract owners' equity
Contracts in accumulation period (note 3)... $ 5,502 $ 5,744 $ 112,271 $58,379 $22,280 $92,184
======= ======= ========= ======= ======= =======
<CAPTION>
LAZARD RETIREMENT
------------------------
EMERGING SMALL
MARKET CAP
SUBACCOUNT SUBACCOUNT
---------- ----------
<S> <C> <C>
Assets -- Investments at market value (note
2).......................................... $ 4,299 $ 7,358
======== ========
Contract owners' equity
Contracts in accumulation period (note 3)... $ 4,299 $ 7,358
======== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
122
<PAGE> 124
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
EQUITY MONEY MARKET BOND
SUBACCOUNT SUBACCOUNT SUBACCOUNT
--------------------------- ------------------------- -----------------------
1999 1998 1999 1998 1999 1998
------------ ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Investment activity:
Reinvested dividends............. $ 158,742 $ 643,736 $ 225,724 $ 201,970 $ 298,236 $ 289,292
Risk & administrative expense
(note 4)...................... (478,211) (546,470) (42,741) (42,082) (40,556) (46,515)
------------ ---------- ---------- ---------- --------- ---------
Net investment activity..... (319,469) 97,266 182,983 159,888 257,680 242,777
------------ ---------- ---------- ---------- --------- ---------
Realized & Unrealized gain (loss)
on investments:
Reinvested capital gains...... 20,150,862 967,611 0 0 0 0
Realized gain (loss).......... 3,064,788 1,549,381 (3,325) 0 (44,458) 17,889
Unrealized gain (loss)........ (14,467,643) (381,417) 0 0 (230,000) (89,689)
------------ ---------- ---------- ---------- --------- ---------
Net gain (loss) on
investments............ 8,748,007 2,135,575 (3,325) 0 (274,458) (71,800)
------------ ---------- ---------- ---------- --------- ---------
Net increase (decrease)
in contract owners'
equity from
operations.......... $ 8,428,538 $2,232,841 $ 179,658 $ 159,888 $ (16,778) $ 170,977
============ ========== ========== ========== ========= =========
<CAPTION>
OMNI
SUBACCOUNT
-------------------------
1999 1998
---------- ----------
<S> <C> <C>
Investment activity:
Reinvested dividends............. $ 796,221 $1,083,391
Risk & administrative expense
(note 4)...................... (364,706) (427,281)
---------- ----------
Net investment activity..... 431,515 656,110
---------- ----------
Realized & Unrealized gain (loss)
on investments:
Reinvested capital gains...... 1,224,231 6,749
Realized gain (loss).......... 2,008,442 1,039,662
Unrealized gain (loss)........ (148,783) (397,565)
---------- ----------
Net gain (loss) on
investments............ 3,083,890 648,846
---------- ----------
Net increase (decrease)
in contract owners'
equity from
operations.......... $3,515,405 $1,304,956
========== ==========
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL CAPITAL APPRECIATION SMALL CAP
SUBACCOUNT SUBACCOUNT SUBACCOUNT
-------------------------- ------------------------- --------------------------
1999 1998 1999 1998 1999 1998
----------- ---------- ---------- ---------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Investment activity:
Reinvested dividends............ $ 0 $1,156,082 $ 337,943 $ 290,823 $ 0 $ 0
Risk & administrative expense
(note 4)..................... (247,052) (309,250) (114,400) (117,381) (117,155) (76,080)
----------- ---------- ---------- ---------- ----------- ----------
Net investment activity.... (247,052) 846,832 223,543 173,442 (117,155) (76,080)
----------- ---------- ---------- ---------- ----------- ----------
Realized & Unrealized gain
(loss) on investments:
Reinvested capital gains..... 0 1,161,180 1,027,347 911,853 5,016,049 125
Realized gain (loss)......... (461,499) (77,521) 107,420 111,752 803,917 47,477
Unrealized gain (loss)....... 14,166,256 (927,238) (766,935) (664,732) 4,000,217 827,495
----------- ---------- ---------- ---------- ----------- ----------
Net gain on
investments........... 13,704,757 156,421 367,832 358,873 9,820,183 875,097
----------- ---------- ---------- ---------- ----------- ----------
Net increase in
contract owners'
equity from
operations......... $13,457,705 $1,003,253 $ 591,375 $ 532,315 $ 9,703,028 $ 799,017
=========== ========== ========== ========== =========== ==========
<CAPTION>
INTERNATIONAL SMALL CO.
SUBACCOUNT
-----------------------
1999 1998
---------- --------
<S> <C> <C>
Investment activity:
Reinvested dividends............ $ 0 $123,763
Risk & administrative expense
(note 4)..................... (44,594) (41,755)
---------- --------
Net investment activity.... (44,594) 82,008
---------- --------
Realized & Unrealized gain
(loss) on investments:
Reinvested capital gains..... 671,300 380,757
Realized gain (loss)......... 93,100 7,587
Unrealized gain (loss)....... 2,962,132 (376,963)
---------- --------
Net gain on
investments........... 3,726,532 11,381
---------- --------
Net increase in
contract owners'
equity from
operations......... $3,681,938 $ 93,389
========== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
123
<PAGE> 125
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH CORE GROWTH GROWTH & INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------------------- ------------------------- -------------------------
1999 1998 1999 1998 1999 1998
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Investment activity:
Reinvested dividends............. $ 0 $ 0 $ 0 $ 0 $ 21,336 $ 60,145
Risk & administrative expense
(note 4)...................... (26,005) (27,354) (24,373) (16,008) (98,158) (58,966)
---------- ---------- ---------- ---------- ---------- ----------
Net investment activity..... (26,005) (27,354) (24,373) (16,008) (76,822) 1,179
---------- ---------- ---------- ---------- ---------- ----------
Realized & Unrealized gain (loss)
on investments:
Reinvested capital gains...... 0 200,891 949,341 0 2,196,234 0
Realized gain (loss).......... (47,192) 23,950 144,682 4,074 225,476 (31,303)
Unrealized gain (loss)........ 176,397 (14,822) 1,030,245 147,453 3,034,105 286,998
---------- ---------- ---------- ---------- ---------- ----------
Net gain on
investments............ 129,205 210,019 2,124,268 151,527 5,455,815 255,695
---------- ---------- ---------- ---------- ---------- ----------
Net increase in
contract owners'
equity from
operations.......... $ 103,200 $ 182,665 $2,099,895 $ 135,519 $5,378,993 $ 256,874
========== ========== ========== ========== ========== ==========
<CAPTION>
S&P 500 INDEX
SUBACCOUNT
-------------------------
1999 1998
---------- ----------
<S> <C> <C>
Investment activity:
Reinvested dividends............. $ 495,882 $ 187,262
Risk & administrative expense
(note 4)...................... (195,698) (65,983)
---------- ----------
Net investment activity..... 300,184 121,279
---------- ----------
Realized & Unrealized gain (loss)
on investments:
Reinvested capital gains...... 1,783,851 457,759
Realized gain (loss).......... 476,383 94,319
Unrealized gain (loss)........ 1,973,695 1,128,994
---------- ----------
Net gain on
investments............ 4,233,929 1,681,072
---------- ----------
Net increase in
contract owners'
equity from
operations.......... $4,534,113 $1,802,351
========== ==========
</TABLE>
<TABLE>
<CAPTION>
HIGH
EQUITY INCOME CAPITAL
SOCIAL AWARENESS INCOME BOND GROWTH
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------------------- ---------- ---------- -----------
1999 1998 1999(a) 1999(a) 1999(a)
---------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
Investment activity:
Reinvested dividends.......................... $ 1,714 $ 3,337 $ 6 $ 121 $ 0
Risk & administrative expense (note 4)........ (3,925) (6,311) 0 (6) (122)
---------- ---------- ---------- ---------- -----------
Net investment activity.................. (2,211) (2,974) 6 115 (122)
---------- ---------- ---------- ---------- -----------
Realized & Unrealized gain (loss) on
investments:
Reinvested capital gains................... 0 0 0 0 19,904
Realized gain (loss)....................... (115,903) (36,029) 0 0 1,964
Unrealized gain (loss)..................... 155,885 (166,905) 34 (52) (340)
---------- ---------- ---------- ---------- -----------
Net gain (loss) on investments........ 39,982 (202,934) 34 (52) 21,528
---------- ---------- ---------- ---------- -----------
Net increase (decrease) in contract
owners' equity from operations... $ 37,771 $ (205,908) $ 40 $ 63 $ 21,406
========== ========== ========== ========== ===========
<CAPTION>
DOW DOW
TARGET 10 TARGET 5
NOVEMBER NOVEMBER
SUBACCOUNT SUBACCOUNT
---------- ----------
1999(a) 1999(a)
---------- ----------
<S> <C> <C>
Investment activity:
Reinvested dividends.......................... $ 24 $ 34
Risk & administrative expense (note 4)........ (9) (10)
---------- --------
Net investment activity.................. 15 24
---------- --------
Realized & Unrealized gain (loss) on
investments:
Reinvested capital gains................... 0 0
Realized gain (loss)....................... 0 (75)
Unrealized gain (loss)..................... 101 (32)
---------- --------
Net gain (loss) on investments........ 101 (107)
---------- --------
Net increase (decrease) in contract
owners' equity from operations... $ 116 $ (83)
========== ========
</TABLE>
- ---------------
(a) Period from November 1, 1999, date of commencement of operations.
The accompanying notes are an integral part of these financial statements.
124
<PAGE> 126
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENTS OF OPERATIONS
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
JANUS ASPEN SERIES RETIREMENT SHARES
-------------------------------------------
WORLDWIDE
GROWTH GROWTH BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ----------
1999(a) 1999(a) 1999(a)
----------- ----------- ----------
<S> <C> <C> <C>
Investment activity:
Reinvested dividends........................ $ 962 $ 0 $ 5,962
Risk & administrative expense (note 4)...... (681) (467) (397)
----------- ----------- ----------
Net investment activity................ 281 (467) 5,565
----------- ----------- ----------
Realized & Unrealized gain (loss) on
investments:
Reinvested capital gains................. 0 0 0
Realized gain (loss)..................... 5,243 2,566 356
Unrealized gain (loss)................... 65,747 83,099 21,636
----------- ----------- ----------
Net gain (loss) on investments......... 70,990 85,665 21,992
----------- ----------- ----------
Net increase (decrease) in contract
owners' equity from operations.... $ 71,271 $ 85,198 $ 27,557
=========== =========== ==========
<CAPTION>
MORGAN
STRONG VARIABLE ANNUITY FUNDS STANLEY
------------------------------------------- ----------
OPPORTUNITY SCHAFER MID-CAP US REAL
II VALUE II GROWTH ESTATE
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ---------- ---------- ----------
1999(a) 1999(a) 1999(a) 1999(a)
----------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Investment activity:
Reinvested dividends........................ $ 0 $ 0 $ 0 $ 1,107
Risk & administrative expense (note 4)...... 0 0 (35) (23)
---------- ---------- ---------- ----------
Net investment activity................ 0 0 (35) 1,084
---------- ---------- ---------- ----------
Realized & Unrealized gain (loss) on
investments:
Reinvested capital gains................. 0 0 0 0
Realized gain (loss)..................... (1,646) 1,758 217 0
Unrealized gain (loss)................... 49 53 7,312 1,118
---------- ---------- ---------- ----------
Net gain (loss) on investments......... (1,597) 1,811 7,529 1,118
---------- ---------- ---------- ----------
Net increase (decrease) in contract
owners' equity from operations.... $ (1,597) $ 1,811 $ 7,494 $ 2,202
========== ========== ========== ==========
</TABLE>
<TABLE>
<CAPTION>
GOLDMAN SACHS LAZARD RETIREMENT
--------------------------- -------------------------
VIT GROWTH VIT CORE EMERGING SMALL
& INCOME US EQUITY MARKET CAP
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ---------- ----------
1999(a) 1999(a) 1999(a) 1999(a)
----------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
Investment activity:
Reinvested dividends........................ $ 197 $ 0 $ 8 $ 0
Risk & administrative expense (note 4)...... (27) (29) (3) 0
----------- ----------- ---------- ----------
Net investment activity................ 170 (29) 5 0
----------- ----------- ---------- ----------
Realized & Unrealized gain (loss) on
investments:
Reinvested capital gains................. 0 0 0 0
Realized gain............................ 0 225 0 0
Unrealized gain.......................... 494 3,467 471 1
----------- ----------- ---------- ----------
Net gain on investments................ 494 3,692 471 1
----------- ----------- ---------- ----------
Net increase in contract owners'
equity from operations............ $ 664 $ 3,663 $ 476 $ 1
=========== =========== ========== ==========
</TABLE>
- ---------------
(a) Period from November 1, 1999, date of commencement of operations.
The accompanying notes are an integral part of these financial statements.
125
<PAGE> 127
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENT OF CHANGES IN CONTRACT OWNERS' EQUITY
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
EQUITY SUBACCOUNT MONEY MARKET SUBACCOUNT BOND SUBACCOUNT
--------------------------- ------------------------ ------------------------
1999 1998 1999 1998 1999 1998
------------ ----------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Increase (decrease) in contract owners'
equity from operations:
Net investment activity............... $ (319,469) $ 97,266 $ 182,983 $ 159,888 $ 257,680 $ 242,777
Reinvested capital gains.............. 20,150,862 967,611 0 0 0 0
Realized gain (loss).................. 3,064,788 1,549,381 (3,325) 0 (44,458) 17,889
Unrealized gain (loss)................ (14,467,643) (381,417) 0 0 (230,000) (89,689)
------------ ----------- ---------- ---------- ---------- ----------
Net increase (decrease) in contract
owners' equity from operations... 8,428,538 2,232,841 179,658 159,888 (16,778) 170,977
------------ ----------- ---------- ---------- ---------- ----------
Equity transactions:
Sales:
Contract purchase payments......... 949,792 2,100,044 621,151 2,147,915 362,884 935,872
Transfers from fixed & other
subaccounts...................... 2,858,015 2,435,432 5,065,523 2,619,746 239,788 1,709,892
------------ ----------- ---------- ---------- ---------- ----------
3,807,807 4,535,476 5,686,674 4,767,661 602,672 2,645,764
------------ ----------- ---------- ---------- ---------- ----------
Redemptions:
Withdrawals & surrenders........... 5,123,319 3,364,861 1,372,115 954,565 564,887 290,032
Annuity & death benefit payments... 759,507 1,078,632 128,071 83,578 269,265 48,171
Transfers to fixed & other
subaccounts...................... 5,577,253 1,941,051 3,480,999 2,875,688 764,132 1,298,182
------------ ----------- ---------- ---------- ---------- ----------
11,460,079 6,384,544 4,981,185 3,913,831 1,598,284 1,636,385
------------ ----------- ---------- ---------- ---------- ----------
Net equity transactions.......... (7,652,272) (1,849,068) 705,489 853,830 (995,612) 1,009,379
------------ ----------- ---------- ---------- ---------- ----------
Net change in contract owners'
equity...................... 776,266 383,773 885,147 1,013,718 (1,012,390) 1,180,356
Contract owners' equity:
Beginning of period................... 51,583,362 51,199,589 4,310,280 3,296,562 5,068,531 3,888,175
------------ ----------- ---------- ---------- ---------- ----------
End of period......................... $ 52,359,628 $51,583,362 $5,195,427 $4,310,280 $4,056,141 $5,068,531
============ =========== ========== ========== ========== ==========
<CAPTION>
OMNI SUBACCOUNT
--------------------------
1999 1998
----------- -----------
<S> <C> <C>
Increase (decrease) in contract owners'
equity from operations:
Net investment activity............... $ 431,515 $ 656,110
Reinvested capital gains.............. 1,224,231 6,749
Realized gain (loss).................. 2,008,442 1,039,662
Unrealized gain (loss)................ (148,783) (397,565)
----------- -----------
Net increase (decrease) in contract
owners' equity from operations... 3,515,405 1,304,956
----------- -----------
Equity transactions:
Sales:
Contract purchase payments......... 666,992 2,747,209
Transfers from fixed & other
subaccounts...................... 1,106,315 2,178,355
----------- -----------
1,773,307 4,925,564
----------- -----------
Redemptions:
Withdrawals & surrenders........... 3,564,970 3,192,559
Annuity & death benefit payments... 932,987 780,199
Transfers to fixed & other
subaccounts...................... 5,144,919 1,931,656
----------- -----------
9,642,876 5,904,414
----------- -----------
Net equity transactions.......... (7,869,569) (978,850)
----------- -----------
Net change in contract owners'
equity...................... (4,354,164) 326,106
Contract owners' equity:
Beginning of period................... 40,132,755 39,806,649
----------- -----------
End of period......................... $35,778,591 $40,132,755
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
126
<PAGE> 128
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENT OF CHANGES IN CONTRACT OWNERS' EQUITY
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
CAPITAL APPRECIATION
INTERNATIONAL SUBACCOUNT SUBACCOUNT SMALL CAP SUBACCOUNT
-------------------------- -------------------------- -------------------------
1999 1998 1999 1998 1999 1998
----------- ----------- ----------- ----------- ----------- ----------
<S> <C> <C> <C> <C> <C> <C>
Increase in contract owners' equity
from operations:
Net investment activity.............. $ (247,052) $ 846,832 $ 223,543 $ 173,442 $ (117,155) $ (76,080)
Reinvested capital gains............. 0 1,161,180 1,027,347 911,853 5,016,049 125
Realized gain (loss)................. (461,499) (77,521) 107,420 111,752 803,917 47,477
Unrealized gain (loss)............... 14,166,256 (927,238) (766,935) (664,732) 4,000,217 827,495
----------- ----------- ----------- ----------- ----------- ----------
Net increase in contract owners'
equity from operations.......... 13,457,705 1,003,253 591,375 532,315 9,703,028 799,017
----------- ----------- ----------- ----------- ----------- ----------
Equity transactions:
Sales:
Contract purchase payments........ 405,805 1,100,574 644,262 1,163,240 643,462 702,881
Transfers from fixed & other
subaccounts..................... 506,762 564,994 931,594 665,066 3,272,715 700,063
----------- ----------- ----------- ----------- ----------- ----------
912,567 1,665,568 1,575,856 1,828,306 3,916,177 1,402,944
----------- ----------- ----------- ----------- ----------- ----------
Redemptions:
Withdrawals & surrenders.......... 2,409,535 1,562,756 835,021 231,140 1,327,858 193,335
Annuity & death benefit
payments........................ 491,647 255,710 276,869 129,216 181,117 70,497
Transfers to fixed & other
subaccounts..................... 6,030,672 5,087,977 1,880,606 1,128,899 1,558,667 878,703
----------- ----------- ----------- ----------- ----------- ----------
8,931,854 6,906,443 2,992,496 1,489,255 3,067,642 1,142,535
----------- ----------- ----------- ----------- ----------- ----------
Net equity transactions......... (8,019,287) (5,240,875) (1,416,640) 339,051 848,535 260,409
----------- ----------- ----------- ----------- ----------- ----------
Net change in contract
owners' equity............. 5,438,418 (4,237,622) (825,265) 871,366 10,551,563 1,059,426
Contract owners' equity:
Beginning of period.................. 28,122,101 32,359,723 11,942,107 11,070,741 9,040,394 7,980,968
----------- ----------- ----------- ----------- ----------- ----------
End of period........................ $33,560,519 $28,122,101 $11,116,842 $11,942,107 $19,591,957 $9,040,394
=========== =========== =========== =========== =========== ==========
<CAPTION>
INTERNATIONAL SMALL CO.
SUBACCOUNT
------------------------
1999 1998
---------- ----------
<S> <C> <C>
Increase in contract owners' equity
from operations:
Net investment activity.............. $ (44,594) $ 82,008
Reinvested capital gains............. 671,300 380,757
Realized gain (loss)................. 93,100 7,587
Unrealized gain (loss)............... 2,962,132 (376,963)
---------- ----------
Net increase in contract owners'
equity from operations.......... 3,681,938 93,389
---------- ----------
Equity transactions:
Sales:
Contract purchase payments........ 108,466 233,524
Transfers from fixed & other
subaccounts..................... 678,360 344,948
---------- ----------
786,826 578,472
---------- ----------
Redemptions:
Withdrawals & surrenders.......... 151,314 77,787
Annuity & death benefit
payments........................ 39,040 7,840
Transfers to fixed & other
subaccounts..................... 1,496,514 478,743
---------- ----------
1,686,868 564,370
---------- ----------
Net equity transactions......... (900,042) 14,102
---------- ----------
Net change in contract
owners' equity............. 2,781,896 107,491
Contract owners' equity:
Beginning of period.................. 4,309,810 4,202,319
---------- ----------
End of period........................ $7,091,706 $4,309,810
========== ==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
127
<PAGE> 129
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENT OF CHANGES IN CONTRACT OWNERS' EQUITY
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
AGGRESSIVE GROWTH
SUBACCOUNT CORE GROWTH SUBACCOUNT GROWTH & INCOME SUBACCOUNT
------------------------ ------------------------ ---------------------------
1999 1998 1999 1998 1999 1998
---------- ---------- ---------- ---------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C>
Increase in contract owners' equity from
operations:
Net investment activity................ $ (26,005) $ (27,354) $ (24,373) $ (16,008) $ (76,822) $ 1,179
Reinvested capital gains............... 0 200,891 949,341 0 2,196,234 0
Realized gain (loss)................... (47,192) 23,950 144,682 4,074 225,476 (31,303)
Unrealized gain (loss)................. 176,397 (14,822) 1,030,245 147,453 3,034,105 286,998
---------- ---------- ---------- ---------- ----------- ----------
Net increase in contract owners'
equity from operations............ 103,200 182,665 2,099,895 135,519 5,378,993 256,874
---------- ---------- ---------- ---------- ----------- ----------
Equity transactions:
Sales:
Contract purchase payments.......... 110,532 365,436 287,789 315,440 843,108 1,767,790
Transfers from fixed & other
subaccounts....................... 493,901 146,582 1,298,977 320,848 4,200,569 2,890,406
---------- ---------- ---------- ---------- ----------- ----------
604,433 512,018 1,586,766 636,288 5,043,677 4,658,196
---------- ---------- ---------- ---------- ----------- ----------
Redemptions:
Withdrawals & surrenders............ 261,509 101,645 147,101 70,806 504,250 463,117
Annuity & death benefit payments.... 76,685 18,453 2,610 3,721 90,264 68,077
Transfers to fixed & other
subaccounts....................... 490,832 434,257 672,679 581,882 1,693,204 1,167,686
---------- ---------- ---------- ---------- ----------- ----------
829,026 554,355 822,390 656,409 2,287,718 1,698,880
---------- ---------- ---------- ---------- ----------- ----------
Net equity transactions........... (224,593) (42,337) 764,376 (20,121) 2,755,959 2,959,316
---------- ---------- ---------- ---------- ----------- ----------
Net change in contract owners'
equity....................... (121,393) 140,328 2,864,271 115,398 8,134,952 3,216,190
Contract owners' equity:
Beginning of period.................... 2,966,742 2,826,414 1,722,649 1,607,251 7,103,497 3,887,307
---------- ---------- ---------- ---------- ----------- ----------
End of period.......................... $2,845,349 $2,966,742 $4,586,920 $1,722,649 $15,238,449 $7,103,497
========== ========== ========== ========== =========== ==========
<CAPTION>
S&P 500 INDEX SUBACCOUNT
--------------------------
1999 1998
----------- -----------
<S> <C> <C>
Increase in contract owners' equity from
operations:
Net investment activity................ $ 300,184 $ 121,279
Reinvested capital gains............... 1,783,851 457,759
Realized gain (loss)................... 476,383 94,319
Unrealized gain (loss)................. 1,973,695 1,128,994
----------- -----------
Net increase in contract owners'
equity from operations............ 4,534,113 1,802,351
----------- -----------
Equity transactions:
Sales:
Contract purchase payments.......... 1,479,192 3,550,150
Transfers from fixed & other
subaccounts....................... 12,478,613 4,851,282
----------- -----------
13,957,805 8,401,432
----------- -----------
Redemptions:
Withdrawals & surrenders............ 1,086,225 616,453
Annuity & death benefit payments.... 158,447 60,889
Transfers to fixed & other
subaccounts....................... 4,253,342 1,458,064
----------- -----------
5,498,014 2,135,406
----------- -----------
Net equity transactions........... 8,459,791 6,266,026
----------- -----------
Net change in contract owners'
equity....................... 12,993,904 8,068,377
Contract owners' equity:
Beginning of period.................... 10,944,062 2,875,685
----------- -----------
End of period.......................... $23,937,966 $10,944,062
=========== ===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
128
<PAGE> 130
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENT OF CHANGES IN CONTRACT OWNERS' EQUITY
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
HIGH
EQUITY INCOME CAPITAL DOW TARGET 10 DOW TARGET 5
SOCIAL AWARENESS INCOME BOND GROWTH NOVEMBER NOVEMBER
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------------------- ---------- ---------- ---------- ------------- -------------
1999 1998 1999(a) 1999(a) 1999(a) 1999(a) 1999(a)
--------- ---------- ---------- ---------- ---------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease) in
contract owners' equity from
operations:
Net investment activity..... $ (2,211) $ (2,974) $ 6 $ 115 $ (122) $ 15 $ 24
Reinvested capital gains.... 0 0 0 0 19,904 0 0
Realized gain (loss)........ (115,903) (36,029) 0 0 1,964 0 (75)
Unrealized gain (loss)...... 155,885 (166,905) 34 (52) (340) 101 (32)
--------- --------- ------ ------- -------- ------ ------
Net increase (decrease)
in contract owners'
equity from
operations............. 37,771 (205,908) 40 63 21,406 116 (83)
--------- --------- ------ ------- -------- ------ ------
Equity transactions:
Sales:
Contract purchase
payments............... 6,009 236,842 0 0 38,558 10 700
Transfers from fixed &
other subaccounts...... 19,537 241,588 3,097 12,622 145,271 11,710 7,326
--------- --------- ------ ------- -------- ------ ------
25,546 478,430 3,097 12,622 183,829 11,720 8,026
--------- --------- ------ ------- -------- ------ ------
Redemptions:
Withdrawals &
surrenders............. 27,677 13,191 0 0 0 0 0
Annuity & death benefit
payments............... 5,358 4,845 0 0 0 0 0
Transfers to fixed &
other subaccounts...... 248,500 196,683 0 0 7,144 4,551 0
--------- --------- ------ ------- -------- ------ ------
281,535 214,719 0 0 7,144 4,551 0
--------- --------- ------ ------- -------- ------ ------
Net equity
transactions........ (255,989) 263,711 3,097 12,622 176,685 7,169 8,026
--------- --------- ------ ------- -------- ------ ------
Net change in
contract owners'
equity............ (218,218) 57,803 3,137 12,685 198,091 7,285 7,943
Contract owners' equity:
Beginning of period......... 568,915 511,112 0 0 0 0 0
--------- --------- ------ ------- -------- ------ ------
End of period............... $ 350,697 $ 568,915 $3,137 $12,685 $198,091 $7,285 $7,943
========= ========= ====== ======= ======== ====== ======
</TABLE>
- ---------------
(a) Period from November 1, 1999, date of commencement of operations.
The accompanying notes are an integral part of these financial statements.
129
<PAGE> 131
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENT OF CHANGES IN CONTRACT OWNERS' EQUITY
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
MORGAN
JANUS ASPEN SERIES RETIREMENT SHARES STRONG VARIABLE ANNUITY FUNDS STANLEY
-------------------------------------- --------------------------------------- ----------
WORLDWIDE OPPORTUNITY SCHAFER MID-CAP US REAL
GROWTH GROWTH BALANCED II VALUE II GROWTH ESTATE
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
---------- ---------- ---------- ----------- ---------- ---------- ----------
1999(a) 1999(a) 1999(a) 1999(a) 1999(a) 1999(a) 1999(a)
---------- ---------- ---------- ----------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C> <C>
Increase (decrease) in contract
owners' equity from
operations:
Net investment activity....... $ 281 $ (467) $ 5,565 $ 0 $ 0 $ (35) $ 1,084
Reinvested capital gains...... 0 0 0 0 0 0 0
Realized gain (loss).......... 5,243 2,566 356 (1,646) 1,758 217 0
Unrealized gain (loss)........ 65,747 83,099 21,636 49 53 7,312 1,118
---------- -------- -------- ------- ------ -------- -------
Net increase (decrease)
in contract owners'
equity from
operations............ 71,271 85,198 27,557 (1,597) 1,811 7,494 2,202
---------- -------- -------- ------- ------ -------- -------
Equity transactions:
Sales:
Contract purchase
payments.............. 53,702 114,377 70,260 0 0 26,413 0
Transfers from fixed &
other subaccounts..... 1,075,866 627,548 591,947 11,033 3,933 83,377 56,177
---------- -------- -------- ------- ------ -------- -------
1,129,568 741,925 662,207 11,033 3,933 109,790 56,177
---------- -------- -------- ------- ------ -------- -------
Redemptions:
Withdrawals & surrenders... 0 0 0 0 0 0 0
Annuity & death benefit
payments................. 155 0 703 0 0 0 0
Transfers to fixed & other
subaccounts.............. 62,310 47,605 122,189 3,934 0 5,013 0
---------- -------- -------- ------- ------ -------- -------
62,465 47,605 122,892 3,934 0 5,013 0
---------- -------- -------- ------- ------ -------- -------
Net equity
transactions.......... 1,067,103 694,320 539,315 7,099 3,933 104,777 56,177
---------- -------- -------- ------- ------ -------- -------
Net change in contract
owners' equity...... 1,138,374 779,518 566,872 5,502 5,744 112,271 58,379
Contract owners' equity:
Beginning of period........... 0 0 0 0 0 0 0
---------- -------- -------- ------- ------ -------- -------
End of period................. $1,138,374 $779,518 $566,872 $ 5,502 $5,744 $112,271 $58,379
========== ======== ======== ======= ====== ======== =======
</TABLE>
- ---------------
(a) Period from November 1, 1999, date of commencement of operations.
The accompanying notes are an integral part of these financial statements.
130
<PAGE> 132
OHIO NATIONAL VARIABLE ACCOUNT B
STATEMENT OF CHANGES IN CONTRACT OWNERS' EQUITY
For the Years Ended December 31, 1999 and 1998
<TABLE>
<CAPTION>
GOLDMAN SACHS LAZARD RETIREMENT
------------------------ ------------------------
VIT GROWTH VIT CORE EMERGING SMALL
& INCOME US EQUITY MARKET CAP
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
---------- ---------- ---------- ----------
1999(a) 1999(a) 1999(a) 1999(a)
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Increase (decrease) in contract owners' equity from
operations:
Net investment activity............................... $ 170 $ (29) $ 5 $ 0
Reinvested capital gains.............................. 0 0 0 0
Realized gain......................................... 0 225 0 0
Unrealized gain....................................... 494 3,467 471 1
------- ------- ------ ------
Net increase in contract owners' equity from
operations....................................... 664 3,663 476 1
------- ------- ------ ------
Equity transactions:
Sales:
Contract purchase payments......................... 4,500 10 0 10
Transfers from fixed & other subaccounts........... 17,116 88,511 3,823 7,347
------- ------- ------ ------
21,616 88,521 3,823 7,357
------- ------- ------ ------
Redemptions:
Withdrawals & surrenders........................... 0 0 0 0
Annuity & death benefit payments................... 0 0 0 0
Transfers to fixed & other subaccounts............. 0 0 0 0
------- ------- ------ ------
0 0 0 0
------- ------- ------ ------
Net equity transactions.......................... 21,616 88,521 3,823 7,357
------- ------- ------ ------
Net change in contract owners' equity......... 22,280 92,184 4,299 7,358
Contract owners' equity:
Beginning of period................................... 0 0 0 0
------- ------- ------ ------
End of period......................................... $22,280 $92,184 $4,299 $7,358
======= ======= ====== ======
</TABLE>
- ---------------
(a) Period from November 1, 1999, date of commencement of operations.
The accompanying notes are an integral part of these financial statements.
131
<PAGE> 133
OHIO NATIONAL VARIABLE ACCOUNT B
NOTES TO FINANCIAL STATEMENTS
(1) BASIS OF PRESENTATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Ohio National Variable Account B (the Account) is a separate account of The
Ohio National Life Insurance Company (ONLIC) and all obligations arising
under variable annuity contracts are general corporate obligations of ONLIC.
The account has been registered as a unit investment trust under the
Investment Company Act of 1940.
Assets of the Account are invested in portfolio shares of Ohio National Fund,
Inc., Janus Aspen Series, Strong Variable Insurance Funds, Inc., Morgan
Stanley Universal Funds, Inc., Goldman Sachs Variable Insurance Trust and
Lazard Retirement Funds (collectively the Funds). The Funds are diversified
open-end management investment companies. The Fund's investments are subject
to varying degrees of market, interest and financial risks; the issuers'
abilities to meet certain obligations may be affected by economic
developments in their respective industries.
Annuity reserves are computed for currently payable contracts according to
the Progressive Annuity Mortality Table. The assumed interest rate is 3.5 or
4.0 percent depending on the contract selected by the annuitant. Charges to
annuity reserves for adverse mortality and express risk experience are
reimbursed to the Account by ONLIC. Such amounts are included in risk and
administrative expenses.
Investments are valued at the net asset value of fund shares held at December
31, 1999. Share transactions are recorded on the trade date. Income and
capital gain distributions are recorded on the ex-dividend date. Net realized
capital gains and losses are determined on the basis of average cost.
ONLIC performs investment advisory services on behalf of the Ohio National
Fund, Inc. in which the Account invests. For these services, the Company
receives fees from the mutual funds. These fees are paid to an affiliate of
the Company.
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 revenues and expenses during the reporting period.
Actual results could differ from those estimates.
(2) INVESTMENTS
At December 31, 1999 the aggregate cost and number of shares of Ohio National
Fund, Inc. owned by the respective subaccounts were:
<TABLE>
<CAPTION>
MONEY CAPITAL
EQUITY MARKET BOND OMNI INTERNATIONAL APPRECIATION SMALL CAP
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ----------- ----------- ------------- ------------ -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggregate Cost............... $51,929,734 $5,195,427 $4,301,092 $27,286,671 $21,880,129 $11,510,283 $13,942,374
Number of Shares............. 1,977,551 519,543 408,186 1,586,915 1,559,721 918,216 619,685
</TABLE>
<TABLE>
<CAPTION>
INTERNATIONAL
SMALL AGGRESSIVE CORE GROWTH & S&P 500 SOCIAL EQUITY
COMPANY GROWTH GROWTH INCOME INDEX AWARENESS INCOME
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
------------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggregate Cost................ $ 4,444,242 $2,560,330 $3,419,446 $11,664,797 $20,836,721 $ 410,367 $ 3,103
Number of Shares.............. 350,277 241,315 270,153 811,549 1,480,760 34,022 253
</TABLE>
<TABLE>
<CAPTION>
DOW DOW JANUS ASPEN
HIGH INCOME CAPITAL TARGET 10 TARGET 5 JANUS ASPEN WORLDWIDE JANUS ASPEN
BOND GROWTH NOVEMBER NOVEMBER GROWTH GROWTH BALANCED
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggregate Cost.................. $ 12,737 $ 198,432 $ 7,184 $ 7,975 $1,072,627 $ 696,419 $ 545,236
Number of Shares................ 1,376 7,071 723 799 33,830 16,325 20,303
</TABLE>
(continued)
132
<PAGE> 134
OHIO NATIONAL VARIABLE ACCOUNT B
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
GOLDMAN
STRONG STRONG STRONG MORGAN SACHS VIT GOLDMAN
OPPORTUNITY SCHAFER MID-CAP STANLEY US GROWTH & SACHS CORE
II VALUE II GROWTH REAL ESTATE INCOME US EQUITY
SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT SUBACCOUNT
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggregate Cost.................. $ 5,453 $ 5,692 $ 104,958 $ 57,261 $ 21,786 $ 88,716
Number of Shares................ 212 630 3,697 6,408 2,046 6,594
</TABLE>
<TABLE>
<CAPTION>
LAZARD LAZARD
EMERGING SMALL
MARKET CAP
SUBACCOUNT SUBACCOUNT
----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggregate Cost.................. $ 3,828 $ 7,357
Number of Shares................ 390 749
</TABLE>
(3) CONTRACTS IN ACCUMULATION PERIOD
At December 31, 1999 the accumulation units and value per unit of the
respective subaccounts and products were:
<TABLE>
<CAPTION>
ACCUMULATION UNITS VALUE PER UNIT VALUE
------------------ -------------- -----------
<S> <C> <C> <C>
EQUITY SUBACCOUNT
Combination............................................... 13,634.6276 175.107175 $ 2,387,521
Back Load................................................. 768.1846 89.234207 $ 68,548
Top I..................................................... 15,716.6293 77.441596 $ 1,217,121
Top Tradition............................................. 566,619.3079 65.344855 $37,025,657
Top Plus.................................................. 480,964.6145 21.928573 $10,546,868
MONEY MARKET SUBACCOUNT
VIA....................................................... 6,923.9317 29.394756 $ 203,527
Top I..................................................... 4,422.7873 22.290284 $ 98,585
Top Tradition............................................. 129,934.9525 20.015273 $ 2,600,684
Top Plus.................................................. 109,471.3175 12.825076 $ 1,403,978
BOND SUBACCOUNT
Top I..................................................... 2,902.2098 31.054566 $ 90,127
Top Tradition............................................. 96,317.0701 26.006519 $ 2,504,872
Top Plus.................................................. 110,306.7924 12.878760 $ 1,420,615
OMNI SUBACCOUNT
Top I..................................................... 20,370.2498 44.658692 $ 909,709
Top Tradition............................................. 576,927.3991 44.377211 $25,602,429
Top Plus.................................................. 467,854.7137 18.649833 $ 8,725,412
INTERNATIONAL SUBACCOUNT
Top I..................................................... 8,563.2404 28.609795 $ 244,993
Top Tradition............................................. 755,373.1787 28.609795 $21,611,072
Top Plus.................................................. 462,283.4427 25.287344 $11,689,920
CAPITAL APPRECIATION SUBACCOUNT
Top I..................................................... 5,709.5218 16.361968 $ 93,419
Top Tradition............................................. 332,203.6341 16.361968 $ 5,435,505
Top Plus.................................................. 304,647.3049 18.313827 $ 5,579,258
SMALL CAP SUBACCOUNT
Top Tradition............................................. 286,164.0841 34.040041 $ 9,741,037
Top Plus.................................................. 220,470.5719 44.681338 $ 9,850,920
INTERNATIONAL SMALL COMPANY SUBACCOUNT
Top Tradition............................................. 119,756.2522 26.188124 $ 3,136,191
Top Plus.................................................. 140,283.3439 28.196610 $ 3,955,515
</TABLE>
(continued)
133
<PAGE> 135
OHIO NATIONAL VARIABLE ACCOUNT B
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
ACCUMULATION UNITS VALUE PER UNIT VALUE
------------------ -------------- -----------
<S> <C> <C> <C>
AGGRESSIVE GROWTH SUBACCOUNT
Top Tradition............................................. 87,207.3016 12.995269 $ 1,133,282
Top Plus.................................................. 108,827.5610 15.731920 $ 1,712,067
CORE GROWTH SUBACCOUNT
Top Tradition............................................. 139,073.4318 20.917283 $ 2,909,038
Top Plus.................................................. 79,741.7703 21.041443 $ 1,677,882
GROWTH & INCOME SUBACCOUNT
Top I..................................................... 1,877.8764 13.191296 $ 24,772
Top Tradition............................................. 376,028.4979 22.964177 $ 8,635,185
Top Plus.................................................. 283,664.4539 23.100411 $ 6,552,765
S&P 500 INDEX SUBACCOUNT
Top Tradition............................................. 626,757.1052 20.822980 $13,050,951
Top Plus.................................................. 508,584.1867 20.946479 $10,653,048
SOCIAL AWARENESS SUBACCOUNT
Top Tradition............................................. 15,891.9103 11.102565 $ 176,441
Top Plus.................................................. 15,602.4619 11.168486 $ 174,256
EQUITY INCOME SUBACCOUNT
Top Tradition............................................. 287.4153 10.913281 $ 3,137
HIGH INCOME SUBACCOUNT
Top Tradition............................................. 1,233.2853 10.285653 $ 12,685
CAPITAL GROWTH SUBACCOUNT
Top Tradition............................................. 10,147.1425 14.195676 $ 144,045
Top Plus.................................................. 3,805.9585 14.200260 $ 54,046
DOW TARGET 10 NOVEMBER SUBACCOUNT
Top Tradition............................................. .9922 10.093952 $ 10
Top Plus.................................................. 720.4663 10.097239 $ 7,275
DOW TARGET 5 NOVEMBER SUBACCOUNT
Top Tradition............................................. 70.4465 9.960325 $ 702
Top Plus.................................................. 726.7960 9.963566 $ 7,241
JANUS ASPEN GROWTH SUBACCOUNT
Top Tradition............................................. 70,201.4009 11.657335 $ 818,361
Top Plus.................................................. 27,442.7290 11.661117 $ 320,013
JANUS ASPEN WORLDWIDE GROWTH SUBACCOUNT
Top Tradition............................................. 30,873.4477 13.225533 $ 408,318
Top Plus.................................................. 28,057.9204 13.229802 $ 371,201
JANUS ASPEN BALANCED SUBACCOUNT
Top Tradition............................................. 47,021.9463 11.025619 $ 518,446
Top Plus.................................................. 4,390.6980 11.029199 $ 48,426
STRONG OPPORTUNITY II SUBACCOUNT
Top Tradition............................................. 493.0675 11.158443 $ 5,502
STRONG SCHAFER VALUE II SUBACCOUNT
Top Tradition............................................. 558.5544 10.284400 $ 5,744
STRONG MID-CAP GROWTH II SUBACCOUNT
Top Tradition............................................. 6,551.0086 12.916791 $ 84,618
Top Plus.................................................. 2,140.1299 12.920972 $ 27,653
MORGAN STANLEY US REAL ESTATE SUBACCOUNT
Top Tradition............................................. 5,753.5496 10.146637 $ 58,379
</TABLE>
(continued)
134
<PAGE> 136
OHIO NATIONAL VARIABLE ACCOUNT B
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
ACCUMULATION UNITS VALUE PER UNIT VALUE
------------------ -------------- -----------
<S> <C> <C> <C>
GOLDMAN SACHS VIT GROWTH & INCOME SUBACCOUNT
Top Tradition............................................. 1,684.5650 10.502077 $ 17,691
Top Plus.................................................. 436.7750 10.505494 $ 4,589
GOLDMAN SACHS VIT CORE US EQUITY SUBACCOUNT
Top I..................................................... 2,215.6947 10.924941 $ 24,206
Top Tradition............................................. 6,222.2191 10.924941 $ 67,978
LAZARD EMERGING MARKET SUBACCOUNT
Top Tradition............................................. 186.1856 12.512192 $ 2,329
Top Plus.................................................. 157.3593 12.516246 $ 1,970
LAZARD SMALL CAP SUBACCOUNT
Top Tradition............................................. 698.1966 10.538021 $ 7,358
</TABLE>
(4) RISK AND ADMINISTRATIVE EXPENSE
ONLIC charges the Account's assets at the end of each day, equal to 0.25% on
an annual basis, of the contract value for administrative expenses, based on
premiums established at the time the contracts are issued.
Although variable annuity payments differ according to the investment
performance of the Accounts, they are not affected by mortality or expense
experience because ONLIC assumes the expense risk and the mortality risk
under the contracts. ONLIC charges the Accounts' assets for assuming those
risks, based on the contract value at a rate presently ranging from 0.65% to
1.25% for mortality and expense risk on an annual basis.
The expense risk assumed by ONLIC is the risk that the deductions for sales
and administrative expenses provided for in the variable annuity contracts
may prove insufficient to cover the cost of those terms.
The mortality risk results from a provision in the contract in which ONLIC
agrees to make annuity payments regardless of how long a particular annuitant
or other payee lives and how long all annuitants or other payees as a class
live if payment options involving life contingencies are chosen. Those
annuity payments are determined in accordance with annuity purchase rate
provisions established at the time the contracts are issued.
(5) CONTRACT CHARGES
No deduction for a sales charge is made from purchase payments. A contingent
deferred sales charge ranging from 0% to 6% may be assessed by ONLIC when a
contract is surrendered or a partial withdrawal of accumulation value is made
before the annuity payout date.
A transfer fee is charged for each transfer from one subaccount to another.
The fee is charged against the contract owner's equity in the subaccount from
which the transfer is effected.
State premium taxes presently range from 0% to 2 1/2% for these contracts. In
those jurisdictions permitting, such taxes will be deducted when annuity
payments begin. Elsewhere, they will be deducted from purchase payments.
Each year on the contract anniversary (or at the time of surrender of the
contract), ONLIC will deduct a contract administration charge of $35 from the
accumulation value to reimburse it for the expenses relating to the
maintenance of the contract. Total contract charges for the Account amounted
to approximately $88,000 during 1999.
(6) FEDERAL INCOME TAXES
Operations of the Account form a part of, and are taxed with, operations of
ONLIC which is taxed as a life insurance company under the Internal Revenue
Code. Taxes are the responsibility of the contract owner upon termination or
withdrawal. No Federal income taxes are payable under the present law on
dividend income or capital gains distribution from the Fund shares held in
the Account or on capital gains realized by the Account on redemption of the
Fund shares.
135
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OHIO NATIONAL VARIABLE ACCOUNT B
INDEPENDENT AUDITORS' REPORT
The Board of Directors of
The Ohio National Life Insurance Company
and Contract Owners of Ohio National
Variable Account B:
We have audited the accompanying statements of assets and contract owners'
equity of Ohio National Variable Account B (comprised of the Equity, Money
Market, Bond, Omni, International, Capital Appreciation (formerly Small Cap
Growth), Small Cap, International Small Company (formerly Global Contrarian),
Aggressive Growth, Core Growth, Growth & Income, S&P 500 Index, Social
Awareness, Equity Income, High Income Bond, Capital Growth (formerly Small Cap
Growth), Dow Target 10 November, Dow Target 5 November, Janus Aspen
Series -- Growth, Janus Aspen Series -- Worldwide Growth, Janus Aspen
Series -- Balanced, Strong Variable Funds -- Opportunity II, Strong Variable
Funds -- Schafer Value II, Strong Variable Funds -- Mid-Cap Growth II, Morgan
Stanley -- US Real Estate, Goldman Sachs VIT Growth & Income, Goldman Sachs VIT
Core US Equity, Lazard Retirement Emerging Market, and Lazard Retirement Small
Cap subaccounts) (collectively, the Account) as of December 31, 1999 and the
related statements of operations and changes in contract owners' equity for each
of the periods indicated herein. These financial statements are the
responsibility of the Account's management. Our responsibility is to express an
opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence with
the transfer agents of the underlying mutual funds. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the financial position of Ohio National Variable Account
B as of December 31, 1999, and the results of its operations and its changes in
contract owners' equity for each of the periods indicated herein in conformity
with generally accepted accounting principles.
KPMG LLP
Cincinnati, Ohio
February 18, 2000
136
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Ohio National Fund, Inc.
Post Office Box 371
Cincinnati, Ohio 45201
Form 1323 Rev. 1/00
