Annual Report December 31, 2019

NVIT International Index Fund Contents

Message to Investors 1 Fund Commentary 3 Notes to Financial Statements 33 Report of Independent Registered Public Accounting Firm 49 Supplemental Information 50 Management Information 53 Market Index Definitions 58

AR-INTX 2/20 Nationwide Funds®

Commentary in this report is provided by the portfolio manager(s) of each Fund as of the date of this report and is subject to change at any time based on market or other conditions.

Third-party information has been obtained from sources that Nationwide Fund Advisors (NFA), the investment adviser to the Funds, deems reliable. Portfolio composition is accurate as of the date of this report and is subject to change at any time and without notice. NFA, one of its affiliated advisers or its employees may hold a position in the securities named in this report.

This report and the holdings provided are for informational purposes only and are not intended to be relied on as investment advice. Investors should work with their financial professional to discuss their specific situation. Statement Regarding Availability of Quarterly Portfolio Holdings The Trust files complete schedules of portfolio holdings for each Fund with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Additionally, the Trust files a schedule of portfolio holdings monthly for the NVIT Government Money Market Fund on Form N-MFP. Forms N-PORT and Forms N-MFP are available on the SEC’s website at sec.gov. Forms N-PORT and Forms N-MFP may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The Trust also makes this information available to investors on nationwide.com/mutualfunds or upon request without charge. Statement Regarding Availability of Proxy Voting Record Information regarding how the Funds voted proxies relating to portfolio securities held during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 800-848-0920, and on the SEC’s website at sec.gov.

Before purchasing a variable annuity, you should carefully consider the investment objectives, risks, charges and expenses of the annuity and its underlying investment options. The product prospectus and underlying fund prospectuses contain this and other important information. Underlying fund prospectuses can be obtained from your investment professional or by contacting Nationwide at 800-848-6331. Read the prospectus carefully before you make a purchase.

NVIT Funds are not sold to individual investors. These investment options are underlying subaccounts and cannot be purchased directly by the public. They are only available through variable products issued by life insurance companies.

Nationwide Funds Group (NFG) comprises Nationwide Fund Advisors, Nationwide Fund Distributors LLC and Nationwide Fund Management LLC. Together they provide advisory, distribution and administration services, respectively, to Nationwide Funds. Nationwide Fund Advisors (NFA) is the investment adviser to Nationwide Funds.

Variable products are issued by Nationwide Life Insurance Company or Nationwide Life and Annuity Insurance Company, Columbus, Ohio. The general distributor is Nationwide Investment Services Corporation (NISC), member FINRA.

Nationwide Funds distributed by Nationwide Fund Distributors LLC (NFD), member FINRA, Columbus, Ohio. NISC and NFD are not affiliated with any subadviser contracted by Nationwide Fund Advisors (NFA), with the exception of Nationwide Asset Management, LLC (NWAM).

Nationwide, the Nationwide N and Eagle, and Nationwide is on your side are service marks of Nationwide Mutual Insurance Company. ©2020 Message to Investors

Dear Investor, overseas, with gross domestic product (GDP) growth 3.1% in the first quarter of 2019, followed Equity markets reached all-time highs during the by 2.0% in the second quarter, 2.1% in the third annual reporting period ended December 31, quarter and an expected 1.8% in the fourth 2019, as investors were encouraged by an quarter. Corporate profit growth was weak for incrementally dovish Federal Reserve (Fed) and the reporting period. S&P 500 earnings growth hopes for a trade deal with China. spiked in 2018 to 21%, but the full-year growth rate in 2019 was roughly flat, driven by weakness Leading into the reporting period, markets were overseas and the strong U.S. dollar. The profit weak in reaction to a global economic slowdown picture appears to be stabilizing, with healthy driven by trade concerns and geopolitical growth projected for 2020, providing a strong uncertainty. The S&P 500® Index (S&P 500) backdrop for equity returns. registered -13.7% in the fourth calendar quarter of 2018 — the worst quarter in seven years. Conditions improved immediately, however, with U.S. economic activity remains relatively the S&P 500 returning 13.5% in the first calendar supportive for equity market returns. quarter of 2019 (the best quarter since the financial crisis of 2008) and delivering a 31.5% The performance of fixed-income markets was return overall for the reporting period. Fixed- broadly higher for the reporting period as falling income returns were sharply higher on falling interest rates and tightening credit spreads drove interest rates and tightening credit spreads as performance. The Fed reversed course following demand for yield by investors continued to be a steady path of hikes to the federal funds rate. strong. At the December 2018 meeting, the Federal Open Market Committee (FOMC) hiked the rate for the International stocks also rallied during the fourth time in 2018 and guided two additional reporting period, although both developed and hikes for 2019. By the August 2019 meeting, the emerging market indexes lagged the S&P 500, FOMC entered an easing phase to address a with the MSCI EAFE® Index returning 22.0% and mid-cycle slowdown that followed with additional the MSCI Emerging Markets® Index returning cuts in September and October. The Fed has 18.4%. Investors initially were concerned that the entered a pause period, with the balance of risks synchronized global growth story was cracking roughly neutral between upside and downside. due to disappointing economic growth and the The shift to a dovish stance led to a drastic drop prospect for trade tariffs. Markets recovered on in interest rates across the yield curve, with the stabilizing economic data and accommodative 10-year Treasury yield falling from 2.68% to 1.92% monetary policy by central banks across the during the reporting period, and the 2-year globe. Treasury yield dropping from 2.50% to 1.57%. The yield curve was flat by historical standards, with The S&P 500 was higher in 10 of the 12 months the spread between the 10-year and 2-year yields during the reporting period. at 0.35% at period end.

As volatility continues in the markets, it is Universally, risk assets (those with a significant important to remember that investing is a long- degree of price volatility) were higher during the term process. Nationwide Funds encourages you 12-month reporting period, led by strength in the to speak with your financial professional to equity market and the long-dated bond market. ensure that your portfolio maintains the right Growth stocks substantially outperformed value, balance for your goals. Thank you for your while large-capitalization stocks beat small-cap continued support and confidence. stocks.

Economic growth was modest for the reporting period due to trade disputes and sluggishness

1 Message to Investors (cont.)

Sincerely,

Michael S. Spangler President and CEO Nationwide Funds

Annual Total Return Index (as of December 31, 2019) Bloomberg Emerging Markets USD Aggregate Bond 13.11% Bloomberg Barclays Municipal Bond 7.54% Bloomberg Barclays U.S. 1-3 Year Government/ Credit Bond 4.03% Bloomberg Barclays U.S. 10-20 Year Treasury Bond 10.95% Bloomberg Barclays U.S. Aggregate Bond 8.72% Bloomberg Barclays U.S. Corporate High Yield 14.32% MSCI ACWI ex USA 21.51% MSCI EAFE® 22.01% MSCI Emerging Markets® 18.42% Russell 1000® Growth 36.39% Russell 1000® Value 26.54% Russell 2000® 25.52% S&P 500® 31.49% Source: Morningstar

2 Fund Commentary NVIT International Index Fund

For the annual period ended December 31, 2019, strong labor market — particularly evident from the NVIT International Index Fund (Class II*) an unemployment rate of 3.9% and a 3.4% year- returned 21.42%** versus 22.01% for its over-year increase to wages — the sterling benchmark, the MSCI EAFE® Index† (EAFE Index). appreciated 2.5% against the U.S. dollar in the For broader comparison, the median return for quarter. Additionally, the Bank of England the Fund’s Morningstar® insurance funds peer remained on hold throughout the quarter. In the category, Foreign Large Blend (consisting of Asia-Pacific (APAC) region, Japan, with 6.7%, 125 funds as of December 31, 2019), was 21.44% underperformed as uncertainty around U.S. trade for the same period. Performance for the Fund’s protectionism, an upcoming sales-tax hike, and other share classes versus its benchmark is stated low levels of growth weighed on sentiment. Still, in the Average Annual Total Return chart in this continued monetary support by the Bank of report’s Fund Performance section. Japan (BoJ) and global risk-on appetite benefited the country’s equity market. The yen fell 3.7% In the first quarter of 2019, eurozone equity from intra-quarter highs, a tailwind for export markets all advanced, but to varying degrees, as names. Elsewhere, Hong Kong rallied 15.9% amid the recovery in equity market sentiment from a rebound in mainland Chinese sentiment. 2018 lows occurred despite slowing economic activity across the region. Partially contributing to In the second quarter of 2019, European equity the bullish sentiment was the European Central markets contributed to just over three-quarters of Bank’s (ECB) reaffirmation of accommodative the EAFE Index’s total return. Sentiment in the monetary policy and announcement of a new region also was supported by accommodative round of targeted longer-term refinancing monetary policy, the increased expectations of operations. Within the eurozone, Germany, with further stimulus, higher-than-normal capacity 6.7%, underperformed amid continued weakness utilization rates, and labor markets near full in the manufacturing and export sectors. employment. Within the eurozone, Germany, with Germany’s manufacturing purchasing managers 8.1%, and France, with 7.4%, outperformed while index fell from 51.8 in December 2018 to 44.1 in Finland, with -0.04%, and Luxembourg, with March 2019. Declines in industrial production and -2.5%, underperformed. In interest rates, the factory orders also provided headwinds for the 10-year German bund yield declined to -0.3% in eurozone’s largest economy. Amid the weak the quarter, the lowest on record. In the APAC economic growth, the German 10-year bund yield region, Australia, with 7.5%, outperformed as a turned negative for the first time since 2016. decline in economic growth was boosted by a Elsewhere in the eurozone, Italy, with 16.0%, June rate cut. Japan, with 1.0%, underperformed outperformed major European countries despite the benchmark but registered in positive territory two consecutive quarters of real gross domestic as investors balanced risk-on bids for the yen, product (GDP) contraction and political trade tensions and declining export volumes. uncertainty as first-quarter macroeconomic trends were relatively constructive. Italy’s In the third quarter of 2019, within the APAC composite purchasing managers index rose into region, Japanese equities, with 3.2%, expansionary territory in March, with 51.5, and outperformed despite deteriorating economic inflation registered slightly above expectations at conditions and an impending sales-tax hike. 1.2% year-over-year. The UK equity component However, Japanese President Shinzo Abe and rallied 12.5% and contributed the most to the U.S. President Donald Trump reached a limited EAFE Index’s total return despite ongoing Brexit trade agreement that removed the threat of uncertainty. Though Prime Minister Theresa May’s tariffs on Japan’s auto exports for the time being. withdrawal agreement was rejected by Elsewhere, Hong Kong, with -12.2%, Parliament three times, the extension of the underperformed amid mounting political unrest. Brexit deadline to April 12, 2019, was viewed as a In Europe, Germany, with -3.9%, underperformed constructive development that reduced the and contributed the most to the EAFE Index’s probability of a “no-deal” Brexit. Coupled with a decline. Belgium, with 3.5%, was the best-

3 Fund Commentary (cont.) NVIT International Index Fund

performing country in the eurozone thanks to an in Europe was better than in recent quarters, with outsized gain in materials giant Umicore. the perceived easing in trade tensions — both Eurozone economic activity showed signs of between the United States and China, and the synchronized deceleration. Germany’s United States and the EU — contributing to manufacturing purchasing managers index fell to positive sentiment. Sentiment indicators, such as the worst reading in more than a decade, and the Germany’s ZEW survey, rebounded throughout eurozone manufacturing purchasing managers the quarter. Manufacturing activity remained in index fell to a nearly seven-year low. This contractionary territory but rebounded from the prompted an aggressive response from the ECB, September 2019 lows of 41.7. Monetary policy which announced a stimulus package that remained accommodative, and the ECB resumed included a rate cut, resumption of quantitative balance sheet expansion. Despite the easy easing, and a two-tier excess liquidity system for monetary policy, the incremental increase in banks. Simultaneously, the ECB cut both its economic activity helped foster positive growth and inflation forecasts, and lowered its expectations and led to an increase of 40 basis forward guidance. In the UK, with -1.3%, continued points () in the German 10-year bund, from Brexit uncertainty drove volatility throughout the -0.597 bps at the beginning of the quarter to quarter ahead of the October 31, 2019, deadline. -0.19 bps at the quarter’s end. In APAC, Japan, Parliament passed legislation that forced the with 7.6%; Hong Kong, with 6.7%; and Australia, government to ask for an extension if it cannot with 4.3%; recorded positive gains but reach a deal with the European Union (EU), which underperformed the EAFE Index. Ongoing buoyed sterling. Separately, the Bank of England tensions in Hong Kong and unimpressive growth remained on hold despite economic weakness. out of China weighed on the region. UK GDP registered its first quarterly contraction in seven years in the second quarter of 2019, All sectors returned positive in the EAFE Index (in while the August manufacturing purchasing U.S. dollars) in 2019. Top contributors were managers index results showed the steepest Information Technology, with 37.93%; Health monthly contraction since July 2012. Care, with 31.32%; and Industrials, with 27.02%. Bottom contributors for the year were Energy, By the fourth quarter of 2019, the UK, with 10.4%, with 8.13%; Communication Services, with 13.03%; outperformed and contributed the most to the and Real Estate, with 15.38%. EAFE Index’s overall total return amid a dense quarter of Brexit developments. Prime Minister Exchange-traded futures are employed to Boris Johnson, who replaced Prime Minister May equitize dividend accruals as well as to manage in July 2019, was able to agree to a new Brexit day-to-day cash flows generated from clients’ deal with the EU in October, but the October 31, trades, dividends, interest received and other 2019, deadline was pushed back to January 31, activity associated with securities in the Fund. 2020, due to a stalemate in Parliament. Following Specifically, futures contracts are purchased to the delay, a snap election was held in December, provide immediate market exposure and the Conservative Party won a landslide proportionate to cash accruals and investable victory. Afterward, the Prime Minister’s cash within the Fund. While the Fund seeks to withdrawal agreement bill was passed through remain fully invested, a small amount of the House of Commons. The progress made on spendable cash is retained to minimize trading the Brexit front helped sterling rebound by 7.0% and transactions costs. Skillful cash management in the quarter. Additionally, shares of utility and cash equitization are critical to minimizing companies rallied in the immediate wake of the the potential impact of cash drag and ensure election as the defeat of the Labour party’s tight tracking to the benchmark. Corbyn removed the threat of nationalization of some utility companies. On continental Europe, both France, with 8.3%, and Germany, with 9.9%, outperformed the EAFE Index. Economic activity

4 Fund Commentary (cont.) NVIT International Index Fund

Subadviser: BlackRock Investment Management, LLC

Portfolio Managers: Rachel Aguirre; Jennifer Hsui, CFA; Alan Mason; Greg Savage, CFA; and Amy Whitelaw

* Performance is shown for the Fund’s Class II shares to correspond with the class used for performance reporting in the Fund’s prospectus. Class Y shares were previously shown in the Fund’s annual reports for performance reporting. ** High double-digit returns are unusual and cannot be sustained. † The Fund is indexed to an MSCI index. The Fund is not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. The Fund seeks to match the performance of an index. Correlation between Fund performance and index performance may be affected by Fund expenses, index composition changes, and the timing of Fund share purchases and redemptions. The Fund is subject to the risks of investing in equity securities, including mid-sized companies. Smaller companies involve greater risk than larger, more-established companies because smaller companies 1) usually are less stable in price, 2) are less liquid 3) are more vulnerable to adverse business and economic developments and 4) have more-limited resources. The Fund also is subject to the risks of investing in foreign securities (currency fluctuations, political risks, differences in accounting and limited availability of information, all of which are magnified in emerging markets). Please refer to the most recent prospectus for a more detailed explanation of the Fund’s principal risks. A description of the benchmarks can be found on the Market Index Definitions page at the back of this book.

5 Fund Overview NVIT International Index Fund

Asset Allocation1 Top Countries2 Common Stocks 99.1% Japan 24.0% Repurchase Agreements 1.6% United Kingdom 14.1% Rights† 0.0% France 11.0% Futures Contracts† (0.0)% Switzerland 9.6% Liabilities in excess of other assets (0.7)% Germany 8.5% 100.0% Australia 7.4% Netherlands 4.6% Hong Kong 2.9% Top Industries2 Spain 2.8% Banks 9.7% Sweden 2.5% Pharmaceuticals 8.4% Other Countries# 12.6% Insurance 5.4% 100.0% Oil, Gas & Consumable Fuels 4.8% Food Products 3.5% Chemicals 3.4% Automobiles 3.1% Machinery 2.8% Metals & Mining 2.5% Textiles, Apparel & Luxury Goods 2.5% Other Industries# 53.9% 100.0%

Top Holdings2 Nestle SA (Registered) 2.1% Roche Holding AG 1.5% Novartis AG (Registered) 1.4% Toyota Motor Corp. 1.1% HSBC Holdings plc 1.1% TOTAL SA 0.9% SAP SE 0.9% AstraZeneca plc 0.9% LVMH Moet Hennessy Louis Vuitton SE 0.9% BP plc 0.9% Other Holdings# 88.3% 100.0%

† Amount rounds to less than 0.1%. # For purposes of listing top industries, top holdings and top countries, the repurchase agreements are included as part of Other. 1 Percentages indicated are based upon net assets as of December 31, 2019. 2 Percentages indicated are based upon total investments as of December 31, 2019.

6 Fund Performance NVIT International Index Fund

Average Annual Total Return1 Expense Ratios (For periods ended December 31, 2019) Expense 10 Yr. or Ratio^ 1 Yr. 5 Yr. Inception Class I 0.43% 21.77% 5.55% 3.38% 2 Class I Class II 0.63% 21.42% 5.31% 5.06% Class II Class VIII 0.83% 21.20% 5.13% 4.90% Class VIII Class Y 0.28% Class Y 21.89% 5.73% 5.48% MSCI EAFE® Index 22.01% 5.67% 5.50% ^ Current effective prospectus dated April 30, 2019. Please see the Fund’s most recent prospectus for details. Please refer to the Financial Highlights for each respective share 1 The returns reported above do not include the effect of sales charges or additional expenses imposed by variable class’ actual results. annuity contracts. 2 Since inception date of April 30, 2014.

7 Fund Performance (cont.) NVIT International Index Fund

Performance of a $10,000 Investment Investment return and principal value will fluctuate, and when redeemed, shares may be worth more or less than original cost. Past performance is no guarantee of future results and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. Investing in mutual funds involves market risk, including loss of principal. Performance returns assume the reinvestment of all distributions.

$17,086 $16,382

$10,000

$5,000 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

Class ll MSCI EAFE® Index

Comparative performance of $10,000 invested in Class II shares of the NVIT International Index Fund versus performance of the MSCI EAFE® Index over the 10-year period ended 12/31/19. Unlike the Fund, the performance of this index does not reflect any fees, expenses, or sales charges. One cannot invest directly in a market index. A description of the benchmark can be found on the Market Index Definitions page at the back of this book.

8 Shareholder Expense Example NVIT International Index Fund

As a shareholder of the Fund, you incur two types Hypothetical Expenses for of costs: (1) transaction costs, including sales Comparison Purposes charges (loads) paid on purchase payments and The second line of each Class in the table below redemption fees; and (2) ongoing costs, including provides information about hypothetical account investment advisory fees, administration fees, values and hypothetical expenses based on the distribution fees and other Fund expenses. The Class’ actual expense ratio and an assumed rate examples below are intended to help you of return of 5% per year before expenses, which is understand your ongoing costs (in dollars) of not the Class’ actual return. The hypothetical investing in the Fund and to compare these costs account values and expenses may not be used to with the ongoing costs of investing in other mutual estimate the actual ending account balance or funds. Per Securities and Exchange Commission expenses you paid for the period from July 1, 2019 (“SEC”) requirements, the examples assume that through December 31, 2019. You may use this you had a $1,000 investment in the Class at the information to compare the ongoing costs of beginning of the reporting period (July 1, 2019) and investing in the Class of the Fund and other continued to hold your shares at the end of the funds. To do so, compare this 5% hypothetical reporting period (December 31, 2019). example with the 5% hypothetical examples that Actual Expenses appear in the shareholder reports of the other funds. For each Class of the Fund in the table below, the Please note that the expenses shown in the table first line provides information about actual are meant to highlight your ongoing costs only account values and actual expenses. You may use and do not reflect any transaction costs, such as the information in this line, together with the sales charges (loads) or redemption fees. If these amount you invested, to estimate the expenses transaction costs were included, your costs would that you paid from July 1, 2019 through have been higher. Therefore, the second line for December 31, 2019. Simply divide your account each Class in the table is useful in comparing value by $1,000 (for example, an $8,600 account ongoing costs only, and will not help you value divided by $1,000 = 8.6), then multiply the determine the relative total costs of owning result by the number in the first line of each Class different funds. The examples also assume all under the heading entitled “Expenses Paid During dividends and distributions are reinvested. Period” to estimate the expenses you paid on your account during this period.

Schedule of Shareholder Expenses Expense Analysis of a $1,000 Investment

Beginning Ending Expenses Paid Expense Ratio NVIT International Index Fund Account Value ($) Account Value ($) During Period ($) During Period (%) December 31, 2019 7/1/19 12/31/19 7/1/19 - 12/31/19 7/1/19 - 12/31/19(a) Class I Shares Actual(b) 1,000.00 1,066.70 2.34 0.45 Hypothetical(b)(c) 1,000.00 1,022.94 2.29 0.45 Class II Shares Actual(b) 1,000.00 1,065.80 3.38 0.65 Hypothetical(b)(c) 1,000.00 1,021.93 3.31 0.65 Class VIII Shares Actual(b) 1,000.00 1,065.40 4.43 0.85 Hypothetical(b)(c) 1,000.00 1,020.92 4.33 0.85 Class Y Shares Actual(b) 1,000.00 1,068.00 1.56 0.30 Hypothetical(b)(c) 1,000.00 1,023.69 1.53 0.30

(a) The Example does not include charges that are imposed by variable insurance contracts. If these charges were reflected, the expenses listed below would be higher. (b) Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value from July 1, 2019 through December 31, 2019 multiplied to reflect one-half year period. The expense ratio presented represents a six-month, annualized ratio in accordance with Securities and Exchange Commission guidelines. (c) Represents the hypothetical 5% return before expenses.

9 Statement of Investments December 31, 2019

NVIT International Index Fund

Common Stocks 99.1% Common Stocks (continued) Shares Value Shares Value AUSTRALIA 7.5% AUSTRALIA (continued) Airlines 0.0%† Food & Staples Retailing (continued) Qantas Airways Ltd. 102,103 $ 510,118 Woolworths Group Ltd. 175,821 $ 4,473,696 Banks 1.7% 6,147,243 Australia & New Zealand Banking Group Gas Utilities 0.1% 390,424 6,763,925 Ltd. APA Group 159,926 1,249,000 Bendigo & Adelaide Bank Ltd. 63,655 437,746 Commonwealth Bank of Australia 247,229 13,898,918 Health Care Equipment & Supplies 0.1% 8,119 1,283,423 National Australia Bank Ltd. 403,369 6,989,314 Cochlear Ltd. Westpac Banking Corp. 488,713 8,328,223 Health Care Providers & Services 0.1% 36,418,126 Ramsay Health Care Ltd. 21,153 1,079,269 Sonic Healthcare Ltd. 61,346 1,240,280 Beverages 0.1% 2,319,549 Coca-Cola Amatil Ltd. 72,409 563,018 Treasury Wine Estates Ltd. 101,563 1,160,632 Hotels, Restaurants & Leisure 0.2% 1,723,650 Aristocrat Leisure Ltd. 81,216 1,926,163 Crown Resorts Ltd. 56,674 478,404 Biotechnology 0.6% Flight Centre Travel Group Ltd. 7,823 241,986 62,894 12,205,909 CSL Ltd. Tabcorp Holdings Ltd. 270,158 860,111 Capital Markets 0.3% 3,506,664 ASX Ltd. 27,359 1,508,835 Macquarie Group Ltd. (a) 45,232 4,387,169 Insurance 0.3% 326,601 1,759,510 Magellan Financial Group Ltd. 17,569 704,994 Insurance Australia Group Ltd. Medibank Pvt Ltd. 361,218 801,507 6,600,998 QBE Insurance Group Ltd. 176,153 1,596,522 Chemicals 0.1% Suncorp Group Ltd. 178,185 1,623,491 Incitec Pivot Ltd. 229,464 513,398 5,781,030 Orica Ltd. 55,681 860,564 Interactive Media & Services 0.0%† 1,373,962 REA Group Ltd. 6,874 501,148 Commercial Services & Supplies 0.1% IT Services 0.0%† 225,194 1,856,174 Brambles Ltd. Computershare Ltd. 65,222 768,797 Construction & Engineering 0.0%† Metals & Mining 1.8% 15,066 351,510 CIMIC Group Ltd. Alumina Ltd. 329,715 532,514 Construction Materials 0.0%† BHP Group Ltd. 410,369 11,240,176 Boral Ltd. 148,752 469,133 BHP Group plc 292,728 6,914,217 73,479 778,567 Diversified Financial Services 0.1% BlueScope Steel Ltd. 197,959 1,492,032 AMP Ltd. 410,021 551,309 Fortescue Metals Group Ltd. 108,571 2,298,287 Challenger Ltd. 86,668 493,620 Newcrest Mining Ltd. Ltd. 50,932 3,602,010 1,044,929 Rio Tinto plc 157,760 9,373,623 Diversified Telecommunication Services 0.1% South32 Ltd. 718,084 1,367,111 Telstra Corp. Ltd. 588,272 1,465,563 37,598,537 TPG Telecom Ltd. 56,512 266,619 Multiline Retail 0.2% 1,732,182 Harvey Norman Holdings Ltd. 77,058 220,501 Electric Utilities 0.0%† Wesfarmers Ltd. 157,828 4,598,142 AusNet Services (a) 229,923 274,171 4,818,643 Energy Equipment & Services 0.0%† Multi-Utilities 0.1% 49,171 530,476 Worley Ltd. AGL Energy Ltd. 92,410 1,333,890 Equity Real Estate Investment Trusts (REITs) 0.5% Oil, Gas & Consumable Fuels 0.4% 155,960 1,283,338 Dexus Caltex Australia Ltd. 35,128 839,104 230,706 2,168,680 Goodman Group Oil Search Ltd. 193,790 988,590 255,070 1,004,079 GPT Group (The) Origin Energy Ltd. 247,443 1,470,848 509,177 1,138,812 Mirvac Group Santos Ltd. 250,214 1,440,098 751,406 2,022,948 Scentre Group Washington H Soul Pattinson & Co. 323,316 1,050,212 Stockland Ltd. (a) 16,497 249,596 451,549 790,481 Vicinity Centres Woodside Petroleum Ltd. 128,024 3,096,058 9,458,550 8,084,294 Food & Staples Retailing 0.3% Coles Group Ltd. 160,236 1,673,547

10 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value AUSTRALIA (continued) CHILE 0.0%† Professional Services 0.0%† Metals & Mining 0.0%† SEEK Ltd. 46,927 $ 744,619 55,475 $ 675,921 Real Estate Management & Development 0.0%† Lendlease Group 79,412 982,820 CHINA 0.4% Banks 0.1% Road & Rail 0.1% BOC Hong Kong Holdings Ltd. 523,000 1,821,270 Aurizon Holdings Ltd. 269,863 992,779 Beverages 0.0%† Software 0.0%† Budweiser Brewing Co. APAC Ltd. WiseTech Global Ltd. (a) 20,023 328,721 Reg. S* (b) 167,600 565,879 Transportation Infrastructure 0.2% Biotechnology 0.0%† Sydney Airport 145,247 884,961 BeiGene Ltd., ADR* (a) 4,996 828,137 Transurban Group 370,171 3,881,406 Internet & Direct Marketing Retail 0.3% 4,766,367 Prosus NV* 67,111 5,021,735 155,757,412 Machinery 0.0%† Yangzijiang Shipbuilding Holdings Ltd. 223,900 187,066 AUSTRIA 0.2% 8,424,087 Banks 0.1% Erste Group Bank AG* 42,518 1,599,188 Raiffeisen Bank International AG 21,628 542,535 COLOMBIA 0.0%† Wireless Telecommunication Services 0.0%† 2,141,723 Millicom International Cellular SA, SDR (a) 14,300 685,393 Electric Utilities 0.0%† Verbund AG 10,428 523,647 DENMARK 1.8% Air Freight & Logistics 0.2% Machinery 0.0%† DSV Panalpina A/S 30,148 3,489,888 ANDRITZ AG 9,818 422,694 Banks 0.1% Metals & Mining 0.0%† Danske Bank A/S 87,758 1,419,258 voestalpine AG (a) 15,613 435,059 Beverages 0.1% Oil, Gas & Consumable Fuels 0.1% Carlsberg A/S, Class B 15,117 2,255,091 OMV AG 19,308 1,084,672 4,607,795 Biotechnology 0.1% Genmab A/S* 9,090 2,023,277 BELGIUM 1.0% Chemicals 0.1% Banks 0.1% Chr Hansen Holding A/S 15,071 1,197,243 KBC Group NV 33,807 2,549,234 Novozymes A/S, Class B 28,478 1,394,283 Beverages 0.4% 2,591,526 Anheuser-Busch InBev SA/NV 106,145 8,704,050 Commercial Services & Supplies 0.0%† Biotechnology 0.1% ISS A/S 21,008 504,473 Galapagos NV* 6,070 1,263,425 Electric Utilities 0.2% Chemicals 0.1% Orsted A/S Reg. S (b) 26,734 2,769,787 Solvay SA (a) 10,474 1,218,001 Electrical Equipment 0.1% Umicore SA (a) 27,730 1,351,903 Vestas Wind Systems A/S 26,195 2,648,217 2,569,904 Health Care Equipment & Supplies 0.1% Diversified Financial Services 0.1% Coloplast A/S, Class B 16,789 2,087,257 Groupe Bruxelles Lambert SA 11,402 1,202,916 Demant A/S* 15,431 486,262 Diversified Telecommunication Services 0.0%† 2,573,519 Proximus SADP 20,547 588,402 Insurance 0.0%† Food & Staples Retailing 0.0%† Tryg A/S 17,002 503,997 Colruyt SA 8,754 456,939 Marine 0.1% Insurance 0.1% AP Moller — Maersk A/S, Class A 532 721,308 Ageas 23,885 1,413,014 AP Moller — Maersk A/S, Class B 869 1,253,924 Media 0.0%† 1,975,232 Telenet Group Holding NV 6,722 302,786 Pharmaceuticals 0.7% Pharmaceuticals 0.1% H Lundbeck A/S 10,791 413,644 UCB SA 17,867 1,421,702 Novo Nordisk A/S, Class B 245,200 14,221,521 20,472,372 14,635,165

11 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value DENMARK (continued) FRANCE (continued) Textiles, Apparel & Luxury Goods 0.0%† Banks (continued) Pandora A/S 14,934 $ 649,626 Societe Generale SA 113,426 $ 3,963,186 38,039,056 15,659,659 Beverages 0.3% FINLAND 1.1% Pernod Ricard SA 29,366 5,256,675 Auto Components 0.0%† Remy Cointreau SA 3,224 396,521 Nokian Renkaat OYJ 18,075 520,985 5,653,196 Banks 0.2% Nordea Bank Abp 445,509 3,603,989 Building Products 0.1% Cie de Saint-Gobain 67,410 2,769,850 Communications Equipment 0.1% Nokia OYJ 791,337 2,935,738 Capital Markets 0.1% Amundi SA Reg. S (b) 7,347 577,543 Diversified Telecommunication Services 0.1% Natixis SA 133,561 595,268 Elisa OYJ 20,009 1,105,649 1,172,811 Electric Utilities 0.1% Fortum OYJ 60,335 1,488,439 Chemicals 0.5% Air Liquide SA 65,846 9,358,469 Insurance 0.1% Arkema SA 9,728 1,037,643 Sampo OYJ, Class A 62,651 2,733,501 10,396,112 Machinery 0.2% Kone OYJ, Class B 47,894 3,131,134 Commercial Services & Supplies 0.1% Metso OYJ 14,356 566,772 Edenred 33,813 1,749,653 Wartsila OYJ Abp 65,883 727,511 Construction & Engineering 0.5% 4,425,417 Bouygues SA 31,088 1,323,436 Eiffage SA 10,891 1,247,986 Oil, Gas & Consumable Fuels 0.1% Vinci SA 70,826 7,868,442 Neste OYJ 57,701 2,007,766 10,439,864 Paper & Forest Products 0.2% Stora Enso OYJ, Class R 80,861 1,175,068 Diversified Financial Services 0.1% UPM-Kymmene OYJ 72,457 2,511,176 Eurazeo SE 5,740 393,470 3,809 506,954 3,686,244 Wendel SA 900,424 Pharmaceuticals 0.0%† Orion OYJ, Class B 14,258 659,903 Diversified Telecommunication Services 0.2% 4,075 528,760 23,167,631 Iliad SA (a) Orange SA 280,656 4,124,049 FRANCE 11.1% 4,652,809 Aerospace & Defense 1.0% Electric Utilities 0.1% Airbus SE 81,369 11,938,273 Electricite de France SA 85,083 949,130 Dassault Aviation SA 375 493,918 45,029 6,980,142 Electrical Equipment 0.5% Safran SA 37,705 3,076,475 Thales SA 15,027 1,563,407 Legrand SA Schneider Electric SE 76,392 7,858,302 20,975,740 10,934,777 Air Freight & Logistics 0.0%† Bollore SA 115,816 505,520 Electronic Equipment, Instruments & Components 0.1% Ingenico Group SA 8,469 920,720 Auto Components 0.2% Cie Generale des Etablissements Michelin Entertainment 0.2% 24,132 2,960,129 Ubisoft Entertainment SA* 11,774 814,486 SCA 119,499 3,463,689 Faurecia SE 10,680 579,071 Vivendi SA Valeo SA 33,953 1,202,185 4,278,175 4,741,385 Equity Real Estate Investment Trusts (REITs) 0.3% Covivio 6,510 739,453 Automobiles 0.2% 83,117 1,990,597 Gecina SA 6,185 1,108,642 Peugeot SA 4,259 464,309 Renault SA(a) 27,165 1,288,701 ICADE Klepierre SA 28,111 1,068,575 3,279,298 Unibail-Rodamco-Westfield 18,887 2,984,026 Banks 0.8% 6,365,005 BNP Paribas SA 156,832 9,335,771 Credit Agricole SA 162,036 2,360,702 Food & Staples Retailing 0.1% Carrefour SA 83,654 1,405,230

12 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value FRANCE (continued) FRANCE (continued) Food & Staples Retailing (continued) Textiles, Apparel & Luxury Goods 1.6% Casino Guichard Perrachon SA (a) 6,731 $ 315,537 EssilorLuxottica SA 39,066 $ 5,956,556 1,720,767 Hermes International 4,338 3,246,315 Kering SA 10,492 6,911,830 Food Products 0.3% LVMH Moet Hennessy Louis Vuitton Danone SA 85,387 7,087,431 SE (a) 38,618 17,985,604 Health Care Equipment & Supplies 0.0%† 34,100,305 BioMerieux 5,513 491,103 Transportation Infrastructure 0.1% Hotels, Restaurants & Leisure 0.1% Aeroports de Paris 4,371 865,171 Accor SA 23,920 1,122,888 Getlink SE 62,816 1,093,180 12,503 1,482,914 Sodexo SA 1,958,351 2,605,802 230,632,565 Household Durables 0.0%† SEB SA 3,176 472,371 GERMANY 8.6% Insurance 0.4% Aerospace & Defense 0.1% AXA SA 269,435 7,601,443 MTU Aero Engines AG 7,349 2,098,555 CNP Assurances 24,003 478,233 Air Freight & Logistics 0.3% SCOR SE 23,041 968,013 Deutsche Post AG (Registered) 135,276 5,164,780 9,047,689 Airlines 0.0%† IT Services 0.2% Deutsche Lufthansa AG (Registered) 33,579 617,949 Atos SE 13,494 1,128,257 Auto Components 0.1% Capgemini SE 21,824 2,673,382 Continental AG 15,546 2,018,780 14,042 996,598 Worldline SA Reg. S* (b) Automobiles 0.9% 4,798,237 Bayerische Motoren Werke AG 45,640 3,757,152 Life Sciences Tools & Services 0.0%† Bayerische Motoren Werke AG Sartorius Stedim Biotech 3,890 644,992 (Preference) 8,279 511,207 Daimler AG (Registered) 127,549 7,071,722 Machinery 0.1% Porsche Automobil Holding SE 26,838 1,271,399 Alstom SA (Preference) 20,799 1,555,871 Media 0.1% Volkswagen AG 4,587 891,429 Eutelsat Communications SA 24,560 399,493 Volkswagen AG (Preference) 26,024 5,144,473 JCDecaux SA (a) 10,478 323,367 18,931,854 Publicis Groupe SA 29,921 1,354,782 Banks 0.0%† 2,077,642 Commerzbank AG 141,588 876,765 Multi-Utilities 0.3% Capital Markets 0.3% Engie SA 256,941 4,152,164 Deutsche Bank AG (Registered) 277,475 2,152,612 Suez 48,076 727,604 Deutsche Boerse AG 26,100 4,104,700 Veolia Environnement SA (a) 75,934 2,022,658 6,257,312 6,902,426 Chemicals 0.7% Oil, Gas & Consumable Fuels 0.9% BASF SE 126,755 9,612,677 TOTAL SA 334,481 18,484,174 Covestro AG Reg. S (b) 24,839 1,154,665 Personal Products 0.5% Evonik Industries AG 26,632 816,322 L’Oreal SA 35,231 10,462,689 Fuchs Petrolub SE (Preference) 9,360 465,674 LANXESS AG 11,979 804,960 Pharmaceuticals 0.8% Symrise AG 17,428 1,833,491 Ipsen SA 5,106 452,419 Sanofi 156,173 15,685,576 14,687,789 16,137,995 Construction & Engineering 0.0%† Hochtief AG 3,736 478,172 Professional Services 0.1% Bureau Veritas SA 37,478 979,331 Construction Materials 0.1% Teleperformance 8,166 1,995,234 HeidelbergCement AG 21,030 1,532,881 2,974,565 Diversified Telecommunication Services 0.4% Deutsche Telekom AG (Registered) 463,861 7,580,215 Software 0.2% Telefonica Deutschland Holding AG 115,730 335,431 Dassault Systemes SE 18,494 3,050,499 United Internet AG (Registered) 17,770 583,983 8,499,629

13 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value GERMANY (continued) GERMANY (continued) Food & Staples Retailing 0.0%† Real Estate Management & Development (continued) METRO AG 24,174 $ 389,665 Vonovia SE 70,320 $ 3,785,755 Health Care Equipment & Supplies 0.1% 6,997,661 Carl Zeiss Meditec AG 5,750 733,353 Semiconductors & Semiconductor Equipment 0.2% Sartorius AG (Preference) 5,004 1,071,298 Infineon Technologies AG 172,637 3,958,891 Siemens Healthineers AG Reg. S (b) 19,913 956,205 Software 0.9% 2,760,856 SAP SE 136,467 18,391,632 Health Care Providers & Services 0.3% Textiles, Apparel & Luxury Goods 0.4% Fresenius Medical Care AG & Co. KGaA 28,773 2,134,034 adidas AG 25,113 8,161,898 Fresenius SE & Co. KGaA 58,421 3,297,640 Puma SE 11,001 843,493 5,431,674 9,005,391 Hotels, Restaurants & Leisure 0.0%† Trading Companies & Distributors 0.1% TUI AG 62,028 784,223 Brenntag AG 21,834 1,187,204 Household Products 0.2% Transportation Infrastructure 0.0%† Henkel AG & Co. KGaA 14,686 1,382,859 Fraport AG Frankfurt Airport Services Henkel AG & Co. KGaA (Preference) 23,916 2,473,215 Worldwide 5,583 474,527 3,856,074 178,620,148 Independent Power and Renewable Electricity Producers 0.1% Uniper SE 27,046 895,164 HONG KONG 2.9% Banks 0.1% Industrial Conglomerates 0.7% Bank of East Asia Ltd. (The) 193,340 432,009 Siemens AG (Registered) 106,302 13,895,788 Hang Seng Bank Ltd. 108,100 2,236,997 Insurance 1.1% 2,669,006 Allianz SE (Registered) 58,775 14,412,264 Hannover Rueck SE 8,303 1,605,296 Capital Markets 0.3% 167,900 5,441,900 Muenchener Rueckversicherungs- Hong Kong Exchanges & Clearing Ltd. Gesellschaft AG in Muenchen Diversified Telecommunication Services 0.1% (Registered) 20,114 5,933,921 HKT Trust & HKT Ltd. 529,220 746,080 21,951,481 PCCW Ltd. 513,000 302,899 1,048,979 Internet & Direct Marketing Retail 0.1% Delivery Hero SE Reg. S* (b) 16,069 1,271,840 Electric Utilities 0.2% Zalando SE Reg. S* (b) 19,353 980,620 CK Infrastructure Holdings Ltd. 90,500 645,425 232,000 2,442,882 2,252,460 CLP Holdings Ltd. HK Electric Investments & HK Electric IT Services 0.1% Investments Ltd. Reg. S 394,500 388,799 Wirecard AG 16,589 2,004,346 Power Assets Holdings Ltd. 187,000 1,367,295 Machinery 0.1% 4,844,401 22,717 751,105 GEA Group AG Equity Real Estate Investment Trusts (REITs) 0.2% 9,280 640,766 KION Group AG Link REIT 296,500 3,147,770 Knorr-Bremse AG 6,909 703,247 Food & Staples Retailing 0.0%† 2,095,118 Dairy Farm International Holdings Ltd. 50,400 287,481 Metals & Mining 0.0%† Food Products 0.1% 57,814 780,665 thyssenkrupp AG Vitasoy International Holdings Ltd. (a) 106,000 384,458 Multi-Utilities 0.3% WH Group Ltd. Reg. S (b) 1,264,000 1,309,688 E.ON SE 309,644 3,311,607 1,694,146 RWE AG 81,692 2,509,927 Gas Utilities 0.1% 5,821,534 Hong Kong & China Gas Co. Ltd. 1,397,226 2,730,007 Personal Products 0.1% Hotels, Restaurants & Leisure 0.0%† Beiersdorf AG 14,245 1,704,532 Melco Resorts & Entertainment Ltd., ADR 29,570 714,707 Pharmaceuticals 0.6% Industrial Conglomerates 0.1% Bayer AG (Registered) 130,357 10,655,379 Jardine Matheson Holdings Ltd. 28,900 1,577,940 Merck KGaA 18,265 2,161,417 Jardine Matheson Holdings Ltd. 2,300 127,892 12,816,796 Jardine Strategic Holdings Ltd. 26,100 789,525 Jardine Strategic Holdings Ltd. 4,100 125,709 Real Estate Management & Development 0.3% NWS Holdings Ltd. 209,836 294,530 Aroundtown SA 128,466 1,150,437 Deutsche Wohnen SE 50,444 2,061,469 2,915,596

14 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value HONG KONG (continued) ISRAEL (continued) Insurance 0.8% Chemicals 0.0%† AIA Group Ltd. 1,681,200 $ 17,689,007 Israel Chemicals Ltd. 100,608 $ 474,672 Machinery 0.1% IT Services 0.0%† Techtronic Industries Co. Ltd. 191,000 1,562,915 Wix.com Ltd.* 5,894 721,308 Real Estate Management & Development 0.7% Pharmaceuticals 0.1% CK Asset Holdings Ltd. 365,516 2,649,020 Teva Pharmaceutical Industries Ltd., Hang Lung Properties Ltd. 278,000 607,747 ADR* (a) 155,679 1,525,654 Henderson Land Development Co. Ltd. 205,775 1,010,513 Real Estate Management & Development 0.0%† Hongkong Land Holdings Ltd. 156,800 881,216 Azrieli Group Ltd. 5,520 403,806 Hongkong Land Holdings Ltd. 8,100 46,614 Kerry Properties Ltd. 92,000 293,184 Software 0.2% New World Development Co. Ltd. 864,926 1,186,221 Check Point Software Technologies Sino Land Co. Ltd. 435,000 633,793 Ltd.* (a) 17,133 1,901,077 Sun Hung Kai Properties Ltd. 222,500 3,412,978 Nice Ltd.* 8,841 1,370,547 Swire Pacific Ltd., Class A 62,500 582,487 3,271,624 Swire Properties Ltd. 170,800 567,569 11,079,332 Wharf Real Estate Investment Co. Ltd. 168,500 1,033,223 Wheelock & Co. Ltd. 115,000 766,891 ITALY 2.1% 13,671,456 Aerospace & Defense 0.0%† Road & Rail 0.1% Leonardo SpA 55,288 $ 647,929 MTR Corp. Ltd. 206,500 1,224,079 Auto Components 0.0%† Semiconductors & Semiconductor Equipment 0.0%† Pirelli & C SpA Reg. S (a)(b) 43,559 251,078 ASM Pacific Technology Ltd. 44,200 614,479 Automobiles 0.1% Textiles, Apparel & Luxury Goods 0.0%† Ferrari NV 16,401 2,720,381 Yue Yuen Industrial Holdings Ltd. 104,500 308,934 Banks 0.6% 60,564,863 FinecoBank Banca Fineco SpA 84,711 1,016,803 Intesa Sanpaolo SpA 2,048,425 5,399,921 IRELAND 0.6% Mediobanca Banca di Credito Finanziario Banks 0.0%† SpA 82,680 910,717 AIB Group plc 114,555 401,207 UniCredit SpA 278,547 4,072,439 137,215 756,656 Bank of Ireland Group plc 11,399,880 1,157,863 Beverages 0.0%† Building Products 0.1% Davide Campari-Milano SpA 82,036 749,205 Kingspan Group plc 21,539 1,326,557 Diversified Telecommunication Services 0.1% Construction Materials 0.2% Telecom Italia SpA* (a) 2,180,253 1,350,048 CRH plc 110,598 4,436,310 Electric Utilities 0.5% Containers & Packaging 0.1% Enel SpA 1,135,080 9,030,021 Group plc 31,847 1,226,740 Terna Rete Elettrica Nazionale SpA 198,839 1,330,426 Food Products 0.1% 10,360,447 Kerry Group plc, Class A 22,338 2,781,106 Electrical Equipment 0.0%† Hotels, Restaurants & Leisure 0.1% Prysmian SpA 35,228 848,904 plc 10,319 1,260,157 Gas Utilities 0.1% Trading Companies & Distributors 0.0%† Snam SpA 276,872 1,458,856 AerCap Holdings NV* 17,653 1,085,130 Insurance 0.2% 13,273,863 Assicurazioni Generali SpA 154,565 3,190,710 Poste Italiane SpA Reg. S (b) 75,757 859,815 ISRAEL 0.5% Aerospace & Defense 0.0%† 4,050,525 Elbit Systems Ltd. 3,266 508,567 Oil, Gas & Consumable Fuels 0.3% Banks 0.2% Eni SpA 357,276 5,551,649 Bank Hapoalim BM 158,119 1,313,483 Pharmaceuticals 0.0%† Bank Leumi Le-Israel BM 213,401 1,555,223 Recordati SpA 14,710 620,219 Israel Discount Bank Ltd., Class A 166,310 771,855 Mizrahi Tefahot Bank Ltd. 19,992 533,140 Textiles, Apparel & Luxury Goods 0.1% Moncler SpA 25,213 1,134,032 4,173,701

15 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value ITALY (continued) JAPAN (continued) Transportation Infrastructure 0.1% Beverages (continued) Atlantia SpA 70,021 $ 1,633,386 Coca-Cola Bottlers Japan Holdings, 42,776,539 Inc. (a) 18,000 $ 462,204 Kirin Holdings Co. Ltd. 111,800 2,438,438 JAPAN 24.2% Suntory Beverage & Food Ltd. 19,600 819,643 Air Freight & Logistics 0.1% 6,063,653 SG Holdings Co. Ltd. 20,600 464,991 Biotechnology 0.0%† Yamato Holdings Co. Ltd. 45,200 772,970 PeptiDream, Inc.* (a) 13,300 681,007 1,237,961 Building Products 0.4% Airlines 0.1% AGC, Inc. 26,700 952,736 ANA Holdings, Inc. 16,200 542,010 Daikin Industries Ltd. 35,000 4,922,072 Japan Airlines Co. Ltd. 15,686 489,488 LIXIL Group Corp. 37,500 646,304 1,031,498 TOTO Ltd. 18,500 779,643 Auto Components 0.6% 7,300,755 Aisin Seiki Co. Ltd. 22,800 843,259 Capital Markets 0.3% Bridgestone Corp. (a) 80,300 2,982,570 Daiwa Securities Group, Inc. 218,500 1,108,450 Denso Corp. 59,000 2,661,447 Japan Exchange Group, Inc. 71,300 1,255,088 Koito Manufacturing Co. Ltd. 15,300 708,134 Nomura Holdings, Inc. 453,300 2,328,481 NGK Spark Plug Co. Ltd. 22,800 442,287 SBI Holdings, Inc. 33,290 701,243 Stanley Electric Co. Ltd. 17,200 497,280 5,393,262 Sumitomo Electric Industries Ltd. 106,600 1,599,427 Sumitomo Rubber Industries Ltd. 26,300 319,953 Chemicals 1.0% Toyoda Gosei Co. Ltd. 8,700 217,123 Air Water, Inc. 22,500 331,740 Toyota Industries Corp. 20,700 1,192,862 Asahi Kasei Corp. 178,400 2,001,752 Yokohama Rubber Co. Ltd. (The) 16,700 323,160 Daicel Corp. 38,100 363,444 14,100 590,142 11,787,502 Hitachi Chemical Co. Ltd. JSR Corp. 27,000 493,489 Automobiles 1.8% Kansai Paint Co. Ltd. (a) 25,900 633,010 Honda Motor Co. Ltd. (a) 223,900 6,315,590 Kuraray Co. Ltd. (a) 42,900 526,087 Isuzu Motors Ltd. 77,500 913,014 Mitsubishi Chemical Holdings Corp. 180,900 1,347,754 Mazda Motor Corp. 80,380 684,118 Mitsubishi Gas Chemical Co., Inc. 23,500 357,114 Mitsubishi Motors Corp. (a) 90,299 375,880 Mitsui Chemicals, Inc. 25,900 629,500 Nissan Motor Co. Ltd. 314,400 1,827,225 Nippon Paint Holdings Co. Ltd. 20,700 1,070,943 Subaru Corp. 87,000 2,151,114 Nissan Chemical Corp. 16,300 681,426 Suzuki Motor Corp. 49,700 2,081,766 Nitto Denko Corp. 22,300 1,251,143 Toyota Motor Corp. 317,194 22,333,561 Shin-Etsu Chemical Co. Ltd. 50,100 5,492,750 Yamaha Motor Co. Ltd. 41,600 831,552 Showa Denko KK (a) 16,200 426,722 37,513,820 Sumitomo Chemical Co. Ltd. 210,600 954,463 Taiyo Nippon Sanso Corp. 20,000 443,068 Banks 1.4% Teijin Ltd. 22,000 410,500 Aozora Bank Ltd. 14,100 372,425 196,000 1,339,095 6,500 277,108 Toray Industries, Inc. Bank of Kyoto Ltd. (The) (a) Tosoh Corp. 38,100 586,345 Chiba Bank Ltd. (The) 78,900 453,660 Concordia Financial Group Ltd. 148,900 610,783 19,930,487 Fukuoka Financial Group, Inc. 24,900 475,298 Commercial Services & Supplies 0.3% Japan Post Bank Co. Ltd. (a) 57,700 552,997 Dai Nippon Printing Co. Ltd. 32,400 879,331 Mebuki Financial Group, Inc. 118,700 302,855 Park24 Co. Ltd. (a) 17,700 433,582 Mitsubishi UFJ Financial Group, Inc. 1,696,767 9,170,352 Secom Co. Ltd. 29,700 2,650,459 Mizuho Financial Group, Inc. 3,361,224 5,169,435 Sohgo Security Services Co. Ltd. 10,200 552,404 Resona Holdings, Inc. 295,600 1,288,928 Toppan Printing Co. Ltd. 35,500 731,845 98,500 323,712 Seven Bank Ltd. 5,247,621 Shinsei Bank Ltd. 24,400 372,473 Shizuoka Bank Ltd. (The) 67,300 501,019 Construction & Engineering 0.2% Sumitomo Mitsui Financial Group, Inc. 182,753 6,727,539 JGC Holdings Corp. 32,100 516,547 Sumitomo Mitsui Trust Holdings, Inc. 46,840 1,848,400 Kajima Corp. 62,100 829,910 91,800 1,017,867 28,446,984 Obayashi Corp. Shimizu Corp. 82,600 840,376 Beverages 0.3% Taisei Corp. 27,200 1,126,144 51,300 2,343,368 Asahi Group Holdings Ltd. 4,330,844

16 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value JAPAN (continued) JAPAN (continued) Construction Materials 0.0%† Equity Real Estate Investment Trusts (REITs) (continued) Taiheiyo Cement Corp. 16,100 $ 471,062 Japan Prime Realty Investment Corp. 108 $ 474,336 185 1,227,333 Consumer Finance 0.0%† Japan Real Estate Investment Corp. 360 773,976 Acom Co. Ltd. 59,900 271,889 Japan Retail Fund Investment Corp. 190 1,392,253 AEON Financial Service Co. Ltd. 15,800 248,516 Nippon Building Fund, Inc. 254 647,079 Credit Saison Co. Ltd. 22,000 381,320 Nippon Prologis REIT, Inc. Nomura Real Estate Master Fund, Inc. 535 914,285 901,725 Orix JREIT, Inc. 367 795,770 Containers & Packaging 0.0%† United Urban Investment Corp. 395 741,195 Toyo Seikan Group Holdings Ltd. 20,300 351,896 7,621,950 Diversified Consumer Services 0.0%† Food & Staples Retailing 0.4% 7,400 194,578 Benesse Holdings, Inc. Aeon Co. Ltd. 93,400 1,924,158 Diversified Financial Services 0.2% FamilyMart Co. Ltd. 34,800 833,507 Mitsubishi UFJ Lease & Finance Co. Ltd. 63,100 406,114 Lawson, Inc. 6,200 351,122 ORIX Corp. 178,900 2,977,856 Seven & i Holdings Co. Ltd. 103,400 3,783,277 Tokyo Century Corp. 6,400 343,639 Sundrug Co. Ltd. 10,800 390,310 3,727,609 Tsuruha Holdings, Inc. 5,500 705,637 Welcia Holdings Co. Ltd. 7,200 458,626 Diversified Telecommunication Services 0.2% 8,446,637 Nippon Telegraph & Telephone Corp. 180,056 4,560,785 Electric Utilities 0.2% Food Products 0.3% 62,800 1,044,110 Chubu Electric Power Co., Inc. 89,700 1,265,242 Ajinomoto Co., Inc. 11,500 374,014 Chugoku Electric Power Co., Inc. (The) 39,100 515,618 Calbee, Inc. 20,100 983,313 Kansai Electric Power Co., Inc. (The) 99,500 1,150,563 Kikkoman Corp. 16,380 1,106,289 Kyushu Electric Power Co., Inc. 48,400 418,101 MEIJI Holdings Co. Ltd. 12,300 509,483 Tohoku Electric Power Co., Inc. 58,900 582,557 NH Foods Ltd. 26,923 469,243 Tokyo Electric Power Co. Holdings, Inc.* 204,400 872,822 Nisshin Seifun Group, Inc. Nissin Foods Holdings Co. Ltd. 8,900 660,633 4,804,903 Toyo Suisan Kaisha Ltd. 12,700 540,160 Electrical Equipment 0.4% Yakult Honsha Co. Ltd. 16,800 924,758 Fuji Electric Co. Ltd. 18,000 550,062 Yamazaki Baking Co. Ltd. 17,300 309,114 Mitsubishi Electric Corp. 254,100 3,455,042 6,921,117 Nidec Corp. 31,200 4,262,049 Gas Utilities 0.1% 8,267,153 Osaka Gas Co. Ltd. 53,000 1,012,673 Electronic Equipment, Instruments & Components 1.5% Toho Gas Co. Ltd. 10,700 435,668 Alps Alpine Co. Ltd. 30,000 677,672 Tokyo Gas Co. Ltd. 53,800 1,305,261 Hamamatsu Photonics KK 18,200 745,748 2,753,602 Hirose Electric Co. Ltd. 4,394 561,738 Hitachi High-Technologies Corp. 9,700 685,448 Health Care Equipment & Supplies 0.6% 28,800 847,974 Hitachi Ltd. 133,500 5,623,292 Asahi Intecc Co. Ltd. 53,400 5,098,639 Keyence Corp. 25,244 8,935,195 Hoya Corp. 164,700 2,536,242 Kyocera Corp. 45,400 3,093,852 Olympus Corp. 23,600 1,604,125 Murata Manufacturing Co. Ltd. 79,600 4,921,268 Sysmex Corp. 90,800 3,207,924 Omron Corp. (a) 27,200 1,584,582 Terumo Corp. Shimadzu Corp. 31,500 985,175 13,294,904 18,300 2,056,807 TDK Corp. Health Care Providers & Services 0.1% 33,900 1,279,199 Yaskawa Electric Corp. Alfresa Holdings Corp. 28,200 575,750 28,700 508,323 Yokogawa Electric Corp. Medipal Holdings Corp. 25,500 562,504 31,658,299 Suzuken Co. Ltd. 10,220 415,886 Entertainment 0.4% 1,554,140 12,300 507,174 Konami Holdings Corp. Health Care Technology 0.1% 70,300 929,855 Nexon Co. Ltd.* M3, Inc. (a) 58,400 1,763,548 Nintendo Co. Ltd. 15,400 6,216,152 Square Enix Holdings Co. Ltd. 12,900 644,529 Hotels, Restaurants & Leisure 0.2% 9,326 449,432 Toho Co. Ltd. 15,600 649,594 McDonald’s Holdings Co. Japan Ltd. (a) Oriental Land Co. Ltd. 27,400 3,739,592 8,947,304 4,189,024 Equity Real Estate Investment Trusts (REITs) 0.4% Daiwa House REIT Investment Corp. 251 655,723 Household Durables 1.0% Casio Computer Co. Ltd. 29,300 588,779

17 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value JAPAN (continued) JAPAN (continued) Household Durables (continued) Leisure Products (continued) Iida Group Holdings Co. Ltd. (a) 17,300 $ 302,820 Yamaha Corp. 20,500 $ 1,130,038 Nikon Corp. 43,800 535,374 5,040,230 Panasonic Corp. 312,000 2,926,349 Rinnai Corp. 4,700 367,042 Machinery 1.2% 49,900 566,705 Sekisui Chemical Co. Ltd. 51,100 884,529 Amada Holdings Co. Ltd. 14,900 901,012 Sekisui House Ltd. 87,400 1,866,523 Daifuku Co. Ltd. (a) 27,100 5,005,050 Sharp Corp. (a) 30,000 458,425 FANUC Corp. 40,100 423,705 Sony Corp. 177,000 12,047,822 Hino Motors Ltd. Hitachi Construction Machinery Co. Ltd. 13,400 398,671 19,977,663 Hoshizaki Corp. (a) 7,200 641,091 Household Products 0.2% IHI Corp. 18,399 431,216 Lion Corp. 31,600 616,778 JTEKT Corp. 28,700 338,514 Pigeon Corp. (a) 16,300 601,008 Kawasaki Heavy Industries Ltd. 18,799 411,002 Unicharm Corp. 57,000 1,925,321 Komatsu Ltd. 130,500 3,128,786 3,143,107 Kubota Corp. 143,600 2,249,613 Kurita Water Industries Ltd. 14,100 417,747 Independent Power and Renewable Electricity Producers 0.0%† Makita Corp. 29,800 1,031,648 19,100 464,150 Electric Power Development Co. Ltd. MINEBEA MITSUMI, Inc. 46,600 961,663 Industrial Conglomerates 0.1% MISUMI Group, Inc. 40,100 991,620 Keihan Holdings Co. Ltd. 14,000 681,463 Mitsubishi Heavy Industries Ltd. 43,000 1,663,033 Toshiba Corp. 69,300 2,347,771 Nabtesco Corp. (a) 15,900 469,173 3,029,234 NGK Insulators Ltd. 39,700 688,680 NSK Ltd. 54,200 511,178 Insurance 0.8% SMC Corp. (a) 7,900 3,611,156 152,400 2,509,868 Dai-ichi Life Holdings, Inc. Sumitomo Heavy Industries Ltd. 14,600 413,866 222,600 2,090,650 Japan Post Holdings Co. Ltd. THK Co. Ltd. 16,900 453,604 Japan Post Insurance Co. Ltd. 31,500 539,188 25,708,733 MS&AD Insurance Group Holdings, Inc. 67,041 2,207,402 Sompo Holdings, Inc. 47,250 1,851,457 Marine 0.0%† Sony Financial Holdings, Inc. 22,900 548,147 Mitsui OSK Lines Ltd. 13,700 376,221 T&D Holdings, Inc. 72,000 908,756 Nippon Yusen KK 20,300 365,740 Tokio Marine Holdings, Inc. 88,300 4,930,303 741,961 15,585,771 Media 0.1% Interactive Media & Services 0.1% CyberAgent, Inc. 15,100 525,703 Kakaku.com, Inc. 19,500 501,287 Dentsu Group, Inc. 30,401 1,046,807 LINE Corp.* (a) 8,600 422,985 Hakuhodo DY Holdings, Inc. 31,200 501,809 Z Holdings Corp. 369,300 1,547,256 2,074,319 2,471,528 Metals & Mining 0.2% Internet & Direct Marketing Retail 0.1% Hitachi Metals Ltd. (a) 30,000 440,738 Mercari, Inc.* 10,600 217,654 JFE Holdings, Inc. 69,500 890,331 Rakuten, Inc. (a) 120,800 1,036,105 Maruichi Steel Tube Ltd. (a) 7,500 210,370 ZOZO, Inc. 15,300 292,712 Mitsubishi Materials Corp. 16,700 452,818 1,546,471 Nippon Steel Corp. 114,144 1,717,307 Sumitomo Metal Mining Co. Ltd. 32,900 1,061,137 IT Services 0.4% 4,772,701 Fujitsu Ltd. 27,800 2,623,289 GMO Payment Gateway, Inc. 5,800 399,019 Multiline Retail 0.2% Itochu Techno-Solutions Corp. 13,700 386,772 Isetan Mitsukoshi Holdings Ltd. 51,360 461,818 NEC Corp. 35,400 1,470,919 J Front Retailing Co. Ltd. 28,400 396,129 Nomura Research Institute Ltd. 45,315 974,986 Marui Group Co. Ltd. 25,000 608,544 NTT Data Corp. 89,200 1,192,434 Pan Pacific International Holdings Corp. 62,800 1,042,349 Obic Co. Ltd. 9,100 1,229,251 Ryohin Keikaku Co. Ltd. 31,400 732,380 Otsuka Corp. 14,000 559,154 3,241,220 8,835,824 Oil, Gas & Consumable Fuels 0.2% Leisure Products 0.2% Idemitsu Kosan Co. Ltd. 27,156 755,501 Bandai Namco Holdings, Inc. 28,200 1,711,184 Inpex Corp. 144,000 1,502,129 Sankyo Co. Ltd. 6,700 222,072 JXTG Holdings, Inc. 432,139 1,975,995 Sega Sammy Holdings, Inc. 19,800 288,391 4,233,625 Shimano, Inc. 10,400 1,688,545

18 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value JAPAN (continued) JAPAN (continued) Paper & Forest Products 0.0%† Semiconductors & Semiconductor Equipment 0.5% Oji Holdings Corp. 121,100 $ 653,586 Advantest Corp. 28,500 $ 1,612,481 3,900 928,324 Personal Products 0.5% Disco Corp. Kao Corp. 67,400 5,559,015 Renesas Electronics Corp.* 107,300 738,856 Kobayashi Pharmaceutical Co. Ltd. 5,800 491,147 Rohm Co. Ltd. 13,200 1,063,946 Kose Corp. (a) 4,200 613,853 SUMCO Corp. (a) 35,400 592,926 Pola Orbis Holdings, Inc. 13,200 315,340 Tokyo Electron Ltd. 21,700 4,768,637 Shiseido Co. Ltd. 55,800 3,989,944 9,705,170 10,969,299 Software 0.1% Pharmaceuticals 1.6% Oracle Corp. Japan 5,200 472,756 Astellas Pharma, Inc. 261,300 4,463,503 Trend Micro, Inc. 18,100 926,235 Chugai Pharmaceutical Co. Ltd. 31,600 2,910,488 1,398,991 Daiichi Sankyo Co. Ltd. 78,200 5,163,771 Specialty Retail 0.4% Eisai Co. Ltd. 35,600 2,651,552 ABC-Mart, Inc. 5,000 340,832 Hisamitsu Pharmaceutical Co., Inc. 7,500 364,849 Fast Retailing Co. Ltd. (a) 8,200 4,860,452 Kyowa Kirin Co. Ltd. 34,700 815,313 Hikari Tsushin, Inc. 2,800 702,889 Mitsubishi Tanabe Pharma Corp. 32,100 592,006 Nitori Holdings Co. Ltd. 11,100 1,753,933 Nippon Shinyaku Co. Ltd. 6,400 556,550 Shimamura Co. Ltd. 3,100 236,559 Ono Pharmaceutical Co. Ltd. 53,800 1,228,577 USS Co. Ltd. 29,200 551,411 Otsuka Holdings Co. Ltd. 55,200 2,454,866 Yamada Denki Co. Ltd. 94,500 500,185 Santen Pharmaceutical Co. Ltd. 46,800 892,332 Shionogi & Co. Ltd. 37,900 2,341,583 8,946,261 Sumitomo Dainippon Pharma Co. Ltd. 18,000 351,177 Technology Hardware, Storage & Peripherals 0.4% Taisho Pharmaceutical Holdings Co. Ltd. 4,900 362,055 Brother Industries Ltd. 32,500 669,194 Takeda Pharmaceutical Co. Ltd. 206,849 8,194,914 Canon, Inc. (a) 139,000 3,790,673 33,343,536 FUJIFILM Holdings Corp. 49,100 2,341,187 62,700 410,372 Professional Services 0.4% Konica Minolta, Inc. 94,700 1,026,175 Persol Holdings Co. Ltd. 25,200 473,663 Ricoh Co. Ltd. 33,500 505,776 Recruit Holdings Co. Ltd. 188,400 7,089,555 Seiko Epson Corp. 7,563,218 8,743,377 Real Estate Management & Development 0.6% Tobacco 0.2% 166,300 3,707,343 Aeon Mall Co. Ltd. 14,830 262,900 Japan Tobacco, Inc. (a) Daito Trust Construction Co. Ltd. 10,200 1,263,279 Trading Companies & Distributors 0.9% Daiwa House Industry Co. Ltd. 80,000 2,478,522 ITOCHU Corp. 183,400 4,247,248 Hulic Co. Ltd. (a) 41,700 501,954 Marubeni Corp. 221,000 1,633,064 Mitsubishi Estate Co. Ltd. 161,700 3,091,252 Mitsubishi Corp. 189,200 5,019,441 Mitsui Fudosan Co. Ltd. 126,100 3,079,858 Mitsui & Co. Ltd. 229,100 4,073,853 Nomura Real Estate Holdings, Inc. 18,100 435,562 MonotaRO Co. Ltd. 15,800 423,518 Sumitomo Realty & Development Co. Ltd. 44,800 1,562,582 Sumitomo Corp. 163,500 2,437,620 Tokyu Fudosan Holdings Corp. 86,100 594,500 Toyota Tsusho Corp. 30,000 1,051,520 13,270,409 18,886,264 Road & Rail 1.0% Transportation Infrastructure 0.0%† Central Japan Railway Co. 20,200 4,059,240 Japan Airport Terminal Co. Ltd. 6,100 337,590 East Japan Railway Co. 42,476 3,834,050 Kamigumi Co. Ltd. 17,000 372,459 Hankyu Hanshin Holdings, Inc. 32,200 1,376,967 710,049 Keikyu Corp. 30,799 593,620 Keio Corp. 14,699 888,074 Wireless Telecommunication Services 1.2% Keisei Electric Railway Co. Ltd. 17,300 670,909 KDDI Corp. 246,500 7,333,324 Kintetsu Group Holdings Co. Ltd. 24,300 1,316,883 NTT DOCOMO, Inc. 186,200 5,203,424 Kyushu Railway Co. 22,600 757,687 Softbank Corp. 229,200 3,071,523 Nagoya Railroad Co. Ltd. (a) 25,199 782,075 SoftBank Group Corp. 216,800 9,438,717 Nippon Express Co. Ltd. 10,300 602,648 25,046,988 41,500 967,908 Odakyu Electric Railway Co. Ltd. 503,800,542 Seibu Holdings, Inc. 29,200 481,704 26,700 970,323 Tobu Railway Co. Ltd. LUXEMBOURG 0.2% Tokyu Corp. 70,200 1,297,088 Energy Equipment & Services 0.0%† West Japan Railway Co. 23,100 1,994,708 Tenaris SA (a) 65,510 740,863 20,593,884

19 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value LUXEMBOURG (continued) NETHERLANDS (continued) Life Sciences Tools & Services 0.1% Professional Services 0.2% Eurofins Scientific SE (a) 1,614 $ 896,317 Randstad NV 15,467 $ 947,164 39,260 2,869,638 Media 0.0%† Wolters Kluwer NV SES SA, FDR 49,601 697,397 3,816,802 Metals & Mining 0.1% Semiconductors & Semiconductor Equipment 1.1% ArcelorMittal SA (a) 93,871 1,658,170 ASML Holding NV 59,028 17,579,140 38,413 4,888,438 3,992,747 NXP Semiconductors NV 22,467,578 MACAU 0.2% 97,075,697 Hotels, Restaurants & Leisure 0.2% Galaxy Entertainment Group Ltd. 294,000 2,167,017 NEW ZEALAND 0.3% Sands China Ltd. 342,700 1,837,757 Construction Materials 0.0%† SJM Holdings Ltd. 308,000 351,581 Fletcher Building Ltd. 131,635 451,657 Wynn Macau Ltd. 181,600 449,213 Diversified Telecommunication Services 0.0%† 4,805,568 Spark New Zealand Ltd. 249,863 728,827 Electric Utilities 0.0%† MALTA 0.0%† Mercury NZ Ltd. 72,263 245,793 Capital Markets 0.0%† BGP Holdings plc*^∞ 848,508 0 Food Products 0.1% a2 Milk Co. Ltd.* (a) 94,801 959,577 NETHERLANDS 4.7% Health Care Equipment & Supplies 0.1% Banks 0.4% Fisher & Paykel Healthcare Corp. Ltd. 78,766 1,181,967 59,779 1,091,871 ABN AMRO Bank NV, CVA Reg. S (b) Health Care Providers & Services 0.0%† ING Groep NV 545,144 6,551,564 Ryman Healthcare Ltd. 54,219 597,065 7,643,435 Independent Power and Renewable Electricity Producers 0.0%† Beverages 0.3% Meridian Energy Ltd. 180,387 607,458 Heineken Holding NV 16,282 1,580,932 Transportation Infrastructure 0.1% Heineken NV 36,335 3,875,909 Auckland International Airport Ltd. 143,378 844,718 5,456,841 5,617,062 Chemicals 0.3% Akzo Nobel NV 31,734 3,235,542 NORWAY 0.6% Koninklijke DSM NV 25,103 3,276,856 Banks 0.1% DNB ASA 129,144 2,420,155 6,512,398 Chemicals 0.1% Diversified Financial Services 0.0%† Yara International ASA 25,098 1,045,801 EXOR NV 15,256 1,183,140 Diversified Telecommunication Services 0.1% Diversified Telecommunication Services 0.1% Telenor ASA 97,896 1,755,816 Koninklijke KPN NV 510,412 1,508,098 Food Products 0.1% Food & Staples Retailing 0.2% Mowi ASA 61,988 1,612,227 Koninklijke Ahold Delhaize NV 166,219 4,165,759 Orkla ASA 101,400 1,027,681 Health Care Equipment & Supplies 0.3% 2,639,908 Koninklijke Philips NV 124,805 6,101,613 Insurance 0.0%† Insurance 0.1% Gjensidige Forsikring ASA 28,575 600,442 251,736 1,152,288 Aegon NV Media 0.0%† 42,804 1,627,626 NN Group NV Schibsted ASA, Class B 14,443 414,423 2,779,914 Metals & Mining 0.0%† IT Services 0.1% Norsk Hydro ASA 189,189 706,293 1,462 1,203,011 Adyen NV Reg. S* (b) Oil, Gas & Consumable Fuels 0.2% Media 0.0%† Aker BP ASA 16,094 528,011 Altice Europe NV* 94,396 610,014 Equinor ASA 136,097 2,721,736 Oil, Gas & Consumable Fuels 1.6% 3,249,747 Koninklijke Vopak NV 8,867 481,381 12,832,585 plc, Class A 594,661 17,676,002 Royal Dutch Shell plc, Class B 519,160 15,469,711 PORTUGAL 0.2% 33,627,094 Electric Utilities 0.1% EDP — Energias de Portugal SA 355,878 1,542,766

20 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value PORTUGAL (continued) SOUTH AFRICA 0.2% Food & Staples Retailing 0.0%† Metals & Mining 0.2% Jeronimo Martins SGPS SA 38,870 $ 640,190 143,617 $ 4,145,052 Oil, Gas & Consumable Fuels 0.1% Galp Energia SGPS SA 70,839 1,184,808 SPAIN 2.8% Banks 0.9% 3,367,764 Banco Bilbao Vizcaya Argentaria SA 927,357 5,226,083 Banco de Sabadell SA 807,222 945,539 RUSSIA 0.0%† Banco Santander SA 2,299,453 9,709,258 Metals & Mining 0.0%† Bankia SA 187,282 400,892 plc 72,161 387,305 Bankinter SA 86,519 636,115 507,183 1,599,459 SINGAPORE 1.2% CaixaBank SA Aerospace & Defense 0.0%† 18,517,346 220,600 646,893 Singapore Technologies Engineering Ltd. Biotechnology 0.1% Airlines 0.0%† Grifols SA 42,155 1,488,417 77,166 519,167 Singapore Airlines Ltd. Construction & Engineering 0.2% Banks 0.6% ACS Actividades de Construccion y DBS Group Holdings Ltd. 246,300 4,747,495 Servicios SA 37,484 1,502,598 Oversea-Chinese Banking Corp. Ltd. 451,200 3,689,333 Ferrovial SA 66,454 2,016,010 173,800 3,418,632 United Overseas Bank Ltd. 3,518,608 11,855,460 Diversified Telecommunication Services 0.3% Capital Markets 0.1% Cellnex Telecom SA Reg. S (b) 35,800 1,542,957 113,600 749,370 Singapore Exchange Ltd. Telefonica SA 651,548 4,553,835 Distributors 0.0%† 6,096,792 Jardine Cycle & Carriage Ltd. 12,566 281,235 Electric Utilities 0.5% Diversified Telecommunication Services 0.1% Endesa SA 40,545 1,082,473 1,105,350 2,771,902 Singapore Telecommunications Ltd. Iberdrola SA 846,683 8,720,021 Electronic Equipment, Instruments & Components 0.0%† Red Electrica Corp. SA 59,449 1,195,830 40,700 491,091 Venture Corp. Ltd. 10,998,324 Equity Real Estate Investment Trusts (REITs) 0.2% Electrical Equipment 0.0%† Ascendas REIT 421,343 930,869 CapitaLand Commercial Trust 325,344 481,698 Siemens Gamesa Renewable 33,691 592,031 CapitaLand Mall Trust 366,100 669,755 Energy SA (a) Mapletree Commercial Trust 281,700 500,643 Gas Utilities 0.1% Suntec REIT 308,400 422,082 Enagas SA 28,047 716,495 3,005,047 Naturgy Energy Group SA 42,892 1,079,767 Food Products 0.0%† 1,796,262 Wilmar International Ltd. 243,894 748,016 Insurance 0.0%† Hotels, Restaurants & Leisure 0.0%† Mapfre SA (a) 162,399 431,999 Genting Singapore Ltd. 878,496 601,428 IT Services 0.2% Industrial Conglomerates 0.1% Amadeus IT Group SA 60,312 4,941,774 Keppel Corp. Ltd. 207,000 1,042,929 Oil, Gas & Consumable Fuels 0.1% Sembcorp Industries Ltd. 79,600 135,747 Repsol SA 199,486 3,129,409 1,178,676 Specialty Retail 0.3% Media 0.0%† Industria de Diseno Textil SA 149,390 5,291,834 208,000 337,254 Singapore Press Holdings Ltd. Transportation Infrastructure 0.1% Real Estate Management & Development 0.1% Aena SME SA Reg. S (b) 9,539 1,830,344 374,997 1,045,915 CapitaLand Ltd. 58,633,140 City Developments Ltd. 61,200 499,087 UOL Group Ltd. 66,200 410,001 SWEDEN 2.5% 1,955,003 Banks 0.3% Road & Rail 0.0%† Skandinaviska Enskilda Banken AB, ComfortDelGro Corp. Ltd. 314,000 556,164 Class A 230,003 2,163,659 Svenska Handelsbanken AB, Class A 215,817 2,323,770 Transportation Infrastructure 0.0%† 127,981 1,908,653 SATS Ltd. 100,700 379,292 Swedbank AB, Class A 26,075,998 6,396,082

21 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value SWEDEN (continued) SWITZERLAND (continued) Building Products 0.2% Capital Markets 0.7% Assa Abloy AB, Class B 136,339 $ 3,185,949 Credit Suisse Group AG (Registered)* 355,414 $ 4,823,309 31,469 1,625,195 Commercial Services & Supplies 0.0%† Julius Baer Group Ltd.* 2,517 2,306,751 Securitas AB, Class B 44,251 763,503 Partners Group Holding AG UBS Group AG (Registered)* 538,743 6,799,397 Communications Equipment 0.2% 15,554,652 Telefonaktiebolaget LM Ericsson, Class B 428,955 3,758,638 Construction & Engineering 0.1% Chemicals 0.4% 29,669 663,901 Skanska AB, Class B 48,070 1,086,963 Clariant AG (Registered)* EMS-Chemie Holding AG (Registered) 1,069 703,497 Diversified Financial Services 0.3% Givaudan SA (Registered) 1,281 4,009,178 20,769 501,554 Industrivarden AB, Class C Sika AG (Registered) 18,033 3,395,957 Investor AB, Class B 64,370 3,516,954 8,772,533 Kinnevik AB, Class B 35,361 865,312 L E Lundbergforetagen AB, Class B 10,809 474,836 Construction Materials 0.2% 5,358,656 LafargeHolcim Ltd. (Registered)* 67,155 3,723,864 Diversified Telecommunication Services 0.1% Diversified Financial Services 0.0%† 5,244 435,651 Telia Co. AB 374,225 1,607,512 Pargesa Holding SA Electronic Equipment, Instruments & Components 0.1% Diversified Telecommunication Services 0.1% 3,660 1,938,269 Hexagon AB, Class B 36,797 2,061,683 Swisscom AG (Registered) Food & Staples Retailing 0.0%† Electrical Equipment 0.3% 257,231 6,209,785 ICA Gruppen AB 12,291 574,010 ABB Ltd. (Registered) Household Durables 0.1% Food Products 2.3% 422 932,916 Electrolux AB Series B 30,384 745,698 Barry Callebaut AG (Registered) 149 1,156,675 Husqvarna AB, Class B 56,775 454,622 Chocoladefabriken Lindt & Spruengli AG Chocoladefabriken Lindt & Spruengli AG 1,200,320 (Registered) 14 1,236,891 Household Products 0.1% Nestle SA (Registered) 414,297 44,883,505 Essity AB, Class B 82,939 2,673,796 48,209,987 Machinery 0.8% Health Care Equipment & Supplies 0.3% 43,477 1,095,315 Alfa Laval AB Alcon, Inc.* 57,229 3,242,006 93,726 3,736,160 Atlas Copco AB, Class A Sonova Holding AG (Registered) 7,848 1,795,511 55,146 1,913,308 Atlas Copco AB, Class B Straumann Holding AG (Registered) 1,442 1,415,391 Epiroc AB, Class A 90,486 1,105,837 6,452,908 Epiroc AB, Class B 57,930 687,579 Sandvik AB 155,231 3,033,936 Insurance 0.8% SKF AB, Class B 53,200 1,077,830 Baloise Holding AG (Registered) 6,568 1,187,070 Volvo AB, Class B 204,663 3,434,550 Swiss Life Holding AG (Registered) 4,687 2,351,473 16,084,515 Swiss Re AG 41,231 4,634,121 Zurich Insurance Group AG 20,612 8,453,808 Metals & Mining 0.0%† 16,626,472 Boliden AB* 38,477 1,023,436 Oil, Gas & Consumable Fuels 0.0%† Life Sciences Tools & Services 0.2% 10,181 3,713,163 Lundin Petroleum AB 24,393 828,999 Lonza Group AG (Registered)* Specialty Retail 0.1% Machinery 0.1% 5,278 1,342,903 Hennes & Mauritz AB, Class B 110,099 2,238,066 Schindler Holding AG Schindler Holding AG (Registered) 2,904 711,481 Tobacco 0.1% 2,054,384 Swedish Match AB 24,866 1,281,937 Wireless Telecommunication Services 0.0%† Marine 0.1% Tele2 AB, Class B 70,568 1,023,647 Kuehne + Nagel International AG (Registered) 7,631 1,286,336 51,147,712 Metals & Mining 0.2% SWITZERLAND 9.7% plc* 1,499,847 4,689,911 Beverages 0.1% Pharmaceuticals 2.9% Coca-Cola HBC AG* 28,455 970,505 Novartis AG (Registered) 298,505 28,281,070 Building Products 0.1% Roche Holding AG 97,653 31,664,771 Geberit AG (Registered) 5,235 2,938,861 Vifor Pharma AG 6,430 1,174,568 61,120,409

22 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value SWITZERLAND (continued) UNITED KINGDOM (continued) Professional Services 0.2% Commercial Services & Supplies 0.1% Adecco Group AG (Registered) 22,097 $ 1,396,975 G4S plc 218,273 $ 634,773 SGS SA (Registered) 755 2,066,776 plc 260,158 1,566,148 3,463,751 2,200,921 Real Estate Management & Development 0.1% Diversified Financial Services 0.1% Swiss Prime Site AG (Registered)* 10,221 1,184,863 M&G plc* 358,015 1,126,453 Semiconductors & Semiconductor Equipment 0.1% Rolls-Royce International Ltd. STMicroelectronics NV (a) 96,511 2,604,769 (Preference), Class C*∞ 11,031,536 14,612 Software 0.1% 1,141,065 Temenos AG (Registered)* 9,135 1,444,260 Diversified Telecommunication Services 0.1% Specialty Retail 0.0%† BT Group plc 1,145,853 2,936,606 Dufry AG (Registered)* 6,158 610,460 Electric Utilities 0.1% Textiles, Apparel & Luxury Goods 0.4% SSE plc 145,072 2,779,570 Cie Financiere Richemont SA Electrical Equipment 0.1% (Registered) 73,314 5,754,965 plc 686,576 2,194,547 Swatch Group AG (The) (a) 3,798 1,058,674 Swatch Group AG (The) (Registered) 8,353 441,054 Electronic Equipment, Instruments & Components 0.1% Halma plc 53,407 1,499,329 7,254,693 201,260,486 Equity Real Estate Investment Trusts (REITs) 0.2% Co. plc (The) 117,007 996,242 Land Securities Group plc 100,640 1,322,443 UNITED ARAB EMIRATES 0.0%† plc 153,264 1,829,484 Health Care Providers & Services 0.0%† NMC Health plc 13,387 314,265 4,148,169 Food & Staples Retailing 0.3% UNITED KINGDOM 14.2% J Sainsbury plc 238,864 732,241 Aerospace & Defense 0.3% plc 1,370,766 4,643,496 BAE Systems plc 438,077 3,282,333 Wm Morrison Supermarkets plc (a) 317,918 846,349 Meggitt plc 109,297 952,409 6,222,086 Rolls-Royce Holdings plc* 239,816 2,171,574 6,406,316 Food Products 0.1% plc 50,346 1,744,134 Airlines 0.0%† easyJet plc 17,863 339,789 Health Care Equipment & Supplies 0.1% Smith & Nephew plc 123,004 2,971,354 Automobiles 0.1% Fiat Chrysler Automobiles NV 153,395 2,271,816 Hotels, Restaurants & Leisure 0.4% plc 219,712 5,503,975 Banks 2.0% GVC Holdings plc 80,741 946,897 Barclays plc 2,380,604 5,685,010 24,289 1,673,126 2,812,325 22,085,608 InterContinental Hotels Group plc HSBC Holdings plc plc 18,961 1,220,193 plc 9,735,742 8,125,721 Royal Bank of Scotland Group plc 681,085 2,182,983 9,344,191 plc 375,997 3,551,149 Household Durables 0.3% 41,630,471 plc 143,331 1,420,712 plc 15,576 1,010,036 Beverages 0.7% 33,092 1,683,721 44,645 1,608,296 Coca-Cola European Partners plc (a) 463,064 1,198,403 plc 327,409 13,796,908 plc 15,480,629 5,237,447 Capital Markets 0.5% Household Products 0.4% 98,432 7,993,269 Group plc 137,500 2,004,078 Benckiser Group plc plc 39,759 1,023,743 Industrial Conglomerates 0.3% London Stock Exchange Group plc 43,156 4,457,676 CK Hutchison Holdings Ltd. 379,516 3,626,406 plc 17,568 781,248 DCC plc 13,885 1,208,625 St James’s Place plc 74,124 1,146,958 plc 55,955 1,251,003 325,200 1,416,995 plc 6,086,034 10,830,698 Insurance 0.8% Chemicals 0.1% plc 26,979 826,217 plc 18,161 1,233,475 plc 551,365 3,075,830 plc 27,226 1,083,282 Direct Line Insurance Group plc 196,454 818,555 2,316,757 Legal & General Group plc 838,568 3,378,397

23 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Common Stocks (continued) Common Stocks (continued) Shares Value Shares Value UNITED KINGDOM (continued) UNITED KINGDOM (continued) Insurance (continued) Textiles, Apparel & Luxury Goods 0.1% 358,015 $ 6,888,723 Group plc 58,136 $ 1,701,391 RSA Insurance Group plc 145,081 1,095,138 Tobacco 0.8% 16,082,860 plc 319,823 13,626,135 plc 133,362 3,304,505 Interactive Media & Services 0.0%† plc Reg. S (b) 131,808 1,041,686 16,930,640 Internet & Direct Marketing Retail 0.1% Trading Companies & Distributors 0.2% plc* 64,944 1,102,698 plc 65,711 2,102,793 plc 47,367 1,295,985 Machinery 0.2% 3,398,778 CNH Industrial NV 143,493 1,575,177 Spirax-Sarco Engineering plc 10,517 1,245,367 Water Utilities 0.1% plc (The) 34,830 696,948 plc 33,397 1,114,578 96,365 1,210,409 3,517,492 Group plc 2,324,987 Media 0.3% plc 176,882 2,010,680 Wireless Telecommunication Services 0.3% 3,721,855 7,225,506 ITV plc 511,989 1,027,649 Group plc Pearson plc 110,382 933,727 296,506,721 WPP plc 178,322 2,509,607 6,481,663 UNITED STATES 0.3% Construction Materials 0.1% Multiline Retail 0.1% James Hardie Industries plc CHDI 63,945 1,253,662 Marks & Spencer Group plc 278,151 788,807 17,929 1,669,379 Hotels, Restaurants & Leisure 0.0%† Carnival plc 23,044 1,100,405 2,458,186 Life Sciences Tools & Services 0.1% Multi-Utilities 0.3% QIAGEN NV* 32,621 1,115,164 Centrica plc 796,177 948,899 Software 0.0%† 479,964 6,031,677 CyberArk Software Ltd.* (a) 5,314 619,506 6,980,576 Trading Companies & Distributors 0.1% Oil, Gas & Consumable Fuels 0.9% 31,413 2,854,078 BP plc 2,831,267 17,772,849 6,942,815 Paper & Forest Products 0.1% plc 68,874 1,625,878 Total Common Stocks (cost $1,704,289,503) 2,065,682,436 Personal Products 1.0% NV 202,979 11,678,624 Unilever plc 154,354 8,836,653 Rights 0.0%† 20,515,277 Number of Pharmaceuticals 1.7% Rights AstraZeneca plc 182,391 18,247,968 GlaxoSmithKline plc 692,700 16,296,321 SPAIN 0.0%† Oil, Gas & Consumable Fuels 0.0%† 34,544,289 Repsol SA, expiring at an exercise Professional Services 0.6% price of 0.42 EUR on 1/7/2020* (a) 199,486 94,652 plc 124,935 4,225,629 Group plc 22,808 1,770,191 Total Rights RELX plc 269,238 6,795,128 (cost $94,275) 94,652 12,790,948 Repurchase Agreements 1.6% Software 0.1% Group plc 9,035 558,542 Principal Micro Focus International plc 42,149 595,120 Amount plc (The) 153,371 1,523,956 2,677,618 Bank of America NA, 1.57%, dated 12/31/2019, due 1/2/2020, Specialty Retail 0.1% repurchase price $4,486,324, JD Sports Fashion plc 61,229 683,878 collateralized by U.S. Government 301,484 874,323 Agency Securities, 3.00%, 1,558,201 maturing 12/20/2042; total market value $4,575,651. (c)(d) $ 4,485,933 4,485,933

24 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Repurchase Agreements (continued) * Denotes a non-income producing security. Principal ^ Value determined using significant unobservable inputs. Amount Value ∞ Fair valued security. BofA Securities, Inc., 1.65%, dated † Amount rounds to less than 0.1%. 12/13/2019, due 1/7/2020, (a) The security or a portion of this security is on loan at repurchase price $3,003,438, collateralized by U.S. Government December 31, 2019. The total value of securities on loan Agency Securities, ranging from at December 31, 2019 was $54,722,668, which was 0.00% - 3.50%, maturing collateralized by cash used to purchase repurchase 10/25/2027 - 10/15/2058; total agreements with a total value of $34,285,933 and by market value $3,060,000. (c)(d) $ 3,000,000 $ 3,000,000 $22,495,875 of collateral in the form of U.S. Citigroup Global Markets Ltd., 1.70%, Government Treasury Securities, interest rates ranging dated 12/31/2019, due 1/2/2020, from 0.00% – 8.13%, and maturity dates ranging from repurchase price $5,300,501, 1/7/2020 – 5/15/2049, a total value of $56,781,808. collateralized by U.S. Government Treasury Securities, ranging from (b) Rule 144A, Section 4(2), or other security which is 1.63% - 2.25%, maturing 7/31/2024 - restricted as to sale to institutional investors. These 8/15/2049; total market value securities were deemed liquid pursuant to procedures $5,406,000. (c)(d) 5,300,000 5,300,000 approved by the Board of Trustees. The liquidity Deutsche Bank Securities, Inc., 1.59%, determination is unaudited. The aggregate value of dated 1/7/2019, due 1/7/2020, these securities at December 31, 2019 was $18,403,587 repurchase price $4,572,544, collateralized by U.S. Government which represents 0.88% of net assets. Treasury Securities, ranging from (c) Security was purchased with cash collateral held from 0.00% - 3.13%, maturing 4/30/2020 securities on loan. The total value of securities - 8/15/2044; total market value purchased with cash collateral as of December 31, 2019 $4,590,000. (c)(d)(e) 4,500,000 4,500,000 was $34,285,933. NatWest Markets Securities, Inc., 1.58%, dated 12/31/2019, due (d) Please refer to Note 2(e) for additional information on 1/7/2020, repurchase price the joint repurchase agreement. $10,003,073, collateralized by U.S. (e) Variable Rate Security. The rate reflected in the Government Treasury Securities, Statement of Investments is the rate in effect on ranging from 0.50% - 6.63%, December 31, 2019. The maturity date represents the maturing 7/15/2020 - 5/15/2039; total market value actual maturity date. $10,200,891. (c)(d) 10,000,000 10,000,000 ADR American Depositary Receipt Nomura Securities International, Inc., CHDI Clearing House Electronic Subregister System 1.55%, dated 12/31/2019, due 1/2/2020, repurchase price (CHESS) Depository Interest $5,000,431, collateralized by U.S. CVA Dutch Certification Government Treasury Securities, FDR Fiduciary Depositary Receipt ranging from 0.00% - 4.38%, maturing 2/15/2020 - 8/15/2049; Preference A special type of equity investment that shares in total market value the earnings of the company, has limited voting $5,100,000. (c)(d) 5,000,000 5,000,000 rights, and may have a dividend preference. Pershing LLC, 1.66%, dated 12/31/2019, Preference shares may also have liquidation due 1/2/2020, repurchase price preference. $2,000,185, collateralized by U.S. Government Agency and Treasury Reg. S Regulation S — Security was purchased pursuant to Securities, ranging from 0.00% - Regulation S under the Securities Act of 1933, which 10.50%, maturing 1/2/2020 - exempts from registration securities offered and 11/20/2069; total market value sold outside of the United States. Such security 2,000,000 2,000,000 $2,040,001. (c)(d) cannot be sold in the United States without either an effective registration statement filed pursuant to the Total Repurchase Agreements (cost $34,285,933) 34,285,933 Securities Act of 1933 or pursuant to an exemption from registration. Currently there is no restriction on Total Investments trading this security. (cost $1,738,669,711) — 100.7% 2,100,063,021 REIT Real Estate Investment Trust Liabilities in excess of other SDR Swedish Depository Receipt assets — (0.7)% (15,417,048)

NET ASSETS — 100.0% $ 2,084,645,973

25 Statement of Investments (Continued) December 31, 2019

NVIT International Index Fund (Continued)

Futures contracts outstanding as of December 31, 2019: Value and Unrealized Number of Expiration Trading Notional Appreciation Description Contracts Date Currency Amount ($) (Depreciation) ($) Long Contracts EURO STOXX 50 Index 162 3/2020 EUR 6,776,167 (33,377) FTSE 100 Index 41 3/2020 GBP 4,072,602 17,300 Nikkei 225 Index 35 3/2020 JPY 3,764,783 (48,285) SPI 200 Index 14 3/2020 AUD 1,621,779 (44,260) (108,622)

At December 31, 2019, the Fund had $914,357 segregated in foreign currency as collateral with the broker for open futures contract.

Currency: AUD Australian Dollar EUR Euro GBP British Pound JPY Japanese Yen

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

26 Statement of Assets and Liabilities December 31, 2019

NVIT International Index Fund Assets: Investment securities, at value* (cost $1,704,383,778) $2,065,777,088 Repurchase agreement, at value (cost $34,285,933) 34,285,933 Cash 464,802 Deposits with broker for futures contracts 914,357 Foreign currencies, at value (cost $12,312,220) 12,423,848 Interest and dividends receivable 1,980,303 Security lending income receivable 21,143 Receivable for capital shares issued 316,209 Reclaims receivable 4,013,076 Prepaid expenses 3,394 Total Assets 2,120,200,153 Liabilities: Payable for capital shares redeemed 528,885 Payable for variation margin on futures contracts 96,538 Payable upon return of securities loaned (Note 2) 34,285,933 Accrued expenses and other payables: Investment advisory fees 409,754 Fund administration fees 82,056 Distribution fees 40,115 Administrative servicing fees 34,997 Accounting and transfer agent fees 333 Trustee fees 100 Custodian fees 27,577 Compliance program costs (Note 3) 2,100 Professional fees 12,637 Printing fees 4,825 Other 28,330 Total Liabilities 35,554,180 Net Assets $2,084,645,973

Represented by: Capital $1,745,316,764 Total distributable earnings (loss) 339,329,209 Net Assets $2,084,645,973

27 Statement of Assets and Liabilities (Continued) December 31, 2019

NVIT International Index Fund Net Assets: Class I Shares $ 155,627,159 Class II Shares 19,064,824 Class VIII Shares 107,674,830 Class Y Shares 1,802,279,160 Total $2,084,645,973 Shares Outstanding (unlimited number of shares authorized): Class I Shares 15,242,112 Class II Shares 1,868,939 Class VIII Shares 10,610,147 Class Y Shares 176,219,078 Total 203,940,276 Net asset value and offering price per share (Net assets by class divided by shares outstanding by class, respectively): Class I Shares $ 10.21 Class II Shares $ 10.20 Class VIII Shares $ 10.15 Class Y Shares $ 10.23

* Includes value of securities on loan of $54,722,668 (Note 2). The accompanying notes are an integral part of these financial statements.

28 Statement of Operations For the Year Ended December 31, 2019

NVIT International Index Fund INVESTMENT INCOME: Dividend income $ 73,428,984 Income from securities lending (Note 2) 591,270 Foreign tax withholding (6,014,292) Total Income 68,005,962 EXPENSES: Investment advisory fees 4,759,240 Fund administration fees 610,358 Distribution fees Class II Shares 44,494 Distribution fees Class VIII Shares 383,840 Administrative servicing fees Class I Shares 205,254 Administrative servicing fees Class II Shares 17,798 Administrative servicing fees Class VIII Shares 143,941 Professional fees 151,322 Printing fees 13,346 Trustee fees 72,192 Custodian fees 86,445 Accounting and transfer agent fees 9,040 Compliance program costs (Note 3) 8,519 Other 240,696 Total Expenses 6,746,485 NET INVESTMENT INCOME 61,259,477 REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS: Net realized gains (losses) from: Transactions in investment securities 53,539,166 Expiration or closing of futures contracts (Note 2) 3,087,266 Foreign currency transactions (Note 2) 614,866 Net realized gains 57,241,298 Net change in unrealized appreciation/depreciation in the value of: Investment securities 286,445,508 Futures contracts (Note 2) 735,653 Translation of assets and liabilities denominated in foreign currencies (37,036) Net change in unrealized appreciation/depreciation 287,144,125 Net realized/unrealized gains 344,385,423 CHANGE IN NET ASSETS RESULTING FROM OPERATIONS $405,644,900

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

29 Statements of Changes in Net Assets

NVIT International Index Fund Year Ended Year Ended December 31, 2019 December 31, 2018 Operations: Net investment income $ 61,259,477 $ 56,761,911 Net realized gains 57,241,298 15,070,746 Net change in unrealized appreciation/depreciation 287,144,125 (382,833,277) Change in net assets resulting from operations 405,644,900 (311,000,620)

Distributions to Shareholders From: Distributable earnings: Class I (5,207,949) (3,891,898) Class II (617,950) (460,525) Class VIII (3,307,483) (2,186,097) Class Y (64,285,072) (54,290,924) Change in net assets from shareholder distributions (73,418,454) (60,829,444) Change in net assets from capital transactions (190,569,481) 297,329,773 Change in net assets 141,656,965 (74,500,291) Net Assets: Beginning of year 1,942,989,008 2,017,489,299 End of year $2,084,645,973 $1,942,989,008

CAPITAL TRANSACTIONS: Class I Shares Proceeds from shares issued $ 44,307,911 $ 46,379,252 Dividends reinvested 5,207,949 3,891,898 Cost of shares redeemed (45,126,046) (46,635,814) Total Class I Shares 4,389,814 3,635,336 Class II Shares Proceeds from shares issued 1,231,369 2,492,769 Dividends reinvested 617,950 460,525 Cost of shares redeemed (1,952,581) (1,309,908) Total Class II Shares (103,262) 1,643,386 Class VIII Shares Proceeds from shares issued 12,551,434 16,389,871 Dividends reinvested 3,307,483 2,186,097 Cost of shares redeemed (6,885,326) (5,103,725) Total Class VIII Shares 8,973,591 13,472,243 Class Y Shares Proceeds from shares issued 70,641,880 342,067,513 Dividends reinvested 64,285,072 54,290,924 Cost of shares redeemed (338,756,576) (117,779,629) Total Class Y Shares (203,829,624) 278,578,808 Change in net assets from capital transactions $ (190,569,481) $ 297,329,773

30 Statements of Changes in Net Assets (Continued)

NVIT International Index Fund Year Ended Year Ended December 31, 2019 December 31, 2018 SHARE TRANSACTIONS: Class I Shares Issued 4,598,372 4,599,257 Reinvested 525,196 427,476 Redeemed (4,693,224) (4,630,382) Total Class I Shares 430,344 396,351 Class II Shares Issued 129,042 245,316 Reinvested 62,449 50,586 Redeemed (206,864) (130,364) Total Class II Shares (15,373) 165,538 Class VIII Shares Issued 1,311,170 1,612,703 Reinvested 336,090 240,919 Redeemed (715,926) (511,517) Total Class VIII Shares 931,334 1,342,105 Class Y Shares Issued 7,510,414 32,682,513 Reinvested 6,474,406 5,959,543 Redeemed (34,661,767) (11,326,626) Total Class Y Shares (20,676,947) 27,315,430 Total change in shares (19,330,642) 29,219,424

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

31 Financial Highlights Selected data for each share of capital outstanding throughout the periods indicated than Portfolio Turnover (b)(e) Ratio of (Prior to Expenses Assets (d) to Average Net Reimbursements) Net Net Ratio of Average Income to Assets (d) Investment Net Ratio of Expenses Assets (d) to Average Period at End of Net Assets Total Return (b)(c) Value, End of Period Net Asset Total Distributions Net Gains Realized Net Income Investment from Total Operations and from Gains (Losses) Unrealized Operations Distributions Ratios/Supplemental Data Investments Net Realized Net Income (a) Investment Value, of Period Net Asset Beginning those shown. (d) Annualized for(e) periods less Portfolio than turnover one is year. calculated on the basis of the Fund as a whole without distinguishing among the classes of shares. NVIT International Index Fund Class I Shares Year Ended December 31, 2019Year Ended December 31, 2018Year Ended December 31, 2017Year Ended December 31, 2016Year Ended December 31, 2015Class II Shares Year Ended December 31, $ 2019 8.69Year Ended December 31, $10.38 2018Year Ended December 31, 2017 $ 8.54Year Ended 0.28 December 31, $ 2016 0.27 8.70Year Ended December 31, $ 2015 9.02 0.24Class VIII Shares 0.24 1.60Year (1.69) Ended December 31, $ 2019 0.22 8.69Year Ended December 31, $10.37 2018 1.88Year Ended December 31, (0.16) 2017 $ (1.42) 1.88 8.54Year Ended 0.26 December 31, $ 2016 (0.31) 0.24 8.69Year Ended December 31, $ 2015 9.00 2.12 (0.27) 0.21 0.08 (0.34)Class Y Shares (0.09) 0.23 1.59Year (1.67) Ended December 31, $ 2019 0.23 (0.02) (0.28) 8.65Year Ended (0.24) December 31, – $10.33 2018 (0.23) 1.88Year Ended December 31, (0.16) 2017 $ (1.43) 1.85 8.50 (0.36)Year Ended 0.24 December 31, $ 2016 (0.35) 0.22 8.66 – (0.27)Year Ended December – 31, $ 2015 – 8.97 2.09 $10.21 (0.25) 0.20 0.07 (0.32) $ (0.12) 0.21 (0.28) 8.69 1.58 (1.67) (0.24) $ 0.21 21.77% (0.23) (0.02) (0.26) 8.71 (0.22) – $10.40 (13.81%) (0.19) 1.87 $10.38 $ $ (0.16) $ 155,627,159 8.54 (1.45) $ 1.82 8.55 $ (0.34) 8.70 0.30 128,761,485 $ (0.34) 0.28 8.71 – (0.25) 0.44% 24.88% – $ 0.44% – 9.01 2.07 $10.20 (0.23) 0.26 0.92% 0.05 (0.30) (0.96%) $ $ 149,692,499 (0.13) 0.26 2.85% (0.26) 8.69 1.59 $ $ (1.69) (0.22) 2.67% 0.26 21.42% (0.19) (0.02) 0.44% (0.24) 57,974,996 85,775,861 (0.21) – (13.90%) (0.18) 1.88 $10.37 $ $ 0.45% 0.45% (0.17) 8.54 (1.41) $ 1.89 $ (0.32) 19,064,824 0.44% 8.69 2.48% (0.33) 16,365,648 0.44% – (0.23) 24.56% 0.64% – 2.40% 2.76% – 2.14 $10.15 (0.28) 0.64% 0.75% 0.09 (0.35) (1.26%) $ $ (0.07) (0.24) 8.65 17,831,979 0.44% $ 2.68% $ (0.21) 5.50% 21.20% (0.18) (0.02) (0.29) 2.43% 11,918,143 0.69%Amounts (0.25) 9,213,339 0.45% 4.26% 0.45% – designated (14.13%) (0.23) $10.33 as $ “–”(a) $ 0.67% are 107,674,830 8.50 0.70% $ zero Per $ (0.37) or share 8.66(b) have calculations 0.64% 2.18% been Not were 83,675,329 (0.28) – 0.84% rounded annualized 4.72% performed 24.46%(c) to 0.64% for using – zero. periods 2.47% average The – less shares $10.23 2.66% total 0.84% than method. 0.52% returns (1.39%) 4.35% $ one 4.88% do year. not $ 2.46% include (0.29) 8.71 86,101,860 charges $ $ (0.25) 0.69% that are 21.89% (0.23) 2.22% imposed 54,681,371 5.50% 58,248,441 0.84% by 0.67% variable (13.63%) 4.26% insurance 0.70% $10.40 $1,802,279,160 contracts. $ 0.84% 0.85% IfThe 8.55 these $ accompanying $1,714,186,546 charges 0.84% 8.71 notes were 0.29% 2.08% are reflected, an returns 25.13% would integral 0.84% 0.29% 4.72% be 2.24% part 2.44% lower of 1.03% these (0.74%) 4.35% $1,763,862,961 3.07% financial 4.88% statements. 2.74% $1,699,931,064 $1,736,455,901 0.84% 0.29% 5.50% 0.84% 0.30% 0.85% 0.30% 4.26% 0.29% 2.71% 0.29% 2.79% 3.00% 4.72% 4.35% 4.88% 0.29% 5.50% 0.30% 0.30% 4.26% 4.72% 4.35% 4.88%

32 Notes to Financial Statements December 31, 2019

1. Organization Nationwide Variable Insurance Trust (“NVIT” or the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, organized as a statutory trust under the laws of the State of Delaware. The Trust has authorized an unlimited number of shares of beneficial interest (“shares”), without par value. The Trust currently offers shares to life insurance company separate accounts to fund the benefits payable under variable life insurance policies and variable annuity contracts. As of December 31, 2019, the Trust operates sixty-eight (68) separate series, or mutual funds, each with its own objective(s) and investment strategies. This report contains the financial statements and financial highlights for the NVIT International Index Fund (the “Fund”), a series of the Trust. Nationwide Fund Advisors (“NFA”) serves as investment adviser to the Fund. NFA is a wholly owned subsidiary of Nationwide Financial Services, Inc. (“NFS”), a holding company which is a direct wholly owned subsidiary of Nationwide Corporation. Nationwide Corporation, in turn, is owned by Nationwide Mutual Insurance Company and Nationwide Mutual Fire Insurance Company. Currently, shares of the Fund are held by separate accounts established by Nationwide Life Insurance Company (“NLIC”), a wholly owned subsidiary of NFS, Nationwide Life and Annuity Insurance Company, a wholly owned subsidiary of NLIC, other unaffiliated insurance companies, and other series of the Trust that operate as fund-of-funds, such as the NVIT Investor Destinations Funds. The Fund currently offers Class I, Class II, Class VIII, and Class Y shares. Each share class of the Fund represents interests in the same portfolio of investments of the Fund and the classes are identical except for any differences in distribution or service fees, administrative services fees, class specific expenses, certain voting rights and class names or designations. The Fund is a diversified fund as defined in the 1940 Act.

2. Summary of Significant Accounting Policies The following is a summary of significant accounting policies followed by the Fund in the accounting and the preparation of its financial statements. The Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The policies are in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), including but not limited to ASC 946. The preparation of financial statements requires fund management to make estimates and assumptions that affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of income and expenses for the period. The Fund utilizes various methods to measure the value of its investments on a recurring basis. Amounts received upon the sale of such investments could differ from estimated values and those differences could be material.

(a) Security Valuation U.S. GAAP defines fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to procedures approved by the Board of Trustees of the Trust (the “Board of Trustees”), NFA assigns a fair value, as defined by U.S. GAAP, to Fund investments in accordance with a hierarchy that prioritizes the various types of inputs used to measure fair value. The hierarchy gives the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable.

33 Notes to Financial Statements (Continued) December 31, 2019

The three levels of the hierarchy are summarized below. Š Level 1 — Quoted prices in active markets for identical assets Š Level 2 — Other significant observable inputs (including quoted prices of similar securities, interest rates, prepayment speeds, credit risk, etc.) Š Level 3 — Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) Changes in valuation techniques may result in transfers into or out of an investment’s assigned level within the hierarchy. An investment’s categorization within the hierarchy is based on the lowest level of any input that is significant to the fair valuation in its entirety. The inputs or methodology used to value investments are not intended to indicate the risk associated with investing in those investments. Securities for which market-based quotations are readily available are valued at the current market value as of “Valuation Time.” Valuation Time is as of the close of regular trading on the New York Stock Exchange (usually 4:00 p.m. Eastern time). Equity securities are generally valued at the last quoted sale price or official closing price, or, if there is no such price, the last quoted bid price provided by an independent pricing service approved by the Board of Trustees. Prices are taken from the primary market or exchange on which each security trades. Shares of registered open-end management investment companies are valued at net asset value (“NAV”) as reported by such company. Shares of exchange traded funds are generally valued at the last quoted sale price or official closing price, or, if there is no such price, the last quoted bid price provided by an independent pricing service. Master limited partnerships (“MLPs”) are publicly traded partnerships and are treated as partnerships for U.S. federal income tax purposes. Investments in MLPs are valued at the last quoted sale price or official closing price, or, if there is no such price, the last quoted bid price provided by an independent pricing service. Equity securities, shares of registered open-end management investment companies, shares of exchange traded funds and MLPs valued in this manner are generally categorized as Level 1 investments within the hierarchy. Repurchase agreements are valued at amortized cost, which approximates fair value, and are generally categorized as Level 2 investments within the hierarchy. The Board of Trustees has delegated authority to NFA, and the Trust’s administrator, Nationwide Fund Management LLC (“NFM”), to assign a fair value under certain circumstances, as described below, pursuant to valuation procedures approved by the Board of Trustees. NFA and NFM have established a Fair Valuation Committee (“FVC”) to assign these fair valuations. The fair value of a security may differ from its quoted or published price. Fair valuation of portfolio securities may occur on a daily basis. Securities may be fair valued in certain circumstances, such as where (i) market-based quotations are not readily available; (ii) an independent pricing service does not provide a value or the value provided by an independent pricing service is determined to be unreliable in the judgment of NFA/NFM or its designee; (iii) a significant event has occurred that affects the value of the Fund’s securities after trading has stopped (e.g., earnings announcements or news relating to natural disasters affecting an issuer’s operations); (iv) the securities are illiquid; (v) the securities have defaulted or been delisted from an exchange and are no longer trading; or (vi) any other circumstance in which the FVC believes that market-based quotations do not accurately reflect the value of a security. The FVC will assign a fair value according to fair value methodologies. Information utilized by the FVC to obtain a fair value may include, among others, the following: (i) a multiple of

34 Notes to Financial Statements (Continued) December 31, 2019

earnings; (ii) the discount from market value of a similar, freely traded security; (iii) the yield-to-maturity for debt issues; or (iv) a combination of these and other methods. Fair valuations may also take into account significant events that occur before Valuation Time but after the close of the principal market on which a security trades that materially affect the value of such security. To arrive at the appropriate methodology, the FVC may consider a non-exclusive list of factors, which are specific to the security, as well as whether the security is traded on the domestic or foreign markets. The FVC monitors the results of fair valuation determinations and regularly reports the results to the Board of Trustees. The Fund attempts to establish a price that it might reasonably expect to receive upon the current sale of that security. That said, there can be no assurance that the fair value assigned to a security is the price at which a security could have been sold during the period in which the particular fair value was used to value the security. To the extent the significant inputs used are observable, these securities are classified as Level 2 investments; otherwise; they are classified as Level 3 investments within the hierarchy. Equity securities listed on a non-U.S. exchange (“non-U.S. securities”) are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees. The fair valuations for non-U.S. securities may not be the same as quoted or published prices of the securities on the exchange on which such securities trade. Such securities are categorized as Level 2 investments within the hierarchy. If daily fair value prices from the independent fair value pricing service are not available, such non-U.S. securities are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. Values of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of Valuation Time, as provided by an independent pricing service approved by the Board of Trustees. The following table provides a summary of the inputs used to value the Fund’s net assets as of December 31, 2019. Please refer to the Statement of Investments for additional information on portfolio holdings. Level 1 Level 2 Level 3 Total Assets: Common Stocks Aerospace & Defense $ — $ 31,284,000 $— $ 31,284,000 Air Freight & Logistics — 10,398,149 — 10,398,149 Airlines — 3,018,521 — 3,018,521 Auto Components — 19,319,730 — 19,319,730 Automobiles — 64,717,169 — 64,717,169 Banks — 200,800,407 — 200,800,407 Beverages 1,683,721 45,938,978 — 47,622,699 Biotechnology 828,137 17,662,035 — 18,490,172 Building Products — 17,521,972 — 17,521,972 Capital Markets — 52,001,003 — 52,001,003 Chemicals — 70,671,941 — 70,671,941 Commercial Services & Supplies — 12,322,345 — 12,322,345 Communications Equipment — 6,694,376 — 6,694,376 Construction & Engineering — 20,205,961 — 20,205,961 Construction Materials — 12,338,569 — 12,338,569 Consumer Finance — 901,725 — 901,725 Containers & Packaging — 1,578,636 — 1,578,636 Distributors — 281,235 — 281,235 Diversified Consumer Services — 194,578 — 194,578 Diversified Financial Services — 14,994,390 — 14,994,390

35 Notes to Financial Statements (Continued) December 31, 2019

Level 1 Level 2 Level 3 Total Assets: (continued) Common Stocks (continued) Diversified Telecommunication Services $ — $ 42,882,305 $— $ 42,882,305 Electric Utilities — 41,581,378 — 41,581,378 Electrical Equipment — 31,695,414 — 31,695,414 Electronic Equipment, Instruments & Components — 36,631,122 — 36,631,122 Energy Equipment & Services — 1,271,339 — 1,271,339 Entertainment — 13,225,479 — 13,225,479 Equity Real Estate Investment Trusts (REITs) — 33,746,491 — 33,746,491 Food & Staples Retailing — 29,050,777 — 29,050,777 Food Products — 72,785,422 — 72,785,422 Gas Utilities — 9,987,727 — 9,987,727 Health Care Equipment & Supplies — 37,111,647 — 37,111,647 Health Care Providers & Services — 10,216,693 — 10,216,693 Health Care Technology — 1,763,548 — 1,763,548 Hotels, Restaurants & Leisure 714,707 28,197,462 — 28,912,169 Household Durables — 26,887,801 — 26,887,801 Household Products — 17,666,246 — 17,666,246 Independent Power and Renewable Electricity Producers — 1,966,772 — 1,966,772 Industrial Conglomerates 2,367,465 24,737,863 — 27,105,328 Insurance — 115,277,702 — 115,277,702 Interactive Media & Services — 4,014,362 — 4,014,362 Internet & Direct Marketing Retail — 9,923,364 — 9,923,364 IT Services 721,308 22,551,989 — 23,273,297 Leisure Products — 5,040,230 — 5,040,230 Life Sciences Tools & Services — 6,369,636 — 6,369,636 Machinery — 57,329,733 — 57,329,733 Marine — 4,003,529 — 4,003,529 Media — 12,995,498 — 12,995,498 Metals & Mining — 56,873,050 — 56,873,050 Multiline Retail — 10,518,049 — 10,518,049 Multi-Utilities — 21,038,426 — 21,038,426 Oil, Gas & Consumable Fuels — 99,239,086 — 99,239,086 Paper & Forest Products — 5,965,708 — 5,965,708 Personal Products — 43,651,797 — 43,651,797 Pharmaceuticals 1,525,654 175,300,014 — 176,825,668 Professional Services — 31,353,903 — 31,353,903 Real Estate Management & Development 881,216 37,584,802 — 38,466,018 Road & Rail — 23,366,906 — 23,366,906 Semiconductors & Semiconductor Equipment 4,888,438 34,462,449 — 39,350,887 Software 2,520,583 28,662,268 — 31,182,851 Specialty Retail — 18,644,822 — 18,644,822 Technology Hardware, Storage & Peripherals — 8,743,377 — 8,743,377 Textiles, Apparel & Luxury Goods — 54,154,372 — 54,154,372 Tobacco — 21,919,920 — 21,919,920 Trading Companies & Distributors 1,085,130 26,326,324 — 27,411,454 Transportation Infrastructure — 12,597,034 — 12,597,034 Water Utilities — 2,324,987 — 2,324,987

36 Notes to Financial Statements (Continued) December 31, 2019

Level 1 Level 2 Level 3 Total Assets: (continued) Common Stocks (continued) Wireless Telecommunication Services $ — $ 33,981,534 $— $ 33,981,534 Total Common Stocks $17,216,359 $2,048,466,077 $— $2,065,682,436 Futures Contracts $ 17,300 $ — $— $ 17,300 Repurchase Agreements — 34,285,933 — 34,285,933 Right 94,652 — — 94,652 Total Assets $17,328,311 $2,082,752,010 $— $2,100,080,321 Liabilities: Futures Contracts $ (125,922) $ — $— $ (125,922) Total Liabilities $ (125,922) $ — $— $ (125,922) Total $17,202,389 $2,082,752,010 $— $2,099,954,399 Amounts designated as “—”, which may include fair valued securities, are zero or have been rounded to zero. As of December 31, 2019, the Fund held one common stock investment that was categorized as a Level 3 investment which was valued at $0. The FVC continues to evaluate any information that could cause an adjustment to the fair value for this investment, such as market news, the progress of judicial and regulatory proceedings, and subadviser recommendations.

(b) Foreign Currency Transactions The accounting records of the Fund are maintained in U.S. dollars. The Fund may, nevertheless, engage in foreign currency transactions. In those instances, the Fund will convert foreign currency amounts into U.S. dollars at the current rate of exchange between the foreign currency and the U.S. dollar in order to determine the value of the Fund’s investments, assets, and liabilities. Purchases and sales of securities, receipts of income, and payments of expenses are converted at the prevailing rate of exchange on the respective date of such transactions. The accounting records of the Fund do not differentiate that portion of the results of operations resulting from changes in foreign exchange rates from those resulting from changes in the market prices of the relevant securities. Each portion contributes to the net realized gains or losses from transactions in investment securities and net change in unrealized appreciation/depreciation in the value of investment securities. Net currency gains or losses, realized and unrealized, that are a result of differences between the amount recorded on the Fund’s accounting records, and the U.S. dollar equivalent amount actually received or paid for interest or dividends, receivables and payables for investments sold or purchased, and foreign cash, are included in the Statement of Operations under “Net realized gains (losses) from foreign currency transactions” and “Net change in unrealized appreciation/depreciation in the value of translation of assets and liabilities denominated in foreign currencies,” if applicable.

(c) Futures Contracts The Fund is subject to equity price and currency risk in the normal course of pursuing its objective(s). The Fund entered into financial futures contracts (“futures contracts”) to gain exposure to the value of equities and foreign currencies. Futures contracts are contracts for

37 Notes to Financial Statements (Continued) December 31, 2019

delayed delivery of securities or currencies at a specific future date and at a specific price or currency amount. Upon entering into a futures contract, the Fund is required to segregate an initial margin deposit of cash and/or other assets equal to a certain percentage of the futures contract’s notional value. Under a futures contract, the Fund agrees to receive from or pay to a broker an amount of cash equal to the daily fluctuation in value of the futures contract. Subsequent receipts or payments, known as “variation margin” receipts or payments, are made each day, depending on the fluctuation in the fair value of the futures contract, and are recognized by the Fund as unrealized gains or losses. Futures contracts are generally valued daily at their settlement price as provided by an independent pricing service approved by the Board of Trustees, and are generally categorized as Level 1 investments within the hierarchy. A “sale” of a futures contract means a contractual obligation to deliver the securities or foreign currency called for by the contract at a fixed price or amount at a specified time in the future. A “purchase” of a futures contract means a contractual obligation to acquire the securities or foreign currency at a fixed price at a specified time in the future. When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the futures contract at the time it was opened and its value at the time it was closed. Should market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of futures contracts and may realize a loss. The use of futures contracts for hedging purposes involves the risk of imperfect correlation in the movements in the price of the futures contracts and the underlying assets. The Fund’s investments in futures contracts entail limited counterparty credit risk because the Fund invests only in exchange-traded futures contracts, which are settled through the exchange and whose fulfillment is guaranteed by the credit of the exchange. The Fund’s futures contracts are reflected in the Statement of Assets and Liabilities under “Receivable/Payable for variation margin on futures contracts,” in a table in the Statement of Investments and in the Statement of Operations under “Net realized gains (losses) from expiration or closing of futures contracts” and “Net change in unrealized appreciation/ depreciation in the value of futures contracts.” The following tables provide a summary of the Fund’s derivative instruments categorized by risk exposure as of December 31, 2019: Fair Values of Derivatives not Accounted for as Hedging Instruments as of December 31, 2019 Fair Assets: Statement of Assets and Liabilities Value Futures Contracts(a) Equity risk Payable for variation margin on futures contracts $ 17,300 Total $ 17,300

Fair Liabilities: Statement of Assets and Liabilities Value Futures Contracts(a) Equity risk Payable for variation margin on futures contracts $(125,922) Total $(125,922) (a) Includes cumulative appreciation/(depreciation) of futures contracts as reported in the Statement of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

38 Notes to Financial Statements (Continued) December 31, 2019

The Effect of Derivative Instruments on the Statement of Operations for the Year Ended December 31, 2019 Realized Gains (Losses): Total Futures Contracts Equity risk $3,087,266 Total $3,087,266

Change in Unrealized Appreciation/Depreciation on Derivatives Recognized in the Statement of Operations for the Year Ended December 31, 2019 Unrealized Appreciation/Depreciation: Total Futures Contracts Equity risk $735,653 Total $735,653

The following table provides a summary of the Fund’s average volume of derivative instruments held during the year ended December 31, 2019: Futures Contracts: Average Notional Balance Long $25,178,907

The Fund is required to disclose information about offsetting and related arrangements to enable users of the financial statements to understand the effect of those arrangements on the Fund’s financial position. At December 31, 2019, the Fund has entered into futures contracts. The futures contract agreement does not provide for a netting arrangement.

(d) Securities Lending During the year ended December 31, 2019, the Fund entered into securities lending transactions. To generate additional income, the Fund lent its portfolio securities, up to 33 1⁄3% of the total assets of the Fund, to brokers, dealers, and other financial institutions. JPMorgan Chase Bank, N.A. (“JPMorgan”) serves as securities lending agent for the securities lending program of the Fund. Securities lending transactions are considered to be overnight and continuous and can be terminated by the Fund or the borrower at any time. The Fund receives payments from JPMorgan equivalent to any dividends while on loan, in lieu of income which is included as “Dividend income” on the Statement of Operations. The Fund also receives interest that would have been earned on the securities loaned while simultaneously seeking to earn income on the investment of cash collateral. Securities lending income includes any fees charged to borrowers less expenses associated with the loan. Income from the securities lending program is recorded when earned from JPMorgan and reflected in the Statement of Operations under “Income from securities lending.” There may be risks of delay or restrictions in recovery of the securities or disposal of collateral should the borrower of the securities fail financially. Loans are made, however, only to borrowers deemed by JPMorgan to be of good standing and creditworthy. Loans are subject to termination by the Fund or the borrower at any time, and, therefore, are not considered to be illiquid investments. JPMorgan receives a fee based on a percentage of earnings derived from the investment of cash collateral. In accordance with guidance presented in FASB Accounting Standards Update 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures, liabilities under the outstanding securities lending transactions as of December 31, 2019, were $34,285,933, which was comprised of repurchase agreements purchased with cash collateral.

39 Notes to Financial Statements (Continued) December 31, 2019

The Fund’s securities lending policies and procedures require that the borrower (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and with respect to each new loan of non-U.S. securities, collateral of at least 105% of the value of the portfolio securities loaned; and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. Cash collateral received is generally invested in joint repurchase agreements and shown in the Statement of Investments and included in calculating the Fund’s total assets. U.S. Government securities received as collateral, if any, are held in safe-keeping by JPMorgan or The Bank of New York Mellon and cannot be sold or repledged by the Fund and accordingly are not reflected in the Fund’s total assets. For additional information on the non-cash collateral received, please refer to the Statement of Investments. The Securities Lending Agency Agreement between the Trust and JPMorgan provides that in the event of a default by a borrower with respect to any loan, the Fund may terminate the loan and JPMorgan will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting borrower against the purchase cost of the replacement securities. If, despite such efforts by JPMorgan to exercise these remedies, the Fund sustains losses as a result of a borrower’s default, JPMorgan indemnifies the Fund by purchasing replacement securities at JPMorgan’s expense, or paying the Fund an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Fund and JPMorgan. At December 31, 2019, the Securities Lending Agency Agreement does not permit the Fund to enforce a netting arrangement.

(e) Joint Repurchase Agreements During the year ended December 31, 2019, the Fund, along with other series of the Trust, pursuant to procedures adopted by the Board of Trustees and applicable guidance from the Securities and Exchange Commission (“SEC”), transferred cash collateral received from securities lending transactions, through a joint account at JPMorgan, the Fund’s custodian, the daily aggregate balance of which is invested in one or more joint repurchase agreements (“repo” or collectively, “repos”) collateralized by U.S. Treasury or federal agency obligations. For repos, the Fund participates on a pro rata basis with other clients of JPMorgan in its share of the underlying collateral under such repos and in its share of proceeds from any repurchase or other disposition of the underlying collateral. In repos, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repos, The Bank of New York Mellon or JPMorgan takes possession of the collateral pledged for investments in such repos. The underlying collateral is valued daily on a mark-to-market basis to ensure that the value is equal to or greater than the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, the Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Fund may be delayed or limited. At December 31, 2019, the joint repos on a gross basis were as follows: Bank of America NA, 1.57%, dated 12/31/2019, due 1/2/2020, repurchase price $61,185,693, collateralized by U.S. Government Agency Securities, 3.00%, maturing 12/20/2042; total market value $62,403,964.

40 Notes to Financial Statements (Continued) December 31, 2019

BofA Securities, Inc., 1.65%, dated 12/13/2019, due 1/7/2020, repurchase price $99,614,010, collateralized by U.S. Government Agency Securities, ranging from 0.00% - 3.50%, maturing 10/25/2027 - 10/15/2058; total market value $ 101,490,000. Citigroup Global Markets Ltd., 1.70%, dated 12/31/2019, due 1/2/2020, repurchase price $34,841,023, collateralized by U.S. Government Treasury Securities, ranging from 1.63% - 2.25%, maturing 7/31/2024 - 8/15/2049; total market value $35,534,490. Deutsche Bank Securities, Inc., 1.59%, dated 1/7/2019, due 1/7/2020, repurchase price $116,853,896, collateralized by U.S. Government Treasury Securities, ranging from 0.00% - 3.13%, maturing 4/30/2020 - 8/15/2044; total market value $117,300,013. NatWest Markets Securities, Inc., 1.58%, dated 12/31/2019, due 1/7/2020, repurchase price $200,061,444, collateralized by U.S. Government Treasury Securities, ranging from 0.50% - 6.63%, maturing 7/15/2020 - 5/15/2039; total market value $204,017,820. Nomura Securities International, Inc., 1.55%, dated 12/31/2019, due 1/2/2020, repurchase price $42,452,855, collateralized by U.S. Government Treasury Securities, ranging from 0.00% - 4.38%, maturing 2/15/2020 - 8/15/2049; total market value $43,298,184. Pershing LLC, 1.66%, dated 12/31/2019, due 1/2/2020, repurchase price $44,765,128, collateralized by U.S. Government Agency and Treasury Securities, ranging from 0.00% - 10.50%, maturing 1/2/2020 - 11/20/2069; total market value $45,656,248. At December 31, 2019, the Fund’s investment in the joint repos was subject to an enforceable netting arrangement. The Fund’s proportionate holding in the joint repos was as follows: Gross Amounts not Offset in the Statement of Assets and Liabilities Net Amounts of Assets Gross Amounts Presented in the Gross Amounts of Offset in the Statement of Recognized Statement of Assets Assets and Collateral Net Amounts Counterparty Assets and Liabilities Liabilities Received* of Assets Bank of America NA $ 4,485,933 $— $ 4,485,933 $ (4,485,933) $— BofA Securities, Inc. 3,000,000 — 3,000,000 (3,000,000) — Citigroup Global Markets Ltd. 5,300,000 — 5,300,000 (5,300,000) — Deutsche Bank Securities, Inc. 4,500,000 — 4,500,000 (4,500,000) — NatWest Markets Securities, Inc. 10,000,000 — 10,000,000 (10,000,000) — Nomura Securities International, Inc. 5,000,000 — 5,000,000 (5,000,000) — Pershing LLC 2,000,000 — 2,000,000 (2,000,000) — Total $34,285,933 $— $34,285,933 $(34,285,933) $— Amounts designated as “—” are zero.

41 Notes to Financial Statements (Continued) December 31, 2019

* At December 31, 2019, the value of the collateral received exceeded the market value of the Fund’s proportionate holding in the joint repos. Please refer to the Statement of Investments for the Fund’s undivided interest in each joint repo and related collateral.

(f) Security Transactions and Investment Income Security transactions are accounted for on the date the security is purchased or sold. Security gains and losses are calculated on the identified cost basis. Dividend income and expenses, as applicable, are recorded on the ex-dividend date and are recorded as such on the Statement of Operations, except for certain dividends from foreign securities, which are recorded as soon as the Trust is informed on or after the ex-dividend date. Foreign income may be subject to foreign withholding taxes, a portion of which may be reclaimable, at various rates. Under applicable foreign law, a withholding tax may be imposed on interest and dividends paid by a foreign security. Foreign income subject to foreign withholding taxes is recorded net of the applicable withholding tax. For certain securities, including a real estate investment trust (“REIT”), the Fund records distributions received in excess of earnings and profits of such security as a reduction of cost of investments and/or realized gain (referred to as a return of capital). Additionally, a REIT may characterize distributions it pays as long-term capital gains. Such distributions are based on estimates if actual amounts are not available. Actual distributions of income, long-term capital gain and return of capital may differ from the estimated amounts. The Fund will recharacterize the estimated amounts of the components of distributions as necessary, once the issuers provide information about the actual composition of the distributions. Any portion of a distribution deemed a return of capital is generally not taxable to the Fund. The Fund records as dividend income the amount characterized as ordinary income and records as realized gain the amount characterized by a REIT as long-term capital gain in the Statement of Operations. The amount characterized as return of capital is a reduction to the cost of investments in the Statement of Assets and Liabilities if the security is still held; otherwise it is recorded as an adjustment to realized gains (losses) from transactions in investment securities in the Statement of Operations. These characterizations are reflected in the accompanying financial statements.

(g) Distributions to Shareholders Distributions from net investment income, if any, are declared and paid quarterly. Distributions from net realized capital gains, if any, are declared and distributed at least annually. All distributions are recorded on the ex-dividend date. Dividends and distributions to shareholders are determined in accordance with federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are considered either permanent or temporary. Permanent differences are reclassified within the capital accounts based on their nature for federal income tax purposes; temporary differences do not require reclassification. The permanent differences as of December 31, 2019 are primarily attributable to investments in passive foreign investment companies (PFICs). Temporary differences arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The temporary differences as of December 31, 2019 may primarily be attributable to the tax deferral of losses on wash sales and tax straddles, the realization of unrealized gains or losses on certain futures and forward contracts, swap agreements, option contracts, nontaxable dividends, unrealized gains on passive foreign investment companies, affiliated trades loss

42 Notes to Financial Statements (Continued) December 31, 2019

deferrals, cumulative excess premiums on bonds, significant debt modifications, premiums on callable bonds, book/tax differences on interest-only securities, or interest expense deferred, as applicable. These reclassifications have no effect upon the NAV of the Fund. Any distribution in excess of current and accumulated earnings and profits for federal income tax purposes is reported as a return of capital distribution. For the year ended December 31, 2019, the Fund had no reclassifications between capital and total distributable earnings.

(h) Federal Income Taxes The Fund elected to be treated as, and intends to qualify each year as, a “regulated investment company” by complying with the requirements of Subchapter M of the U.S. Internal Revenue Code of 1986, as amended, and to make distributions of net investment income and net realized capital gains sufficient to relieve the Fund from all, or substantially all, federal income taxes. Therefore, no federal income tax provision is required. The Fund recognizes a tax benefit from an uncertain position only if it is more likely than not that the position is sustainable, based solely on its technical merits and consideration of the relevant taxing authorities’ widely understood administrative practices and precedents. Each year, the Fund undertakes an affirmative evaluation of tax positions taken or expected to be taken in the course of preparing tax returns to determine whether it is more likely than not (i.e., greater than 50 percent) that each tax position will be sustained upon examination by a taxing authority. The Fund is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Fund files a U.S. federal income tax return and, if applicable, returns in various foreign jurisdictions in which it invests. Generally, a Fund is subject to examinations by such taxing authorities for up to three years after the filing of the return for the tax period.

(i) Allocation of Expenses, Income and Gains and Losses Expenses directly attributable to the Fund are charged to the Fund. Expenses not directly attributable to the Fund are allocated proportionally among various or all series of the Trust. Income, fund level expenses, and realized and unrealized gains or losses are allocated to each class of shares of the Fund based on the value of the outstanding shares of that class relative to the total value of the outstanding shares of the Fund. Expenses specific to a class (such as Rule 12b-1 and administrative services fees) are charged to that specific class.

3. Transactions with Affiliates Under the terms of the Trust’s Investment Advisory Agreement, NFA manages the investment of the assets and supervises the daily business affairs of the Fund in accordance with policies and procedures established by the Board of Trustees. NFA has selected BlackRock Investment Management LLC (the “Subadviser”) as subadviser for the Fund, and provides investment management evaluation services in monitoring, on an ongoing basis, the performance of the Subadviser.

43 Notes to Financial Statements (Continued) December 31, 2019

Under the terms of the Investment Advisory Agreement, the Fund pays NFA an investment advisory fee based on the Fund’s average daily net assets. During the year ended December 31, 2019, the Fund paid investment advisory fees to NFA according to the schedule below. Advisory Fee Fee Schedule (annual rate) Up to $1.5 billion 0.245% $1.5 billion up to $3 billion 0.205% $3 billion and more 0.195%

For the year ended December 31, 2019, the Fund’s effective advisory fee rate was 0.23%. From these fees, pursuant to the subadvisory agreement, NFA pays fees to the unaffiliated Subadviser. The Trust and NFA have entered into a written Expense Limitation Agreement that limits the Fund’s operating expenses, including acquired fund fees and expenses, (excluding any interest, taxes, brokerage commissions and other costs incurred in connection with the purchase and sales of portfolio securities, short sale dividend expenses, Rule 12b-1 fees, fees paid pursuant to an Administrative Services Plan, excludable sub administration fees, other expenditures which are capitalized in accordance with U.S. GAAP, expenses incurred by the Fund in connection with any merger or reorganization, and other non-routine expenses not incurred in the ordinary course of the Fund’s business) from exceeding 0.34% for all share classes until April 30, 2020. NFA may request and receive reimbursement from the Fund for advisory fees waived or other expenses reimbursed by NFA pursuant to the Expense Limitation Agreement at a date not to exceed three years from the month in which the corresponding waiver or reimbursement to the Fund was made. However, no reimbursement may be made unless: (i) the Fund’s assets exceed $100 million and (ii) the total annual expense ratio of the class making such reimbursement is no higher than the amount of the expense limitation that was in place at the time NFA waived the fees or reimbursed the expenses and does not cause the expense ratio to exceed the current expense limitation. Reimbursement by the Fund of amounts previously waived or reimbursed by NFA is not permitted except as provided for in the Expense Limitation Agreement. The Expense Limitation Agreement may be changed or eliminated only with the consent of the Board of Trustees. As of December 31, 2019, there were no cumulative potential reimbursements which could be reimbursed to NFA and therefore no amount was reimbursed, pursuant to the Expense Limitation Agreement. NFM, a wholly owned subsidiary of NFS Distributors, Inc. (“NFSDI”) (a wholly owned subsidiary of NFS), provides various administrative and accounting services for the Fund, and serves as Transfer and Dividend Disbursing Agent for the Fund. NFM has entered into agreements with third-party service providers to provide certain sub-administration and sub-transfer agency services to the Fund. NFM pays the service providers a fee for these services. Under the terms of a Joint Fund Administration and Transfer Agency Agreement, the fees for such services are based on the sum of the following: (i) the amount payable by NFM to its sub-administrator and sub-transfer agent; and (ii) a percentage of the combined average daily net

44 Notes to Financial Statements (Continued) December 31, 2019

assets of the Trust and Nationwide Mutual Funds (“NMF”), a Delaware statutory trust and registered investment company that is affiliated with the Trust, according to the fee schedule below. Combined Fee Schedule Up to $25 billion 0.025% $25 billion and more 0.020%

During the year ended December 31, 2019, NFM earned $610,358 in fees from the Fund under the Joint Fund Administration and Transfer Agency Agreement. In addition, the Trust pays out-of-pocket expenses reasonably incurred by NFM in providing services to the Fund and the Trust, including, but not limited to, the cost of pricing services that NFM utilizes. Under the terms of the Joint Fund Administration and Transfer Agency Agreement and a letter agreement between NFM and the Trust, the Trust has agreed to reimburse NFM for certain costs related to the Fund’s portion of ongoing administration, monitoring and annual (compliance audit) testing of the Trust’s Rule 38a-1 Compliance Program subject to the pre-approval of the Trust’s Audit Committee. These costs are allocated among the series of the Trust based upon their relative net assets. For the year ended December 31, 2019, the Fund’s portion of such costs amounted to $8,519. Under the terms of a Distribution Plan pursuant to Rule 12b-1 under the 1940 Act, Nationwide Fund Distributors LLC (“NFD”), the Fund’s principal underwriter, is compensated by the Fund for expenses associated with the distribution of certain classes of shares of the Fund. NFD is a wholly owned subsidiary of NFSDI. These fees are based on average daily net assets of the respective class of the Fund at an annual rate of 0.25% of Class II shares, and 0.40% of Class VIII shares of the Fund. Under the terms of an Administrative Services Plan, the Fund pays fees to servicing organizations, such as broker-dealers, including NFS, and financial institutions, that agree to provide administrative support services to the shareholders of certain classes. These services may include, but are not limited to, the following: (i) establishing and maintaining shareholder accounts; (ii) processing purchase and redemption transactions; (iii) arranging bank wires; (iv) performing shareholder sub-accounting; (v) answering inquiries regarding the Fund; and (vi) other such services. These fees are calculated at an annual rate of up to 0.25% for the average daily net assets of Class I, Class II, and Class VIII shares of the Fund. For the year ended December 31, 2019, the effective rate for administrative services fees was 0.15%, 0.10 %, and 0.15% for Class I, Class II and Class VIII shares, respectively, for a total amount of $366,993.

4. Line of Credit and Interfund Lending The Trust and NMF (together, the “Trusts”) have entered into a credit agreement with JPMorgan, The Bank of New York Mellon, and Wells Fargo Bank National Association (the “Lenders”), permitting the Trusts, in aggregate, to borrow up to $100,000,000. Advances taken by a Fund under this arrangement would be primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to the Fund’s borrowing restrictions. The line of credit requires a commitment fee of 0.15% per year on $100,000,000. Such commitment fee shall be payable quarterly in arrears on the last business day of each March, June, September and December and on the termination date. Borrowings under this arrangement accrue interest at a rate of 1.00% per annum plus the higher of (a) the one month London Interbank Offered Rate or (b) the Federal Funds Rate. Interest costs, if

45 Notes to Financial Statements (Continued) December 31, 2019

any, would be shown on the Statement of Operations. No compensating balances are required under the terms of the line of credit. In addition, the Fund may not draw any portion of the line of credit that is provided by a bank that is an affiliate of the Fund’s subadviser, if applicable. In addition to any rights and remedies of the Lenders provided by law, each Lender has the right, upon any amount becoming due and payable by the Fund, to set-off as appropriate and apply all deposits and credits held by or owing to such Lender against such amount, subject to the terms of the credit agreement. The line of credit is renewed annually, and next expires on July 9, 2020. During the year ended December 31, 2019, the Fund had no borrowings under the line of credit. Pursuant to an exemptive order issued by the SEC (the “Order”), the Fund may participate in an interfund lending program among Funds managed by NFA. The program allows the participating Funds to borrow money from and loan money to each other for temporary purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending Funds as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a Fund may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice. During the year ended December 31, 2019, the Fund did not engage in interfund lending.

5. Investment Transactions For the year ended December 31, 2019, the Fund had purchases of $109,629,687 and sales of $298,710,761 (excluding short-term securities).

6. Portfolio Investment Risks Risks Associated with Foreign Securities and Currencies Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of U.S. issuers. These risks include foreign currency fluctuations, future disruptive political and economic developments and the possible imposition of exchange controls or other unfavorable foreign government laws and restrictions. In addition, investments in certain countries may carry risks of expropriation of assets, confiscatory taxation, political or social instability, or diplomatic developments that adversely affect investments in those countries. Certain countries also may impose substantial restrictions on investments in their capital markets by foreign entities, including restrictions on investments in issuers in industries deemed sensitive to relevant national interests. These factors may limit the investment opportunities available and result in a lack of liquidity and high price volatility with respect to securities of issuers from developing countries. Risks Associated with REIT and Real Estate Investments Investments in REITs and in real estate securities carry certain risks associated with direct ownership of real estate and with the real estate industry in general. These risks include possible declines in the value of real estate, possible lack of availability of mortgage funds, unexpected vacancies of properties, and the relative lack of liquidity associated with investments in real estate.

7. Indemnifications Under the Trust’s organizational documents, the Trust’s Officers and Trustees are indemnified by the Trust against certain liabilities arising out of the performance of their duties to the Trust. In addition, the Trust has entered into indemnification agreements with its Trustees and certain of its

46 Notes to Financial Statements (Continued) December 31, 2019

Officers. Trust Officers receive no compensation from the Trust for serving as its Officers. In addition, in the normal course of business, the Trust enters into contracts with its vendors and others that provide for general indemnifications. The Trust’s maximum liability under these arrangements is unknown, as this would involve future claims made against the Trust. Based on experience, however, the Trust expects the risk of loss to be remote.

8. New Accounting Pronouncements In March 2017, FASB issued ASU 2017-08, “Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.” ASU 2017-08 shortens the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date rather than the contractual maturity date. The Fund adopted and applied ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of January 1, 2019. As a result of the adoption of ASU 2017-08, as of January 1, 2019, for Funds with in-scope securities, the amortized cost basis of investments was reduced and unrealized appreciation of investments was increased, but there was no impact on net assets or overall results from operations.

9. Federal Tax Information The tax character of distributions paid during the year ended December 31, 2019 was as follows: Distributions paid from Ordinary Net Long-Term Total Taxable Return of Total Distributions Income* Capital Gains Distributions Capital Paid $69,526,064 $3,892,390 $73,418,454 $— $73,418,454 Amounts designated as “—” are zero or have been rounded to zero. * Ordinary Income amounts include taxable market discount and net short-term capital gains, if any. The tax character of distributions paid during the year ended December 31, 2018 was as follows: Distributions paid from Ordinary Net Long-Term Total Taxable Return of Total Distributions Income* Capital Gains Distributions Capital Paid $60,829,444 $— $60,829,444 $— $60,829,444 Amounts designated as “—” are zero or have been rounded to zero. * Ordinary income amounts include net short-term capital gains, if any. As of December 31, 2019, the components of accumulated earnings/(deficit) on a tax basis were as follows: Total Undistributed Undistributed Accumulated Unrealized Accumulated Ordinary Long-Term Accumulated Capital and Appreciation/ Earnings Income Capital Gains Earnings Other Losses (Depreciation)* (Deficit) $15,808,713 $49,272,741 $65,081,454 $— $274,247,755 $339,329,209 Amounts designated as “—” are zero or have been rounded to zero. * The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is primarily attributable to timing differences in recognizing certain gains and losses on investment transactions.

47 Notes to Financial Statements (Continued) December 31, 2019

As of December 31, 2019, the tax cost of investments (including derivative contracts) and the breakdown of unrealized appreciation/(depreciation) was as follows: Net Unrealized Unrealized Unrealized Appreciation/ Tax Cost of Investments Appreciation Depreciation (Depreciation) $1,825,850,063 $429,935,415 $(155,831,079) $274,104,336

10. Subsequent Events Management has evaluated the impact of subsequent events on the Fund and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements.

48 Report of Independent Registered Public Accounting Firm December 31, 2019

To the Board of Trustees of Nationwide Variable Insurance Trust and Shareholders of NVIT International Index Fund

Opinion on the Financial Statements We have audited the accompanying statement of assets and liabilities, including the statement of investments, of NVIT International Index Fund (one of the series constituting Nationwide Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB. We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP Philadelphia, Pennsylvania February 18, 2020 We have served as the auditor of one or more investment companies of Nationwide Funds, which includes the investment companies of Nationwide Variable Insurance Trust, since 1997.

49 Supplemental Information December 31, 2019 (Unaudited)

NVIT Bond Index Fund Š Reports from Broadridge Financial Solutions, NVIT International Index Fund Inc. (“Broadridge”), a leading independent NVIT Mid Cap Index Fund source of mutual fund industry data, NVIT S&P 500 Index Fund describing, on a Fund-by-Fund basis, for NVIT Small Cap Index Fund each Fund’s largest share class, the Fund’s (a) performance rankings (over multiple Continuation of Advisory (and Sub-Advisory) periods ended June 30, 2019) compared with Agreements performance universes created by Broadridge of similar or peer group funds, The Trust’s investment advisory agreements and (b) expense rankings comparing the with its Investment Adviser (the “Adviser”) and Fund’s fees and expenses with expense its Sub-Adviser (together, the “Advisory universes created by Broadridge of similar or Agreements”) must be approved for each peer group funds (a “Broadridge expense series of the Trust (individually a “Fund” and group”). An independent consultant retained collectively the “Funds”) for an initial term no by the Board provided input to Broadridge greater than two years, and may continue in as to the composition of the various effect thereafter only if such continuation is performance and expense universes and peer approved at least annually, (i) by the vote of funds. the Trustees or by a vote of the shareholders of the Fund in question, and (ii) by the vote of a Š Information regarding voluntary or majority of the Trustees who are not parties to contractual expense limitations or reductions the Advisory Agreements or “interested and the relationship of expenses to any persons” of any party thereto (the expense limitation. “Independent Trustees”), cast in person at a Š Information provided by the Adviser as to meeting called for the purpose of voting on the Adviser’s profitability in providing such approval. services under the Advisory Agreements. The Board of Trustees (the “Board”) has five Š Information from the Adviser regarding regularly scheduled meetings each year and economies of scale and breakpoints, takes into account throughout the year matters including information provided by the bearing on the Advisory Agreements. The Adviser as to the circumstances under which Board and its standing committees consider at specific actions intended to share the each meeting factors that are relevant to the benefits of economies of scale might be annual continuation of each Fund’s Advisory appropriate. Agreements, including investment performance, Sub-Adviser updates and The Trustees met in person with independent reviews, reports with respect to compliance legal counsel to the Independent Trustees monitoring and the services and support (“Independent Legal Counsel”) in October, and provided to the Fund and its shareholders. telephonically in November, to review information and materials provided to them, In preparation for the Board’s meetings in 2019 and to formulate requests for additional to consider the continuation of the Advisory information. The Trustees submitted Agreements, the Trustees requested and were supplemental information requests to the furnished with a wide range of information to Adviser following each meeting. assist in their deliberations. These materials included: At the Trustees’ regular quarterly meeting in December 2019, the Trustees met to give final Š A summary report for each Fund that sets consideration to information bearing on the out a variety of information regarding the continuation of the Advisory Agreements. The Fund, including performance, expense, and Trustees met in person with the Adviser, Trust profitability information for the past three counsel, and Independent Legal Counsel. At years.

50 Supplemental Information (Continued) December 31, 2019 (Unaudited)

that meeting, representatives of the Adviser management capabilities; and the Adviser’s made a number of presentations to the valuation and valuation oversight Trustees in response to questions previously capabilities. submitted to the Adviser by the Trustees, and Š The financial condition and stability of the provided additional information. Adviser and the Adviser’s assessment of the The Trustees considered, among other things, financial condition and stability of the information provided by the Adviser in Sub-Adviser. response to their previous information Š Potential ancillary benefits, in addition to fees requests. The Trustees engaged in discussion for serving as investment adviser, derived by and consideration among themselves, and with the Adviser as a result of being investment the Adviser, Trust counsel, and Independent adviser for the Funds, including, where Legal Counsel, including during an executive applicable, information on fees inuring to the session with Independent Legal Counsel, Adviser’s affiliates for serving as the Trust’s regarding the various factors that may administrator, fund accountant, and transfer contribute to the determination of whether the agent and fees or other payments relating to continuation of the Advisory Agreements shareholder servicing or sub-transfer agency should be approved. services provided by or through the Adviser In considering this information with respect to or its affiliates. each of the Funds, the Trustees took into Based on information provided by Broadridge, account, among other things, the nature, the Trustees noted that the performance of extent, and quality of services provided by the each Index Fund, other than NVIT Bond Index Adviser and relevant Sub-Adviser. In evaluating Fund, for the three-year period ending June 30, the Advisory Agreements for the Funds, the 2019, was above the median of its peers. As to Trustees also reviewed information provided NVIT Bond Index Fund, the Trustees by the Adviser concerning the following: considered that, although the Fund Š The terms of the Advisory Agreements and a underperformed most of the peers identified summary of the services performed by the by Broadridge, the Fund’s return appeared to Adviser and Sub-Adviser. be within an acceptable range of the Fund’s benchmark performance. After reviewing these Š The activities of the Adviser in selecting, and related factors, the Trustees concluded, overseeing, and evaluating each Sub-Adviser; within the context of their overall conclusions reporting by the Adviser to the Trustees regarding the Advisory Agreements, that each regarding the Sub-Adviser; and steps taken Fund’s performance generally supported a by the Adviser, where appropriate, to identify recommendation to continue the Advisory replacement Sub-Advisers and to put those Agreements. Sub-Advisers in place. The Trustees also considered that the actual Š The investment advisory and oversight management fee rate and total expense ratio capabilities of the Adviser, including, among (including 12b-1/non-12b-1 fees) for each of the other things, its expertise in investment, Funds (taking into account, in each case, any economic, and financial analysis. fee reductions or expense limitations that were Š The Adviser’s and Sub-Advisers’ personnel in effect during the Fund’s last fiscal year) were and methods; the number of the Adviser’s below the medians of each Fund’s Broadridge advisory and analytical personnel; general expense group. After reviewing these and information about the compensation of the related factors, the Trustees concluded, within Adviser’s advisory personnel; the Adviser’s the context of their overall conclusions and Sub-Advisers’ investment process; the regarding the Advisory Agreements, that each Adviser’s risk assessment and risk Fund’s levels of expense generally supported a

51 Supplemental Information (Continued) December 31, 2019 (Unaudited)

recommendation to continue the Fund’s Other Federal Tax Information Advisory Agreements. The Fund designates $3,892,390, or the The Trustees considered whether each of the maximum amount allowable under the Internal Funds may benefit from any economies of Revenue Code, as long term capital gain scale realized by the Adviser in the event of distributions qualifying for the maximum 20% growth in assets of the Funds. The Trustees income tax rate for individuals. noted that each Fund’s advisory fee rate The Fund has derived net income from sources schedule is subject to contractual advisory fee within foreign countries. As of December 31, breakpoints that reflect economies of scale by 2019, the foreign source income for the Fund reducing the Fund’s advisory fee rate if the was $67,651,886 or $0.3317 per outstanding assets of the Fund increase over certain share. thresholds. The Fund intends to elect to pass through to --- shareholders the income tax credit for taxes Based on all relevant information and factors, paid to foreign countries. As of December 31, the Trustees unanimously approved the 2019, the foreign tax credit for the Fund was continuation of the Advisory Agreements at $3,970,947 or $0.0195 per outstanding share. their in-person meeting in December 2019.

52 Management Information December 31, 2019

Each Trustee who is deemed an “interested person,” as such term is defined in the 1940 Act, is referred to as an “Interested Trustee.” Those Trustees who are not “interested persons,” as such term is defined in the 1940 Act, are referred to as “Independent Trustees.” The name, year of birth, position and length of time served with the Trust, number of portfolios overseen, principal occupation(s) and other directorships/trusteeships held during the past five years, and additional information related to experience, qualifications, attributes, and skills of each Trustee and Officer are shown below. There are 69 series of the Trust, all of which are overseen by the Board of Trustees and Officers of the Trust. The address for each Trustee and Officer is c/o Nationwide Funds Group, One Nationwide Plaza, Mail Code 5-02-210, Columbus, OH 43215.

Independent Trustees

Charles E. Allen Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1948 Trustee since July 2000 119

Principal Occupation(s) During the Past Five Years (or Longer) Retired. Mr. Allen was Chairman, Chief Executive Officer, and President of Graimark Realty Advisors, Inc. (real estate development, investment and asset management) from its founding in 1987 to 2014.

Other Directorships held During the Past Five Years2 Director of the Auto Club Group, an American Automobile Club Federated member that has 9.5 million members located throughout the Midwest and in the states of Florida, Georgia and Tennessee.

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive experience, including past service as chief executive officer and president of a real estate development, investment and asset management business; past service includes 18 years of financial services experience and experience with audit committee oversight matters.

Paula H. J. Cholmondeley Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1947 Trustee since July 2000 119

Principal Occupation(s) During the Past Five Years (or Longer) Ms. Cholmondeley focuses full time on corporate governance. She sits on public company boards and is also on the faculty of the National Association of Corporate Directors. She has served as a Chief Executive Officer of Sorrel Group (management consulting company) since January 2004. From April 2000 through December 2003, Ms. Cholmondeley was Vice President and General Manager of Sappi Fine Paper North America.

Other Directorships held During the Past Five Years2 Director of Dentsply International, Inc. (dental products) from 2002 to 2015, Terex Corporation (construction equipment) from 2004 to present, Minerals Technology, Inc. (specialty chemicals) from 2005 to 2014, Bank of the Ozarks, from 2016 to present, and Kapstone Paper and Packaging Corporation from 2016 to 2018.

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board and governance experience; significant executive experience, including continuing service as chief executive officer of a management consulting company and past service as an executive of a manufacturing- based public company; past experience as an executive in a private service-based company; former certified public accountant and former chief financial officer of both public and private companies.

Phyllis Kay Dryden Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1947 Trustee since December 2004 119

53 Management Information (Continued) December 31, 2019

Principal Occupation(s) During the Past Five Years (or Longer) Ms. Dryden became CEO and President of Energy Dispute Solutions, LLC in December 2012, and since 2016 has acted as CEO, leading a company providing strategy consulting, arbitration and mediation services. She has been a management consultant since 1996, first as a partner of Mitchell Madison Group (management consulting), then as a managing partner and head of west coast business development for marchFIRST (internet consulting), returning to Mitchell Madison Group in 2003 as an associated partner until January 2010 and thereafter as an independent strategy consultant through December 2012. Ms. Dryden was VP and General Counsel of Lucasfilm, Ltd. from 1981 to 1984, SVP and General Counsel of Charles Schwab and Co. Inc. from 1984 to 1992, and EVP and General Counsel of Del Monte Foods from 1992 to 1995. She presently serves as chairman of the board of Mutual Fund Directors Forum.

Other Directorships held During the Past Five Years2 Director of Smithsonian Environmental Board from 2016 to present, and Director of Smithsonian Institution Libraries Board from 2007 to 2015.

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive, management consulting, and legal experience, including past service as general counsel for a major financial services firm and a public company.

Barbara I. Jacobs Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1950 Trustee since December 2004 119

Principal Occupation(s) During the Past Five Years (or Longer) Retired. Ms. Jacobs served as Chairman of the Board of Directors of KICAP Network Fund, a European (United Kingdom) hedge fund, from January 2001 through January 2006. From 1988 through 2003, Ms. Jacobs also was a Managing Director and European Portfolio Manager of CREF Investments (Teachers Insurance and Annuity Association—College Retirement Equities Fund).

Other Directorships held During the Past Five Years2 Trustee and Board Chair of Project Lede from 2013 to present and Trustee of the Huntington’s Disease Society of America until 2015.

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive and portfolio management experience in the investment management industry.

Keith F. Karlawish Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1964 Trustee since March 2012 119

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Karlawish has been a partner of Park Ridge Asset Management, LLC since December 2008, at which he also serves as a portfolio manager. From May 2002 until October 2008, Mr. Karlawish was the President of BB&T Asset Management, Inc., and was President of the BB&T Mutual Funds and BB&T Variable Insurance Funds from February 2005 until October 2008.

Other Directorships held During the Past Five Years (or Longer)2 None

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive experience, including past service at a large asset management company; significant experience in the investment management industry.

Carol A. Kosel Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1963 Trustee since March 2013 119

54 Management Information (Continued) December 31, 2019

Principal Occupation(s) During the Past Five Years (or Longer) Retired. Ms. Kosel was a consultant to the Evergreen Funds Board of Trustees from October 2005 to December 2007. She was Senior Vice President, Treasurer, and Head of Fund Administration of the Evergreen Funds from April 1997 to October 2005.

Other Directorships held During the Past Five Years (or Longer)2 None

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive experience, including past service at a large asset management company; significant experience in the investment management industry.

Douglas F. Kridler Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1955 Trustee since September 1997 119

Principal Occupation(s) During the Past Five Years (or Longer) Since 2002, Mr. Kridler has served as the President and Chief Executive Officer of The Columbus Foundation, a $1.5 billion community foundation with 2,000 funds in 55 Ohio counties and 37 states in the U.S.

Other Directorships held During the Past Five Years2 None

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive experience, including service as president and chief executive officer of one of America’s largest community foundations; significant service to his community and the philanthropic field in numerous leadership roles.

David C. Wetmore Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1948 Trustee since January 1995; Chairman since February 2005 119

Principal Occupation(s) During the Past Five Years (or Longer) Retired; private investor. Mr. Wetmore was a Managing Director of Updata Capital, Inc. (a technology-oriented investment banking and venture capital firm) from 1995 through 2000. Prior to 1995, Mr. Wetmore served as the Chief Operating Officer, Chief Executive Officer and Chairman of the Board of several publicly held software and services companies, and as the managing partner of a “big 8” public accounting firm.

Other Directorships held During the Past Five Years2 Director and Chairman of the Board of Grange Mutual Insurance Cos. from 1993 to present and Treasurer of Community Foundation of the Low Country from 2016 to present.

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive experience, including past service as a managing director of an investment banking and venture capital firm; chief executive officer and/or Chairman of the Board of several publicly owned companies; certified public accountant with significant accounting experience, including past service as a managing partner at a major accounting firm.

Interested Trustee

M. Diane Koken3 Positions Held with Trust and Length Number of Portfolios Overseen in the Year of Birth of Time Served1 Nationwide Fund Complex 1952 Trustee since April 2019 119

55 Management Information (Continued) December 31, 2019

Principal Occupation(s) During the Past Five Years (or Longer) Self-employed as a legal/regulatory consultant since 2007. Ms. Koken served as Insurance Commissioner of Pennsylvania, for three governors, from 1997–2007, and as the President of the National Association of Insurance Commissioners (NAIC) from September 2004 to December 2005. Prior to becoming Insurance Commissioner of Pennsylvania, she held multiple legal roles, including vice president, general counsel and corporate secretary of a national life insurance company.

Other Directorships held During the Past Five Years (or Longer)2 Director of Nationwide Mutual Insurance Company 2007-present, Director of Nationwide Mutual Fire Insurance Company 2007-present, Director of Nationwide Corporation 2007-present, Director of Capital BlueCross 2011-present, Director of NORCAL Mutual Insurance Company 2009-present, Director of Medicus Insurance Company 2009-present, Director of Hershey Trust Company 2015-present, Manager of Milton Hershey School Board of Managers 2015-present, Director and Chair of Hershey Foundation 2016-present, and Director of The Hershey Company 2017-present.

Experience, Qualifications, Attributes, and Skills for Board Membership Significant board experience; significant executive, management consulting, legal and regulatory experience, including past service as a cabinet-level state insurance commissioner and general counsel of a national life insurance company.

1 Length of time served includes time served with the Trust’s predecessors. 2 Directorships held in: (1) any other investment companies registered under the 1940 Act, (2) any company with a class of securities registered pursuant to Section 12 of the Securities Exchange Act of 1934, as amended (the “Exchange Act”), or (3) any company subject to the requirements of Section 15(d) of the Exchange Act. 3 Ms. Koken is considered an interested person of the Trust because she is a Director of the parent company of, and several affiliates of, the Trust’s investment adviser and distributor.

Officers of the Trust

Michael S. Spangler Year of Birth Positions Held with Funds and Length of Time Served1 1966 President, Chief Executive Officer and Principal Executive Officer since June 2008

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Spangler is President and Chief Executive Officer of Nationwide Funds Group, which includes NFA, Nationwide Fund Management LLC and Nationwide Fund Distributors LLC, and is a Senior Vice President of Nationwide Financial Services, Inc. and Nationwide Mutual Insurance Company.2

Joseph Finelli Year of Birth Positions Held with Funds and Length of Time Served1 1957 Treasurer and Principal Financial Officer since September 2007; Vice President since December 2015

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Finelli is the Treasurer and Principal Financial Officer of Nationwide Funds Group and an Associate Vice President of Nationwide Mutual Insurance Company.2

Brian Hirsch Year of Birth Positions Held with Funds and Length of Time Served1 1956 Chief Compliance Officer since January 2012; Senior Vice President since December 2015

56 Management Information (Continued) December 31, 2019

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Hirsch is Vice President of NFA and Chief Compliance Officer of NFA and the Trust. He is also a Vice President of Nationwide Mutual Insurance Company.2

Stephen R. Rimes Year of Birth Positions Held with Funds and Length of Time Served1 1970 Secretary, Vice President and Associate General Counsel since December 2019

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Rimes is Vice President, Associate General Counsel and Secretary for Nationwide Funds Group, and Vice President of Nationwide Mutual Insurance Company.2 He previously served as Assistant General Counsel for Invesco from 2000- 2019.

Lee T. Cummings Year of Birth Positions Held with Funds and Length of Time Served1 1963 Senior Vice President, Head of Fund Operations since December 2015

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Cummings is Senior Vice President and Head of Fund Operations of Nationwide Funds Group, and is a Vice President of Nationwide Mutual Insurance Company.2

Timothy M. Rooney Year of Birth Positions Held with Funds and Length of Time Served1 1965 Vice President, Head of Product Development and Acquisitions since December 2015

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Rooney is Vice President, Head of Product Development and Acquisitions for Nationwide Funds Group, and is a Vice President of Nationwide Mutual Insurance Company.2

Christopher C. Graham Year of Birth Positions Held with Funds and Length of Time Served1 1971 Senior Vice President, Head of Investment Strategies, Chief Investment Officer and Portfolio Manager since September 2016

Principal Occupation(s) During the Past Five Years (or Longer) Mr. Graham is Senior Vice President, Head of Investment Strategies and Portfolio Manager for the Nationwide Funds Group, and is a Vice President of Nationwide Mutual Insurance Company.2

1 Length of time served includes time served with the Trust’s predecessors. 2 These positions are held with an affiliated person or principal underwriter of the Fund.

57 Market Index Definitions

Bloomberg Barclays Emerging Markets USD Aggregate Bond Index: An unmanaged index comprising fixed-rate and floating-rate U.S. dollar-denominated bonds from sovereign, quasi-sovereign and corporate emerging market issuers; the countries considered to be emerging markets are determined by annual review using rules-based classifications from the World Bank income group and the International Monetary Fund.

Bloomberg Barclays Municipal Bond Index: An unmanaged index that covers the U.S. dollar- denominated, long-term, tax-exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds and pre-refunded bonds.

Bloomberg Barclays U.S. 10-20 Year Treasury Bond Index: An unmanaged index that measures the performance of U.S. Treasury securities with a remaining maturity of 10 to 20 years.

Bloomberg Barclays U.S. Aggregate Bond Index: An unmanaged, market value-weighted index of U.S. dollar-denominated investment-grade, fixed-rate, taxable debt issues, which includes Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid adjustable-rate mortgage pass-throughs), asset-backed securities and commercial mortgage-backed securities (agency and non-agency).

Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index: An unmanaged index that measures the performance of high-yield corporate bonds, with a maximum allocation of 2% to any one issuer.

Bloomberg Barclays U.S. Corporate High Yield Index: An unmanaged index that measures the performance of U.S. dollar-denominated, non-investment-grade, fixed-rate, taxable corporate bonds with at least $150 million par value outstanding, a maximum credit rating of Ba1 and a remaining maturity of one year or more; gives a broad look at how high-yield (“junk”) bonds have performed.

Bloomberg Barclays U.S. Government/Credit Bond 1-3 Year Index: An unmanaged index that measures the performance of the non-securitized component of the U.S. Aggregate Bond Index with maturities of 1 to 3 years, including Treasuries, government-related issues and corporates.

Bloomberg Barclays Mortgage-Backed Securities Index: A market value-weighted index comprising agency mortgage-backed pass-through securities of the Government National Mortgage Association (Ginnie Mae), the Federal National Mortgage Association (Fannie Mae), and the Federal Home Loan Mortgage Corporation (Freddie Mac) with a minimum $150 million par amount outstanding and a weighted-average maturity of at least 1 year.

Citigroup Non-US Dollar World Government Bond Index (Citigroup WGBI Non-US): An unmanaged, market capitalization-weighted index that reflects the performance of fixed-rate investment-grade sovereign bonds with remaining maturities of one year or more issued outside the United States; generally considered to be representative of the world bond market.

Citigroup US Broad Investment-Grade Bond Index (USBIG®): An unmanaged, market capitalization- weighted index that measures the performance of U.S. dollar-denominated bonds issued in the U.S. investment-grade bond market; includes fixed-rate, U.S. Treasury, government-sponsored, collateralized and corporate debt with remaining maturities of one year or more.

58 Market Index Definitions (cont.)

Citigroup US High-Yield Market Index: An unmanaged, market capitalization-weighted index that reflects the performance of the North American high-yield market; includes U.S. dollar-denominated, fixed-rate, cash-pay and deferred-interest securities with remaining maturities of one year or more, issued by corporations domiciled in the United States or Canada.

Citigroup World Government Bond Index (WGBI) (Unhedged): An unmanaged, market capitalization- weighted index that is not hedged back to the U.S. dollar and reflects the performance of the global sovereign fixed-income market; includes local currency, investment-grade, fixed-rate sovereign bonds issued in 20-plus countries, with remaining maturities of one year or more.

Note about Citigroup Indexes ©2020 Citigroup Index LLC. All rights reserved

Dow Jones U.S. Select Real Estate Securities IndexSM (RESI): An unmanaged index that measures the performance of publicly traded securities of U.S.-traded real estate operating companies (REOCs) and real estate investment trusts (REITs).

FTSE World ex US Index: An unmanaged, broad-based, free float-adjusted, market capitalization- weighted index that measures the performance of large-cap and mid-cap stocks in developed and advanced emerging countries, excluding the United States.

FTSE World Index: An unmanaged, broad-based, free float-adjusted, market capitalization-weighted index that measures the performance of large-cap and mid-cap stocks in developed and advanced emerging countries, including the United States.

Note about FTSE Indexes Source: FTSE International Limited (“FTSE”) © FTSE 2019. “FTSE®” is a trademark of the London Stock Exchange Group companies and is used by FTSE International Limited under license. All rights in the FTSE indices and/or FTSE ratings vest in FTSE and/or its licensors. Neither FTSE nor its licensors accept any liability for any errors or omissions in the FTSE indices and/or FTSE ratings or underlying data. No further distribution of FTSE Data is permitted without FTSE’s express written consent.

ICE BofA Merrill Lynch AAA U.S. Treasury/Agency Master Index: An unmanaged index that gives a broad look at how fixed-rate U.S. government bonds with a remaining maturity of at least one year have performed.

ICE BofA Merrill Lynch Current 5-Year US Treasury Index: An unmanaged, one-security index, rebalanced monthly, that measures the performance of the most recently issued 5-year U.S. Treasury note; a qualifying note is one auctioned on or before the third business day prior to the final business day of a month.

Note about ICE BofA Merrill Lynch Indexes Source BofA Merrill Lynch, used with permission. BofA Merrill Lynch is licensing the BofA Merrill Lynch Indexes “as is”, makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the BofA Merrill Lynch Indexes or any data included in, related to, or derived therefrom, assumes no liability in connection with their use, and does not sponsor, endorse, or recommend Nationwide Mutual Funds, or any of its products or services (2019).

iMoneyNet Money Fund Average™ Government All: An average of government money market funds. Government money market funds may invest in U.S. Treasuries, U.S. Agencies, repurchase agreements, and government-backed floating rate notes, and include both retail and institutional funds.

59 Market Index Definitions (cont.)

JPM Emerging Market Bond Index (EMBI): An unmanaged index that reflects the total returns of U.S. dollar-denominated sovereign bonds issued by emerging market countries as selected by JPMorgan.

J.P. Morgan MozaicSM Index (Series F): A rules-based, dynamic index that tracks the total return of a global mix of asset classes, including equity securities, fixed-income securities and commodities, through futures contracts on those asset classes. The Index rebalances monthly in an effort to capture the continued performance of asset classes that have exhibited the highest recent returns.

Note about JPMorgan Indexes Information has been obtained from sources believed to be reliable, but JPMorgan does not warrant its completeness or accuracy. The Index is used with permission. The Index may not be copied, used, or distributed without JPMorgan’s prior written approval. ©2019, JPMorgan Chase & Co. All rights reserved.

Morningstar® (Mstar) Target Risk Indexes: A series of unmanaged indexes designed to meet the needs of investors who would liketo maintain a target level of equity exposure through a portfolio diversified across equities, bonds and inflation-hedged instruments.

Š The Morningstar Aggressive Target Risk Index seeks approximately 95% exposure to global equity markets. Š The Morningstar Moderately Aggressive Target Risk Index seeks approximately 80% exposure to global equity markets. Š The Morningstar Moderate Target Risk Index seeks approximately 60% exposure to global equity markets. Š The Morningstar Moderately Conservative Target Risk Index seeks approximately 40% exposure to global equity markets. Š The Morningstar Conservative Target Risk Index seeks approximately 20% exposure to global equity markets.

Note about Morningstar Category™ The Morningstar Category™ is a proprietary Morningstar data point and is assigned based on the underlying securities in each portfolio. Categories make it easier to build well-diversified portfolios, assess potential risk, and identify top-performing funds. A Fund is placed in a category based on its portfolio statistics and compositions over the previous three-year period. If a Fund is new and has no portfolio history, Morningstar assigns a temporary category. When necessary, Morningstar may change a category assignment based on recent changes to a Fund’s portfolio.

MSCI ACWI®: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in global developed and emerging markets as determined by MSCI.

MSCI ACWI® ex USA: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in global developed and emerging markets as determined by MSCI; excludes the United States.

MSCI ACWI® ex USA Growth: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap growth stocks in global developed and emerging markets as determined by MSCI; excludes the United States.

MSCI EAFE® Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in developed markets as determined by MSCI; excludes the United States and Canada.

60 Market Index Definitions (cont.)

MSCI World ex USA Index: Captures large- and mid-capitalization representation across 22 of 23 Developed Markets (DM) countries—excluding the United States. With 1,020 constituents, the index covers approximately 85% of the free float-adjusted market capitalization in each country. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom.

MSCI World Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in global developed markets as determined by MSCI.

MSCI EAFE® Value Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap value stocks in developed markets as determined by MSCI; excludes the United States and Canada.

MSCI Emerging Markets® Index: An unmanaged, free float-adjusted, market capitalization-weighted index that is designed to measure the performance of large-cap and mid-cap stocks in emerging-country markets as determined by MSCI.

Russell 1000® Growth Index: An unmanaged index that measures the performance of the large- capitalization growth segment of the U.S. equity universe; includes those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values.

Russell 1000® Value Index: An unmanaged index that measures the performance of the large- capitalization value segment of the U.S. equity universe; includes those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth values.

Russell 2000® Growth Index: An unmanaged index that measures the performance of the small- capitalization growth segment of the U.S. equity universe; includes those Russell 2000® Index companies with higher price-to-book ratios and higher forecasted growth values.

Russell 2000® Index: An unmanaged index that measures the performance of the small-capitalization segment of the U.S. equity universe.

Russell 2000® Value Index: An unmanaged index that measures the performance of the small- capitalization value segment of the U.S. equity universe; includes those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values.

Russell Midcap® Growth Index: An unmanaged index that measures the performance of the mid-capitalization growth segment of the U.S. equity universe; includes those Russell Midcap® Index companies with higher price-to-book ratios and higher forecasted growth values.

Russell Midcap® Value Index: An unmanaged index that measures the performance of the mid-capitalization value segment of the U.S. equity universe; includes those Russell Midcap® Index companies with lower price-to-book ratios and lower forecasted growth values.

Note about Russell Indexes Russell Investment Group is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Nationwide Mutual Funds are not sponsored, endorsed, or promoted by Russell, and Russell bears no liability with respect to any such funds or securities or any index on which such funds or securities are based. Russell® is a trademark of Russell Investment Group.

61 Market Index Definitions (cont.)

S&P 500® Index: An unmanaged, market capitalization-weighted index of 500 stocks of leading large-cap U.S. companies in leading industries; gives a broad look at the U.S. equities market and those companies’ stock price performance.

S&P MidCap 400® (S&P 400) Index: An unmanaged index that measures the performance of 400 stocks of medium-sized U.S. companies (those with a market capitalization of $1.4 billion to $5.9 billion).

62 This page intentionally left blank This page intentionally left blank This page intentionally left blank