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Previous: EXIDE CORP, 8-K, 1995-08-29 |
Next: PACIFIC SELECT SEPARATE ACCOUNT OF PACIFIC MUTUAL LIFE INSUR, N-30D, 1995-08-29 |
<PAGE>
SEMI-ANNUAL REPORT
. PACIFIC SELECT FUND
[LOGO OF PACIFIC SELECT FUND APPEARS HERE]
<PAGE>
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund") Semi-
Annual Report dated June 30, 1995. The Fund is the underlying investment vehicle
for variable life insurance policies and variable annuity contracts offered by
Pacific Mutual Life Insurance Company ("Pacific Mutual") and variable annuity
contracts administered by Pacific Corinthian Life Insurance Company.
Pacific Mutual, as Adviser to the Fund and Portfolio Manager of the Money
Market and High Yield Bond Portfolios, with input from each of the Portfolio
Managers of the other Portfolios of the Fund, has prepared the attached
discussion of the results for each Portfolio of the Fund for the period from
January 1, 1995 through June 30, 1995 and the anticipated outlook for the last
six months of 1995.
The Adviser and the Fund have engaged other firms to serve as Portfolio
Managers under Pacific Mutual's supervision for ten of the Portfolios. Pacific
Investment Management Company ("PIMCO") serves as Portfolio Manager for the
Managed Bond Portfolio and the Government Securities Portfolio. Capital
Guardian Trust ("Capital Guardian") serves as Portfolio Manager for the Growth
Portfolio. J.P. Morgan Investment Management Inc. ("JPMIM") serves as Portfolio
Manager for the Equity Income Portfolio and the Multi-Strategy Portfolio.
Templeton Investment Counsel, Inc. ("Templeton") serves as Portfolio Manager for
the International Portfolio. Bankers Trust Company ("BTC") serves as Portfolio
Manager for the Equity Index Portfolio. Janus Capital Corporation ("Janus")
serves as Portfolio Manager for the Growth LT Portfolio. Greenwich Street
Advisors, a division of Smith Barney Mutual Funds Management Inc. ("Greenwich")
serves as Portfolio Manager for the Equity Portfolio, and the Bond and Income
Portfolio.
At the end of the second quarter the Fund's total net assets had grown to over
$1 billion. We look forward to continued growth in 1995 and beyond.
Sincerely,
/s/ Thomas C. Sutton
Thomas C. Sutton
Chairman and President
Pacific Select Fund
A-1
<PAGE>
MONEY MARKET PORTFOLIO / HIGH YIELD BOND PORTFOLIO
The total return for the Money Market Portfolio for the six months ended June
30, 1995 was 2.78%**. The yield, measured during the 7 day period ending June
30, 1995 was 5.45% for the Money Market Portfolio. Money market yields trended
lower during the second quarter while demand for cash investments met with a
somewhat limited supply.
The Portfolio's average maturity for the first half of 1995 held steady
between 39-41 days while maintaining stable asset values. The Money Market
Portfolio's investment strategy for the second half of 1995 is to continue to
entertain a longer time horizon for new commitments while keeping yields
competitive.
The total return for the High Yield Bond Portfolio for the six months ended
June 30, 1995 was 10.78%**. The yield, measured during the 30 day period ending
June 30, 1995, was 8.34% for the High Yield Bond Portfolio. The Portfolio
benefited from a declining interest rate environment, strong demand for high
yield bonds from mutual funds and a low level of defaults. Overall, the high
yield market underperformed the investment grade corporate bond market, due to
investor concerns about a slowing economy and the effect this would have on
corporate earnings. Pacific Mutual currently intends to continue to have the
Portfolio fully invested in 1995.
The High Yield Bond Portfolio's total return of 10.78%** matched that of The
First Boston High Yield Index. Due to a sharp decline in interest rates during
the first six months, most fixed income markets had strong returns for the first
half of 1995, as evidenced by the 11.80% return on the Lehman
Government/Corporate Bond Index. Pacific Mutual anticipates an attractive high
yield market for the remainder of the year, with stable interest rates and
continued strong demand from high yield mutual funds.
Looking into the second half of 1995, the Federal Reserve took its latest
action after the July 6, 1995 Federal Open Market Committee ("FOMC") meeting by
lowering the target federal fund rate 25 basis points to 5.75%, expressing
concern over the nation's lackluster economy. This change of course for the
central bank, the first since September 4, 1992, confirms expectations and sets
the stage for the possibility of an ease in monetary policy in the near term.
MANAGED BOND PORTFOLIO / GOVERNMENT SECURITIES PORTFOLIO
The total returns for the six months ended June 30, 1995, for the Managed Bond
Portfolio and the Government Securities Portfolio were 10.93%** and 11.03%,
respectively. The returns represent coupon income and price increases on fixed
income securities. The Lehman Brothers Government Corporate Yankee Bond Index
for the first six months of 1995 was 11.79%. The yield, measured during the 30
day period ended June 30, was 5.69% for the Managed Bond Portfolio and 5.43% for
the Government Securities Portfolio.
PIMCO reports that both Portfolio realized significant price gains from the
remarkable bond market rally that occurred during the first half of 1995, as
economic growth has downshifted from the breakneck pace set in the fourth
quarter of 1994. In relative terms, both the Managed Bond and Government
Securities Portfolio underperformed due to below-market levels of interest rate
exposure (duration), this despite favorable overweightings of intermediate
maturities.
PIMCO currently intends to maintain an average maturity slightly above that of
the market to reflect a moderately bullish stance on interest rates. As PIMCO
no longer expects declines in intermediate rates to dominate those of other
maturities, they have moved to a more neutral maturity mix. PIMCO reports that
its sector strategy will continue to emphasize short, high quality mortgages to
enhance yield, while also seeking additional yield and relative price gains
through the purchase of longer maturity European bonds on a currency-hedged
basis.
________________________________________________________________________________
** The total return for each Portfolio of the Fund includes reinvestment of
dividends and distributions. The returns do not include deductions at the
separate account or contract level for cost of insurance charges, premium
load, administrative charges, maintenance fees, premium tax charges,
mortality and expense risk charges, surrender charges, or other charges that
may be incurred under a contract.
A-2
<PAGE>
GROWTH PORTFOLIO
The Growth Portfolio's total return for the first half of 1995 was 13.86%**
versus 16.96% for the Russell 2500 and 15.95% for the Russell 2000.
Capital Guardian reports that after a dismal 1994, the U.S. stock market
bounced back with a vengeance in the first half of 1995. Long term interest
rates remained low in the second quarter after declining through the first
quarter, allowing equities to rise significantly. The star performers in the
Portfolio were concentrated in the high-tech arena, especially companies
benefiting from the boom in personal computer sales. Other strong performing
areas for the Portfolio were banking, broadcasting and publishing, leisure and
tourism, and oil services. Areas of weakness included business services, basic
industry, telecommunications and consumer goods.
Capital Guardian concludes by stating that their strategy continues to rely on
the fundamental research conducted by the firm's large team of analysis. Capital
Guardian currently intends to continue building the Portfolio from the "bottom-
up". Capital Guardian seeks businesses run by good management and equities of
which can be acquired for less than what their analyst's research indicates to
be the long-term intrinsic value of the business.
EQUITY INCOME PORTFOLIO / MULTI-STRATEGY PORTFOLIO
The total return for the Equity Income Portfolio for the six months ending
June 30, 1995 was 17.59%**, versus 20.21% for the Standard & Poor's Composite
500 Index ("S&P 500" or "Index"). The Multi-Strategy Portfolio's total return
for the same period was 14.37%** versus 16.67% using a benchmark of 60% S&P 500
and 40% Lehman Brothers Government/Corporate Bond Index ("LBGCB Index").
JPMIM reports that the broad selling which occurred at the end of 1994 -- with
only a few sub-categories of the equity markets producing positive returns --
was countered with vigorous buying in the first half of 1995. As indicated
above, the S&P 500 rose 20.21%, spurred by falling bond yields and a growing
conviction in a soft landing for the U.S. economy. Market leadership was
dominated by large multinationals, which benefited from the falling dollar, as
well as by technology stocks, as demand for productivity-enhancing products
continued unabated. Financial stocks also posted strong gains, as interest
rates declined and the industry continued to experience consolidations. The
market's narrow focus on these sectors resulted in concentrated gains by
relatively few stocks.
In the first half of 1995, bonds also reversed their 1994 retreat, providing
investors with healthy returns. Over the first six months of 1995, the LBGCB
Index returned 11.79%. The bond market rally was driven by a decline in
interest rates, as signs of economic weakness surfaced and inflationary fears
subsided.
JPMIM reports that although both Portfolios underperformed the S&P 500 returns
for the first half of 1995 were very competitive. JPMIM's diversified approach
to investing, which avoids dependence on the strength of a few stocks or
industry sectors, can underperform the broader market when buying is heavily
focused on certain subsets of the market. During the first half of 1995, the
Portfolios' holdings in technology fared best, although performance was also
helped by a strong showing in transportation and financial companies. Consumer
durable companies, such as autos and appliance manufacturers, lagged the equity
markets, as investors began to fear a possible onset of recession and lower
corporate profits. Stocks that contributed most positively to performance
included Adobe Systems, Sundstrand Corporation, ITT Corporation, and Allied
Signal. Stocks that detracted most from performance included Humana, Fruit of
the Loom, Healthcare Retirement Corporation and TJX Companies.
JPMIM reports that the Multi-Strategy Portfolio currently maintains a 60%
allocation to stocks and a 40% allocation to fixed income securities. This
Portfolio's stock investments are managed identically to those in the Equity
Income Portfolio, as discussed above.
________________________________________________________________________________
** The total return for each Portfolio of the Fund includes reinvestment of
dividends and distributions. The returns do not include deductions at the
separate account or contract level for cost of insurance charges, premium
load, administrative charges, maintenance fees, premium tax charges,
mortality and expense risk charges, surrender charges, or other charges that
may be incurred under a contract.
A-3
<PAGE>
One of the key components of JPMIM's fixed income investment process for the
Multi-Strategy Portfolio is determining the appropriate portfolio duration, the
measure of the price sensitivity of a bond portfolio to changes in interest
rates. For example, if JPMIM's analysis indicates that interest rates are likely
to rise, the Portfolio will generally pursue a duration shorter than that of the
LBGCB Index. Conversely, if interest rates are expected to drop, the Portfolio
will generally extend its duration beyond LBGCB Index levels in order to "lock
in" the higher yields typically provided by longer-term bonds. Although JPMIM'S
decision to maintain a short duration relative to the LBGCB Index hurt the
Portfolio during the first quarter as interest rates declined, the decision to
gradually extend duration proved rewarding for the remainder of the reporting
period.
In addition to making duration decisions based on JPMIM'S outlook on interest
rates, JPMIM also makes choices about which sectors of the bond market and which
individual securities are the most attractive. As the yields on mortgages and
high-quality corporates widened relative to Treasuries on recessionary fears and
heavy supply, JPMIM moved assets into these sectors, a decision which proved a
boon to the Portfolio's performance. Within each sector, JPMIM uses proprietary
credit research and the insights of equity analysts to select attractively
valued bonds. JPMIM's managers focus on high-quality issues, with the average
credit rating of the Portfolio at AA as of June 30, 1995.
Opinions vary widely on whether the equity markets have reached their peaks
after six months of strong growth. While valuation levels are high, JPMIM
believes that they are still not excessive on a historical basis and are at fair
value versus interest rates and earnings projections. Therefore, the Portfolios
continue to be fully invested in a diversified collection of stocks identified
as undervalued by JPMIM's equity analysts' forecasts. JPMIM believes that this
diversified approach is designed to benefit the Portfolios, as investors
conclude that many of the large multinationals and technology stocks that have
experienced a lengthy buying binge have become overly expensive.
Regarding the economy, JPMIM believes the Federal Reserve's actions have
resulted in what many economists are calling a "growth recession". Indicators of
a slowdown have been more apparent, as evidenced by waning consumer durables
spending and inventory accumulation; moreover, production and employment numbers
have strengthened this belief. Having achieved a growth recession, the Federal
Reserve's strategy appears to be to move from a restrictive to neutral stance,
evidenced by its most recent cut of 25 basis points in the Federal Funds rate.
While JPMIM believes that any further evidence of a recession would prompt
outright stimulus by the Federal Reserve and additional rate cuts, continued
easing will likely arrive slowly and stubbornly without this trigger.
INTERNATIONAL PORTFOLIO
The International Portfolio's total return for the six months period ended
June 30, 1995 was 6.95%**.
Templeton believes that while problems in Latin America cast a bearish pall
over the world's equity markets in early 1995, second quarter results had a much
more bullish feel to them. The combination of falling interest rates, better
than anticipated earnings performance and improving flows of assets into mutual
funds proved potent for most of the world's stock markets, but most notably for
U.S. stocks. Of the various categories of mutual funds tracked by Lipper, only
emerging market and Japanese oriented funds turned in a negative performance in
1995's first while many other categories were able to attain double digit
advances. European stocks generally moved higher with returns to dollar based
investors being even better due to the positive impact of the rather sharp
decline in the U.S. currency's value. Asian stock markets outside of Japan also
mostly improved with Hong Kong leading the rebound from last year's dismal
returns. Overall, however, U.S. stocks have been the equity of choice so far in
1995 as the U.S. market achieved the best returns when measured in local
currency terms and the third best, after Finland and Switzerland, when measured
in dollars. The Morgan Stanley Capital International European, Australian, Far
Eastern Index, however, rose just 2.60% due largely to Japan's negative
influence on the index, while the Morgan Stanley Capital International World
Index rose 9.40% due to the large positive impact of the U.S. weighting in that
index.
________________________________________________________________________________
** The total return for each Portfolio of the Fund includes reinvestment of
dividends and distributions. The returns do not include deductions at the
separate account or contract level for cost of insurance charges, premium
load, administrative charges, maintenance fees, premium tax charges,
mortality and expense risk charges, surrender charges, or other charges that
may be incurred under a contract.
A-4
<PAGE>
Templeton believes that as the difficulties that Japanese companies are
facing multiply, these often translate into greater opportunities for U.S.,
European and emerging market firms. While Templeton is often attracted to
markets like Japan's that have declined greatly in value, in this case Templeton
still finds it very difficult to identify many stocks that are selling at
extremely low multiples of what Templeton believes could be earned five years
from now.
Weaker share prices in the emerging markets is also attracting the attention
of Templeton's analysts. Templeton explains that many of these nations embraced
capitalism with such an initial vigor that substantial flows of portfolio
investment were attracted from developed world investors leading to stunning
advances in equity prices. Lately, these nations and investors alike have found
that the transition to capitalism was more complicated than initially
anticipated and this reality has been reflected in sharply declining share
prices in places like Mexico, Argentina, Brazil, Eastern Europe, Russia, India
and China. The recent volatility of these markets is, in large measure, a
reflection of the increased reliance on fast moving foreign portfolio
investments to finance growth versus the historic use of more stable bank loans
and a likely increased future focus on foreign direct investments. Nevertheless,
portfolio investment will remain a very important source of capital for the
emerging markets and, in most of these nations, the needed economic adaptations
to return economic growth to a more balanced and sustainable level will be
forthcoming with greater rapidity then Templeton expects in Japan. As a result
of this and much lower current valuation levels, Templeton has been able to
increasingly identify shares selling at inordinately low multiples of long term
earnings power.
Turning briefly to those markets that have performed better in 1995,
Templeton is finding fewer bargains - particularly in the U.S. Templeton
believes that the U.S. is not at the bottom of a recession with upside potential
for investing. Templeton explains that economic activity has clearly begun to
slow but, with no obvious imbalances in the economy, a long period of decline
does not seem likely. Because of the good performance of both the U.S. bond and
equity markets; however, risk has clearly increased. With the financial system
in good health, corporate balance sheets improving, stock prices relatively
high, interest rates low and the dollar weak, investment bankers have to stir.
New issuance activity is strong and mergers and acquisition activity is
prevalent with U.S. companies potentially the target of European based firms.
This coupled with continued healthy inflows into mutual funds could support the
U.S. market for some time.
Templeton believes that it is also becoming more difficult to identify
bargains in Europe, particularly in the hard currency countries (i.e. Germany,
France, Switzerland & the Netherlands).
Templeton reports that partly because many Asian currencies are indirectly
tied to the value of the depressed dollar, Templeton is still able to find many
bargain-priced stocks in this region. Earnings continue to expand and valuations
generally remain reasonable. Due to Japan's and China's economic problems,
interest in the area remains somewhat subdued and expectations relatively low.
Economic growth remains at very high levels and could continue unabated in most
countries for the foreseeable futures. The long term outlook for share prices in
this region remains favorable.
Templeton concludes that the long term outlook for global equity investment
remains positive. The acceptance of capitalism by almost all nations,
increasingly free trade, technological advancements and the reduced probability
of warfare on a large scale all point towards better economic growth and thus
corporate earnings. Current market conditions present a challenge to Templeton's
analytical team to uncover unusually inexpensive shares. Finding outstanding
values by carefully studying the fundamental position of individual companies,
translating its observations into long term earnings projections, determining
which shares are valued most attractively based on these projections and
patiently waiting until other investors come to admire the positive traits
Templeton has already identified will remain the hallmark of the Templeton
research team. Templeton's investment style requires fortitude and resolve to
remain focused on long term opportunities in the face of short term problems
that depress share prices to the level that qualify them as true Templeton
bargains.
EQUITY INDEX PORTFOLIO
For the second quarter of 1995, the Portfoio's total return was 9.5%** versus
the S&P 500's return of 9.54%. Year to date as of June 30, 1995, the Portfolio
is up 20.26%** versus 20.21% for the S&P 500. BTC reports that following an
extremely
_______________________________________________________________________________
** The total return for each Portfolio of the Fund includes reinvestment of
dividends and distributions. The returns do not include deductions at the
separate account or contract level for cost of insurance charges, premium
load, administrative charges, maintenance fees, premium tax charges,
mortality and expense risk charges, surrender charges, or other charges that
may be incurred under a contract.
A-5
<PAGE>
strong first quarter, the second quarter of 1995 was another impressive showing
for the equity markets. The S&P 500 was up and small cap stocks rallied during
the second quarter. Shaping, in large part, investors' positive sentiment about
the markets and the economy's direction were lower long-term interest rates and
strong corporate earnings. BTC believes that these indicators overshadowed
higher unemployment figures and decreased industrial growth. With no signs of
higher inflation on the horizon, the consensus was that the Federal Reserve
Board would act sooner rather than later to lower the federal funds rate. In
fact, the Federal Reserve Board did act to cut official interest rates by 0.25%
in early July. If this scenario continues to hold true, the conditions for
stocks, in BTCs opinion, will remain favorable. BTC believes that the
Portfolio's tracking of its benchmark has been excellent.
GROWTH LT PORTFOLIO
For the first six months of 1995 the Growth LT's total return was 18.95%**,
versus a gain of 20.21% for the S&P 500. Janus reports that during 1995,
financial assets provided exceptionally good returns as a sharp decline in
interest rates in the second quarter continued to lift both stock and bond
prices. Interest rates have now retraced approximately 80% of the backup
experienced in 1993-1994. Rates plummeted dramatically in May and in early June,
when the economy gave clear evidence of a slowdown, inflation remained at benign
levels, and the dollar appeared to stabilize against the Japanese yen and German
mark. A generally better outlook for the dollar lent confidence to a number of
global markets, including Europe. Although the U.S. market was the star
performer for the second quarter, just as it was in the first quarter, global
markets began to revive and provide a measure of competition. The Growth LT
Portfolio kept pace with the Index during the second quarter, gaining 11.72%**.
Janus believes the economic picture that emerged during the second quarter --
moderate, sustainable growth with low inflation -- provided an excellent
backdrop for the broad market and small-cap securities. A number of groups
where the Portfolio is heavily invested moved substaintially higher. Technology
and semiconductor stocks were the standouts, but telecommunications, especially
wireless, also put in a good performance, as did financial services and
pharmaceuticals. Insurance holdings also appreciated. The Portfolio's domestic
technology holdings, Cisco Systems and Platinum Software, registered significant
gains. Janus reports that positions in two data processors were increased.
First Data processes credit card transactions, and EDS does comprehensive
computer processing and information management for coporations and government
agencies. Both, Janus believes, are potentially rapid growers. First Data also
recently announced that it intends to acquire First Financial Management,
another credit card processor. Post-acquisition, First Data should realize a
number of efficiencies and enjoy an even faster growth rate. Janus notes that
health care service stocks restrained performance of efficiencies and enjoy an
even faster growth rate. Janus notes that health care service stocks restrained
performance slightly. The industry has been faced with competitive pricing
pressures and increasing costs. Janus reduced the Portfolio's holdings in Corum
Healthcare (outpatient infusion services) and Mariner Health Group (subacute
services), as well as in United Healthcare and Oxford Health Plans (HMOs).
Janus reports that European interest rates began to soften a bit during the
second quarter, helped by the downward movement in U.S. rates. The Portfolio's
European holdings posted excellent gains. Nokia (Finnish) the cellular telephone
and equipment provider, SAP (German), the large multinational network
developer, and Astra (Swedish), a fast-growing pharmaceutical company, were all
higher at the end of the second quarter.
Given the strength of the rally in equities in the second quarter, Janus is
more cautious today than at the end of the first quarter. Janus believes that
from the perspective of traditional dividend models, the market has been
overvalued for some time now. Janus states that dividend models do not take into
account that companies are deploying their excess cash, which is at record
levels in many instances, into stock repurchase programs instead of dividend
payments as a means of rewarding shareholders. Janus is pleased with this
development, because it allows stockholders to choose when to sell their
holdings and incur taxes. Dividend payments do not give stockholders this choice
because they are treated as income during the year received.
Janus concludes that in the second half of the year, the key to market
performance will be dictated by the strength of the economy and the course of
interest rates. The question is whether the weakness displayed in the first half
of 1995 is merely a
________________________________________________________________________________
** The total return for each Portfolio of the Fund includes reinvestment of
dividends and distributions. The returns do not include deductions at the
separate account or contract level for cost of insurance charges, premium
load, administrative charges, maintenance fees, premium tax charges,
mortality and expense risk charges, surrender charges, or other charges that
may be incurred under a contract.
A-6
<PAGE>
dip in the economy's upward trend or the beginning of sustained slower growth.
At the end of the second quarter, automobile and housing sales had began to move
higher again, but retail sales remained slow. Consumer confidence, durable goods
spending, and business investment remain at historically high levels. Janus
intends to monitor economic strength closely as the year progresses.
Janus' research effort remains focused on individual opportunities--good
businesses selling at discounts to their growth rates and will try to capitalize
on these situations in order to continue the performance momentum established in
the first half of the year.
BOND AND INCOME PORTFOLIO/ EQUITY PORTFOLIO
The total returns for the first six months of 1995 for the Bond and Income
Portfolio, and the Equity Portfolio were 20.73%** and 10.97%**, respectively.
The Lehman Brothers Government Corporate Yankee Bond Index and the S&P 500 total
returns for the first six months of 1995 were 11.97% and 20.21%, respectively.
At year-end 1994, Greenwich envisioned a slowing in the growth rate for the
U.S. economy and the continuation of a modest increase in the underlying level
of inflation in 1995.
Greenwich's forecast was based upon the premise that the Federal Reserve had
applied a sufficient amount of monetary restraint in 1994 by raising short-term
interest rates six times. In this benign environment long-term U.S. government
bond rates declined from 7.90% in December 1994 to 6.60% at the end of June
1995. Greenwich's investment strategy for the Bond and Income Portfolio focused
on long-term quality corporate bonds.
Greenwich's current assessment for the second half of 1995 remains
constructive. Greenwich believes that the Federal Reserve's most recent policy
shift to lower short-term interest rates may provide for modest economic growth
in late 1995 and 1996. Greenwich also believes that long-term interest rates
will be governed more by the outlook and perception in the course of future
inflation pressures or the lack thereof. It is Greenwich's opinion that future
inflation statistics will remain well behaved.
Greenwich explains that the underperformance reflected the strategy earlier in
the year that emphasized classic consumer-oriented growth in a slowing economic
environment. Clearly though, this strategy did not generate the kind of
competitive returns necessary to beat the S&P 500 for that time period.
Greenwich reports that a restructuring in the Portfolio was undertaken with a
greater emphasis placed on more aggressive stocks. Greenwich believes that
traditional growth stocks would not keep pace with the market, but rather be
replaced by technology and finance stocks, for example. Greenwich notes that
the change has worked well, with the Pacific Select Equity Portfolio making up
significant ground in recent weeks versus the S&P 500.
At this juncture, Greenwich believes the economy will show slow but steady
growth, with little or no inflation and flat to declining interest rates. This
environment should bode well for continued strength in equities over the balance
of this year.
________________________________________________________________________________
** The total return for each Portfolio of the Fund includes reinvestment of
dividends and distributions. The returns do not include deductions at the
separate account or contract level for cost of insurance charges, premium
load, administrative charges, maintenance fees, premium tax charges,
mortality and expense risk charges, surrender charges, or other charges that
may be incurred under a contract.
A-7
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILTIES
JUNE 30, 1995 (UNAUDITED)
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value............ $ 50,004 $ 15,838 $ 42,233 $102,363 $124,176
Short-term investments at amortized cost............. $ 93,355 41,252 23,906 2,641 9,079 2,916
Cash................................................. 1 3 1 10 2
Receivables:
Dividends and interest.............................. 386 763 218 867 139 199
Fund shares sold.................................... 3,639 303 81 216 101 159
Securities sold..................................... 513 2,440 1,499 493
Variation margin.................................... 162 69
Other receivable.................................... 83
-------- -------- -------- -------- -------- --------
TOTAL ASSETS......................................... 97,381 93,083 40,113 48,407 113,183 127,943
-------- -------- -------- -------- -------- --------
LIABILITIES
Payables:
Fund shares redeemed................................ 21 47 35
Securities purchased................................ 6,468 2,587 1,550 1,904 806
Accrued advisory fees............................... 29 42 18 23 58 66
Accrued custodian fees and recordkeeping fees....... 27 20 15 19 28 51
Accrued other....................................... 14 71 18 9 15 15
-------- -------- -------- -------- -------- --------
TOTAL LIABILITIES.................................... 70 6,601 2,659 1,601 2,052 973
-------- -------- -------- -------- -------- --------
NET ASSETS........................................... $ 97,311 $ 86,482 $ 37,454 $ 46,806 $111,131 $126,970
======== ======== ======== ======== ======== ========
NET ASSETS CONSIST OF:
Paid-in capital...................................... $ 97,335 $ 85,762 $ 37,242 $ 45,353 $103,845 $115,210
Under (over) distrubuted net investment income....... (24) (3) (3) (6) (21) (19)
Undistributed capital gains (losses)................. 28 (104) 438 986 1,915
Net unrealized appreciation of investments and
on translation of other assets
denominated in foreign currencies................... 695 319 1,021 6,321 9,864
-------- -------- -------- -------- -------- --------
NET ASSETS........................................... $ 97,311 $ 86,482 $ 37,454 $ 46,806 $111,131 $126,970
======== ======== ======== ======== ======== ========
Shares of beneficial interest outstanding
$.001 par value..................................... 9,711 8,117 3,596 4,929 6,548 7,753
======== ======== ======== ======== ======== ========
NET ASSETS PER SHARE................................. $ 10.020 $ 10.655 $ 10.416 $ 9.497 $ 16.879 $ 16.376
======== ======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-8
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value...................... $ 96,434 $107,300 $ 70,540 $ 78,717 $ 75,216 $ 40,509
Short-term investments at amortized cost....................... 4,889 11,886 2,216 35,283 4,742 650
Cash........................................................... 1 1 1
Receivables:
Dividends and interest........................................ 552 792 153 63 83 858
Fund shares sold.............................................. 221 433 119 316 52 24
Securities sold............................................... 288 3,371 5,264
Organization costs............................................. 6 4
--------- --------- --------- --------- --------- ---------
TOTAL ASSETS................................................... 102,384 120,411 73,035 117,754 85,358 42,042
--------- --------- --------- --------- --------- ---------
LIABILITIES
Payable:
Fund shares redeemed.......................................... 43
Securities purchased.......................................... 2,101 2,194 9,651 2,743
Accrued advisory fees......................................... 53 80 14 61 43 21
Accrued custodian fees and recordkeeping fees................. 46 56 9 39 18 11
Accrued other................................................. 12 14 2 14 11 6
Variation margin............................................... 4
Forward foreign currency contracts depreciation................ 98
--------- --------- --------- --------- --------- ---------
TOTAL LIABILITIES.............................................. 2,255 2,344 29 9,863 2,815 38
--------- --------- --------- --------- --------- ---------
NET ASSETS..................................................... $ 100,129 $ 188,067 $ 73,006 $ 107,891 $ 82,543 $ 42,004
========= ========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital................................................ $ 92,643 $ 108,787 $ 59,539 $ 93,492 $ 71,999 $ 39,868
Under (over) distributed net investment income................. (20) 1,317 (8) (584)
Undistributed capital gains (losses)........................... 1,378 1,338 337 3,329 6 (812)
Net unrealized appreciation of investments and on
translation of other assets
denominated in foreign currencies............................. 6,128 6,625 13,138 11,654 10,538 2,948
--------- --------- --------- --------- --------- ---------
NET ASSETS..................................................... $ 100,129 $ 118,067 $ 73,006 $ 107,891 $ 82,543 $ 42,004
========= ========= ========= ========= ========= =========
Shares of beneficial interest outstanding $.001 par value...... 7,601 9,263 4,718 8,203 5,257 3,461
========= ========= ========= ========= ========= =========
NET ASSETS PER SHARE........................................... $ 13.173 $ 12.746 $ 15.473 $ 13.153 $ 15.700 $ 12.137
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-9
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1995 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes............................. $ 551 $ 1,147
Interest.................................................... $ 2,805 $ 2,488 $ 963 $ 1,871 303 141
--------- --------- --------- --------- --------- ---------
Total Investment Income..................................... 2,805 $ 2,488 $ 963 $ 1,871 854 1,288
--------- --------- --------- --------- --------- ---------
EXPENSES
Advisory fees............................................... 185 205 85 117 314 311
Custodial fees.............................................. 21 18 11 18 23 59
Recordkeeping fees.......................................... 23 18 16 17 24 24
Trustees fees............................................... 2 2 1 1 3 3
Legal fees.................................................. 3 2 1 1 3 3
Printing fees............................................... 4 3 1 2 4 4
Insurance expenses.......................................... 3 2 1 1 3 3
Other....................................................... 11 9 4 5 12 12
--------- --------- --------- --------- --------- ---------
Total Expenses.............................................. 252 259 120 162 386 419
--------- --------- --------- --------- --------- ---------
NET INVESTMENT INCOME....................................... 2,553 2,229 843 1,709 468 869
--------- --------- --------- --------- --------- ---------
REALIZED AND UNREALILIZED GAIN (LOSS) ON
INVESTMENTS AND CURRENCY TRANSLATIONS
Net realized gain (loss) from security transactions......... (135) 44 438 986 3,250
Net realized gain from futures contracts.................... 3,234 1,482
Net realized foreign exchange loss.......................... (3)
--------- --------- --------- --------- --------- ---------
Net Realized Gain on Investments
and Currency Translations.................................. 3,096 1,526 438 986 3,250
--------- --------- --------- --------- --------- ---------
Net unrealized appreciation on investments.................. 1,862 623 1,821 11,414 11,278
Net unrealized depreciation on futures contracts............ (145) (59)
Net unrealized foreign exchange loss........................ (32) (13)
--------- --------- --------- --------- --------- ---------
Net Unrealized Gain on Investments and Currency Translations 1,685 551 1,821 11,414 11,278
--------- --------- --------- --------- --------- ---------
NET REALIZED AND UNREAILIZED GAIN ON
INVESTMENTS AND CURRENCY TRANSLATIONS....................... 4,781 2,077 2,259 12,400 14,528
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS................................... $ 2,553 $ 7,010 $ 2,920 $ 3,968 $ 12,868 $ 15,397
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-10
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 1995 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes............................. $ 565 $ 1,624 $ 703 $ 319 $ 363
Interest.................................................... 1,441 299 66 524 235 $ 1,527
Other income................................................ 5
--------- --------- --------- --------- --------- ---------
Total Investment Income..................................... 2,006 1,923 774 843 598 1,527
--------- --------- --------- --------- --------- ---------
EXPENSES
Advisory fees............................................... 282 395 67 258 245 111
Custodial fees.............................................. 54 75 25 49 18 10
Recordkeeping fees.......................................... 20 24 12 17 19 17
Trustees fees............................................... 2 2 1 2 2 1
Legal fees.................................................. 2 3 1 2 2 1
Printing fees............................................... 3 4 2 3 3 2
Insurance expenses.......................................... 2 3 1 2 2 1
Other....................................................... 11 12 6 9 11 5
--------- --------- --------- --------- --------- ---------
Total Expenses.............................................. 376 518 115 342 302 148
--------- --------- --------- --------- --------- ---------
NET INVESTMENT INCOME....................................... 1,630 1,405 659 501 296 1,379
--------- --------- --------- --------- --------- ---------
REALIZED AND UNREALILIZED GAIN (LOSS) ON
INVESTMENTS AND CURRENCY TRANSLATIONS
Net realized gain (loss) from security transactions......... 2,158 1,388 83 3,398 1,332 (34)
Net realized gain from futures contracts.................... 250
Net realized foreign exchange loss.......................... (70) (446)
--------- --------- --------- --------- --------- ---------
Net Realized Gain (loss) on Investments
and Currency Translations.................................. 2,158 1,318 333 2,952 1,332 (34)
--------- --------- --------- --------- --------- ---------
Net unrealized appreciation on investments.................. 7,893 4,376 8,922 9,731 6,446 5,712
Net unrealized (depreciation) on futures contracts.......... (221)
Net unrealized foreign exchange gain........................ 11
--------- --------- --------- --------- --------- ---------
Net Unrealized Gain on Investments and Currency Translations 7,893 4,387 8,922 9,510 6,446 5,712
--------- --------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS AND CURRENCY TRANSLATIONS....................... 10,051 5,705 9,255 12,462 7,778 5,678
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS................................... $ 11,681 $ 7,110 $ 9,914 $ 12,963 $ 8,074 $ 7,057
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-11
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1995 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income................................... $ 2,553 $ 2,229 $ 843 $ 1,709 $ 468 $ 869
Net realized gain on investments
and currency translations.............................. 3,096 1,526 438 986 3,250
Net unrealized gain on investments
and currency translations.............................. 1,685 551 1,821 11,414 11,278
-------- -------- --------- -------- -------- --------
Net increase in net assets resulting
from operations........................................ 2,553 7,010 2,920 3,968 12,868 15,397
-------- -------- --------- -------- -------- --------
NET EQUALIZATION CREDITS................................ 3 573 134 326 55 178
-------- -------- --------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income................................... (2,577) (2,229) (846) (1,715) (489) (888)
From capital gains...................................... (13) (55)
-------- -------- --------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders.......................... (2,577) (2,229) (846) (1,715) (502) (943)
-------- -------- --------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares............................ 121,553 27,158 15,344 26,841 35,369 43,676
Dividend reinvestments.................................. 2,566 2,191 841 1,697 501 939
Cost of shares repurchased.............................. (120,937) (1,440) (2,428) (9,649) (18,611) (7,360)
-------- -------- --------- -------- -------- --------
Net increase in net assets derived
from capital share transactions........................ 3,182 27,909 13,757 18,889 17,259 37,255
-------- -------- --------- -------- -------- --------
NET INCREASE IN NET ASSETS.............................. 3,161 33,263 15,965 21,468 29,680 51,887
-------- -------- --------- -------- -------- --------
NET ASSETS
Beginning of period..................................... 94,150 53,219 21,489 25,338 81,451 75,083
-------- -------- --------- -------- -------- --------
End of period........................................... $ 97,311 $ 86,482 $ 37,454 $ 46,806 $111,131 $126,970
======== ======== ========= ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 1995 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income................................... $ 1,630 $ 1,405 $ 659 $ 501 $ 296 $ 1,379
Net realized (loss) gain on investments
and currency translations.............................. 2,158 1,318 333 2,952 1,332 (34)
Net unrealized gain on investments
and currency translations.............................. 7,893 4,387 8,922 9,510 6,446 5,712
-------- -------- --------- -------- -------- --------
Net increase in net assets resulting
from operations........................................ 11,681 7,110 9,914 12,963 8,074 7,057
-------- -------- --------- -------- -------- --------
NET EQUALIZATION CREDITS................................ 85 335 100 50 4
-------- -------- --------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income................................... (1,642) (69) (667) (514) (296) (1,379)
From capital gains...................................... (12) (58) (6) (69)
-------- -------- --------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders.......................... (1,654) (127) (673) (583) (296) (1,379)
-------- -------- --------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares............................ 15,383 39,837 25,594 60,946 7,039 4,144
Dividend reinvestments.................................. 1,644 126 672 583 296 1,379
Cost of shares repurchased.............................. (6,157) (5,185) (3,213) (15,442) (5,695) (3,279)
-------- -------- --------- -------- -------- --------
Net increase in net assets derived from
capital share transactions........................ 10,870 34,778 23,053 46,087 1,640 2,244
-------- -------- --------- -------- -------- --------
NET INCREASE IN NET ASSETS.............................. 20,982 42,096 32,394 58,517 9,418 7,926
-------- -------- --------- -------- -------- --------
NET ASSETS
Beginning of period..................................... 79,147 75,971 40,612 49,374 73,125 34,078
-------- -------- --------- -------- -------- --------
End of period........................................... $100,129 $118,067 $ 73,006 $107,891 $ 82,543 $ 42,004
======== ======== ========= ======== ======== ========
</TABLE>
See Notes to Financial Statements
A-13
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1994
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income........................ $ 2,061 $ 2,493 $ 915 $ 1,503 $ 478 $ 589
Net realized gain (loss) on investments
and currency translations.................. (3,119) (1,524) 173 6,505 4,280
Net unrealized depreciation on investments
and currency translations.................. (1,577) (562) (1,521) (16,416) (5,106)
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net assets
resulting from operations.................. 2,061 (2,203) (1,171) 155 (9,433) (237)
-------- -------- -------- -------- -------- --------
NET EQUALIZATION CREDITS (DEBITS)............ 338 306 (38) 126 52 155
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income........................ (2,061) (2,479) (915) (1,503) (478) (589)
From capital gains........................... (51) (30) (173) (6,492) (4,280)
Return of capital............................ (10) (1)
-------- -------- -------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders.............. (2,061) (2,540) (946) (1,676) (6,970) (4,869)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................. 201,092 24,038 8,671 23,416 65,720 24,648
Proceeds from sales issued in asset
acquisition................................ 8,160 2,255 21,434
Dividend reinvestments....................... 2,052 2,500 950 1,669 6,951 4,883
Cost of shares repurchased................... (151,402) (11,998) (11,816) (14,369) (52,274) (4,287)
-------- -------- -------- -------- -------- --------
Net increase in net assets derived from
capital share transactions................. 59,902 14,540 60 10,716 20,397 46,678
-------- -------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS........ 60,240 10,103 (2,095) 9,321 4,046 41,727
-------- -------- -------- -------- -------- --------
NET ASSETS
Beginning of year............................ 33,910 43,116 23,584 16,017 77,405 33,356
-------- -------- -------- -------- -------- --------
End of year.................................. $ 94,150 $ 53,219 $ 21,489 $ 25,338 $ 81,451 $ 75,083
======== ======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-14
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1994
(IN THOUSANDS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- -------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net Investment income........................................ $ 1,310 $ 689 $ 848 $ 297 $ 1,759 $ 2,704
Net realized gain (loss) on investments
and currency translations.................................. 2,028 2,902 136 344 (737) 839
Net unrealized appreciation (depreciation)
on investments and currency translations................... (4,903) (3,173) (607) 2,144 (3,284) (7,013)
--------- --------- -------- --------- --------- --------
Net increase (decrease) in net assets resulting
from operations............................................ (755) 418 377 2,785 (2,262) (3,470)
--------- --------- -------- --------- --------- --------
NET EQUALIZATION CREDITS (DEBITS)............................ 253 397 41 139 (1)
--------- --------- -------- --------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income........................................ (1,310) (419) (848) (399) (1,759) (2,711)
From capital gains........................................... (2,028) (2,723) (132) (367) (2,291)
Return of capital............................................ (20) (150)
--------- --------- -------- --------- --------- --------
Net decrease in net assets resulting from
distributions to shareholders.............................. (3,338) (3,142) (980) (766) (1,779) (5,152)
--------- --------- -------- --------- --------- --------
CAPITAL SHARE TRANSATIONS
Proceeds from sale of shares................................. 33,860 71,841 16,440 65,691 1,517 800
Proceeds from shares issued in asset acquisition............. 19,687
Dividend reinvestments....................................... 3,311 3,113 978 765 1,790 5,385
Cost of shares repurchased................................... (15,319) (27,230) (10,080) (19,240) (10,931) (6,708)
--------- --------- -------- --------- --------- --------
Net increase (decrease) in net assets derived from
capital share transactions................................. 41,539 47,724 7,338 47,216 (7,624) (523)
--------- --------- -------- --------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS........................ 37,699 45,397 6,776 49,374 (11,666) (9,145)
--------- --------- -------- --------- --------- --------
NET ASSETS
Beginning of year............................................ 41,448 30,574 33,836 0 84,791 43,223
--------- --------- -------- --------- --------- --------
End of year.................................................. $ 79,147 $ 75,971 $ 40,612 $ 49,374 $ 73,125 $ 34,074
========= ========= ======== ========= ========= ========
</TABLE>
See Notes to Financial Statement.
A-15
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4,
1987. The Fund currently consists of twelve separate portfolios (the
"Portfolio"): the Money Market Portfolio, the Managed Bond Portfolio, the
Government Securities Portfolio, the High Yield Bond Portfolio, the Growth
Portfolio, the Equity Income Portfolio, the Multi-strategy Portfolio, the
International Portfolio, the Equity Index Portfolio, the Growth LT portfolio,
the Equity Portfolio and the Bond and Income Portfolio. The assets of each
Portfolio are segregated and a shareholder's interest is limited to the
Portfolio in which shares are owned. Currently, shares of each Portfolio are
offered only to Pacific Select, Pacific Select Exec, Pacific COLI and Pacific
Select Variable Annuity Separate Accounts of Pacific Mutual Life Insurance
Company ("Pacific Mutual") and Pacific Corinthian Variable Separate Account of
Pacific Corinthian Life Insurance Company ("Pacific Corinthian"). Pacific
Corinthian is a wholly-owned subsidiary of Pacific Mutual.
The Fund commenced operations on January 4, 1988. All Portfolios began
operations at that date, except the Equity Index Portfolio which commenced
operations on January 30, 1991, the Growth LT Portfolio which commenced
operations on January 4, 1994, and the Equity Portfolio and the Bond and the
Income Portfolio which commenced operations on January 19, 1984 as series of the
Pacific Corinthian Variable Fund ("PCVF") (see below).
On December 31, 1994, the Fund acquired substantially all the assets of each
of the series of PVCF, in a non-taxable exchange for shares of beneficial
interest in the Fund and the assumption of certain liabilities of PCVF. PCVF was
an open-end management company that consisted of eight series and served as an
investment medium for flexible premium deferred annuity and variable
accumulation contracts funded by Pacific Corinthian Variable Separate Account of
Pacific Corinthian. The net assets acquired for six of the eight series and the
shares issued by the acquiring portfolios were as follows:
<TABLE>
<CAPTION>
Related
Unrealized
Fair value of Net Appreciation/
Assets Acquired Depreciation Shares Issued
--------------- ------------ -------------
<S> <C> <C> <C>
Money Market Portfolio $ 8,160,063 813,974
Government Securities Portfolio 2,255,283 $ 23,232 233,962
Equity Income Portfolio 21,433,832 245,806 1,525,192
Multi-Strategy Portfolio 19,687,369 (13,953) 1,678,307
</TABLE>
The Equity Portfolio and the Bond and Income Portfolio of the Fund were
formed expressly for the purpose of acquiring the Equity Series and the Bond and
Income Series of PCVF. The statements of changes of net assets for the year
ended December 31, 1994, as presented for these two portfolios are based on the
operations of the predecessor series of PCVF.
A. Security Trading and Valuation
The net asset value per share is calculated separately for each Portfolio.
The net asset value per share is determined by dividing the value of each
Portfolio's net assets by the number of outstanding shares of the Portfolio.
Portfolio securities are valued and the net asset value per share is determined
at about 4:00p.m. New York City time on each day the New York Stock Exchange is
closed.
Portfolio securities for which market quotations are readily available are
stated at market value. Market value is determined on the basis of last reported
sales price, or, if no sales are reported, the mean between the representative
bid and asked quotations obtained from a quotation reporting system or from
established market makers. In other cases, securities are valued at their fair
value as determined in good faith pursuant to procedures established by the
Board of
A-16
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
Trustees of the Fund (such valuation methods were used for approximately 17%
and 15% of the Managed Bond and Government Securities Portfolios'
investments, respectively, as of June 30, 1995). Money market instruments are
valued at amortized cost which approximates market value.
B. Foreign Currency Translation
Foreign securities which are not traded in U.S. currency are recorded in
the financial statements after translation to U.S. dollars based on the
applicable exchange rates at the end of the period. Related dividends,
interest and withholding taxes are accrued at the rates of exchange
prevailing on the respective dates of such transactions. Pursuant to U.S.
Federal income tax regulations, the Fund computes the effect of changes in
foreign exchange rates from the fluctuations arising from changes in market
prices on the sale of foreign currency denominated debt obligations. This
foreign exchange component of the net gains or losses realized on the sales
and maturities of such debt obligations is treated as ordinary income or loss
for Federal income tax purposes.
The Fund isolates that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations
are included with the net realized and unrealized gain or loss on foreign
currency transactions.
Reported net realized foreign exchange gains or losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales
of foreign currencies, currency gains or losses realized between the trade
and settlement dates on securities transactions, the difference between the
amounts of dividends, interest, and foreign withholding taxes recorded on
the Fund's books, and U.S. dollar equivalent of the amounts actually received
or paid. Net unrealized foreign exchange gains and losses arise from changes
in the value of assets and liabilities including investments in securities at
the period-end, resulting from changes in the exchange rate.
C. Income Taxes
The Fund's policy is to comply with the requirements of the Internal
Revenue Code that are applicable to regulated investment companies and to
distribute substantially all of its taxable income to its shareholders.
Therefore, no Federal income tax provision is required.
D. Foreign Taxes on Dividends
Dividend income in the statements of operations is shown net of foreign
taxes withheld on dividends from foreign securities. Foreign taxes withheld
were as follows: Equity Income Portfolio - $518; Multi-Strategy Portfolio -
$89; International Portfolio - $204,777; Equity Index Portfolio - $5,810;
Growth LT Portfolio -$34,476.
E. Securities Gains or Losses and Investment Income
Gains or losses on the sale of portfolio securities are determined on an
identified cost basis. Dividend income is recorded on the ex-dividend date;
interest income is accrued daily.
F. Allocation of General Expenses
General expenses of the Fund (including Trustees' fees and expenses, legal
and audit fees, proxy and annual meeting costs) are allocated among the
Portfolios in proportion to their relative net assets. Expenses which relate
exclusively to a particular Portfolio (including advisory fees, registration
fees, brokerage commissions and other portfolio expenses, interest expenses
and certain taxes) are borne directly by the particular Portfolio.
A-17
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
G. Organization Costs
Organization costs of $40,358 for the Equity Index Portfolio and $3,952 for
the Growth LT Portfolio are currently being amortized over five years at the
rates of 10%, 15% and 25% in years one, two, and three through five,
respectively.
H. Equalization
The Fund, including the Money Market Portfolio, follows the accounting
practice known as equalization, by which a portion of the proceeds from sales
and costs of repurchases of fund shares, equivalent on a per share basis to the
amount of distributable investment income on the date of the transaction, is
credited or charged to undistributed income. As a result, undistributed
investment income per share is unaffected by sales or redemption's of fund
shares.
2. DERIVATIVE FINANCIAL INSTRUMENTS
A. Interest Rate and Stock Index Futures Contracts
An interest rate contract is an agreement between two parties to buy and
sell a specified quantity of a financial instrument at a specified price at a
future date. A stock index futures contract is an agreement between two parties
to take or make delivery of an amount of cash equal to the difference between
the value of the index at the close of the last trading day of the contract and
the price at which the index contract was originally written. Initial margin
deposits are made upon entering into futures contracts and can be either cash or
securities. During the period the futures contract is open, changes in the value
of the contract are recognized as unrealized gains or losses by "marking-to-
market" on a daily basis to reflect the market value of the contract at the end
of each day's trading. Variation margin receivables or payables represent the
difference between the unrealized appreciation (depreciation) on the open
contracts and the cash deposits made on the margin accounts. When the contract
is closed, the Fund records a realized gain or loss equal to the difference
between the proceeds from the closing transaction and the Fund's cost of the
contract. Interest rate futures contracts are used as non-leveraged substitutes
for the underlying physical securities. Stock index futures are entered into for
the purposes of maintaining a perfect correlation with the Standard & Poor's
Composite 500 Index. These investments involve, to varying degrees, elements of
market risk and risks in excess of the amount recognized in the Statement of
Assets and Liabilities. The face or contract amounts reflect the extent of the
involvement the Portfolios have in the particular classes of instruments. Risks
associated with the use of the stock index futures contracts include an
imperfect correlation between the movement in the index and the movement in the
market values of the securities held in that market. Risks may also arise if
there is an illiquid secondary market for the instruments, or the inability of
counterparties to perform.
For the Managed Bond Portfolio, securities with an approximate aggregate
market value of $1,032,000 have been segregated with the custodian to cover
margin requirements for the following open interest rate futures contracts at
June 30, 1995:
<TABLE>
<CAPTION>
Value per Unrealized
Type Contracts Contract Depreciation
---- --------- -------- ------------
<S> <C> <C> <C>
U.S. Treasury 5 year Notes (9/95) 133 $ 100,000 $ 38,906
U.S. Treasury 10 year Notes (9/95) 147 100,000 14,625
U.S. Treasury 30 year Bonds (9/95) 112 100,000 52,500
---------
$ 106,031
=========
</TABLE>
A-18
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)
For the Government Securities Portfolio, securities with an approximate
aggregate market value of $448,000 have been segregated with the custodian to
cover margin requirements for the following open interest rate futures contracts
at June 30, 1995:
<TABLE>
<CAPTION>
Unrealized
Value per Appreciation/
Type Contracts Contract (Depreciation)
---- --------- -------- --------------
<S> <C> <C> <C>
U.S. Treasury 2 year Notes (9/95) 7 $200,000 $ 3,172
U.S. Treasury 5 year Notes (9/95) 59 100,000 (17,578)
U.S. Treasury 10 year Notes (9/95) 45 100,000 (21,656)
U.S. Treasury 30 year Bonds (9/95) 59 100,000 (21,656)
---------
$ (57,718)
=========
</TABLE>
For the Equity Index Portfolio, securities with an approximate aggregate
market value of $169,000 have been segregated with the custodian to cover margin
requirements for the following open stock index futures contracts at June 30,
1995:
<TABLE>
<CAPTION>
Value per Unrealized
Type Contracts Index Point Depreciation
---- --------- ----------- ------------
<S> <C> <C> <C>
S & P 500 (9/95) 7 $500 $ 9,675
========
</TABLE>
B. Options on Futures Contracts
The Managed Bond and Government Securities Portfolios wrote options on
interest rate futures contracts during the period ended June 30, 1995. When the
Fund writes (sells) an option, an amount equal to the premium received is
recorded as an asset with an equal liability which is marked-to-market based on
the option's quoted daily settlement price. Fluctuation in the value of such an
instrument is recorded as unrealized appreciation (depreciation) until
terminated, at which time realized gains and losses are recognized. The purposes
of using options on futures contracts include hedging exposure torising interest
rates while retaining capital gain potential from falling rates and capitalizing
on anticipated changes in market volatility. These investments involve, to
varying degrees, elements of market risk and risks in excess of the amount
recognized in the statements of assets and liabilities. Risks may include an
imperfect correlation between the changes in the market values of the securities
held by the Fund and the prices of futures options, an illiquid secondary market
for the instruments, or the inability of counterparties to perform.
A-19
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)
For the Managed Bond Portfolio, transactions in options for the period ended
June 30, 1995 were as follows:
<TABLE>
<CAPTION>
Principal
Amount Premium
------ -------
<S> <C> <C>
Outstanding, December 31, 1994 $ 0 $ 0
Options written 69,141 68,451
Options exercised (46,641) (46,191)
Options repurchased (15,000) (14,760)
--------- ---------
Outstanding, June 30, 1995 $ 7,500 $ 7,500
========= =========
</TABLE>
For the Government Securities Portfolio, transactions in options for the
period ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
Principal
Amount Premium
------ -------
<S> <C> <C>
Outstanding, December 31, 1994 $ 0 $ 0
Options written 29,375 28,971
Options exercised (19,063) (18,883)
Options expired (4,687) (4,553)
Options repurchased (5,625) (5,535)
---------- ---------
Outstanding, June 30, 1995 $ 0 $ 0
========== =========
</TABLE>
C. Forward Foreign Currency Contracts
Forward foreign currency contracts may be used for the purpose of hedging
against foreign exchange risk arising from the Fund's investment in foreign
securities. These contracts are "marked-to-market" daily at the applicable
translation rates and any resulting unrealized gains or losses are recorded in
the Fund's financial statements. The Fund records realized gains or losses at
the time the forward contract is closed. A forward contract is extinguished
through a closing transaction or upon delivery of the currency. Risks may arise
upon entering these contracts from the potential inability of counterparties to
meet the terms of their contracts and from unanticipated movements in the value
of a foreign currency relative to the U.S. dollar.
A-20
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
2. DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)
For the Growth LT Portfolio, the following forward foreign currency sales
contracts were outstanding at June 30, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Sell 589,209 German Deutschemark 7/12/95 $ 2,301
Sell 533,394 German Deutschemark 8/10/95 8,692
Sell 653,183 German Deutschemark 8/16/95 (27,620)
Sell 1,437,969 German Deutschemark 9/21/95 (16,642)
Sell 62,825 German Deutschemark 9/25/95 (105)
Sell 1,235,873 Finnish Mark 7/11/95 (7,757)
Sell 142,482 Finnish Mark 7/12/95 (824)
Sell 109,607 Finnish Mark 7/31/95 1,168
Sell 3,027,378 Finnish Mark 8/10/95 47,051
Sell 900,715 Finnish Mark 8/16/95 (29,789)
Sell 1,667,683 Finnish Mark 9/26/95 1,875
Sell 617,316 Swedish Krone 7/11/95 (11,919)
Sell 1,112,996 Swedish Krone 7/12/95 (15,059)
Sell 1,181,216 Swedish Krone 7/25/95 (33,158)
Sell 806,785 Swedish Krone 7/31/95 (8,496)
Sell 966,023 Swedish Krone 9/25/95 (3,003)
Sell 613,146 British Pound 8/29/95 (8,709)
Sell 147,306 British Pound 9/25/95 612
Sell 453,343 British Pound 9/25/95 3,694
----------
$ (97,688)
==========
</TABLE>
3. INVESTMENT ADVISORY, AGENCY, AND DISTRIBUTION AGREEMENT
Pursuant to an Investment Advisory Agreement, Pacific Mutual serves as
Investment Adviser to the Fund, and receives from the Fund the following
advisory fees: for the Money Market Portfolio, an annual rate of .40% of the
first $250 million of the average daily net assets of the Portfolio, .35% of
the next $250 million of the average daily net assets of the Portfolio, and
.30% of the average daily net assets of the Portfolio in excess of $500
million; for the Managed Bond, Government Securities, High Yield Bond and
Bond and Income Portfolios, an annual rate of .60% of average daily net
assets of each of the Portfolio; for the Growth, Equity Income, Multi-
Strategy and Equity Portfolios, an annual rate of .65% of average daily net
assets of each of the Portfolio; for the International Portfolio, an annual
rate of .85% of the average daily net assets of the Portfolio; for the Equity
Index Portfolio, an annual rate of .25% of the first $100 million of the
average daily net assets of the Portfolio, .20% of the next $100 million of
the average daily net assets of the Portfolio, and .15% of the average daily
net assets of the Portfolio in excess of $200 million; and for the Growth LT
Portfolio, an annual rate of .75% of the average daily net assets of the
Portfolio. The fees are accrued daily.
A-21
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
3. INVESTMENT ADVISORY, AGENCY, AND DISTRIBUTION AGREEMENT (CONTINUED)
Pursuant to Portfolio Management Agreements, the Fund and Pacific Mutual
employ portfolio managers for ten of the twelve Portfolio's of the Fund. The
costs of such services are borne by Pacific Mutual as Investment Adviser to
the Fund.
Pursuant to an Agency Agreement, Pacific Mutual serves as transfer agent
and dividend disbursing agent for the Fund, without remuneration from the
Fund.
Pacific Equities Network, an indirect subsidiary of Pacific Mutual, serves
as distributor of the Fund's shares without remuneration from the Fund.
4. CUSTODIAN AND RECORDKEEPING AGENT
Custodial and recordkeeping services under the Custody Agreement are
accrued on a daily basis by the Fund on a per transaction and net asset basis
for each Portfolio.
5. DISTRIBUTIONS TO SHAREHOLDERS
The Fund currently declares and pays dividends on net investment income
monthly for all the Portfolios, except the International Portfolio, for which
dividends are declared and paid at least annually. All realized capital gains
are distributed at least annually for all Portfolios. Distributions to
shareholders are recorded on the ex-dividend date. All dividends are
reinvested in additional shares of the related Portfolios unless a
shareholder elects to receive a dividend in cash.
The Fund declared and paid sufficient net investment income dividends and
capital gains distributions during 1994 to qualify as a regulated investment
company, and did not require to pay the Federal excise tax, under Regulation
M of the Internal Revenue Code. The Fund also intends to declare and
distribute sufficient dividends during 1995 to avoid Federal income and
capital gains taxes, pursuant to the Code.
Income dividends and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions, net operating
losses, deferral of wash sales, futures and options. Permanent book and tax
differences relating to shareholder distributions will result in
reclassifications to paid-in capital.
6. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $2,577,035 of investment advisory fees to Pacific
Mutual for the period ended June 30, 1995 (Note 3). As of June 30, 1995,
$507,370 remained payable.
Pacific Mutual has voluntarily undertaken to waive or otherwise reimburse
the Fund for its operating expenses, exclusive of advisory fees, additional
custodial charges associated with holding foreign securities, foreign tax on
dividends, interest, or gains, and extraordinary expenses, in excess of .25%
of average daily net assets, through December 31, 1995. These operating
expenses for each Portfolio are currently running below the .25% expense cap.
Certain officers and directors of Pacific Mutual are also officers and
trustees of the Fund.
A-22
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
7. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments) for the
period ended June 30, 1995 were as follows:
<TABLE>
<CAPTION>
U.S. Government Securities Other Securities
Purchases Sales Purchases Sales
--------- ----- --------- -----
<S> <C> <C> <C> <C>
Managed Bond Portfolio $ 6,763,661 $13,716,126 $37,361,702 $26,339,613
Government Securities Portfolio 7,794,563 14,214,008 11,426,054 7,582,193
High Yield Bond Portfolio 51,136,430 32,084,390
Growth Portfolio 32,015,363 15,406,963
Equity Income Portfolio 92,826,444 49,502,580
Multi-Stategy Portfolio 27,489,821 32,459,988 92,528,588 60,490,003
International Portfolio 41,979,388 8,709,353
Equity Index Portfolio 22,575,167 378,824
Growth LT Portfolio 79,996,281 41,810,698
Equity Portfolio 92,315,835 93,262,904
Bond and Income Portfolio 3,336,250 12,079,955 7,392,290
</TABLE>
No activity is shown for the Money Market Portfolio since it trades exclusively
in short-term debt securities.
8. FEDERAL TAX BASIS ON PORTFOLIOS
Unrealized appreciation (depreciation) at June 30, 1995 based on cost of
investments for federal income tax purposes was as follows:
<TABLE>
<CAPTION>
Gross Gross Net
Unrealised Unrealized Unrealized
Tax Cost Basis Appreciation Depreciation Appreciation
-------------- ------------ ------------ ------------
<S> <C> <C> <C> <C>
Managed Bond Portfolio $ 90,402,425 $ 1,171,840 $ (318,759) $ 853,081
Government Securities Portfolio 39,412,033 438,185 (106,246) 331,939
High Yield Bond Portfolio 43,852,925 1,192,663 (171,238) 1,021,425
Growth Portfolio 105,120,894 13,869,679 (7,548,710) 6,320,969
Equity Income Portfolio 117,416,174 11,374,189 (1,698,045) 9,676,144
Multi-Stategy Portfolio 95,222,704 7,123,717 (1,023,343) 6,100,374
International Portfolio 112,572,147 11,808,394 (5,194,218) 6,614,176
Equity Index Portfolio 59,608,420 13,772,718 (624,588) 13,148,130
Growth LT Portfolio 102,247,641 12,568,880 (817,205) 11,751,675
Equity Portfolio 69,419,844 10,638,575 (100,169) 10,538,406
Bond and Income Portfolio 38,845,180 2,488,144 (174,038) 2,314,106
</TABLE>
A-23
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
9. SHARES OF BENEFICIAL INTEREST
Transactions in fund shares for the six months ended June 30, 1995 and the
year ended December 31, 1994 were as follows:
<TABLE>
<CAPTION>
Money Market Portfolio Managed Bond Portfolio Government Securities Portfolio
-------------------------- -------------------------- --------------------------------
1995 1994 1995 1994 1995 1994
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 9,390,330 3,394,942 5,375,772 3,960,603 2,229,122 2,216,666
Shares sold 12,181,212 20,180,409 2,669,970 2,350,884 1,524,009 876,668
Shares issued in asset acquistion 813,974 233,962
Distributions reinvested 257,105 205,810 213,581 251,641 83,161 97,572
Shares redeemed (12,117,298) (15,204,805) (142,444) (1,187,356) (240,292) (1,195,746)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 9,711,349 9,390,330 8,116,879 5,375,772 3,596,000 2,229,122
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
High Yield Bond Portfolio Growth Portfolio Equity Income Portfolio
-------------------------- -------------------------- --------------------------------
1995 1994 1995 1994 1995 1994
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 2,842,865 1,656,367 5,467,523 4,254,209 5,342,866 2,148,818
Shares sold 2,932,325 2,553,279 2,268,748 3,793,214 2,845,252 1,603,917
Shares issued in asset acquistion 1,525,192
Distributions reinvested 183,158 184,168 31,112 465,536 59,836 347,855
Shares redeemed (1,029,696) (1,550,949) (1,183,341) (3,045,436) (494,534) (282,916)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 4,928,652 2,842,865 6,584,052 5,467,523 7,753,420 5,342,866
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Multi-Strategy Portfolio International Portfolio Equity Index Portfolio
-------------------------- -------------------------- --------------------------------
1995 1994 1995 1994 1995 1994
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 6,746,932 3,274,592 6,360,464 2,529,129 3,118,551 2,556,189
Shares sold 1,227,833 2,769,965 3,326,345 5,753,331 1,780,232 1,250,840
Shares issued in asset acquistion 1,678,307
Distributions reinvested 130,095 281,225 10,897 263,269 45,685 76,107
Shares redeemed (503,554) (1,257,157) (434,968) (2,185,265) (226,026) (764,585)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 7,601,306 6,746,932 9,262,738 6,360,464 4,718,442 3,118,551
=========== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
Growth LT Portfolio Equity Portfolio Bond and Income Portfolio
-------------------------- -------------------------- --------------------------------
1995 1994 1995 1994 1995 1994
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 4,442,921 5,148,862 5,680,030 3,269,303 3,315,647
Shares sold 5,050,076 6,110,241 472,866 103,106 363,645 71,965
Distributions reinvested 47,293 69,657 19,835 119,973 120,929 468,642
Shares redeemed (1,337,499) (1,736,977) (384,135) (754,247) (293,069) (586,951)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 8,202,791 4,442,921 5,257,428 5,148,862 3,460,808 3,269,303
=========== =========== =========== =========== =========== ===========
</TABLE>
A-24
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO
----------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.03 $9.99 $9.96 $9.94 $9.94 $9.82
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.28 0.33 0.23 0.29 0.56 0.79
Net realized and unrealized gain (loss) on securities (0.01) 0.04 0.03 0.02 0.00 (0.03)
------ ------ ------ ------ ------ ------
Total from Investment Operations 0.27 0.37 0.26 0.31 0.56 0.76
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.28 0.33 0.23 0.29 0.56 0.64
------ ------ ------ ------ ------ ------
Total Distribution 0.28 0.33 0.23 0.29 0.56 0.64
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $10.02 $10.03 $9.99 $9.96 $9.94 $9.94
====== ====== ====== ====== ====== ======
__________________________________________________
Total Return 2.78% 3.76% 2.58% 3.22% 5.74% 7.92%
- ------------
Ratios/Supplemental Data
- ------------------------
NET ASSETS, END OF PERIOD (IN THOUSANDS) $97,311 $94,150 $33,910 $23,905 $14,502 $15,401
RATIO OF EXPENSES TO AVERAGE NET ASSETS 0.55%* 0.64% 0.65% 0.65% 0.65% 0.65%
RATIO OF NET INVESTMENT INCOME TO AVERAGE NET ASSETS 5.59%* 3.94% 2.56% 3.13% 5.53% 7.57%
PORTFOLIO TURNOVER RATE N/A N/A N/A N/A N/A N/A
</TABLE>
_______________
* RATIOS ARE ANNUALIZED.
A-25
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
MANAGED BOND PORTFOLIO
----------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Assets Value, Beginning of Period $9.90 $10.89 $10.62 $10.79 $10.35 $10.43
----- ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.32 0.50 0.52 0.68 0.82 0.85
Net realized and unrealized gain (loss) on securities 0.76 (0.98) 0.70 0.23 0.88 (0.01)
------ ------ ------ ------ ------ ------
Total from Investment Operations 1.08 (0.48) 1.22 0.91 1.70 0.84
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.32 0.50 0.52 0.67 0.82 0.85
Distributions (from capital gains) 0.00 0.01 0.43 0.41 0.44 0.07
------ ------ ------ ------ ------ ------
Total Distributions 0.32 0.51 0.95 1.08 1.26 0.92
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $10.66 $9.90 $10.89 $10.62 $10.79 $10.35
====== ====== ====== ====== ====== ======
________________________________________________
Total Return 10.93% (4.36)% 11.63% 8.68% 17.03% 8.52%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $86,482 $53,219 $43,116 $26,406 $16,645 $12,412
Ratio of expenses to average net assets 0.76%* 0.84% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 6.60%* 5.04% 4.74% 6.39% 7.74% 8.32%
Portfolio turnover rate 86.10% 127.95% 163.11% 89.55% 80.96% 68.79%
</TABLE>
_______________
* Ratios are annualized
A-26
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each period were as follows:
GOVERNMENT SECURITIES PORTFOLIO
-------------------------------
<TABLE>
<CPATION>
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $9.64 $10.64 $10.48 $10.55 $10.07 $10.22
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.28 0.44 0.34 0.51 0.69 0.79
Net realized and unrealized
gain (loss) on securities 0.78 (0.99) 0.78 0.27 0.93 (0.02)
------ ------- ----- ----- ------ ------
Total from Investment Operations 1.06 (0.55) 1.12 0.78 1.62 0.77
------ ------ ----- ----- ------ ------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.28 0.44 0.34 0.51 0.71 0.78
Distributions (from capital gains) 0.00 0.01 0.62 0.34 0.43 0.14
------ ------ ------ ----- ------ -----
Total Distributions 0.28 0.45 0.96 0.85 1.14 0.92
------ ------ ------ ----- ------ -----
Net Asset Value, End of Period $10,42 $9.64 $10.64 $10.48 $10.55 $10.07
====== ====== ====== ====== ====== ======
_______________________________
Total Return 11.03% (5.10)% 10.79% 7.52% 16.67% 8.01%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in
thousands) $37,454 $21,489 $23,584 $17,701 $10,841 $7,469
Ratio of expenses to average
net assets 0.84%* 0.88% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income
average net assets 6.02%* 4.29% 3.15% 4.95% 6.90% 7.87%
Portfolio turnover rate 113.90% 232.99% 402.37% 212.31% 110.74% 45.99%
</TABLE>
____________
*Ratios are annualized.
A-27
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
HIGH YIELD BOND PORTFOLIO
-------------------------
<TABLE>
<CAPTION>
For the period
ended June 30,
(Unaudited) For the year ended December 31,
-------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $8.91 $9.67 $9.24 $8.54 $7.84 $8.90
------ ------ ------ ------ ------ ------
Income from Investment
- ----------------------
Operations
----------
Net investment income 0.36 0.73 0.86 0.87 0.91 1.04
Net realized and unrealized
gain (loss) on securities 0.59 (0.70) 0.77 0.69 0.95 (1.01)
----- ------ ----- ----- ------ ------
Total from Investment
Operations 0.95 0.03 1.63 1.56 1.86 0.03
----- ------ ----- ----- ------ ------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.36 0.73 0.86 0.86 0.91 1.04
Distributions (from capital
gains) 0.00 0.06 0.34 0.00 0.25 0.05
----- ----- ----- ----- ----- -----
Total Distributions 0.36 0.79 1.20 0.86 1.16 1.09
----- ----- ----- ----- ----- -----
Net Asset Value, End of
Period $9.50 $8.91 $9.67 $9.24 $8.54 $7.84
===== ===== ===== ===== ===== =====
___________________________
Total Return 10.78% 0.42% 18.01% 18.72% 24.58% 0.38%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $46,806 $25,338 $16,017 $14,152 $10,356 $8,288
Ratio of expenses to
average net assets 0.83%* 0.88% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment
income to average net
assets 8.92%* 8.13% 8.37% 9.46% 10.77% 12.02%
Portfolio turnover rate 95.29% 141.86% 185.83% 186.23% 149.20% 69.59%
</TABLE>
_______________
* Ratios are annualized.
A-28
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Growth Portfolio
----------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $14.90 $18.20 $15.76 $13.70 $10.09 $13.67
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.07 0.10 0.08 0.11 0.15 0.20
Net realized and unrealized gain (loss) on securities 1.99 (2.01) 3.37 2.69 3.78 (2.39)
------ ------ ------ ------ ------ ------
Total from Investment Operations 2.06 (1.91) 3.45 2.80 3.93 (2.19)
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.08 0.10 0.08 0.11 0.15 0.19
Distributions (from capital gains) 0.00 1.29 0.93 0.63 0.17 1.20
------ ------ ------ ------ ------ ------
Total Distribution 0.08 1.39 1.01 0.74 0.32 1.39
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $16.88 $14.90 $18.20 $15.76 $13.70 $10.09
====== ====== ====== ====== ====== ======
____________________________________________________
Total Return 13.68% (10.49)% 21.89% 20.53% 39.15% (17.30)%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $111,131 $81,451 $77,405 $34,747 $13,482 $6,351
Ratio of expenses to average net assets 0.80%* 0.86% 0.71% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 0.97%* 0.58% 0.51% 0.81% 1.31% 1.75%
Portofoilo turnover rate 17.52% 40.42% 35.08% 39.97% 31.48% 41.18%
</TABLE>
________
* Ratios are annualized.
A-29
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Equity Income Portfolio
-----------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $14.05 $15.52 $15.11 $14.74 $11.64 $13.11
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.13 0.20 0.26 0.19 0.32 0.32
Net realized and unrealized gain (loss) on securities 2.34 (0.25) 0.98 0.59 3.28 (1.30)
------ ------ ------ ------ ------ ------
Total from Investment Operations 2.47 (0.05) 1.24 0.78 3.60 (0.98)
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.13 0.20 0.26 0.19 0.32 0.32
Distributions (from capital gains) 0.01 1.22 0.57 0.22 0.18 0.17
------ ------ ------ ------ ------ ------
Total Distributions 0.14 1.42 0.83 0.41 0.50 0.49
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $16.38 $14.05 $15.52 $15.11 $14.74 $11.64
====== ====== ====== ====== ====== ======
____________________________________________________
Total Return 17.59% (0.28)% 8.29% 5.36% 31.42% (7.54)%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $126,970 $75,083 $33,356 $22,021 $12,117 $5,974
Ratio of expenses to average net assets** 0.87%* 0.94% 0.75% 0.75% 0.76% 0.75%
Ratio of net investment income to average net assets 1.82%* 1.39% 1.74% 1.39% 2.49% 2.67%
Portofoilo turnover rate 53.70% 134.57% 27.67% 18.52% 17.43% 17.63%
</TABLE>
________
* Ratios are annualized.
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
A-30
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Multi-Strategy Portfolio
------------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $11.73 $12.66 $12.18 $11.99 $10.14 $10.84
-------- ------- ------- ------- ------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.23 0.32 0.35 0.37 0.46 0.51
Net realized and unrealized gain
(loss) on securities 1.44 (0.51) 0.77 0.27 1.93 (0.66)
-------- ------- ------- ------- ------- -------
Total from Investment Operations 1.67 (0.19) 1.12 0.64 2.39 (0.15)
-------- ------- ------- ------- ------- -------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.23 0.32 0.35 0.37 0.45 0.48
Distributions (from capital gains) 0.00 0.42 0.29 0.08 0.09 0.07
-------- ------- ------- ------- ------- -------
Total Distributions 0.23 0.74 0.64 0.45 0.54 0.55
-------- ------- ------- ------- ------- -------
Net Asset Value, End of Period $13.17 $11.73 $12.66 $12.18 $11.99 $10.14
======== ======= ======= ======= ======= =======
____________________________________
Total Return 14.37% (1.50)% 9.25% 5.57% 24.03% (1.47)%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $100,129 $79,147 $41,448 $19,931 $10,454 $4,559
Ratio of expenses to average
net assets** 0.87%* 0.94% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income
to average net assets 3.79%* 2.78% 3.01% 3.36% 4.30% 4.77%
Portfolio turnover rate 112.02% 187.40% 27.87% 16.52% 11.24% 26.04%
</TABLE>
- ----------------
* Ratios are annualized.
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
A-31
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
International Portfolio
-----------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $11.94 $12.09 $ 9.38 $10.59 $9.72 $12.44
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.14 0.07 0.09 0.15 0.13 0.16
Net realized and unrealized gain
(loss) on securities 0.68 0.30 2.73 (1.19) 0.94 (1.84)
------ ------ ------ ------ ------ ------
Total from Investment Operations 0.82 0.37 2.82 (1.04) 1.07 (1.68)
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.01 0.07 0.09 0.17 0.17 0.16
Dividends (in excess of net
investment income) 0.00 0.00 0.02 0.00 0.00 0.00
Distributions (from capital gains) 0.00 0.45 0.00 0.00 0.03 0.88
------ ------ ------ ------ ------ ------
Total Distributions 0.01 0.52 0.11 0.17 0.20 1.04
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $12.75 $11.94 $12.09 $ 9.38 $10.59 $ 9.72
====== ====== ====== ====== ====== ======
___________________________________
Total Return 6.95% 3.01% 30.02% (9.78)% 10.92% (13.48)%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $118,067 $75,971 $30,574 $19,402 $18,239 $14,266
Ratio of expenses to average
net assets** 1.11%* 1.22% 1.04% 1.05% 1.04% 1.05%
Ratio of net investment income
to average net assets 3.04%* 1.28% 0.92% 1.43% 1.19% 1.48%
Portfolio turnover rate 10.16% 52.22% 46.48% 38.99% 69.71% 69.24%
</TABLE>
________________
* RATIOS ARE ANNUALIZED.
** THE YEARS PRIOR TO 1994 HAVE BEEN RESTATED FOR COMPARATIVE PURPOSES TO
REFLECT EXPENSES EXCLUSIVE OF FOREIGN TAXES ON DIVIDENDS.
A-32
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Equity Index Portfolio
----------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991(1)
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $13.02 $13.24 $12.43 $11.98 $10.00
------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.16 0.30 0.29 0.29 0.30
Net realized and unrealized gain
on securities 2.45 (0.18) 0.86 0.53 2.16
------ ------ ------ ------ ------
Total from Investment Operations 2.61 0.12 1.15 0.82 2.46
------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.16 0.30 0.29 0.29 0.30
Distributions (from capital gains) 0.00 0.04 0.05 0.08 0.18
------ ------ ------ ------ ------
Total Distributions 0.16 0.34 0.34 0.37 0.48
------ ------ ------ ------ ------
Net Asset Value, End of Period $15.47 $13.02 $13.24 $12.43 $11.98
====== ====== ====== ====== ======
___________________________________
Total Return 20.15% 1.05% 9.38% 6.95% 24.88%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $73,006 $40,612 $33,836 $23,030 $15,205
Ratio of expenses to average
net assets** 0.43%* 0.51% 0.50% 0.50% 0.50%*
Ratio of net investment income
to average net assets 2.46%* 2.37% 2.34% 2.53% 3.03%*
Portfolio turnover rate 0.72% 2.02% 1.15% 3.52% 4.26%
</TABLE>
________________
(1) Information is for the period from January 30, 1991 (commencement of
operations) to December 31, 1991.
* Ratios are annualized.
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
A-33
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
GROWTH LT PORTFOLIO
-------------------
For the period For the
ended June 30, period ended
(Unaudited) December 31,
----------- ------------
1995 1994(1)
---- ----
<S> <C> <C>
Net Assets Value, Beginning of Period $11.11 $10.00
------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.03 0.10
Net realized and unrealized gain on securities 2.10 1.21
------ ------
Total from Investment Operations 2.13 1.31
------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.08 0.12
Distributions (from capital gains) 0.01 0.08
------ ------
Total Distributions 0.09 0.20
------ ------
Net Asset Value, End of Period $13.15 $11.11
====== ======
- ----------------------------------------
Total Return 18.95% 13.25%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $107,891 $49,374
Ratio of expenses to average net assets 0.99%* 1.08%*
Ratio of net investment income to average net assets 1.45%* 1.32%*
Portfolio turnover rate 79.41% 257.20%
</TABLE>
______________
(1) Information is for the period from January 4, 1994 (commencement of
operations) to December 31, 1994.
* Ratios are annualized.
A-34
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Equity Portfolio
----------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $14.20 $14.94 $14.39 $14.83 $11.71 $12.59
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.06 0.32 0.22 0.19 0.33 0.56
Net realized and unrealized gain
(loss) on securities 1.50 (0.74) 1.90 0.49 3.12 (0.88)
------ ------ ------ ------ ------ ------
Total from Investment Operations 1.56 (0.42) 2.12 0.68 3.45 (0.32)
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.06 0.32 0.22 0.19 0.33 0.56
Distributions (from Capital Gains) 0.00 0.00 0.81 0.93 0.00 0.00
Return of capital 0.00 0.00 0.54 0.00 0.00 0.00
------ ------ ------ ------ ------ ------
Total Distribution 0.06 0.32 1.57 1.12 0.33 0.56
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $15.70 $14.20 $14.94 $14.39 $14.83 $11.71
====== ====== ====== ====== ====== ======
______________________________________
Total Return 10.97% (2.87)% 16.06% 6.30% 29.77% (2.55)%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $82,543 $73,125 $84,791 $81,902 $107,366 $178,191
Ratio of expenses to average
net assets 0.80%* 0.96% 0.93% 0.93% 0.91% 0.86%
Ratio of net investment income
to average net assets 0.78%* 2.19% 1.52% 1.30% 2.52% 4.63%
Portfolio turnover rate 133.49% 178.63% 229.77% 242.37% 449.75% 541.61%
</TABLE>
________________
* Ratios are annualized.
A-35
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Bond and Income Portfolio
-------------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- -------------------------------
1995 1994 1993 1992 1991 1990
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $10.42 $13.05 $11.70 $11.69 $10.27 $10.93
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.41 0.83 0.87 0.89 0.93 0.97
Net realized and unrealized gain
(loss) on securities 1.72 (1.87) 1.35 0.01 1.42 (0.66)
------ ------ ------ ------ ------ ------
Total from Investment Operations 2.13 (1.04) 2.22 0.90 2.35 0.31
------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment
income) 0.41 0.83 0.86 0.89 0.93 0.97
In excess of net investment income 0.00 0.00 0.01 0.00 0.00 0.00
Distributions (from capital gains) 0.00 0.53 0.00 0.00 0.00 0.00
Return of capital 0.00 0.23 0.00 0.00 0.00 0.00
------ ------ ------ ------ ------ ------
Total Distributions 0.41 1.59 0.87 0.89 0.93 0.97
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $12.14 $10.42 $13.05 $11.70 $11.69 $10.27
====== ====== ====== ====== ====== ======
_____________________________________
Total Return 20.73% (8.36)% 19.39% 8.09% 24.32% 3.27%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $42,004 $34,078 $43,223 $42,731 $59,323 $107,921
Ratio of expenses to average
net assets 0.80%* 0.93% 0.84% 0.85% 0.78% 0.73%
Ratio of net investment income
to average net assets 7.56%* 7.25% 6.86% 7.67% 8.70% 9.35%
Portfolio turnover rate 29.28% 31.97% 41.92% 21.99% 131.40% 43.52%
</TABLE>
________________
* RATIOS ARE ANNUALIZED.
A-36
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- -----
<S> <C> <C>
COMMERCIAL PAPER -- 99.99%
American Greetings Corp
5.960% due 07/26/95 $1,500,000 $ 1,493,792
Associate Corp of North America
5.990% due 08/10/95 2,000,000 1,986,756
6.180% due 07/03/95 1,400,000 1,399,519
AT&T Capital Corp
5.990% due 07/12/95 1,500,000 1,497,255
Browning Ferris Industries Inc
5.940% due 08/07/95 2,000,000 1,987,790
Comsat Corp
5.950% due 08/11/95 2,000,000 1,986,447
6.000% due 07/05/95 2,000,000 1,998,667
Dow Chemical Co
4.625% due 10/15/95 4,000,000 3,981,704
Dow Jones & Co
5.950% due 07/11/95 2,000,000 1,996,694
Ford Motor Credit
5.950% due 08/09/95 3,000,000 2,980,662
GE Capital Corp Mtn
6.120% due 05/06/96 5,000,000 4,998,680
Georgia Power Co
5.125% due 09/01/95 2,000,000 1,996,737
Great-West Life
5.920% due 08/24/95 2,000,000 1,982,240
Hasbro Inc
5.880% due 07/17/95 1,000,000 997,387
Heller International
6.010% due 07/05/95 1,000,000 999,332
Household Finance Corp Mtn
5.000% due 03/18/96 3,000,000 2,972,801
IBM Credit Corp
5.950% due 07/13/95 1,000,000 998,017
5.950% due 08/10/95 2,000,000 1,986,778
Idaho Power Inc
5.980% due 07/12/95 3,000,000 2,994,518
Industrial Bank of Japan
6.050% due 07/17/95 3,000,000 2,991,933
Indianapolis Power & Light
5.950% due 08/04/95 2,000,000 1,998,761
International Lease Finance Corp
5.900% due 07/11/95 1,000,000 998,361
5.900% due 07/21/95 1,120,000 1,116,329
6.000% due 09/15/95 2,000,000 1,994,562
Monsanto Co
6.070% due 07/31/95 2,000,000 1,989,883
Pacific Gas & Electric
5.960% due 07/31/95 3,000,000 2,985,100
Pacificorp
5.980% due 07/28/95 3,000,000 2,986,545
PHH Corp
5.880% due 07/06/95 3,000,000 2,997,550
Safeco Credit Co Inc
5.990% due 07/14/95 1,500,000 1,496,755
Sallie Mae Global Floate
5.950% due 04/16/96 5,000,000 5,002,531
6.010% due 07/13/95 2,000,000 2,000,000
6.030% due 08/10/95 2,000,000 2,000,000
Strategic Asset Funding
6.080% due 07/05/95 1,500,000 1,498,987
Sumitomo Bank Limited
6.020% due 07/20/95 2,000,000 1,993,646
Temple Inland Inc
5.950% due 08/25/95 2,500,000 2,477,274
U.S. West Communications
5.960% due 07/25/95 2,000,000 1,992,053
USL Capital Corp
5.980% due 07/26/95 3,000,000 2,987,542
Virginia Electric & Power
9.250% due 02/23/96 1,800,000 1,836,437
Warner-Lambert Co
6.000% due 07/10/95 1,000,000 998,500
Wisconsin Electric Fuel Trust
5.970% due 07/21/95 2,800,000 2,790,713
Xerox Credit Corp
6.250% due 01/15/96 1,000,000 1,000,148
Yamaha Motor Finance
5.990% due 07/14/95 4,000,000 3,991,348
-----------
Total Commercial Paper 93,350,734
===========
</TABLE>
A-37
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- -----
<S> <C> <C>
TIME DEPOSITS -- 0.01%
State Street Bank and Trust
4.900% due 07/03/95 $ 4,000 $ 4,000
-----------
Total Time Deposits 4,000
-----------
TOTAL MONEY MARKET PORTFOLIO $93,354,734
===========
</TABLE>
A-38
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----
<S> <C> <C>
CORPORATE BONDS & NOTES -- 25.76%
CONSUMER DISCRETIONARY -- 4.14%
Associate Corp of North America
6.750% due 07/15/97 $1,650,000 $ 1,663,876
News America Holding Inc
12.000% due 12/15/01 1,000,000 1,127,940
Time Warner Inc
0.000% due 08/15/02*++ 1,000,000 983,750
-----------
3,775,566
-----------
ENERGY -- 0.57%
Arkla Inc Senior Note
9.875% due 04/15/97 500,000 520,000
-----------
520,000
-----------
FINANCIAL & BUSINESS SERVICES -- 12.35%
Bankers Life Holding Corp
13.000% due 11/01/02 750,000 862,500
Capital One Funding Senior Bank
8.050% due 01/18/96+ 1,000,000 1,009,385
CTC Mansfield Funding
11.125% due 09/30/16 1,000,000 1,010,000
GMAC
4.950% due 02/03/97 1,000,000 980,720
5.250% due 12/06/96 1,000,000 987,060
5.350% due 09/11/95 775,000 773,365
8.125% due 01/13/97 2,000,000 2,051,430
Merrill Lynch & Co Min
4.350% due 02/26/96+ 500,000 503,540
Salomon Brothers Inc
7.400% due 03/28/96+ 800,000 804,688
Salomon Inc
4.970% due 02/15/96+ 2,000,000 1,981,720
United Mexican States
6.250% due 12/31/19 500,000 302,500
-----------
11,266,908
-----------
TRANSPORTATION -- 4.40%
Delta Air Lines
8.250% due 05/15/96 1,000,000 1,012,940
9.875% due 05/15/00 2,000,000 2,197,960
UAL Equipment Trust
9.210% due 01/21/17 800,000 805,608
-----------
4,016,508
-----------
UTILITIES -- 4.30%
Hydro Quebec
6.563% due 09/30/49+ 1,000,000 852,188
Long Island Lighting
7.850% due 05/15/99 3,000,000 3,073,080
-----------
3,925,268
-----------
Total Corporate Bonds & Notes
(Cost $23,140,301) 23,504,250
-----------
MORTGAGE-BACKED SECURITIES -- 18.77%
COLLATERALIZED MORTGAGE OBLIGATIONS -- 7.37%
Citibank 1986-D
10.000% due 03/01/16+ 203,799 212,906
Citibank 1988-2
8.000% due 07/25/18+ 42,216 49,646
Countrywide
6.747% due 11/25/24+ 912,184 933,136
6.750% due 05/25/24+ 1,000,000 896,000
GE Capital Mortgage
6.500% due 04/25/24 1,307,220 1,300,488
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
++ REPRESENTS A ZERO COUPON BOND WHICH WILL CONVERT TO AN INTEREST BEARING
SECURITY AT A LATER DATE.
A-39
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------- -----
<S> <C> <C>
COLLATERALIZED MORTGAGE
OBLIGATIONS -- (CONTINUED)
Paine Webber
6.500% due 03/25/24 $1,271,410 $ 1,264,646
Resolution Trust Corp
7.325% due 06/25/23 704,434 708,396
7.500% due 08/25/23+ 326,200 320,746
8.000% due 04/25/25+ 1,000,000 1,040,469
-----------
6,726,433
-----------
FEDERAL HOME LOAN MORTGAGE
CORPORATION -- 0.99%
6.000% due 04/01/24 967,223 906,462
-----------
906,462
-----------
FEDERAL HOUSING AUTHORITY -- 3.96%
6.888% due 08/01/23+ 1,739,880 1,782,290
7.430% due 08/01/21+ 357,183 363,936
7.430% due 02/01/23 381,162 387,577
7.847% due 05/01/23 1,045,767 1,077,631
-----------
3,611,434
-----------
FEDERAL NATIONAL MORTGAGE
ASSOCIATION -- 4.87%
5.637% due 11/01/23 916,639 939,986
5.752% due 10/01/23 1,688,242 1,741,522
5.797% due 04/01/24+ 1,731,055 1,760,808
-----------
4,442,316
-----------
GOVERNMENT NATIONAL MORTGAGE
ASSOCIATION -- 1.58%
6.500% due 03/20/24+ 926,924 938,510
9.000% due 02/15/17 170,153 178,713
9.500% due 04/15/18 8,402 8,938
9.500% due 08/15/17 35,163 37,596
9.500% due 09/15/18 188,439 200,452
9.750% due 04/15/98 24,752 25,688
10.000% due 05/15/19 48,113 52,368
-----------
1,442,265
-----------
Total Mortgage-Backed Securities
(Cost $16,666,158) 17,128,910
-----------
OTHER ASSET-BACKED SECURITIES -- 2.74%
Greenwich Capital Mortgage
7.648% due 01/25/22+ 105,560 104,636
Imperial Savings & Loan
9.900% due 02/25/18+ 89,972 94,471
Ryland Mortgage
7.179% due 11/30/22+ 2,000,000 2,035,312
14.000% due 11/25/31+ 131,987 146,506
Sears Mortgage
8.720% due 05/25/32+ 112,398 116,157
-----------
Total Other Asset-Backed Securities
(Cost $2,457,812) 2,497,082
-----------
U.S. TREASURY NOTES -- 0.38%
3.875% due 08/31/95** 90,000 89,733
9.125% due 05/15/99 230,000 254,580
-----------
Total U.S. Treasury Notes
(Cost $335,927) 344,313
-----------
U.S. TREASURY STRIPPED -- 0.44%
0.000% due 08/15/15* 1,600,000 402,384
-----------
Total U.S. Treasury Stripped
(Cost $315,864) 402,384
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
** SECURITIES HAVE BEEN SEGREGATED WITH THE CUSTODIAN TO COVER MARGIN
REQUIREMENTS FOR OPEN FUTURE CONTRACTS AS OF JUNE 30, 1995.
A-40
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENT (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- ----------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
FOREIGN GOVERNMENT - 6.71 % KFW International Financial
5.950% due 07/07/95 $1,300,000 $ 1,298,711
Bundes Republic 5.970% due 07/13/95 500,000 499,005
6.250% due 01/04/24 $ 10,000,000 $ 6,126,582 Kimberley Clark Corp
-----------
5.870% due 08/25/95 900,000 891,929
Total Foreign Government Minnesota Mining & Manufacturing
(Cost $ 6,234,419) 6,126,582 5.910% due 07/10/95 400,000 399,409
-----------
Motorola Inc
Total Investments in Securities 6.010% due 07/11/95 500,000 499,165
at Market Value (Cost $49,150,481) 50,003,521 National Rural Utilities
-----------
5.770% due 08/11/95 700,000 695,400
Value 5.840% due 10/03/95 300,000 295,282
-----
5.850% due 09/11/95 700,000 691,411
COMMERCIAL PAPER - 44.16 % 5.950% due 07/05/95 1,500,000 1,499,008
Ontario Hydro
Abbot Laboratories 5.910% due 08/21/95 3,000,000 2,974,882
5.940% due 07/10/95 1,300,000 1,298,070 Pitney Bowes Inc
American Information Technology 5.890% due 08/15/95 1,600,000 1,588,220
6.400% due 07/28/95 1,500,000 1,492,799 6.000% due 07/10/95 1,000,000 998,500
AT&T Corp Proctor and Gamble
5.860% due 07/20/95 800,000 797,526 5.960% due 07/12/95 300,000 299,454
5.950% due 07/21/95 900,000 897,025 Province of Alberta
5.900% due 08/11/95 1,000,000 993,281 5.900% due 07/10/95 3,500,000 3,494,838
6.170% due 08/31/95 1,100,000 1,088,500 Province of Ontario
Canadian Wheat Board 6.000% due 08/01/95 1,300,000 1,293,283
5.790% due 10/03/95 900,000 885,845 Raytheon Co
5.900% due 07/19/95 1,000,000 997,050 5.940% due 07/11/95 1,000,000 998,350
Cheveron 5.970% due 07/11/95 1,100,000 1,098,176
5.920% due 07/13/95 3,300,000 3,293,488 U.S. West Communications
du Pont (EI) de Nemours 5.960% due 08/17/95 800,000 793,775
5.900% due 08/04/95 4,000,000 3,977,711 Warner Lambert Co
Electricite De France 5.860% due 07/19/95 900,000 897,363
----------
5.840% due 09/01/95 1,500,000 1,484,368
Export Development Total Commercial Paper 40,303,124
----------
5.950% due 07/14/95 200,000 199,570
FHLMC
5.910% due 07/20/95 500,000 498,440
General Electric Capital
6.100% due 08/03/95 1,200,000 1,193,290
</TABLE>
A-41
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - 1.03%
5.400% due 11/16/95** $ 20,000 $ 19,588
5.540% due 10/26/95** 20,000 19,654
5.550% due 10/26/95** 40,000 39,308
5.570% due 10/26/95** 95,000 93,356
5.600% due 10/26/95** 40,000 39,308
5.600% due 10/26/95** 180,000 176,884
5.600% due 10/26/95** 25,000 24,484
5.600% due 10/26/95** 80,000 78,615
5.600% due 10/26/95** 80,000 78,615
5.600% due 10/26/95** 25,000 24,453
5.600% due 10/26/95** 50,000 48,900
5.600% due 10/26/95** 70,000 68,553
5.600% due 10/26/95** 55,000 53,863
5.600% due 10/26/95** 10,000 9,792
5.600% due 10/26/95** 170,000 166,488
------------
Total U.S. Treasury Bills 941,861
------------
TIME DEPOSITS - 0.01%
State Street Bank and Trust
4.900% due 07/03/95 7,000 7,000
------------
Total Time Deposits 7,000
------------
Total Short-Term Investments
at Amortized Value 41,251,985
------------
TOTAL MANAGED BOND PORTFOLIO
(COST $90,402,425) $ 91,255,506
============
</TABLE>
**SECURITIES HAVE BEEN SEGREGATEED WITH THE CUSTODIAN TO COVER
MARGIN REQUIREMENTS FOR OPEN FUTURE CONTRACTS AS OF
JUNE 30,1995.
A-42
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 1.73%
FINANCIAL & BUSINESS SERVICES - 1.73%
Federal Farm Credit Bank
8.650% due 10/01/99 $ 530,000 $ 577,287
International American Dev Bank
9.450% due 09/15/98 100,000 109,244
----------
Total Corporate Bonds & Notes
(Cost $626,324) 686,531
----------
MORTGAGE-BACKED SECURITIES - 23.34%
COLLATERALIZED MORTGAGE OBLIGATIONS - 12.93%
Citibank 1988-2
8.000% due 07/25/18+ 26,335 26,565
Countrywide
6.609% due 02/25/24+ 830,351 828,145
6.747% due 11/25/24+ 912,184 933,136
GE Capital Mortgage
6.500% due 04/25/24 871,480 866,992
Residential Funding Mortgage
6.150% due 03/25/25+ 729,201 761,673
Resolution Trust Corp
7.500% due 08/25/23+ 163,100 160,373
8.000% due 04/25/25+ 1,500,000 1,560,704
----------
5,137,588
----------
FEDERAL HOUSING AUTHORITY - 1.69%
6.750% due 02/01/08 7,919 7,750
7.400% due 07/25/19+ 468,631 478,882
7.430% due 07/01/21 181,987 185,136
----------
671,768
----------
<CAPTION>
- -----------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
FEDERAL HOME LOAN MORTGAGE CORPORATION - 4.55%
6.000% due 03/01/24 $ 136,099 $ 127,549
6.000% due 04/01/24 722,666 677,268
6.000% due 04/01/24 828,479 776,434
6.000% due 04/01/24+ 244,085 228,751
----------
1,810,002
----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.64%
5.752% due 10/01/23 633,091 653,071
----------
653,071
----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.53%
6.500% due 09/20/23 227,164 230,749
6.500% due 05/20/23 441,495 449,773
9.750% due 04/15/98 26,054 27,040
9.000% due 01/15/17 282,383 296,590
----------
1,004,152
----------
Total Mortgage-Backed Securities
(Cost $8,869,219) 9,276,581
----------
OTHER ASSET-BACKED SECURITIES - 1.20%
Greenwich Capital Mortgage
7.648% due 01/25/22+ 158,340 156,953
Imperial Savings & Loan
9.803% due 07/25/17+ 30,149 31,468
9.900% due 02/25/18+ 89,972 94,471
Ryland Mortgage
5.000% due 11/25/31+ 207,686 192,435
----------
Total Other Asset-Backed Securities
(Cost $472,966) 475,327
----------
</TABLE>
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
A-43
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
STRIPPED MORTGAGE-BACKED SECURITIES-0.83%
FHLMC (IO)
6.500% due 09/15/18+ $ 2,578,703 $ 331,600
-----------
Total Stripped Mortgage-Backed Securities
(Cost $360,426) 331,600
-----------
U.S. TREASURY NOTES-6.59%
3.875% due 08/31/95** 30,000 29,910
6.875% due 03/31/00 2,500,000 2,587,500
-----------
Total U.S. Treasury Notes
(Cost $2,625,460) 2,617,410
-----------
FOREIGN GOVERNMENT-6.17%
GERMANY-6.17%
Bundes Republic
6.250% due 01/04/24 40,000 2,450,633
-----------
Total Foreign Government (Cost $2,493,767) 2,450,633
-----------
Total Investments in Securities
at Market Value (Cost $15,448,162) 15,838,082
-----------
<CAPTION>
- -------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 57.39%
Campbell Soup Co
6.480% due 10/26/95 $ 700,000 $ 685,258
duPont (EI) deNemours
5.910% due 08/04/95 600,000 596,651
Equitable Resources Inc
5.960% due 07/21/95 1,500,000 1,495,033
FHLMC
5.840% due 07/05/95 1,200,000 1,199,221
5.860% due 07/17/95 1,400,000 1,396,354
5.910% due 07/20/95 10,400,000 10,367,561
FNMA
5.890% due 07/21/95 500,000 498,364
General Electric Capital
5.950% due 07/20/95 200,000 199,372
6.070% due 07/12/95 500,000 499,073
Hershey Foods Corp
5.860% due 09/01/95 1,500,000 1,484,439
Minnesota Mining & Manufacturing
5.910% due 07/10/95 200,000 199,705
Motorola Inc
6.010% due 07/11/95 500,000 499,165
Raytheon Co
5.940% due 07/11/95 1,200,000 1,198,020
U.S. West Capital Funding
6.060% due 07/06/95 300,000 299,748
U.S. West Communications
5.950% due 07/20/95 200,000 199,372
5.950% due 07/20/95 500,000 498,430
Wisconsin Electric Power Co
5.920% due 07/21/95 1,500,000 1,495,067
-----------
Total Commercial Paper 22,810,833
-----------
</TABLE>
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
**SECURITIES HAVE BEEN SEGREGATED WITH THE CUSTODIAN TO COVER
MARGIN REQUIREMENT FOR OPEN FUTURE CONTRACTS AS OF JUNE 30, 1995.
A-44
<PAGE>
PACIFIC SELECT FUND
GOEVRNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30,1995 (UNAUDITED)
- --------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
U.S TREASURY BILLS - 1.05%
<S> <C> <C>
5.540% due 10/26/95** $ 15,000 $ 14,740
5.580% due 10/26/95** 25,000 24,567
5.590% due 10/26/95** 15,000 14,740
5.630% due 10/26/95** 130,000 127,750
5.630% due 11/16/95** 15,000 14,690
5.700% due 07/27/95** 45,000 44,843
5.700% due 10/26/95** 10,000 9,828
5.750% due 07/27/95** 25,000 24,895
5.750% due 11/16/95** 35,000 34,276
5.830% due 11/16/95** 30,000 29,380
6.135% due 11/16/95** 80,000 78,348
------------
Total U.S. Treasury Bills 418,057
------------
TIME DEPOSITS - 1.70%
State Street Bank and Trust
4.900% due 07/03/95 677,000 677,000
------------
Total Time Deposits 677,000
------------
Total Short-Term Investments
at Amortize Value 23,905,890
------------
TOTAL GOVERNMENT SECURITIES
PORTFOLIO (COST $39,353.802) $ 39,743,972
============
</TABLE>
**Securities have been segregated with the custodian to
cover margin requirement for open future contracts as
of June 30, 1995.
A-45
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------- ---------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES-84.57% Host Marriott Travel Plaza~
9.500% due 05/15/05 $ 1,000,000 $ 957,500
CAPITAL GOODS -6.41% MGM Grand Hotels
12.000% due 05/01/02 1,000,000 1,112,500
Earle M. Jorgensen Panamsat L.P.
10.750% due 03/01/00 $ 1,000,000 $ 960,000 9.750% due 08/01/00 1,000,000 1,020,000
International Semi-Tech* Pathmark Stores
0.000% due 08/15/03 2,000,000 990,000 9.625% due 05/01/03 1,000,000 975,000
Protea Investment Limited FRN Revco Drug Stores Inc
7.500% due 04/30/98 428,571 415,714 9.125% due 01/15/00 500,000 522,500
Westinghouse Air Brake Rogers Cablesystems Limited
9.375% due 06/15/05 500,000 508,750 9,625% due 08/01/02 500,000 503,750
-----------
2,874,464
-----------
Rogers Communications~
10.000% due 03/15/05 1,000,000 1,027,500
CONSUMER DISCRETIONARY-44.43% Royal Caribbean Cruises
11.375% due 05/15/02 500,000 547,500
Aztar Corp SCI Television
11.000% due 10/01/02 1,000,000 995,000 11.000% due 06/30/05 500,000 522,500
Boyd Gaming Corp Showboat Inc
10.750% due 09/01/03 1,000,000 1,030,000 13.000% due 08/01/09 500,000 515,000
Casino America Tultex Corp
11.500% due 11/15/01 1,000,000 1,000,000 10.625% due 03/15/05 1,000,000 1,020,000
Comcast Cellular* Viacom International
0.000% due 03/05/00 1,500,000 1,055,625 10.250% due 09/15/01 1,000,000 1,105,000
Day International Group Videotron Ltee
11.125% due 06/01/05 500,000 502,500 10.250% due 10/15/02 500,000 520,000
-----------
19,938,125
-----------
Embassy Suites
8.750% due 03/15/00 1,000,000 1,005,000
Empress Riverboat Casino CONSUMER STAPLES-11.03%
10.750% due 03/15/00 1,000,000 1,000,000
Ethan Allen Inc ARA Group Inc
8.750% due 03/15/01 1,000,000 1,015,000 8.500% due 06/01/03 300,000 307,500
Granite Broadcasting~ ARA Services Inc
10.375% due 05/15/05 500,000 500,000 10.625% due 08/01/00 200,000 222,000
Hammons Hotels (John Q.) Chiquita Brands
8.875% due 02/15/04 1,000,000 955,000 9.125% due 03/01/04 500,000 485,000
Hook-Superx Inc Dominick's FIner Foods~
10.125% due 06/01/02 500,000 531,250 10.875% due 05/01/05 1,000,000 1,015,000
Penn Traffic Co
* NON-INCOME PRODUCING SECURITIES. 10,650% due 11/01/04 500,000 520,000
~ PURCHASED IN A PRIVATE PLACEMENT TRANSACTION; RESALE TO
THE PUBLIC MAY REQUIRE REGISTRATION.
</TABLE>
A-46
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------- ------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
CONSUMER STAPLES - (CONTINUED) MATERIALS & PROCESSING - 4.54%
Ralph's Grocery Corp Bell & Howell Co
11.000% due 06/15/05 $1,000,000 $ 968,750 9.250% due 07/15/00 $ 500,000 $ 500,000
Sequa Corp Owens-Illinois
8.1750% due 12/15/01 300,000 282,000 10.250% due 04/01/99 500,000 510,000
Southland Corp USG Corp
5.000% due 12/15/03 1,500,000 1,147,500 9.250% due 09/15/01 1,000,000 1,025,000
---------- -----------
4,947,750 $ 2,035,000
---------- -----------
ENERGY - 4.43% TRANSPORTATION - 2.26%
Columbia Gas System Mtn Santa Fe Pacific
9.860% due 06/15/05 1,000,000 1,470,000 8.375% due 07/01/05 500,000 498,124
Louis Dreyfus Natural Gas Southern Pacific Rail Corp
9.250% due 06/15/04 500,000 520,000 9.375% due 08/15/05 500,000 513,750
---------- -----------
1,990,000 1,011,874
---------- -----------
FINANCIAL & BUSINESS SERVICES - 1.08% UTILITIES - 4.59%
Salomon Inc. Mtn Amerigas Partners L.P.
7.240% due 05/27/03 250,000 243,125 10.125% due 04/15/07 500,000 520,000
6.100% due 06/15/00 250,000 239,688 El Paso Electric Co
----------
482,813 9.000% due 11/01/04 500,000 506,250
----------
Ferrellgas Financial Corp 'A'
HEALTH CARE - 5.80% 10.000% due 08/01/01 1,000,000 1,035,000
-----------
2,061,250
-----------
Genesis Health Care
9.750% due 06/15/05 500,000 503,750 Total Corporate Bonds & Notes
National Medical Enterprises (Cost $37,106,642) 37,945,651
-----------
10.125% due 03/01/05 500,000 528,125
9.625% due 09/01/02 500,000 527,500
Phoenix Re Corp
9.750% due 08/15/03 1,000,000 1,045,000 CONVERTIBLE BONDS-7.39%
----------
2,604,375
----------
CONSUMER STAPLES-0.96%
Chiquita Brands International Inc-
7.000% due 03/28/01 500,000 432,500
-----------
432,500
-----------
</TABLE>
~ Purchased in a private placement transaction; resale to
the public may require registration.
A-47
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------- ----------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
FINANCIAL & BUSINESS SERVICES - 3.31% COMMERCIAL PAPER - 4.45%
Henderson Capital Ford Motor Credit
4.500% due 10/27/96 $ 1,000,000 $ 1,000,000 6.020% due 07/06/95 $ 500,000 $ 499,581
PIV Investment Finance Hyundai Motor Finance Co
4.500% due 12/01/00 600,000 484,500 6.050% due 07/07/95 1,000,000 998,992
------------
1,484,500 Oklahoma Gas & Electric
------------
ENERGY - 1.13% 6.000% due 07/07/95 500,000 499,500
------------
AES Corp Total Commercial Paper 1,998,073
------------
9.750% due 06/15/00 500,000 507,500
------------
507,500
------------
HEALTH CARE - 0.98% TIME DEPOSITS - 1.43%
Amsco International Inc State Street Bank and Trust
4.500% due 10/15/02 500,000 439,376 4.900% due 07/03/95 643,000 643,000
------------ ------------
439,376
------------ Total Time Deposits 643,000
------------
MATERIALS & PROCESSING - 1.01%
FMC Corp Euro Total Short-Term Investments
6.570% due 01/16/05 500,000 452,500 at Amortized Value 2,641,073
------------ ------------
452,500
------------
Total Convertible Bonds TOTAL HIGH YIELD BOND PORTFOLIO
(Cost $3,132,044) 3,316,376 (COST $43,852,925) $ 44,874,350
------------ ============
FOREIGN BONDS - 2.16%
NETHERLANDS - 2.16%
GPA Holland Mtn~
9.940% due 07/26/96 1,000,000 971,250
------------
Total Foreign Bonds(Cost $973,166) 971,250
------------
Total Investment in Securities
at Market Value(Cost $41,211,852) 42,233,277
------------
</TABLE>
~ PURCHASED IN A PRIVATE PLACEMENT TRANSACTION; RESALE TO
THE PUBLIC MAY REQUIRE REGISTRATION.
A-48
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Market Market
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
COMMON STOCKS-91.64% NY Magic 28,000 $ 444,500
Oil Dri America 'A' 33,000 490,875
CAPITAL GOODS-3.86% Paragon Trafe Brands * 35,000 503,125
Picturetel Corp * 15,000 721,875
Allegheny Ludlum corp 40,000 $ 790,000 RPM Inc 34,000 675,750
Bearings Inc 20,000 612,500 Scotts Co * 49,000 1,071,875
Granite Construction 16,000 356,000 Scripps EW Communications 'A' 23,400 754,650
Jacobs Engineering Group * 30,000 660,000 Shopko Stores Inc. 67,000 720,250
Payless cashways * 53,000 337,875 Sizzler International Inc 41,800 266,475
Schuler Homes Inc * 61,900 758,275 Spelling Entertainment Group 67,000 653,250
Tecumesh Products Co 'A' 12,000 528,000 Standard Products 47,600 1,035,300
Valspar Corp 7,000 265,125 Strounds Inc * 77,000 462,000
-----------
4,307,775 TCA Cable TV 36,000 972,000
-----------
Turner Broadcast Systems 'B' 70,000 1,435,000
CONSUMER DISCRETIONARY-34.09% Tyco Toys Inc 115,700 795,438
U.S.Industries Inc * 75,000 1,021,875
ACS Enterprises Inc 55,000 1,003,750 Williams-Sonoma * 50,000 1,100,000
Adelphia Communications * 53,000 463,750 WMS Industries * 50,000 981,250
Aspect Telecommunications * 17,900 801,025 Young Broadcasting Corp 'A' * 73,000 2,025,750
----------
Banta Corp 35,000 1,163,750 37,987,764
----------
Buffets Inc * 4,000 55,000
Bush Industries 'A' n 50,300 565,875 CONSUMER STAPLES-2.64%
Cablevision Systems 'A' * 13,000 828,750
Cole National Corp * 48,300 501,112 Giant Foods Inc 19,000 539,125
Consolidated Stores * 67,000 1,398,625 Read-Rite Corp * 62,500 1,671,875
DMX Inc * 142,000 359,445 Topps Company(The) 117,000 731,250
----------
Duracraft Corp * 6,800 181,900 2,942,250
----------
Duty Free International Inc 90,000 787,500
FoodMaker Inc * 125,000 687,500 ENERGY - 7.37%
Gaylord Entertainment 'A' 87,150 2,200,538
International Family Entertainment 'B' * 57,000 897,750 California Energy * 35,000 573,125
Jacor Communications * 55,000 880,000 Coflexip * 52,752 1,440,082
Jones Apparel Group Inc * 37,000 1,105,375 Diamond Shamrock Inc 32,000 824,000
Jones Intercable 'A' * 43,600 654,000 Energy Biosystems Corp * 77,000 365,750
Libbey Inc 52,000 1,079,000 Enron Global Power & Pipeline 37,900 900,125
Lojack Corp * 155,700 1,722,431 Global Marine Inc * 155,000 891,250
Media General 'A' 26,000 793,000 HS Resources * 17,200 240,800
Meyer Fred Inc * 41,000 1,112,125 Parker/Parsley Petroleum 65,000 1,275,625
New World Communications Group * 51,800 1,081,325 San Juan Basin Realty Trust 135,000 810,000
Nine West Group * 42,000 1,533,000 Vastar Resources Inc 28,800 889,200
----------
8,209,957
----------
</TABLE>
* Non-income producing securities.
A-49
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------- ----------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
FINANCIAL & BUSINESS SERVICES - 16.26% Southdown Inc 53,000 $ 1,013,625
Taubman Centers 80,000 760,000
Air & Water Technical Corp * 30,300 $ 170,438 Walbro Corp 34,000 612,000
------------
American Re Corp * 20,000 745,000 6,172,199
------------
Bancorp Hawaii 28,900 867,000
Charter One Financial 50,000 1,225,000 TECHNOLOGY - 12.76%
City National Corp 125,237 1,424,571
Enhance Finical Service Corp 31,000 600,625 AST Research * 50,000 757,000
First American Financial 25,500 589,688 Caraustar Industries Inc. 59,000 1,062,000
First Financial Corp 38,900 680,750 C-Cor Electronics * 35,900 987,250
First Midwest Bancorp 34,900 861,594 Cirrus Logic Inc * 12,000 752,250
First Republic Bancorp Inc 36,070 459,892 Corel Corp * 39,900 688,275
Harleysville Group Inc 25,000 625,000 Electronic Arts Inc * 61,000 1,654,625
Hiberia Corp 84,600 750,825 Landmark Graphics Corp * 29,500 752,250
Jefferies Group 8,900 320,401 Micro Linnear Corp * 40,000 65,000
Keystone Financial 24,000 676,500 Microchip Technical Inc * 30,750 1,118,531
Mercantile Bancshares Corp 51,000 1,147,500 Multimedia Inc * 25,000 968,750
NAC Re Corp 41,400 1,288,575 Ortel Corp * 8,300 124,500
Paul Revere Corp 55,000 935,000 Speedway Motorsports Inc * 45,000 973,125
Price Reit Inc 'B' 28,400 848,450 Stratus Computer * 28,000 868,000
Reinsurance Group of America 25,000 715,625 Symantec Corp * 55,000 1,584,688
St Paul Bancorp Inc 32,900 736,137 Vanguard Cellular System * 52,500 1,260,000
------------
Standard Financial Bank 32,600 1,096,175 14,219,244
------------
Vallicorp Holdings Inc 40,000 640,000 TRANSPORTATION - 4.71%
Walker Interactive Systems * 50,000 287,500
Waste Mgmt International PLC ADR * 45,000 427,500 Echlin Inc 35,000 1,216,250
-----------
18,119,746 Lear Seating Corp * 66,000 1,509,750
-----------
Overseas Shipholding Group 33,200 688,900
Team Rental Group Inc * 60,000 435,000
HEALTH CARE - 1.39% TNT Freightways Corp 30,000 596,250
Werner Enterprises 40,000 800,000
------------
ADT Limited 70,000 822,500 5,246,150
------------
Owens & Minor Inc 58,100 726,250
-----------
1,548,750
-----------
UTILITIES - 3.02%
MATERIALS & PROCESSING - 5.54%
Bell Atlantic Corp 111 6,215
Hannaford Brothers Co 12,900 367,650 Cellular Communication * 3,000 136,500
Lindsay Manufacturing Co * 25,500 886,125 Octel Communications * 66,000 1,930,500
Medusa Corp 37,000 920,374 Rogers Cantel Mobile 30,000 712,500
Pentair Inc 27,800 1,209,301 Telephone/Data Systems 16,000 582,000
------------
Safety Kleen Corp 25,000 403,124 3,367,715
------------
Total Common Stocks (Cost $95,802,381) 102,121,550
------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES
A-50
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.22%
Trenwick Group
6.000% due 12/15/99 $ 240,000 $ 241,800
--------------
241,800
--------------
Total Corporate Bonds & Notes
(Cost $240,000) 241,800
--------------
Total Investments in Securities
at Market Value (Cost $96,042,381) 102,363,350
--------------
COMMERCIAL PAPER - 4.74%
Federal Home Loan Bank
5.800% due 07/12/95 1,300,000 1,297,696
5.860% due 07/10/95 1,000,000 998,535
FNMA
5.870% due 07/27/95 3,000,000 2,987,282
--------------
Total Commercial Paper 5,283,513
--------------
TIME DEPOSITS - 3.40%
State Street Bank and Trust
4.900% due 07/03/95 3,795,000 3,795,000
--------------
Total Time Deposits 3,795,000
--------------
Total Short-Term Investments
at Amortized Value 9,078,513
--------------
TOTAL GROWTH PORTFOLIO
(COST $105,120,894) $ 111,441,863
==============
</TABLE>
A-51
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 97.70%
CAPITAL GOODS - 10.57%
Allied Signal Inc 56,400 $ 2,509,800
Caterpillar Inc 3,000 192,750
Coltec Industries * 72,100 1,234,725
Cooper Industries Inc 40,600 1,603,700
Grainger (W.W.) Inc 17,800 1,045,750
Northrop Corp 8,500 443,063
Sunstrand Corp 53,600 3,202,600
Tele Communications * 88,000 2,062,500
Tyco Laboratories 21,000 1,134,000
-------------
13,437,888
-------------
CONSUMER DISCRETIONARY - 25.00%
American Home Products 4,000 309,500
Avon Products Inc 22,600 1,514,200
Bausch & Lomb Inc 54,600 2,265,900
CBS Inc 34,300 2,298,100
Circus Circus Enterprise Inc * 46,200 1,628,550
Cox Communications 36,900 714,938
General Electric 47,500 2,677,813
General Mills Inc 21,700 1,114,838
Interco Inc * 45,700 268,488
International Game Technology 112,900 1,735,838
MCI Communications Corp 94,800 2,085,600
Melville Corp 53,550 1,834,088
Motorola 15,600 1,047,150
Nordstrom Inc 21,300 881,288
Penny (J.C.) Inc 36,800 1,766,400
Procter & Gamble 26,600 1,911,875
Service Corp International 67,400 2,131,525
TJX Cos Inc 94,200 1,248,150
Wal-Mart Stores Inc 77,600 2,075,800
Warner Lambert Co 11,100 958,763
Wellman Inc 47,800 1,308,525
-------------
31,777,329
-------------
CONSUMER STAPLES - 6.68%
Anheuser Busch 28,600 $ 1,626,625
Archer-Daniel Midland 8,268 153,992
Coca-Cola 13,800 879,750
Kellog Co 20,600 1,470,325
PepsiCo Inc 38,600 1,761,125
Philip Morris Co Inc 35,000 2,603,125
-------------
8,494,942
-------------
ENERGY - 10.17%
Anadarko Petroleum 17,400 750,375
Ashland Oil Inc 46,300 1,626,288
Central & South West 6,000 157,500
Dresser Industries Inc 12,500 278,125
duPont (EI) deNemours 9,800 673,750
Exxon Corp 17,300 1,221,813
Mobil Corp 22,400 2,150,400
Royal Dutch Petroleum Guild 19,200 2,340,000
Sun Company Inc 17,800 487,275
Texaco Inc 18,200 1,194,375
Ultramar Corp 16,000 404,000
Wheelabrator Technologies 106,900 1,643,587
-------------
12,927,488
-------------
FINANCIAL & BUSINESS SERVICES - 14.20%
Ahmanson (H.F.) & Co 37,700 829,400
Ambac Inc 28,100 1,127,513
BankAmerica Corp 38,800 2,041,850
Cinergy Corp 11,100 291,375
Dean Witter Discover & Co 12,200 573,400
Domininion Resources Inc 21,000 766,500
First Union Corp 26,900 1,217,225
Firstar Corp 34,900 1,173,513
Fleet Financial Group Inc 37,700 1,399,613
ITT Corp 27,500 3,231,250
Keycorp 2,000 62,750
Mellon Bank Corp 7,350 305,944
NationsBank Corp 35,800 1,919,775
Pacific Telesis 41,800 1,118,150
Paine Webber Group Inc 22,150 418,081
Providian Corp 43,200 1,566,000
-------------
18,042,339
-------------
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-52
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
HEALTH CARE - 4.59%
Columbia/HCA Health Care 36,580 $ 1,582,084
Health Care & Retirement * 46,500 1,360,124
Humana Inc 96,800 1,706,100
Lilly (Eli) & Co 15,100 1,185,350
-------------
5,833,658
-------------
MATERIALS & PROCESSING - 6.53%
Aluminum Company of America 30,600 1,533,824
Crown Cork & Seal * 11,100 556,387
First Colony Corp 86,000 2,064,000
Freeport McMoran 17,000 299,624
Freeport McMoran 'A' 44,169 910,986
Monsanto Co 5,000 450,624
Phelps Dodge Corp 21,700 1,280,300
Union Carbide Corp 36,200 1,208,174
-------------
8,303,919
-------------
TECHNOLOGY - 8.22%
Adobe Systems Inc 29,400 1,705,200
Bay Networks Inc 62,800 2,598,350
Compaq Computer Corp * 4,500 204,188
Harris Corp 34,300 1,770,738
IBM Corp 90,400 902,400
Novell Inc * 54,600 1,088,588
Quantum Corp * 23,000 526,124
Symbol Technologies * 43,000 1,650,124
-------------
10,445,712
-------------
TRANSPORTATION - 6.77%
Canadian Pacific Limited 75,000 1,306,600
Cooper Tire & Rubber Corp 40,400 984,750
General Motors Corp 60,400 2,831,250
Goodyear Tire & Rubber 3,500 144,374
Union Pacific Corp 31,000 1,716,625
U.S. West Inc 38,800 1,615,050
-------------
8,598,649
-------------
UTILITIES - 4.97%
Allegheny Power Systems 31,500 740,250
AT&T Corp 35,900 1,907,188
Bell Atlantic Corp 5,000 280,000
Bell South 19,600 1,244,600
FPL Group Inc 10,000 386,250
New England Electric Systems 6,000 207,000
SBC Communications 7,000 333,375
Southern Co 15,000 335,625
Western Resources 28,500 879,938
-------------
6,314,226
-------------
Total Common Stocks (Cost $114,312,706) 124,176,150
-------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - 1.02%
5.590% due 08/03/95 $ 1,302,000 1,296,115
-------------
Total U.S. Treasury Bills 1,296,115
-------------
TIME DEPOSITS - 1.28%
State Street Bank and Trust
4.900% due 07/03/95 1,620,053 1,620,053
-------------
Total Time Deposits 1,620,053
-------------
Total Short-Term Investments
at Amortized Value 2,916,168
-------------
TOTAL EQUITY INCOME PORTFOLIO
(COST $117,228,088) $ 127,092,318
=============
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-53
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 57.97%
Capital Goods - 5.48%
Allegheny Power Systems 13,900 $ 326,650
Allied Signal Inc 26,400 1,174,800
Coltec Industries * 38,000 655,500
Emerson Electric Co 600 42,900
Grainger (W.W.) Inc 8,100 475,875
Sunstrand Corp 23,800 1,422,050
Tele Communications Inc * 39,900 935,156
Tyco Laboratories 9,700 523,800
--------------
5,556,731
--------------
CONSUMER DISCRETIONARY - 15.22%
American Home Products 800 61,900
Avon Products Inc 10,400 696,800
Bausch & Lomb Inc 24,400 1,012,600
CBS Inc 16,500 1,105,500
Circus Circus Enterprise Inc * 18,700 659,175
Cooper Industries Inc 17,900 707,050
Cox Communications 17,000 329,375
Darden Restaurants * 1,400 15,225
General Electric 19,100 1,076,762
General Mills Inc 8,000 411,000
Home Depot Inc 2,800 113,750
Interco Inc * 22,800 133,950
International Game Technology 51,200 787,200
Liz Claiborne Inc 2,400 51,000
MCI Communications Corp 49,100 1,080,200
Melville Corp 24,100 825,425
Motorola Inc 8,100 543,712
Nordstrom Inc 10,000 413,750
Penny (J.C.) Inc 15,000 720,000
Procter & Gamble 10,100 725,938
Service Corp International 31,700 1,002,512
TJX Cos Inc 37,000 490,250
Wal-Mart Stores Inc 41,000 1,096,750
Walt Disney Productions 3,100 172,438
Warner Lambert Co. 6,300 544,162
Wellman Inc 23,800 651,525
--------------
15,427,949
--------------
CONSUMER STAPLES - 4.08%
Anheuser Busch 9,100 517,562
Archer-Daniel Midland 4,725 88,003
Campbell Soup Co 2,200 107,800
Coca-Cola 9,200 586,500
CPC International Inc 900 55,575
Kellog Co 9,300 663,788
PepsiCo Inc 19,400 885,125
Philip Morris Co Inc 14,600 1,085,875
Sara Lee Corp 5,100 145,350
--------------
4,135,578
--------------
ENERGY - 5.43%
Anadarko Petroleum 8,200 353,625
Ashland Oil Inc 22,100 776,262
Chevron Corp 2,200 102,575
duPont (EI) deNemours 5,700 391,875
Exxon Corp 9,900 699,188
Mobil Corp 12,000 1,152,000
Royal Dutch Petroleum Guild 9,500 1,157,812
Sun Company Inc 8,200 224,475
Texaco Inc 9,800 643,125
--------------
5,500,937
--------------
FINANCIAL & BUSINESS SERVICES - 9.54%
Ahmanson (H.F.) & Co 19,700 433,400
Ambac Inc 10,300 413,288
American International Group 1,100 125,400
BankAmerica Corp 19,700 1,036,712
Dean Witter Discover & Co 5,600 263,200
Domininion Resources Inc 9,700 354,050
FNMA 1,800 169,875
First Colony Corp 39,400 945,600
First Union Corp 14,100 638,025
Firstar Corp 17,300 581,712
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-54
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL & BUSINESS SERVICES - (CONTINUED)
Fleet Financial Group Inc 18,000 $ 668,250
ITT Corp 13,100 1,539,250
NationsBank Corp 16,900 906,262
Pacific Telesis 21,300 569,775
Providian Corp 21,400 775,750
St Paul Cos Inc 1,400 68,950
USLIFE Corp 4,400 177,100
--------------
9,666,599
--------------
HEALTH CARE - 2.95%
Abbott Laboratories 3,700 149,850
Baxter International Inc 1,500 54,562
Columbia/HCA Health Care 15,400 666,050
Health Care & Retirement * 24,100 704,925
Humana Inc 39,100 689,138
Lilly (Eli) & Co 6,900 541,650
Merck & Co Inc 3,800 186,200
--------------
2,992,375
--------------
MATERIALS & PROCESSING - 3.05%
Aluminum Company of America 14,500 726,812
Clorox Co 1,400 91,350
Crown Cork & Seal * 7,300 365,912
Freeport McMoran 7,900 139,238
Freeport McMoran Copper 'A' 22,869 471,673
International Paper 800 68,600
Nucor Corp 700 37,450
Phelps Dodge Corp 9,500 560,500
Union Carbide Corp 17,500 584,062
Worthington Industries Inc 1,950 39,853
--------------
3,085,450
--------------
TECHNOLOGY - 5.54%
Adobe Systems Inc. 14,500 841,000
Bay Networks Inc * 27,800 1,150,225
Compaq Computer Corp * 2,700 122,512
Harris Corp 14,200 733,075
IBM Corp 4,300 412,800
Novell Inc * 27,300 544,294
Quantum Corp * 12,100 276,788
Symbol Technologies * 18,700 717,612
Wheelabrator Technologie 52,800 811,800
--------------
5,610,106
--------------
TRANSPORTATION - 3.66%
Canadian Pacific Limited 34,200 594,225
Cooper Tire & Rubber Corp 20,200 492,375
General Motors Corp 25,400 1,190,625
Ryder Systems Inc 1,100 26,262
Union Pacific Corp 14,400 797,400
U.S. West Inc 14,600 607,725
--------------
3,708,612
--------------
UTILITIES - 3.02%
American Electric Power inc 1,300 45,662
Ameritech Corp 1,700 74,800
AT&T Corp 15,000 796,876
Baltimore Gas & Electric 1,900 47,500
Bell Atlantic Corp 800 44,800
Bell South 9,900 628,650
FPL Group Inc. 1,200 46,350
Houston Industry Inc 1,300 54,763
Pacific Gas & Electric 2,000 58,000
Public Service of Colorado 13,100 425,750
SBC Communications 3,100 147,638
Southern Co 3,000 67,126
Sprint Corp 1,900 63,889
Western Resources 18,100 558,838
--------------
3,060,642
--------------
Total Common Stocks (Cost $53,651,957) 58,744,979
--------------
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-55
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 19.93%
CONSUMER DISCRETIONARY - 0.43%
Associate Corp. of North America
5.250% due 09/01/98 $ 450,000 $ 434,691
---------------
434,691
---------------
ENERGY - 3.22%
Philip Morris
8.875% due 07/01/96 100,000 102,422
Standard Oil Co.
9.000% due 06/01/19 1,000,000 1,086,890
Texaco Capital
9.000% due 11/15/96 2,000,000 2,071,180
---------------
3,260,492
---------------
FINANCIAL & BUSINESS SERVICES - 8.14%
Chemical Bank
10.125% due 11/01/00 500,000 571,640
Chrysler Financial Corp.
5.625% due 01/15/99 1,000,000 965,250
8.080% due 01/31/97 1,000,000 1,026,410
Comerica Bank
6.750% due 05/12/98 1,000,000 1,011,350
Ford Motor Credit
5.625% due 12/15/98 1,000,000 973,960
8.250% due 05/15/96 500,000 508,350
GMAC
7.850% due 11/17/97 500,000 515,455
8.000% due 10/01/96 500,000 509,510
9.125% due 07/15/01 250,000 276,868
Midland Bank Plc
8.625% due 12/15/04 1,250,000 1,381,925
Saskatchewan
7.125% due 03/15/08 500,000 508,270
---------------
8,248,988
---------------
TECHNOLOGY - 1.38%
Legrand
8.500% due 02/15/25 $ 1,250,000 $ 1,397,012
---------------
1,397,012
---------------
TRANSPORTATION - 1.50%
Union Tank Car
6.500% due 04/15/08 1,599,686 1,524,661
---------------
Utilities - 5.26%
Atlantic City Electric
6.370% due 01/27/98 1,000,000 1,001,710
Pacific Bell Telephone
6.250% due 10/15/34 1,225,000 1,092,136
Pacific Gas & Electric
7.875% due 03/01/02 1,500,000 1,591,530
Hydro Quebec
8.050% due 07/07/24 1,500,000 1,639,395
---------------
5,324,771
---------------
Total Corporate Bonds & Notes
(Cost $19,637,079) 20,190,615
===============
MORTGAGE-BACKED SECURITIES - 6.73%
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.37%
Donald, Lufkin & Jenrette
7.386% due 11/01/24 368,948 377,019
---------------
377,019
---------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.87%
4.750% due 02/15/04 188,896 188,112
7.500% due 01/01/25- 1,700,000 1,702,656
---------------
1,890,768
---------------
</TABLE>
- -FORWARD BUY CONTRACT.
A-56
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.76%
5.500% due 04/25/05 $ 500,000 $ 482,185
6.000% due 12/25/07 892,763 114,943
6.500% due 03/25/24 910,900 738,676
7.000% due 01/01/04 446,725 447,699
-------------
1,783,503
-------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.73%
6.580% due 08/20/22 199,964 203,370
6.500% due 09/20/24 251,066 255,500
6.500% due 06/20/23 221,916 226,077
6.500% due 06/20/21 345,674 349,383
7.000% due 06/15/23 592,334 582,892
7.000% due 06/15/23 138,218 136,015
7.000% due 09/20/24 999,959 1,018,398
-------------
2,771,635
-------------
Total Mortgage-Backed Securities
(Cost $6,798,848) 6,822,925
-------------
OTHER ASSET-BACKED SECURITIES - 0.76%
Sears Credit Account Trust
8.650% due 07/15/98 250,000 255,938
Standard Credit Account Trust
8.000% due 08/07/96 500,000 509,215
-------------
Total Other Asset-Backed Securities
(Cost $757,553) 765,153
-------------
U.S. TREASURY BONDS - 4.64%
10.375% due 11/15/09 3,680,000 4,705,211
-------------
Total U.S. Treasury Bonds
(Cost $4,322,737) 4,705,211
-------------
U.S. TREASURY NOTES - 5.14%
7.750% due 12/31/99 $ 3,890,000 $ 4,153,198
10.375% due 11/15/12 795,000 1,051,515
-------------
Total U.S. Treasury Notes
(Cost $5,137,663) 5,204,713
-------------
Total Investments in Securities
at Market Value (Cost $90,305,838) 96,433,596
-------------
TIME DEPOSITS - 4.83%
State Street Bank and Trust
4.900% due 07/03/95 4,889,482 4,889,482
-------------
Total Time Deposits 4,889,482
-------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $95,195,320) $ 101,323,078
=============
</TABLE>
A-57
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS - 1.21%
Australia - 1.21%
News Corporation Ltd 276,401 $ 1,444,559
-------------
Total Preferred Stocks (Cost $1,076,605) 1,444,559
-------------
CONVERTIBLE PREFERRED STOCKS - 0.01%
HONG KONG - 0.01%
Dairy Farm International Holdings Ltd
6.500% due 5/10/49 12,000 9,120
-------------
Total Convertible Preferred Stock (Cost $12,000) 9,120
-------------
COMMON STOCKS - 87.65%
ARGENTINA - 2.44%
Telefonica De Argentina ADR 82,200 2,034,450
YPF Sociedad Anonima 46,000 868,250
-------------
2,902,700
-------------
AUSTRALIA -3.94%
Alcan Australia Ltd 465,000 838,994
Brambles Industries Ltd 95,000 900,227
Email Ltd 350,000 850,288
National Australian Bank Ltd 130,000 1,026,882
Westpac Banking Corp 300,000 1,084,704
-------------
4,701,095
-------------
AUSTRIA - 1.02%
VA Technolgoie AG- 9,700 $ 1,213,994
-------------
1,213,994
-------------
BELGIUM - 1.70%
Solvay Npv 2,260 1,252,661
Union Miniere Npv* 11,800 772,395
-------------
2,025,056
-------------
BERMUDA - 1.17%
ACE Ltd. 48,000 1,392,000
-------------
1,392,000
-------------
BRAZIL - 1.16%
Telecommunicacoes Brasileiras SA 42,000 1,383,375
-------------
1,383,375
-------------
CANADA - 3.31%
Canadian Imperial Bank of Commerce 60,000 1,442,360
London Insurance Group Inc. 15,000 280,004
Newbridge Networks Corp* 26,000 916,500
Sears Canada Inc. 255,000 1,300,310
-------------
3,939,174
-------------
CHILE - 0.85%
Embotelladora Andina SA ADR 29,000 1,018,625
-------------
1,018,625
-------------
CHINA - 0.81%
Shandong Huaneng Power ADR 75,000 571,875
Shanghai Hai Xing Shipping Co. 1,940,000 396,139
-------------
968,013
-------------
</TABLE>
*NON-INCOME PRODUCING SECURIITES.
~PURCHASED IN A PRIVATE PLACEMENT TRANSACTION;
RESALE TO THE PUBLIC MAY REQUIRE REGISTRATION.
A-58
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
DENMARK - 1.45%
Tele Denmark AS 31,000 $ 1,726,211
---------------
1,726,211
---------------
FINLAND - 3.73%
Amer Group Ltd. 22,500 409,426
Enso-Gutzeit Oy 161,000 1,459,180
Metsa-Serla Oy 28,800 1,281,499
Outokumpu Oy 48,000 798,126
Outokumpu Oy Warrants * 9,400 5,063
Tampella Ab Oy * 193,000 488,150
---------------
4,441,444
---------------
FRANCE - 6.01%
Banque Nationale De Paris 26,076 1,259,658
Cie De Saint Gobain 2,374 287,193
Elf Aquitaine 11,500 851,104
Pechiney International SA 33,000 834,538
Peugeot SA 8,000 1,111,478
Rhone-Poulenc SA 40,800 920,611
Total SA 31,447 1,895,649
---------------
7,160,231
---------------
GERMANY - 4.20%
Bayer AG 1,120 278,441
Bremer Vulkan Verbund AG * 30,000 1,746,835
Veba AG 4,360 1,712,463
Volkswagen AG 4,400 1,268,282
---------------
5,006,021
---------------
GREECE - 0.15%
Ergo Bank Reg Grd 4,000 184,254
---------------
184,254
---------------
HONG KONG - 6.75%
Cheung Kong Holdings Ltd 240,000 1,187,950
Dairy Farm International Holdings Ltd 439,727 378,165
HSBC Holdings PLC 121,068 1,552,916
Hutchison Whampoa Ltd 300,000 1,450,043
Jardine Matheson Holdings 127,386 936,287
Jardine Strategic Holdings Ltd 157,500 507,150
Jardine Strategic Hldgs Ltd Warrants * 17,500 7,700
Peregrine Investments Holdings Ltd 450,000 639,725
Swire Pacific Ltd 160,000 1,220,001
Wharf (Holdings) Ltd 50,000 163,162
---------------
8,043,099
---------------
INDONESIA - 0.55%
PT Barito Pacific Timber * 460,000 660,979
---------------
660,979
---------------
ITALY - 2.37%
Cartiere Burgo SPA 61,920 409,138
Cartiere Burgo SPA Warrants * 29,240 2,576
Telecom Italia Di Risp 880,000 1,862,833
Telecom Italia SPA 114,990 312,010
Unicem Unione Cementi 40,000 238,605
---------------
2,825,162
---------------
JAPAN - 1.43%
Matsushita Electric Industrial Co. 17,000 264,919
Sony Corp 30,000 1,441,473
---------------
1,706,392
---------------
MALAYSIA - 0.19%
Public Bank Bhd 100,000 223,544
---------------
223,544
---------------
MEXICO - 1.51%
Cifra B 685,700 944,961
Herdez Sa De CV Ord 'A' 19,000 5,620
Herdez Sa De CV Ord 'B' 301,000 93,356
Telefonos De Mexico SA ADR 25,600 758,400
---------------
1,802,337
---------------
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-59
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
NETHERLANDS - 8.36%
ABN Amro Holding 45,857 $ 1,771,135
AKZO Nobel Nv 12,000 1,435,381
DSM Nv 6,000 517,342
European Vinyls Corp EVC Int'l * 22,680 1,057,609
Fortis AMEV 10,170 555,038
International Nederlanden Group 20,500 1,134,696
Koninklijke Bijenkorf Beheer 13,050 937,260
Koninklijke PTT Nederlanden 43,105 1,550,700
Philips Electronics Nv 23,620 1,000,757
---------------
9,959,918
---------------
NEW ZEALAND - 1.77%
Brierley Investments Ltd 1,080,000 815,532
Fletcher Challenge Ltd 461,100 1,294,146
---------------
2,109,678
---------------
NORWAY - 3.85%
Aker A/S 100,000 1,339,394
Den Norske Bank 460,000 1,247,179
Hafslund Nycomed As 'B' 49,540 1,146,108
Saga Petroleum As 'B' 65,000 860,054
---------------
4,592,735
---------------
PHILLIPPINES - 0.43%
Filinvest Land Inc 1,761,250 510,307
---------------
510,307
---------------
SINGAPORE - 0.36%
Singapore Press Holdings 28,800 430,866
---------------
430,866
---------------
SPAIN - 6.11%
Banco Popular Espanol 5,200 774,674
Banco Santander SA 30,500 1,205,359
Bankinter SA 2,600 $ 234,554
Empresa Nacional De Electric 22,600 1,118,543
Iberdrola SA 201,500 1,520,944
Repsol SA 36,170 1,140,556
Telefonica De Espana SA 100,000 1,291,124
---------------
7,285,754
---------------
SWEDEN - 6.07%
Allgon Ab-B Free 45,000 1,070,964
Astra Ab Ord 'A' 10,000 308,839
Astra Ab Ord 'B' 20,000 602,546
Celsius Industrier Ab 43,200 656,693
Electrolux B-F 15,400 701,237
Skandia Foersaekrings Ab 59,000 1,144,425
Stadshypotek Ab 86,000 1,277,728
Svenska Handelsbanken 76,000 1,134,383
Trelleborg Ab 29,000 339,104
---------------
7,235,919
---------------
SWITZERLAND - 6.21%
Baer Holding AG 1,300 1,526,286
Baloise-Holdings 569 1,298,974
Baloise-Holdings Warrants * 219 2,095
BBC Brown Boveri & CIE 1,020 1,057,390
CIBA Geigy AG 1,800 1,321,216
S.M.H. AG Bearer 2,900 1,866,330
Schweizerische Bankgesellschaft 320 332,009
---------------
7,404,300
---------------
THAILAND - 0.65%
Bangkok Bank Public Co Ltd 70,000 771,319
---------------
771,319
---------------
UNITED KINGDOM - 9.10%
Albert Fisher Group PLC 723,000 524,535
Barclays PLC 61,306 660,318
BICC PLC 230,000 1,089,203
Cable & Wireless PLC 51,860 355,570
Dawson International 583,900 1,070,682
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-60
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
UNITED KINGDOM - (CONTINUED)
London Electricity PLC 47,540 $ 486,653
Medeva PLC 170,000 677,664
National Power PLC 196,000 1,392,287
Powergen PLC 170,000 1,310,599
Royal Bank of Scotland Group PLC 131,493 896,321
SmithKline Beecham PLC 27,000 1,221,751
Tesco PLC 250,000 1,156,014
---------------
10,841,597
---------------
Total Common Stocks (Cost $98,097,206) 104,466,099
---------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS - 1.16%
ITALY - 0.29%
Softe SA
4.250% due 07/30/98 $ 510,000 347,125
---------------
347,125
---------------
LUXEMBOURG - 0.61%
Arbed SA
2.500% due 7/15/03 1,150,000 721,609
---------------
721,609
---------------
MEXICO - 0.26%
Banco Nacional Mexico
7.000% due 12/15/99 440,000 311,300
---------------
311,300
---------------
Total Convertible Corporate Bonds
(Cost $1,499,826) 1,380,034
---------------
Total Investments in Securities
at Market Value (Cost $100,685,637) 107,299,812
---------------
SHORT-TERM INVESTMENTS - 9.97%
Chase Bank London
5.063% due 07/03/95 $ 11,886,511
---------------
Total Short-Term Investments 11,886,511
---------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $112,572,147) $ 119,186,323
===============
</TABLE>
A-61
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 96.96%
CAPITAL GOODS - 6.03%
Allied Signal Inc 5,200 $ 231,400
AMP Inc 3,900 164,775
Armstrong World Industries 600 30,075
Asarco Inc 200 6,100
Ball Corp 100 3,488
Black & Decker Corp 1,700 52,488
Boeing 6,100 382,012
Briggs & Stratton Co 200 6,900
Browning Ferris 3,900 140,888
Caterpiller Inc 3,600 231,300
Cummins Engine Inc 900 39,262
Deere & Co 1,600 137,000
Emerson Electric Co 4,200 300,300
Foster Wheeler Corp 300 10,575
General Dynamics Corp 820 36,388
General Signal Corp 700 27,825
Giddings & Lewis Inc 600 10,725
Grainger (W.W.) Inc 1,000 58,750
Hewlett Packard Co 9,100 677,950
Illinois Tool Works 2,100 115,500
Ingersoll Rand Co 2,000 76,500
James River Corp 1,200 33,150
Lockheed Martin Corp * 3,667 231,479
Loral Corp 1,600 82,800
Masco Corp 3,000 81,000
Morrison Knudsen Co Inc 200 1,350
National Semiconductor 2,400 66,600
Navistar International Corp 660 9,982
Northrop Grumman Corp 600 31,275
Parker Hannifin Corp 1,350 48,938
Texas Instruments Inc 1,700 227,588
Textron Inc 1,400 81,375
Thomas & Betts Corp 100 6,838
Trinova Corp 100 3,500
TRW Inc 1,200 95,850
Tyco Laboratories 1,500 81,000
United Technologies 2,300 179,688
Varity Corp * 780 34,320
Westinghouse Electric 6,900 100,912
WMX Technologies Inc 8,800 249,700
---------------
4,387,546
---------------
CONSUMER DISCRETIONARY - 21.77%
Alcan Aluminium Limited 4,100 124,025
Alltel Corp 2,900 73,588
American General Corp 3,600 121,500
American Greetings 'A' 1,460 42,888
American Home Products 5,500 425,562
American Stores Co 2,400 67,500
Avery Dennison Corp 700 28,000
Avon Products Inc 1,300 87,100
Bally Entertainment Corp * 900 11,025
Barrick Gold Corporation 6,500 164,125
Bausch & Lomb Inc 1,200 49,800
Bristol Myers Squibb 9,100 619,937
CBS Inc 1,140 76,380
Charming Shoppes Inc 1,280 6,720
Circuit City Store 2,000 63,250
Coastal Corp 1,500 45,562
Comcast 'A' 3,835 71,187
ConAgra 4,550 158,681
Cooper Industries Inc 2,300 90,850
Corning Inc 4,200 137,550
Crane Co 100 3,625
Darden Restaurants * 3,500 38,062
Dayton Hudson Corp 1,400 100,450
Deluxe Corp 1,200 39,750
Dillard Department Stores 1,900 55,812
Donnelley (R.R.) & Sons 2,700 97,200
DSC Communications * 2,220 103,230
Eastern Enterprises 100 2,988
Eastman Kodak 6,100 369,812
Ecolab Inc 570 13,965
EG & G Inc 400 6,700
Federal Express Corp * 1,100 66,825
Fleetwood Enterprise 400 7,900
Fleming Cos Inc 400 10,600
Fluor Corp Del 1,600 83,200
Fruit of the Loom * 1,500 31,688
</TABLE>
* Non-income producing securities.
A-62
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
CONSUMER DISCRETIONARY-(CONTINUED)
Gap Inc 2,700 $ 94,162
General Electric 30,100 1,696,888
General Mills Inc 2,900 148,988
Gillette Co 8,000 357,000
Great Atlantic & Pacific 200 5,275
H & R Block 2,100 86,362
Harcourt General Inc 1,142 48,535
Harland (John H.) Co 100 2,288
Hasbro Inc 1,300 41,275
Hilton Hotels Corp 1,000 70,250
Home Depot Inc 8,200 333,125
International Flavors/Fragrances 1,900 94,525
Interpublic Group 1,200 45,000
Jostens Inc 200 4,250
Kmart Corp 8,600 125,775
Kimberly Clark Corp 2,900 173,638
King World Productions * 400 16,200
Knight-Ridder Inc 900 51,188
Kroger Co * 2,100 56,438
Limited Inc 6,700 147,400
Liz Claiborne Inc. 1,560 33,150
Longs Drug Stores 100 3,750
Marriott International Corp 2,000 71,750
Mattel Inc 4,160 108,160
May Department Stores Co 4,500 187,312
Maytag Corp 1,400 22,400
McDonalds Corp 12,500 489,062
McGraw Hill Inc 700 53,112
MCI Communications Corp 12,380 272,360
Melville Corp 1,400 47,950
Mercantile Stores 600 27,900
Motorola Inc 10,500 704,812
National Service Industries 400 11,550
New York Times Co 1,400 32,900
Newell Co 2,400 58,800
Nike Inc 900 75,600
Nordstrom Inc 1,660 68,682
Nynex Corp 7,700 309,925
Ogden Corp 300 6,562
Penny (J.C.) Inc 4,200 201,600
PPG Industries Inc 3,800 163,400
Premark International Inc 1,100 57,062
Price/Costco Inc * 3,522 57,232
Procter & Gamble 12,200 876,875
Promus Cos Inc * 1,950 76,050
Reebok International Limited 1,600 54,400
Rubbermaid Inc 3,100 86,025
Russell Corp 200 5,750
Ryan's Family Steak House * 90 709
Scott Paper 2,800 138,600
Sears Roebuck 7,000 419,125
Service Corp International 1,400 44,275
Shoney's Inc* 100 1,175
Springs Industries Inc 200 7,450
Stride Rite Corp 400 4,150
Supervalue Inc 700 20,388
Sysco Corp 3,500 103,250
Tandy Corp 1,236 64,118
Tele Communications Inc * 10,460 245,156
Time Warner Inc 6,820 280,472
Times Mirror 2,488 59,401
TJX Cos Inc 700 9,275
Toys R Us * 5,200 152,100
Tribune Co 1,200 73,650
Unicom Corp 4,000 106,500
Unilever N.V. 2,900 377,362
VF Corp 800 43,000
Viacom International Warrants * 289 1,066
Viacom International Inc 6,438 298,562
Wal-Mart Stores Inc 40,800 1,091,400
Walgreen Co 1,900 95,238
Walt Disney Productions 9,300 517,312
Warner Lambert Co 2,500 215,938
Wendy's International Inc 1,300 23,238
Whirlpool Corp 1,400 77,000
Winn Dixie Stores 1,200 69,300
Woolworth Corp 2,700 40,838
---------------
15,839,778
---------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-63
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
CONSUMER STAPLES-8.01%
Albertson's Inc 4,700 $ 139,825
American Brands Inc 3,500 139,125
Anheuser Busch 4,600 261,625
Archer-Daniel Midland 9,493 176,807
Brown Forman Inc 261 8,711
Bruno's Inc 1,300 15,112
Campbell Soup Co 4,100 200,900
Coca-Cola 22,500 1,434,375
Coors Adolph 90 1,474
CPC International Inc 2,700 166,725
Giant Foods Inc 700 19,862
Heinz (H.J.) Co 4,500 199,688
Hershey Foods Corp 1,000 55,250
Kellog Co 4,000 285,500
PepsiCo Inc 14,100 643,312
Philip Morris Co Inc 15,000 1,115,625
Pioneer Hi-Bred International 1,700 71,400
Polaroid Corp 600 24,450
Quaker Oats Co 2,600 85,475
Ralston Purina Group 1,600 81,600
Sara Lee Corp 8,700 247,950
Seagrams Limited 6,800 235,450
UST Inc 3,600 107,100
Whitman Corp 1,200 23,250
Wrigley (W.M. Jr.) Co 1,800 83,475
------------
5,824,066
------------
ENERGY - 12.35%
Amerada Hess Corp 1,600 78,200
Amoco Corp 8,900 592,962
Armco Inc 500 3,375
Ashland Oil Inc 800 28,100
Atlantic Richfield 2,900 318,275
Baker Hughes Inc 2,900 59,450
Carolina Power & Light 2,500 75,625
Central & South West 2,800 73,500
Chevron Corp 11,600 540,850
Columbia Gas System Inc 300 $ 9,525
Consolidated Edison Co 4,400 129,800
Consolidated Natural Gas 1,800 67,950
CSX Corp 1,900 142,738
Cyprus Minerals Co 1,400 39,900
Dresser Industries Inc 3,500 77,875
Duke Power Co 3,900 161,850
duPont (EI) deNemours 9,800 673,750
Echo Bay Mines Limited 1,400 12,600
Enron Corp 4,700 165,088
Enserch Corp 500 8,562
Exxon Corp 22,000 1,553,750
FMC Corp * 400 26,900
Halliburton 2,200 78,650
Helmerich & Payne 100 2,950
Homestake Mining Co 2,800 46,200
Inco Limited 2,300 64,975
Kerr McGee Corp 700 37,538
Louisiana Land & Exploration 200 7,975
McDermott International Inc 600 14,475
Minnesota Mining & Mfg Co 7,500 429,375
Mobil Corp 7,100 681,600
Newmont Mining Corp 1,698 71,104
Noram Energy Corp 1,500 9,750
Occidental Petroleum Corp 5,900 134,962
Paccar Inc 333 15,568
Panhandle Eastern Corp 3,000 73,125
Pennzoil Co 700 32,988
Peoples Energy Corp 200 5,175
Phillips Petroleum Co 4,800 160,200
Rowan Cos Inc * 100 812
Royal Dutch Petroleum Guild 9,500 1,157,812
Santa Fe Energy Resources 700 6,650
Schlumberger Limited 4,400 273,350
Sonat Inc 1,500 45,750
Sun Company Inc 2,000 54,750
Tenneco Inc 3,300 151,800
Texaco Inc 4,700 308,438
Unocal Corp 4,500 124,312
USX-Marathon Group 5,400 106,650
Williams Cos 1,400 48,825
------------
8,986,384
------------
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-64
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL & BUSINESS SERVICES - 13.28%
Aetna Life & Casualty Co 2,100 $ 132,038
Abmanson (H.F.) & Co 2,300 50,600
Alco Standard Corp 900 71,888
Alexander & Alexander 200 4,775
American Express 8,900 312,612
American International Group 5,600 638,400
Amgen Inc 2,400 193,050
Banc One Corp 7,355 237,199
Bank of Boston Corp 2,300 86,250
Bank of New York Co Inc 3,600 145,350
BankAmerica Corp 6,792 357,429
Barnett Banks of Florida 1,400 71,750
Beneficial Corp 600 26,400
Boatmens Bankshare 2,000 70,500
Capital Cities/ABC 2,800 302,400
Chase Manhattan Corp 3,300 155,100
Chemical Banking Corp 4,584 216,594
Chubb Corp 1,600 128,200
CIGNA Corp 1,400 108,675
Cinergy Corp 2,113 55,466
Citicorp 7,200 416,700
Corestates Financial 2,540 88,582
Dean Witter Discover & Co 3,127 146,969
Dial Corp 1,400 34,650
Dominion Resources Inc 3,250 118,625
Dow Jones & Co Inc 1,500 55,312
Dun & Bradstreet 3,100 162,750
FHLMC 3,300 226,875
First Chicago Corp 1,800 107,775
First Data Corp 3,700 210,438
First Fidelity 1,300 76,700
First Interstate Bank 1,500 120,375
First Union Corp 3,200 144,800
Fleet Financial Group Inc 2,800 103,950
FNMA 4,900 462,438
Gannett Inc 2,600 141,050
Golden West Financial Corp 800 37,700
Great Western Financial 2,700 55,688
Household International Inc 1,800 $ 89,100
ITT Corp 1,900 223,250
Jefferson Pilot Corp 700 38,325
Keycorp 4,500 141,188
Laidlaw Inc 'A' 2,700 25,988
Lincoln National Corp 1,400 61,250
MBNA Corp 2,800 94,500
Marsh & McLennan Cos 1,300 105,462
Mellon Bank Corp 2,900 120,712
Merrill Lynch Co 3,300 173,250
Morgan (J.P.) and Co Inc 3,400 238,425
NBD Bancorp 2,600 83,200
National City Corp 2,100 61,688
NationsBank Corp 4,972 266,624
Northern Telecomunications 4,600 167,900
Norwest Corp 6,100 175,375
Pacific Telesis 7,800 208,650
PNC Bank Corp 4,300 113,412
Providian Corp 1,300 47,125
Pulte Corp 100 2,800
Safeco Corp 970 55,174
St Paul Cos Inc 1,360 66,980
Salomon Inc 2,000 80,250
Shawmut National 2,500 79,688
Suntrust Banks Inc 1,800 104,850
Torchmark Corp 850 32,088
Transamerica Corp 1,070 62,328
Travelers Inc 5,831 255,106
Unum Corp 1,400 65,625
U.S. Bancorp 2,240 53,900
USF&G Corp 1,500 24,375
USLIFE Corp 150 6,038
Wachovia Corp 2,700 96,525
Wells Fargo & Co 900 162,225
------------
9,659,969
------------
HEATH CARE - 7.36%
Abbott Laboratories 14,300 579,150
Allergan Inc 700 18,988
Alza Corp * 800 18,700
Bard (C.R.) Inc 400 12,000
Baxter International Inc 5,100 185,512
Becton Dickinson 1,100 64,075
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-65
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
HEALTH CARE - (Continued)
Beverly Enterprises * 800 $ 9,900
Biomet Inc * 2,640 40,920
Boston Scientific Corp 2,800 89,250
Colgate Palmolive 2,600 190,125
Columbia/HCA Health Care 8,023 346,995
Community Psychiatric Center 300 3,375
Johnson & Johnson 11,500 777,688
Lilly (Eli) & Co 5,200 408,200
Mallinckrodt Group Inc 1,100 39,050
Manor Care Inc 650 18,931
Medtronic Inc. 2,100 161,962
Merck & Co Inc 22,000 1,078,000
Pfizer Inc 5,600 517,300
Rite Aid Corp 900 23,062
Schering-Plough 6,700 295,638
St Jude Medical 1,080 54,135
Tenet Healthcare Corp 3,800 54,625
United Healthcare Corp 3,200 132,400
Upjohn Co 3,200 121,200
U.S. Health Care 3,000 91,875
U.S. Surgical Corp 1,000 20,875
------------
5,353,931
------------
MATERIALS & PROCESSING - 5.31%
Aluminum Company of America 3,300 165,412
Applied Materials * 1,600 138,600
Bemis Inc 500 13,000
Bethlehem Steel Corp 2,400 39,000
Boise Cascade Corp 1,000 40,500
Burlington Northern Industries 1,700 107,738
Burlington Resources Inc 2,500 92,188
Clorux Co 1,000 65,250
Crown Cork & Seal * 1,700 85,212
Dover Corp 1,000 72,750
Dow Chemical 5,000 359,375
Eastman Chemical Co. 1,625 96,688
Engelhard Corp 1,875 80,391
Federal Paper Board Inc. 500 $ 17,688
Grace (W.R.) & Co. 1,800 110,475
Great Lakes Chemical 1,000 60,250
Harnischfeger Industries Inc 1,000 34,625
Hercules Inc 2,100 102,375
Inland Steel Industries Inc 600 18,300
International Paper 2,300 197,225
Johnson Controls Inc 500 28,250
Loews Corp 1,100 133,100
Louisiana Pacific Corp 2,300 60,375
Lowe's Co 3,100 92,612
Mead Corp 1,100 65,312
Monsanto Co 2,100 189,262
Moore Limited 1,500 33,188
Morton International 2,900 84,825
Nalco Chemical Co 1,000 36,375
Nucor Corp 1,700 90,950
Owens Corning Fiberglass * 1,000 36,875
Pall Corp 2,266 50,418
Phelps Dodge Corp 1,400 82,600
Placer Dome Inc 4,500 117,562
Potlatch Corp 200 8,350
Praxair Inc 2,200 55,000
Raychem Corp 500 19,188
Reynolds Metals Co 900 46,575
Rohm & Haas Co 1,000 54,875
Safety Kleen Corp 300 4,838
Sherwin Williams Co 1,200 42,750
Sigma Aldrich Corp 1,000 49,125
Stanley Works 500 18,938
Stone Container Corp 2,012 42,755
Temple Inland Inc 1,100 52,388
Timken Co 300 13,838
Union Camp Corp 1,300 75,238
Union Carbide Corp 2,800 93,450
USX-US Steel Group 1,560 53,625
Westvaco Corp 900 39,825
Weyerhaeuser Co 3,800 179,075
Worthington Industries Inc 855 17,474
-------------
3,866,053
-------------
</TABLE>
*Non-income producing securities.
A-66
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TECHNOLOGY - 8.70%
Advanced Micro Devices 2,000 $ 72,750
Amdahl Corp 1,500 16,688
Apple Computer 2,350 109,128
Autodesk Inc 1,060 45,580
Automatic Data Processing 2,600 163,475
Cabletron Systems 1,400 74,550
Ceridan Corp * 800 29,500
Cincinnati Milacron 200 5,400
Cisco Systems * 4,900 247,756
Compaq Computer Corp * 4,800 217,800
Computer Association Int'l 2,900 196,475
Computer Sciences * 1,100 62,562
Cray Research * 200 4,875
Cuc International Inc 2,300 96,600
Data General Corp * 100 962
Digital Equipment Corp * 2,700 110,025
Eaton Corp 1,500 87,188
Harris Computer Systems * 15 206
Harris Corp 500 25,812
Honeywell Inc 2,400 103,500
IBM Corp 10,300 988,800
Intel Corp 14,740 933,226
Intergraph Corp * 370 4,116
Lotus Development Corp * 970 61,838
Micron Technology 3,700 203,038
Microsoft Corp * 10,400 939,900
Millipore Corp 176 11,880
Novell Inc * 6,900 137,569
Oracle Systems Corp * 7,760 299,730
Perkin Elmer Corp 900 31,950
Pitney Bowes Inc 2,500 95,938
Raytheon Co 2,300 178,538
Rockwell International Corp 4,000 183,000
Scientific Atlanta 800 17,600
Shared Medical System Corp 600 24,150
Silicon Graphics * 3,000 119,625
Sun Microsystems 1,800 87,300
Tandem Computers Inc * 2,500 40,312
Tektronix 300 $ 14,775
Teledyne Inc 400 9,800
Unisys Corp * 1,700 18,488
Western Atlas Inc * 700 31,062
Xerox Corp 1,900 222,775
-------------
6,326,242
-------------
TRANSPORTATION - 5.18%
Air Products & Chemicals 2,100 117,075
AMR Corp Del * 1,400 104,475
Brunswick Corp 1,100 18,700
Champion International Corp 1,800 93,825
Chrysler Corp 6,700 320,762
Conrail Inc 1,500 83,438
Consolidated Freightways Inc 100 2,212
Cooper Tire & Rubber Corp 1,200 29,250
Dana Corp 2,000 57,250
Delta Air Lines 1,000 73,750
Echlin Inc 700 24,325
Ford Motor Co 18,400 547,400
General Motors Corp 13,300 623,438
General Re Corp 1,500 200,812
Genuine Parts Co 2,050 77,644
Georgia-Pacific Corp 1,700 147,475
Goodrich (B.F.) Co 200 10,725
Goodyear Tire & Rubber 2,800 115,500
McDonnell Douglas 2,100 161,175
Norfolk Southern 2,400 161,700
Pep Boys 1,300 34,775
Pittston Group 300 7,200
Roadway Services Inc 580 27,405
Ryder System Inc 800 19,100
Santa Fe Pacific Corp 2,003 51,076
Santa Fe Pacific Gold Corp 1,621 19,655
Snap On Tool Corp 300 11,625
Southwest Airlines 2,800 66,850
Union Pacific Corp 3,700 204,888
U.S. Air Group Inc * 700 8,138
U.S. West Inc 8,300 345,488
Yellow Corp 90 1,631
-------------
3,768,762
-------------
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-67
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES - 8.97%
Airtouch Communications Inc 8,500 $ 242,250
American Electric Power Inc 3,300 115,912
Ameritech Corp 10,000 440,000
Andrew Corp * 800 46,300
AT&T 28,100 1,492,812
Baltimore Gas & Electric 2,250 56,250
Bell Atlantic Corp 7,800 436,800
Bell South 8,900 565,150
Centex Corp 200 5,650
Detroit Edison Co 2,000 59,000
Entergy Corp 4,300 103,738
FPL Group Inc 3,500 135,188
General Public Utilities 1,700 50,575
GTE Corporation 17,300 590,362
Houston Industries Inc 2,500 105,312
Niagra Mohawk Power 1,900 28,025
NICOR Inc 400 10,750
Northern States Power Co 1,100 50,738
Ohio Edison Co 2,000 45,250
Oryx Energy Co 1,200 16,500
Pacific Enterprises 1,700 41,650
Pacific Gas & Electric 7,800 226,200
Pacificorp 4,400 82,500
Peco Energy Co 4,200 116,024
Public Service Enterprises 4,700 130,424
SBC Communications 10,900 519,111
SCE Corp 8,300 142,138
Southern Co 12,100 270,738
Sprint Corp 5,900 198,387
Texas Utilities 4,200 144,374
Union Electric Co 1,600 59,658
----------------
6,527,766
----------------
Total Common Stocks
(Cost $57,392,472) 70,540,497
----------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY BILLS-0.23%
5.640% due 08/10/95 ** $ 35,000 $ 34,802
5.650% due 08/10/95 ** 25,000 24,858
5.660% due 08/03/95 ** 15,000 14,932
5.660% due 08/10/95 ** 25,000 24,858
5.670% due 08/10/95 ** 55,000 54,688
5.680% due 08/10/95 ** 15,000 14,915
----------------
Total U.S. Treasury Bills 169,053
----------------
TIME DEPOSITS-2.81%
State Street Bank and Trust
4.900% due 07/03/95 2,047,000 2,047,000
----------------
Total Time Deposits 2,047,000
----------------
Total Short-Term Investments
at Amortized Value 2,216,053
----------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $59,608,420) $ 72,756,550
================
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
**SECURITIES HAVE BEEN SEGREGATED WITH THE CUSTODIAN TO COVER
MARGIN REQUIREMENTS FOR OPEN FUTURE CONTRACTS AS OF
JUNE 30, 1995.
A-68
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
DOMESTIC COMMON STOCKS-48.96%
CAPITAL GOODS-1.77%
Coleman Co Inc * 14,625 $ 519,188
James River Corp 17,600 486,200
National Semiconductor * 16,625 461,344
Singer Co N.V. 21,350 552,431
-------------
2,019,163
-------------
CONSUMER DISCRETIONARY-5.98%
American Standard Co * 13,000 355,875
Bowater Inc 8,425 378,072
California Microwave * 3,075 77,067
Circus Circus Enterprise Inc * 19,500 687,375
Federated Department Stores 23,650 608,988
General Mills Inc 9,075 466,228
Hospitality Franchise System * 15,375 532,359
La Quinta Motor Inn Operator 10,100 272,700
Millicom International Cellular 'A' * 18,625 551,766
News Corp Limited ADS 65,800 1,488,725
Paging Network Inc * 4,050 138,713
Promus Hotel 24,275 534,050
Tellabs Inc 3,150 151,594
Toy Biz Inc 8,400 152,250
USA Mobile Communications 3,991 69,843
Valassis Communications Inc * 20,975 351,331
-------------
6,816,936
-------------
CONSUMER STAPLES-0.56%
Kellog Co 3,700 264,088
Safeway Inc 10,150 379,356
-------------
643,444
-------------
ENERGY-0.86%
Barrett Resources Corp 40,750 947,438
Ensco International Inc 2,175 34,528
-------------
981,966
-------------
FINANCIAL & BUSINESS SERVICES-11.59%
Chase Manhattan Corp 400 $ 18,800
FHLMC 13,200 907,500
FNMA 19,475 1,837,953
First Bank Systems 29,225 1,198,225
First Data Corp 65,400 3,719,625
General Motors Corp 'E' 26,325 1,145,138
Lehman Brothes Holding Inc 32,825 718,047
Mercury General Corp 6,075 208,828
North American Mortgage 8,300 191,938
Olsten Corp 6,725 220,244
Progressive Corp 28,275 1,085,053
UNUM Corp 41,875 1,962,891
-------------
13,214,242
-------------
HEALTH CARE-7.78%
Amgen Inc 5,225 420,286
Boston Scientific 3,375 107,578
Coventry Corp 12,525 176,916
Corvits Corp * 71,950 377,738
Daig Corp 21,000 383,250
Healthsource Inc 10,650 372,750
Horizon Mental Health Mgmt 22,900 289,113
I-Stat Corp 23,975 875,088
Merck & Co Inc 19,975 978,775
Nellcor Inc 17,550 789,750
Pacificare Health Systems 'E' 6,250 318,750
Pfizer Inc 22,925 2,117,697
Resmed Inc 5,000 60,000
Scherer Corp (R.P.) 3,825 161,606
Sofamor Danek Group * 21,925 496,053
St Jude Medical 7,900 395,988
STERIS Corp 11,250 545,625
-------------
8,866,963
-------------
MATERIALS & PROCESSING-0.81%
Boise Cascade Corp 1,875 75,938
Crown Cork & Seal * 7,700 385,963
International Minerals & Chemical 3,300 178,613
Lowes Co 9,500 283,813
-------------
924,327
-------------
</TABLE>
*Non-income producing securities.
A-69
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TECHNOLOGY-15.29%
Adflex Solutions Inc * 8,000 $ 196,000
Adobe Systems Inc 2,275 131,950
Altera Corp * 12,850 555,763
Applied Digital Access 23,175 301,275
Applied Materials * 21,125 1,829,953
Avid Technology 1,300 48,750
Boca Research 40,675 1,098,225
Ciber Inc 13,775 244,506
Cisco Systems Inc * 8,950 452,534
Computer Association Int'l Inc 11,100 752,025
Computer Horizons 35,825 573,200
CUC International Inc 21,125 887,250
Dendrite International 7,500 120,938
Discreet Logic 12,250 404,250
Fiserv Inc 3,525 99,141
Fulcrum Technologies 17,900 393,800
Intel Corp 33,300 2,108,306
Itel Corp 3,675 143,325
ITI Technologies Inc 7,300 173,375
Itron Inc 21,250 664,063
Keane Inc * 17,600 437,800
LEGENT Corp 5,975 261,406
LSI Logic * 23,950 937,044
Micron Technology 20,800 1,141,400
Pittway Corp 12,900 590,175
Pyxis Corp * 14,200 321,275
Seer Technologies 9,100 188,825
Softkey International Inc * 11,350 361,781
Sterling Software Inc 2,025 77,963
StrataCom Inc 4,375 213,281
Systemsoft Corp 38,000 551,000
U.S. Robotics Corp 4,800 523,200
VLSI Technology * 21,250 640,156
----------------
17,423,935
----------------
TRANSPORTATION-0.79%
APS Holding Corp 'A' 875 23,078
Exide Corp 10,650 457,950
General Re Corp 2,400 $ 321,300
Georgia-Pacific Corp 1,100 95,425
----------------
897,753
----------------
UTILITIES-3.53%
Airtouch Communications Inc * 47,625 1,357,313
Century Tel Enterp 15,325 434,847
CommNet Cellular Inc 9,175 256,900
Telephone & Data System 10,100 367,388
United Waste Systems Inc 3,250 117,000
Vodafone Group PLC ADR 39,375 1,491,328
----------------
4,024,776
----------------
Total Domestic Common Stocks
(Cost $50,672,017) 55,813,505
----------------
FOREIGN COMMON STOCKS-20.09%
Canada-1.02%
Potash Corp of Saskatchewan 20,897 1,167,620
----------------
1,167,620
----------------
FINLAND-8.08%
Cultor Oy 1 7,068 225,116
Cultor Oy 2-FR 4,614 150,197
Huhtamaki I 24,302 796,787
Metra Oy 'A' 1,490 63,508
Metra Oy 'B' 14,816 652,320
Nokia Ab-A Shs 101,710 5,954,918
Nokia Corp-Adr A 22,968 1,369,467
----------------
9,212,313
----------------
GERMANY-3.99%
Sap Ag-Vorzug Pref 3,584 4,544,486
----------------
4,544,486
----------------
</TABLE>
*Non-income producing securities.
A-70
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------- -------------------------------------------------------------
MARKET PRINCIPAL
SHARES VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <S> <C> <C>
MEXICO - 0.02% COMMERCIAL PAPER-30.93%
Grupo Financiero Inbursa * 8,584 $ 20,805 FHLMC
----------
20,805 5.850% due 07/05/95 $ 13,000,000 $ 12,991,550
----------
5.850% due 07/21/95 3,000,000 2,990,233
NETHERLANDS - 0.07% Ford Motor Credit
6.050% due 07/03/95 4,300,000 4,298,555
Elsag Bailey Process Auto * 2,925 80,438 Chevron
----------
80,438 5.980% due 07/07/95 3,000,000 2,997,010
----------
FNMA
NORWAY - 0.15% 5.900% due 07/06/95 4,000,000 3,996,723
5.900% due 07/13/95 4,000,000 3,992,133
Elkjop 8,348 166,701 Household Finance Corp
----------
166,701 5.750% due 07/05/95 4,000,000 3,997,444
---------- -------------
SWEDEN - 6.62% Total Commercial Paper 35,263,648
-------------
Assa-Abloy "B" * 9,255 48,380
Astra Ab 108,922 3,363,940 TIME DEPOSITS - 0.02%
Kinnivik Ab "B" Free 70,719 2,159,760
Modob * 12,989 749,584 State Street Bank and Trust
Nordictel Holdings Ab * 29,126 246,417 4.900% due 07/03/95 19,000 19,000
-------------
Securitas Ab "B" Free 8,330 288,776
Stora Kopparbergs 7,896 105,908 Total Time Deposits 19,000
-------------
Volvo Ab * 30,946 589,616
----------
7,552,381
----------
Total Short-Term Investments
UNITED KINGDOM - 0.14% at Amortized Cost 35,282,648
-------------
Central European Media Center 10,650 158,419 TOTAL GROWTH LT PORTFOLIO
----------
158,419 (COST $102,247,641) $ 113,999,316
---------- =============
Total Foreign Common Stocks
(Cost $16,292,976) 22,903,163
----------
Total Investments in Securities
at Market Value (Cost $66,964,993) 78,716,668
----------
</TABLE>
* Non-income producing securities.
A-71
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -----------------------------------------------------
Market Market
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 94.07% HEALTH CARE - 1.93%
CAPITAL GOODS - 8.25% Becton Dickinson 15,000 $ 873,750
Cordis Corp * 10,000 670,000
-----------
Amp Inc 20,000 $ 845,000 1,543,750
-----------
Black & Decker Corp 15,000 463,125
Case Corp 20,000 595,000 MATERIALS & PROCESSING - 2.81%
Hewlett Packard Co 45,000 3,352,500
Texas Instruments Inc 10,000 1,338,750 International Paper 20,000 1,715,000
-----------
6,594,375 Kennametal Inc 15,000 528,750
----------- -----------
2,243,750
CONSUMER DISCRETIONARY - 29.48% -----------
TECHNOLOGY - 22.92%
Callaway Golf Co 280,000 4,200,000
General Electric 20,000 1,127,500 Advanced Micro Devices * 30,000 1,091,250
Hospitality Franchise System * 30,000 1,038,750 Cabletron Systems * 30,000 1,597,500
Infinity Broadcasting * 50,000 1,668,750 Dell Computer Corp * 20,000 1,202,500
McDonalds Corp 25,000 978,125 Intel Corp 35,000 2,215,938
Motorola Inc 60,000 4,027,500 Microsoft * 45,000 4,069,688
Nokia Corp ADR 20,000 1,192,500 Oracle Systems Corp * 100,000 3,856,250
Office Depot 25,000 703,125 Phillips Electronics N.V. 25,000 1,068,750
Procter & Gamble 30,000 2,156,250 Silicon Graphics * 50,000 1,993,750
Scott Paper 40,000 1,980,000 Spectrum Holobyte Inc * 10,000 143,124
Tellabs Inc * 30,000 1,441,875 U.S. Robotics Corp * 10,000 1,088,750
-----------
Walt Disney Productions 55,000 3,059,375 18,327,500
----------- -----------
23,573,750
-----------
TRANSPORTATION - 7.98%
CONSUMER STAPLES - 11.06%
Champion International Corp 60,000 3,127,500
Coca-Cola 60,000 3,825,000 Chrysler Corp 20,000 957,500
Phillip Morris Co Inc 15,000 1,115,625 Ford Motor Co 30,000 892,500
Starbucks Corp * 110,000 3,905,000 General Motors Corp 30,000 1,406,250
----------- -----------
8,845,625 6,383,750
----------- -----------
FINANCIAL & BUSINESS SERVICES - 9.64% Total Common Stocks (Cost $64,677,844) 75,216,250
-----------
Capital One Finance 50,000 975,000
First Data Corp 80,000 4,550,000
Silicon Valley Bancshares * 60,000 2,178,750
-----------
7,703,750
-----------
</TABLE>
* Non-Income producing securiites.
A-72
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 5.93%
With Citibank, dated 06/30/95
repurchase price of $4,582,420;
collateralized by U.S. Treasury
Notes (par value $4,580,000; due
07/03/95) $ 4,742,000 $ 4,742,000
-------------
Total Securities Held Under Repurchase
Agreements 4,742,000
-------------
TOTAL EQUITY PORTFOLIO
(COST $69,419,844) $ 79,958,250
=============
</TABLE>
A-73
<PAGE>
PACIFIC SELECTED FUND
BOND AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- ---------------------------------------------------- -------------------------------------------------------
Principal Market Principal Market
Amount Value Amount Value
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 89.57% FINANCIAL & BUSINESS SERVICES - 9.01%
GMAC
CAPITAL GOODS - 2.20% 9.400% due 07/15/21 $ 1,000,000 $ 1,195,000
International Bank
Loral 0.000% due 03/01/28* 10,000,000 1,012,500
7.000% due 09/15/23 $1,000,000 $ 905,000 0.000% due 07/15/29* 17,140,000 1,499,750
---------- -----------
905,000 3,707,250
---------- -----------
CONSUMER DISCRETIONARY - 18.49% MATERIALS & PROCESSING - 9.49%
CBS Inc Dow Chemical
7.125% due 11/01/23 2,000,000 1,842,500 7.375% due 03/01/23 1,500,000 1,464,375
Dayton Hudson Co Eastman Chemical
9.700% due 06/15/21 1,500,000 1,850,625 7.250% due 01/15/24 1,500,000 1,462,260
Kmart Corp Weyerhaeuser Co
7.950% due 02/01/23 1,000,000 940,080 7.125% due 07/15/23 1,000,000 977,500
News Amercia Holdings 3,904,135
7.750% due 01/20/24 2,000,000 1,932,500
Time Warner Inc TECHNOLOGY - 4.03%
9.150% due 02/01/23 1,000,000 1,043,750
----------
7,609,455 IBM Corp
----------
CONSUMER STAPLES - 14.90% 8.375% due 11/01/19 1,500,000 1,660,650
-----------
1,660,650
-----------
Coca Cola Enterprise
6.750% due 09/15/23 1,500,000 1,408,125 TRANSPORTATION - 24.84%
Hershey Foods Co
8.800% due 02/15/21 2,000,000 2,365,000 AMR Corp
Ralston Purina 9.000% due 09/15/16 4,500,000 4,730,625
8.625% due 02/15/22 5,000,000 539,375 Boeing Co
Seagram Co Limited 6.875% due 10/15/43 2,000,000 1,885,000
6.875% due 09/01/23 2,000,000 1,820,000 Ford Motor Co
----------
6,132,500 7.750% due 06/15/43 1,500,000 1,525,935
----------
ENERGY - 6.61% McDonnell Douglas
9.750% due 04/01/12 1,750,000 2,082,500
-----------
Burlington Resources 10,224,060
-----------
8.200% due 03/15/25 1,500,000 1,616,730
Hydro Quebee Total Corparate Bonds & Notes
8.625% due 06/15/29 1,000,000 1,104,140 (Cost $33,962,961) 36,863,920
---------- -----------
2,720,870
----------
</TABLE>
*NON-INCOME PRODUCING SECURITIES.
A-74
<PAGE>
PACIFIC SELECTED FUND
BOND AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
U.S TREASURY BONDS - 3.58%
7.125% due 02/15/23 $ 1,400,000 $ 1,475,026
-----------
Total U.S. Treasury Bonds
(Cost $1,570,719) 1,475,026
-----------
FOREIGN GOVERNMENT - 5.27%
Province of Newfoundland
7.320% due 10/13/23 1,000,000 988,510
Province of Saskatchewan
9.125% due 02/15/21 1,000,000 1,181,830
-----------
Total Foreign Government
(Cost $2,026,945) 2,170,340
-----------
Total Investment in Securities
at Market Value (Cost $37,560,625) 40,509,286
-----------
VALUE
-----
SECURITIES HELD UNDER PERCHASE
AGREEMENTS - 1.58%
With Citibank, dated 06/30/95
repurchase price of $650,332;
collateralized by U.S. Treasury
Notes (par value $630,000; due
07/03/95) 650,000 650,000
-----------
Total Securities Held Under Repurchase
Agreements 650,000
-----------
TOTAL BOND AND INCOME PORTFOLIO
(COST $38,210,625) $41,159,286
===========
</TABLE>
A-75
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