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ANNUAL REPORT
.PACIFIC SELECT FUND
[LOGO of PACIFIC SELECT FUND]
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Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund") Semi-
annual report dated June 30, 1996. 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 six months
ended June 30, 1996. These discussions reflect the views of the Portfolio
Managers as of the time that they were written. These views can change at any
time based on market or other conditions. In preparing this presentation, we
have obtained information from sources we believe to be reliable, but do not
offer any guarantees as to its accuracy or completeness.
The Adviser and the Fund engaged other firms to serve as Portfolio Managers
under Pacific Mutual's supervision for twelve of the Portfolios. Pacific
Investment Management Company ("PIMCO"), a subsidiary partnership of PIMCO
Advisors, L.P., an affiliate of Pacific Mutual, serves as Portfolio Manager for
the Managed Bond Portfolio and the Government Securities Portfolio. Capital
Guardian Trust Company ("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 ("Bankers Trust")
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. Columbus Circle Investors ("CCI"), a subsidiary
partnership of PIMCO Advisors, L.P., serves as Portfolio Manager for the
Aggressive Equity Portfolio. Blairlogie Capital Management ("Blairlogie"), a
subsidiary partnership of PIMCO Advisors, L.P., serves as Portfolio Manager for
the Emerging Markets Portfolio.
We look forward to continued growth in assets in 1996 and beyond.
Sincerely,
/s/ Thomas C. Sutton
Thomas C. Sutton
Chairman and President
Pacific Select Fund
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PACIFIC SELECT FUND PERFORMANCE DISCUSSION
MONEY MARKET PORTFOLIO
The total return for the Money Market Portfolio for the first six months ended
June 30, 1996 was 2.45%*. The yield, measured during the 7-day period ending
June 30, 1996, was 4.90%.
Following a sluggish fourth quarter annual growth rate of 0.5% in the U.S.
economy and the prospect of less than 1% increase in the Gross Domestic
Product in the first quarter (actual was 2.2%), the Federal Reserve extended its
quarter-point rate cut. The Federal Reserve lowered the target federal funds
rate to 5.25% at it's January 31 meeting. This signaled the Federal Reserve's
belief that slow growth in regional business and involuntary accumulation in
inventories resulted from weaker sales trends in the previous few months. In
anticipation of this latest Federal Reserve move the Money Market Portfolio
extended its average maturity. The significant early redemptions that the
Portfolio experienced during the first quarter combined to push the average
maturity out to 79 days, which is longer than the target 55 to 65 days.
Increases in employment in the first quarter and increases in new home sales
and nonfarm payrolls in the second quarter suggest that the Federal Reserve may
raise the federal funds rate on or before its next meeting on August 20. As a
result, policymakers have maintained a steady hold on the federal funds target
rate at 5.25% following the March 26, May 21 and July 3 meetings and are
unlikely to make a dramatic change in monetary policy without overwhelming
evidence of either sharply lower output or escalating price increases. During
the second quarter the Money Market Portfolio's average maturity moved to within
the target range (55-65 days). Current market levels have made short maturity
trades attractive and opportunities for yield pick-up in commercial paper with
limited extensions have been utilized on occasion.
HIGH YIELD BOND PORTFOLIO
The total return for the High Yield Bond Portfolio for the six month period
ended June 30, 1996 was 2.28%* versus 3.77% for the First Boston High Yield Bond
Index (First Boston Index) and -1.88% for the Lehman Brothers
Government/Corporate Bond Index ("LBGC Index"). The Portfolio's emphasis was on
the higher quality double BB sector of the high yield market. This sector
underperformed the single B sector and was the major reason why the Portfolio
underperformed the First Boston Index.
Overall, the high yield bond market enjoyed a better first half of the year
than the investment grade corporate and government bond markets, as evidenced by
the disparity in total returns of the First Boston Index and the LBGC Index.
The primary reason for this disparity was the strong equity market in the first
half and the fact that the high yield market was less impacted than the
investment grade and government bond market by the rise in long term interest
rates experienced during the first six months of 1996. Significant events
during the first half that benefitted the Portfolio included U.S. West's
acquisition of Continental Cablevision and Hilton Hotel's acquisition of Bally
Entertainment. These transactions resulted in strong investment grade companies
acquiring high yield debt issuers and led to an overall tightening in the
cable/entertainment and gaming sectors.
Going forward, returns in the high yield market may be threatened by weakness
in the equity market and by the possibility of a rise in interest rates.
However, Pacific Mutual believes that strong inflows into high yield mutual
funds will help to offset the potential negative impact on returns.
MANAGED BOND/GOVERNMENT SECURITIES PORTFOLIOS
The total returns for the six months ended June 30, 1996 for the Managed Bond
and Government Securities Portfolios were -1.38%* and -2.08%* respectively. The
total returns for the LBGC Index and the Lehman Brothers Government Bond Index
("LBGB Index") for the same period were -1.88% and -1.80% respectively. The
Portfolio's returns represent price gains plus coupon income. PIMCO reports
that the negative returns of both Portfolios were the result of a 1% rise in
long term interest rates in 1996. Despite a late second quarter rally, yields
on all but the shortest maturity Treasuries ended 20-40 basis points higher,
with intermediate rates experiencing the greatest rise. Given the rise in
interest rates over the first half of 1996, PIMCO's above index duration
strategy detracted from returns. PIMCO explains that the impact was limited by
its conservative philosophy which dictates taking only moderate portfolio
duration positions relative to the benchmark.
_______________________
* The 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, or other charges that may be incurred
under a contract.
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PIMCO reports that the Managed Bond Portfolio outperformed the LBGC Index due
to the strong performance of lower-rated corporate bonds and currency-hedged,
non-dollar denominated bonds. Lower-rated corporate bonds benefitted from robust
economic growth and strong corporate profits in the first and second quarters.
The Portfolio's holdings in Germany performed very well in the first part of the
year as growth and inflation slowed in Germany and many other European
countries.
The Government Securities Portfolio benefitted from holdings of high-yielding
mortgage securities and German bonds that performed well. The strong
performance of mortgages and international bonds helped to offset the effects of
higher interest rates in 1996.
For both Portfolios in the second-half of 1996, PIMCO currently intends to
maintain an average maturity above that of the market indices to reflect a
moderately bullish stance on interest rates. PIMCO anticipates increasing
holdings of intermediate Treasury securities and discount-coupon mortgages to
best position the Portfolios to take advantage of lower interest rates toward
the end of the year. In PIMCO's opinion, economic growth may slow to a more
moderate pace and inflation will remain low during the remainder of the year.
GROWTH PORTFOLIO
The Growth Portfolio's total return for the six-month period ended June 30,
1996 was 12.90%* versus 10.26% for the Russell 2500 Index and 10.10% for the
Standard and Poor's 500 Index ("S&P 500 Index").
Capital Guardian reports that the Growth Portfolio consists of individual
stocks which represent the highest conviction ideas of each portfolio manager on
the account. As a result of these convictions, Capital Guardian sometimes
invests in several companies within the same industry. Industries in which the
Growth Portfolio's returns benefitted were business and public services, energy
and energy equipment, industrial components, recreation, and textiles and
apparel. Areas of weakness included data processing and reproduction,
electronic components and food and household products.
Capital Guardian reports that the U.S. equity market continued its upward
movement during the first half of 1996. The environment in the U.S. has been
extraordinarily beneficial for equities in recent years with a quartet of
factors helping to support the equity market; first, a steady, slow-growth
economy which has avoided major disruptions; second, adroit management of
monetary policy, keeping inflation subdued and making nominally high valuations
more justifiable; third, a favorable interest rate environment; and fourth, the
U.S. economy and political situation being more attractive and stable than much
of the rest of the world.
After such large gains in the equity market, Capital Guardian believes that
there is an understandable undercurrent of nervousness among many investors,
wondering if the U.S. market is on the verge of a major correction. The Russell
2500 Index saw its return for the second quarter of 1996 nearly chopped in half
as a result of sharp declines during June. Inflows into the most aggressive
types of mutual funds are slowing, and pricing on some recent initial public
offerings has been less than earlier in the year. However, Capital Guardian
believes that, rather than signaling a major correction, this may just be a sign
that investors are becoming more cautious. The underlying factors which have
supported this bull market remain intact.
Taken as a whole, Capital Guardian believes there is good reason to expect
that the U.S. equity market will continue to move upward over the next few
months. Capital Guardian's portfolio managers continue to emphasize the
rigorous fundamental research performed by our analysts to find well-positioned
companies at attractive prices. While Capital Guardian recognizes that the risk
level has risen, Capital Guardian continues to search for attractive
opportunities for long-term investors.
AGGRESSIVE EQUITY PORTFOLIO
From its inception on April 1, 1996 to the end of the second quarter, the
Aggressive Equity Portfolio returned 5.55%* versus 4.16% for the Russell 2500
Index and 4.49% for the S&P 500 Index. CCI reports that the initial results
were impacted by the timing of cash flows into the new Portfolio which were
significant relative to the small initial base of assets. The Portfolio's
above-normal cash position was a disadvantage during April and May when smaller
capitalization aggressive issues led the market higher, but an advantage when
the market reversed course in June.
_______________________
* The 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, or other charges that may be incurred
under a contract.
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CCI reports that the Portfolio's holdings reflect a somewhat defensive posture
which it expects will be rewarded in a moderate growth environment. Current
holdings emphasize companies dominating powerful secular trends, and companies
with a dominant position in their respective product categories. Looking ahead,
increased participation is anticipated in areas such as business services and
consumer staples which historically have had less volatility in their earnings
growth even in a slower growing environment. Finally, companies that are third
or fourth in their respective industries and have been beneficiaries of very
strong demand and shortages of supply by their stronger competitors will
generally be avoided.
GROWTH LT PORTFOLIO
For the six-month period ended June 30, 1996, the Growth LT Portfolio gained
11.71%* versus 10.10% for the S&P 500 Index.
Janus reports that at the end of June, the Growth LT Portfolio's asset
allocation was approximately 80% in domestic stocks and 8% in foreign issues,
with the remaining 12% in cash and cash equivalents. The median market
capitalization for the Portfolio was $1.7 billion, while the average price to
earnings ratio was 25.6%.
Janus states it remains committed to a number of themes in the Portfolio,
including health care and pharmaceutical issues as well as financial services
and select technology issues. In addition to solid performances among these
sectors during the first half, Janus reports that the Portfolio also benefitted
from some good individual returns from HFS, Inc., Analog Devices, Inc., UNUM,
Inc., Xylan, Inc., and Anchor Gaming, Inc. Janus explains that more recently,
the Portfolio was negatively affected by the general sell-off in the technology
sector.
The Portfolio outperformed the benchmark despite a substantial increase in
market volatility. Janus will continue to monitor the market environment
closely, as there has been much debate regarding the general strength and
direction of the economy. Janus notes that it will adhere to its methodology of
stock-by-stock portfolio construction, and going forward, intends to use the
market's own volatility to selectively enhance the Portfolio's positions as
opportunities present themselves.
EQUITY INCOME/MULTI-STRATEGY PORTFOLIOS
The total return for the Equity Income Portfolio for the six months ended June
30, 1996 was 6.99%* versus the S&P 500 Index of 10.10%. The Multi-Strategy
Portfolio's return for the six-month period ended June 30, 1996 was 3.37%*
versus -1.88% for LBGC Index and 4.50% for the Lipper Balanced Fund Index.
JPMIM reports that the year started with a run up in interest rates, but in
the second quarter a calming of inflation and interest rate fears occurred. This
drove stock prices to new highs and to the top end of a trading range that has
persisted since early February. The second quarter of 1996 was the sixth
consecutive quarter of positive performance for the S&P 500 Index with a total
cumulative return of 46% since January 1995. This string of positive performance
has only been beaten on four other occasions since 1945. The last such run was
57% over 11 quarters starting in September of 1963.
During the second quarter, JPMIM indicates, there was a strong rotation
back into defensive growth stocks as investors became concerned about potential
Federal Reserve tightening. Early cyclical sectors, such as basic industry and
consumer cyclicals, sold off sharply in June, while defensive issues with
relative earnings stability, such as consumer stable and healthcare sectors,
performed well. JPMIM explains that the recent flight to quality has been
driven in part by a concern over the sustainability of profits. Many of the
stocks with the highest earnings stability are in the largest 50 stocks in the
S&P 500 Index. This decile outperformed the S&P 500 Index for the second
quarter and was the only decile to outperform in May and June. This trend did
not bode well for the value-oriented approach to stock selection of the Equity
Income Portfolio.
JPMIM reports that the second quarter sector performance for the S&P 500 Index
was nearly a mirror image of the first quarter. Consumer staple, technology,
and retail industries led sector returns for the second quarter. Sectors
perceived to benefit from improved economic conditions, including basic
industry, consumer cyclical, and finance, as well as smaller capitalization
issues, lagged toward the end of the quarter. Despite the fact that finance
stocks was one of the top performing sectors in the first quarter, it was
negatively affected by a number of company announcements highlighting that
consumer credit quality has deteriorated and became one of the bottom performing
sectors in the second quarter. While technology stocks were strong for the
first half of 1996, JPMIM believes the group is vulnerable and has
underweighted the sector in the Equity Income Portfolio.
_______________________
* The 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, or other charges that may be incurred
under a contract.
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JPMIM reports that the Multi-Strategy Portfolio's usual allocation is
approximately 60% weighting in stocks and a 40% weighting in bonds. Throughout
the first half of 1996, the Portfolio was underweighted in stocks, concluding
the second quarter with 49% fixed income versus 46% equities and 5% cash. The
Portfolio's duration on the fixed income portion started the period longer than
the benchmark but was scaled back during May and June to 4.9 years, resulting in
a neutral effect on performance. Continued emphasis on yield-advantaged sectors
of the market, at the expense of Treasuries, supported the Portfolio's
performance. In addition, the sustained exposure to higher-quality below-
investment grade corporates and continued emphasis on high coupon, well-seasoned
mortgages contributed positively to performance.
After upside employment surprises in the first quarter, Gross Domestic Product
figures confirmed that economic growth rebounded in the first quarter. However,
JPMIM believes that questions still linger about the strength and sustainability
of the pick-up. Regarding strength, the improvement on a macro level, including
labor market data, still suggests that the employment figures overstate the
bounce back. Regarding sustainability, the bond market has a role in determining
if the current pickup will continue or reverse. JPMIM does not believe the
Federal Reserve feels any urgency to tighten monetary policy before their next
meeting in August. However, instead of tightening, JPMIM suspects that Federal
Reserve rhetoric will take a pro-tightening tone in the expectation that growth
will revert to trend.
In fixed income, JPMIM currently anticipates taking profits in some of the
Multi-Strategy Portfolio's below-investment grade issues as these issues have
performed well for quite some time versus the market, and in anticipation of a
downturn in equities, JPMIM intends to continue to emphasize higher coupon,
well-seasoned mortgages versus the benchmark. JPMIM also intends to maintain a
slight underweight in investment grade corporates because of concern that the
recent increase in wages, as well as the potential slowdown in the economy, due
to this year's rise in interest rates, will put pressure on corporate margins.
EQUITY PORTFOLIO
For the six months ended June 30, 1996, the total return for the Pacific
Select Equity Portfolio was 23.84%* versus 10.10% for the S&P 500 Index.
Stock price performance continued to grow at a brisk pace in the second
quarter, as evidenced by the 4.49% rise in the S&P 500 Index and the 5.36% rise
in the first quarter. However, this performance did not come without volatility
as some companies fell short of analysts' projections. Greenwich believes that
analysts' expectations have remained too high for too long, therefore
exacerbating downward pressures when the expectations are not met.
Greenwich reports that the Equity Portfolio entered 1996 well positioned to
benefit and did benefit from the continued earnings growth and solid industry
fundamentals of specialty retailing, consumer and financial services, and select
technology issues. The Portfolio also benefitted from gains in the
communications sectors. The Equity Portfolio was impacted by the short-term
gyrations in the market, and despite some pressures in technology and healthcare
related issues the Portfolio outperformed the S&P 500 Index. Greenwich
attributes most of this performance to its asset allocation model and stock
selection criteria.
For the balance of the year, Greenwich believes that the economic and stock
market backdrop for equities will improve. Greenwich continues to believe that
large capitalization growth stocks offer attractive potential returns over a
full market cycle, generally a three to five year period. As for the long-term
outlook for select technology and healthcare issues, Greenwich remains
enthusiastic.
BOND & INCOME PORTFOLIO
For the six month period ended June 30, 1996, the total return for the Bond
and Income Portfolio was -7.35%* versus -5.99% for the Lehman Brothers
Government Corporate LT Index. The Portfolio's duration for the period was 13
years versus 9.7 years for the Index.
Greenwich reports that the first six months of 1996 witnessed above average
growth in the real economy accompanied by a 100 basis point rise in long term
30-year U.S. Government bond yields from 6% at year-end 1995 to approximately 7%
at the end of June 1996.
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* The 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, or other charges that may be incurred
under a contract.
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Greenwich reports that with the stronger than expected real growth in the U.S.
economy, the Federal Reserve shifted its monetary policy from an accommodative
stance in 1995 to a neutral policy in the first half of 1996. At the end of the
first half of 1996 there was a growing consensus by economists that the Federal
Reserve will ultimately raise short-term interest rates in an effort to return
economic growth to a more moderate growth rate. Fears of a renewed inflationary
spiral continue to dismay the bond economists' market as many point out
increases in hourly wages would immediately be translated into higher prices at
both the wholesale and retail level.
Greenwich disagrees with this premise and cites the following reasons: (1)
real wages have actually been declining over the past several years and
therefore any rebound is not necessarily the beginning of a new trend; (2) U.S.
corporations remain constricted by global competition and therefore unwilling
and unable to pass through substantial price increases; (3) technological
advances continue in virtually all industries and therefore the role of labor
will continue to become a smaller part (cost) of the process; and (4) this
economic recovery, which began over six years ago, has surprised many analysts
who have used only traditional cyclical analysis in their forecasting. In a
truly competitive market driven economy real growth will reward the efficient
well-managed corporations and render the inefficient extinct.
Therefore, Greenwich's current near term forecast for the next six months is a
gradual reduction in real economic growth in the second half of 1996 and a
decline in long-term interest rates in the second half of the year continuing
into 1997. Greenwich anticipates that the Portfolio will continue its duration
above the Index.
EQUITY INDEX PORTFOLIO
For the six month period ended June 30, 1996, the total return for the Equity
Index Portfolio, was 9.73%* versus 10.10% for the S&P 500 Ind ex. The Equity
Index Portfolio seeks to replicate the performance of the S&P 500 Index.
Bankers Trust reports that the first half of 1996 continued the trend of
strong domestic equity returns, albeit with heightened volatility. The
Technology and Oil and Gas sectors were two of the best performing S&P 500 Index
sectors during this time frame, with Healthcare and Trucking being the two
weakest sectors of the Index. The trend of large company growth stocks
outperforming large company value stocks continued during the first six months
of 1996.
On the economic front, Bankers Trust believes upcoming data continues to
describe the economy as growing in excess of its non-inflationary 2.0 - 2.5%
rate, causing upward pressures on interest rates. This is likely to push the
Federal Reserve to a modest interest-rate increase in August, to be followed by
no further action until after election day. Long-term bond yields would retrace
their recent decline as investors once again become concerned about inflation.
Also, the equity market could face some short-term pressures that temporarily
offset the continued upward march of corporate earnings.
INTERNATIONAL PORTFOLIO
The International Portfolio's total return for the six months ended June 30,
1996 was 10.45%*, outperforming its benchmark, the unmanaged Morgan Stanley
Capital International (MSCI) EAFE Index, which posted a total return of 4.52%
for the same period. Templeton believes that the Portfolio's strong performance
was primarily the result of its bottom-up value style of investing and relative
overweighting in markets that performed exceptionally well during the period.
Templeton reports that European equity markets turned in mixed performances
during the period. The Portfolio was overweighted in markets of Sweden, Norway,
and the Netherlands which performed well, with large gains in the chemical,
pharmaceutical, and banking sectors. The stock markets of core countries such
as the United Kingdom and Germany posted relatively lackluster returns, due
primarily to their uncertain economic prospects and low levels of consumer
spending. The Portfolio did benefit from purchasing shares in a German
electrical utility/oil giant, Veba, which appreciated 39%. Although record-low
inflation resulted in lower interest rates in these countries, economic growth
was depressed in part by restrictions on government spending required for
membership in the European Monetary Union. According to Templeton, this
occurred when growth was already faltering and unemployment was rising.
Templeton reports that emerging market equities performed strongly during the
period as investors refocused their attention on these securities and injected
much needed liquidity into many markets. Latin American equity markets
continued to recover from depressed stock prices following Mexico's currency
devaluation. Templeton believes that although Mexico has not recovered
entirely from this crisis, its stock market delivered strong returns with
a 19.1% appreciation signaling an
______________________
* The 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, or other charges that may be incurred
under a contract.
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expected relatively quick recovery and boosting investor confidence. Brazil's
market also strengthened after the country's economy improved significantly as a
result of declining inflation and the relative stability of its currency. One
of the Portfolio's largest telecommunications holdings, Brazil's Telebras,
appreciated by more than 40% during the six month period.
Templeton notes that the stock markets of Malaysia, Thailand and Indonesia
delivered impressive gains, mainly because these countries attracted large
amounts of foreign capital.
Finally, Templeton intends to remain relatively underweighted in the Japanese
market despite its strong economic recovery. Although the Japanese market has
underperformed the EAFE Index, with a meager appreciation of 1.1% for this year,
valuations still remain expensive and bargain opportunities remain elusive.
Looking forward, Templeton currently expects global economic growth to be
relatively strong for several reasons. First, rapid economic development,
spurred by more capitalistic economic policies and the enormous populations of
emerging market nations, suggests more rapid world economic growth. Second, the
greater ability to transfer capital and technology across national borders helps
allocate capital and production more efficiently. Third, the acceptance of the
General Agreement on Tariffs and Trade and many regional trade treaties has
expanded global trade and should help boost world Gross National Product.
Fourth, the developed world's aging population is likely to increase the demands
on government to provide costly pension and health care services, resulting in
looser fiscal and monetary policy. Templeton believes that this, in turn, could
usher in a period of higher inflation that could also result in higher sales
levels and earnings for many companies.
EMERGING MARKETS PORTFOLIO
The Emerging Markets Portfolio commenced operations on April 1, 1996 and
produced a total return of 1.88%* for the period ended June 30, 1 996,
underperforming the Morgan Stanley Capital International Emerging Markets Free
Index, which returned 4.17%. Blairlogie believes that the primary reason for
underperformance was the high start-up costs in investing in each individual
market.
Blairlogie reports that in Latin America increased investor confidence
resulted in a continued return of flight capital and strong share prices during
the period. The Portfolio has an above-Index exposure to the region and the
biggest contribution came from Brazil which represents 13.9% of the Portfolio's
assets.
Blairlogie explains that during the past three months performance in Asia was
weak. The Portfolio's underweight positions in Malaysia, Thailand and Indonesia
were beneficial, while India and the Philippines, where the Portfolio is
overweighted, were among the best performers.
Blairlogie notes that it has maintained a core strategy of being bullish of
smaller countries in the Europe/Middle East/Africa regions like Poland and
Turkey while being significantly below-Index in South Africa. Blairlogie
believes that this served the Portfolio well in the past quarter. Share price
weakness in South Africa was compounded by a further slide in the country's
currency (Rand). Foreign institutions continued to buy in Poland based upon
improving economic prospects and a likely Gross Domestic Product growth of
around 5.5% next year.
Blairlogie believes that the U.S. market is vulnerable on valuation grounds
and the increased risk of a rise in long term rates is bound to raise doubts
about emerging stock markets. History does suggest that a falling U.S. equity
market will usually cause a slide in developing markets. However, Blairlogie
believes that this should be a short term phenomenon unless there is a prolonged
or severe tightening of U.S. monetary policy.
______________________
* The 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, or other charges that may be incurred
under a contract.
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PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
(In Thousands, Except Per Share Amounts)
<TABLE>
<CAPTION>
High
Money Yield Managed Government
Market Bond Bond Securities Growth
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value........... $ 114,635 $ 167,499 $ 84,714 $ 148,209
Short-term investments at amortized cost............ $ 168,416 6,860 20,601 5,446 5,002
Cash................................................ 10 1 1
Receivables:
Dividends and interest............................ 259 2,229 2,201 863 56
Fund shares sold.................................. 1,539 424 508 26 209
Securities sold................................... 5,344 20,177 161 1,194
Variation margin.................................. 465 364
Forward foreign currency contract appreciation...... 784 369
--------- --------- --------- --------- ---------
TOTAL ASSETS........................................ 170,214 129,502 212,235 91,944 154,671
--------- --------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed.............................. 1,961 15 22
Securities purchased.............................. 7,982 38,095 10,067 2,583
Accrued advisory fees............................. 49 58 80 39 80
Accrued custodian fees and recordkeeping fees..... 52 59 77 51 64
Accrued other..................................... 27 25 31 19 29
--------- --------- --------- --------- ---------
TOTAL LIABILITIES................................... 2,089 8,124 38,298 10,176 2,778
--------- --------- --------- --------- ---------
NET ASSETS.......................................... $ 168,125 $ 121,378 $ 173,937 $ 81,768 $ 151,893
========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital..................................... $ 168,106 $ 121,181 $ 176,059 $ 83,782 $ 125,071
Under (over) distributed net investment income...... 19 50 206 55 (25)
Undistributed capital gains (losses)................ 1,049 (4,702) (3,043) 11,081
Net unrealized appreciation (depreciation) of
investments and on translation of other assets
denominated in foreign currencies................. (902) 2,374 974 15,766
--------- --------- --------- --------- ---------
NET ASSETS.......................................... $ 168,125 $ 121,378 $ 173,937 $ 81,768 $ 151,893
========= ========= ========= ========= =========
Shares of beneficial interest outstanding $.001
par value......................................... 16,768 12,753 16,563 8,022 7,738
========= ========= ========= ========= =========
NET ASSETS PER SHARE................................ $ 10.027 $ 9.518 $ 10.502 $ 10.194 $ 19.630
========= ========= ========= ========= =========
</TABLE>
See notes to financial statements.
A-8
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 1996 (UNAUDITED)
(In Thousands, Except Per Share Amounts)
<TABLE>
<CAPTION>
Aggressive Growth Equity Multi-
Equity LT Income Strategy Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value........... $ 21,070 $ 274,942 $ 286,963 $ 161,314 $ 164,083
Short-term investments at amortized cost............ 4,718 37,920 9,425 9,431 2,321
Cash................................................ 1 1 1
Receivables:
Dividends and interest............................ 2 158 432 1,387 61
Fund shares sold.................................. 356 1,425 896 127 877
Securities sold................................... 194 6,108 3,580 6,555 3,815
Forward foreign currency contract appreciation...... 96
Organization costs.................................. 23 2
--------- --------- --------- --------- ---------
TOTAL ASSETS........................................ 26,364 320,651 301,297 178,814 171,158
--------- --------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed.............................. 9 70
Securities purchased.............................. 2,241 4,026 845 11,111 2,328
Accrued advisory fees, net of reimbursement....... 1 199 157 88 87
Accrued custodian fees and recordkeeping fees..... 30 161 133 94 62
Accrued other..................................... 13 61 59 39 37
--------- --------- --------- --------- ---------
TOTAL LIABILITIES................................... 2,285 4,447 1,203 11,402 2,514
--------- --------- --------- --------- ---------
NET ASSETS.......................................... $ 24,079 $ 316,204 $ 300,094 $ 167,412 $ 168,644
========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital..................................... $ 24,143 $ 270,021 $ 269,098 $ 156,187 $ 127,525
Under (over) distributed net investment income...... (1) (138) 45 (346) (246)
Undistributed capital gains (losses)................ (217) 17,370 14,212 7,980 1,267
Net unrealized appreciation of investments and
on translation of other assets denominated
in foreign currencies............................. 154 28,951 16,739 3,591 40,098
--------- --------- --------- --------- ---------
NET ASSETS.......................................... $ 24,079 $ 316,204 $ 300,094 $ 167,412 $ 168,644
========= ========= ========= ========= =========
Shares of beneficial interest outstanding $.001
par value......................................... 2,284 20,150 16,285 12,174 8,277
========= ========= ========= ========= =========
NET ASSETS PER SHARE................................ $ 10.544 $ 15.693 $ 18.428 $ 13.751 $ 20.376
========= ========= ========= ========= =========
</TABLE>
See notes to financial statements.
A-9
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 1996 (UNAUDITED)
(In Thousands, Except Per Share Amounts)
<TABLE>
<CAPTION>
Bond and Equity Emerging
Income Index International Markets
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities at market value........... $ 65,621 $ 210,321 $ 274,717 $ 17,974
Short-term investments at amortized cost............ 1,116 25,310 38,365 2,024
Cash................................................ 3
Receivables:
Dividends and interest............................ 1,337 317 1,394 63
Fund shares sold.................................. 139 800 952 458
Securities sold................................... 16
Variation margin.................................. 118
Forward foreign currency contract appreciation...... 3
Organization costs.................................. 23
--------- --------- --------- ---------
TOTAL ASSETS........................................ 68,213 236,869 315,431 20,558
--------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed.............................. 3 7
Securities purchased.............................. 8,121 313
Accrued advisory fees, net of reimbursement....... 33 40 205 2
Accrued custodian fees and recordkeeping fees..... 36 93 263 37
Accrued other..................................... 16 39 55 13
--------- --------- --------- ---------
TOTAL LIABILITIES................................... 85 175 8,651 365
--------- --------- --------- ---------
NET ASSETS.......................................... $ 68,128 $ 236,694 $ 306,780 $ 20,193
========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital..................................... $ 69,115 $ 201,376 $ 275,625 $ 19,911
Under (over) distributed net investment income...... 26 (13) 2,637 72
Undistributed capital gains (losses)................ (221) 3,360 1,695 8
Net unrealized appreciation (depreciation) of
investments and on translation of other
assets denominated in foreign currencies.......... (792) 31,971 26,823 202
--------- ---------- --------- ---------
NET ASSETS.......................................... $ 68,128 $ 236,694 $ 306,780 $ 20,193
========= ========= ========= =========
Shares of beneficial interest outstanding $.001
par value......................................... 5,848 12,798 21,693 1,982
========= ========= ========= =========
NET ASSETS PER SHARE................................ $ 11.649 $ 18.495 $ 14.142 $ 10.190
========= ========= ========= =========
</TABLE>
See notes to financial statements.
A-10
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1996 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
High
Money Yield Managed Government
Market Bond Bond Securities Growth
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes ....... $ 105 $ 695
Interest .............................. $ 3,401 4,674 $ 4,620 $ 2,180 144
Other ................................. 7 1 6
--------- --------- --------- ---------- ---------
Total Investment Income ............... 3,401 4,786 4,621 2,180 845
--------- --------- --------- ---------- ---------
EXPENSES
Advisory fees ......................... 251 311 425 215 463
Custodial fees ........................ 21 27 34 25 32
Recordkeeping fees .................... 31 33 42 27 33
Trustees fees ......................... 2 2 2 2 2
Legal fees ............................ 4 3 4 3 4
Printing fees ......................... 5 5 6 4 6
Insurance expenses .................... 3 2 3 2 3
Other ................................. 14 11 16 7 12
--------- --------- --------- ---------- ---------
Total Expenses ........................ 331 394 532 285 555
--------- --------- --------- ---------- ---------
NET INVESTMENT INCOME ................. 3,070 4,392 4,089 1,895 290
--------- --------- --------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss) from
security transactions ................ 1,050 (709) (537) 11,081
Net realized loss from
futures contracts .................... (3,485) (2,093)
Net realized foreign exchange loss .... (969) (452)
--------- --------- --------- ---------- ---------
Net Realized Gain (Loss)
on Investments and Foreign
Currency Transactions ................ 1,050 (5,163) (3,082) 11,081
--------- --------- --------- ---------- ---------
Net unrealized appreciation
(depreciation) on investments ........ (3,350) (1,636) (748) 6,221
Net unrealized appreciation on
futures contracts .................... 424 219
Net unrealized foreign
exchange gain ........................ 861 404
--------- --------- --------- ---------- ---------
Net Unrealized Gain (Loss) on
Investments and Foreign
Currency Transactions ............... (3,350) (351) (125) 6,221
--------- --------- --------- ---------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS ........................ (2,300) (5,514) (3,207) 17,302
--------- --------- --------- ---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ............ $ 3,070 $ 2,092 $ (1,425) $ (1,312) $ 17,592
========= ========= ========= ========== =========
</TABLE>
See Notes to Financial Statements.
A-11
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE PERIOD ENDED JUNE 30, 1996 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Aggressive Growth Equity Multi-
Equity LT Income Strategy Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes ....... $ 3 $ 1,059 $ 2,562 $ 844 $ 383
Interest .............................. 37 1,434 191 2,235 81
Other ................................. 49 2
--------- --------- --------- --------- ---------
Total Investment Income ............... 40 2,493 2,802 3,079 466
--------- --------- --------- --------- ---------
EXPENSES
Advisory fees ......................... 25 992 817 488 447
Custodial fees ........................ 6 91 65 55 25
Recordkeeping fees .................... 8 73 68 39 38
Trustees fees ......................... 1 5 5 2 3
Legal fees ............................ 1 8 8 4 4
Printing fees ......................... 2 12 12 6 7
Insurance expenses .................... 1 5 5 3 3
Other ................................. 1 29 29 16 15
--------- --------- --------- --------- ---------
Total Expenses ........................ 45 1,215 1,009 613 542
Adviser Reimbursement ................. 13
--------- --------- --------- --------- ---------
Net Expenses .......................... 32 1,215 1,009 613 542
--------- --------- --------- --------- ---------
NET INVESTMENT INCOME (LOSS)........... 8 1,278 1,793 2,466 (76)
--------- --------- --------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
Net realized gain (loss)
from security transactions ........... (217) 17,206 15,020 8,174 1,224
Net realized foreign exchange gain .... 292
--------- --------- --------- --------- ---------
Net Realized Gain (Loss) on Investments
and Foreign Currency Transactions ... (217) 17,498 15,020 8,174 1,224
--------- --------- --------- --------- ---------
Net unrealized appreciation
(depreciation) on investments ........ 154 7,988 (980) (5,780) 28,374
Net unrealized foreign
exchange gain ........................ 258
--------- --------- --------- --------- ---------
Net Unrealized Gain (Loss) on
Investments and Foreign
Currency Transactions ................ 154 8,246 (980) (5,780) 28,374
--------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS ......................... (63) 25,744 14,040 2,394 29,598
--------- --------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ........... $ (55) $ 27,022 $ 15,833 $ 4,860 $ 29,522
========= ========= ======== ========== =========
</TABLE>
See Notes to Financial Statements.
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE PERIOD ENDED JUNE 30, 1996 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Bond and Equity Inter- Emerging
Income Index national Markets
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes ....... $ 1,837 $ 5,144 $ 101
Interest .............................. $ 2,314 335 640 26
Other .................................
--------- --------- --------- ---------
Total Investment Income ............... 2,314 2,172 5,784 127
--------- --------- --------- ---------
EXPENSES
Advisory fees ......................... 186 204 1,021 39
Custodial fees ........................ 13 48 177 12
Recordkeeping fees .................... 23 46 86 9
Trustees fees ......................... 1 3 4 1
Legal fees ............................ 2 5 6 1
Printing fees ......................... 3 8 10 2
Insurance expenses .................... 1 4 4 1
Other ................................. 8 18 24 1
--------- --------- --------- ---------
Total Expenses ........................ 237 336 1,332 66
Adviser Reimbursement ................. 14
--------- --------- --------- ---------
Net Expenses .......................... 237 336 1,332 52
--------- --------- --------- ---------
NET INVESTMENT INCOME ................. 2,077 1,836 4,452 75
--------- --------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain from security
transactions ......................... 401 2,282 478 8
Net realized gain from futures
contracts ............................ 985
Net realized foreign exchange loss .... (176) (3)
--------- --------- --------- ---------
Net Realized Gain on Investments
and Foreign Currency
Transactions ....................... 401 3,267 302 5
--------- --------- --------- ---------
Net unrealized appreciation
(depreciation) on investments ........ (6,998) 10,668 18,149 202
Net unrealized foreign
exchange gain (loss) ................. 131 7 (1)
--------- --------- --------- ---------
Net Unrealized Gain (Loss) on
Investments and Foreign
Currency Transactions ................ (6,998) 10,799 18,156 201
--------- --------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS ........................ (6,597) 14,066 18,458 206
--------- --------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS ........... $ (4,520) $ 15,902 $ 22,910 $ 281
========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-13
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1996 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
High
Money Yield Managed Government
Market Bond Bond Securities Growth
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income..................................... $ 3,070 $ 4,392 $ 4,089 $ 1,895 $ 290
Net realized gain (loss) on investments
and foreign currency transactions........................ 1,050 (5,163) (3,082) 11,081
Net unrealized appreciation (depreciation) on
investments and foreign currency transactions............ (3,350) (351) (125) 6,221
-------- -------- -------- -------- --------
Net increase (decrease) in net assets resulting
from operations......................................... 3,070 2,092 (1,425) (1,312) 17,592
-------- -------- -------- -------- --------
NET EQUALIZATION CREDITS.................................. 408 681 1,263 292 30
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income..................................... (3,025) (4,371) (3,041) (1,444) (295)
Capital gains............................................. (990) (2,885) (1,520) (8,911)
-------- -------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders............................ (3,025) (5,361) (5,926) (2,964) (9,206)
-------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares.............................. 176,201 51,778 51,479 29,665 22,661
Dividend reinvestments.................................... 3,012 5,230 5,802 2,931 9,186
Cost of shares repurchased................................ (107,490) (17,467) (4,248) (6,611) (18,111)
-------- -------- -------- -------- --------
Net increase in net assets derived from
capital share transactions............................... 71,723 39,541 53,033 25,985 13,736
-------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS................................ 72,176 36,953 46,945 22,001 22,152
-------- -------- -------- -------- --------
NET ASSETS
Beginning of period....................................... 95,949 84,425 126,992 59,767 129,741
-------- -------- -------- -------- --------
End of period............................................. $168,125 $121,378 $173,937 $ 81,768 $151,893
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-14
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE PERIOD ENDED JUNE 30, 1996 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Aggressive Growth Equity Multi-
Equity LT Income Strategy Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss).............................. $ 8 $ 1,278 $ 1,793 $ 2,466 $ (76)
Net realized gain (loss) on investments
and foreign currency transactions........................ (217) 17,498 15,020 8,174 1,224
Net unrealized appreciation (depreciation) on
investments and foreign currency transactions............ 154 8,246 (980) (5,780) 28,374
-------- -------- -------- -------- --------
Net increase (decrease) in net assets resulting
from operations......................................... (55) 27,022 15,833 4,860 29,522
-------- -------- -------- -------- --------
NET EQUALIZATION CREDITS.................................. 5 32 354 262
-------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income..................................... (9) (1,281) (1,730) (2,842) (108)
Capital Gains............................................. (11,862) (6,758) (8,289)
-------- -------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders............................ (9) (1,281) (13,592) (9,600) (8,397)
-------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares.............................. 24,225 125,767 93,106 32,945 40,688
Dividend reinvestments.................................... 10 1,281 13,545 9,542 8,396
Cost of shares repurchased................................ (97) (37,402) (15,805) (5,098) (9,701)
-------- -------- -------- -------- --------
Net increase in net assets derived from
capital share transactions............................... 24,138 89,646 90,846 37,389 39,383
-------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS................................ 24,079 115,419 93,441 32,911 60,508
-------- -------- -------- -------- --------
NET ASSETS
Beginning of period....................................... 200,785 206,653 134,501 108,136
-------- -------- -------- -------- --------
End of period............................................. $ 24,079 $316,204 $300,094 $167,412 $168,644
======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-15
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE PERIOD ENDED JUNE 30, 1996 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Bond and Equity Inter- Emerging
Income Index national Markets
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income...................................... $ 2,077 $ 1,836 $ 4,452 $ 75
Net realized gain on investments
and foreign currency transactions......................... 401 3,267 302 5
Net unrealized appreciation (depreciation)
on investments and foreign currency transactions.......... (6,998) 10,799 18,156 201
-------- -------- -------- --------
Net increase (decrease) in net assets resulting
from operations........................................... (4,520) 15,902 22,910 281
-------- -------- -------- --------
NET EQUALIZATION CREDITS................................... 56 351 1,352 31
-------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income...................................... (2,051) (1,840) (353)
Capital gains.............................................. (138) (4,465) (2,082)
-------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders............................. (2,189) (6,305) (2,435)
-------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares............................... 18,812 95,045 110,461 20,022
Dividend reinvestments..................................... 2,186 6,286 2,415
Cost of shares repurchased................................. (3,070) (12,104) (10,122) (141)
-------- -------- -------- --------
Net increase in net assets derived from
capital share transactions................................ 17,928 89,227 102,754 19,881
-------- -------- -------- --------
NET INCREASE IN NET ASSETS................................. 11,275 99,175 124,581 20,193
-------- -------- -------- --------
NET ASSETS
Beginning of period........................................ 56,853 137,519 182,199
-------- -------- -------- --------
End of period.............................................. $ 68,128 $236,694 $306,780 $ 20,193
======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-16
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
(In thousands)
<TABLE>
<CAPTION>
High
Money Yield Managed Government Growth
Market Bond Bond Securities Growth LT
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income ....................... $ 5,225 $ 4,537 $ 5,241 $ 2,114 $ 956 $ 1,014
Net realized gain on investments
and foreign currency transactions .......... 990 5,734 2,863 8,911 12,228
Net unrealized gain on investments
and foreign currency transactions .......... 3,249 3,716 1,330 14,638 18,562
--------- --------- --------- --------- --------- ---------
Net increase in net assets resulting
from operations ............................ 5,225 8,776 14,691 6,307 24,505 31,804
--------- --------- --------- --------- --------- ---------
NET EQUALIZATION CREDITS (DEBITS) ........... (34) 795 1,230 300 76 181
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ....................... (5,251) (4,508) (5,400) (2,184) (976) (815)
Capital gains ............................... (13) (12,566)
--------- --------- --------- --------- --------- ---------
Net decrease in net assets resulting from
distributions to shareholders .............. (5,251) (4,508) (5,400) (2,184) (989) (13,381)
--------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ................ 252,865 73,272 69,995 37,934 58,165 162,889
Dividend reinvestments ...................... 5,229 4,459 5,311 2,169 987 13,486
Cost of shares repurchased .................. (256,235) (23,707) (12,054) (6,248) (34,454) (43,568)
--------- --------- --------- --------- --------- ---------
Net increase in net assets derived from
capital share transactions ................. 1,859 54,024 63,252 33,855 24,698 132,807
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS .................. 1,799 59,087 73,773 38,278 48,290 151,411
--------- --------- --------- --------- --------- ---------
NET ASSETS
Beginning of year ........................... 94,150 25,338 53,219 21,489 81,451 49,374
--------- --------- --------- --------- --------- ---------
End of year ................................. $ 95,949 $ 84,425 $ 126,992 $ 59,767 $ 129,741 $ 200,785
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-17
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1995
(In thousands)
<TABLE>
<CAPTION>
Equity Multi- Bond and Equity Inter-
Income Strategy Equity Income Index national
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income....................... $ 2,063 $ 3,495 $ 235 $ 2,958 $ 1,791 $ 2,270
Net realized gain on investments
and foreign currency transactions........ 12,389 7,345 9,658 294 4,554 3,100
Net unrealized gain on investments
and foreign currency transactions........ 19,133 11,136 7,633 8,971 16,956 6,427
-------- -------- -------- ------- -------- --------
Net increase in net assets resulting
from operations.......................... 33,585 21,976 17,526 12,223 23,301 11,797
-------- -------- -------- ------- -------- --------
NET EQUALIZATION CREDITS.................... 430 272 35 288 1,864
-------- -------- -------- ------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income....................... (2,080) (3,457) (296) (2,958) (1,800) (3,358)
Capital gains............................... (55) (12) (6) (58)
-------- -------- -------- ------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders............ (2,135) (3,469) (296) (2,958) (1,806) (3,416)
-------- -------- -------- ------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................ 116,224 43,830 29,095 18,183 89,775 115,563
Dividend reinvestments...................... 2,129 3,449 296 2,958 1,801 3,370
Cost of shares repurchased.................. (18,663) (10,704) (11,610) (7,666) (16,452) (22,950)
-------- -------- -------- ------- -------- --------
Net increase in net assets derived from
capital share transactions............... 99,690 36,575 17,781 13,475 75,124 95,983
-------- -------- -------- ------- -------- --------
NET INCREASE IN NET ASSETS.................. 131,570 55,354 35,011 22,775 96,907 106,228
-------- -------- -------- ------- -------- --------
NET ASSETS
Beginning of year........................... 75,083 79,147 73,125 34,078 40,612 75,971
-------- -------- -------- ------- -------- --------
End of year................................. $206,653 $134,501 $108,136 $56,853 $137,519 $182,199
======== ======== ======== ======= ======== ========
</TABLE>
See Notes to Financial Statements.
A-18
<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 fourteen separate portfolios (the
"Portfolios"): the Money Market Portfolio, the High Yield Bond Portfolio, the
Managed Bond Portfolio, the Government Securities Portfolio, the Growth
Portfolio, the Aggressive Equity Portfolio, the Growth LT Portfolio, the
Equity Income Portfolio, the Multi-Strategy Portfolio, the Equity Portfolio,
the Bond and Income Portfolio, the Equity Index Portfolio, the International
Portfolio, and the Emerging Markets Portfolio. The assets of each Portfolio
are segregated and a shareholder's interest is limited to the Portfolio in
which shares are owned. At June 30, 1996, shares of the Fund were offered
only to Pacific Select, Pacific Select Exec, Pacific COLI, Pacific Select
Variable Annuity and Separate Account A 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 investment objective of each Portfolio is summarized in the following
table:
<TABLE>
<CAPTION>
<S> <C>
Money Market Current income consistent with preservation of capital.
High Yield Bond High level of current income.
Managed Bond Maximize total return consistent with prudent
investment management.
Government Securities Maximize total return consistent with prudent
investment management.
Growth Growth of capital.
Aggressive Equity Capital appreciation.
Growth LT Long-term growth of capital consistent with the
preservation of capital.
Equity Income Long-term growth of capital and income.
Multi-Strategy High total return.
Equity Capital appreciation.
Bond and Income High level of current income consistent with
prudent investment management and preservation
of capital.
Equity Index Provide investment results that correspond to
the total return performance of common stocks
publicly traded in the U.S.
International Long-term capital appreciation.
Emerging Markets Long-term growth of capital.
</TABLE>
The preparation of the accompanying financial statements requires management
to make estimates and assumptions that affect the reported amounts of assets
and liabilities at the date of the financial statements and the reported
amounts of income and expenses during the reporting period. Actual results
could differ from those estimates.
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, the Aggressive Equity Portfolio and the
Emerging Markets Portfolio which commenced operations on April 1, 1996, and
the Equity Portfolio and the Bond and Income Portfolio which commenced
operations on January 19, 1984 as series of the Pacific Corinthian Variable
Fund ("PCVF") (see next page).
A-19
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES (Continued)
On December 31, 1994, the Fund acquired substantially all the assets of each
of the series of PCVF, 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 four 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.
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 or about 4:00 p.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 Trustees of the Fund (such valuation methods were
used for approximately 7% and 25% of the Managed Bond and Government
Securities Portfolios' investments, respectively, as of June 30, 1996). 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.
A-20
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES (Continued)
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 the 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: Growth LT Portfolio - $50,894; Equity Income
Portfolio -$21,425; Multi-Strategy Portfolio - $6,950; Equity Portfolio -
$3,831; Equity Index Portfolio - $14,921; International Portfolio -
$657,589; Emerging Markets Portfolio - $9,729.
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, legal and audit fees
and proxy and shareholder meeting costs) are allocated among the Portfolios
in proportion to their relative average daily net assets. Expenses which
relate exclusively to a particular Portfolio (including advisory fees,
registration fees, brokerage commissions, interest expenses and certain
taxes) are borne directly by the particular Portfolio.
G. Organization Costs
Organization costs of $3,952 for the Growth LT Portfolio and $23,410
for the Aggressive Equity Portfolio and the Emerging Markets 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.
A-21
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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 Statements 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 $969,521 have been segregated with the custodian
to cover margin requirements for the following open interest rate futures
contracts at June 30, 1996:
<TABLE>
<CAPTION>
Number of Value per Unrealized
Type Contracts Contract Appreciation
---- --------- -------- ------------
<S> <C> <C> <C>
U.S. Treasury 5 year Notes (9/96) 466 $ 100,000 $ 245,984
U.S. Treasury 10 year Notes (9/96) 278 100,000 450,500
U.S. Treasury 30 year Bonds (9/96) 118 100,000 228,500
---------
$ 924,984
=========
</TABLE>
For the Government Securities Portfolio, securities with an
approximate aggregate market value of $688,913 have been segregated with
the custodian to cover margin requirements for the following open interest
rate futures contracts at June 30, 1996:
<TABLE>
<CAPTION>
Number of Value per Unrealized
Type Contracts Contract Appreciation
---- --------- -------- ------------
<S> <C> <C> <C>
U.S. Treasury 5 year Notes (9/96) 220 $ 100,000 $ 221,686
U.S. Treasury 10 year Notes (9/96) 148 100,000 250,813
U.S. Treasury 30 year Bonds (9/96) 128 100,000 99,250
---------
$ 571,749
=========
</TABLE>
A-22
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. DERIVATIVE FINANCIAL INSTRUMENTS (Continued)
For the Equity Index Portfolio, securities with an approximate
aggregate market value of $911,974 have been segregated with the custodian
to cover margin requirements for the following open stock index futures
contracts at June 30, 1996:
<TABLE>
<CAPTION>
Value per Unrealized
Type Contracts Index Point Appreciation
---- --------- ----------- ------------
<S> <C> <C> <C>
S & P 500 (9/96) 74 $500 $ 16,433
=========
</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, 1996. 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 to rising 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.
For the Managed Bond Portfolio, transactions in options for the period
ended June 30, 1996 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
--------- --------
<S> <C> <C>
Outstanding, December 31, 1995 0 $ 0
Options written 166 110,901
Options exercised (65) (28,088)
Options expired (66) (68,235)
Options repurchased (35) (14,578)
--------- --------
Outstanding, June 30, 1996 0 $ 0
========= ========
</TABLE>
For the Government Securities Portfolio, transactions in options for the
period ended June 30, 1996 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
--------- --------
<S> <C> <C>
Outstanding, December 31, 1995 0 $ 0
Options written 75 31,089
Options exercised (30) (12,964)
Options expired (30) (11,878)
Options repurchased (15) (6,247)
--------- --------
Outstanding, June 30, 1996 0 $ 0
========= ========
</TABLE>
A-23
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. DERIVATIVE FINANCIAL INSTRUMENTS (Continued)
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.
For the Managed Bond Portfolio, the following forward foreign currency
contracts were outstanding at June 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Buy 14,392,027 German Deutschmark 12/16/96 $ (37,199)
Buy 776,557 German Deutschmark 03/26/97 1,036
Sell 11,395,611 German Deutschmark 12/16/96 659,313
Sell 4,579,129 German Deutschmark 03/26/97 160,323
-----------
$ 783,473
===========
</TABLE>
For the Government Securities Portfolio, the following forward foreign
currency contracts were outstanding at June 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Buy 7,115,615 German Deutschmark 12/16/96 $ (18,391)
Buy 321,678 German Deutschmark 03/26/97 429
Sell 4,994,373 German Deutschmark 12/16/96 288,958
Sell 2,827,920 German Deutschmark 03/26/97 99,010
------------
$ 370,006
============
</TABLE>
For the Growth LT Portfolio, the following forward foreign currency
contracts were outstanding at June 30, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Buy 1,351,868 British Pound 10/01/96 $ 29,056
Sell 3,498,530 British Pound 10/01/96 (70,150)
Sell 924,018 British Pound 12/04/96 (7,002)
</TABLE>
A-24
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
2. DERIVATIVE FINANCIAL INSTRUMENTS (Continued)
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Buy 222,366 Finnish Mark 08/12/96 $ (6,187)
Sell 419,593 Finnish Mark 07/15/96 29,314
Sell 651,650 Finnish Mark 08/12/96 3,113
Sell 105,530 Finnish Mark 10/22/96 (2,848)
Sell 97,167 Finnish Mark 11/12/96 (3,306)
Buy 749,702 German Deutschmark 07/15/96 (27,633)
Sell 922,006 German Deutschmark 07/15/96 61,431
Sell 643,595 German Deutschmark 08/08/96 25,045
Sell 836,349 German Deutschmark 08/12/96 31,011
Sell 2,445,214 German Deutschmark 09/13/96 8,117
Sell 1,332,445 German Deutschmark 10/22/96 11,703
Sell 627,192 German Deutschmark 12/04/96 (581)
Buy 1,046,787 Italian Lira 08/09/96 24,503
Buy 1,754,554 Italian Lira 11/15/96 18,153
Sell 1,865,556 Italian Lira 08/09/96 (82,243)
Sell 2,226,718 Italian Lira 11/15/96 (29,454)
Buy 791,381 Japanese Yen 09/12/96 (40,520)
Buy 1,678,715 Japanese Yen 10/01/96 (63,132)
Buy 292,683 Japanese Yen 10/22/96 (14,897)
Sell 791,765 Japanese Yen 09/12/96 40,904
Sell 1,687,967 Japanese Yen 10/01/96 72,384
Sell 287,908 Japanese Yen 10/22/96 10,104
Sell 605,144 Swedish Krona 07/25/96 (27,044)
Sell 3,422,925 Swedish Krona 10/22/96 (43,489)
Sell 840,599 Swedish Krona 12/04/96 4,109
Buy 2,689,958 Swiss Franc 09/12/96 (42,545)
Buy 612,565 Swiss Franc 10/01/96 (9,962)
Sell 2,806,480 Swiss Franc 09/12/96 159,068
Sell 641,849 Swiss Franc 10/01/96 39,245
------------
$ 96,267
============
</TABLE>
A-25
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
3. INVESTMENT ADVISORY, AGENCY, AND DISTRIBUTION AGREEMENTS
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 High Yield Bond, Managed Bond, Government
Securities, and Bond and Income Portfolios, an annual rate of .60% of
average daily net assets of each of the Portfolios; for the Growth, Equity
Income, Multi-Strategy and Equity Portfolios, an annual rate of .65% of
average daily net assets of each of the Portfolios; for the Aggressive
Equity Portfolio, an annual rate of .80% of the average daily net assets of
the Portfolio; for the Growth LT Portfolio, an annual rate of .75% 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; for the International Portfolio,
an annual rate of .85% of the average daily net assets of the Portfolio;
and for the Emerging Markets Portfolio, an annual rate of 1.10% of the
average daily net assets of the Portfolio. The fees are accrued daily.
The Fund and Pacific Mutual also entered into an Agreement for Support
Services effective October 1, 1995, pursuant to which Pacific Mutual
provides support services that are outside the scope of Pacific Mutual's
responsibilities under the Advisory Contract. Under the Agreement, the Fund
compensates Pacific Mutual for its expenses in providing support services
to the Fund in connection with various matters including the expense of
registering and qualifying the Fund on State and Federal levels, providing
legal and accounting services, maintaining the Fund's legal existence,
shareholders' meetings and expenses associated with preparing, printing and
distributing reports, proxies and prospectuses to existing shareholders.
Pacific Mutual provides these support services to the Fund on a cost
reimbursement basis.
Pursuant to Portfolio Management Agreements, the Fund and Pacific
Mutual employ portfolio managers for twelve of the fourteen Portfolios 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 Mutual Distributors, Inc. (formerly known as Pacific Equities
Network), a wholly-owned 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 service costs are accrued under the
Custody Agreement 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
and the Emerging Markets 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 1995 to qualify as a
regulated investment company, and is not required 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 1996 to avoid Federal
income and capital gains taxes, pursuant to the Code.
A-26
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
5. DISTRIBUTIONS TO SHAREHOLDERS (Continued)
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 $5,883,770 of investment advisory fees and
$45,532 of support services expenses to Pacific Mutual for the period ended
June 30, 1996 (Note 3). As of June 30, 1996, $1,117,639 and $45,532
respectively, remained payable.
Pacific Mutual has voluntarily undertaken to waive its fees 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, 1997. For the period ended June 30, 1996, the operating expenses for
each of the Portfolios except for the Aggressive Equity Portfolio and the
Emerging Markets Portfolio were under the 0.25% expense cap and the Fund
had accrued $27,380 as an expense reimbursement from Pacific Mutual. The
receivable balance which is netted against accrued advisory fees on the
statements of assets and liabilities, was $27,380 as of June 30, 1996.
Certain officers and directors of Pacific Mutual are also officers and
trustees of the Fund.
7. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments)
for the period ended June 30, 1996 were as follows:
<TABLE>
<CAPTION>
U.S. Government Securities Other Securities
Purchases Sales Purchases Sales
--------- ----- --------- -----
<S> <C> <C> <C> <C>
High Yield Bond Portfolio $ 98,130,322 $ 61,509,844
Managed Bond Portfolio $ 139,264,484 $ 72,254,059 151,269,449 153,504,266
Government Securities Portfolio 47,883,451 8,234,004 85,845,790 67,802,243
Growth Portfolio 54,480,624 49,197,822
Aggressive Equity Portfolio 22,596,313 1,463,033
Growth LT Portfolio 290,306,683 204,297,799
Equity Income Portfolio 190,966,746 112,894,771
Multi-Strategy Portfolio 42,842,640 25,714,776 121,404,193 103,449,205
Equity Portfolio 79,960,328 44,699,301
Bond and Income Portfolio 9,778,594 12,091,680 4,542,030
Equity Index Portfolio 83,019,592 6,144,338
International Portfolio 105,371,537 12,421,668
Emerging Markets Portfolio 19,621,547 1,857,530
</TABLE>
No activity is shown for the Money Market Portfolio since it trades
exclusively in short-term debt securities.
A-27
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unauditd)
8. FEDERAL TAX BASIS ON PORTFOLIOS
Unrealized appreciation (depreciation) at June 30, 1996 based on cost of
investments for federal income tax purposes was as follows:
<TABLE>
<CAPTION>
Net
Gross Gross Unrealized
Unrealized Unrealized Appreciation
Tax Cost Basis Appreciation Depreciation (Depreciation)
-------------- ------------ ------------- --------------
<S> <C> <C> <C> <C>
High Yield Bond Portfolio 122,397,637 1,228,542 (2,130,605) (902,063)
Managed Bond Portfolio 187,433,187 1,300,807 (634,538) 666,269
Government Securities Portfolio 90,171,247 366,160 (377,470) (11,310)
Growth Portfolio 137,445,589 24,737,724 (8,971,984) 15,765,740
Aggressive Equity Portfolio 25,634,014 1,104,869 (950,495) 154,374
Growth LT Portfolio 284,006,174 37,019,583 (8,164,419) 28,855,164
Equity Income Portfolio 279,640,205 23,529,264 (6,782,321) 16,746,943
Multi-Strategy Portfolio 167,154,040 6,814,009 (3,223,490) 3,590,519
Equity Portfolio 126,305,422 40,710,576 (612,498) 40,098,078
Bond and Income Portfolio 68,022,057 1,539,497 (2,824,201) (1,284,704)
Equity Index Portfolio 203,676,123 33,497,659 (1,543,277) 31,954,382
International Portfolio 286,258,725 37,675,888 (10,853,205) 26,822,683
Emerging Markets Portfolio 19,796,064 762,431 (560,489) 201,942
</TABLE>
A-28
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
9. SHARES OF BENEFICIAL INTEREST
Transactions in fund shares for the period ended June 30, 1996 and the
year ended December 31, 1995 were as follows:
Money Market Portfolio High Yield Bond Portfolio Managed Bond Portfolio
--------------------------------- ------------------------------- --------------------------------
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 9,578,766 9,390,330 8,621,642 2,842,865 11,439,669 5,375,772
Shares sold 17,661,907 25,343,548 5,378,530 7,806,880 4,966,111 6,714,926
Distributions reinvested 301,877 524,082 553,321 472,260 559,140 506,029
Shares redeemed (10,774,533) (25,679,194) (1,800,516) (2,500,363) (402,345) (1,157,058)
----------- ----------- ---------- ---------- ---------- ----------
Ending Balances 16,768,017 9,578,766 12,752,977 8,621,642 16,562,575 11,439,669
=========== =========== ========== ========== ========== ==========
<CAPTION>
Government Securities Portfolio Growth Portfolio Aggressive Equity Portfolio
--------------------------------- ------------------------------- --------------------------------
1996 1995 1996 1995 1996 1995*
---- ---- ---- ---- ---- -----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 5,511,273 2,229,122 6,988,012 5,467,523 0 0
Shares sold 2,871,031 3,681,411 1,182,165 3,533,055 2,291,793 --
Distributions reinvested 287,782 209,247 492,797 58,016 904 --
Shares redeemed (648,548) (608,507) (925,288) (2,070,582) (9,115) --
---------- ---------- ---------- ---------- ---------- ----------
Ending Balances 8,021,538 5,511,273 7,737,686 6,988,012 2,283,582 0
========== ========== ========== ========== ========== ==========
<CAPTION>
Growth LT Portfolio Equity Income Portfolio Multi-Strategy Portfolio
--------------------------------- ------------------------------- --------------------------------
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 14,221,253 4,442,921 11,350,872 5,342,866 9,470,952 6,746,932
Shares sold 8,271,725 12,137,609 5,033,137 7,041,236 2,365,806 3,299,929
Distributions reinvested 84,819 962,783 747,259 128,064 699,667 262,384
Shares redeemed (2,428,057) (3,322,060) (846,634) (1,161,294) (361,941) (838,293)
---------- ---------- ---------- ---------- ---------- ----------
Ending Balances 20,149,740 14,221,253 16,284,634 11,350,872 12,174,484 9,470,952
========== ========== ========== ========== ========== ==========
<CAPTION>
Equity Portfolio Bond and Income Portfolio Equity Index Portfolio
--------------------------------- ------------------------------- --------------------------------
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 6,174,016 5,148,862 4,367,735 3,269,303 7,880,313 3,118,551
Shares sold 2,154,470 1,727,815 1,553,788 1,500,665 5,252,205 5,687,418
Distributions reinvested 459,879 19,835 184,061 248,058 351,679 113,444
Shares redeemed (511,607) (722,496) (257,436) (650,291) (686,282) (1,039,100)
----------- ---------- ---------- ---------- ---------- ----------
Ending Balances 8,276,758 6,174,016 5,848,148 4,367,735 12,797,915 7,880,313
========== ========== ========== ========== ========== ==========
<CAPTION>
International Portfolio Emerging Markets Portfolio
--------------------------------- -------------------------------
1996 1995 1996 1995*
---- ---- ---- -----
<S> <C> <C> <C> <C>
Beginning Balances 14,089,635 6,360,464 0 0
Shares sold 8,181,735 9,289,337 1,995,721 --
Distributions reinvested 180,915 263,214 0 --
Shares redeemed (758,952) (1,823,380) (14,044) --
---------- ---------- ---------- ----------
Ending Balances 21,693,333 14,089,635 1,981,677 0
========== ========== ========== ==========
</TABLE>
* Portfolio commenced operations subsequent to December 31, 1995.
A-29
<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,
----------- ------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.02 $10.03 $9.99 $9.96 $9.94 $9.94
-------- -------- ------- ------- ------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.23 0.54 0.33 0.23 0.29 0.56
Net realized and unrealized gain on securites 0.01 0.00 0.04 0.03 0.02 0.00
-------- -------- ------- ------- ------- -------
Total from Investment Operations 0.24 0.54 0.37 0.26 0.31 0.56
-------- -------- ------- ------- ------- -------
Distributions
- -------------
Dividends (from net investement income) (0.23) (0.55) (0.33) (0.23) (0.29) (0.56)
-------- -------- ------- ------- ------- -------
Total Distributions (0.23) (0.55) (0.33) (0.23) (0.29) (0.56)
-------- -------- ------- ------- ------- -------
Net Asset Value, End of Period $10.03 $10.02 $10.03 $9.99 $9.96 $9.94
======== ======== ======= ======= ======= =======
- ---------------------------
Total return 2.45% 5.54% 3.76% 2.58% 3.22% 5.74%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $168,125 $95,949 $94,150 $33,910 $23,905 $14,502
Ratio of expenses to average net assets 0.53%* 0.53% 0.64% 0.65% 0.65% 0.65%
Ratio of net investment income to average net assets 4.94%* 5.41% 3.94% 2.56% 3.13% 5.53%
Portfolio turnover rate N/A N/A N/A N/A N/A N/A
</TABLE>
- ----------------
* Ratios are annualized.
A-30
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
High Yield Bond Portfolio
-------------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- ------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $9.79 $8.91 $9.67 $9.24 $8.54 $7.84
-------- -------- ------- ------- ------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.40 0.76 0.73 0.86 0.87 0.91
Net realized and unrealized gain (loss) on securites (0.18) 0.88 (0.70) 0.77 0.69 0.95
-------- -------- ------- ------- ------- -------
Total from Investment Operations 0.22 1.64 0.03 1.63 1.56 1.86
-------- -------- ------- ------- ------- -------
Distributions
- -------------
Dividends (from net investment income) (0.39) (0.76) (0.73) (0.86) (0.86) (0.91)
Distributions (from capital gains) (0.10) 0.00 (0.06) (0.34) 0.00 (0.25)
-------- -------- ------- ------- ------- -------
Total Distributions (0.49) (0.76) (0.79) (1.20) (0.86) (1.16)
-------- -------- ------- ------- ------- -------
Net Asset Value, End of Period $9.52 $9.79 $8.91 $9.67 $9.24 $8.54
======== ======== ======= ======= ======= =======
- ---------------------------
Total return 2.28% 18.87% 0.42% 18.01% 18.72% 24.58%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $121,378 $84,425 $25,338 $16,017 $14,152 $10,356
Ratio of expenses to average net assets 0.76%* 0.77% 0.88% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 8.64%* 8.51% 8.13% 8.37% 9.46% 10.77%
Portfolio turnover rate 64.14% 127.31% 141.86% 185.83% 186.23% 149.20%
</TABLE>
- ----------------
* Ratios are annualized.
A-31
<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,
----------- ------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $11.10 $9.90 $10.89 $10.62 $10.79 $10.35
-------- -------- ------- ------- ------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.23 0.65 0.50 0.52 0.68 0.82
Net realized and unrealized gain (loss) on securities (0.38) 1.19 (0.98) 0.70 0.23 0.88
-------- -------- ------- ------- ------- -------
Total from Investment Operations (0.15) 1.84 (0.48) 1.22 0.91 1.70
-------- -------- ------- ------- ------- -------
Distributions
- -------------
Dividends (from net investment income) (0.23) (0.64) (0.50) (0.52) (0.67) (0.82)
Distributions (from capital gains) (0.22) 0.00 (0.01) (0.43) (0.41) (0.44)
-------- -------- ------- ------- ------- -------
Total Distributions (0.45) (0.64) (0.51) (0.95) (1.08) (1.26)
-------- -------- ------- ------- ------- -------
Net Asset Value, End of Period $10.50 $11.10 $9.90 $10.89 $10.62 $10.79
======== ======== ======= ======= ======= =======
- ----------------------------------------
Total return (1.38)% 19.04% (4.36)% 11.63% 8.68% 17.03%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $173,937 $126,992 $53,219 $43,116 $26,406 $16,645
Ratio of expenses to average net assets 0.75%* 0.76% 0.84% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 5.85%* 6.04% 5.04% 4.74% 6.39% 7.74%
Portfolio turnover rate 175.65% 191.39% 127.95% 163.11% 89.55% 80.96%
</TABLE>
- ----------------
* Ratios are annualized.
A-32
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Government Securities Portfolio
-------------------------------
For the period
ended June 30,
(Unaudited) For the year ended December 31,
----------- ------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.84 $9.64 $10.64 $10.48 $10.55 $10.07
-------- -------- ------- ------- ------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.21 0.58 0.44 0.34 0.51 0.69
Net realized and unrealized gain (loss) on securites (0.43) 1.19 (0.99) 0.78 0.27 0.93
-------- -------- ------- ------- ------- -------
Total from Investment Operations (0.22) 1.77 (0.55) 1.12 0.78 1.62
-------- -------- ------- ------- ------- -------
Distributions
- -------------
Dividends (from net investment income) (0.21) (0.57) (0.44) (0.34) (0.51) (0.71)
Distributions (from capital gains) (0.22) 0.00 (0.01) (0.62) (0.34) (0.43)
-------- -------- ------- ------- ------- -------
Total Distributions (0.43) (0.57) (0.45) (0.96) (0.85) (1.14)
-------- -------- ------- ------- ------- -------
Net Asset Value, End of Period $10.19 $10.84 $9.64 $10.64 $10.48 $10.55
======== ======== ======= ======= ======= =======
- ------------------------------
Total return (2.08)% 18.81% (5.10)% 10.79% 7.52% 16.67%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $81,768 $59,767 $21,489 $23,584 $17,701 $10,841
Ratio of expenses to average net assets 0.80%* 0.82% 0.88% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 5.35%* 5.58% 4.29% 3.15% 4.95% 6.90%
Portfolio turnover rate 129.28% 298.81% 232.99% 402.37% 212.31% 110.74%
</TABLE>
---------------
* Ratios are annualized.
A-33
<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,
----------- -------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $18.57 $14.90 $18.20 $15.76 $13.70 $10.09
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.04 0.15 0.10 0.08 0.11 0.15
Net realized and unrealized gain (loss) on securities 2.28 3.67 (2.01) 3.37 2.69 3.78
------ ------ ------ ------ ------ ------
Total from Investment Operations 2.32 3.82 (1.91) 3.45 2.80 3.93
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.04) (0.15) (0.10) (0.08) (0.11) (0.15)
Distributions (from capital gains) (1.22) 0.00 (1.29) (0.93) (0.63) (0.17)
------ ------ ------ ------ ------ ------
Total Distribution (1.26) (0.15) (1.39) (1.01) (0.74) (0.32)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $19.63 $18.57 $14.90 $18.20 $15.76 $13.70
====== ====== ====== ====== ====== ======
- ---------------------------
Total Return 12.90% 25.75% (10.49%) 21.89% 20.53% 39.15%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $151,893 $129,741 $81,451 $77,405 $34,747 $13,482
Ratio of expenses to average net assets 0.78%* 0.79% 0.86% 0.71% 0.75% 0.75%
Ratio of net investment income to average net assets 0.41%* 0.88% 0.58% 0.51% 0.81% 1.31%
Portfolio turnover rate 35.79% 46.76% 40.42% 35.08% 39.97% 31.48%
</TABLE>
- ----------------
* 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>
Aggressive Equity Portfolio Growth LT Portfolio
--------------------------- -------------------
For the period For the period
ended June 30, ended June 30, For the year ended
(Unaudited) (Unaudited) December 31,
----------- ----------- ------------
1996 (1) 1996 1995 1994 (2)
------- ---- ---- -------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $10.00 $14.12 $11.11 $10.00
------ ------ ------ ------
Income from investment Operations
- ---------------------------------
Net investment income 0.01 0.10 0.10 0.10
Net realized and unrealized gain on securities 0.54 1.55 3.96 1.21
------ ------ ------ ------
Total from Investment Operations 0.55 1.65 4.06 1.31
------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.01) (0.08) (0.10) (0.12)
Distributions (from capital gains) 0.00 0.00 (0.95) (0.08)
------ ------ ------ ------
Total Distributions (0.01) (0.08) (1.05) (0.20)
------ ------ ------ ------
Net Asset Value, End of Period $10.54 $15.69 $14.12 $11.11
====== ====== ====== ======
- -----------------------------------
Total Return 5.55% 11.71% 36.75% 13.25%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $24,079 $316,204 $200,785 $49,374
Ratio of expenses to average net assets 1.03%* 0.92%* 0.94% 1.08%*
Ratio of net investment income to average net assets 0.24%* 0.97%* 0.90% 1.32%*
Portfolio turnover rate 10.66% 94.35% 165.83% 257.20%
</TABLE>
- -------------------
* Ratios are annualized.
(1) Information is for the period from April 1, 1996 (commencement of
operations) to June 30, 1996.
(2) Information is for the period from January 4, 1994 (commencement of
operations) to December 31, 1994.
A-35
<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,
----------- -------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $18.21 $14.05 $15.52 $15.11 $14.74 $11.64
------ ------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.13 0.26 0.20 0.26 0.19 0.32
Net realized and unrealized gain (loss) on securities 1.12 4.16 (0.25) 0.98 0.59 3.28
------ ------ ------ ------ ------ ------
Total from Investment Operations 1.25 4.42 (0.05) 1.24 0.78 3.60
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.12) (0.26) (0.20) (0.26) (0.19) (0.32)
Distributions (from capital gains) (0.91) 0.00 (1.22) (0.57) (0.22) (0.18)
------ ------ ------ ------ ------ ------
Total Distributions (1.03) (0.26) (1.42) (0.83) (0.41) (0.50)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $18.43 $18.21 $14.05 $15.52 $15.11 $14.74
====== ====== ====== ====== ====== ======
- ---------------------------------------------------
Total Return 6.99% 31.66% (0.28)% 8.29% 5.36% 31.42%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $300,094 $206,653 $75,083 $33,356 $22,021 $12,117
Ratio of expenses to average net assets** 0.80%* 0.83% 0.94% 0.75% 0.75% 0.76%
Ratio of net investment income to average net assets 1.43%* 1.59% 1.39% 1.74% 1.39% 2.49%
Portfolio turnover rate 46.53% 86.47% 134.57% 27.67% 18.52% 17.43%
</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-36
<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,
---------------- -------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $14.20 $11.73 $12.66 $12.18 $11.99 $10.14
------ ------ ------ ------ ------ ------
Income from investment Operations
- ---------------------------------
Net investment income 0.24 0.45 0.32 0.35 0.37 0.46
Net realized and unrealized gain (loss) on securities 0.23 2.47 (0.51) 0.77 0.27 1.93
------ ------ ------ ------ ------ ------
Total from Investment Operations 0.47 2.92 (0.19) 1.12 0.64 2.39
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.27) (0.45) (0.32) (0.35) (0.37) (0.45)
Distributions (from capital gains) (0.65) 0.00 (0.42) (0.29) (0.08) (0.09)
------ ------ ------ ------ ------ ------
Total Distributions (0.92) (0.45) (0.74) (0.64) (0.45) (0.54)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $13.75 $14.20 $11.73 $12.66 $12.18 $11.99
====== ====== ====== ====== ====== ======
- ---------------------------
Total return 3.37% 25.25% (1.50)% 9.25% 5.57% 24.03%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $167,412 $134,501 $79,147 $41,448 $19,931 $10,454
Ratio of expenses to average net assets** 0.82%* 0.84% 0.94% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 3.31%* 3.49% 2.78% 3.01% 3.36% 4.30%
Portfolio turnover rate 88.99% 176.45% 187.40% 27.87% 16.52% 11.24%
</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-37
<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,
---------------- -------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $17.52 $14.20 $14.94 $14.39 $14.83 $11.71
------ ------ ------ ------ ------ ------
Income from investment Operations
- ---------------------------------
Net investment income 0.00 0.05 0.32 0.22 0.19 0.33
Net realized and unrealized gain (loss) on securities 4.04 3.33 (0.74) 1.90 0.49 3.12
------ ------ ------ ------ ------ ------
Total from Investment Operations 4.04 3.38 (0.42) 2.12 0.68 3.45
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) 0.00 (0.06) (0.32) (0.22) (0.19) (0.33)
Distributions (from capital gains) (1.18) 0.00 0.00 (0.81) (0.93) 0.00
Return of capital 0.00 0.00 0.00 (0.54) 0.00 0.00
------ ------ ------ ------ ------ ------
Total Distributions (1.18) (0.06) (0.32) (1.57) (1.12) (0.33)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $20.38 $17.52 $14.20 $14.94 $14.39 $14.83
====== ====== ====== ====== ====== ======
- ----------------------------------------
Total return 23.84% 23.80% (2.87%) 16.06% 6.30% 29.77%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $168,644 $108,136 $73,125 $84,791 $81,902 $107,366
Ratio of expenses to average net assets 0.79%* 0.80% 0.96% 0.93% 0.93% 0.91%
Ratio of net investment income (loss)
to average net assets (0.11)%* 0.27% 2.19% 1.52% 1.30% 2.52%
Portfolio turnover rate 32.97% 226.45% 178.63% 229.77% 242.37% 449.75%
</TABLE>
- -----------------
* Ratios are annualized.
A-38
<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,
----------- -------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $13.02 $10.42 $13.05 $11.70 $11.69 $10.27
------ ------ ------ ------ ------ ------
Income from investment Operations
- ---------------------------------
Net investment income 0.40 0.82 0.83 0.87 0.89 0.93
Net realized and unrealized gain (loss) on securities (1.35) 2.59 (1.87) 1.35 0.01 1.42
------ ------ ------ ------ ------ ------
Total from Investment Operations (0.95) 3.41 (1.04) 2.22 0.90 2.35
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.39) (0.81) (0.83) (0.86) (0.89) (0.93)
Distributions (in excess of net investment income) 0.00 0.00 0.00 (0.01) 0.00 0.00
Distributions (from capital gains) (0.03) 0.00 (0.53) 0.00 0.00 0.00
Return of capital 0.00 0.00 (0.23) 0.00 0.00 0.00
------ ------ ------ ------ ------ ------
Total Distributions (0.42) (0.81) (1.59) (0.87) (0.89) (0.93)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $11.65 $13.02 $10.42 $13.05 $11.70 $11.69
- ------------------------------ ====== ====== ====== ====== ====== ======
Total return (7.35)% 33.71% (8.36%) 19.39% 8.09% 24.32%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $68,128 $56,853 $34,078 $43,223 $42,731 $59,323
Ratio of expenses to average net assets 0.77%* 0.80% 0.93% 0.84% 0.85% 0.78%
Ratio of net investment income to average net assets 6.80%* 6.93% 7.25% 6.86% 7.67% 8.70%
Portfolio turnover rate 7.52% 51.84% 31.97% 41.92% 21.99% 131.40%
</TABLE>
- ---------------
* Ratios are annualized.
A-39
<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,
----------- -------------------------------
1996 1995 1994 1993 1992 1991(1)
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $17.45 $13.02 $13.24 $12.43 $11.98 $10.00
------ ------ ------ ------ ------ ------
Income from investment Operations
- ---------------------------------
Net investment income 0.18 0.34 0.30 0.29 0.29 0.30
Net realized and unrealized gain (loss) on securities 1.50 4.43 (0.18) 0.86 0.53 2.16
------ ------ ------ ------ ------ ------
Total from Investment Operations 1.68 4.77 0.12 1.15 0.82 2.46
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.18) (0.34) (0.30) (0.29) (0.29) (0.30)
Distributions (from capital gains) (0.45) 0.00 (0.04) (0.05) (0.08) (0.18)
------ ------ ------ ------ ------ ------
Total Distributions (0.63) (0.34) (0.34) (0.34) (0.37) (0.48)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $18.50 $17.45 $13.02 $13.24 $12.43 $11.98
- ------------------------------ ====== ====== ====== ====== ====== ======
Total return 9.73% 36.92% 1.05% 9.38% 6.95% 24.88%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $236,694 $137,519 $40,612 $33,836 $23,030 $15,205
Ratio of expenses to average net assets** 0.37%* 0.42% 0.51% 0.50% 0.50% 0.50%*
Ratio of net investment income to average net assets 2.04%* 2.26% 2.37% 2.34% 2.53% 3.03%*
Portfolio turnover rate 3.71% 7.52% 2.02% 1.15% 3.52% 4.26%
</TABLE>
- ----------------
* Ratios are annualized.
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
(1) Information is for the period from January 30, 1991 (commencement of
operations) to December 31, 1991.
A-40
<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,
----------- -------------------------------
1996 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $12.93 $11.94 $12.09 $ 9.38 $10.59 $ 9.72
------ ------ ------ ------ ------ ------
Income from investment Operations
- ---------------------------------
Net investment income 0.23 0.33 0.07 0.09 0.15 0.13
Net realized and unrealized gain (loss) on securities 1.12 0.91 0.30 2.73 (1.19) 0.94
------ ------ ------ ------ ------ ------
Total from Investment Operations 1.35 1.24 0.37 2.82 (1.04) 1.07
------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net investment income) (0.02) (0.25) (0.07) (0.09) (0.17) (0.17)
Distributions (in excess of net investment income) 0.00 0.00 0.00 (0.02) 0.00 0.00
Distributions (from capital gains) (0.12) 0.00 (0.45) 0.00 0.00 (0.03)
------ ------ ------ ------ ------ ------
Total Distributions (0.14) (0.25) (0.52) (0.11) (0.17) (0.20)
------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $14.14 $12.93 $11.94 $12.09 $ 9.38 $10.59
====== ====== ====== ====== ====== ======
- ---------------------------
Total return 10.45% 10.56% 3.01% 30.02% (9.78)% 10.92%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $306,780 $182,199 $75,971 $30,574 $19,402 $18,239
Ratio of expenses to average net assets** 1.11%* 1.12% 1.22% 1.04% 1.05% 1.04%
Ratio of net investment income to average net assets 3.73%* 1.87% 1.28% 0.92% 1.43% 1.19%
Portfolio turnover rate 5.69% 16.07% 52.22% 46.48% 38.99% 69.71%
</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-41
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Emerging Markets Portfolio
---------------------------
For the period
ended June 30,
(Unaudited)
1996 (1)
--------
<S> <C>
Net Asset Value, Beginning of Period $10.00
------
Income from investment Operations
- ---------------------------------
Net investment income 0.04
Net realized and unrealized gain on securities 0.15
------
Total from Investment Operations 0.19
------
Distributions
- -------------
Dividends (from net investment income) 0.00
Distributions (from capital gains) 0.00
------
Total Distributions 0.00
------
Net Asset Value, End of Period $10.19
======
- ------------------------------
Total return 1.88%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $20,193
Ratio of expenses to average net assets 1.46%*
Ratio of net investment income to average net assets 2.07%*
Portfolio turnover rate 12.82%
</TABLE>
- -----------------
* Ratios are annualized.
(1) Information is for the period from April 1, 1996 (commencement of
operations) to June 30, 1996.
A-42
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----------
<S> <C> <C>
COMMERCIAL PAPER - 99.89%
Alabama Power Co
5.290% due 07/09/96 4,000,000 3,995,299
American General Finance
5.370% due 07/02/96 6,500,000 6,499,031
Ameritech Capital Fund
5.310% due 08/05/96 3,000,000 2,984,514
Associate Corp of North America
5.360% due 07/03/96 2,000,000 1,999,405
5.360% due 07/29/96 3,000,000 2,987,493
Avnet Inc
5.320% due 08/07/96 4,500,000 4,475,396
5.340% due 07/11/96 2,000,000 1,997,033
5.390% due 08/07/96 500,000 497,230
Bayshore Fuel
5.320% due 07/24/96 3,000,000 2,989,804
5.340% due 07/09/96 2,973,000 2,969,473
Bell South
5.420% due 07/03/96 2,500,000 2,499,247
Cargill Inc
5.360% due 07/02/96 4,335,000 4,334,355
Case Equipment Loan Trust
5.000% due 02/15/97 2,644,634 2,643,971
Caterpillar Financial Asset Trust
5.418% due 05/27/97 2,583,740 2,583,740
Cooper Tire & Rubber
5.360% due 07/16/96 ~ 3,000,000 2,993,300
5.360% due 07/19/96 ~ 1,000,000 997,320
Echlin Inc
5.310% due 07/09/96 1,600,000 1,598,112
5.320% due 07/09/96 2,000,000 1,997,635
5.330% due 07/09/96 3,000,000 2,996,446
Engelhard Corp
5.290% due 07/15/96 3,000,000 2,993,828
5.300% due 07/15/96 2,000,000 1,995,878
FHLMC
5.250% due 01/29/97 5,000,000 5,000,227
FNMA
5.500% due 02/21/97 2,000,000 2,000,000
Ford Credit Auto Trust
5.670% due 07/15/97 7,000,000 7,000,000
Ford Motor Credit
5.360% due 07/29/96 3,000,000 2,987,493
General Electric Co
5.370% due 07/02/96 6,000,000 5,999,105
Great-West Life
5.320% due 07/12/96 2,000,000 1,996,748
5.370% due 08/09/96 3,000,000 2,982,547
Heinz (H.J.) Co
5.280% due 07/02/96 2,000,000 1,999,707
Home Depot Inc
5.350% due 07/01/99 5,000,000 5,000,000
Household FinanciaL Corp
5.320% due 08/01/96 2,000,000 1,990,838
IBM Credit Corp
5.320% due 07/17/96 3,500,000 3,491,724
5.360% due 07/17/96 3,000,000 2,992,853
Illinois Tool Works Inc
5.280% due 07/09/96 3,000,000 2,996,480
Nalco Chemical Co
5.340% due 07/22/96 2,000,000 1,993,770
National Rural Utility Corp
5.350% due 07/18/96 2,800,000 2,792,926
Northern Indiana Public Service
5.350% due 07/15/96 3,500,000 3,492,718
Olympic Auto Trust
5.250% due 03/15/97 1,268,042 1,268,042
Pepsico Inc
6.875% due 05/15/97 2,545,000 2,563,368
Portland General Electric
5.310% due 07/11/96 2,000,000 1,997,050
5.350% due 07/11/96 5,000,000 4,992,569
Rubbermaid Inc
5.320% due 07/29/96 4,000,000 3,983,448
5.320% due 07/29/96 ~ 2,000,000 1,991,724
5.400% due 07/11/96 2,000,000 1,997,000
Sallie Mae Global FRN
5.200% due 10/10/96 5,000,000 4,998,603
Sonoco Products Co
5.290% due 07/01/96 2,000,000 2,000,000
South Carolina Fuel Co
5.280% due 07/08/96 3,000,000 2,996,920
</TABLE>
~ Purchased in a private placement transaction; resale to the public may require
registration.
A-43
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Value
--------- ------------
<S> <C> <C>
COMMERCIAL PAPER - (Continued)
Temple Inland Inc
5.320% due 07/12/96 ~ $1,000,000 $ 998,374
5.370% due 07/18/96 ~ 3,500,000 3,491,125
USL Capital Corp
5.400% due 07/01/96 5,000,000 5,000,000
Warner-Lambert Co
5.400% due 07/03/96 6,000,000 5,998,200
Western Financial Auto
5.350% due 03/01/97 1,925,134 1,925,134
5.520% due 05/27/97 5,000,000 5,000,000
Wisconsin Electric Fuel Trust
5.340% due 07/25/96 3,291,000 3,279,284
------------
Total Commercial Paper 168,226,487
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 0.11%
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $190,063; collateralized
by U.S. Treasury Notes - market
value $198,586 and due 02/15/16) 190,000 190,000
------------
Total Securities Held Under Repurchase
Agreement 190,000
------------
Total Short-Term Investments
at Amortized Cost 168,416,487
------------
TOTAL MONEY MARKET PORTFOLIO
(COST $168,416,487) $168,416,487
============
</TABLE>
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-44
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
PREFERRED STOCKS - 0.99%
Consumer Discretionary - 0.99%
Cablevision Systems ~ 7,606 $ 713,063
Time Warner "K" 500 488,750
----------
Total Perferred Stocks (Cost $1,260,368) 1,201,813
----------
CONVERTIBLE PREFERRED STOCKS - 0.43%
Consumer Discretionary - 0.43%
Bally Entertainment 20,000 522,500
----------
Total Convertible Preferred Stocks
(Cost $393,700) 522,500
----------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 74.61%
Capital Goods - 8.23%
AAF-McQuay Inc
8.875% due 02/15/03 $ 2,000,000 1,902,500
BE Aerospace
9.750% due 03/01/03 1,500,000 1,531,875
9.875% due 02/01/06 1,500,000 1,479,375
Figgie International
9.875% due 10/01/99 1,000,000 1,015,000
International Semi-Tech
0.000% due 08/15/03 * 2,000,000 1,155,000
Portola Packaging
10.750% due 10/01/05 1,000,000 1,022,500
Waxman USA Inc
11.125% due 09/01/01 ~ 1,400,000 1,400,000
Westinghouse Air Brake
9.375% due 06/15/05 500,000 497,500
----------
10,003,750
----------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CONSUMER DISCRETIONARY - 37.98%
Aztar Corp
11.000% due 10/01/02 $ 1,000,000 $ 1,042,500
Benedek Broadcasting Corp
11.875% due 03/01/05 2,000,000 2,117,500
Cablevision System Corp
9.875% due 05/15/06 1,000,000 965,000
CF Cable TV
9.125% due 07/15/07 1,000,000 1,008,750
Clark Schwebel
10.500% due 04/15/06 ~ 500,000 516,250
Comcast Cellular
0.000% due 03/05/00 * 1,500,000 1,035,000
Comcast Corp
9.125% due 10/15/06 1,500,000 1,417,500
Continental Cablevision Inc
8.300% due 05/15/06 2,000,000 2,040,000
Diamond Cable
0.000% due 12/15/00 * 2,000,000 1,177,500
Ekco Group Inc
9.250% due 04/01/06 ~ 1,000,000 973,750
Four Seasons Hotel
9.125% due 07/01/00 ~ 1,500,000 1,500,000
Grand Casinos Inc
10.125% due 12/01/03 2,000,000 2,070,000
Granite Broadcasting
9.375% due 120/01/05 ~ 750,000 690,000
10.375% due 05/15/05 1,500,000 1,451,250
Hammons Hotel (John Q.)
8.875% due 02/15/04 500,000 470,000
9.750% due 10/01/05 2,500,000 2,437,500
Harrahs Operating Inc
8.750% due 03/15/00 1,000,000 1,007,500
Heritage Media
11.000% due 06/15/02 1,000,000 1,063,750
Hollinger International Publishing
9.250% due 02/01/06 500,000 461,250
Host Marriot Travel Plaza
9.500% due 05/15/05 3,000,000 2,872,500
JCAC Inc
10.125% due 06/15/06 1,000,000 996,250
K-III Communications
8.500% due 02/01/06 ~ 2,500,000 2,278,125
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-45
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principle Market
Amount Value
--------- ----------
<S> <C> <C>
Consumer Discretionary - (Continued)
Lenfest Communications Inc
8.375% due 11/01/05 $ 1,500,000 $ 1,372,500
10.500% due 06/15/06 1,500,000 1,509,375
Loewen Group International Inc
8.250% due 04/15/03 ~ 1,000,000 987,500
MFS Communications
0.000% due 01/15/01 * 2,000,000 1,215,000
Newsquest Capital Plc
11.000% due 05/01/06 ~ 750,000 749,063
Panamsat L.P.
9.750% due 08/01/00 1,000,000 1,038,750
Park Newspapers Inc
11.875% due 05/15/04 ~ 500,000 507,500
RHG Finance Corp
8.875% due 10/01/05 2,000,000 2,057,500
Resorts International Hotel
11.000% due 09/15/03 1,000,000 1,046,250
SCI Television
11.000% due 06/30/05 1,000,000 1,041,250
Station Casinos
9.625% due 06/01/03 2,000,000 1,930,000
Teleport Communication
9.875% due 07/01/06 1,500,000 1,500,000
Viacom International
10.250% due 09/15/01 1,000,000 1,072,500
Videotron Ltee
10.250% due 10/15/02 500,000 520,000
-----------
46,139,063
-----------
Consumer Staples - 5.47%
Chiquita Brands
9.125% due 03/01/04 500,000 487,500
Dominick's Finer Foods
10.875% due 05/01/05 1,000,000 1,062,500
Pathmark Stores
9.625% due 05/01/03 1,000,000 932,500
Ralph's Grocery Corp
10.450% due 06/15/04 1,000,000 957,500
Smiths Food & Drug Centers Inc
11.250% due 05/15/07 2,000,000 2,030,000
Southland Corp
5.000% due 12/15/03 1,500,000 1,173,750
-----------
6,643,750
-----------
Energy - 6.77%
Amerigas Partners L.P.
10.125% due 04/15/07 500,000 517,500
California Energy Cos Inc
9.875% due 06/30/03 1,500,000 1,537,500
Calpine Corp
10.500% due 05/15/06 ~ 1,500,000 1,515,000
Falcon Drilling Co
8.875% due 03/15/03 500,000 483,750
Ferrell Gas Partners L.P.
9.375% due 06/15/06 ~ 1,000,000 967,500
Giant Industries
9.750% due 11/15/03 2,000,000 1,980,000
Louis Dreyfus Natural Gas
9.250% due 06/15/04 500,000 511,250
Vintage Petroleum
9.000% due 12/15/05 750,000 708,750
-----------
8,221,250
-----------
Financial & Business Services - 1.27%
Phoenix Re Corp
9.750% due 08/15/03 1,000,000 1,055,000
Salomon Inc Mtn
6.100% due 06/15/00 250,000 239,548
7.240% due 05/27/03 250,000 245,000
-----------
1,539,548
-----------
Health Care - 8.30%
Abbey Healthcare
9.500% due 11/01/02 1,000,000 1,027,500
Genesis Health Care
9.750% due 06/15/05 500,000 508,750
Integrated Health
10.250% due 04/30/06 ~ 2,000,000 1,985,000
Magellan Health Service
11.250% due 04/15/04 1,000,000 1,080,000
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-46
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principle Market
Amount Value
--------- ----------
<S> <C> <C>
Health Care - (Continued)
Mariner Health Group
9.500% due 04/01/06 ~ $ 1,500,000 $ 1,462,500
Tenet Healthcare Corp
8.625% due 12/01/03 1,500,000 1,523,438
10.125% due 03/01/05 500,000 528,750
Universal Health Services
8.750% due 08/15/05 2,000,000 1,965,000
------------
10,080,938
------------
Materials & Processing - 4.57%
Algoma Steel Inc
12.375% due 07/15/05 1,000,000 980,000
Bell & Howell Operating Co
9.250% due 07/15/00 2,000,000 2,030,000
Owens Illinois Inc
10.250% due 04/01/99 500,000 508,125
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,000,000
USG Corp
9.250% due 09/15/01 1,000,000 1,030,000
------------
5,548,125
------------
Transportation - 0.81%
Greenwich Air
10.500% due 06/01/06 500,000 499,375
Santa Fe Pacific
8.375% due 07/01/05 500,000 483,750
------------
983,125
------------
Utilities - 1.21%
El Paso Electric
7.750% due 05/01/01 1,500,000 1,468,125
------------
1,468,125
------------
Total Corporate Bonds & Notes
(Cost $91,531,497) 90,627,674
------------
CONVERTIBLE BONDS - 3.59%
Consumer Staples - 0.35%
Chiquita Brands International Inc
7.000% due 03/28/01 $ 500,000 $ 431,250
------------
431,250
------------
Energy - 1.65%
AES Corp
10.250% due 07/15/06 2,000,000 2,007,500
------------
2,007,500
------------
Health Care - 0.81%
Alza Corp
5.000% due 05/01/06 500,000 483,750
AMSCO International Inc
6.500% due 10/15/02 500,000 500,048
------------
983,798
------------
Materials & Processing - 0.78%
FMC Gold
6.750% due 01/16/05 500,000 459,375
RFM Capital Ltd
2.750% due 05/30/06 ~ 500,000 485,000
------------
944,375
------------
Total Convertible Bonds
(COST $4,322,831) 4,366,923
FOREIGN BONDS - 14.74%
British Columbia - 1.07%
Hollinger Inc
0.000% due 10/05/13 * 4,000,000 1,305,000
------------
1,305,000
------------
Canada - 4.04%
Gulf Canada Resources
9.250% due 01/15/04 2,000,000 1,960,000
Rogers Cablesystems Debenture
10.000% due 12/01/07 1,000,000 975,625
</TABLE>
* Non-income producing securities.
~ 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, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principle Market
Amount Value
------ -----
<S> <C> <C>
Canada - (continued)
Rogers Cablesystems Limited
9.625% due 08/01/02 $ 500,000 $ 496,250
10.000% due 03/15/05 500,000 493,750
Rogers Cantel Inc
9.375% due 06/01/08 1,000,000 981,250
------------
4,906,875
------------
Hong Kong - 2.23%
New World Infrastructure
5.000% due 07/15/01 ~ 1,000,000 950,000
Peregrine Investment
4.500% due 12/01/00 1,000,000 840,000
PIV Investment Finance
4.500% due 12/01/00 ~ 1,100,000 924,000
------------
2,714,000
------------
Indonesia - 0.39%
PT Indah Kiat Pulp & Paper
8.875% due 11/01/00 500,000 479,373
------------
479,373
------------
Mexico - 1.66%
Grupo Televisa "A"
11.375% due 05/15/03 ~ 500,000 506,250
Grupo Televisa "B"
11.875% due 05/15/06 ~ 500,000 511,250
Liverpool El Puerto
7.250% due 10/19/96 1,000,000 995,000
------------
2,012,500
------------
Netherlands - 1.65%
GPA Holland Mtn
8.500% due 02/10/97 1,000,000 1,000,000
9.940% due 07/26/96 ~ 1,000,000 1,000,000
------------
2,000,000
------------
Philippines - 2.50%
FIL Investment Development Corp
2.500% due 05/15/06 ~ 1,000,000 1,030,000
Philippines Long Distance
9.250% due 06/30/06 2,000,000 2,010,000
------------
3,040,000
------------
United Kingdom - 1.20%
Telewest PLC
9.625% due 10/01/06 1,500,000 1,458,750
------------
1,458,750
------------
Total Foreign Bonds
(Cost $18,029,075) 17,916,498
------------
Total Investments in Securities
at Market Value (Cost $115,537,471) 114,635,408
------------
<CAPTION>
Value
-----
COMMERCIAL PAPER - 5.43%
Associated Corp of North America
5.350% due 07/02/96 3,000,000 2,999,554
Cargill Inc
5.360% due 07/02/96 600,000 599,911
General Electric Co
5.370% due 07/02/96 2,000,000 1,999,701
Sherwin-Williams
5.400% due 07/01/96 1,000,000 1,000,000
------------
Total Commercial Paper 6,599,166
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.21%
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $261,087; collateralized
by U.S. Treasury Notes - market
value $269,500 and due 08/01/22) 261,000 261,000
------------
Total Securities Held Under Repurchase
Agreement 261,000
------------
Total Short-term Investments
at Amortized Cost 6,860,166
------------
TOTAL HIGH YIELD BOND PORTFOLIO
(COST $122,397,637) $121,495,574
============
</TABLE>
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-48
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
CORPORATE BONDS & NOTES - 21.25%
Consumer Discretionary - 6.16%
<S> <C> <C>
Associated Corp Of North America
6.750% due 07/15/97 $ 1,650,000 $ 1,660,948
First Brands Corp
9.125% due 04/01/99 1,750,000 1,767,500
News America Holding
9.125% due 10/15/99 1,000,000 1,065,065
Time Warner Inc
6.460% due 08/15/00 250,000 251,066
8.110% due 08/15/06 750,000 746,576
8.180% due 08/15/07 3,500,000 3,493,157
9.150% due 02/01/23 2,500,000 2,591,425
----------
11,575,737
----------
Consumer Staples - 1.58%
RJR Holdings Capital Corp
8.000% due 07/15/01 3,000,000 2,979,069
----------
2,979,069
----------
Financial & Business Services - 5.33%
Advanta National Bank FRN
5.772% due 03/19/99 + 2,000,000 1,995,625
Chrysler Financial Corp
5.990% due 11/17/97 3,000,000 2,995,170
CTC Mansfield Funding
11.125% due 09/30/16 1,000,000 1,027,210
GMAC
4.950% due 02/03/97 1,000,000 993,640
5.250% due 12/06/96 1,000,000 997,140
8.125% due 01/13/97 2,000,000 2,021,440
----------
10,030,225
----------
Technology - 2.13%
TCI Communication Inc
7.250% due 06/15/99 4,000,000 4,011,940
----------
4,011,940
----------
Transportation - 3.52%
Delta Air Lines
9.375% due 09/11/07 1,820,334 1,968,663
9.875% due 01/01/98 750,000 780,535
UAL Equipment Trust
9.210% due 01/21/17 800,000 858,744
9.560% due 10/19/18 1,650,000 1,816,394
10.850% due 02/19/15 1,000,000 1,201,785
----------
6,626,121
----------
Utilities - 2.53%
El Paso Electric
7.250% due 02/01/99 800,000 788,132
Hydro Quebec
5.563% due 09/30/49 1,000,000 884,200
Long Island Lighting
7.850% due 05/15/99 3,000,000 2,987,145
Toledo Edison
7.460% due 04/03/00 100,000 94,104
----------
4,753,581
----------
Total Corporate Bonds & Notes
(Cost $40,235,813) 39,976,673
----------
MORTGAGE-BACKED SECURITIES - 24.84%
Collateralized Mortgage Obligations - 5.40%
Citibank 1988-2
8.000% due 07/25/18 37,247 36,822
Countrywide
6.750% due 05/25/24 1,000,000 887,730
7.870% due 11/25/24 + 610,910 625,449
Donaldson, Lufkin & Jenrette
7.564% due 12/25/22 + 1,352,233 1,381,391
GE Capital Mortgage
6.500% due 04/25/24 1,013,363 1,010,302
Paine Webber
6.500% due 03/25/24 885,792 879,698
Residential Accredited Loans Inc
7.500% due 03/25/27 1,000,000 964,219
</TABLE>
+ Valued under procedures established by the Board of Trustees.
A-49
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
Collateralized Mortgage Obligations - (Continued)
<S> <C> <C>
Residential Funding Corp
8.000% due 10/25/24 + $ 1,843,378 $ 1,845,682
Resolution Trust Corp
6.639% due 06/25/23 496,930 500,347
7.500% due 08/25/23 232,792 234,028
8.000% due 04/25/25 1,000,000 1,006,094
8.000% due 06/25/26 + 902,548 781,406
-----------
10,153,168
Federal Home Loan Mortgage Corporation - 8.70% -----------
6.500% due 08/12/26 # 17,500,000 16,373,438
-----------
16,373,438
-----------
Federal Housing Authority - 0.77%
7.360% due 05/01/23 704,591 720,026
7.430% due 08/01/21 351,631 353,500
7.430% due 02/01/23 374,828 374,719
-----------
1,448,245
-----------
Federal National Mortgage Association - 3.77%
7.334% due 04/01/24 1,387,050 1,425,240
7.571% due 11/01/23 499,198 514,192
7.633% due 10/01/23 1,255,531 1,302,281
7.633% due 01/01/25 2,393,726 2,457,763
7.830% due 12/01/22 1,355,260 1,398,301
-----------
7,097,777
-----------
Government National Mortgage Association - 3.87%
6.500% due 03/20/24 787,025 792,072
7.000% due 07/24/26 # 2,000,000 2,025,625
7.250% due 07/20/24 3,968,511 4,034,318
9.000% due 02/15/17 143,977 150,680
9.500% due 08/15/17 28,057 30,200
9.500% due 04/15/18 7,053 7,580
9.500% due 09/15/18 161,076 173,254
9.750% due 04/15/98 12,665 13,275
10.000% due 05/15/19 40,375 43,996
-----------
7,271,000
-----------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
Student Loan Mortgage Association - 2.33%
5.735% due 04/25/04 + $ 4,373,185 $ 4,378,652
-----------
4,378,652
-----------
Total Mortgage-Backed Securities
(Cost $46,143,997) 46,722,280
-----------
OTHER ASSET-BACKED SECURITIES - 2.26%
Greenwich Capital Mortgage
7.647% due 01/25/22 + 81,764 82,377
Imperial Savings & Loan
9.900% due 02/25/18 73,948 77,773
Ryland Mortgage
7.650% due 11/28/22 + 2,000,000 2,035,000
14.000% due 11/25/31 + 104,853 116,387
Sears Mortgage
8.696% due 05/25/32 + 87,978 88,941
Securitized Assets Sales Inc
6.500% due 11/25/25 1,862,881 1,853,139
-----------
Total Other Asset-Backed Securities
(Cost $4,222,014) 4,253,617
-----------
U.S. TREASURY BONDS - 0.84%
11.250% due 02/15/15 1,100,000 1,587,776
-----------
Total U.S. Treasury Bonds
(Cost $1,568,286) 1,587,776
-----------
U.S. TREASURY NOTES - 35.86%
5.625% due 06/30/97 20,000,000 19,968,740
6.125% due 05/31/97 30,000,000 30,098,287
6.500% due 04/30/97 15,000,000 15,093,693
7.875% due 11/15/04 1,900,000 2,042,790
9.125% due 05/15/99 230,000 246,747
-----------
Total U.S. Treasury Notes
(Cost $67,422,578) 67,450,257
-----------
</TABLE>
# Forward buy contract.
+ Valued under procedures established by the Board of Trustees.
A-50
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY STRIPPED - 0.22%
0.000% due 08/15/15 * $ 1,600,000 $ 416,742
-----------
Total U.S. Treasury Stripped
(Cost $342,399) 416,742
-----------
FOREIGN BONDS - 1.65%
Argentina - 1.65%
Republic Of Argentina FRB
6.313% due 03/31/05 3,960,000 3,093,750
-----------
Total Foreign Bonds (Cost $2,987,971) 3,093,750
-----------
FOREIGN GOVERNMENT - 1.38%
Mexico - 1.38%
United Mexican 'A'
6.250% due 12/31/19 4,000,000 2,595,000
-----------
Total Foreign Government (Cost 2,595,000
$2,632,399) -----------
CALL OPTIONS - 0.75%
U.S. Treasury Notes
5.625% due 02/28/01 9,400,000 584,680
5.750% due 10/31/00 12,200,000 818,132
-----------
Total Call Options (Cost $1,277,181) 1,402,812
-----------
Total Investments in Securities
at Market Value (Cost $166,832,638) 167,498,907
</TABLE> -----------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 2.49%
FHLMC
5.210% due 08/19/96 $ 500,000 $ 496,454
5.300% due 07/03/96 800,000 799,764
General Electric Capital Corp
5.300% due 08/06/96 500,000 497,350
Pitney Bowes Inc
5.270% due 07/23/96 600,000 598,068
5.320% due 07/10/96 900,000 898,803
Wal-Mart Stores Inc
5.300% due 07/03/96 1,400,000 1,399,588
-----------
Total Commercial Paper 4,690,027
-----------
U.S. TREASURY BILLS - 0.52%
4.940% due 08/29/96 ** 65,000 64,475
4.950% due 08/29/96 ** 125,000 123,990
4.955% due 08/29/96 ** 75,000 74,394
5.020% due 10/17/96 ** 120,000 118,153
5.105% due 11/14/96 ** 230,000 225,490
5.110% due 11/14/96 ** 225,000 220,588
5.120% due 10/17/96 ** 65,000 64,000
5.175% due 11/14/96 ** 80,000 78,431
-----------
Total U.S. Treasury Bills 969,521
-----------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 7.94%
Daiwa Securities America
5.200% due 07/01/96
(Dated 06/28/96, repurchased
price of $6,402,733; collateralized
by U.S. Treasury Notes - market value
$6,449,933 and due 03/31/99) 6,400,000 6,400,000
</TABLE>
* Non-income producing securities.
** Securities have been segregated with the custodian to cover
margin requirement for open future contracts as of June 30, 1996.
A-51
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - (Continued)
Goldman Sachs
5.300% due 07/01/96
(Dated 06/28/96. Repurchased
price of $7,003,092; collateralized
by U.S. Treasury Notes - market value
$6,961,336 and due 02/15/10) $ 7,000,000 $ 7,000,000
-------------
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96. Repurchased
price of $1,514,505; collateralized
by U.S. Treasury Notes - market value
$1,549,275 and due 11/15/08) 1,541,000 1,541,001
------------
Total Securities Held Under Repurchase
Agreements 14,941,001
------------
Total Short-Term Investments
at Amortized Cost 20,600,549
-------------
TOTAL MANAGED BOND PORTFOLIO
(COST $187,433,187) $ 188,099,456
=============
</TABLE>
A-52
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.12%
Financial & Business Services - 0.12%
International American Dev Bank
9.450% due 09/15/98 $ 100,000 $ 106,242
----------
Total Corporate Bonds & Notes
(Cost $100,528) 106,242
----------
GOVERNMENT BONDS - 0.62%
Federal Farm Credit Bank
8.650% due 10/01/99 530,000 562,379
----------
Total Government Bonds (Cost $526,603) 562,379
----------
MORTGAGE-BACKED SECURITIES - 43.59%
Collateralized Mortgage Obligations - 13.59%
Bear Stearns Mortgage Securities Inc
7.000% due 03/25/27 + 1,000,000 890,028
Champion Home Equity Loan Trust
5.966% due 05/25/28 + 2,931,531 2,963,597
Citibank 1988-2
8.000% due 07/25/18 + 19,930 19,703
Countrywide
7.842% due 03/25/24 + 542,023 554,219
7.870% due 11/25/24 + 610,910 625,449
GE Capital Mortgage
6.500% due 04/25/24 675,575 673,535
Mortgage Obligation Structured Trust
6.350% due 10/25/18 + 1,545,707 1,537,978
Residential Accredited Loans Inc
7.500% due 03/25/27 + 3,000,000 2,892,657
Residential Funding Corp
7.899% due 03/25/25 + 463,498 470,450
Resolution Trust Corp
7.500% due 08/25/23 + 116,396 117,014
8.000% due 04/25/25 + 1,500,000 1,509,141
----------
12,253,771
----------
Federal Home Loan Mortgage Corp - 9.03%
6.500% due 08/12/26 # 8,700,000 8,139,938
----------
8,139,938
----------
Federal Housing Authority - 0.72%
6.750% due 02/01/08 5,920 5,908
7.400% due 07/25/19 + 459,556 462,643
7.430% due 07/01/21 179,459 179,420
----------
647,971
----------
Federal National Mortgage Association - 11.08%
6.124% due 08/01/17 2,533,916 2,499,439
6.306% due 03/01/18 2,355,621 2,323,570
7.000% due 03/25/23 + 2,273,649 1,930,465
7.633% due 01/01/25 1,782,886 1,830,582
7.663% due 10/01/23 + 470,824 488,355
7.830% due 12/01/22 892,225 920,560
----------
9,992,971
----------
Government National Mortgage Association - 6.74%
7.000% due 07/24/26 # 2,000,000 2,025,625
7.250% due 09/20/23 184,445 187,273
7.250% due 07/20/24 + 3,174,809 3,227,454
7.375% due 05/20/23 343,693 348,907
9.000% due 01/15/17 261,372 273,541
9.750% due 04/15/98 13,363 14,007
----------
6,076,807
----------
Student Loan Mortgage Association - 2.43%
5.735% due 04/25/04 2,186,593 2,189,326
----------
2,189,326
----------
Total Mortgage-Backed Securities
(Cost $39,262,147) 39,300,784
----------
</TABLE>
# Foward buy contract.
+ Valued under procedures established by the Board of Trustees.
A-53
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
OTHER ASSET-BACKED SECURITIES - 5.55%
Greenwich Capital Mortgage
7.647% due 01/25/22 + $ 122,646 $ 123,566
Home Savings
5.895% due 05/25/27 + 507,099 490,381
Imperial Savings & Loan
9.800% due 07/25/17 + 21,632 21,767
9.900% due 02/25/18 + 73,948 77,773
Ryland Mortgage
5.000% due 11/25/31 168,267 151,861
6.861% due 10/01/27 + 2,422,705 2,414,378
Ryland Sec (First Nationwide Trust)
6.987% due 10/25/18 + 1,734,114 1,723,276
----------
Total Other Asset-Backed Securities
(Cost $5,031,995) 5,003,002
----------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.26%
FHLMC (IO)
6.500% due 09/15/18 1,972,050 235,423
----------
Total Stripped Mortgage-Backed Securities
(Cost $245,438) 235,423
----------
U.S. TREASURY NOTES - 43.82%
5.250% due 12/31/97 1,400,000 1,385,561
5.625% due 06/30/97 10,000,000 9,984,370
6.125% due 05/31/97 13,000,000 13,042,591
6.500% due 04/30/97 15,000,000 15,093,692
----------
Total U.S. Treasury Notes
(Cost $39,514,736) 39,506,214
----------
Total Investments in Securities
at Market Value (Cost $84,681,447) 84,714,044
----------
COMMERCIAL PAPER - 1.88%
Emerson Electric Co
5.300% due 07/09/96 $ 300,000 $ 299,647
Ford Motor Credit
5.320% due 07/05/96 300,000 299,823
5.380% due 07/18/96 900,000 897,714
General Electric Capital Corp
5.260% due 07/08/96 200,000 199,795
----------
Total Commercial Paper 1,696,979
----------
U.S. TREASURY BILLS - 0.76%
4.800% due 08/29/96 ** 10,000 9,919
4.830% due 08/22/96 ** 10,000 9,929
4.950% due 08/29/96 ** 70,000 69,434
4.955% due 08/29/96 ** 65,000 64,475
5.010% due 10/17/96 ** 95,000 93,538
5.040% due 10/17/96 ** 65,000 64,000
5.105% due 11/14/96 ** 95,000 93,137
5.110% due 11/14/96 ** 100,000 98,039
5.120% due 10/17/96 ** 40,000 39,384
5.175% due 11/14/96 ** 150,000 147,058
----------
Total U.S. Treasury Bills 688,913
----------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 3.40%
Daiwa Securities America
5.200% due 07/01/96
(Dated 06/28/96, repurchased
price of $2,000,867; collateralized
by U.S. Treasury Notes - market value
$1,988,119; due 01/15/99) 2,000,000 2,000,000
----------
Total Securities Held Under Repurchase
Agreements 2,000,000
----------
</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, 1996.
A-54
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- --------
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - (Continued)
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $1,219,406; collateralized
by U.S. Treasury Notes - market
value $1,249,170 and due 02/15/16) $ 1,060,001 $ 1,060,001
-----------
Total Securities Held Under Repurchase
Agreements 3,060,001
-----------
Total Short-term Investments
at Amortized Cost 5,445,893
-----------
TOTAL GOVERNMENT SECURITIES
PORTFOLIO (COST $90,127,340) $90,159,937
===========
</TABLE>
A-55
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 96.57%
Capital Goods - 3.18%
Bandag Inc 26,000 $ 1,248,000
Briggs & Stratton Co 25,000 1,028,125
Figgie International `A' * 102,700 1,553,338
Schuler Homes Inc * 61,800 440,325
Tecumseh Products Co `A' 11,100 596,625
-----------
4,866,413
-----------
Consumer Discretionary - 32.68%
American Radio Systems `A' * 41,100 1,767,300
Banta Corp 52,500 1,325,625
Buffets Inc * 87,000 1,065,750
Cablevision Systems `A' * 13,000 601,250
Cole National Corp `A' * 76,900 1,538,000
Consolidated Stores * 41,300 1,517,775
Donna Karan International Inc 37,000 1,036,000
Duty Free International Inc 90,000 1,372,500
Foodmaker Inc * 125,000 1,078,125
Gaylord Entertainment `A' 66,607 1,881,648
GT Bicycles * 70,000 1,137,500
Harmon International * 8,800 433,400
Hollinger International `A' 64,600 734,825
Hudson Foods `A' 95,000 1,330,000
International Family Entertainment `B' * 71,250 1,318,125
Jacor Communications * 55,000 1,698,125
Jones Apparel Group Inc * 19,000 933,375
Jones Intercable `A' 43,600 583,150
Libbey Inc 75,000 2,081,250
Lojack Corp * 150,000 1,687,500
Micro Warehouse Inc * 43,200 864,000
New World Communications Group `A' * 80,000 1,170,000
Nine West Group Inc * 20,500 1,048,063
NY Magic 28,000 528,500
Oil Dri America 33,000 490,875
Picturetel Corp * 37,400 1,472,625
Polaris Industries 35,000 1,194,375
Providence Journal Co * 73,000 1,122,375
RPM Inc 137,375 2,146,484
Ruby Tuesday Inc 43,300 $ 979,662
Scotts Co `A' * 60,000 1,050,000
Scripps EW Communications `A' 19,100 890,538
Sizzler International Inc 41,800 130,625
Speedway Motorsports Inc * 30,000 768,750
Spelling Entertainment Group 67,000 510,875
Standard Products 49,000 1,139,250
Thrifty Payless `B' * 120,000 2,070,000
Trump Hotels & Casinos * 39,600 1,128,600
Turner Broadcast Systems `B' 30,000 825,000
Tyco Toys Inc 182,700 936,337
U.S. Industries Inc * 41,000 989,125
Williams Sonoma * 62,000 1,464,750
Young Broadcasting Corp `A' * 53,000 2,027,250
-----------
50,069,282
-----------
Consumer Staples - 3.14%
Giant Foods Inc `A' 19,000 681,625
Robert Mondavi `A' * 60,000 1,890,000
Smithfield Foods Inc * 50,000 1,262,500
Topps Company (The) 172,000 967,500
-----------
4,801,625
Energy - 7.62% -----------
California Energy Inc 65,000 1,657,500
Coflexip ADR 41,752 725,441
Enron Global Power & Pipeline 45,000 1,091,250
Global Marine Inc * 155,000 2,150,625
Louis Dreyfus Natural Gas * 112,000 1,680,000
Parker & Parsley Petroleum 39,000 1,082,250
San Juan Basin Realty Trust 175,000 1,071,875
Seacor Holdings Inc 27,800 1,209,300
Vintage Petroleum 39,500 1,007,250
-----------
11,675,491
-----------
Financial & Business Services - 17.85%
Air & Water Technical Corp `A' * 30,300 181,800
Applied Graphics Technologies Inc * 48,700 773,112
Bancorp Hawaii 32,000 1,152,000
Central Fidelity Banks Inc 60,000 1,365,000
Charter One Financial 53,000 1,848,375
Collective Bancorp 101,300 2,393,212
Commerce Bancshares 39,100 1,334,287
</TABLE>
* Non-income producing securities.
A-56
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Financial & Business Services - (Continued)
EW Blanch Holdings Inc 36,000 $ 715,500
First American Financial 38,800 1,309,500
First Financial Corp 62,300 1,401,750
First Midwest Bancrp 34,900 977,200
First Republic Bancorp Inc * 36,070 554,576
Harleysville Group Inc 45,000 1,327,500
Hibernia Corp `A' 84,600 920,025
Jefferies Group Inc 40,000 1,240,000
Keystone Financial 24,000 804,000
Mercantile Bancshares Corp 53,000 1,351,500
Metromail Corp * 12,800 286,400
Price Reit Inc `B' 26,300 851,463
Standard Federal Bank 22,100 850,850
Team Rental Group Inc * 60,000 840,000
USA Waste Services * 52,000 1,540,500
Washington Federal Inc 56,700 1,162,350
Waste Mgmt International ADR * 194,700 2,166,038
-----------
27,346,938
-----------
Health Care - 5.27%
Cardiac Pathways Corp * 5,200 75,400
Corr Therapeutics * 140,000 1,592,500
Genetics Institute * 23,000 1,460,500
Gensia Inc * 426 2,157
Gilead Sciences * 80,000 2,020,000
Heartport Inc * 4,700 142,175
Millennium Pharmaceuticals * 33,100 513,050
Paragon Trade Brands * 28,500 612,750
SEQUUS pharmaceuticals Inc * 83,500 1,660,867
-----------
8,079,399
-----------
Materials & Processing - 8.91%
Carbide/Graphite Group Inc * 25,000 468,750
Holophane * 87,850 1,383,637
Lindsay Manufacturing Co 39,250 1,579,812
Martin Marietta Materials 48,600 1,178,550
McWhorter Technologies Inc * 19,900 353,225
OM Group Inc 28,000 1,099,000
Payless Cashways * 53,000 $ 238,500
Pentair Inc 53,600 1,608,000
Polymer Group * 58,800 1,029,000
Quebecor Printing 96,700 1,523,025
Quintiles Transnational * 38,000 2,498,500
Walbro Corp 34,000 688,500
-----------
13,648,499
-----------
Technology - 11.77%
Acclaim Entertainment Inc * 150,000 1,443,750
AST Research * 59,084 398,817
Avid Technology Inc * 49,500 915,750
BE Semiconductor * 43,400 642,862
CAI Wireless Systems * 90,750 839,437
Caraustar Industries Inc 50,500 1,338,250
C-cor Electronics * 46,000 828,000
Etec Systems Inc * 55,000 1,223,750
Integrated Process Equipment Corp * 43,400 900,550
Kulicke & Soffa Industries * 103,200 1,509,300
Landmark Graphics Corp * 29,500 567,875
Lexmark International Group `A' * 56,700 1,141,088
Micro Linear Corp * 40,000 300,000
Microchip Technology Inc * 61,750 1,528,313
Netcom On-line Communications * 27,000 729,000
Pagemart Wireless Inc * 8,400 84,000
Stratus Computer * 28,000 812,000
Teleflex 24,000 1,146,000
Ultratech Stepper * 58,000 1,087,500
Vanguard Cellular System * 27,600 600,300
-----------
18,036,542
-----------
Transportation - 4.05%
Genesee & Wyoming Inc * 30,500 625,250
Landstar System Inc * 55,000 1,595,000
Lear Seating Corp * 29,400 1,036,350
Overseas Shipholding Group 33,200 601,750
Teekay Shipping 40,800 1,076,100
Werner Enterprises 49,000 1,274,000
-----------
6,208,450
-----------
</TABLE>
* Non-income producing securities.
A-57
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Utilities - 2.10%
Brooks Fiber Properties Inc * 20,500 $ 676,500
Cellular Communications * 1,831 97,273
Octel Communications * 60,000 1,185,000
Telephone/Data Systems 28,000 1,260,000
------------
3,218,773
------------
Total Common Stocks (Cost $132,203,672) 147,951,412
------------
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.17%
Trenwick Group
6.000% due 12/15/99 $ 240,000 258,000
------------
Total Corporate Bonds & Notes
(Cost $240,000) 258,000
------------
Total Investments In Securities
At Market Value (Cost $132,443,672) 148,209,412
------------
<CAPTION>
Value
-----
<S> <C> <C>
COMMERCIAL PAPER - 1.30%
FNMA
5.250% due 07/15/96 2,000,000 1,995,917
------------
Total Commercial Paper 1,995,917
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.96%
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $3,007,002; collateralized
by U.S. Treasury Notes - market
value $3,070,153 and due 11/15/15) $3,006,000 $ 3,006,000
------------
Total Securities Held Under Repurchase
Agreement 3,006,000
------------
Total Short-Term Investments
at Amortized Cost 5,001,917
------------
TOTAL GROWTH PORTFOLIO
(COST $137,445,589) $153,211,329
============
</TABLE>
* Non-income producing securities.
A-58
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
COMMON STOCKS - 81.70%
Capital Goods - 5.35%
<S> <C> <C>
Camco International 8,000 $ 271,000
QUALCOMM Inc * 15,000 796,875
St. Johns Knits Inc 7,000 312,375
---------
1,380,250
---------
Consumer Discretionary - 34.82%
Apac Teleservices Inc * 16,000 576,000
Callaway Golf Co 20,000 665,000
Clear Channel Communications * 10,700 881,413
Corestaff Inc * 7,000 313,250
Gartner Group Inc 'A' * 17,000 622,625
Gucci Group * 15,000 967,500
Guidant Corp 11,000 541,750
Harley Davidson Inc 19,000 781,375
HCC Insurance Holdings 10,000 225,000
MFS Communications Co Inc * 20,000 752,500
MGM Grand Inc * 21,000 837,375
Mossimo Inc * 7,000 279,125
Superior Services Inc * 10,000 170,000
VIASOFT Inc * 7,000 452,375
Waters Corp * 19,000 627,000
West Marine Inc * 4,000 286,000
---------
8,978,288
---------
Energy - 3.89%
Diamond Offshore Drilling * 13,000 744,250
Nuevo Energy Co * 8,000 258,000
---------
1,002,250
---------
Financial & Business Services - 9.14%
AccuStaff Inc * 28,000 763,000
Everest Reinsurance Holdings 21,000 543,375
HFS Inc * 15,000 1,050,000
---------
2,356,375
---------
Market
Shares Value
--------- ----------
Health Care - 3.89%
Chronimed Inc * 10,000 $ 183,750
HEALTHSOUTH Corp * 15,600 561,600
Renal Treatment Centers * 9,000 258,750
---------
1,004,100
---------
Materials & Processing - 3.34%
Raychem Corp 12,000 862,500
---------
862,500
---------
Technology - 17.80%
Adaptec Inc * 15,000 710,625
Ascend Communications Inc * 11,000 618,750
Atmel Corp * 24,000 723,000
Checkpoint System * 8,000 275,000
Electronics For Imaging * 10,000 693,750
FORE Systems * 20,000 722,500
Glenayre Technologies * 12,000 600,000
PairGain Technologies Inc * 4,000 248,000
---------
4,591,625
---------
Transportation - 3.47%
America West Airlines * 10,000 220,000
Comair Holdings Inc 25,000 675,000
---------
895,000
---------
Total Investments In Securities
At Market Value (Cost $20,916,014) 21,070,388
----------
Principal
Amount Value
--------- -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 18.30%
State Street Bank And Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $4,719,573; collaterialized
by U.S. Treasury Notes - market value
$4,817,312 and due 02/15/16) $ 4,718,000 4,718,000
---------
Total Securities Held Under Repurchase
Agreement 4,718,000
---------
TOTAL AGGRESSIVE EQUITY
PORTFOLIO (COST $25,634,014) $ 25,788,388
============
</TABLE>
* Non-income producing securities.
A-59
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
---------- -----------
<S> <C> <C>
COMMON STOCKS - 76.50%
Consumer Discretionary - 10.11%
Anchor Gaming * 50,975 $ 3,071,243
APAC Teleservices Inc * 45,100 1,623,600
Central Euro Media Enter 'A' * 40,466 1,011,650
Coleman Co Inc * 12,475 528,628
Extended Stay America Inc * 11,900 374,850
Grand Casinos Inc * 49,650 1,278,487
Gucci Group * 90,050 5,808,225
International Game Technology 146,650 2,474,719
La Quinta Motor Inns 10,100 338,350
MFS Communications Co Inc * 28,300 1,064,788
Millicom International Cellular 'A' * 18,625 887,016
Nike Inc 1,525 156,694
Paging Network Inc * 195,375 4,689,000
Palmer Wireless Inc 'A' * 83,700 1,674,000
Papa John's International Inc * 7,850 382,687
Picturetel Corp * 21,175 833,766
Premisys Communications Inc * 10,600 646,600
Singer Company N.V. 92,125 1,865,531
Thrifty Payless 'B' * 90,700 1,564,575
Tommy Hilfiger * 12,300 659,588
Verifone Inc * 16,250 686,563
-----------
31,620,560
-----------
Energy - 0.34%
Triton Energy Limited * 21,875 1,063,671
-----------
1,063,671
-----------
Financial & Business Services - 16.43%
Alco Standard Corp 83,875 3,795,344
Arch Communications Group * 3,200 59,600
Associates First Capital Corp * 69,650 2,620,581
Bank Of New York Co Inc 15,350 786,688
First Data Corp 94,100 7,492,713
Glendale Federal Bank * 36,550 662,468
HFS Inc * 167,875 11,751,250
ITT Corp * 25,000 1,656,250
Olsten Corp 53,950 1,584,781
Redwood Trust Inc 84,050 2,353,400
SunAmerica Inc 24,100 $ 1,361,650
UNUM Corp 59,450 3,700,763
Wells Fargo & Co 56,841 13,577,894
-----------
51,403,382
-----------
Health Care - 16.95%
ARV Assisted Living Inc * 22,950 355,725
Amgen Inc 27,750 1,498,500
Arrow International Inc 4,075 110,025
Centocor Inc * 401,625 11,998,546
Conceptus Inc * 30,325 515,525
Enterprise Systems Inc * 45,250 1,244,375
Genzyme Corp * 25,475 1,280,119
ICU Medical Inc * 67,200 924,000
Jones Medical Industries Inc 10,012 332,899
Lilly (Eli) & Co 304,375 19,784,375
Nellcor Puritan Bennett Inc * 27,700 1,343,450
Omnicare Inc 31,800 842,700
Oxford Health Plans * 13,050 536,681
Respironics Inc * 26,950 498,575
Smithkline Beecham PLC 63,500 3,452,813
Sofamor Danek Group * 12,575 348,956
Sonus Pharmaceuticals Inc * 129,625 2,624,906
St Jude Medical 28,285 947,548
Target Therapeutics * 36,325 1,489,325
Vidamed Inc * 226,925 2,893,294
----------
53,022,337
----------
Materials & Processing - 1.40%
Grace (W.R.) & Co 26,675 1,890,591
Praxair Inc 50,825 2,147,356
Witco Corp 10,075 346,328
----------
4,384,275
----------
Technology - 29.35%
ABR Information Services * 2,175 109,293
Adtran Inc 10,475 742,415
American Management Systems * 34,075 996,693
Analog Devices * 270,725 6,903,488
Anixter International Inc * 7,350 109,331
Ascend Communications Inc * 21,850 1,229,063
Aspen Technology Inc 33,375 1,835,625
Berg Electronics Corp * 50,000 1,187,500
</TABLE>
*Non-income producing securities.
A-60
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
---------- -----------
<S> <C> <C>
Technology - (Continued)
BMC Software Inc * 82,275 $ 4,915,931
Ciber Inc * 27,550 606,100
Cisco Systems Inc * 174,300 9,869,738
Citrix Systems Inc * 2,075 78,850
Compdent Corp * 37,975 1,765,837
Computer Association International 13,800 983,250
Dell Computer Corp * 82,025 4,173,022
FORE Systems * 7,150 258,294
Gateway 2000 * 28,525 969,850
Glenayre Technologies * 31,000 1,550,000
Indus Group Inc * 45,125 913,781
Informix Corp * 96,950 2,181,375
Itron Inc * 51,850 1,471,244
JDA Software Group Inc * 95,300 1,965,563
Keane Inc * 39,500 1,456,563
Learout & Hauspei Speech * 50,525 1,136,812
Linear Technology Corp 64,275 1,928,250
Macromedia Inc * 70,400 1,540,000
Macronix International * 297,975 4,842,093
Netscape Communications Corp * 25,325 1,576,481
PairGain Technologies Inc * 20,950 1,298,900
PC Docs Group International * 52,875 1,050,890
Peoplesoft Inc * 22,000 1,567,500
Pittway Corp 45,812 2,130,259
Shiva Corp * 28,300 2,264,000
Sterling Commerce Inc * 48,725 1,808,915
Sterling Software Inc * 14,000 1,078,000
Stratacom Inc * 35,325 1,987,031
Summa Four Inc * 27,650 383,644
Systemsoft Corp * 38,000 1,786,000
Technology Solutions * 144,050 4,987,731
Tecnomatix Technologies Limited * 134,725 2,559,775
U.S. Satellite Broadcasting Co * 41,950 1,583,613
UUNET Technologies Inc * 13,625 902,656
Westell Technologies Inc * 73,300 2,877,025
Wonderware Corp * 47,050 888,069
Xylan Corp * 115,350 5,363,775
----------
91,814,225
----------
Transportation - 0.86%
Amway Asia Pacific Limited 8,775 $ 265,443
Trans World Airlines * 36,375 518,344
Wisconsin Central Transport * 58,200 1,891,500
----------
2,675,287
----------
Utilities - 1.06%
Cincinnati Bell Inc 58,475 3,048,009
Commnet Cellular Inc * 9,175 275,250
----------
3,323,259
----------
Total Common Stocks
(Cost $214,721,240) 239,306,996
-----------
FOREIGN COMMON STOCKS - 11.38%
Canada - 0.44%
Potash Corp Of Saskatchewan 20,915 1,385,619
----------
1,385,619
----------
Denmark - 0.40%
Danka Business System ADR 42,975 1,257,018
----------
1,257,018
----------
England - 0.80%
Rentokil Group PLC 392,344 2,489,671
----------
2,489,671
----------
Finland - 0.53%
Cultor Oy 1 2,858 139,775
Metra Oy 'B' 34,182 1,531,801
----------
1,671,576
----------
France - 0.23%
Business Objects ADR * 17,850 718,463
----------
718,463
----------
Germany - 3.31%
SAP Ag-Vorzug 69,789 10,357,427
----------
10,357,427
----------
</TABLE>
* Non-income producing securities.
A-61
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
---------- -----------
<S> <C> <C>
Italy - 0.19%
Arnoldo Mondadori Editor 37,387 282,615
Banca Popolare Di Bergam 20,771 316,053
----------
598,668
----------
Mexico - 0.01%
Grupo Financiero Inbursa 8,584 35,705
----------
35,705
----------
South Korea - 0.77%
Korea Mobile Telecom ADR 141,375 2,421,047
----------
2,421,047
----------
Spain - 1.08%
Fila Holding SPA ADR 39,250 3,385,313
----------
3,385,313
----------
Sweden - 2.14%
Kinnevik Ab 'B' Free 147,349 4,461,153
Netcom System Ab 150,235 1,697,213
Securitas Ab 'B' Free 24,990 523,221
----------
6,681,587
----------
United Kingdom - 1.48%
Axime (Ex Segin) ~ 24,755 3,458,442
Glaxo Holdings 28,581 384,236
Glaxo Sponsored ADR 29,525 789,796
----------
4,632,474
----------
Total Foreign Common Stocks (Cost $31,365,160) 35,634,568
----------
Total Investments In Securities
At Market Value (Cost $246,086,400) 274,941,564
------------
Principal
Amount Value
<CAPTION> --------- -----
<S> <C> <C>
COMMERCIAL PAPER - 12.10%
FNMA
5.270% due 07/29/96 $10,000,000 $ 9,959,011
Ford Motor Credit
5.490% due 07/01/96 12,900,000 12,900,000
General Electric Capital Corp
5.370% due 07/02/96 15,000,000 14,997,763
------------
Total Commercial Paper 37,856,774
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.02%
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased price
of $63,021; collateralized by U.S.
Treasury Notes - market value
$65,341 and due 02/15/16) 63,000 63,000
------------
Total Securities Held Under Repurchase
Agreements 63,000
------------
Total Short-term Investments
At Amortized Cost 37,919,774
------------
TOTAL GROWTH LT PORTFOLIO
(COST $284,006,174) $312,861,338
============
</TABLE>
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-62
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 96.82%
Capital Goods - 9.71%
Allied Signal Inc 87,400 $ 4,992,724
Boeing 83,500 7,274,937
Coltec Industries * 72,100 1,027,425
Cooper Industries Inc 87,251 3,620,917
Grainger (W.W.) Inc 52,600 4,076,500
Sunstrand Corp 37,800 1,384,425
Tyco International Laboratories 77,700 3,166,275
WMX Technologies Inc 98,900 3,238,975
-----------
28,782,178
-----------
Consumer Discretionary - 20.70%
Bausch & Lomb Inc 58,200 2,473,500
Circuit City Store 46,400 1,676,200
Federated Department Stores 42,400 1,446,900
Fruit of the Loom * 53,400 1,361,700
General Electric 18,100 1,565,650
International Game Technology 152,900 2,580,187
MCI Communications Corp 124,400 3,187,750
Melville Corp 54,750 2,217,375
Motorola 41,400 2,603,025
Procter & Gamble Co 83,700 7,585,312
Service Corp International 80,400 4,623,000
Sigma Aldrich Corp 27,100 1,449,850
Tele-Communications "A" * 299,200 5,423,000
Time Warner Inc 40,700 1,597,475
Toys R Us * 178,100 5,075,850
Turner Broadcast Systems "B" 105,000 2,887,500
Viacom International Inc 34,000 1,321,750
Wal-Mart Stores Inc 213,100 5,407,412
Warner Lambert Co 104,500 5,747,500
Wellman Inc 47,300 1,105,638
-----------
61,336,574
-----------
Consumer Staples - 8.74%
Colgate Palmolive 36,000 3,051,000
CPC International Inc 21,100 1,519,200
Duracell International Inc 18,800 810,750
PepsiCo 173,000 6,119,875
Philip Morris Co Inc 98,100 10,202,400
Ralston-Purina Group 42,100 2,699,663
Unilever N.V. 10,400 1,509,300
-----------
25,912,188
-----------
Energy - 10.95%
Anadarko Petroleum 34,300 1,989,400
Ashland Oil Inc 83,200 3,296,800
Chevron Corp 60,500 3,569,500
Cooper Cameron Corp * 20,435 894,031
dupont (EI) deNemours 64,300 5,087,737
Exxon Corp 39,190 3,404,631
Royal Dutch Petroleum Guild 38,700 5,950,125
Sun Company Inc 73,400 2,229,525
Texaco Inc 43,100 3,615,013
Unocal Corp 71,500 2,413,125
-----------
32,449,887
-----------
Financial & Business Services - 12.10%
Ahmanson (H.f.) & Co 97,000 2,619,000
Ambac Inc 29,800 1,553,325
BankAmerica Corp 29,300 2,219,475
Citicorp 36,800 3,040,600
Dean Witter Discover & Co 61,000 3,492,250
First Union Corp 23,100 1,406,213
First USA Inc 25,300 1,391,500
Firstar Corp 41,900 1,932,637
Fleet Financial Group Inc 32,300 1,405,050
Great Western Financial 60,100 1,434,887
ITT Hartford Group 57,100 3,040,575
MBIA Inc 14,900 1,160,337
NationsBank Corp 66,100 5,461,513
Providian Corp 96,500 4,137,437
Standard Federal Bancorp 41,000 1,578,500
-----------
35,873,299
-----------
Health Care - 7.12%
Alza Corp * 77,300 2,116,088
Columbia/HCA Healthcare 96,880 5,170,970
Forest Laboratories * 107,600 4,156,050
Health Care & Retirement * 69,750 1,656,562
</TABLE>
* Non-income producing securities.
A-63
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Health Care - (Continued)
Humana Inc 185,100 $ 3,308,662
Pfizer Inc 65,900 4,703,613
-----------
21,111,945
-----------
Materials & Processing - 6.22%
Albemarle Corp 164,800 3,007,600
Aluminum Company of America 79,100 4,538,363
Johnson Controls Inc 36,300 2,522,850
Mead Corp 51,600 2,676,750
Union Carbide Corp 94,800 3,768,300
USG Corp * 69,200 1,928,950
-----------
18,442,813
-----------
Technology - 7.65%
Adobe Systems Inc 33,500 1,201,812
Advanced Micro Devices * 51,200 697,601
Autodesk Inc 38,500 1,150,188
Cisco Systems Inc * 54,100 3,063,412
EMC Corp * 151,100 2,814,238
General Instruments Corp * 131,000 3,782,625
Hewlett Packard Co 27,400 2,729,725
Perkin Elmer Corp 26,400 1,273,800
Quantum Corp * 134,400 1,965,600
Softkey International Inc * 62,100 1,176,019
Teledyne Inc 78,100 2,821,363
-----------
22,676,383
-----------
Transportation - 5.77%
Consolidated Freightways Inc 121,900 2,575,138
Cooper Tire & Rubber Corp 142,600 3,172,850
General Motors Corp 77,000 4,032,875
Union Pacific Corp 104,700 7,315,912
-----------
17,096,775
-----------
Utilities - 7.86%
Allegheny Power Systems 48,200 1,488,175
Ameritech Corp 41,100 2,440,312
AT&T Corp 89,500 5,549,000
Bell South Corp 51,100 2,165,363
FPL Group Inc 30,300 1,393,800
GTE Corp 45,100 2,018,225
Houston Industry Inc 62,200 1,531,675
Pacific Gas & Electric 53,900 1,253,175
PP&L Resources Inc 59,100 1,396,238
SBC Communications 38,500 1,896,125
U.S. West Communications 67,400 2,148,375
-----------
23,280,463
-----------
Total Common Stocks
(Cost $270,223,806) 286,962,505
-----------
Total Investments in Securities
at Market Value (Cost $270,223,806) 286,962,505
-----------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.18%
State Street Bank And Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $9,427,784; collateralized
by U.S. Treasury Notes - market
value $9,615,406 and due 02/15/16) $ 9,424,642 9,424,642
------------
Total Securities Held Under Repurchase
Agreement
9,424,642
------------
Total Short-term Investments
at Amortized Cost 9,424,642
------------
Total Equity Income Portfolio
(Cost $279,648,448) $296,387,147
============
</TABLE>
* Non-income producing securities.
A-64
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Common Stocks - 46.30%
Capital Goods - 4.55%
Allied Signal Inc 23,400 $ 1,336,725
Boeing 22,800 1,986,450
Coltec Industries * 26,800 381,900
Cooper Industries Inc 22,878 949,437
Grainger (W.W.) Inc 13,200 1,023,000
Sunstrand Corp 10,200 373,575
Tyco Laboratories 20,900 851,675
WMX Technologies Inc 26,600 871,150
------------
7,773,912
------------
Consumer Discretionary - 9.89%
Bausch & Lomb Inc 16,400 697,000
Circuit City Store 12,700 458,788
Federated Department Stores 11,500 392,438
Fruit of the Loom * 14,800 377,400
General Electric 5,000 432,500
International Game Technology 45,300 764,438
MCI Communications Corp 34,000 871,250
Melville Corp 10,700 433,350
Motorola 11,000 691,625
Procter & Gamble Co 22,700 2,057,188
Service Corp International 25,400 1,460,500
Sigma Aldrich Corp 7,000 374,500
Tele-Communications 'A' 78,300 1,419,188
Time Warner Inc 10,400 408,200
Toys R Us * 47,600 1,356,600
Turner Broadcast System 'B' 28,700 789,250
Viacom International Inc 9,300 361,538
Wal-mart Stores Inc 59,600 1,512,350
Warner Lambert Co 28,600 1,573,000
Wellman Inc 19,610 460,487
-----------
16,891,590
-----------
Consumer Staples - 4.02%
Colgate Palmolive 9,800 830,550
CPC International Inc 5,800 417,600
Duracell International Inc 5,500 237,188
Pepsico 45,600 1,613,100
Philip Morris Co Inc 25,000 2,600,000
Ralston-purina Group 11,700 750,263
Unilever N.V. 2,800 406,350
-----------
6,855,051
-----------
Energy - 5.38%
Anadarko Petroleum 9,300 539,400
Ashland Oil Inc 22,700 899,488
Chevron Corp 20,700 1,221,300
Cooper Cameron Corp * 6,749 295,269
DuPont (EI) DeNemours 17,400 1,376,775
Exxon Corp 10,400 903,500
Royal Dutch Petroleum Guild 10,400 1,599,000
Sun Company Inc 19,000 577,125
Texaco Inc 13,700 1,149,088
Unocal Corp 18,300 617,625
-----------
9,178,570
-----------
Financial & Business Services - 5.81%
Ahmanson (H.F.) & Co 28,300 764,100
Ambac Inc 8,800 458,700
BankAmerica Corp 8,000 606,000
Citicorp 12,700 1,049,338
Dean Witter Discover & Co 15,600 893,100
First Union Corp 6,300 383,513
First USA Inc 7,000 385,000
Firstar Corp 11,500 530,438
Fleet Financial Group Inc 8,900 387,150
Great Western Financial 15,500 370,063
ITT Hartford Group 15,100 804,075
MBIA Inc 4,100 319,288
NationsBank Corp 17,500 1,445,938
Providian Corp 26,000 1,114,750
Standard Federal Bancorp 10,800 415,800
-----------
9,927,253
-----------
</TABLE>
* Non-income producing securities.
A-65
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Health Care - 3.47%
Alza Corp * 21,100 $ 577,613
Columbia/HCA Healthcare 23,500 1,254,313
Forest Laboratories * 29,400 1,135,575
Health Care & Retirement * 25,500 605,625
Humana Inc 48,400 865,150
Pfizer Inc 20,800 1,484,600
-----------
5,922,876
-----------
Materials & Processing - 2.99%
Albemarle Corp 43,500 793,875
Aluminum Company Of America 21,600 1,239,300
Johnson Controls Inc 9,800 681,100
Mead Corp 12,600 653,625
Union Carbide Corp 30,800 1,224,300
USG Corp * 18,700 521,263
-----------
5,113,463
-----------
Technology - 3.66%
Adobe Systems Inc 9,100 326,462
Advanced Micro Devices * 16,300 222,086
Autodesk Inc 10,800 322,650
Cisco Systems Inc * 14,800 838,050
EMC Corp * 41,100 765,487
General Instruments Corp * 34,400 993,300
Hewlett Packard Co 7,400 737,224
Perkin Elmer Corp 7,000 337,750
Quantum Corp * 40,000 585,000
Softkey International Inc * 19,300 365,493
Teledyne Inc 21,000 758,625
-----------
6,252,127
-----------
Transportation - 2.88%
Consolidated Freightways Inc 37,000 781,625
Cooper Tire & Rubber Corp 43,200 961,200
General Motors Corp 21,000 1,099,875
Union Pacific Corp 29,600 2,068,300
-----------
4,911,000
-----------
Utilities - 3.65%
Allegheny Power Systems 12,700 392,113
Ameritech Corp 11,200 665,000
AT&T Corp 24,500 1,519,000
Bell South Corp 13,900 589,012
FPL Group Inc 8,100 372,600
GTE Corp 12,300 550,424
Houston Industry Inc 16,700 411,237
Pacific Gas & Electric 13,700 318,524
PP&L Resources Inc 15,400 363,824
SBC Communications 10,500 517,124
U.S. West Communications 16,600 529,124
-----------
6,227,982
-----------
Total Common Stocks
(Cost $74,742,547) 79,053,824
-----------
<CAPTION>
Principal MARKET
Amount VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 9.68%
Capital Goods - 0.30%
Mark IV Industries Inc
7.750% due 04/01/06 ~ 540,000 513,391
-----------
513,391
-----------
Consumer Discretionary - 1.41%
Alaska Trade Co
6.790% due 10/01/05 ~ 2,500,000 2,400,000
-----------
2,400,000
-----------
Energy - 0.90%
Ferrell Gas Partners L.P.
9.375% due 06/15/06 ~ 500,000 483,750
Standard Oil Co
9.000% due 06/01/19 1,000,000 1,046,535
-----------
1,530,285
-----------
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction, resale to the public may
require registration.
A-66
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
Financial & Business Services - 3.91%
Chase Manhattan
10.125% due 11/01/00 $ 500,000 $ 557,942
Chrysler Financial Corp
5.625% due 01/15/99 1,000,000 977,900
First Union Corp
6.550% due 10/15/35 1,700,000 1,625,013
Ford Motor Credit
8.625% due 01/24/00 1,515,000 1,584,122
Metropolitan Life
7.000% due 11/01/05 2,000,000 1,938,290
----------
6,683,267
----------
Health Care - 0.45%
Mariner Health Group
9.500% due 04/01/06 250,000 243,125
Tenet Healthcare
10.125% due 03/01/05 500,000 528,750
----------
771,875
----------
Materials & Processing - 1.23%
Buckeye Celulose
9.250% due 09/15/08 200,000 200,000
Georgia Pacific
9.950% due 06/15/02 1,500,000 1,701,623
Ryerson Tull Inc
9.125% due 07/15/06 200,000 200,000
----------
2,101,623
----------
Transportation - 0.94%
General Motor Corp
9.125% due 07/15/01 250,000 272,097
Union Tank Car
6.500% due 04/15/08 1,438,029 1,324,720
----------
1,596,817
----------
Utilities - 0.54%
Texas Utilities Electronic Co
7.375% due 10/01/25 1,000,000 924,080
----------
924,080
----------
Total Corporate Bonds & Notes
(Cost $17,014,944) 16,521,338
----------
CONVERTIBLE BONDS - 0.55%
Consumer Discretionary - 0.26%
TCI Communications
7.875% due 02/15/26 500,000 441,525
----------
441,525
----------
Technology - 0.29%
Moog Inc
10.000% due 05/01/06 ~ 500,000 502,500
----------
502,500
----------
Total Convertible Bonds
(cost $934,668) 944,025
----------
Mortgage-backed Securities - 15.69%
Collateralized Mortgage Obligations - 0.16%
Donaldson, Lufkin & Jenrette
7.951% due 11/25/24 261,275 263,153
----------
263,153
----------
Federal Home Loan Mortgage Corporation - 5.67%
5.500% due 03/01/11 30,863 28,606
5.500% due 04/01/11 955,760 885,856
6.500% due 09/01/10 334,786 324,783
6.500% due 03/01/11 36,236 35,092
6.500% due 04/01/11 415,414 402,675
6.500% due 05/01/11 3,330,511 3,226,587
7.000% due 01/01/04 390,967 388,801
8.000% due 01/01/26 # 2,890,000 2,915,288
</TABLE>
# Forward buy contract.
~ Purchased in a private placement transaction, resale to the public may
require registration.
A-67
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- -----
<S> <C> <C>
Federal Home Loan Mortagage Corporation - (Continued)
8.500% due 07/01/02 $ 921,705 $ 949,301
12.000% due 01/01/13 # 450,000 516,938
------------
9,673,927
Federal National Mortgage Association - 7.28% ------------
5.500% due 04/25/05 500,000 488,905
6.000% due 12/25/07 679,591 77,622
6.300% due 12/25/15 1,959,076 1,866,632
6.500% due 01/25/23 6,220,000 5,904,833
7.500% due 01/01/25 # 1,990,000 1,964,503
7.500% due 01/01/26 # 2,160,000 2,132,325
------------
12,434,820
Government National Mortgage Association - 2.58% ------------
7.000% due 06/15/23 686,455 661,571
7.000% due 03/15/24 480,559 461,606
7.000% due 04/15/24 1,408,340 1,352,794
7.000% due 05/15/24 102,177 98,147
7.250% due 08/20/22 165,744 168,440
7.250% due 09/20/24 998,036 1,015,587
7.375% due 06/20/21 274,923 279,567
7.375% due 06/20/23 174,014 176,654
7.500% due 05/15/17 142,112 141,702
7.500% due 02/15/24 23,883 23,614
7.500% due 08/15/25 30,509 30,070
------------
4,409,752
------------
Total Mortgage-Backed Securities
(Cost $26,947,873) 26,781,652
------------
OTHER ASSET-BACKED SECURITIES - 3.88%
Access Financial Corp
6.100% due 05/15/21 908,030 902,165
6.375% due 05/15/21 1,000,000 975,890
Caterpillar Finance
6.300% due 07/25/02 500,000 498,438
<CAPTION>
Principal Market
Amount Value
--------- -----
<S> <C> <C>
Greentree Financial
6.700% due 10/15/17 $ 1,000,000 $ 998,460
Greentree Rec, Equip, & Consumer Trust
5.550% due 02/15/18 862,600 832,280
Premier Auto Trust
4.650% due 11/02/99 681,679 672,088
Sears Credit Account Trust
8.650% due 07/15/98 250,000 250,233
Standard Credit Account Trust
8.000% due 10/07/97 500,000 501,090
World Omni Auto Lease Securitized
6.300% due 06/25/02 1,000,000 997,656
------------
Total Other Asset-Backed Securities
(Cost $6,689,228) 6,628,300
------------
U.S. TREASURY BONDS - 12.15%
8.500% due 02/15/20 15,618,000 18,216,874
8.875% due 08/15/17 2,100,000 2,521,958
------------
Total U.S. Treasury Bonds
(Cost $20,854,553) 20,738,832
------------
U.S. TREASURY NOTES - 4.44%
5.750% due 08/15/03 730,000 695,436
6.875% due 07/31/99 2,910,000 2,952,290
7.875% due 11/15/04 3,666,000 3,941,509
------------
Total U.S. Treasury Notes
(Cost $7,610,435) 7,589,235
------------
FOREIGN BONDS - 1.79%
England - 0.79%
Midland Bank PLC
8.625% due 12/15/04 1,250,000 1,347,056
------------
1,347,056
------------
</TABLE>
# Forward buy contract.
A-68
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- -----
<S> <C> <C>
France - 0.32%
Legrand
8.500% due 02/15/25 $ 500,000 $ 544,225
--------------
544,225
--------------
Hong Kong - 0.56%
Cheung Kong Financial
5.500% due 09/30/98 1,000,000 958,124
--------------
958,124
--------------
Indonesia - 0.06%
Sampoerna International
8.375% due 06/15/06 ~ 100,000 101,848
--------------
101,848
--------------
Philippines - 0.06%
Philippines Long Distance
10.625% due 06/02/04 100,000 105,054
--------------
105,054
--------------
Total Foreign Bonds
(Cost $2,928,746) 3,056,307
--------------
Total Investments in Securities
at Market Value (Cost $157,722,994) 161,313,513
--------------
Value
-----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 5.52%
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96, repurchased
price of $9,410,181; collateralized
by U.S. Treasury Notes - market
value $9,596,188 and due 02/15/16) 9,431,046 9,431,046
--------------
Total Securities Held Under Repurchase
Agreement 9,431,046
--------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $167,154,040) $ 170,744,559
=============
</TABLE>
~ Purchased in a private placement transaction, resale to
the public may require registration.
A-69
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Portfolio of Investments
June 30, 1996(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 98.61%
Capital Goods - 2.16%
Case Corp 75,000 $ 3,600,000
------------
Consumer Discretionary - 27.33% 3,600,000
------------
Callaway Golf Co 200,000 6,650,000
Clear Channel Communications * 75,000 6,178,125
Donna Karan International Inc 35,000 980,000
Estee Lauder Co A 150,000 6,337,500
Gucci Group* 80,000 5,160,000
Manpower Inc 50,000 1,962,500
Paging Network Inc * 125,000 3,000,000
Reuters Holdings ADS 50,000 3,625,000
Saks Holdings Inc * 55,000 1,876,875
Sears Roebuck 45,000 2,188,125
Sunglass Hut International * 50,000 1,218,750
Walt Disney Productions 100,000 6,287,500
------------
45,464,375
------------
Consumer Staples - 8.95%
Coca-Cola 160,000 7,820,000
Starbucks Corp* 250,000 7,062,500
------------
14,882,500
------------
Financial & Business Services - 18.47%
Associates First Capital Corp * 50,000 1,881,250
Capital One Finance 110,000 3,135,000
Chase Manhattan Corp 50,000 3,531,250
Citicorp 30,000 2,478,750
Diebold Inc 75,000 3,618,750
First USA Inc 60,000 3,300,000
Green Tree Financial Corp 25,000 781,250
HFS Inc * 70,000 4,900,000
MBNA Corp 50,000 1,425,000
Medaphis Corp * 50,000 1,987,500
Student Loan Marketing 50,000 3,700,000
------------
30,738,750
------------
Health Care - 3.16%
Columbia/HCA Healthcare 60,000 $ 3,202,500
Oxford Health Plans * 50,000 2,056,250
------------
5,258,750
------------
Technology - 36.32%
Adaptec Inc * 30,000 1,421,250
Ascend Communications Inc * 30,000 1,687,500
Cabletron Systems * 50,000 3,431,250
Cisco Systems Inc * 150,000 8,493,750
FORE Systems * 50,000 1,806,250
Hewlett Packard Co 50,000 4,981,250
Informix Corp * 75,000 1,687,500
McAfee Associates Inc * 75,000 3,675,000
Microsoft Corp * 50,000 6,006,250
Oracle Systems Corp * 150,000 5,915,625
Sterling Commerce Inc * 35,000 1,299,375
Sterling Software Inc * 65,000 5,005,000
Sun Microsystems * 60,000 3,532,500
Tidewater Inc 15,000 658,125
U.S. Robotics Corp * 100,000 8,550,000
3 Com Corp * 50,000 2,287,500
------------
60,438,125
------------
Utilities - 2.22%
AT&T Corp 25,000 1,550,000
Ericsson "B" ADR 100,000 2,150,000
------------
3,700,000
------------
Total Common Stocks (Cost $123,984,422) 164,082,500
------------
Total Investments In Securities
At Market Value (Cost $123,984,422) 164,082,500
------------
</TABLE>
* Non-income producing securities.
A-70
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996(Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 1.39%
Citibank N.A.
5.400% due 07/01/96
(Dated 06/28/96, repurchased
price of $2,322,044; collateralized
by U.S. Treasury Notes - market
value $2,418,281 and due 09/30/96) $ 2,321,000 $ 2,321,000
------------
Total Securities Held Under Repurchase
Agreements 2,321,000
------------
TOTAL EQUITY PORTFOLIO
(COST $126,305,422) $166,403,500
============
</TABLE>
A-71
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
---------- ----------
<S> <C> <C>
CORPORATE BONDS & NOTES - 79.34%
Capital Goods - 10.97%
Boeing
6.875% due 10/15/43 $ 2,000,000 $ 1,822,500
Lockheed Martin Corp
7.750% due 05/01/26 1,500,000 1,499,602
Loral
7.000% due 09/15/23 2,090,000 1,913,928
McDonnell Douglas
9.750% due 04/01/12 1,750,000 2,082,500
-----------
7,318,530
-----------
Consumer Discretionary - 12.83%
CBS Inc
7.125% due 11/01/23 2,000,000 1,617,500
Dayton Hudson Co
9.700% due 06/15/21 500,000 576,875
Fruit Of The Loom
7.375% due 11/15/23 2,000,000 1,775,000
News America Holdings
7.750% due 01/20/24 2,000,000 1,850,000
Time Warner Inc
9.150% due 02/01/23 1,000,000 1,042,500
Walt Disney Productions
7.550% due 07/15/93 1,750,000 1,701,875
-----------
8,563,750
-----------
Consumer Staples - 13.94%
Anheuser Busch
7.000% due 12/01/25 2,000,000 1,852,500
Coca Cola Enterprise
6.750% due 09/15/23 1,500,000 1,361,250
Hershey Foods Co
8.800% due 02/15/21 2,000,000 2,270,000
Ralston Purina
7.875% due 06/15/23 1,500,000 1,483,125
8.625% due 02/15/22 500,000 533,125
Seagram Co Limited
6.875% due 09/01/23 2, 000,000 1,800,000
-----------
9,300,000
-----------
Energy - 4.31%
Burlington Resources
6.875% due 02/15/26 $ 2,000,000 $ 1,797,500
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,076,510
-----------
2,874,010
-----------
Financial $ Business Services - 8.26%
GMAC
7.400% due 09/01/25 2,000,000 1,902,500
International Bank
0.000% due 03/01/28 * 10,000,000 1,062,500
0.000% due 07/15/29 * 17,140,000 1,606,875
NationsBank Corp
7.250% due 10/15/25 1,000,000 941,250
-----------
5,513,125
-----------
Health Care - 3.45%
Columbia Healthcare
7.500% due 11/15/95 1,500,000 1,423,125
Merck & Co Inc
6.300% due 01/01/26 1,000,000 877,500
-----------
2,300,625
-----------
Materials & Processing - 9.23%
ASARCO Inc
8.500% due 05/01/25 1,000,000 1,035,000
Dow Chemical
7.375% due 03/01/23 1,500,000 1,410,000
Georgia-Pacific
7.375% due 12/01/25 1,500,000 1,376,250
Lyondell Petrochemical
7.550% due 02/15/26 1,500,000 1,393,125
Weyerhaeuser Co
7.125% due 07/15/23 1,000,000 946,250
-----------
6,160,625
-----------
</TABLE>
* Non-income producing securities.
A-72
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
---------- ----------
<S> <C> <C>
Technology - 4.10%
Harris Corp
7.000% due 01/15/26 $1,000,000 $ 907,500
IBM Corp
7.000% due 10/30/45 2,000,000 1,827,500
-----------
2,735,000
-----------
Transportation - 12.25%
AMR Corp
9.000% due 09/15/16 4,500,000 4,882,500
Ford Motor Co
7.750% due 06/15/43 1,500,000 1,484,835
Johnson Controls
6.950% due 12/01/45 2,000,000 1,810,000
-----------
8,177,335
-----------
Total Corporate Bonds & Notes
(Cost $53,015,519) 52,943,000
-----------
U.S. TREASURY BONDS - 15.87%
6.000% due 02/15/26 7,000,000 6,208,134
6.875% due 08/15/25 3,000,000 2,969,989
7.125% due 02/15/23 1,400,000 1,415,310
-----------
Total U.S. Treasury Bonds
(Cost $11,343,481) 10,593,433
-----------
FOREIGN GOVERNMENT - 3.12%
Province of Newfoundland
7.320% due 10/13/23 1,000,000 927,220
Province of Saskatchewan
9.125% due 02/15/21 1,000,000 1,157,700
-----------
Total Foreign Government
(Cost $2,054,573) 2,084,920
-----------
Total Investments in Securities
at Market Value (cost $66,413,573) 65,621,353
-----------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 1.67%
Citibank N.A.
5.400% due 07/01/96
(Dated 06/28/96, repurchased
price of $1,116,502; collateralized
by U.S. Treasury Notes - market
value $1,172,500 and due 01/15/00) 1,116,000 1,116,000
-----------
Total Securities Held Under Repurchase
Agreements 1,116,000
-----------
Total Bond And Income Portfolio
(Cost $67,529,573) $66,737,353
===========
</TABLE>
A-73
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 89.26%
Capital Goods - 4.68%
Allied Signal Inc 12,200 $ 696,925
AMP Inc 9,600 385,200
Armstrong World Industries 1,200 69,150
Asarco Inc 600 16,575
Ball Corp 100 2,875
Black & Decker Corp 4,100 158,362
Boeing 14,600 1,272,025
Briggs & Stratton Co 200 8,225
Browning Ferris 9,600 278,400
Case Corp 3,500 168,000
Caterpillar Inc 8,400 569,100
Cooper Industries Inc 5,000 207,500
Cummins Engine Inc 1,200 48,450
Deere & Co 11,500 460,000
Emerson Electric Co 9,600 867,600
Foster Wheeler Corp 1,500 67,313
General Dynamics Corp 1,820 112,840
General Signal Corp 1,700 64,387
Giddings & Lewis Inc 600 9,750
Grainger (W.W.) Inc 1,800 139,500
Illinois Tool Works 5,200 351,650
Ingersoll Rand Co 5,100 223,125
James River Corp 3,800 100,225
Lockheed Martin Corp 8,567 719,628
Masco Corp 7,400 223,850
McDonnell Douglas 9,600 465,600
National Semiconductor 5,300 82,150
Navistar Corp Laboratories 660 6,517
Northrop Grumman Corp 1,300 88,562
Parker Hannifin Corp 3,350 141,956
Texas Instruments Inc 8,300 413,963
Textron Inc 3,800 303,525
Thomas & Betts Corp 800 30,000
Trinova Corp 100 3,338
TRW Inc 2,900 260,638
Tyco International Laboratories 6,900 281,175
United Technologies 5,300 609,500
Varity Corp * 1,380 66,413
Westinghouse Electric 18,500 346,875
WMX Technologies Inc 21,200 694,300
-----------
11,015,167
-----------
Consumer Discretionary - 18.96%
Alcan Aluminium Limited 8,300 253,150
Alltel Corp 6,400 196,800
American General Corp 9,200 334,650
American Greetings 'A' 3,660 100,192
American Home Products 26,700 1,605,337
American Stores Co 6,800 280,500
Avery Dennison Corp 1,700 93,288
Avon Products Inc 5,000 225,625
Bally Entertainment Corp * 2,900 79,750
Bausch & Lomb Inc 2,000 85,000
Bristol Myers Squibb 21,300 1,917,000
Charming Shoppes Inc 1,280 9,040
Circuit City Store 4,400 158,950
Coastal Corp 3,800 158,650
Comcast 'A' 9,335 172,697
ConAgra 10,650 483,244
Corning Inc 10,100 387,587
Crane Co 100 4,100
Darden Restaurants 4,900 52,675
Dayton Hudson Corp 3,200 330,000
Deluxe Corp 2,100 74,550
Dillard Department Stores 5,100 186,150
Donnelley (R.R.) & Sons 7,000 244,125
DSC Communications * 5,620 169,302
Eastern Enterprises 100 3,325
Eastman Kodak 14,700 1,142,925
Ecolab Inc 1,170 38,610
EG&G Inc 400 8,550
Federal Express Corp * 2,000 164,000
Federated Department Stores * 9,300 317,362
Fleetwood Enterprise 400 12,400
Fleming Cos Inc 400 5,750
Fluor Corp Del 3,800 248,425
Fruit of the Loom * 1,800 45,900
Gap Inc 12,600 404,775
General Electric 69,600 6,020,400
General Mills Inc 7,000 381,500
Gillette Co 19,000 1,185,125
</TABLE>
*Non-income producing securities.
A-74
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Consumer Discretionary - (Continued)
Great Atlantic & Pacific 200 $ 6,575
H & R Block 4,900 159,862
Harcourt General Inc 2,342 117,100
Harland (John H.) Co 100 2,462
Harrah's Entertainment Inc * 4,850 137,012
Hasbro Inc 4,200 150,150
Hilton Hotels Corp 2,200 247,500
Home Depot 20,300 1,096,200
Interpublic Group 2,500 117,187
International Flavors/Fragrances 3,700 176,212
Jostens Inc 48 948
Kmart Corp 21,900 271,012
Kimberly Clark Corp 11,976 925,146
King World Productions * 400 14,550
Knight-Ridder Inc 2,200 159,500
Kroger Co * 5,800 229,100
Limited Inc 12,290 264,235
Liz Claiborne Inc 3,660 126,727
Longs Drug Stores 100 4,462
Marriott International Inc 4,900 263,375
Mattel Inc 12,350 353,519
May Department Stores Co 10,800 472,500
Maytag Corp 2,500 52,188
McDonalds Corp 29,600 1,383,800
McGraw Hill Inc 3,800 173,850
MCI Communications Corp 29,580 757,988
Melville Corp 4,900 198,450
Mercantile Stores 1,100 64,488
Meredith Corp 400 16,700
Motorola 25,000 1,571,875
National Service Industries * 1,000 39,125
New York Times Co 3,200 104,400
Newell Co 7,400 226,625
Nike Inc 4,000 411,000
Nordstrom Inc 3,760 167,320
Nynex Corp 18,700 888,250
Ogden Corp 300 5,438
Penny (J.C.) Inc 9,800 514,500
PPG Industries Inc 8,300 404,625
Price/Costco Inc * 9,122 197,263
Procter & Gamble Co 28,900 2,619,063
Reebok International Limited 3,600 121,050
Rubbermaid Inc 5,300 144,425
Russell Corp 200 5,525
Ryan's Family Steak House * 90 833
Sears Roebuck 16,800 816,900
Service Corp International 5,200 299,000
Shoney's Inc * 100 1,088
Sigma Aldrich Corp 2,400 128,400
Springs Industries Inc 200 10,100
Stride Rite Corp 400 3,300
Supervalue Inc 1,300 40,950
Sysco Corp 8,200 280,850
Tandy Corp 2,636 124,881
Tele-communications 'A' * 25,560 463,275
Tellabs Inc * 4,100 274,188
Time Warner Inc 16,920 664,110
Times Mirror 'A' 4,188 182,178
TJX Cos Inc 1,800 60,750
Toys R Us * 12,100 344,850
Tribune Co 2,400 174,300
Tupperware Corp 3,100 130,975
Unicom Corp 9,800 273,175
Unilever N.V. 6,800 986,850
VF Corp 2,300 137,138
Viacom International Inc 15,438 600,152
Viacom International Warrants * 289 181
Wal-Mart Stores Inc 96,500 2,448,688
Walgreen Co 8,900 298,150
Walt Disney Productions 28,602 1,798,351
Warner Lambert Co 11,400 627,000
Wendy's International Inc 5,000 93,125
Whirlpool Corp 3,500 173,688
Winn Dixie Stores 5,100 180,413
Woolworth Corp 4,600 103,500
-----------
44,666,030
-----------
Consumer Staples - 7.94%
Albertson's Inc 11,000 455,125
American Brands Inc 7,900 358,463
Anheuser Busch 10,800 810,000
Archer-Daniel Midland 19,912 380,817
</TABLE>
* Non-income producing securities.
A-75
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Consumer Staples - (Continued)
Brown Forman Inc 761 $ 30,440
Campbell Soup Co 10,000 705,000
Coca-Cola 104,800 5,122,100
Colgate Palmolive 6,300 533,925
Coors Adolph 90 1,609
CPC International Inc 6,400 460,800
Giant Foods Inc "A" 1,400 50,225
Heinz (H.J.) Co 16,050 487,519
Hershey Foods Corp 2,600 190,775
Kellogg Co 9,100 666,575
PepsiCo 66,100 2,338,288
Philip Morris Co Inc 34,800 3,619,200
Pioneer Hi Bred Inc 3,100 163,912
Polaroid Corp 1,300 59,312
Quaker Oats Co 4,300 146,738
Ralston-Purina Group 4,800 307,800
Sara Lee Corp 20,800 673,400
Seagrams Limited 16,200 544,725
UST Inc 9,100 311,675
Whitman Corp 3,200 77,200
Wrigley (W.M. Jr.) Co 4,400 222,200
-----------
18,717,823
-----------
Energy - 11.01%
Amerada Hess Corp 4,000 214,500
Amoco Corp 21,000 1,519,875
Armco Inc 500 2,500
Ashland Oil Inc 1,500 59,437
Atlantic Richfield 6,900 817,650
Baker Hughes Inc 6,600 216,975
Carolina Power & Light 5,400 205,200
Central & South West 8,700 252,300
Chevron Corp 27,600 1,628,400
Columbia Gas Systems Inc 1,900 99,037
Consolidated Edison Co 10,600 310,050
Consolidated Natural Gas 4,300 224,675
CSX Corp 9,200 443,900
Cyprus Minerals Co 2,200 49,775
Dresser Industries Inc 8,300 244,850
Duke Power Co 9,000 461,250
duPont (EI) deNemours 23,600 1,867,350
Echo Bay Mines Limited 5,200 55,900
Enron Corp 11,000 449,625
Enserch Corp 3,600 78,300
Exxon Corp 52,100 4,526,187
FMC Corp * 900 58,725
Halliburton 5,200 288,600
Helmerich & Payne 100 3,662
Homestake Mining Co 7,200 123,300
Inco Limited 5,600 180,600
Kerr McGee Corp 1,700 103,487
Louisiana Land & Exploration 1,700 97,962
McDermott International Inc 2,300 48,013
Minnesota Mining & Mfg Co 17,800 1,228,200
Mobil Corp 16,600 1,861,275
Newmont Mining Corp 4,498 222,089
Noram Energy Corp 1,500 16,313
Occidental Petroleum Corp 14,200 351,450
Paccar Inc 1,133 55,517
Panenergy Corp 6,900 226,838
Pennzoil Co 1,400 64,750
Peoples Energy Corp 200 6,700
Phillips Petroleum Co 11,400 477,375
Rowan Cos Inc * 2,200 32,450
Royal Dutch Petroleum Guild 22,500 3,459,375
Santa Fe Energy Resources 700 8,313
Schlumberger Limited 10,400 876,200
Sonat Inc 4,100 184,500
Sun Company Inc 1,957 59,444
Tenneco Inc 7,600 388,550
Texaco Inc 11,300 947,788
Unocal Corp 11,000 371,250
USX-Marathon Group 13,000 261,625
Williams Cos 4,100 202,950
-----------
25,935,037
-----------
Financial & Business Services - 13.28%
Aetna Life & Casualty Co 5,100 364,650
Ahmanson (H.F.) & Co 5,600 151,200
Alco Standard Corp 5,700 257,925
Alexander & Alexander 200 3,950
Allstate Corp 18,989 866,373
American Express 20,600 919,275
</TABLE>
* Non-income producing securities.
A-76
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Financial & Business Services - (Continued)
American International Group Inc 20,000 $ 1,972,500
Aon Corp 4,400 223,300
Banc One Corp 19,640 667,760
Bank of Boston Corp 5,300 262,350
Bank of New York Co Inc 8,800 451,000
Bankamerica Corp 15,692 1,188,669
Barnett Banks Of Florida 3,400 207,400
Beneficial Corp 1,400 78,575
Boatmens Bankshare 6,800 272,850
Chase Manhattan Corp 18,640 1,316,450
Chubb Corp 7,800 389,025
Cigna Corp 3,400 400,775
Cinergy Corp 5,513 176,416
Citicorp 20,600 1,702,075
Comerica Inc 4,500 200,812
Corestates Financial 9,940 382,690
Dean Witter Discover & Co 7,427 425,196
Dial Corp 3,500 100,187
Dominion Resources Inc 6,450 258,000
Dow Jones & Co Inc 3,500 146,125
Dun & Bradstreet 7,400 462,500
FHLMC 7,700 658,350
FNMA 46,200 1,547,700
Fifth Third Bancorp 4,200 226,800
First Bank Systems 6,200 359,600
First Chicago Corp 13,887 543,329
First Data Corp 9,600 764,400
First Union Corp 12,355 752,111
Fleet Financial Group Inc 11,665 507,427
Gannett Inc 6,200 438,650
Golden West Financial Corp 1,800 100,800
Great Western Financial 6,600 157,575
Green Tree Financial Corp 6,300 196,875
Household International Inc 4,300 326,800
ITT Corp * 5,200 344,500
ITT Hartford Group 5,400 287,550
ITT Industries Inc 5,700 143,212
Jefferson Pilot Corp 2,000 103,250
Keycorp 8,700 337,125
Laidlaw Inc 'B' 4,900 49,612
Lincoln National Corp 3,700 171,125
Marsh & McLennan 3,200 308,800
MBNA Corp 9,300 265,050
Mellon Bank Corp 6,300 359,100
Merrill Lynch Co 7,500 488,437
Morgan (J.P.) And Co Inc 8,200 693,925
Morgan Stanley 6,800 334,050
National City Corp 8,600 302,075
NationsBank Corp 11,772 972,661
Northern Telecommunications 10,900 592,688
Norwest Corp 15,600 544,050
PNC Bank Corp 15,200 452,200
Providian Corp 3,200 137,200
Pulte Corp 100 2,675
Republic New York Corp 2,000 124,500
Safeco Corp 5,940 210,128
Salomon Inc 4,900 215,600
St Paul Cos Inc 2,960 158,360
Suntrust Banks Inc 8,900 329,300
Torchmark Corp 1,850 80,938
Transamerica Corp 2,370 191,970
Travelers Inc 20,246 923,724
UNUM Corp 2,400 149,400
U.S. Bancorp 7,140 257,933
USF & G Corp 3,500 57,313
USLIFE Corp 225 7,397
Wachovia Corp 6,200 271,250
Wells Fargo & Co 4,200 1,003,275
-----------
31,298,818
-----------
Health Care - 7.70%
Abbott Laboratories 33,300 1,448,550
Allergan Inc 2,000 78,500
Alza Corp * 2,000 54,750
Amgen Inc 11,300 610,200
Bard (C.R.) Inc 1,000 34,000
Baxter International Inc 11,900 562,275
Becton Dickinson 2,900 232,725
Beverly Enterprises * 800 9,600
Biomet Inc * 5,440 78,200
Boston Scientific Corp * 7,700 346,500
Columbia/HCA Healthcare 19,023 1,015,353
Community Psychiatric Center 300 2,850
</TABLE>
* Non-income producing securities.
A-77
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Health Care - (Continued)
Humana Inc 6,200 $ 110,825
Johnson & Johnson 56,000 2,772,000
Lilly (Eli) & Co 23,300 1,514,500
Mallinckrodt Group Inc 2,700 104,962
Manor Care Inc 1,950 76,781
Medtronic Inc 10,100 565,600
Merck & Co Inc 51,500 3,328,187
Pfizer Inc 26,900 1,919,988
Pharmicia & Upjohn Inc 21,735 964,491
Rite Aid Corp 4,000 119,000
Schering-Plough 15,700 985,175
St. Jude Medical 3,920 131,320
Tenet Healthcare Corp * 10,000 213,750
United Healthcare Corp 7,700 388,850
U.S. Health Care 6,800 374,000
U.S. Surgical Corp 3,000 93,000
-----------
18,135,932
-----------
Materials & Processing - 4.45%
Aluminum Company of America 7,700 441,787
Applied Materials * 8,100 247,050
Barrick Gold Corp 15,600 423,150
Bemis Inc 1,400 49,000
Bethlehem Steel Corp 3,300 39,187
Boise Cascade Corp 2,600 95,225
Burlington Northern Industries 6,470 523,261
Burlington Resources Inc 5,300 227,900
Clorox Co 2,000 177,250
Crown Cork & Seal 5,800 261,000
Dover Corp 5,200 239,850
Dow Chemical 10,700 813,200
Eastman Chemical Co 3,625 220,672
Engelhard Corp 5,112 117,576
Freeport McMoRan Copper 'B' 3,600 114,750
Grace (W.R.) & Co 4,400 311,850
Great Lakes Chemical 3,000 186,750
Harnischfeger Industries Inc 2,600 86,450
Hercules Inc 4,900 270,725
Inland Steel Industries Inc 600 11,775
International Paper 12,923 476,536
Johnson Controls Inc 1,200 83,400
Loews Corp 5,200 410,150
Louisiana Pacific Corp 3,600 79,650
Lowe's Co 7,300 263,712
Mead Corp 2,200 114,125
Monsanto Co 25,500 828,750
Moore Limited 1,500 28,313
Morton International 6,700 249,575
Nalco Chemical Co 1,800 56,700
Nucor Corp 4,000 202,500
Owens Corning Fiberglass * 2,200 94,600
Pall Corp 3,366 81,205
Phelps Dodge Corp 3,100 193,363
Placer Dome Inc 10,700 255,462
Potlatch Corp 200 7,825
Praxair Inc 6,000 253,500
Raychem Corp 2,100 150,938
Reynolds Metals Co 3,000 156,375
Rohm & Haas Co 2,300 144,325
Safety Kleen Corp 300 5,250
Sherwin Williams Co 2,900 134,850
Stanley Works 2,800 83,300
Stone Container Corp 3,112 42,790
Temple Inland Inc 2,400 112,200
Timken Co 300 11,625
Union Camp Corp 2,400 117,000
Union Carbide Corp 6,000 238,500
USX-US Steel Group 3,560 101,015
Westvaco Corp 3,600 107,550
Weyerhaeuser Co 8,700 369,750
Willamette Industries 2,300 136,850
Worthington Industries Inc 1,755 36,636
-----------
10,486,728
-----------
Technology - 8.94%
Advanced Micro Devices * 3,900 53,138
Amdahl Corp 1,500 16,125
Apple Computer 5,650 118,650
Autodesk Inc 2,560 76,480
Automatic Data Processing 12,700 490,537
Bay Networks Inc * 8,500 218,875
</TABLE>
* Non-income producing securities.
A-78
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Technology - (Continued)
Cabletron Systems * 3,300 $ 226,462
Ceridian Corp * 3,200 161,600
Cincinnati Milacron 200 4,800
Cisco Systems Inc * 24,100 1,364,662
Compaq Computer Corp * 11,600 571,300
Computer Association International 10,400 741,000
Computer Sciences * 2,600 194,350
Cray Research * 44 1,061
CUC International Inc * 8,550 303,525
Data General Corp * 100 1,300
Digital Equipment Corp * 6,800 306,000
Eaton Corp 3,700 216,912
EMC Corp * 10,000 186,250
General Instruments Corp * 6,000 173,250
Harris Corp 800 48,800
Hewlett Packard Co 21,500 2,141,938
Honeywell Inc 5,700 310,650
IBM Corp 22,900 2,267,100
Intel Corp 34,540 2,536,531
Intergraph Corp * 370 4,486
LSI Logic * 6,100 158,600
Micron Technology 9,400 243,225
Microsoft Corp * 24,900 2,991,113
Millipore Corp 752 31,490
Novell Inc * 16,800 233,100
Oracle Systems Corp * 27,990 1,103,856
Perkin Elmer Corp 2,200 106,150
Pitney Bowes Inc 5,900 281,725
Raytheon Co 10,400 536,900
Rockwell International Corp 9,500 543,875
Scientific Atlanta 2,000 31,000
Shared Medical Systems Corp 1,300 83,525
Silicon Graphics * 7,000 168,000
Sun Microsystems * 8,000 471,000
Tandem Computers Inc * 2,500 30,938
Tektronix 600 26,850
Teledyne Inc 2,600 93,925
Unisys Corp * 4,300 30,638
Western Atlas Inc * 1,400 81,550
Xerox Corp 13,800 738,300
3 Com Corp * 7,400 338,550
-----------
21,060,092
-----------
Transportation - 3.81%
Air Products & Chemicals 5,000 288,750
AMR Corp Del * 4,000 364,000
Brunswick Corp 2,400 48,000
Caliber Systems Inc 1,280 43,520
Champion International Corp 4,500 187,875
Chrysler Corp 15,922 987,164
Conrail Inc 3,700 245,587
Consolidated Freightways Inc 100 2,112
Cooper Tire & Rubber Corp 2,200 48,950
Dana Corp 3,000 93,000
Delta Air Lines 2,400 199,200
Echlin Inc 1,600 60,600
Ford Motor Co 45,400 1,469,825
General Motors Corp 31,900 1,670,762
General Re Corp 3,500 532,875
Genuine Parts Co 4,350 199,012
Georgia-pacific Corp 4,100 291,100
Goodrich (B.F.) Co 1,500 56,063
Goodyear Tire & Rubber 6,800 328,100
Norfolk Southern 4,900 415,275
Pep Boys 1,300 44,200
Ryder Systems Inc 2,600 73,125
Santa Fe Pacific Gold Corp 3,121 44,084
Snap On Inc 1,300 61,588
Southwest Airlines 6,800 198,050
Union Pacific Corp 8,900 621,888
U.S. Air Group Inc * 2,000 36,000
U.S. West Media Group 20,900 381,425
Yellow Corp 90 1,193
-----------
8,993,323
-----------
Utilities - 8.49%
Airtouch Communications Inc * 20,100 567,825
American Electric Power Inc 8,300 353,787
Ameritech Corp 23,500 1,395,313
Andrew Corp * 2,850 153,187
AT&T Corp 67,400 4,178,800
Baltimore Gas & Electric 5,050 143,294
</TABLE>
* Non-income producing securities.
A-79
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Utilities - (Continued)
Bell Atlantic Corp 18,400 $ 1,173,000
Bell South Corp 42,000 1,779,750
Centex Corp 200 6,225
DTE Energy Co 5,800 179,075
Edison International 19,800 348,975
Entergy Corp 10,300 292,262
FPL Group Inc 8,200 377,200
General Public Utilities 5,600 197,400
GTE Corp 41,200 1,843,700
Houston Industry Inc 12,000 295,500
Niagara Mohawk Power 4,200 32,550
Nicor Inc 400 11,350
Northern States Power Co 2,100 103,687
Ohio Edison Co 5,100 111,562
Oryx Energy Co 2,900 47,125
Pacific Enterprises 3,400 100,725
Pacific Gas & Electric 18,400 427,800
Pacificorp 11,200 249,200
Pacific Telesis 17,300 583,875
Peco Energy Co 9,400 244,400
PP&L Resources Inc 5,300 125,212
Public Service Enterprise 10,200 279,225
SBC Communications 25,800 1,270,650
Southern Co 29,000 714,125
Sprint Corp 18,600 781,200
Texas Utilities Co 9,900 423,225
Union Electric Co 3,500 140,875
U.S. West Communications * 19,100 608,813
Worldcom Corp * 8,500 470,689
-----------
20,011,581
-----------
Total Common Stocks (Cost $178,366,149) 210,320,531
-----------
Total Investments in Securities
at Market Value (Cost $178,366,149) 210,320,531
-----------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - 0.39%
4.970% due 07/25/96** $ 915,000 $ 911,974
------------
Total U.S. Treasury Bills 911,974
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 10.35%
State Street Bank and Trust
4.000% due 07/01/96
(Dated 06/28/96. Repurchased
price of $24,406,133; collateralized
by U.S. Treasury Notes - market value
$24,887,310 and due 02/15/16) 24,398,000 24,398,000
------------
Total Securities Held Under Repurchase
Agreement 24,398,000
------------
Total Short-Term Investments
at Amortized Cost 25,309,974
------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $203,676,123) $235,630,505
============
</TABLE>
* Non-income producing securities.
** Securities have been segregated with the custodian to cover margin
requirements for open future contracts as of June 30, 1996.
A-80
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS - 0.24%
Australia - 0.24%
News Corporation Ltd 156,094 $ 761,693
-----------
Total Preferred Stocks (Cost $605,511) 761,693
-----------
CONVERTIBLE PREFERRED STOCKS - 0.00%
Hong Kong - 0.00%
Dairy Farm International Holdings Ltd
6.500% Due 05/10/49 12,000 8,820
-----------
Total Convertible Preferred Stocks (Cost $12,000) 8,820
-----------
COMMON STOCKS - 87.01%
Argentina - 2.56%
Telecom De Argentina ADR 71,700 3,360,938
Telefonica De Argentina ADR 122,200 3,620,175
YPF Sociedad Anonima 46,000 1,035,000
-----------
8,016,113
-----------
Australia - 5.44%
Australian Gas & Light 600,000 2,498,097
Brambles Industries Ltd 95,000 1,321,929
Burns, Philp & Co Ltd 939,200 1,774,074
Email Ltd 350,000 909,043
GIO Australian Holdings Ltd 1,850,000 4,557,413
National Australian Bank Ltd 430,000 3,976,570
Quantas Airways Ltd ADR ~ 116,900 1,994,606
-----------
17,031,732
-----------
Austria - 1.53%
Env Energie-versorgung 12,840 1,772,935
Mayr-melnhof Karton AG 42,500 1,827,914
Va Technolgoie AG ~ 9,700 1,187,330
-----------
4,788,179
-----------
Belgium - 1.22%
Solvay Npv 4,760 2,918,127
Union Miniere Npv * 11,800 903,076
-----------
3,821,203
-----------
Brazil - 0.81%
Telebras ADR 36,600 2,548,275
-----------
2,548,275
-----------
Burmuda - 1.69%
Ace Ltd 45,000 2,115,000
Partnerre Ltd 106,000 3,166,750
-----------
5,281,750
-----------
Canada - 2.18%
Canadian Imperial Bank Of Commerce 90,000 2,906,845
London Insurance Group Inc 15,000 314,551
National Bank Of Canada 250,000 2,089,672
Sears Canada Inc 255,000 1,505,114
-----------
6,816,182
-----------
China - 0.24%
Shandong Huaneng Power ADR 75,000 618,750
Shanghai Hai Xing Shipping 1,940,000 127,818
-----------
746,568
-----------
Denmark - 2.55%
Tele Danmark AS 71,000 3,549,940
Unidanmark AS 96,000 4,446,488
-----------
7,996,428
-----------
Finland - 3.39%
Amer Group Ltd 22,500 378,111
Enso-gutzeit Oy 161,000 1,252,203
Kemira Oy 290,100 3,031,315
Merita Ltd 'A' * 1,977,700 4,133,080
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-81
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Finland - (Continued)
Metsa-Serla Oy 144,000 $ 1,023,807
Outokumpu Oy 48,000 806,636
-------------
10,625,152
-------------
France - 8.30%
Alcatel Alsthom 39,455 3,437,427
Banque Nationale De Paris 107,076 3,754,355
Cie De Saint Gobain 2,374 317,384
Elf Aquitaine 51,000 3,746,587
Pechiney International SA 83,000 3,348,248
Peugeot SA 36,000 4,812,900
Rhone-Poulenc SA 141,600 3,717,458
Societe Elf Aquitaine 7,000 514,234
Total SA 31,380 2,324,738
-------------
25,973,331
-------------
Germany - 1.93%
Ergo Bank SA 4,000 219,798
Veba AG 64,600 3,428,888
Volkswagen AG 6,400 2,378,768
-------------
6,027,454
-------------
Hong Kong - 5.30%
Cheung Kong Holdings Ltd 752,000 5,416,048
Consolidated Electric 975,600 1,613,249
Dairy Farm International Holdings Ltd 439,727 371,569
HSBC Holdings PLC 121,068 1,829,932
Hutchison Whampoa Ltd 300,000 1,887,426
Jardine Matheson Holdings 377,386 2,773,787
Jardine Strategic Holdings Ltd 157,500 504,000
Jardine Strategic Hldgs Ltd Warrant * 17,500 5,425
Peregrine Investments Holdings Ltd 450,000 648,197
Peregrine Investments Hldgs Ltd Warrant * 45,000 5,581
Swire Pacific Ltd 160,000 1,369,385
Wharf (Holdings) Ltd 50,000 178,924
-------------
16,603,523
-------------
Indonesia - 1.11%
Asia Pulp & Paper Co Ltd ADR * 185,100 2,267,475
PT Barito Pacific Timber 460,000 301,526
PT Inti Indorayon Utama 950,000 918,762
-------------
3,487,763
-------------
Israel - 0.21%
Tadiran Ltd 24,500 661,500
-------------
661,500
-------------
Italy - 2.36%
Cartiere Burgo SPA 61,920 337,934
Stet D Risp Port Non Con 1,058,000 2,775,030
Telecom Italia Di Risp 2,160,000 3,723,022
Telecom Italia SPA 114,990 246,906
Unicem Unione Cementi * 40,000 291,940
-------------
7,374,832
-------------
Japan - 0.93%
Hitachi Koki 62,000 610,810
Matsushita Electric Industrial Co 17,000 316,351
Sony Corp 30,000 1,973,090
-------------
2,900,251
-------------
Malaysia - 0.09%
Public Bank Bhd 100,000 276,664
-------------
276,664
-------------
Mexico - 2.53%
Cifra B * 1,850,000 2,678,049
Herdez Sa De CV Ord 'A' 19,000 5,887
Herdez Sa De CV Ord 'B' 301,000 101,193
Panamerican Beverages Inc 'A' 76,500 3,423,375
Telefonos De Mexico SA ADR 51,200 1,715,200
-------------
7,923,704
-------------
Netherlands - 6.67%
ABN Amro Holding 45,857 2,457,727
AKZO Nobel Nv 27,000 3,230,648
DSM Nv 6,000 595,050
European Vinyls Corp EVC Int'l 22,680 703,318
Fortis AMEV 25,425 727,449
</TABLE>
* Non-income producing securities.
A-82
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Netherlands - (Continued)
Hafslund Nyc As "B" 49,540 $ 312,192
Ing Groep Nv 76,250 2,270,859
Koninklijke Bijenkor Beheer 57,050 4,813,416
Koninklijke PTT Nederlanden 63,105 2,385,222
Philips Electronics Nv 104,620 3,397,349
------------
20,893,230
------------
New Zealand - 2.91%
Brierley Investments Ltd 3,080,000 2,918,537
Fletcher Challenge Building * 125,000 244,619
Fletcher Challenge Energy * 125,000 276,377
Fletcher Challenge Paper * 250,000 484,088
Fletcher Forestry Shares 3,470,943 4,313,815
Tranz Rail Holdings ADR 63,400 879,675
------------
9,117,111
------------
Norway - 2.46%
Den Norske Bank 920,000 2,785,715
Norske Skogindustrier AS 111,000 3,343,964
Nycomed Asa "B" * 49,540 685,301
Saga Petroleum As "B" 65,000 879,182
------------
7,694,162
------------
Peru - 1.06%
Telefonica De Peru "B" 1,648,995 3,315,511
------------
3,315,511
------------
Portugal - 0.06%
Soares Da Costa 20,480 173,825
------------
173,825
------------
Singapore - 0.18%
Singapore Press Holdings 28,800 565,306
------------
565,306
------------
Spain - 7.62%
Argentaria 98,000 4,269,337
Banco Popular Espanol 20,000 3,559,989
Banco Santander SA 30,500 1,421,424
Dragados Y Const SA 233,000 3,077,855
Empresa Nacional De Electric 22,600 1,407,271
Iberdrola SA 301,500 3,089,838
Repsol SA 36,170 1,255,795
Sevillana De Electricida 227,279 2,090,085
Telefonica De Espana SA 200,000 3,678,448
------------
23,850,042
------------
Sweden - 7.48%
Allgon Ab-B Free 45,000 748,995
Astra Ab Ord "A" 10,000 441,338
Astra Ab Ord "B" 20,000 870,626
Celsius Industrier Ab 43,200 566,118
Electrolux B-F 65,400 3,285,318
Enator Ab 43,200 992,333
Skandia Foersaekrings Ab 169,000 4,467,532
Stadshypotek Ab ~ 189,000 4,213,349
Svenska Handelsbanken 152,000 3,171,007
Trelleborg Ab 29,000 362,560
Volvo Ab "B" 189,000 4,298,754
------------
23,417,930
------------
Switzerland - 4.28%
ABB AG 1,020 1,259,641
Ascom Holdings AG 1,200 1,206,223
Baer Holding AG 2,600 2,800,160
Baloise-Holdings 1,669 3,621,604
CIBA Geigy AG 1,800 2,189,868
S.M.H. AG Bearer 2,900 2,012,764
Schweizerische Bankgesellschaft 320 312,724
------------
13,402,984
------------
Thailand - 0.30%
Bangkok Bank Public Co Ltd 70,000 948,293
------------
948,293
------------
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-83
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
United Kingdom - 9.62%
Albert Fisher Group PLC 754,695 $ 550,327
Barclays PLC 61,306 735,249
BICC PLC 460,000 2,212,439
British Gas PLC 1,749,000 4,883,954
Dawson International 604,000 768,427
London Electricity PLC 40,748 395,760
National Grid Grp PLC * 40,542 107,246
National Power PLC 392,000 3,162,578
National Westminster Bank 420,250 4,016,430
Northern Foods PLC 1,241,800 3,602,841
Powergen PLC 170,000 1,242,286
Royal Bank of Scotland Group PLC 131,493 1,005,776
Smith (W.H.) Group PLC 322,800 2,378,915
SmithKline Beecham PLC 27,000 1,468,125
Thames Water PLC 406,700 3,577,742
------------
30,108,095
------------
Total Common Stocks (Cost $245,776,668) 272,387,093
------------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CONVERTIBLE BONDS - 0.50%
Italy - 0.16%
Softe SA
4.250% due 07/30/98 510,000 508,069
------------
508,069
------------
Luxembourg - 0.21%
Arbed Sa
2.500% due 07/15/03 1,150,000 645,113
------------
645,113
------------
Mexico - 0.13%
Banco Nacional Mexico
7.000% due 12/15/99 440,000 405,900
------------
405,900
------------
Total Convertible Bonds
(Cost $1,499,826) 1,559,082
------------
Total Investment in Securities
at Market Value (Cost $247,894,005) 274,716,688
------------
<CAPTION>
Value
-----
<S> <C>
SHORT-TERM INVESTMENT - 12.25%
Chase Bank London
4.563% due 07/01/96 38,364,720 38,364,720
-------------
Total Short-Term Investment
at Amortized Cose 38,364,720
-------------
TOTAL INTERNATIONAL PORTFOLIO
(Cost $286,258,725) $ 313,081,408
=============
</TABLE>
A-84
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
--------- ----------
<S> <C> <C>
COMMON STOCKS - 89.89%
Argentina - 3.37%
Banco Frances Del Rio 4,766 $ 45,294
Buenos Aires Emb ADR 1,050 13,912
Dalmine Siderca SA 17,494 23,888
Inversiones Y Representaciones GDR 625 21,094
Molinos Rio De La Plata 1,861 19,548
Perez Compancia ADR 9,800 130,033
Telefonica De Argentina ADR 5,430 160,864
YPF Sociedad Anonima ADR 11,500 258,750
----------
673,383
----------
Brazil - 12.45%
Aracruz Celulose SA PNB 36,500 67,990
Banco Brasileiro 27,660 225,931
Banco Itau SA PN 250 101,601
Brasmotor SA 473 147,945
Centrais Eletrobras 995 284,456
Ceval Alimentos SA ADR 5,600 58,293
Cia Energetica Minas Ger 2,630 69,948
Cia Paulista De Forca E * 1,370 125,550
Cia Siderurgica Nacional 2,400 61,201
Cia Souza Cruz Ind Com 13,400 116,795
Cia Tecidos Norte De Min 180 71,001
Cia Vale Do Rio Doce 8,380 162,358
Duratex SA 1,122 48,506
Fertilizantes Fofatados 16,000 68,214
Lojas Americanas SA 3,600 71,003
Paranapanema SA Mineraca * 8,885 70,804
Petrol Brasileiros 1,050 129,171
Telebras - ADR 5,150 358,569
Telecomunicacoes Brasileiras ADR 3,124 183,600
Usinas Siderurgicas Mina 63,300 66,837
----------
2,489,773
----------
Chile - 6.47%
Banco Osorno Y La Union 6,875 92,812
Chilgener SA ADR 5,000 120,000
Compania Cervecerias Unidas ADR 4,250 99,875
Compania De Telefonos Chili ADR 3,540 347,363
Empresa ADR 3,075 66,112
Enersis ADR 5,100 158,100
Madeco SA ADR 6,350 178,594
Maderas Y Sinteticos Sociedad ADR 1,625 28,844
Sociedad Quimica Y Minera Chile 1,850 100,363
Vina Concha Y Toro SA ADR 5,500 101,750
----------
1,293,813
----------
Colombia - 0.83%
Cadenalco ~ 3,900 53,157
Cemento Paz Del Rio ~* 6,000 79,491
Cementos Diamante SA ADR ~ 2,130 33,548
----------
166,196
----------
India - 8.03%
Bajai Auto GDR * 2,150 81,700
Century Textiles * 520 82,940
East India Hotels GDR * 3,800 103,075
Grasim Industries 8,370 155,933
Gujarat Narmada VA GDR * 2,360 15,635
Hindalco Industries * 4,700 178,012
Indian Aluminium 15,600 113,100
Indian Hotels Co Limited * 3,200 90,800
Indian Petrochemical 2,600 43,550
Indian Rayon & Industries GDR 7,800 115,050
Larsen & Tourbro Limited * 7,500 141,564
Oryx (India) Shares Fund * 4,785 35,888
Raymond Limited * 4,200 85,575
Reliance Industries GDS * 9,310 121,030
Steel Authority Of India * 5,400 79,650
Tata Engineering & Loco Co GDR 9,120 161,880
----------
1,605,382
----------
Indonesia - 2.86%
Astra International 15,000 21,760
Bank International Indonesia 22,500 111,219
Bimantara Citra 51,000 64,668
P.T. Hm Sampoerna 7,000 79,734
P.T. Semen Gresik 32,000 93,187
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction; resale to the public may
requier registration.
A-85
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
--------- ----------
<S> <C> <C>
Indonesia - (Continued)
Telekomunikasi Indonesia ADR 5,600 $ 166,600
United Tractors 22,000 34,752
----------
571,920
----------
Israel - 1.12%
Bank Hapoalim Bm * 16,800 24,750
Elite Industries * 5,100 18,927
ICL Israel Chemical * 33,400 28,043
Koor Industries * 325 27,515
Osem Investment * 4,000 23,522
Super Sol * 1,440 30,671
Tadiran Limited * 4,950 21,259
Tadiran Telecommunications 1,225 19,600
Teva Pharmaceutical ADR * 78 29,452
----------
223,739
----------
Malaysia - 11.94%
DCB Holdings Berhad 34,000 116,560
Edaran Otomobil Nasional 3,000 28,749
Jaya Tiasa Holdings 39,000 228,308
Land & General Holdings 17,000 41,921
Malaysian Banking Berhad 33,000 317,562
Perusahaan Otomobil Nas 59,000 321,732
Public Bank Berhad Foreign 95,000 262,831
Road Builder (M) Holdings Berhad 57,000 253,689
Sungei Way Holdings Berhad 35,000 164,194
Technology Resources Industries * 61,000 212,791
Telekom Malaysia 2,000 17,803
UMW Holdings Berhad * 54,000 192,702
United Engineers * 33,000 228,909
----------
2,387,751
----------
Mexico - 10.04%
Apasco SA 15,279 84,301
CIfra SA 'B' * 58,178 83,911
Controladora Coml Mexica * 61,704 57,759
Desc SA 'B' 12,000 64,707
Desc SA 'C' 250 1,315
Empresas Ica Sociedad * 3,589 50,298
Fomento Economico Mexica 13,471 38,717
Grupo Financiero Banamex * 121,929 231,480
Grupo Mexico SA * 22,000 65,840
Grupo Modelo SA De Cv 19,232 90,011
Grupo Televisa 3,100 95,325
Industrias Penoles SA 25,800 118,370
Kimberly Clark De Mexico 3,456 63,106
Telefonos De Mexico ADR 25,100 840,850
Tubos De Acero De Mexico * 12,661 121,352
----------
2,007,342
----------
Pakistan - 0.73%
Engro Chemical * 3,100 14,347
Fauji Fertilizer Co * 12,000 30,853
Faysal Bank * 6,200 5,809
Hubco GDR * 1,460 36,310
Pakistan State Oil * 2,500 29,496
Pakistan Telecom * 250 29,250
----------
146,065
----------
Peru - 1.83%
Backus Y Johnston 29,128 36,306
Banco Wiese ADR 3,300 23,512
Creditcorp ADR 1,262 25,087
Minas Buenaventura * 3,955 35,992
Minsur SA * 2,853 25,359
Southern Peru Copper 6,361 23,812
Telefonica De Peru 'B' 97,708 196,454
----------
366,522
----------
Philippines - 3.99%
Ayala Corp 62,300 117,749
Metro Bank Trust Co 5,800 162,772
Petron Corp 177,800 81,466
Philippines Long Distance Telephone 3,000 174,375
San Miguel Corp * 42,190 145,788
Sm Prime 443,800 115,229
----------
797,379
----------
Poland - 1.68%
Bank Rozwoju Eksportu 3,400 88,743
Bank Slaski SA 340 28,748
</TABLE>
* Non-income producing securities.
A-86
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ----------
<S> <C> <C>
Poland - (Continued)
Debica * 2,500 $ 60,657
Elektrim * 12,900 105,753
Polifarb 10,100 51,239
----------
335,140
----------
Portugal - 2.02%
Cimpor Cimentos 3,000 62,297
Efacec-Empresa Fabril * 5,472 51,333
Investec * 900 29,866
Jeronimo Martins 960 86,382
Portugal Telecom * 4,400 114,928
Sonae Investmentos 2,250 58,440
----------
403,246
----------
South Africa - 8.74%
Anglo Amer Gold 2,688 233,388
Barlow Limited 9,221 96,352
De Beers Centenary 5,470 188,207
Gencor 45,233 167,123
Liberty Life Association of Africa 3,938 126,174
Metro Cash 23,929 92,555
Murray Roberts Holdings 22,062 88,136
Nasionale Pers * 9,950 110,288
Nedcor * 12,947 194,205
Norwich Holdings * 36,837 65,499
Rembrandt Group 16,717 157,114
Smith C.G. Limited 12,042 62,567
South African Breweries 5,692 166,929
----------
1,748,537
----------
South Korea - 3.00%
Cho Hung Bank 4,490 54,741
Daewoo Securities Co 1,600 37,278
Hanwha Chemical Corp 7,900 85,213
Korea Electric Power 2,650 105,801
Korea Fund 15,000 316,875
----------
599,908
----------
Thailand - 7.75%
Bangkok Bank Public Co 28,300 383,381
CMIC Finance Sec Public 25,100 79,077
Industrial Finance Corp 76,500 343,441
Krung Thai Bank Public Co Limited 41,400 194,014
Phatra Thanakit Co 10,500 73,189
Thai Farmers Bank Public 18,700 204,726
Total Access Comm 32,000 272,000
----------
1,549,828
----------
Turkey - 2.68%
Adana Cimento 797,650 48,372
Akaltekstil 721,500 44,629
Arcelik 670,500 61,805
Bagfas Bandirma Gubre 170,000 45,876
Brisa Bridgestone Sabanc 145,000 58,035
Demirbank 1,245,000 42,280
Eregli Demir Ve Celik FA 463,000 51,101
Migros Turk Tas 99,750 87,107
Turk Sise Ve Cam Fabrika * 623,304 49,139
Yapi Ve Kredi Bank 1,687,000 47,572
----------
535,916
----------
Venezuela - 0.36%
Electricidad De Caracas 53,000 44,025
Mavesa SA - ADR 1,779 7,009
Sider Venez - ADR 6,700 21,440
----------
72,474
----------
Total Common Stock (Cost $17,772,372) 17,974,314
----------
Total Investments in Securities
at Market Value (Cost $17,772,372) 17,974,314
----------
</TABLE>
* Non-income producing securities.
A-87
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1996 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT TERM INVESTMENTS - 10.11%
Chase Manhatten Bank
4.563% due 07/01/96 $ 2,023,692 $ 2,023,692
-----------
Total Short-term Investments
at Amortized Cost 2,023,692
-----------
TOTAL EMERGING MARKETS PORTFOLIO
(COST $19,796,064) $19,998,006
===========
</TABLE>
A-88
