<PAGE>
ANNUAL REPORT
. PACIFIC SELECT FUND
[LOGO OF PACIFIC SELECT FUND APPEARS HERE]
<PAGE>
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund")
Annual Report dated December 31, 1995. The Fund is the underlying investment
vehicle for variable life insurance policies and variable annuity contracts
offered by Pacific Mutual Life Insurance Company ("Pacific Mutual") and variable
annuity contracts administered by Pacific Corinthian Life Insurance Company.
Pacific Mutual, as Adviser to the Fund and Portfolio Manager of the Money
Market Portfolio and High Yield Bond Portfolio, 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 year ended
December 31, 1995. 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.
The Adviser and the Fund engaged other firms to serve as Portfolio Managers
under Pacific Mutual's supervision for ten of the Portfolios. Pacific
Investment Management Company ("PIMCO") serves as Portfolio Manager for the
Managed Bond Portfolio and the Government Securities Portfolio. Capital
Guardian Trust 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 Bond and Income Portfolio.
We look forward to continued growth in assets in 1996 and beyond.
Sincerely,
Thomas C. Sutton
Chairman and President
Pacific Select Fund
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
MONEY MARKET/HIGH YIELD BOND PORTFOLIOS
- ---------------------------------------
The total return for the Money Market Portfolio for the year ended December 31,
1995 was 5.5%.** The yield, measured during the 7 day period ending December 31,
1995, was 5.5% for the Money Market Portfolio.
The Federal Reserve's Federal Open Market Committee ("FOMC") on December 19,
1995 surprised many analysts by lowering the target Federal funds' rate by 25
basis points from 5.75% to 5.50%. The FOMC cited a more favorable inflation
rate coupled with moderation in inflation expectations. This interest rate
reduction furthers the trend towards an easier monetary policy and will gain
significance if additional cuts take place. Many economists generally believe
that further reductions in the Federal funds' rate are likely because the
current levels, by historical standards, are restrictive.
Pacific Mutual has looked to maintaining an extended average maturity in the
Portfolio of about 55 days; however decreasing supply and a shortening in
maturities offered resulted in the Portfolio's average maturity to drop to 40.2
days. The yield levels, however, have remained strong.
The total return for the High Yield Bond Portfolio for the year ended December
31, 1995 was 18.9%.** The yield, measured during the 30 day period ending
December 31, 1995, was 9.1% for the High Yield Bond Portfolio. The strong
performance of the high yield market in 1995 was attributed to a stable interest
rate environment and a strong demand from high yield mutual funds. Pacific
Mutual believes that most economic indicators point to a stable interest rate
environment in 1996 and currently intends to continue to have the High Yield
Bond Portfolio fully invested in 1996.
As the graph below indicates, the High Yield Bond Portfolio outperformed the
First Boston High Yield Bond Index by 1.49% and slightly underperformed the
Lehman Brothers Government Corporate Bond Index by .37% for the year ended
December 31, 1995.
<TABLE>
<CAPTION>
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Performance Comparison
as of 12/31/95
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
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HIGH YIELD BOND PORTFOLIO $10,000 10,600 11,039 11,081 13,805 16,389 19,341 19,421 23,088
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First Boston High Yield Index $10,000 10,989 11,033 10,330 14,850 17,325 20,601 20,402 23,953
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Lehman Brothers Government Corporate
Bond Index $10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521
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</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
MANAGED BOND/GOVERNMENT SECURITIES PORTFOLIOS
- ---------------------------------------------
The total returns for 1995 for the Managed Bond Portfolio and the Government
Securities Portfolio were 19.0%** and 18.8%**, respectively. The total returns
for the Lehman Brothers Government Corporate Bond Index ("LBG/C Index") and
Lehman Brothers Government Bond Index for 1995 were 19.2% and 18.3%,
respectively. The Portfolios' returns represent price gains plus coupon income.
PIMCO reports that both Portfolios realized significant price gains from the
bond rally that occurred during 1995. PIMCO believes that a slowing economy,
diminished prospects for inflation, and less government spending helped to
contribute to lower interest rates and higher bond prices in 1995.
__________________________________
** 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.
A-2
<PAGE>
PIMCO explains that the Managed Bond Portfolio's competitive performance was the
result of longer-than-index duration in the second half of 1995, and an
allocation to currency-hedged foreign government bonds, which rose in price as
growth and inflation slowed in many foreign countries.
PIMCO explains that the Government Securities Portfolio's strong performance in
the fourth quarter was due to a large allocation to long-maturity U.S.
Government bonds and an allocation to currency-hedged foreign government
securities. PIMCO reports that the Portfolio's longer-than-index duration
during the fourth quarter also helped to boost the Portfolio's 1995 performance
above that of the Lehman Brothers Government Bond Index.
For both Portfolios in 1996, PIMCO currently intends to maintain an average
maturity above that of market indexes to reflect a moderately bullish stance on
interest rates. PIMCO anticipates slow, steady economic growth in 1996 with low
inflation. PIMCO also currently intends to continue to seek yield in each
Portfolio through purchasing currency-hedged foreign bonds and short-term
mortgage securities.
<TABLE>
<CAPTION>
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Performance Comparison
as of 12/31/95
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
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MANAGED BOND PORTFOLIO $10,000 10,399 11,929 12,946 15,151 16,466 18,382 17,581 20,929
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Lehman Brothers Government Corporate
Bond Index $10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521
-------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
<TABLE>
<CAPTION>
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Performance Comparison
as of 12/31/95
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
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GOVERNMENT SECURITIES PORTFOLIO $10,000 10,355 11,864 12,814 14,949 16,073 17,808 16,902 20,081
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Lehman Brothers Government Bond Index $10,000 10,364 11,839 12,872 14,843 15,917 17,613 17,018 20,140
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</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
__________________________________
** 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.
A-3
<PAGE>
GROWTH PORTFOLIO
- ----------------
The Growth Portfolio's total return for the year ending December 31, 1995 was
25.8%** versus 31.7% for the Russell 2500 Index and 37.6% for the Standard and
Poor's 500 Stock Index ("S&P 500 Index").
With the Standard and Poor's 500 Stock Index up over 37%, Capital Guardian
reports that 1995 was the third year of the past seven in which U.S. equities
gained more than 30%. Capital Guardian explains that the U.S. equities market
seemed to be driven by an almost perfect combination of events: strong corporate
profits, based substantially on productivity gains; a rebound in the bond
market; modest inflation despite a good economy; an increase in merger and
acquisition activity; huge equity mutual fund inflows; and sluggish returns in
several non-U.S. markets.
Capital Guardian reports that the Portfolio benefitted from maintaining a close
to fully invested posture, holding large positions in financial institutions,
and scaling back some large technology holdings before the recent sharp declines
in that sector. Capital Guardian reports that factors which negatively affected
the Portfolio included holdings in the consumer discretionary and services
sector, such as media, and some of the more economically sensitive areas, such
as autos, and not enough of the highly predictable consumer growth companies.
Additionally, the equity market's strong returns meant that even the small
amount of cash that was held was a drag on the Portfolio's results.
Looking ahead, Capital Guardian currently intends that the Portfolio will
continue to have significant holdings in financial institutions and media
companies on the anticipation that the two industries will benefit from
continuing consolidation and merger activity. Capital Guardian believes that
many technology stocks are generally outside of attractive valuations, but will
look for opportunities to selectively rebuild some technology positions. Capital
Guardian does not anticipate U.S. equity results in 1996 to match the phenomenal
gains of 1995. Capital Guardian believes that corporate profit growth will
almost certainly slow as profit margins have little room to expand, consumers
are more cautious, inventories are rising in many sectors after a slow fourth
quarter, and economic growth projections for much of Europe and Japan are
modest.
<TABLE>
<CAPTION>
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Performance Comparison
as of 12/31/95
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
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GROWTH PORTFOLIO $10,000 11,507 15,529 12,844 17,872 21,541 26,259 23,505 29,559
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Russell 2500 Index $10,000 11,756 14,041 11,951 17,531 20,369 23,736 23,484 30,927
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S&P 500 Index $10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733
-------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
EQUITY INCOME/MULTI-STRATEGY PORTFOLIOS
- ---------------------------------------
The total return for the Equity Income Portfolio for the year ending December
31, 1995 was 31.7%** versus the S&P 500 Index of 37.6%. The Multi-Strategy
Portfolio's total return for the year ending December 31, 1995 was 25.3%**
versus 18.3% for the Lehman Brothers Government Corporate Bond Index and 37.6%
for the S&P 500 Index.
JPMIM reports that U.S. equities closed out an extraordinary year by earning a
total return of almost 6% for the fourth quarter, as measured by the S&P 500
Index. The annual S&P 500 Index return was the best since 1958 and the second
best annual return in post World War II history. The end of the year saw a
continuation of the year's major trends: a record level of mergers and
acquisitions; corporate profits as a percent of Gross Domestic Product were the
highest in more than 15 years; the lowest inflation in 30 years; and a long bond
yield approaching the lowest levels in 25 years. JPMIM adds that during 1995 the
largest decline the market suffered over any period was 2.5% while setting a new
high every four days on average.
____________________
** 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.
A-4
<PAGE>
JPMIM reports that after declining dramatically in 1994, the bond market had one
of its best years on record in 1995, with most bonds showing total returns of
15-20% and the bellwether 30-year Treasury producing a return of over 30%. The
primary catalyst behind this strong performance was a big decline in short-term
interest rates caused by benign inflation reports, weak economic growth, and
expectations for further interest rate easings by the Federal Reserve.
The Federal Reserve lowered interest rates twice, trimming them by 25 basis
points in both July and December. JPMIM believes this further fueled the bond
market's rally: intermediate-term bonds ended the year with a yield of 5.94%,
down from 8.22% at the beginning of 1995, while the long-term bond closed out
the year with a yield of 5.94% versus 7.88% at the beginning of the year.
JPMIM reports that the Multi-Strategy Portfolio's usual allocation is a 60%
weighting in stocks and a 40% weighting in bonds. Throughout the year, the
Portfolio made only modest shifts in its allocation, with a slight bias towards
equities, due to equities' superior performance. The Portfolio also took
advantage of opportunities in the bond market, especially in the long end of the
yield curve. The Portfolio concluded the year with a slightly overweighted
position of 63% in equities versus 37% in bonds.
During the first quarter, JPMIM maintained a defensive strategy by keeping the
Multi-Strategy's fixed income maturities short, a move which slightly hurt
performance as the bond market began to rally. As interest rates began to change
direction, however, JPMIM adjusted maturities to a slightly longer duration
position, a strategy which added value throughout the remainder of the year.
During the year, JPMIM actively managed the Portfolio's allocation to
Treasuries, corporates, and mortgages based on their relative attractiveness. In
early 1995, JPMIM decreased the allocation to "spread" products such as
corporates and mortgages (so called because their yields are higher than those
of Treasuries) due to expectations that yield spreads would widen and that these
sectors would underperform. In the second half of the year, JPMIM overweighted
corporate bonds on expectations that their yield spreads relative to Treasuries
would remain stable. In addition, JPMIM moved from an underweighted position in
mortgages to a "neutral" position relative to the index in order to take
advantage of attractive valuations in that sector and capture additional yield.
JPMIM reports that fixed income security selection also added value to
performance during this period. The Multi-Strategy Portfolio maintained its
focus on high-quality issuers, keeping the average quality of its holdings
between AA and AAA.
JPMIM currently believes that it is very unlikely that the stellar bond market
returns of 1995 will be repeated in 1996. JPMIM currently intends to continue
their cautious optimism on bonds, given continued weaker economic data, a
positive inflation environment and secular factors, including credible deficit
reduction talk in Washington and, therefore, currently intends to continue to
manage the Multi-Strategy Portfolio's bonds with slightly longer durations. In
addition, JPMIM currently intends to continue to overweight corporates and
mortgages in order to take advantage of their higher yields relative to
Treasuries.
JPMIM reports that the Equity Income Portfolio generated positive returns on an
absolute basis, but underperformed the S&P 500 Index. JPMIM observes that its
investment strategy of broad diversification proved difficult in a market where
returns were highly concentrated among the 50 largest stocks. This trend did not
bode well for their value-oriented approach to stock selection which seeks to
identify companies that are undervalued relative to a forecast of their long-
term earnings and dividend payouts. In addition, the uncertain economic
environment for most of the year caused investors to focus on near-term
corporate earnings and to overpenalize companies with near-term earnings
disappointments. JPMIM's style, which focuses on longer-term forecasts, is
uniquely vulnerable during these periods since they are invariably drawn to
stocks that have underperformed due to near-term earnings disappointments. JPMIM
believes that while this psychology of the market was not ideal for their
valuation approach, experience indicates that these types of markets tend to be
short-lived.
JPMIM currently believes that U.S. stock market returns are expected to be lower
in 1996 and may experience some volatility in the coming months. However, as the
emotions that drove the markets and many stocks to historical highs in 1995
begin to dissipate, superior stock selection will become increasingly critical
in producing good performance. JPMIM believes that this should bode well for
both Portfolios' investment process, which focuses on identifying undervalued
stocks with attractive long-term fundamentals.
A-5
<PAGE>
<TABLE>
<CAPTION>
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Performance Comparison
as of 12/31/95
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
-------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO $10,000 10,896 14,082 13,020 17,111 18,027 19,522 19,467 25,629
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S&P 500 Index $10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733
-------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------
Performance Comparison
as of 12/31/95
------------------------------------------------------------------------------------------------------------
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
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MULTI-STRATEGY PORTFOLIO $10,000 10,601 13,083 12,891 15,989 16,878 18,438 18,162 22,750
------------------------------------------------------------------------------------------------------------
S&P 500 Index $10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733
------------------------------------------------------------------------------------------------------------
Lehman Brothers Government Corporate
Bond Index $10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521
------------------------------------------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
INTERNATIONAL PORTFOLIO
- -----------------------
The International Portfolio's total return for 1995 was 10.56%** versus 11.21%
for the Morgan Stanley Capital International Europe Australia and Far East Index
("EAFE Index"). Templeton reports that lower costs, stronger balance sheets, and
higher earnings continued to push up prices for financial companies in
Scandinavia, Spain and Anglo-Saxon countries. Therefore, the Portfolio's
overweighting (i.e., 19.6% more in the Portfolio than in the EAFE Index) in
Scandinavian companies and banks helped to propel the Portfolio's performance.
Other defensive companies, such as pharmaceuticals, also appreciated strongly in
1995 and enhanced the performance of the European portion of the Portfolio.
Templeton reports that in Asia, the Hong Kong market staged a recovery
throughout the year and the Portfolio's overweighting (3.9% more in the
Portfolio than in the EAFE Index) contributed to the Portfolio's performance in
Asia. Overall for 1995 the Portfolio's 41% underweighting in Japan versus the
EAFE Index helped the Portfolio's performance; however, the Japanese market did
have a positive fourth quarter and Templeton intends to review opportunities in
Japan as warranted.
In local and U.S. dollar terms, Templeton notes that many Latin American stocks
staged a come-back in the last quarter of 1995 and that some of the Portfolio's
positions in the more liquid stocks yielded positive returns for the year.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------
Performance Comparison
as of 12/31/95
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1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
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INTERNATIONAL PORTFOLIO $10,000 11,688 14,078 12,181 13,511 12,190 15,851 16,329 18,053
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EAFE Index $10,000 12,609 13,938 10,668 11,958 10,492 13,916 15,001 16,694
-------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
____________________
** 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.
A-6
<PAGE>
EQUITY INDEX PORTFOLIO
- ----------------------
For the year ended December 31, 1995, the total return for the Equity Index
Portfolio was 36.9%* versus 37.6% for the S&P 500 Index. The Equity Index
Portfolio seeks to replicate the performance of the S&P 500 Index.
Bankers Trust reports that with surging equity markets and falling interest
rates, 1995 was truly a year for the record books. After raising rates for more
than a year, the Federal Reserve cut rates twice in 1995, once in July and again
in December, bringing the Federal funds' short term rate to 5.50% at year-end
and the yield on the 30 year Treasury to 5.94% (from a year ago close of 7.78%).
The S&P 500 Index had its best year since 1958, returning over 37% for the year.
Biotechnology and technology were the sectors leading the pack with trucking and
steel bringing up the rear for the year. Healthcare was one of the best
performing sectors returning 31.0% for the fourth quarter. The weakest sector
was electronic semi-conductors down 22.49% for the fourth quarter.
Bankers Trust believes that, as the economy proceeds on a course that includes
real growth and inflation at around 2.5% and corporate profits rising by 5-7%,
the equity markets should be presented with a favorable background but believes
it is extremely unlikely that the extent of the strength in stocks in 1995 will
be repeated in 1996.
GROWTH LT PORTFOLIO
- -------------------
For the year ending December 31, 1995, the total return for the Growth LT
Portfolio was 36.8%** versus 37.6% for the S&P 500 Index and 31.7% for the
Russell 2500 Index.
Janus reports that at year end the Growth LT Portfolio asset allocation was
71.5% in domestic stocks, 10.2% in foreign stocks and 18.3% in cash and cash
equivalents. In addition, 78% of the Portfolio comprised investments in
companies with capitalization of $5 billion or less. The average weighted market
capitalization for the Portfolio was $8.32 billion.
Janus believes that during 1995 the Portfolio benefitted from holdings in the
technology, telecommunication, financial services and pharmaceutical sectors
along with good individual performances from a number of other positions. Janus
reports that while the Portfolio had strong equity gains in 1995, the fourth
quarter performance was affected by a general slowdown in the economy which
provided disappointments in both the telecommunication and technology sectors.
Janus adds that although many of the Portfolio's foreign holdings turned in
positive performances, others did not fully meet Janus' expectations and were a
drag on performance during the fourth quarter.
Janus concludes that the overall performance of the Portfolio was pleasing for
1995, as a low interest rate environment and high corporate earnings helped fuel
one of the best equity markets on record.
<TABLE>
<CAPTION>
-------------------------
Performance Comparison
as of 12/31/95
-------------------------
<S> <C> <C> <C>
1/94 12/94 12/95
-------------------------
GROWTH LT PORTFOLIO $10,000 11,326 15,489
-------------------------
S&P 500 Index $10,000 10,127 13,944
-------------------------
Russell 2500 Index $10,000 9,894 13,030
-------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
____________________
** 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.
A-7
<PAGE>
EQUITY PORTFOLIO
- ----------------
For the year ending December 31, 1995, the total return for the Equity Portfolio
was 23.8%** versus 37.6% for the S&P 500 Index.
Greenwich reports that equity investment continued to grow in the fourth
quarter, as the S&P 500 Index rose a healthy 5.4%. A shift occurred though, away
from technology to more traditional, defensive areas, as investors grew more
concerned about a slowing economic environment, and the possibilities of a
recession. Greenwich believes that many companies did not perform up to
analysts' expectations and therefore there was downward pressure on the stock
even though the companies had sound fundamentals. Greenwich believes that as a
result of these fears, the equity markets became enormously volatile with
rapidly changing leadership and even more volatile price action in specific
stocks.
Greenwich explains that the Equity Portfolio was not immune to the wild swings
of the market. After performing better than the S&P 500 Index for part of 1995,
the Portfolio gave up some performance in the fourth quarter, when technology
and select consumer stocks underperformed.
In looking to 1996, Greenwich believes equities will continue to perform well,
but at least at this juncture, at a slower pace than 1995. Greenwich currently
intends to invest more in healthcare companies that produce products as opposed
to managed care healthcare companies, and to add stocks of financial service
companies. Greenwich remains quite optimistic that technology and healthcare
represent two major long-term areas of interest. Greenwich intends to remain
committed to an investment approach that owns high quality, high-growth
companies.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/95
------------------------------------------------------------------------------------------------
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1/85 12/85 12/86 12/87 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
------------------------------------------------------------------------------------------------
EQUITY PORTFOLIO $10,000 13,000 15,721 16,064 17,253 22,451 21,881 28,386 30,183 35,029 34,023 42,120
------------------------------------------------------------------------------------------------
S&P 500 Index $10,000 13,169 15,628 16,458 19,182 25,262 24,478 31,919 34,350 37,787 38,267 52,690
------------------------------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
BOND AND INCOME PORTFOLIO
- -------------------------
For the year ending December 31, 1995, the total return for the Bond and Income
Portfolio was 33.7%* versus 27.2% for the Salomon Brothers High Grade Long Term
Index and 30.9% for the Lehman Brothers Government Corporate Long Term Index.
Greenwich reports that in 1995 the Bond and Income Portfolio had an average
credit quality rating of A and an average bond duration of 13.3 years.
Greenwich reports that additional economic evidence of slow growth and continued
improvement in both the Producer Price Index and the Consumer Price Index
provided a positive backdrop for the bond market in 1995. The Federal Reserve
also contributed to a strong fixed income market by lowering short-term rates 25
basis points in both July and December. In 1995 the prospect for passage of a
balanced budget agreement in the foreseeable future supported both the fixed
income and equity markets.
Looking back to 1995, Greenwich notes that the flow of funds into the Portfolio
was good and allowed Greenwich to buy Treasuries and corporate bonds throughout
the year. Greenwich favored the corporate sector in 1995 because corporate
earnings were strong and corporate cash flows were good.
Greenwich currently believes the trend for lower interest rates will continue
into 1996. Greenwich currently anticipates that the average bond duration in
1996 will stay around 13 years and that the corporate sector will continue to be
more attractive than Treasuries. Greenwich notes that the economy appears to be
growing at a rate of 2% or less and corporations appear intent on holding cost
increases to a minimum.
____________________
** 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.
A-8
<PAGE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/95
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/85 12/85 12/86 12/87 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95
-------------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO $10,000 13,087 15,577 15,253 16,224 18,989 19,609 24,379 26,350 31,459 28,827 38,543
-------------------------------------------------------------------------------------------------
Salomon Brothers High
Grade LT Index $10,000 13,010 15,591 15,550 17,216 20,010 21,367 25,617 28,026 31,729 29,908 38,044
-------------------------------------------------------------------------------------------------
Lehman Brothers Government
Corporate LT Index $10,000 12,976 15,758 15,627 17,147 20,154 21,452 25,640 27,830 32,327 30,036 39,031
-------------------------------------------------------------------------------------------------
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predicitive of future performance.
____________________
** 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.
A-9
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders
Pacific Select Fund
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Pacific Select Fund, (the "Fund"), comprised
of the Money Market, Managed Bond, Government Securities, High Yield Bond,
Growth, Equity Income, Multi-Strategy, International, Equity Index, Growth LT,
Equity, and Bond and Income Portfolios as of December 31, 1995 and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the two years then ended, and the financial highlights
for each of the five years then ended (as to the Equity Index Portfolio and the
Growth LT Portfolio, for the periods from commencement of operations through
December 31, 1995). These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits. The financial highlights for the Equity and the Bond and Income
Portfolios for the three years ended December 31, 1993 were audited by other
auditors whose report dated February 15, 1994, expressed an unqualified opinion
on the financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1995 by correspondence with the custodians and brokers; where replies were
not received from brokers, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
respective portfolios constituting Pacific Select Fund as of December 31, 1995
and the results of their operations, the changes in their net assets, and the
related financial highlights for the respective stated periods, in conformity
with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Costa Mesa, California
February 16, 1996
A-10
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1995
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value.................... $ 109,020 $ 31,924 $ 79,962 $ 125,624 $ 194,850
Short-term investments at amortized cost..................... $ 94,486 17,588 34,761 2,609 3,943 10,086
Cash......................................................... 14 10 1 214
Receivables:
Dividends and interest...................................... 491 2,150 465 1,748 89 250
Fund shares sold............................................ 1,042 1,156 220 148 954 1,095
Securities sold............................................. 134 3,761 5 291
Variation margin............................................ 117 77
--------- --------- --------- --------- --------- ---------
TOTAL ASSETS................................................. 96,019 130,179 71,208 84,477 130,616 206,786
--------- --------- --------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed........................................ 21
Securities purchased........................................ 3,021 11,369 494
Accrued advisory fees....................................... 34 62 29 42 70 110
Accrued custodian fees and recordkeeping fees............... 7 23 9 6 19 14
Accrued other............................................... 8 17 6 4 292 9
Forwarding foreign currency contracts depreciation........... 64 28
--------- --------- --------- --------- --------- ---------
TOTAL LIABILITIES............................................ 70 3,187 11,441 52 875 133
--------- --------- --------- --------- --------- ---------
NET ASSETS................................................... $ 95,949 $ 126,992 $ 59,767 $ 84,425 $ 129,741 $ 206,653
========= ========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital.............................................. $ 95,975 $ 121,763 $ 57,506 $ 80,958 $ 111,305 $ 177,898
Under (over) distributed net investment income............... (26) 127 56 29 (20) (18)
Undistributed capital gains.................................. 2,377 1,107 989 8,911 11,054
Net unrealized appreciation of investments and on
translation of other assets denominated in
foreign currencies.......................................... 2,725 1,098 2,449 9,545 17,719
--------- --------- --------- --------- --------- ---------
NET ASSETS................................................... $ 95,949 $ 126,992 $ 59,767 $ 84,425 $129,741 $ 206,653
========= ========= ========= ========= ========= =========
Shares of beneficial interest outstanding $.001 par value.... 9,579 11,440 5,511 8,622 6,988 11,351
========= ========= ========= ========= ========= =========
NET ASSETS PER SHARE......................................... $ 10.017 $ 11.101 $ 10.844 $ 9.792 $ 18.566 $ 18.206
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-11
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
DECEMBER 31, 1995
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value.................... $ 125,108 $ 163,139 $ 120,682 $ 163,740 $ 99,223 $ 54,793
Short-term investments at amortized cost..................... 12,351 21,266 16,396 34,882 8,630 1,114
Cash......................................................... 74 28 16 1 1
Receivables:
Dividends and interest...................................... 843 646 229 35 55 922
Fund shares sold............................................ 841 685 401 936 317 71
Securities sold............................................. 106 2,031
Variation margin............................................ 18
Other receivables........................................... 14
Organization costs........................................... 3
--------- --------- --------- --------- --------- ---------
TOTAL ASSETS................................................. 139,323 185,750 137,754 201,643 108,226 56,901
--------- --------- --------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed........................................ 16
Securities purchased........................................ 4,772 3,343 203 543
Accrued advisory fees....................................... 69 124 27 122 59 28
Accrued custodian fees and recordkeeping fees............... 9 52 3 16 15 11
Accrued other............................................... 6 32 2 15 16 9
Forward foreign currency contracts depreciation.............. 162
--------- --------- --------- --------- --------- ---------
TOTAL LIABILITIES............................................ 4,822 3,551 235 858 90 48
--------- --------- --------- --------- --------- ---------
NET ASSETS................................................... $ 134,501 $ 182,199 $ 137,519 $ 200,785 $ 108,136 $ 56,853
========= ========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital.............................................. $ 118,536 $ 171,521 $ 111,798 $ 180,342 $ 88,141 $ 51,130
Under (over) distributed net investment income............... 30 (1,286) (9) (427) (62)
Undistributed capital gains (losses)......................... 6,564 3,299 4,558 164 8,332 (484)
Net unrealized appreciation of investments and on
translation of other assets denominated in
foreign currencies.......................................... 9,371 8,665 21,172 20,706 11,725 6,207
--------- --------- --------- --------- --------- ---------
NET ASSETS................................................... $ 134,501 $ 182,199 $ 137,519 $ 200,785 $108,136 $ 56,853
========= ========= ========= ========= ========= =========
Shares of beneficial interest outstanding $.001 par value.... 9,471 14,090 7,880 14,221 6,174 4,368
========= ========= ========= ========= ========= =========
NET ASSETS PER SHARES........................................ $ 14.201 $ 12.931 $ 17.451 $ 14.119 $ 17.515 $ 13.017
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1995
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes......................... $ 82 $ 1,309 $ 2,852
Interest................................................ $ 5,737 $ 5,892 $ 2,422 4,868 509 281
Other................................................... 4 1
--------- --------- --------- --------- --------- ---------
Total Investment Income................................. 5,737 5,896 2,423 4,950 1,818 3,133
--------- --------- --------- --------- --------- ---------
EXPENSES
Advisory fees........................................... 386 519 227 319 709 841
Custodial fees.......................................... 32 41 25 31 49 102
Recordkeeping fees...................................... 47 51 39 41 54 62
Trustees fees........................................... 5 5 2 3 6 7
Legal fees.............................................. 5 3 2 2 3 12
Printing fees........................................... 9 7 3 5 9 12
Insurance expenses...................................... 6 5 2 3 7 8
Other................................................... 22 24 9 9 25 26
--------- --------- --------- --------- --------- ---------
Total Expenses.......................................... 512 655 309 413 862 1,070
--------- --------- --------- --------- --------- ---------
NET INVESTMENT INCOME................................... 5,225 5,241 2,114 4,537 956 2,063
--------- --------- --------- --------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain from security transactions............ 473 334 990 8,911 12,389
Net realized gain from futures contracts................ 4,975 2,403
Net realized foreign exchange gain...................... 286 126
--------- --------- --------- --------- --------- ---------
Net Realized Gain on Investments
and Foreign Currency Transactions...................... 5,734 2,863 990 8,911 12,389
--------- --------- --------- --------- --------- ---------
Net unrealized appreciation on investments.............. 3,331 1,014 3,249 14,638 19,133
Net unrealized appreciation on futures contracts........ 462 350
Net unrealized foreign exchange loss.................... (77) (34)
--------- --------- --------- --------- --------- ---------
Net Unrealized Gain on Investments and Foreign
Currency Transactions.................................. 3,716 1,330 3,249 14,638 19,133
--------- --------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS...................... 9,450 4,193 4,239 23,549 31,522
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $ 5,225 $ 14,691 $ 6,307 $ 8,776 $ 24,505 $ 33,585
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-13
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1995
(IN THOUSANDS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes......................... $ 1,237 $ 2,889 $ 1,861 $ 634 $ 606
Interest................................................ 3,096 735 254 1,438 326 $ 3,297
Other................................................... 1 6
--------- --------- --------- --------- --------- ---------
Total Investment Income................................. 4,334 3,624 2,121 2,072 932 3,297
--------- --------- --------- --------- --------- ---------
EXPENSES
Advisory fees........................................... 650 1,031 195 845 565 255
Custodial fees.......................................... 84 169 59 102 36 16
Recordkeeping fees...................................... 53 98 43 63 42 37
Trustees fees........................................... 6 6 4 5 5 2
Legal fees.............................................. 9 6 3 6 12 8
Printing fees........................................... 9 11 5 10 11 5
Insurance expenses...................................... 6 7 5 6 5 2
Other................................................... 22 26 16 21 21 14
--------- --------- --------- --------- --------- ---------
Total Expenses.......................................... 839 1,354 330 1,058 697 339
--------- --------- --------- --------- --------- ---------
NET INVESTMENT INCOME................................... 3,495 2,270 1,791 1,014 235 2,958
--------- --------- --------- --------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain from security transactions............ 7,344 3,349 3,366 12,730 9,658 294
Net realized gain from futures contracts................ 1,188
Net realized foreign exchange gain (loss)............... 1 (249) (502)
--------- --------- --------- --------- --------- ---------
Net Realized Gain on Investments
and Foreign Currency Transactions...................... 7,345 3,100 4,554 12,228 9,658 294
--------- --------- --------- --------- --------- ---------
Net unrealized appreciation on investments.............. 11,136 6,435 17,060 18,848 7,633 8,971
Net unrealized depreciation on futures contracts........ (104)
Net unrealized foreign exchange loss.................... (8) (286)
--------- --------- --------- --------- --------- ---------
Net Unrealized Gain on Investments and Foreign
Currency Transactions.................................. 11,136 6,427 16,956 18,562 7,633 8,971
--------- --------- --------- --------- --------- ---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS...................... 18,481 9,527 21,510 30,790 17,291 9,265
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS........................................ $ 21,976 $ 11,797 $ 23,301 $ 31,804 $ 17,526 $ 12,223
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-14
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.......................... $ 5,225 $ 5,241 $ 2,114 $ 4,537 $ 956 $ 2,063
Net realized gain on investments
and foreign currency transactions............. 5,734 2,863 990 8,911 12,389
Net unrealized gain on investments
and foreign currency transactions............. 3,716 1,330 3,249 14,638 19,133
--------- --------- --------- --------- --------- ---------
Net increase in net assets resulting
from operations............................... 5,225 14,691 6,307 8,776 24,505 33,585
--------- --------- --------- --------- --------- ---------
NET EQUALIZATION CREDITS (DEBITS).............. (34) 1,230 300 795 76 430
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.......................... (5,251) (5,400) (2,184) (4,508) (976) (2,080)
Capital gains.................................. (13) (55)
--------- --------- --------- --------- --------- ---------
Net decrease in net assets resulting from
distributions to shareholders................. (5,251) (5,400) (2,184) (4,508) (989) (2,135)
--------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................... 252,865 69,995 37,934 73,272 58,165 116,224
Dividend reinvestments......................... 5,229 5,311 2,169 4,459 987 2,129
Cost of shares repurchased..................... (256,235) (12,054) (6,248) (23,707) (34,454) (18,663)
--------- --------- --------- --------- --------- ---------
Net increase in net assets derived from
capital share transactions.................... 1,859 63,252 33,855 54,024 24,698 99,690
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS..................... 1,799 73,773 38,278 59,087 48,290 131,570
--------- --------- --------- --------- --------- ---------
NET ASSETS
Beginning of year.............................. 94,150 53,219 21,489 25,338 81,451 75,083
--------- --------- --------- --------- --------- ---------
End of year.................................... $ 95,949 $ 126,992 $ 59,767 $ 84,425 $ 129,741 $ 206,653
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-15
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1995
(IN THOUSANDS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.......................... $ 3,495 $ 2,270 $ 1,791 $ 1,014 $ 235 $ 2,958
Net realized gain on investments
and foreign currency transactions............. 7,345 3,100 4,554 12,228 9,658 294
Net unrealized gain on investments
and foreign currency transactions............. 11,136 6,427 16,956 18,562 7,633 8,971
--------- --------- --------- --------- --------- ---------
Net increase in net assets resulting
from operations............................... 21,976 11,797 23,301 31,804 17,526 12,223
--------- --------- --------- --------- --------- ---------
NET EQUALIZATION CREDITS....................... 272 1,864 288 181 35
--------- --------- --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.......................... (3,457) (3,358) (1,800) (815) (296) (2,958)
Capital gains.................................. (12) (58) (6) (12,566)
--------- --------- --------- --------- --------- ---------
Net decrease in net assets resulting from
distributions to shareholders................. (3,469) (3,416) (1,806) (13,381) (296) (2,958)
--------- --------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................... 43,830 115,563 89,775 162,889 29,095 18,183
Dividend reinvestments......................... 3,449 3,370 1,801 13,486 296 2,958
Cost of shares repurchased..................... (10,704) (22,950) (16,452) (43,568) (11,610) (7,666)
--------- --------- --------- --------- --------- ---------
Net increase in net assets derived from
capital share transactions.................... 36,575 95,983 75,124 132,807 17,781 13,475
--------- --------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS..................... 55,354 106,228 96,907 151,411 35,011 22,775
--------- --------- --------- --------- --------- ---------
NET ASSETS
Beginning of year.............................. 79,147 75,971 40,612 49,374 73,125 34,078
--------- --------- --------- --------- --------- ---------
End of year.................................... $ 134,501 $ 182,199 $ 137,519 $ 200,785 $ 108,136 $ 56,853
========= ========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-16
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1994
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH
MONEY MANAGED GOVERNMENT YIELD EQUITY
MARKET BOND SECURITIES BOND GROWTH INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.................................. $ 2,061 $ 2,493 $ 915 $ 1,503 $ 478 $ 589
Net realized gain (loss) on investments
and foreign currency transactions..................... (3,119) (1,524) 173 6,505 4,280
Net unrealized depreciation on investments
and foreign currency transactions................... (1,577) (562) (1,521) (16,416) (5,106)
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net assets resulting
from operations...................................... 2,061 (2,203) (1,171) 155 (9,433) (237)
-------- -------- -------- -------- -------- --------
NET EQUALIZATION CREDITS (DEBITS)...................... 338 306 (38) 126 52 155
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.................................. (2,061) (2,479) (915) (1,503) (478) (589)
From capital gains..................................... (51) (30) (173) (6,492) (4,280)
Return of capital...................................... (10) (1)
-------- -------- -------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders......................... (2,061) (2,540) (946) (1,676) (6,970) (4,869)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares........................... 201,092 24,038 8,671 23,416 65,720 24,648
Proceeds from shares issued in asset acquisition....... 8,160 2,255 21,434
Dividend reinvestments................................. 2,052 2,500 950 1,669 6,951 4,883
Cost of shares repurchased............................. (151,402) (11,998) (11,816) (14,369) (52,274) (4,287)
-------- -------- -------- -------- -------- --------
Net increase in net assets derived from
capital share transactions.......................... 59,902 14,540 60 10,716 20,397 46,678
-------- -------- -------- -------- -------- --------
NET INCREASE (DECREASE) IN NET ASSETS.................. 60,240 10,103 (2,095) 9,321 4,046 41,727
-------- -------- -------- -------- -------- --------
NET ASSETS
Beginning of year...................................... 33,910 43,116 23,584 16,017 77,405 33,356
-------- -------- -------- -------- -------- --------
End of year............................................ $ 94,150 $ 53,219 $ 21,489 $ 25,338 $ 81,451 $ 75,083
======== ======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-17
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1994
(IN THOUSANDS)
<TABLE>
<CAPTION>
MULTI- INTER- EQUITY GROWTH BOND AND
STRATEGY NATIONAL INDEX LT EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.............................. $ 1,310 $ 689 $ 848 $ 297 $ 1,759 $ 2,704
Net realized gain (loss) on investments
and foreign currency transactions................. 2,028 2,902 136 344 (737) 839
Net unrealized appreciation (depreciation)
on investments and foreign currency transactions.. (4,093) (3,173) (607) 2,144 (3,284) (7,013)
-------- -------- -------- -------- --------- --------
Net increase (decrease) in net assets resulting
from operations................................... (755) 418 377 2,785 (2,262) (3,470)
-------- -------- -------- -------- --------- --------
NET EQUALIZATION CREDITS (DEBITS).................. 253 397 41 139 (1)
-------- -------- -------- -------- --------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.............................. (1,310) (419) (848) (399) (1,759) (2,711)
From capital gains................................. (2,028) (2,723) (132) (367) (2,291)
Return of capital.................................. (20) (150)
-------- -------- -------- -------- --------- --------
Net decrease in net assets resulting from
distributions to shareholders..................... (3,338) (3,142) (980) (766) (1,779) (5,152)
-------- -------- -------- -------- --------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares....................... 33,860 71,841 16,440 65,691 1,517 800
Proceeds from shares issued in asset acquisition... 19,687
Dividend reinvestments............................. 3,311 3,113 978 765 1,790 5,385
Cost of shares repurchased......................... (15,319) (27,230) (10,080) (19,240) (10,931) (6,708)
-------- -------- -------- -------- --------- --------
Net increase (decrease) in net assets derived from
capital share transactions........................ 41,539 47,724 7,338 47,216 (7,624) (523)
-------- -------- -------- -------- --------- --------
NET INCREASE (DECREASE) IN NET ASSETS.............. 37,699 45,397 6,776 49,374 (11,666) (9,145)
-------- -------- -------- -------- --------- --------
NET ASSETS
Beginning of year.................................. 41,448 30,574 33,836 0 84,791 43,223
-------- -------- -------- -------- --------- --------
End of year........................................ $ 79,147 $ 75,971 $ 40,612 $ 49,374 $ 73,125 $ 34,078
======== ======== ======== ======== ========= ========
</TABLE>
See Notes to Financial Statements.
A-18
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4,
1987. The Fund currently consists of twelve separate portfolios (the
"Portfolios"): the Money Market Portfolio, the Managed Bond Portfolio, the
Government Securities Portfolio, the High Yield Bond Portfolio, the Growth
Portfolio, the Equity Income Portfolio, the Multi-Strategy Portfolio, the
International Portfolio, the Equity Index Portfolio, the Growth LT Portfolio,
the Equity Portfolio and the Bond and Income Portfolio. The assets of each
Portfolio are segregated and a shareholder's interest is limited to the
Portfolio in which shares are owned at December 31, 1995. Shares of each
Portfolio were offered only to Pacific Select, Pacific Select Exec, Pacific
COLI and Pacific Select Variable Annuity Separate Accounts of Pacific Mutual
Life Insurance Company ("Pacific Mutual") and Pacific Corinthian Variable
Separate Account of Pacific Corinthian Life Insurance Company ("Pacific
Corinthian"). Pacific Corinthian is a wholly-owned subsidiary of Pacific
Mutual.
The investment objective of each Portfolio is summarized in the following
table:
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------
Money Market Current income consistent with preservation of
capital.
- --------------------------------------------------------------------------------
Managed Bond Maximize total return consistent with prudent
investment management.
- --------------------------------------------------------------------------------
Government Securities Maximize total return consistent with prudent
investment management.
- --------------------------------------------------------------------------------
High Yield Bond High level of current income.
- --------------------------------------------------------------------------------
Growth Growth of capital.
- --------------------------------------------------------------------------------
Equity Income Long-term growth of capital and income.
- --------------------------------------------------------------------------------
Multi-Strategy High total return.
- --------------------------------------------------------------------------------
International Long-term capital appreciation.
- --------------------------------------------------------------------------------
Equity Index Provide investment results that correspond to the
total return performance of common stocks publicly
traded in the U.S.
- --------------------------------------------------------------------------------
Growth LT Long-term growth of capital consistent with the
preservation of capital.
- --------------------------------------------------------------------------------
Equity Capital appreciation.
- --------------------------------------------------------------------------------
Bond and Income High level of current income consistent with
prudent investment management and preservation 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, 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)
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. The statements of changes of net assets for the
year ended December 31, 1994, as presented for these two "portfolios" are
based on the operations of the predecessor series of PCVF.
A. Security Trading and Valuation
The net asset value per share is calculated separately for each Portfolio.
The net asset value per share is determined by dividing the value of each
Portfolio's net assets by the number of outstanding shares of the Portfolio.
Portfolio securities are valued and the net asset value per share is
determined at 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 29% and 19% of the Managed Bond and Government
Securities Portfolios' investments, respectively, as of December 31, 1995).
Money market instruments are valued at amortized cost which approximates
market value.
B. Foreign Currency Translation
Foreign securities which are not traded in U.S. currency are recorded in
the financial statements after translation to U.S. dollars based on the
applicable exchange rates at the end of the period. Related dividends,
interest and withholding taxes are accrued at the rates of exchange
prevailing on the respective dates of such transactions. Pursuant to U.S.
Federal income tax regulations, the Fund computes the effect of changes in
foreign exchange rates from the fluctuations arising from changes in market
prices on the sale of foreign currency denominated debt obligations. This
foreign exchange component of the net gains or losses realized on the sales
and maturities of such debt obligations is treated as ordinary income or loss
for Federal income tax purposes.
The Fund isolates that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations
are included with the net realized and unrealized gain or loss on foreign
currency transactions.
A-20
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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: Equity Income Portfolio - $10,340; Multi-Strategy Portfolio-
$3,902; International Portfolio - $361,709; Equity Index Portfolio -$10,996;
Growth LT Portfolio - $36,381.
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,
proxy and annual 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 $40,358 for the Equity Index Portfolio and $3,952 for
the Growth LT Portfolio are currently being amortized over five years at the
rates of 10%, 15%, and 25% in years one, two, and three through five,
respectively. The organization cost for the Equity Index Portfolio was fully
amortized at the end of 1995.
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)
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 $794,363 have been segregated with the custodian to cover
margin requirements for the following open interest rate futures contracts at
December 31, 1995:
<TABLE>
<CAPTION>
Value per Unrealized
Type Contracts Contract Appreciation
---- --------- --------- ------------
<S> <C> <C> <C>
U.S. Treasury 5 year Notes (3/96) 135 $100,000 $ 117,919
U.S. Treasury 10 year Notes (3/96) 147 100,000 193,750
U.S. Treasury 30 year Bonds (3/96) 139 100,000 189,630
---------
$ 501,299
=========
</TABLE>
For the Government Securities Portfolio, securities with an approximate
aggregate market value of $372,395 have been segregated with the custodian to
cover margin requirements for the following open interest rate futures
contracts at December 31, 1995:
<TABLE>
<CAPTION>
Value per Unrealized
Type Contracts Contract Appreciation
---- --------- --------- ------------
<S> <C> <C> <C>
U.S. Treasury 2 year Notes (3/96) 7 $200,000 $ 4,281
U.S. Treasury 5 year Notes (3/96) 215 100,000 225,875
U.S. Treasury 10 year Notes (3/96) 57 100,000 56,250
U.S. Treasury 30 year Bonds (3/96) 48 100,000 65,594
---------
$ 352,000
=========
</TABLE>
A-22
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)
For the Equity Index Portfolio, securities with an approximate aggregate
market value of $550,628 have been segregated with the custodian to cover
margin requirements for the following open stock index futures contracts at
December 31, 1995:
<TABLE>
<CAPTION>
Value per Unrealized
Type Contracts Index Point Appreciation
---- --------- ----------- ------------
<S> <C> <C> <C>
S & P 500 (3/96) 52 $ 500 $ 114,425
=========
</TABLE>
B. Options on Futures Contracts
The Managed Bond and Government Securities Portfolios wrote options on
interest rate futures contracts during the period ended December 31, 1995.
When the Fund writes (sells) an option, an amount equal to the premium
received is recorded as an asset with an equal liability which is marked-to-
market based on the option's quoted daily settlement price. Fluctuation in
the value of such an instrument is recorded as unrealized appreciation
(depreciation) until terminated, at which time realized gains and losses are
recognized. The purposes of using options on futures contracts include
hedging exposure 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 December 31, 1995 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
--------- -------
<S> <C> <C>
Outstanding, December 31, 1994 $ 0
Options written 165 68,451
Options exercised 75 (46,191)
Options expired 50 (7,500)
Options repurchased 40 (14,760)
--------
Outstanding, December 31, 1995 $ 0
========
</TABLE>
For the Government Securities Portfolio, transactions in options for the
period ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
--------- -------
<S> <C> <C>
Outstanding, December 31, 1994 $ 0
Options written 70 28,971
Options exercised 30 (18,883)
Options expired 25 (4,553)
Options repurchased 15 (5,535)
--------
Outstanding, December 31, 1995 $ 0
========
</TABLE>
A-23
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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
sales contract was outstanding at December 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Expires Depreciation
------- ------------
<S> <C> <C>
Sell 11,395,611 German Deutschmark 12/16/96 $ 63,648
========
</TABLE>
For the Government Securities Portfolio, the following forward foreign
currency sales contract was outstanding at December 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Expires Depreciation
------- ------------
<S> <C> <C>
Sell 4,994,373 German Deutschmark 12/16/96 $ 27,895
========
</TABLE>
For the Growth LT Portfolio, the following forward foreign currency sales
contracts were outstanding at December 31, 1995:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Sell 585,602 German Deutschemark 01/11/96 $ 21,037
Sell 673,924 German Deutschemark 02/08/96 17,868
Sell 519,285 German Deutschemark 02/12/96 13,724
Sell 1,365,936 German Deutschemark 03/28/96 (39,374)
Sell 61,268 German Deutschemark 03/28/96 471
Sell 2,578,846 German Deutschemark 06/13/96 (16,898)
Buy 802,232 German Deutschmark 03/28/96 1,402
Sell 1,235,458 Finnish Mark 01/11/96 15,077
Sell 142,326 Finnish Mark 01/25/96 1,581
Sell 940,644 Finnish Mark 02/08/96 26,450
Sell 3,007,444 Finnish Mark 02/12/96 78,729
Sell 1,640,830 Finnish Mark 03/28/96 984
Sell 109,570 Finnish Mark 05/09/96 2,708
</TABLE>
A-24
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. DERIVATIVE FINANCIAL INSTRUMENTS (CONTINUED)
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Buy 142,681 Finnish Mark 01/25/96 $ (1,936)
Buy 635,313 Finnish Mark 02/12/96 (7,961)
Buy 160,949 Finnish Mark 02/12/96 146
Buy 1,406,008 Finnish Mark 03/28/96 (22,755)
Sell 618,945 Swedish Krona 01/11/96 (68,309)
Sell 1,897,327 Swedish Krona 01/11/96 (206,204)
Sell 1,107,210 Swedish Krona 01/25/96 (123,316)
Sell 982,838 Swedish Krona 03/28/96 (69,416)
Buy 158,831 Swedish Krona 01/11/96 17,565
Buy 461,505 Swedish Krona 01/11/96 49,353
Buy 2,031,960 Swedish Krona 01/11/96 71,572
Buy 599,395 Swedish Krona 01/25/96 862
Sell 587,180 British Pound 03/28/96 8,490
Sell 591,930 British Pound 03/28/96 (13,240)
Sell 248,558 Japanese Yen 02/08/96 5,311
Sell 2,036,764 Japanese Yen 03/14/96 81,258
Sell 875,702 Japanese Yen 03/14/96 44,612
Sell 150,090 Japanese Yen 03/14/96 3,427
Buy 253,062 Japanese Yen 02/08/96 (9,815)
Buy 1,009,387 Japanese Yen 03/14/96 (31,634)
Buy 692,795 Japanese Yen 03/14/96 (8,368)
Buy 380,000 Japanese Yen 03/14/96 (3,921)
Buy 99,783 Japanese Yen 03/14/96 (2,008)
---------
$(162,528)
=========
</TABLE>
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 Managed Bond, Government Securities, High Yield Bond and
Bond and Income Portfolios, an annual rate of .60% of average daily net
assets of each of the 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 International Portfolio, an annual
rate of .85% of the average daily net assets of the Portfolio; for the Equity
Index Portfolio, an annual rate of .25% of the first $100 million of the
average daily net assets of the Portfolio, .20% of the next $100 million of
the average daily net assets of the Portfolio, and .15% of the average daily
net assets of the Portfolio in excess of $200 million; and for the Growth LT
Portfolio, an annual rate of .75% of the average daily net assets of the
Portfolio. The fees are accrued daily.
A-25
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. INVESTMENT ADVISORY, AGENCY, AND DISTRIBUTION AGREEMENT - (CONTINUED)
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 has no intention of profiting by provision of support services
to the Fund.
Pursuant to Portfolio Management Agreements, the Fund and Pacific Mutual
employ portfolio managers for ten of the twelve 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 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, for which
dividends are declared and paid at least annually. All realized capital gains
are distributed at least annually for all Portfolios. Distributions to
shareholders are recorded on the ex-dividend date. All dividends are
reinvested in additional shares of the related Portfolios unless a
shareholder elects to receive a dividend in cash.
The Fund declared and paid sufficient net investment income, dividends, and
capital gains distributions during 1994 to qualify as a regulated investment
company, and 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 1995 to avoid Federal income and capital gains
taxes, pursuant to the Code.
Income, dividends, and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions, net operating losses,
deferral of wash sales, futures and options. Permanent book and tax
differences relating to shareholder distributions will result in
reclassifications to paid-in capital.
6. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $6,541,535 of investment advisory fees and $28,550 of
support services expenses to Pacific Mutual for the period ended December 31,
1995 (Note 3). As of December 31, 1995, $775,269 and $28,550 respectively,
remained payable.
Pacific Mutual has voluntarily undertaken to waive or otherwise reimburse
the Fund for its operating expenses, exclusive of advisory fees, additional
custodial charges associated with holding foreign securities, foreign tax on
dividends, interest, or gains, and extraordinary expenses, in excess of .25%
of average daily net assets, through December 31, 1995. For the year ended
December 31, 1995, these operating expenses for each Portfolio were under the
0.25% expense cap.
Certain officers and directors of Pacific Mutual are also officers and
trustees of the Fund.
A-26
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments) for
the period ended December 31, 1995 were as follows:
<TABLE>
<CAPTION>
U.S. Government Securities Other Securities
Purchases Sales Purchases Sales
--------- ----- --------- -----
<S> <C> <C> <C> <C>
Managed Bond Portfolio $25,712,641 $13,806,066 $ 151,856,712 $ 99,621,581
Government Securities Portfolio 9,201,861 18,244,079 62,795,555 39,915,786
High Yield Bond Portfolio 115,081,681 60,426,958
Growth Portfolio 75,814,714 47,095,056
Equity Income Portfolio 204,822,505 107,819,547
Multi-Strategy Portfolio 54,667,500 58,239,809 163,093,897 111,551,030
International Portfolio 102,764,144 17,674,573
Equity Index Portfolio 66,539,723 5,624,238
Growth LT Portfolio 253,530,772 148,770,448
Equity Portfolio 198,668,836 185,121,658
Bond and Income Portfolio 2,069,531 5,533,750 31,341,541 15,924,380
</TABLE>
No activity is shown for the Money Market Portfolio since it trades exclusively
in short-term debt securities.
8. FEDERAL TAX BASIS ON PORTFOLIOS
Unrealized appreciation (depreciation) at December 31, 1995 based on cost
of investments for federal income tax purposes was as follows:
<TABLE>
<CAPTION>
Gross Gross Net
Unrealized Unrealized Unrealized
Tax Cost Basis Appreciation (Depreciation) Appreciation
-------------- ------------ -------------- ------------
<S> <C> <C> <C> <C>
Managed Bond Portfolio $ 124,305,729 $ 2,423,471 $ (121,790) $ 2,301,681
Government Securities Portfolio 65,962,408 774,122 (52,022) 722,100
High Yield Bond Portfolio 80,122,361 2,701,334 (252,843) 2,448,491
Growth Portfolio 120,022,453 18,552,098 (9,007,620) 9,544,478
Equity Income Portfolio 187,333,883 22,163,070 (4,560,712) 17,602,358
Multi-Strategy Portfolio 128,092,005 11,173,305 (1,806,507) 9,366,798
International Portfolio 175,731,868 20,144,710 (11,471,413) 8,673,297
Equity Index Portfolio 115,790,836 22,494,763 (1,208,236) 21,286,527
Growth LT Portfolio 177,754,272 24,288,886 (3,421,125) 20,867,761
Equity Portfolio 96,128,886 14,052,158 (2,327,606) 11,724,552
Bond and Income Portfolio 50,191,844 5,736,738 (21,287) 5,715,451
</TABLE>
A-27
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. SHARES OF BENEFICIAL INTEREST
Transactions in fund shares for the years ended December 31, 1995 and 1994
were as follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO MANAGED BOND PORTFOLIO
------------------------------- -------------------------------
1995 1994 1995 1994
---- ---- ---- ----
<S> <C> <C> <C> <C>
Beginning Balances 9,390,330 3,394,942 5,375,772 3,960,603
Shares sold 25,343,548 20,180,409 6,714,926 2,350,884
Shares issued in asset acquisition 813,974
Distributions reinvested 524,082 205,810 506,029 251,641
Shares redeemed (25,679,194) (15,204,805) (1,157,058) (1,187,356)
----------- ----------- ----------- -----------
Ending Balances 9,578,766 9,390,330 11,439,669 5,375,772
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD BOND PORTFOLIO GROWTH PORTFOLIO
------------------------------- -------------------------------
1995 1994 1995 1994
---- ---- ---- ----
<S> <C> <C> <C> <C>
Beginning Balances 2,842,865 1,656,367 5,467,523 4,254,209
Shares sold 7,806,880 2,553,279 3,533,055 3,793,214
Shares issued in asset acquisition
Distributions reinvested 472,260 184,168 58,016 465,536
Shares redeemed (2,500,363) (1,550,949) (2,070,582) (3,045,436)
----------- ----------- ----------- -----------
Ending Balances 8,621,642 2,842,865 6,988,012 5,467,523
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
MULTI-STRATEGY PORTFOLIO INTERNATIONAL PORTFOLIO
------------------------------- -------------------------------
1995 1994 1995 1994
---- ---- ---- ----
<S> <C> <C> <C> <C>
Beginning Balances 6,746,932 3,274,592 6,360,464 2,529,129
Shares sold 3,299,929 2,769,965 9,289,337 5,753,331
Shares issued in asset acquisition 1,678,307
Distributions reinvested 262,384 281,225 263,214 263,269
Shares redeemed (838,293) (1,257,157) (1,823,380) (2,185,265)
----------- ----------- ----------- -----------
Ending Balances 9,470,952 6,746,932 14,089,635 6,360,464
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
GROWTH LT PORTFOLIO EQUITY PORTFOLIO
------------------------------- -------------------------------
1995 1994 1995 1994
---- ---- ---- ----
<S> <C> <C> <C> <C>
Beginning Balances 4,442,921 5,148,862 5,680,030
Shares sold 12,137,609 6,110,241 1,727,815 103,106
Distributions reinvested 962,783 69,657 19,835 119,973
Shares redeemed (3,322,060) (1,736,977) (722,496) (754,247)
----------- ----------- ----------- -----------
Ending Balances 14,221,253 4,442,921 6,174,016 5,148,862
=========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES PORTFOLIO
-------------------------------
1995 1994
---- ----
<S> <C> <C>
Beginning Balances 2,229,122 2,216,666
Shares sold 3,681,411 876,668
Shares issued in asset acquisition 233,962
Distributions reinvested 209,247 97,572
Shares redeemed (608,507) (1,195,746)
----------- -----------
Ending Balances 5,511,273 2,229,122
=========== ===========
</TABLE>
<TABLE>
<CAPTION>
EQUITY INCOME PORTFOLIO
---------------------------------
1995 1994
---- ----
<S> <C> <C>
Beginning Balances 5,342,866 2,148,818
Shares sold 7,041,236 1,603,917
Shares issued in asset acquisition 1,525,192
Distributions reinvested 128,064 347,855
Shares redeemed (1,161,294) (282,916)
----------- -----------
Ending Balances 11,350,872 5,342,866
=========== ===========
</TABLE>
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO
---------------------------------
1995 1994
---- ----
<S> <C> <C>
Beginning Balances 3,118,551 2,556,189
Shares sold 5,687,418 1,250,840
Shares issued in asset acquisition
Distributions reinvested 113,444 76,107
Shares redeemed (1,039,100) (764,585)
----------- -----------
Ending Balances 7,880,313 3,118,551
=========== ===========
</TABLE>
<TABLE>
<CAPTION>
BOND AND INCOME PORTFOLIO
---------------------------------
1995 1994
---- ----
<S> <C> <C>
Beginning Balances 3,269,303 3,315,647
Shares sold 1,500,665 71,965
Distributions reinvested 248,058 468,642
Shares redeemed (650,291) (586,951)
----------- -----------
Ending Balances 4,367,735 3,269,303
=========== ===========
</TABLE>
A-28
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each
period were as follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO MANAGED BOND PORTFOLIO
---------------------- ----------------------
For the year ended December 31, For the year ended December 31,
------------------------------- -------------------------------
1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $10.03 $9.99 $9.96 $9.94 $9.94 $9.90 $10.89 $10.62 $10.79 $10.35
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Income from investment
- ----------------------
Operations
----------
Net investment income 0.54 0.33 0.23 0.29 0.56 0.65 0.50 0.52 0.68 0.82
Net realized and
unrealized gain (loss) on
securities 0.00 0.04 0.03 0.02 0.00 1.19 (0.98) 0.70 0.23 0.88
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total from Investment
Operations 0.54 0.37 0.26 0.31 0.56 1.84 (0.48) 1.22 0.91 1.70
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net
investment income) 0.55 0.33 0.23 0.29 0.56 0.64 0.50 0.52 0.67 0.82
Distributions (from
capital gains) 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.43 0.41 0.44
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Distribution 0.55 0.33 0.23 0.29 0.56 0.64 0.51 0.95 1.08 1.26
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Net Asset Value, End of
Period $10.02 $10.03 $9.99 $9.96 $9.94 $11.10 $9.90 $10.89 $10.62 $10.79
====== ====== ====== ====== ====== ====== ====== ====== ====== ======
__________________________
Total Return 5.54% 3.76% 2.58% 3.22% 5.74% 19.04% (4.36)% 11.63% 8.68% 17.03%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $95,949 $94,150 $33,910 $23,905 $14,502 $126,992 $53,219 $43,116 $26,406 $16,645
Ratio of expenses to
average net assets 0.53% 0.64% 0.65% 0.65% 0.65% 0.76% 0.84% 0.75% 0.75% 0.75%
Ratio of net investment
income to average net
assets 5.41% 3.94% 2.56% 3.13% 5.53% 6.04% 5.04% 4.74% 6.39% 7.74%
Portfolio turnover rate N/A N/A N/A N/A N/A 191.39% 127.95% 163.11% 89.55% 80.96%
</TABLE>
A-29
<PAGE>
PACIFIC SELECTED FUND
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each
period were as follows:
<TABLE>
<CAPTION>
GOVERNMENT SECURITIES PORTFOLIO HIGH YIELD BOND PORTFOLIO
------------------------------- -------------------------
For the year ended December 31, For the year ended December 31,
------------------------------- -------------------------------
1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Period $ 9.64 $10.64 $10.48 $10.55 $10.07 $8.91 $9.67 $9.24 $8.54 $7.84
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Income from Investment
- ----------------------
Operations
----------
Net investment income 0.58 0.44 0.34 0.51 0.69 0.76 0.73 0.86 0.87 0.91
Net realized and
unrealized gain (loss) on
securities 1.19 (0.99) 0.78 0.27 0.93 0.88 (0.70) 0.77 0.69 0.95
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total from Investment
Operations 1.77 (0.55) 1.12 0.78 1.62 1.64 0.03 1.63 1.56 1.86
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net
investment income) 0.57 0.44 0.34 0.51 0.71 0.76 0.73 0.86 0.86 0.91
Distributions (from
capital gains) 0.00 0.01 0.62 0.34 0.43 0.00 0.06 0.34 0.00 0.25
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Distributions 0.57 0.45 0.96 0.85 1.14 0.76 0.79 1.20 0.86 1.16
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Net Asset Value, End of
Period $10.84 $ 9.64 $10.64 $10.48 $10.55 $9.79 $8.91 $9.67 $9.24 $8.54
====== ====== ====== ====== ====== ====== ====== ====== ====== ======
____________________________
Total Return 18.81% (5.10)% 10.79% 7.52% 16.67% 18.87% 0.42% 18.01% 18.72% 24.58%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $59,767 $21,489 $23,584 $17,701 $10,841 $84,425 $25,338 $16,017 $14,152 $10,356
Ratio of expenses to
average net assets 0.82% 0.88% 0.75% 0.75% 0.75% 0.77% 0.88% 0.75% 0.75% 0.75%
Ratio of net investment
income to average net
assets 5.58% 4.29% 3.15% 4.95% 6.90% 8.51% 8.13% 8.37% 9.46% 10.77%
Portfolio turnover rate 298.81% 232.99% 402.37% 212.31% 110.74% 127.31% 141.86% 185.83% 186.23% 149.20%
</TABLE>
A-30
<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 year ended December 31,
-------------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $14.90 $18.20 $15.76 $13.70 $10.09
------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.15 0.10 0.08 0.11 0.15
Net realized and unrealized gain (loss) on securities 3.67 (2.01) 3.37 2.69 3.78
------ ------ ------ ------ ------
Total from Investment Operations 3.82 (1.91) 3.45 2.80 3.93
------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.15 0.10 0.08 0.11 0.15
Distributions (from capital gains) 0.00 1.29 0.93 0.63 0.17
------ ------ ------ ------ ------
Total Distributions 0.15 1.39 1.01 0.74 0.32
------ ------ ------ ------ ------
Net Asset Value, End of Period $18.57 $14.90 $18.20 $15.76 $13.70
====== ====== ====== ====== ======
_________________________________________________
Total Return 25.75% (10.49)% 21.89% 20.53% 39.15%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $129,741 $81,451 $77,405 $34,747 $13,482
Ratio of expenses to average net assets** 0.79% 0.86% 0.71% 0.75% 0.75%
Ratio of net investment income to average net assets 0.88% 0.58% 0.51% 0.81% 1.31%
Portfolio turnover rate 46.76% 40.42% 35.08% 39.97% 31.48%
<CAPTION>
EQUITY INCOME PORTFOLIO
-----------------------
For the year ended December 31,
-------------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $14.05 $15.52 $15.11 $14.74 $11.64
------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.26 0.20 0.26 0.19 0.32
Net realized and unrealized gain (loss) on securities 4.16 (0.25) 0.98 0.59 3.28
------ ------ ------ ------ ------
Total from Investment Operations 4.42 (0.05) 1.24 0.78 3.60
------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.26 0.20 0.26 0.19 0.32
Distributions (from capital gains) 0.00 1.22 0.57 0.22 0.18
------ ------ ------ ------ ------
Total Distributions 0.26 1.42 0.83 0.41 0.50
------ ------ ------ ------ ------
Net Asset Value, End of Period $18.21 $14.05 $15.52 $15.11 $14.74
====== ====== ====== ====== ======
_________________________________________________
Total Return 31.66% (0.28)% 8.29% 5.36% 31.42%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $206,653 $75,083 $33,356 $22,021 $12,117
Ratio of expenses to average net assets** 0.83% 0.94% 0.75% 0.75% 0.76%
Ratio of net investment income to average net assets 1.59% 1.39% 1.74% 1.39% 2.49%
Portfolio turnover rate 86.47% 134.57% 27.67% 18.52% 17.43%
</TABLE>
_________________
**The years prior to 1994 have been restated for comparative purposes to reflect
expenses exclusive of foreign taxes on dividends.
A-31
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
MULTI-STRATEGY PORTFOLIO
------------------------
For the year ended December 31,
-------------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $11.73 $12.66 $12.18 $11.99 $10.14
------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.45 0.32 0.35 0.37 0.46
Net realized and unrealized gain (loss) on securities 2.47 (0.51) 0.77 0.27 1.93
------ ------ ------ ------ ------
Total from Investment Operations 2.92 (0.19) 1.12 0.64 2.39
------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.45 0.32 0.35 0.37 0.45
Distributions (in excess of net investment income) 0.00 0.00 0.00 0.00 0.00
Distributions (from capital gains) 0.00 0.42 0.29 0.08 0.09
------ ------ ------ ------ ------
Total Distributions 0.45 0.74 0.64 0.45 0.54
------ ------ ------ ------ ------
Net Asset Value, End of Period $14.20 $11.73 $12.66 $12.18 $11.99
====== ====== ====== ====== ======
_________________________________________________
Total Return 25.25% (1.50)% 9.25% 5.57% 24.03%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $134,501 $79,147 $41,448 $19,931 $10,454
Ratio of expenses to average net assets** 0.84% 0.94% 0.75% 0.75% 0.75%
Ratio of net investment income to average net assets 3.49% 2.78% 3.01% 3.36% 4.30%
Portfolio turnover rate 176.45% 187.40% 27.87% 16.52% 11.24%
<CAPTION>
INTERNATIONAL PORTFOLIO
-----------------------
For the year ended December 31,
-------------------------------
1995 1994 1993 1992 1991
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $11.94 $12.09 $ 9.38 $10.59 $9.72
------ ------ ------ ------ ------
Income from Investment Operations
- ---------------------------------
Net investment income 0.33 0.07 0.09 0.15 0.13
Net realized and unrealized gain (loss) on securities 0.91 0.30 2.73 (1.19) 0.94
------ ------ ------ ------ ------
Total from Investment Operations 1.24 0.37 2.82 (1.04) 1.07
------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.25 0.07 0.09 0.17 0.17
Distributions (in excess of net investment income) 0.00 0.00 0.02 0.00 0.00
Distributions (from capital gains) 0.00 0.45 0.00 0.00 0.03
------ ------ ------ ------ ------
Total Distributions 0.25 0.52 0.11 0.17 0.20
------ ------ ------ ------ ------
Net Asset Value, End of Period $12.93 $11.94 $12.09 $9.38 $10.59
====== ====== ====== ====== ======
_________________________________________________
Total Return 10.56% 3.01% 30.02% (9.78)% 10.92%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $182,199 $75,971 $30,574 $19,402 $18,239
Ratio of expenses to average net assets** 1.12% 1.22% 1.04% 1.05% 1.04%
Ratio of net investment income to average net assets 1.87% 1.28% 0.92% 1.43% 1.19%
Portfolio turnover rate 16.07% 52.22% 46.48% 38.99% 69.71%
</TABLE>
__________________
**The years prior to 1994 have been restated for comparative purposes to reflect
expenses exclusive of foreign taxes on dividends.
A-32
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO
----------------------
For the year ended December 31,
-------------------------------
1995 1994 1993 1992 1991(1)
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period $13.02 $13.24 $12.43 $11.98 $10.00
------- ------- ------- ------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.34 0.30 0.29 0.29 0.30
Net realized and unrealized gain on securities 4.43 (0.18) 0.86 0.53 2.16
------- ------- ------- ------- -------
Total from Investment Operations 4.77 0.12 1.15 0.82 2.46
------- ------- ------- ------- -------
Less Distributions
- ------------------
Dividends (from net investment income) 0.34 0.30 0.29 0.29 0.30
Distributions (from capital gains) 0.00 0.04 0.05 0.08 0.18
------- ------- ------- ------- -------
Total Distributions 0.34 0.34 0.34 0.37 0.48
------- ------- ------- ------- -------
Net Asset Value, End of Period $17.45 $13.02 $13.24 $12.43 $11.98
======= ======= ======= ======= =======
__________________________________
Total Return 36.92% 1.05% 9.38% 6.95% 24.88%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $137,519 $40,612 $33,836 $23,030 $15,205
Ratio of expenses to average net assets** 0.42% 0.51% 0.50% 0.50% 0.50%*
Ratio of net investment income to average net assets 2.26% 2.37% 2.34% 2.53% 3.03%*
Portfolio turnover rate 7.52% 2.02% 1.15% 3.52% 4.26%
<CAPTION>
GROWTH LT PORTFOLIO
-------------------
For the period ended December 31,
---------------------------------
1995 1994(2)
---- ----
<S> <C> <C>
Net Asset Value, Beginning of Period $11.11 $10.00
------- -------
Income from Investment Operations
- ---------------------------------
Net investment income 0.10 0.10
Net realized and unrealized gain on securities 3.96 1.21
------- -------
Total from Investment Operations 4.06 1.31
------- -------
Less Distributions
- ------------------
Dividends (from net investment income) 0.10 0.12
Distributions (from capital gains) 0.95 0.08
------- -------
Total Distributions 1.05 0.20
------- -------
Net Asset Value, End of Period $14.12 $11.11
======= =======
__________________________________
Total Return 36.75% 13.25%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $200,785 $49,374
Ratio of expenses to average net assets** 0.94% 1.08%*
Ratio of net investment income to average net assets 0.90% 1.32%*
Portfolio turnover rate 165.83% 257.20%
</TABLE>
__________________
(1)Information is for the period from January 30, 1991(commencement of
operations) to December 31, 1991.
(2)Information is for the period from January 4, 1994(commencement of
operations) to December 31,1994.
* Ratios are annualized.
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
A-33
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
EQUITY PORTFOLIO BOND AND INCOME PORTFOLIO
---------------- -------------------------
For the year ended December 31, For the year ended December 31,
------------------------------- -------------------------------
1995 1994 1993 1992 1991 1995 1994 1993 1992 1991
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $14.20 $14.94 $14.39 $14.83 $11.71 $10.42 $13.05 $11.70 $11.69 $10.27
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Income From Investment Operations
- ---------------------------------
Net investment income 0.05 0.32 0.22 0.19 0.33 0.82 0.83 0.87 0.89 0.93
Net realized and unrealized gain
(loss) on securities 3.33 (0.74) 1.90 0.49 3.12 2.59 (1.87) 1.35 0.01 1.42
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total from investment operations 3.38 (0.42) 2.12 0.68 3.45 3.41 (1.04) 2.22 0.90 2.35
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Less Distributions
- ------------------
Dividends (from net investment income) 0.06 0.32 0.22 0.19 0.33 0.81 0.83 0.86 0.89 0.93
Distributions (in excess of net
investment income) 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00
Distributions (from capital gains) 0.00 0.00 0.81 0.93 0.00 0.00 0.53 0.00 0.00 0.00
Return of capital 0.00 0.00 0.54 0.00 0.00 0.00 0.23 0.00 0.00 0.00
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Total Distribution 0.06 0.32 1.57 1.12 0.33 0.81 1.59 0.87 0.89 0.93
------ ------ ------ ------ ------ ------ ------ ------ ------ ------
Net Asset Value, End of Period $17.52 $14.20 $14.94 $14.39 $14.83 $13.02 $10.42 $13.05 $11.70 $11.69
====== ====== ====== ====== ====== ====== ====== ====== ====== ======
- ------------------------------------
Total Return 23.80% (2.87%) 16.06% 6.30% 29.77% 33.71% (8.36%) 19.39% 8.09% 24.32%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period
(in thousands) $108,136 $73,125 $84,791 $81,902 $107,366 $56,853 $34,078 $43,223 $42,731 $59,323
Ratio of expenses to average
net assets 0.80% 0.96% 0.93% 0.93% 0.91% 0.80% 0.93% 0.84% 0.85% 0.78%
Ratio of net investment income to
average net assets 0.27% 2.19% 1.52% 1.30% 2.52% 6.93% 7.25% 6.86% 7.67% 8.70%
Portfolio turnover rate 226.45% 178.63% 229.77% 242.37% 449.75% 51.84% 31.97% 41.92% 21.99% 131.40%
</TABLE>
A-34
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 99.80%
Allied Corp
7.540% due 01/15/96 $ 3,400,000 $ 3,392,587
AT&T Capital Corp
5.800% due 01/29/96 2,500,000 2,488,722
Avco Financial Services
5.750% due 02/16/96 4,000,000 3,970,611
Avnet Inc
5.750% due 01/31/96 5,000,000 4,976,042
Beneficial Corp
5.770% due 01/25/96 1,000,000 996,153
5.800% due 01/31/96 2,000,000 1,990,333
9.400% due 02/07/96 1,125,000 1,128,657
Boatmen Auto Trust
5.773% due 10/15/96 2,062,860 2,062,860
Carolina Power & Light
5.800% due 01/25/96 2,000,000 1,992,267
Case Equipment Loan Trust
5.825% due 09/15/96 1,653,216 1,653,216
Caterpillar Financial Asset Trust
5.850% due 08/25/96 1,546,606 1,546,606
Chevron
5.770% due 02/01/96 1,900,000 1,890,560
Consolidated Rail Corp
5.720% due 01/12/96 3,000,000 2,994,757
Echlin Inc
5.650% due 02/09/96 1,000,000 993,879
5.700% due 02/02/96 2,000,000 1,989,867
5.740% due 01/22/96 2,000,000 1,993,303
General Electric Capital Corp
6.120% due 05/06/96 5,000,000 4,999,464
Georgia Power
4.750% due 03/01/96 2,000,000 1,996,355
Great-West Life
5.730% due 01/05/96 1,500,000 1,499,045
5.770% due 01/05/96 1,000,000 999,359
Heinz (H.J.) Co
5.750% due 02/02/96 3,000,000 2,984,667
Household Financial Corp Mtn
5.000% due 03/18/96 3,000,000 2,991,851
5.640% due 01/25/96 1,000,000 999,773
IBM Credit Corp
5.770% due 01/25/96 $ 2,000,000 $ 1,992,307
5.780% due 01/26/96 2,000,000 1,991,972
Michelin North America Inc
5.750% due 01/10/96 2,000,000 1,997,125
5.820% due 01/24/96 2,000,000 1,992,563
New Center Asset Trust
5.800% due 01/24/96 2,000,000 1,992,589
PHH Corp
5.750% due 01/19/96 3,000,000 2,991,375
5.760% due 01/10/96 1,000,000 998,560
Providence of Quebec Mtn
8.410% due 02/01/96 5,000,000 5,009,333
Sallie Mae Global FRN
5.750% due 02/08/96 2,000,000 2,000,000
5.770% due 05/09/96 4,000,000 4,000,000
5.830% due 01/11/96 2,000,000 2,000,000
5.950% due 04/16/96 5,000,000 5,000,925
South Carolina Fuel Co
5.580% due 02/02/96 2,000,000 1,990,080
USL Capital Corp
5.750% due 01/16/96 2,000,000 1,995,208
Virginia Electric & Power
8.950% due 02/26/96 1,000,000 1,004,334
9.250% due 02/23/96 1,800,000 1,808,167
Xerox Credit
6.250% due 01/15/96 3,000,000 3,000,294
------------
Total Commercial Paper 94,295,766
------------
TIME DEPOSITS - 0.20%
State Street Bank and Trust
4.250% due 01/02/96 190,413 190,413
------------
Total Time Deposits 190,413
------------
TOTAL MONEY MARKET PORTFOLIO $ 94,486,179
============
</TABLE>
A-35
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 28.07%
CONSUMER DISCRETIONARY - 3.03%
Associated Corp of North America
6.750% due 07/15/97 $ 1,650,000 $ 1,678,479
News America Holding
9.125% due 10/15/99 1,000,000 1,105,380
Time Warner Inc
8.110% due 08/15/06 750,000 798,555
6.835% due 08/15/00 + 250,000 251,625
-----------
3,834,039
-----------
CONSUMER STAPLES - 2.42%
RJR Holdings Capital Corp
8.000% due 07/15/01 + 3,000,000 3,064,935
-----------
3,064,935
-----------
ENERGY - 0.41%
Arkla Inc
7.500% due 08/01/00 500,000 513,065
-----------
513,065
-----------
FINANCIAL & BUSINESS SERVICES - 10.47%
Bankers Life Holding Corp
13.000% due 11/01/02 750,000 847,500
Capital One Funding Senior Note
8.050% due 01/18/96 1,000,000 1,000,770
Chrysler Financial Corp
5.990% due 11/17/97 + 3,000,000 3,013,206
CTC Mansfield Funding
11.125% due 09/30/16 1,000,000 1,047,500
GMAC
4.950% due 02/03/97 1,000,000 994,340
5.250% due 12/06/96 1,000,000 997,370
8.125% due 01/13/97 2,000,000 2,051,280
Merrill Lynch & Co Mtn
7.053% due 02/16/96 + 500,000 501,195
<CAPTION>
- ------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
Salomon Inc
4.970% due 02/15/96 + $ 2,000,000 $ 1,996,740
7.400% due 03/28/96 + 800,000 802,054
-----------
13,251,955
-----------
HEALTHCARE - 2.16%
McGaw Inc Senior Note
10.375% due 04/01/99 2,640,000 2,739,000
-----------
2,739,000
-----------
TRANSPORTATION - 6.51%
Delta Air Lines
8.250% due 05/15/96 1,000,000 1,006,510
9.375% due 09/11/07 1,839,952 2,090,112
9.875% due 01/01/98 750,000 800,010
9.875% due 04/30/08 1,283,075 1,518,793
UAL Equipment Trust
9.210% due 01/21/17 + 800,000 910,742
9.560% due 10/19/18 1,650,000 1,921,095
-----------
8,247,262
-----------
UTILITIES - 3.07%
Hydro Quebec
6.563% due 09/30/49 + 1,000,000 853,750
Long Island Lighting
7.850% due 05/15/99 3,000,000 3,030,840
-----------
3,884,590
-----------
Total Corporate Bonds & Notes
(Cost $34,846,327) 35,534,846
-----------
MORTGAGE-BACKED SECURITIES - 26.46%
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.59%
Citibank 1986-D
10.000% due 03/01/16 + 177,191 184,943
Citibank 1988-2
8.000% due 07/25/18 + 40,531 41,620
</TABLE>
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
A-36
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS - (CONTINUED)
Countrywide
7.507% due 11/25/24 + $ 764,667 $ 784,262
6.750% due 05/25/24 + 1,000,000 957,073
GE Capital Mortgage
6.500% due 04/25/24 1,164,798 1,164,705
Paine Webber 1993-3Aa
6.500% due 03/25/24 1,095,294 1,091,187
Residential Funding Corp
8.000% due 10/25/24 + 2,611,087 2,613,717
Resolution Trust Corp
7.200% due 06/25/23 590,939 594,263
7.500% due 08/25/23 + 280,829 281,706
8.000% due 04/25/25 + 1,000,000 1,068,282
8.000% due 06/25/26 + 934,747 821,701
------------
9,603,459
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.78%
6.500% due 01/16/26 # 1,000,000 986,562
------------
986,562
------------
FEDERAL HOUSING AUTHORITY - 2.42%
7.430% due 02/01/23 377,815 395,081
7.430% due 02/01/23 + 354,250 370,413
7.845% due 08/01/23 + 1,382,719 1,419,886
7.850% due 05/01/23 863,966 884,217
------------
3,069,597
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 9.04%
5.637% due 11/01/23 676,728 691,636
5.752% due 10/01/23 1,535,380 1,589,118
5.797% due 04/01/24 + 1,625,614 1,671,343
6.050% due 01/01/25 3,286,110 3,391,365
<CAPTION>
- ------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
6.818% due 04/01/24 $ 2,425,962 $ 2,489,644
7.729% due 12/01/22 1,558,182 1,608,340
------------
11,441,446
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 2.68%
6.500% due 03/20/24 + 862,593 878,629
7.000% due 02/22/26 # + 2,000,000 2,045,000
9.000% due 02/15/17 160,294 169,811
9.500% due 04/15/18 7,100 7,665
9.500% due 08/15/17 28,481 30,821
9.500% due 09/15/18 186,459 201,473
9.750% due 04/15/98 18,091 18,832
10.000% due 05/15/19 40,623 44,711
------------
3,396,942
------------
STUDENT LOAN MORTGAGE ASSOCIATION - 3.95%
5.955% due 04/26/04 + 5,000,000 5,000,000
------------
5,000,000
------------
Total Mortgage-Backed Securities
(Cost $32,562,426) 33,498,006
------------
OTHER ASSET-BACKED SECURITIES - 5.86%
Greenwich Capital Mortgage
7.660% due 01/25/22 + 95,214 95,229
Imperial Savings & Loan
9.900% due 02/25/18 + 78,482 83,755
Main Place Funding
6.108% due 10/25/00 + 3,000,000 3,001,875
Ryland Mortgage
7.571% due 11/28/22 + 2,000,000 2,034,062
14.000% due 11/25/31 + 118,186 131,112
Sears Mortgage
8.712% due 05/25/32 + 100,844 101,900
Securitized Assets Sales Inc
6.500% due 11/25/25 + 1,975,238 1,975,238
------------
Total Other Asset-Backed Securities
(Cost $7,380,430) 7,423,171
------------
</TABLE>
# FORWARD BUY CONTRACT.
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
A-37
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY NOTES - 16.89%
6.875% due 03/31/00 $ 20,000,000 $ 21,128,200
9.125% due 05/15/99 230,000 256,667
------------
Total U.S. Treasury Notes
(Cost $21,191,255) 21,384,867
------------
U.S. TREASURY STRIPPED - 0.38%
0.000% due 08/15/15 * 1,600,000 479,248
------------
Total U.S. Treasury Stripped
(Cost $328,910) 479,248
------------
FOREIGN GOVERNMENT - 8.45%
GERMANY - 8.45%
Bundes Republic
6.250% due 01/04/24 16,500,000 10,699,445
------------
Total Foreign Government
(Cost $10,404,237) 10,699,445
------------
Total Investments in Securities
at Market Value (Cost $106,713,585) 109,019,583
------------
VALUE
-----
COMMERCIAL PAPER - 11.27%
Abbott Laboratories
5.600% due 01/23/96 700,000 697,604
AT&T Corp
5.450% due 04/19/96 2,500,000 2,455,732
Bell South
5.750% due 01/09/96 500,000 499,361
<CAPTION>
- --------------------------------------------------------------------------
PRINIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
Commonwealth
5.700% due 01/18/96 $ 100,000 $ 99,731
FNMA
5.470% due 02/13/96 1,000,000 993,466
General Electric Capital Corp
5.650% due 01/31/96 500,000 497,646
5.690% due 01/24/96 600,000 597,819
KFW International Financial
5.700% due 01/26/96 600,000 597,625
National Rural Utilities
5.550% due 03/22/96 2,500,000 2,466,800
5.640% due 02/16/96 800,000 794,235
Procter & Gamble
5.540% due 02/16/96 2,500,000 2,482,303
5.620% due 02/21/96 800,000 793,631
5.670% due 01/22/96 700,000 697,685
5.670% due 01/24/96 600,000 597,826
------------
Total Commercial Paper 14,271,464
------------
U.S. TREASURY BILLS - 0.63%
5.200% due 04/04/96 ** 95,000 93,780
5.250% due 02/15/96 ** 320,000 318,154
5.305% due 02/22/96 ** 360,000 357,574
5.360% due 02/15/96 ** 25,000 24,855
------------
Total U.S. Treasury Bills 794,363
------------
TIME DEPOSITS - 1.99%
State Street Bank and Trust
4.250% due 01/02/96 2,522,000 2,522,000
------------
Total Time Deposits 2,522,000
------------
Total Short-Term Investments
at Amortized Cost 17,587,827
------------
TOTAL MANAGED BOND PORTFOLIO
(COST $124,305,729) 126,607,410
============
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
** SECURITIES HAVE BEEN SEGREGATED WITH THE CUSTODIAN TO COVER
MARGIN REQUIREMENT FOR OPEN FUTURE CONTRACTS AS OF
DECEMBER 31, 1995.
A-38
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.16%
FINANCIAL & BUSINESS SERVICES - 0.16%
International American Dev Bank
9.450% due 09/15/98 $ 100,000 $ 109,763
------------
Total Corporate Bonds & Notes
(Cost $100,647) 109,763
------------
GOVERNMENT BONDS - 0.88%
Federal Farm Credit Bank
8.650% due 10/01/99 530,000 585,237
------------
Total Government Bonds (Cost $526,083) 585,237
------------
MORTGAGE-BACKED SECURITIES - 36.49%
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.07%
Citibank 1988-2
8.000% due 07/25/18 + 21,688 22,270
Countrywide
6.602% due 03/25/24 + 738,063 757,437
7.507% due 11/25/24 + 764,667 784,262
GE Capital Mortgage
6.500% due 04/25/24 776,532 776,470
Residential Funding Corp
6.750% due 03/25/25 + 616,078 628,400
Resolution Trust Corp
7.500% due 08/25/23 + 140,414 140,853
8.000% due 04/25/25 + 1,500,000 1,602,423
------------
4,712,115
------------
<CAPTION>
- -------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
FEDERAL HOME LOAN MORTGAGE CORP - 8.44%
6.500% due 01/16/26 # $ 5,700,000 $ 5,623,406
6.750% due 02/01/08 7,140 7,178
------------
5,630,584
------------
FEDERAL HOUSING AUTHORITY - 1.01%
7.400% due 07/25/19 463,542 484,619
7.430% due 07/01/21 + 180,652 189,139
------------
673,758
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 11.79%
5.752% due 10/01/23 575,767 595,919
6.050% due 01/01/25 2,447,548 2,525,944
6.818% due 04/01/24 1,617,308 1,659,763
7.000% due 03/25/23 2,195,671 2,020,019
7.729% due 12/01/22 1,025,817 1,058,838
------------
7,860,483
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.43%
6.500% due 09/20/23 208,420 211,871
7.000% due 02/22/26 # + 2,000,000 2,045,000
7.375% due 05/20/23 393,763 399,918
9.000% due 01/15/17 264,403 280,101
9.750% due 04/15/98 19,034 19,813
------------
2,956,703
------------
STUDENT LOAN MORTGAGE ASSOCIATION - 3.75%
5.955% due 04/26/04 + 2,500,000 2,500,000
------------
2,500,000
------------
Total Mortgage-Backed Securities
(Cost $23,722,614) 24,333,643
------------
OTHER ASSET-BACKED SECURITIES - 2.89%
Greenwich Capital Mortgage
7.660% due 01/25/22 + 142,820 142,842
</TABLE>
# FORWARD BUY CONTRACT.
+ VALUED UNDER PROCEDURES ESTABLISHED BY THE BOARD OF TRUSTEES.
A-39
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
OTHER ASSET-BACKED SECURITIES - (CONTINUED)
Imperial Savings & Loan
9.802% due 07/25/17 + $ 25,517 $ 25,701
9.900% due 02/25/18 + 78,482 83,755
Main Place Funding
6.108% due 10/25/00 + 1,500,000 1,500,938
Ryland Mortgage
5.000% due 11/25/31 + 185,875 174,141
------------
Total Other Asset-Backed Securities
(Cost $1,920,615) 1,927,377
------------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.40%
FHLMC (IO)
6.500% due 09/15/18 2,275,588 266,487
------------
Total Stripped Mortgage-Backed Securities
(Cost $298,440) 266,487
------------
FOREIGN GOVERNMENT - 7.05%
GERMANY - 7.05%
Bundes Republic
6.250% due 01/04/24 7,250,000 4,701,270
------------
Total Foreign Government (Cost $4,571,558) 4,701,270
------------
Total Investments in Securities
at Market Value (Cost $31,139,957) 31,923,777
------------
<CAPTION>
- ---------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 46.94%
Abbott Laboratories
5.600% due 01/23/96 $ 2,500,000 $ 2,491,444
AT&T Corp
5.450% due 04/19/96 1,000,000 982,293
5.550% due 03/20/96 1,500,000 1,480,554
FHLMC
5.700% due 01/02/96 4,400,000 4,399,303
5.580% due 01/29/96 7,000,000 6,969,620
General Electric Capital Corp
5.650% due 01/31/96 1,250,000 1,244,115
5.690% due 01/24/96 1,400,000 1,394,911
Hewlett Packard
5.670% due 01/04/96 500,000 499,764
5.720% due 01/04/96 1,500,000 1,499,285
McDonalds Corp
5.630% due 01/04/96 2,500,000 2,498,827
National Rural Utility Corp
5.650% due 02/20/96 2,500,000 2,480,382
Procter & Gamble
5.620% due 02/20/96 500,000 496,097
5.670% due 01/24/96 2,000,000 1,992,755
United Parcel Service
5.430% due 04/04/96 600,000 590,798
U.S. West Communications
5.700% due 01/17/96 800,000 797,973
Warner-Lambert Co
5.550% due 03/13/96 1,500,000 1,482,215
------------
Total Commercial Paper 31,300,336
------------
U.S. TREASURY BILLS - 0.56%
5.200% due 04/04/96 ** 35,000 34,551
5.250% due 02/15/96 ** 115,000 114,336
5.270% due 02/15/96 ** 20,000 19,885
5.305% due 02/22/96 ** 160,000 158,922
5.325% due 03/07/96 ** 20,000 19,824
5.330% due 02/08/96 ** 25,000 24,877
------------
Total U.S. Treasury Bills 372,395
------------
</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
DECEMBER 31, 1995.
A-40
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 2.85%
With Daiwa, dated 12/29/95
repurchased price of $1,901,193;
collateralized by U.S. Treasury
Notes (market value $1,897,500;
due 01/15/99) $ 1,900,000 $ 1,900,000
------------
Total Securities Held Under Repurchase
Agreements 1,900,000
------------
TIME DEPOSITS - 1.78%
State Street Bank and Trust
4.250% due 01/02/96 1,188,000 1,188,000
------------
Total Time Deposits 1,188,000
------------
Total Short-Term Investments
at Amortized Cost 34,760,731
------------
TOTAL GOVERNMENT SECURITIES
PORTFOLIO (COST $65,904,582) $ 66,684,508
============
</TABLE>
A-41
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS - 1.52%
UTILITIES - 1.52%
Columbia Gas 3,866 $ 92,784
Gulf States Utilities 17,309 1,161,867
-----------
Total Preferred Stocks (Cost $1,220,177) 1,254,651
-----------
CONVERTIBLE PREFERRED STOCKS - 1.36%
CONSUMER DISCRETIONARY - 1.25%
Cablevision Systems ~ 10,000 1,035,000
-----------
1,035,000
-----------
UTILITIES - 0.11%
Columbia Gas 2,367 93,497
-----------
93,497
-----------
Total Convertible Preferred Stocks
(Cost $1,096,620) 1,128,497
-----------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 75.16%
CAPITAL GOODS - 8.00%
Earle M. Jorgensen
10.750% due 03/01/00 $ 1,000,000 920,000
Figgie International
9.875% due 10/01/99 2,000,000 2,000,000
Hines Horticulture
11.750% due 10/15/05 ~ 500,000 520,000
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
International Semi-tech
0.000% due 08/15/03 * $ 3,000,000 $ 1,608,750
Portola Packaging
10.750% due 10/01/05 1,000,000 1,035,000
Westinghouse Air Brake
9.375% due 06/15/05 500,000 521,250
-----------
6,605,000
-----------
CONSUMER DISCRETIONARY - 33.01%
Aztar Corp
11.000% due 10/01/02 1,000,000 1,000,000
Boyd Gaming Corp
10.750% due 09/01/03 1,000,000 1,055,000
Casino America
11.500% due 11/15/01 1,000,000 925,000
Casino Magic
11.500% due 10/15/01 ~ 500,000 430,000
Cf Cable Tv
9.125% due 07/15/07 1,000,000 1,026,250
Comcast Cellular
0.000% due 03/05/00 * 1,500,000 1,158,750
Comcast Corp
9.125% due 10/15/06 1,000,000 1,042,500
Continental Cablevision
8.300% due 05/15/06 ~ 1,000,000 1,003,750
Diamond Cable
0.000% due 12/15/00 * 2,000,000 1,175,000
Dictaphone Corp
11.750% due 08/01/05 1,000,000 990,000
Empress Riverboat Casino
10.750% due 04/01/02 1,500,000 1,548,750
Four Seasons Hotel
9.125% due 07/01/00 ~ 1,500,000 1,500,000
Granite Broadcasting
10.375% due 05/15/05 500,000 512,500
Hammons Hotels (John Q.)
8.875% due 02/15/04 500,000 490,000
9.750% due 10/01/05 ~ 1,500,000 1,505,625
Harrahs Operating Inc
8.750% due 03/15/00 1,000,000 1,012,500
Host Marriot Travel Plaza
9.500% due 05/15/05 1,000,000 990,000
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
~ PURCHASED IN A PRIVATE PLACEMENT TRANSACTION; RESALE TO THE PUBLIC MAY REQUIRE
REGISTRATION.
A-42
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CONSUMER DISCRETIONARY - (CONTINUED)
Lenfest Communications Inc
8.375% due 11/01/05 $ 1,500,000 $ 1,505,625
MGM Grand Hotels
11.750% due 05/01/99 500,000 532,500
Panamsat L.P.
9.750% due 08/01/00 1,000,000 1,060,000
Rogers Cablesystems Limited
10.000% due 03/15/05 500,000 537,500
SCI Television
11.000% due 06/30/05 1,000,000 1,057,500
Showboat Inc
13.000% due 08/01/09 500,000 562,500
Station Casinos
9.625% due 06/01/03 2,000,000 1,975,000
United Artist Theater
9.300% due 07/01/15 1,000,000 1,000,000
Viacom International
10.250% due 09/15/01 1,000,000 1,130,000
Videotron Ltee
10.250% due 10/15/02 500,000 527,500
------------
27,253,750
------------
CONSUMER STAPLES - 8.06%
ARA Group Inc
8.500% due 06/01/03 300,000 307,500
ARA Services Inc
10.625% due 08/01/00 200,000 230,000
Chiquita Brands
9.125% due 03/01/04 500,000 495,000
Dominick's Finer Foods
10.875% due 05/01/05 1,000,000 1,060,000
Pathmark Stores
9.625% due 05/01/03 1,000,000 972,500
Ralph's Grocery Corp
10.450% due 06/15/04 1,500,000 1,522,500
Revco Drug Stores Inc
9.125% due 01/15/00 500,000 537,500
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
Sequa Corp
8.750% due 12/15/01 $ 300,000 $ 283,500
Southland Corp
5.000% due 12/15/03 1,500,000 1,248,750
------------
6,657,250
------------
ENERGY - 4.71%
Amerigas Partners L.P.
10.125% due 04/15/07 500,000 540,000
California Energy Cos Inc
9.875% due 06/30/03 1,000,000 1,040,000
Giant Industries
9.750% due 11/15/03 1,000,000 1,005,000
Louis Dreyfus Natural Gas
9.250% due 06/15/04 500,000 540,000
Vintage Petroleum
9.000% due 12/15/05 750,000 760,313
------------
3,885,313
------------
FINANCIAL BUSINESS & SERVICES - 1.90%
Phoenix Re Corp
9.750% due 08/15/03 1,000,000 1,068,750
Salomon Inc Mtn
6.100% due 06/15/00 250,000 246,578
7.240% due 05/27/03 250,000 251,625
------------
1,566,953
------------
HEALTH CARE - 10.21%
Abbey Healthcare
9.500% due 11/01/02 1,000,000 1,065,000
Genesis Health Care
9.750% due 06/15/05 500,000 530,000
Magellan Health Service
11.250% due 04/15/04 1,000,000 1,097,500
Merit Behavioral
11.500% due 11/15/05 ~ 500,000 517,500
Quorum Health Group Inc
8.750% due 11/01/05 1,000,000 1,038,750
Tenet Healthcare Corp
8.625% due 12/01/03 1,500,000 1,575,000
10.125% due 03/01/05 500,000 556,250
</TABLE>
~ PURCHASED IN A PRIVATE PLACEMENT TRANSACTION; RESALE TO
THE PUBLIC MAY REQUIRE REGISTRATION.
A-43
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
HEALTH CARE - (CONTINUED)
Universal Health Services
8.750% due 03/15/05 $ 2,000,000 $ 2,050,000
------------
8,430,000
------------
MATERIALS & PROCESSING - 5.50%
Bell & Howell Co
9.250% due 07/15/00 2,000,000 2,055,000
Owens-Illinois Inc
10.250% due 04/01/99 500,000 515,000
Republic Engineer Steel
9.875% due 12/15/01 1,000,000 900,000
USG Corp
9.250% due 09/15/01 1,000,000 1,070,000
------------
4,540,000
------------
TRANSPORTATION - 1.83%
Santa Fe Pacific
8.375% due 07/01/05 500,000 517,500
Walbro Corp 'B'
9.875% due 07/15/05 1,000,000 997,500
------------
1,515,000
------------
UTILITIES - 1.94%
El Paso Electric
9.000% due 11/01/04 500,000 536,250
Ferrell Gas Corp 'A'
10.000% due 08/01/01 1,000,000 1,065,000
------------
1,601,250
------------
Total Corporate Bonds & Notes
(Cost $60,211,925) 62,054,516
------------
CONVERTIBLE BONDS - 2.33%
CONSUMER STAPLES - 0.54%
Chiquita Brands International Inc
7.000% due 03/28/01 500,000 444,373
------------
444,373
------------
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
ENERGY - 0.62%
AES Corp
9.750% due 06/15/96 $ 500,000 $ 516,250
------------
516,250
------------
HEALTH CARE - 0.58%
Amsco International Inc
6.500% due 10/15/02 500,000 482,500
------------
482,500
------------
MATERIALS & PROCESSING - 0.59%
FMC Gold
6.750% due 01/16/05 500,000 483,750
------------
483,750
------------
Total Convertible Bonds
(Cost $1,718,706) 1,926,873
------------
FOREIGN BONDS - 16.47%
CANADA - 3.19%
Gulf Canada Resources
9.250% due 01/15/04 1,000,000 1,035,000
Rogers Cablesystems Debenture
10.000% due 12/01/07 1,000,000 1,077,500
Rogers Cablesystems Limited
9.625% due 08/01/02 500,000 523,750
------------
2,636,250
------------
HONG KONG - 4.38%
Henderson Capital
5.000% due 10/27/96 1,000,000 1,025,000
PIV Investment Finance
4.500% due 12/01/00 600,000 498,000
RHG Finance Corp
8.875% due 10/01/05 2,000,000 2,090,000
------------
3,613,000
------------
</TABLE>
A-44
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
INDONESIA - 1.76%
Asia Pulp & Paper International Finance
11.750% due 10/01/05 $ 1,000,000 $ 980,000
PT Indah Kiat Pulp & Paper
8.875% due 11/01/00 500,000 470,000
------------
1,450,000
------------
MEXICO - 1.16%
Liverpool El Puerto Df Mtn
7.250% due 10/19/96 1,000,000 960,000
------------
960,000
------------
NETHERLANDS - 2.39%
GPA Holland Mtn
8.500% due 02/10/97 1,000,000 975,000
9.940% due 07/26/96 ~ 1,000,000 1,000,000
------------
1,975,000
------------
PHILIPPINES - 1.29%
Philippines Long Distance
9.875% due 08/01/05 1,000,000 1,063,750
------------
1,063,750
------------
SOUTH AFRICA - 0.45%
Protea Investment Limited FRN
6.938% due 04/30/98 357,141 367,855
------------
367,855
------------
UNITED KINGDOM - 1.85%
Telewest PLC
9.625% due 10/01/06 1,500,000 1,531,876
------------
1,531,876
------------
Total Foreign Bonds
(Cost $13,266,348) 13,597,731
------------
Total Investments in Securities
at Market Value (Cost $77,513,776) 79,962,268
------------
<CAPTION>
- -------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 3.03%
Associated Corp of North America
5.990% due 01/02/96 $ 2,500,000 $ 2,499,584
------------
Total Commercial Paper 2,499,584
------------
TIME DEPOSITS - 0.13%
State Street Bank and Trust
4.250% due 01/02/96 109,000 109,000
------------
Total Time Deposits 109,000
------------
Total Short-Term Investments
At Amortized Cost 2,608,584
------------
TOTAL HIGH YIELD BOND PORTFOLIO
(COST $80,122,361) $ 82,570,852
============
</TABLE>
~ PURCHASED IN A PRIVATE PLACEMENT TRANSACTION; RESALE TO THE PUBLIC MAY
REQUIRE REGISTRATION.
A-45
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 96.74%
CAPITAL GOODS - 3.27%
Allegheny Ludlum Corp 40,000 $ 740,000
Briggs & Stratton Co 33,000 1,431,375
Figgie International * 92,700 961,763
Schuler Homes Inc * 61,800 482,813
Tecumseh Products Co 'A' 12,000 621,000
------------
4,236,951
------------
CONSUMER DISCRETIONARY - 30.78%
Adelphia Communications * 53,000 371,000
Banta Corp 35,000 1,540,000
Buffets Inc * 87,000 1,196,250
Cablevision Systems 'A' * 13,000 705,250
Cole National Corp 'A' * 29,200 405,150
Consolidated Stores * 41,300 898,275
DMX Inc * 101,700 247,894
Duracraft Corp * 12,200 306,525
Duty Free International Inc 90,000 1,440,000
Foodmaker Inc * 125,000 734,375
Gaylord Entertainment 'A' 87,150 2,418,413
GT Bicycles * 70,000 647,500
Hudson Foods 6,200 106,950
International Family Entertainment 'B' * 57,000 933,375
Jacor Communications * 55,000 962,500
Jones Appparel Group Inc * 45,000 1,771,875
Jones Intercable 'A' 43,600 539,550
Libbey Inc 62,000 1,395,000
Lojack Corp * 10,000 111,250
Media General 'A' 1,500 45,563
Meyer (Fred) Inc * 19,000 427,500
Morrison Restaurant 41,800 585,200
New World Communications Group * 63,000 1,102,500
Nine West Group Inc * 19,000 712,500
NY Magic 28,000 476,000
<CAPTION>
- ------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Oil Dri America 33,000 $ 515,624
Picturetel Corp * 25,000 1,078,124
Players International Inc * 91,000 972,563
Renaissance Communications * 30,000 663,750
RPM Inc 89,375 1,474,688
Scotts Co * 60,000 1,185,000
Scripps EW Communications 'A' 41,400 1,630,125
Sizzler InternationaL Inc 41,800 177,650
Speedway Motorsports Inc * 41,000 1,230,000
Spelling Entertainment Group 67,000 837,500
Standard Products 49,000 863,625
Strounds Inc * 77,000 317,625
TCA Cable TV 36,000 994,500
Turner Broadcast Systems 'B' 50,000 1,300,000
Tyco Toys Inc 173,700 781,650
U.S. Industries Inc * 95,000 1,745,625
Williams Sonoma * 62,000 1,147,000
WMS Industries 50,000 818,750
Young Broadcasting Corp 'A' * 73,000 2,062,250
------------
39,876,444
------------
CONSUMER STAPLES - 3.16%
Giant Foods Inc 19,000 598,500
Robert Mondavi 'A' * 60,000 1,657,500
Smithfield Foods Inc * 30,900 981,075
Topps Company (The) 167,000 855,875
------------
4,092,950
------------
ENERGY - 5.63%
California Energy * 35,000 682,500
Coflexip 56,752 1,071,194
Energy Biosystems Corp * 77,000 539,000
Enron Global Power & Pipeline 45,000 1,119,375
Global Marine Inc * 155,000 1,356,250
HS Resources * 17,200 221,450
Parker/Parsley Petroleum 39,000 858,000
San Juan Basin Realty Trust 135,000 843,750
Vintage Petroleum 27,000 607,500
------------
7,299,019
------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-46
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL & BUSINESS SERVICES - 22.47%
Air & Water Technical Corp * 30,300 $ 185,588
American Re Corp 19,600 801,150
Bancorp Hawaii 42,000 1,506,750
Central Fidelity Banks Inc 40,000 1,280,000
Charter One Financial 50,000 1,531,250
City National Corp 73,000 1,022,000
Collective Bancorp 92,800 2,354,800
Commerce Bancshares 18,000 688,500
First American Financial 27,600 738,300
First Financial Corp 58,900 1,354,700
First Midwest Bancrp 34,900 1,007,738
First Republic Bancorp Inc 36,070 473,419
Harleysville Group Inc 42,000 1,359,750
Hibernia Corp 84,600 909,450
Jefferies Group Inc 33,400 1,578,150
Keystone Financial 24,000 720,000
Mercantile Bancshares Corp 53,000 1,477,374
Paul Revere Corp 46,000 954,500
Perclose Inc * 65,000 1,243,125
Price Reit Inc 'B' 28,400 788,100
Reinsurance Group of America 22,400 820,400
Standard Federal Bank 22,100 870,187
Team Rental Group Inc * 60,000 510,000
USA Waste Services * 52,000 981,500
Vallicorp Holdings Inc 40,000 555,000
Walker Interactive Systems * 13,400 99,663
Washington Federal Inc 47,000 1,204,375
Waste Mgmt InternationaL ADR * 194,700 2,093,025
------------
29,108,794
------------
HEALTH CARE - 2.38%
Athena Neurosciences * 79,200 970,200
Gilead Science * 40,000 1,280,000
Paragon Trade Brands * 35,900 839,163
------------
3,089,363
------------
<CAPTION>
- ------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
MATERIALS & PROCESSING - 8.90%
Airgas Inc * 10,100 $ 335,825
Holophane * 36,450 792,787
Lilly Industrial Coatings 'A' 97,400 1,241,850
Lindsay Manufacturing Co * 33,700 1,297,450
OM Group Inc 28,000 927,500
Payless Cashways * 53,000 225,250
Pentair Inc 37,800 1,880,550
Quebecor Printing 96,700 1,631,813
Quintiles Transnational * 38,000 1,558,000
Southdown Inc 53,000 1,033,500
Walbro Corp 34,000 612,000
------------
11,536,525
------------
TECHNOLOGY - 10.54%
AST Research * 40,164 341,394
Avid Technology Inc * 40,500 769,500
CAI Wireless Systems * 90,750 873,469
Caraustar Industries Inc 50,500 1,010,000
C-Cor Electronics * 46,000 1,081,000
Electronic Arts Inc * 38,000 992,750
Landmark Graphics Corp * 29,500 685,875
Lexmark International Group * 56,700 1,034,774
Micro Linear Corp * 40,000 410,000
Microchip Technology Inc * 30,750 1,122,375
Objective Systems Integrators Inc * 16,300 892,425
Read-Rite Corp * 20,000 465,000
Stratus Computer * 28,000 969,500
Teleflex Inc 24,000 984,000
Vangaurd Cellular System * 52,500 1,063,125
Westcott Communications * 70,000 962,500
------------
13,657,687
------------
TRANSPORTATION - 5.25%
Echlin Inc 35,000 1,277,500
Lear Seating Corp * 29,400 852,600
M.S. Carriers Inc * 65,000 1,300,000
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-47
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TRANSPORTATION - (CONTINUED)
Overseas Shipholding Group 33,200 $ 630,800
Teekay Shipping 40,000 945,000
TNT Freightways Corp 30,000 603,750
Werner Enterprises 59,000 1,194,750
-------------
6,804,400
-------------
UTILITIES - 4.36%
Cellular Communication * 1,831 91,091
Octel Communications * 88,600 2,857,350
Rogers Cantel Mobile 'B' * 60,000 1,590,000
Telephone/Data Systems 28,000 1,106,000
-------------
5,644,441
-------------
Total Common Stocks (Cost $115,839,296) 125,346,574
-------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.22%
Trenwick Group
6.000% due 12/15/99 $ 240,000 277,200
-------------
Total Corporate Bonds & Notes
(Cost $240,000) 277,200
-------------
Total Investments in Securities
at Market Value (Cost $116,079,296) 125,623,774
-------------
<CAPTION>
- -----------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 3.04%
FNMA
5.670% due 01/12/96 $3,950,000 $ 3,943,157
-------------
Total Commercial Paper 3,943,157
-------------
Total Short-Term Investment
at Amortized Cost 3,943,157
-------------
TOTAL GROWTH PORTFOLIO
(COST $120,022,453) $ 129,566,931
=============
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-48
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 95.08%
CAPITAL GOODS - 7.20%
Allied Signal Inc 98,900 $ 4,697,750
Boeing 15,300 1,199,137
Caterpillar Inc 3,000 176,250
Coltec Industries * 72,100 838,162
Cooper Industries Inc 55,651 2,045,174
Grainger (W.W.) Inc 48,600 3,219,750
Northrop Grumman Corp 8,500 544,000
Sunstrand Corp 28,900 2,033,837
------------
14,754,060
------------
CONSUMER DISCRETIONARY - 22.99%
American Home Products 4,000 388,000
Avon Products Inc 17,300 1,303,987
Bausch & Lomb Inc 95,700 3,792,113
Circus Circus Enterprise Inc * 95,300 2,656,487
General Electric 53,700 3,866,400
General Mills Inc 25,600 1,478,400
International Game Technology 152,900 1,662,787
MCI Communications Corp 55,700 1,455,162
Melville Corp 41,250 1,268,437
Motorola 45,500 2,593,500
Nordstrom Inc 35,800 1,449,900
Penny (J.C.) Inc 61,500 2,928,938
Procter & Gamble 44,100 3,660,300
Service Corp International 117,900 5,187,600
Telecommunications Inc * 190,500 3,786,187
Time Warner Inc 25,900 980,963
TJX Cos Inc 14,900 281,238
Turner Broadcast Systems 'B' 37,400 972,400
U.S. West Media Group * 58,100 1,103,900
Wal-Mart Stores Inc 135,700 3,036,288
Warner Lambert Co 19,800 1,923,075
Wellman Inc 58,400 1,328,600
------------
47,104,662
------------
<CAPTION>
- ---------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
CONSUMER STAPLES - 6.85%
Anheuser Busch 14,100 $ 942,938
Archer-Daniel Midland 8,681 156,258
Colgate Palmolive 38,900 2,732,725
PepsiCo 81,700 4,564,988
Philip Morris Co Inc 62,400 5,647,200
------------
14,044,109
------------
ENERGY - 10.10%
Anadarko Petroleum 30,400 1,645,400
Ashland Oil Inc 81,000 2,845,125
British Petroleum ADR 12,800 1,307,200
Central & South West 6,000 167,250
Chevron Corp 40,200 2,110,500
Cooper Cameron Corp * 20,435 725,442
Dresser Industries Inc 12,500 304,687
duPont (EI) deNemours 27,400 1,914,575
Royal Dutch Petroleum Guild 30,800 4,346,650
Sun Company Inc 46,800 1,281,150
Texaco Inc 28,700 2,252,950
Ultramar Corp 16,000 412,000
Unocal Corp 47,400 1,380,525
-------------
20,693,454
-------------
FINANCIAL & BUSINESS SERVICES - 12.65%
Ahmanson (H.F.) & Co 61,900 1,640,350
Ambac Inc 29,800 1,396,875
BankAmerica Corp 63,900 4,137,525
Dean Witter Discover & Co 38,800 1,823,600
Dominion Resources Inc 40,500 1,670,625
First Colony Corp 48,800 1,238,300
First Union Corp 44,200 2,458,625
Firstar Corp 61,600 2,440,900
Great Western Financial 38,300 976,650
NationsBank Corp 57,900 4,031,288
Providian Corp 75,700 3,084,775
Standard Federal Bancorp 26,200 1,031,625
-------------
25,931,138
-------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-49
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
HEALTH CARE - 7.09%
Columbia/HCA Healthcare 61,980 $ 3,145,485
Forest Laboratories * 46,400 2,099,600
Health Care & Retirement * 46,500 1,627,500
Humana Inc * 150,800 4,128,150
Lilly (Eli) & Co 62,600 3,521,250
------------
14,521,985
------------
MATERIALS & PROCESSING - 5.92%
Albemarle Corp 108,700 2,106,063
Aluminum Company Of America 74,800 3,955,050
Mead Corp 32,800 1,713,800
Phelps Dodge Corp 4,000 249,000
Union Carbide Corp 71,500 2,681,250
USG Corp * 47,600 1,428,000
------------
12,133,163
------------
TECHNOLOGY - 8.38%
Adobe Systems Inc 14,400 892,800
Autodesk Inc 53,200 1,822,100
Bay Networks Inc * 65,600 2,697,800
Compaq Computer Corp * 4,500 216,000
General Instruments Corp * 83,400 1,949,475
Harris Corp 6,000 327,750
Hewlett Packard Co 22,800 1,909,500
Novell Inc * 99,100 1,412,175
Quantum Corp * 109,900 1,772,138
Read-Rite Corp * 58,300 1,355,475
Symbol Technologies * 30,000 1,185,000
Wheelabrator Technologies Inc 97,400 1,631,450
------------
17,171,663
------------
TRANSPORTATION - 6.12%
Consolidated Freightways Inc 77,600 2,056,400
Cooper Tire & Rubber 71,000 1,748,375
General Motors Corp 79,000 4,177,125
Goodyear Tire & Rubber 3,500 158,813
Union Pacific Corp 66,800 4,408,800
------------
12,549,513
------------
UTILITIES - 7.78%
AT&T Corp 57,200 3,703,700
Bell Atlantic Corp 5,000 334,375
Bell South Corp 69,800 3,036,300
Entergy Corp 64,900 1,898,325
FPL Group Inc 10,000 463,750
Public Service of Colorado 6,800 240,550
SBC Communications 7,000 402,500
Southern Co 15,000 369,375
U.S. West Communications 100,000 3,575,000
Western Resources 57,600 1,922,400
------------
15,946,275
------------
Total Common Stocks
(Cost $177,130,943) 194,850,022
------------
Total Investments in Securities
at Market Value (Cost $177,130,943) 194,850,022
------------
<CAPTION>
- -------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TIME DEPOSITS - 4.92%
State Street Bank and Trust
4.250% due 01/02/96 $10,086,219 $ 10,086,219
------------
Total Time Deposits 10,086,219
------------
Total Short-Term Investment
at Amortized Cost 10,086,219
------------
TOTAL EQUITY INCOME PORTFOLIO
(Cost $187,217,162) $204,936,241
============
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-50
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ----------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 53.95%
CAPITAL GOODS - 3.96%
Allied Signal Inc 35,500 $ 1,686,250
Boeing 5,900 462,413
Coltec Industries * 34,200 397,575
Cooper Industries Inc 20,278 745,217
Emerson Electric Co 600 49,050
Grainger (W.W.) Inc 20,200 1,338,250
Sunstrand Corp 10,800 760,050
----------
5,438,805
----------
CONSUMER DISCRETIONARY - 12.21%
American Home Products 800 77,600
Avon Products Inc 6,200 467,325
Bausch & Lomb Inc 32,700 1,295,738
Circus Circus Enterprise Inc * 33,100 922,663
Darden Restaurants 1,400 16,625
General Electric 19,600 1,411,200
General Mills Inc 7,700 444,675
International Game Technology 55,000 598,125
MCI Communications Corp 23,800 621,775
Melville Corp 11,700 359,775
Motorola Inc 18,000 1,026,000
Nordstrom Inc 13,500 546,750
Penny (J.C.) Inc 19,300 919,163
Procter & Gamble 11,500 954,500
Service Corp International 42,900 1,887,600
Tele Communications Inc * 70,000 1,391,250
Time Warner Inc 9,300 352,238
TJX Cos Inc 6,000 113,250
Turner Broadcast System 13,500 351,000
U.S. West Media Group * 19,200 364,800
Wal-Mart Stores Inc 53,700 1,201,538
Walt Disney Productions 3,100 182,900
Warner Lambert Co 7,700 747,863
Wellman Inc 23,400 532,350
----------
16,786,703
----------
<CAPTION>
- ----------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
CONSUMER STAPLES - 4.30%
Anheuser Busch 4,800 $ 321,000
Archer-Daniel Midland 4,961 89,298
Campbell Soup Co 2,200 132,000
Coca-Cola 3,700 274,725
Colgate Palmolive 13,300 934,325
CPC International Inc 900 61,763
Kellog Co 2,100 162,225
PepsiCo 31,200 1,743,300
Philip Morris Co Inc 22,500 2,036,250
Sara Lee Corp 5,100 162,563
----------
5,917,449
----------
ENERGY - 5.73%
Anadarko Petroleum 10,900 589,963
Ashland Oil Inc 29,700 1,043,213
British Petroleum PLC ADR 4,500 459,563
Chevron Corp 18,700 981,750
Cooper Cameron Corp * 8,549 303,490
duPont (EI) deNemours 11,200 782,600
Exxon Corp 1,700 136,213
Royal Dutch Petroleum Guild 11,800 1,665,275
Sun Company Inc 17,100 468,113
Texaco Inc 12,500 981,250
Unocal Corp 16,200 471,825
----------
7,883,255
----------
FINANCIAL & BUSINESS SERVICES - 7.18%
Ahmanson (H.F.) & Co 25,300 670,450
Ambac Inc 9,700 454,688
American International Group 1,650 152,625
BankAmerica Corp 24,600 1,592,850
Dean Witter Discover & Co 14,000 658,000
FNMA 1,800 223,425
First Colony Corp 17,200 436,450
First Union Corp 17,800 990,125
Firstar Corp 22,900 907,413
Fleet Financial Group Inc 1,900 77,425
Great Western Financial 13,900 354,450
NationsBank Corp 21,300 1,483,013
Providian Corp 28,200 1,149,150
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-51
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL & BUSINESS SERVICES - (CONTINUED)
St Paul Cos Inc 1,400 $ 77,875
Standard Federal Bancorp 9,600 378,000
USLIFE Corp 8,850 264,394
----------
9,870,333
----------
HEALTH CARE - 4.05%
Abbott Laboratories 3,700 154,474
Baxter International Inc 1,500 62,812
Columbia/HCA Health Care 21,000 1,065,750
Forest Laboratories * 16,900 764,724
Health Care & Retirement * 21,700 759,500
Humana Inc * 53,800 1,472,774
Lilly (Eli) & Co 22,900 1,288,124
----------
5,568,158
----------
MATERIALS & PROCESSING - 3.35%
Albemarle Corp 39,900 773,063
Aluminum Company of America 27,400 1,448,774
Clorox Co 1,400 100,274
Crown Cork & Seal * 2,200 91,850
International Paper 1,600 60,600
Mead Corp 11,300 590,424
Nucor Corp 700 39,987
Union Carbide Corp 25,400 952,500
USG Corp * 16,800 504,000
Worthington Industries Inc 1,950 40,583
----------
4,602,055
----------
TECHNOLOGY - 4.56%
Adobe Systems Inc 5,100 316,200
Autodesk Inc 20,100 688,424
Bay Networks Inc * 22,500 925,312
Compaq Computer Corp * 2,700 129,600
General Instruments Corp * 30,700 717,612
Hewlett Packard Co 8,700 728,624
Novell Inc * 37,200 530,100
Quantum Corp * 40,100 646,612
Read-Rite Corp * 21,300 495,224
- --------------------------------------------------------------------------------
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Symbol Technologies * 11,400 $ 450,300
Wheelabrator Technologies 38,600 646,550
----------
6,274,558
----------
TRANSPORTATION - 3.48%
Consolidated Freightways Inc 33,000 874,500
Cooper Tire & Rubber Corp 26,700 657,488
General Motors Corp 27,900 1,475,213
Ryder Systems Inc 1,100 27,225
Union Pacific Corp 26,400 1,742,400
----------
4,776,826
----------
UTILITIES - 5.13%
American Electric Power Corp 1,300 52,650
Ameritech Corp 1,700 100,300
AT&T Corp 20,000 1,295,000
Bell Atlantic Corp 800 53,500
Bell South Corp 27,400 1,191,900
Dominion Resources Inc 12,700 523,875
Entergy Corp 23,000 672,751
FPL Group Inc 1,200 55,650
Houston Industry Inc 2,600 63,050
Pacific Gas & Electric 2,000 56,750
Pacific Telesis 1,400 47,075
Public Service of Colorado 17,000 601,375
SBC Communications 3,100 178,250
Southern Co 3,000 73,875
Sprint Corp 1,900 75,763
U.S. West Communications 34,100 1,219,075
Western Resources 23,500 784,313
----------
7,045,152
----------
Total Common Stocks
(Cost $66,529,142) 74,163,294
----------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
CORPORATE BONDS & NOTES - 17.25%
CONSUMER DISCRETIONARY - 1.86%
Alaska Trade Co
6.790% due 10/01/05 $ 2,500,000 2,562,500
-----------
2,562,500
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-52
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENT (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
ENERGY - 2.31%
Standard Oil Co
9.000% due 06/01/19 $ 1,000,000 $ 1,122,470
Texaco Capital
9.000% due 11/15/96 2,000,000 2,055,540
-----------
3,178,010
-----------
FINANCIAL & BUSINESS SERVICES - 8.18%
Associated Corp of North America
5.250% due 09/01/98 450,000 446,040
Chemical Bank
10.125% due 11/01/00 500,000 586,620
Chrysler Financial Corp
5.625% due 01/15/99 1,000,000 995,010
6.510% due 08/21/97 1,000,000 1,012,260
Comerica Bank
6.750% due 05/12/98 1,000,000 1,025,730
First Union Corp
6.550% due 10/15/35 1,700,000 1,768,051
Ford Motor Credit
5.625% due 03/03/97 525,000 524,869
8.625% due 01/24/00 1,090,000 1,196,616
GMAC
6.700% due 04/18/97 500,000 507,035
7.000% due 05/27/97 675,000 687,980
7.850% due 11/17/97 500,000 519,945
Midland Bank PLC
8.625% due 12/15/04 1,250,000 1,439,188
Saskatchewan
7.125% due 03/15/08 500,000 533,170
-----------
11,242,514
-----------
MATERIALS & PROCESSING - 1.68%
Georgia Pacific
9.950% due 06/15/02 1,500,000 1,786,740
USG Corp
8.500% due 08/01/05 500,000 517,500
-----------
2,304,240
-----------
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
TECHNOLOGY - 1.10%
Legrand
8.500% due 02/15/25 $ 1,250,000 $ 1,512,625
-----------
1,512,625
-----------
TRANSPORTATION - 1.38%
General Motors Corp
9.125% due 07/15/01 250,000 285,020
Union Tank Car
6.500% due 04/15/08 1,599,686 1,609,652
-----------
1,894,672
-----------
UTILITIES - 0.74%
Atlantic City Electric
6.370% due 01/27/98 1,000,000 1,015,920
-----------
1,015,920
-----------
Total Corporate Bonds & Notes
(Cost $22,716,132) 23,710,481
-----------
MORTGAGE-BACKED SECURITIES - 8.37%
COLLATERALIZED MORTGAGE OBLIGATIONS - 0.24%
Donald, Lufkin & Jenrette
7.889% due 11/01/24 318,375 324,643
-----------
324,643
-----------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 3.76%
7.000% due 01/01/04 411,077 418,912
7.000% due 01/01/25 # 2,670,000 2,695,031
7.500% due 01/01/25 # 2,000,000 2,050,000
-----------
5,163,943
-----------
</TABLE>
# Forward buy contract.
A-53
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.49%
5.500% due 04/25/05 $ 500,000 $ 495,155
6.000% due 12/25/07 783,838 93,938
6.300% due 12/25/15 1,994,940 2,010,525
6.500% due 03/25/24 2,010,525 827,114
-----------
3,426,732
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.88%
7.000% due 06/15/23 136,229 138,076
7.000% due 06/15/23 575,940 582,776
7.250% due 08/20/22 185,361 188,866
7.250% due 09/20/24 232,661 237,170
7.250% due 09/20/24 913,621 932,606
7.375% due 06/20/21 302,429 308,193
7.375% due 06/20/23 199,439 202,556
-----------
2,590,243
-----------
Total Mortgage-Backed Securities
(Cost $11,347,755) 11,505,561
-----------
OTHER ASSET-BACKED SECURITIES - 2.67%
Access Financial Corp
6.100% due 05/15/21 982,611 986,142
6.375% due 05/15/21 1,000,000 1,008,594
Premier Auto Trust
4.650% due 11/02/99 930,521 921,216
Sears Credit Account Trust
8.650% due 07/15/98 250,000 253,982
Standard Credit Account Trust
8.000% due 10/07/97 500,000 507,030
-----------
Total Other Asset-Backed Securities
(Cost $3,653,474) 3,676,964
-----------
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY BONDS - 6.55%
7.250% due 08/15/22 $ 1,265,000 $ 1,463,048
10.375% due 11/15/09 3,680,000 4,855,282
12.000% due 08/15/13 1,740,000 2,680,958
-----------
Total U.S. Treasury Bonds
(Cost $8,465,221) 8,999,288
-----------
U.S. TREASURY NOTES - 2.22%
6.500% due 04/30/99 1,050,000 1,088,388
6.875% due 07/31/99 1,870,000 1,963,500
-----------
Total U.S. Treasury Notes
(Cost $3,025,681) 3,051,888
-----------
TotaL Investments in Securities
at Market Value (Cost $115,737,405) 125,107,476
-----------
VALUE
-----
U.S. TREASURY BILLS - 3.64%
4.910% due 03/28/96 5,060,000 5,000,292
-----------
Total U.S. Treasury Bills 5,000,292
-----------
TIME DEPOSITS - 5.35%
State Street Bank and Trust
4.250% due 01/02/96 7,351,035 7,351,035
-----------
Total Time Deposits 7,351,035
-----------
Total Short-Term Investments
at Amortized cost 12,351,327
-----------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $128,088,092) $137,458,803
============
</TABLE>
A-54
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS - 0.40%
AUSTRALIA - 0.40%
News Corporation Ltd 156,094 $ 729,255
-----------
Total Preferred Stocks (Cost $605,511) 729,255
-----------
CONVERTIBLE PREFERRED STOCKS - 0.01%
HONG KONG - 0.01%
Dairy Farm International Holdings Ltd
6.500% due 05/10/49 12,000 9,660
-----------
Total Convertible Preferred Stocks (Cost $12,000) 9,660
-----------
COMMON STOCKS - 87.34%
ARGENTINA - 1.75%
Telefonica De Argentina ADR 82,200 2,239,950
YPF Sociedad Anonima 46,000 994,750
-----------
3,234,700
-----------
AUSTRALIA - 5.22%
Australian Gas & Light 600,000 2,250,533
Brambles Industries Ltd 95,000 1,058,419
Burns, Philp & Co Ltd 939,200 2,099,748
Email Ltd 350,000 831,880
National Australian Bank Ltd 230,000 2,067,073
Westpac Banking Corp 300,000 1,328,037
-----------
9,635,690
-----------
AUSTRIA - 1.46%
Env Energie-Versorgung 10,694 1,465,366
VA Technolgoie Ag ~ 9,700 1,228,395
-----------
2,693,761
-----------
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
BELGIUM - 1.82%
Solvay Npv 4,760 $ 2,563,213
Union Miniere Npv * 11,800 787,279
-----------
3,350,492
-----------
BRAZIL - 1.59%
Telebras ADR 62,000 2,937,250
-----------
2,937,250
-----------
BURMUDA - 1.47%
ACE Ltd 68,000 2,703,000
-----------
2,703,000
-----------
CANADA - 3.33%
Canadian Imperial Bank of Commerce 90,000 2,679,062
London Insurance Group Inc 15,000 303,627
National Bank of Canada 250,000 2,037,919
Sears Canada Inc 255,000 1,121,084
-----------
6,141,692
-----------
CHINA - 0.35%
Shandong Huaneng Power ADR 75,000 506,250
Shanghai Hai Xing Shipping 1,940,000 130,462
-----------
636,712
-----------
DENMARK - 2.65%
Tele Danmark AS 46,000 2,505,933
Unidanmark As 48,000 2,373,247
-----------
4,879,180
-----------
FINLAND - 3.12%
Amer Group Ltd 22,500 350,598
Enso-Gutzeit Oy 161,000 1,071,474
Kemira Oy 231,100 1,935,755
Metsa-Serla Oy 28,800 885,635
Outokumpu Oy 48,000 760,060
Outokumpu Oy Warrants * 9,400 367
Tampella Ab Oy * 593,000 748,471
-----------
5,752,360
-----------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
~ PURCHASED IN A PRIVATE PLACEMENT TRANSACTION; RESALE TO
THE PUBLIC MAY REQUIRE REGISTRATION.
A-55
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
FRANCE - 8.41%
Alcatel Alsthom 21,000 $ 1,807,031
Alcatel Cable SA 18,455 1,331,513
Banque Nationale De Paris 52,076 2,344,561
Cie De Saint Gobain 2,374 262,246
Elf Aquitaine 35,000 2,573,729
Pechiney International SA 99,000 1,753,409
Peugeot SA 12,000 1,579,945
Rhone-Poulenc SA 81,600 1,744,592
Total SA 31,380 2,113,745
-------------
15,510,771
-------------
GERMANY - 3.50%
Bayer AG 1,120 296,899
Bremer Vulkan Verbund AG 45,000 1,253,046
Veba AG 64,600 2,761,183
Volkswagen AG 6,400 2,142,986
-------------
6,454,114
-------------
GREECE - 0.09%
Ergo Bank Reg Grd 4,000 159,127
-------------
159,127
-------------
HONG KONG - 6.14%
Cheung Kong Holdings Ltd 360,000 2,192,823
Dairy Farm International Holdings Ltd 439,727 404,549
HSBC Holdings PLC 121,068 1,831,873
Hutchison Whampoa Ltd 300,000 1,827,352
Jardine Matheson Holdings 377,386 2,585,094
Jardine Strategic Holdings Ltd 157,500 481,950
Jardine Strategic Hldgs Ltd Warrants * 17,500 5,600
Peregrine Investments Holdings Ltd 450,000 581,959
Swire Pacific Ltd 160,000 1,241,513
Wharf (Holdings) Ltd 50,000 166,505
-------------
11,319,218
-------------
INDONESIA - 0.72%
PT Barito Pacific Timber 460,000 336,978
PT Inti Indorayon Utama 950,000 997,157
-------------
1,334,135
-------------
<CAPTION>
- ----------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
ITALY - 2.72%
Cartiere Burgo SPA 61,920 $ 309,015
Stet D Risp Port Non Con 1,058,000 2,158,640
Telecom Italia Di Risp 1,760,000 2,152,343
Telecom Italia SPA 114,990 178,857
Unicem Unione Cementi 40,000 215,365
-------------
5,014,220
-------------
JAPAN - 1.42%
Hitachi Koki 61,000 551,652
Matsushita Electric Industrial Co 17,000 275,942
Sony Corp 30,000 1,794,203
-------------
2,621,797
-------------
MALAYSIA - 0.10%
Public Bank Bhd 100,000 191,414
-------------
191,414
-------------
MEXICO - 1.97%
Cifra B * 1,850,000 1,925,633
Herdez Sa De CV Ord 'A' 19,000 3,945
Herdez Sa De CV Ord 'B' 301,000 65,630
Telefonos De Mexico SA ADR 51,200 1,632,000
-------------
3,627,208
-------------
NETHERLANDS - 8.31%
ABN Amro Holding 45,857 2,084,668
AKZO Nobel Nv 18,000 2,077,612
DSM Nv 6,000 492,537
European Vinyls Corp EVC Int'l 22,680 588,157
Fortis AMEV 10,170 679,897
International Nederlande Group 30,500 2,033,333
Koninklijke Bijenkor Beheer 39,050 2,574,192
Koninklijke PTT Nederlanden 63,105 2,287,949
Philips Electronics Nv 69,620 2,511,169
-------------
15,329,514
-------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-56
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
NEW ZEALAND - 2.00%
Brierley Investments Ltd 3,080,000 $ 2,434,532
Fletcher Challenge Ltd 500,000 1,152,986
Fletcher Forestry Shares 70,943 101,029
-----------
3,688,547
-----------
NORWAY - 2.49%
Aker A/S 100,000 1,324,942
Den Norske Bank 460,000 1,204,435
Hafslund Nycomed As 'B' 49,540 1,254,148
Saga Petroleum As 'B' 65,000 809,950
-----------
4,593,475
-----------
PHILIPPINES - 0.22%
Philippine National Bank 37,370 413,164
-----------
413,164
-----------
SINGAPORE - 0.28%
Singapore Press Holdings 28,800 509,086
-----------
509,086
-----------
SPAIN - 6.90%
Banco Popular Espanol 20,000 3,676,102
Banco Santander SA 30,500 1,526,190
Bankinter SA 2,600 252,085
Empresa Nacional De Electric 22,600 1,275,724
Iberdrola SA 301,500 2,749,805
Repsol SA 36,170 1,181,346
Telefonica De Espana SA 150,000 2,070,581
------------
12,731,833
------------
SWEDEN - 6.12%
Allgon Ab-B Free 45,000 623,612
Astra Ab Ord 'A' 10,000 399,173
Astra Ab Ord 'B' 20,000 792,319
Celsius Industrier Ab 43,200 878,478
Electrolux B-F 45,400 1,863,529
Skandia Foersaekrings Ab 59,000 1,595,255
Stadshypotek Ab 86,000 1,722,915
Svenska Handelsbanken 76,000 1,579,815
<CAPTION>
- ---------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Trelleborg Ab 29,000 312,333
Volvo Ab 'B' 74,000 1,515,948
------------
11,283,377
------------
SWITZERLAND - 5.06%
Ascom Holdings AG 1,200 1,221,837
Baer Holding AG 1,300 1,447,574
Baloise-holdings 869 1,807,279
BBC Brown Boveri & CIE 1,020 1,184,402
CIBA Geigy AG 1,800 1,583,189
S.M.H. Ag Bearer 2,900 1,733,969
Schweizerische Bankgesellschaft 320 346,620
------------
9,324,870
------------
THAILAND - 0.46%
Bangkok Bank Public Co Ltd 70,000 850,337
------------
850,337
------------
UNITED KINGDOM - 7.67%
Albert Fisher Group PLC 754,695 562,163
Barclays PLC 61,306 703,068
BICC PLC 230,000 985,114
Cable & Wireless PLC 51,860 370,203
Dawson International 604,000 1,012,303
London Electricity PLC 47,540 423,468
National Grid Grp PLC 40,542 125,516
National Power PLC 196,000 1,367,211
Powergen PLC 170,000 1,404,812
Royal Bank Of Scotland Group PLC 131,493 1,195,776
Smith (W.H.) Group PLC 322,800 2,123,974
Smithkline Beecham PLC 27,000 1,498,500
Thames Water PLC 271,700 2,369,604
------------
14,141,712
------------
Total Common Stocks (Cost $152,348,753) 161,062,756
============
</TABLE>
A-57
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CONVERTIBLE BONDS - 0.72%
ITALY - 0.19%
Softe SA
4.250% due 07/30/98 $ 510,000 $ 353,276
-------------
353,276
-------------
LUXEMBOURG - 0.34%
Arbed SA
2.500% due 07/15/03 1,150,000 632,440
-------------
632,440
-------------
MEXICO - 0.19%
Banco Nacional Mexico
7.000% due 12/15/99 440,000 352,000
-------------
352,000
-------------
Total Convertible Bonds
(Cost $1,499,826) 1,337,716
-------------
Total Investments in Securities
at Market Value (Cost $154,466,090) 163,139,387
-------------
SHORT-TERM INVESTMENT - 11.53%
Chase Bank London
4.875% due 01/02/96 21,265,778 21,265,778
-------------
Total Short-Term Investment
at Amortized Cost 21,265,778
-------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $175,731,868) $ 184,405,165
=============
</TABLE>
A-58
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ---------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 88.04%
CAPITAL GOODS - 4.61%
Allied Signal Inc 7,700 $ 365,750
AMP Inc 6,100 234,087
Armstrong World Industries 600 37,200
Asarco Inc 600 19,200
Ball Corp 100 2,750
Black & Decker Corp 2,600 91,650
Boeing 9,200 721,050
Briggs & Stratton Co 200 8,675
Browning Ferris 6,100 179,950
Caterpillar Inc 5,500 323,125
Cummins Engine Inc 1,200 44,400
Deere & Co 7,200 253,800
Emerson Electric Co 6,100 498,675
Foster Wheeler Corp 300 12,750
General Dynamics Corp 1,420 83,957
General Signal Corp 1,700 55,037
Giddings & Lewis Inc 600 9,900
Grainger (W.W.) Inc 1,200 79,500
Illinois Tool Works 3,300 194,700
Ingersoll Rand Co 3,100 108,887
James River Corp 2,600 62,725
Lockheed Martin Corp 5,467 431,893
Loral Corp 4,600 162,725
Masco Corp 4,400 138,050
McDonnell Douglas 3,100 285,200
National Semicinductor * 3,900 86,775
Navistar International Corp * 660 6,930
Northrop Grumman Corp 900 57,600
Parker Hannifin Corp 2,250 77,062
Texas Instruments Inc 5,200 269,100
Textron Inc 2,400 162,000
Thomas & Betts Corp 100 7,375
Trinova Corp 100 2,862
TRW Inc 1,900 147,250
<CAPTION>
- ---------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Tyco Laboratories 4,000 $ 142,500
United Technologies 3,400 322,575
Varity Corp * 1,380 51,233
Westinghouse Electric 11,100 183,150
WMX Technologies Inc 13,200 394,350
------------
6,316,398
------------
CONSUMER DISCRETIONARY - 18.49%
Alcan Aluminium Limited 6,300 196,087
Alltel Corp 4,600 135,700
American General Corp 5,800 202,275
American Greetings 'A' 2,260 62,432
American Home Products 8,300 805,100
American Stores Co 4,200 112,350
Avery Dennison Corp 1,200 60,150
Avon Products Inc 2,000 150,750
Bally Entertainment Corp * 900 12,600
Bausch & Lomb Inc 1,200 47,550
Bristol Myers Squibb 13,500 1,159,312
Charming Shoppes Inc 1,280 3,680
Circuit City Store 3,000 82,875
Coastal Corp 2,200 81,950
Comcast 'A' 5,735 104,305
ConAgra 6,050 249,562
Cooper Industries Inc 2,800 102,900
Corning Inc 6,500 208,000
Crane Co 100 3,687
Darden Restaurants 4,600 54,625
Dayton Hudson Corp 2,000 150,000
Deluxe Corp 1,200 34,800
Dillard Department Stores 2,600 74,100
Donnelley (R.R.) & Sons 3,600 141,750
DSC Communications * 3,320 122,425
Eastern Enterprises 100 3,525
Eastman Kodak 9,200 616,400
Ecolab Inc 1,170 35,100
EG&G Inc 400 9,700
Federal Express Corp * 1,600 118,200
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-59
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- ------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
CONSUMER DISCRETIONARY - (CONTINUED)
Federated Department Stores 5,700 $ 156,750
Fleetwood Enterprise 400 10,300
Fleming Cos Inc 400 8,250
Fluor Corp Del 2,400 158,400
Fruit of the Loom * 1,800 43,875
Gap Inc 4,000 168,000
General Electric 44,600 3,211,200
General Mills Inc 4,400 254,100
Gillette Co 11,900 620,288
Great Atlantic & Pacific 200 4,600
H & R Block 3,000 121,500
Harcourt General Inc 1,642 68,759
Harland (John H.) Co 100 2,087
Harrah's Entertainment Inc * 3,250 78,812
Hasbro Inc 2,000 62,000
Hilton Hotels Corp 1,200 73,800
Home Depot 12,900 617,588
Interpublic Group 1,800 78,075
International Flavors/Fragrances 2,400 115,200
Jostens Inc 48 1,164
Kmart Corp 13,700 99,325
Kimberly Clark Corp 7,676 635,189
King World Productions * 400 15,550
Knight-Ridder Inc 1,500 93,750
Kroger Co * 3,600 135,000
Limited Inc 10,200 177,225
Liz Claiborne Inc 2,360 65,490
Longs Drug Stores 100 4,787
Marriott International Inc 3,500 133,875
Mattel Inc 6,260 192,495
May Department Stores Co 6,800 287,300
Maytag Corp 1,400 28,350
McDonalds Corp 18,600 839,325
McGraw Hill Inc 1,300 113,263
MCI Communications Corp 18,280 477,565
Melville Corp 3,200 98,400
- ------------------------------------------------------------
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Mercantile Stores 600 $ 27,750
Meredith Corp 400 16,750
Motorola 15,700 894,900
National Service Industries 400 12,950
New York Times Co 2,200 65,175
Newell Co 3,600 93,150
Nike Inc 2,600 181,025
Nordstrom Inc 2,460 99,630
Nynex Corp 11,500 621,000
Ogden Corp 300 6,413
Penny (J.C.) Inc 6,200 295,275
PPG Industries Inc 5,600 256,200
Premark International Inc 1,800 91,125
Price/Costco Inc * 4,422 67,435
Procter & Gamble 18,200 1,510,600
Reebok International Limited 2,500 70,625
Rubbermaid Inc 4,600 117,300
Russell Corp 200 5,550
Ryan's Family Steak House * 90 630
Sears Roebuck 10,600 413,400
Service Corp International 3,000 132,000
Shoney's Inc * 100 1,025
Sigma Aldrich Corp 1,000 49,500
Springs Industries Inc 200 8,275
Stride Rite Corp 400 3,000
Supervalue Inc 1,200 37,800
Sysco Corp 5,200 169,000
Tandy Corp 1,936 80,344
Tele-Communications 'A' * 15,760 313,230
Tellabs Inc 2,600 96,200
Time Warner Inc 10,520 398,445
Times Mirror 'A' 3,388 114,769
TJX Cos Inc 700 13,213
Toys R Us * 7,700 167,475
Tribune Co 1,900 116,137
Unicom Corp 6,000 196,500
Unilever N.V. 4,300 605,225
VF Corp 1,300 68,575
</TABLE>
* Non-income producing securities.
A-60
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
- ------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
CONSUMER DISCRETIONARY - (CONTINUED)
<S> <C> <C>
Viacom International Inc * 9,638 $ 456,600
Viacom International Warrants * 289 831
Walgreen Co 6,200 185,225
Wal-Mart Stores Inc 61,200 1,369,350
Walt Disney Productions 14,000 826,000
Warner Lambert Co 3,700 359,362
Wendy's International Inc 2,900 61,625
Whirlpool Corp 2,200 117,150
Winn Dixie Stores 3,200 118,000
Woolworth Corp 2,700 35,100
-----------
25,340,366
-----------
CONSUMER STAPLES - 7.58%
Albertson's Inc 7,000 230,125
American Brands Inc 5,200 232,050
Anheuser Busch 6,900 461,437
Archer-Daniel Midland 14,712 264,816
Brown Forman Inc 761 27,776
Campbell Soup Co 6,400 384,000
Coca-Cola 33,400 2,479,950
Colgate Palmolive 4,000 281,000
Coors Adolph 90 1,991
CPC International Inc 4,100 281,362
Giant Foods Inc 700 22,050
Heinz (H.J.) Co 10,150 336,219
Hershey Foods Corp 1,700 110,500
Kellog Co 5,900 455,775
PepsiCo 21,000 1,173,375
Philip Morris Co Inc 22,300 2,018,150
Pioneer Hi-Bred Inc 2,500 139,062
Polaroid Corp 700 33,162
Quaker Oats Co 4,000 138,000
Ralston Purina Group 3,000 187,125
Sara Lee Corp 13,200 420,750
Seagrams Limited 10,200 353,175
UST Inc 5,500 183,562
- -----------------------------------------------------------
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Whitman Corp 2,000 $ 46,500
Wrigley (W.M. Jr.) Co 2,500 131,250
-----------
10,393,162
ENERGY - 10.93% -----------
Amerada Hess Corp 2,600 137,800
Amoco Corp 13,100 941,562
Armco Inc * 500 2,937
Ashland Oil Inc 800 28,100
Atlantic Richfield 4,300 476,225
Baker Hughes Inc 4,300 104,812
Carolina Power & Light 3,400 117,300
Central & South West 5,600 156,100
Chevron Corp 17,400 913,500
Columbia Gas System Inc * 1,100 48,262
Consolidated Edison Co 5,900 188,800
Consolidated Natural Gas 2,500 113,437
CSX Corp 5,800 264,625
Cyprus Minerals Co 2,200 57,475
Dresser Industries Inc 5,300 129,187
Duke Power Co 5,100 241,612
dupont (EI) deNemours 14,800 1,034,150
Echo Bay Mines Limited 1,400 14,525
Enron Corp 7,000 266,875
Enserch Corp 500 8,125
Exxon Corp 32,900 2,636,113
FMC Corp * 600 40,575
Halliburton 3,300 167,062
Helmerich & Payne 100 2,975
Homestake Mining Co 4,500 70,312
Inco Limited 3,500 116,375
Kerr McGee Corp 1,100 69,850
Louisiana Land & Exploration 200 8,575
McDermott International Inc 2,200 48,400
Minnesota Mining & Mfg Co 11,300 748,625
Mobil Corp 10,500 1,176,000
Newmont Mining Corp 2,598 117,560
Noram Energy Corp 1,500 13,312
Occidental Petroleum Corp 8,900 190,237
Paccar Inc 533 22,453
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-61
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS(CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -----------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
ENERGY - (CONTINUED)
Panhandle Eastern Corp 4,300 $ 119,862
Pennzoil Co 700 29,575
Peoples Energy Corp 200 6,350
Phillips Petroleum Co 7,300 249,112
Rowan Cos Inc * 100 987
Royal Dutch Petroleum Guild 14,200 2,003,975
Santa Fe Energy Resources * 700 6,737
Schlumberger Limited 6,600 457,050
Sonat Inc 2,600 92,625
Sun Company Inc 1,957 53,573
Tenneco Inc 5,000 248,125
Texaco Inc 7,000 549,500
Unocal Corp 6,900 200,962
USX-Marathon Group 8,200 159,900
Williams Cos 3,000 131,625
------------
14,983,791
------------
FINANCIAL & BUSINESS SERVICES - 12.88%
Aetna Life & Casualty Co 3,200 221,600
Ahmanson (H.F.) & Co 3,500 92,750
Alco Standard Corp 2,400 109,500
Alexander & Alexander 200 3,800
Allstate Corp 12,189 501,273
American Express 13,100 542,012
American International Group Inc 12,600 1,165,500
Banc One Corp 10,955 413,551
Bank of Boston Corp 3,400 157,250
Bank of New York Co Inc 5,500 268,125
BankAmerica Corp 10,192 659,932
Barnett Banks Of Florida 2,100 123,900
Beneficial Corp 900 41,962
Boatmens Bankshare 3,500 143,062
Capital Cities/ABC 4,100 505,837
Chase Manhattan Corp 5,000 303,125
Chemical Banking Corp 6,984 410,310
<CAPTION>
- -----------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Chubb Corp 2,400 $ 232,200
CIGNA Corp 2,000 206,500
Cinergy Corp 3,313 101,461
Citicorp 11,000 739,750
Comerica Inc 3,000 120,375
Corestates Financial 3,840 145,440
Dean Witter Discover & Co 4,727 222,169
Dial Corp 1,400 41,475
Dominion Resources Inc 4,450 183,562
Dow Jones & Co Inc 2,000 79,750
Dun & Bradstreet 4,600 297,850
FHLMC 5,000 417,500
First Bank Systems 3,900 193,537
First Chicago Corp 8,887 351,036
First Data Corp 6,000 401,250
First Fidelity 1,300 97,987
First Interstate Bank 2,200 300,300
First Union Corp 3,200 178,000
Fleet Financial Group Inc 7,065 287,899
FNMA 7,300 906,112
Gannett Inc 3,900 239,362
Golden West Financial Corp 1,200 66,300
Great Western Financial 4,100 104,550
Household International Inc 2,800 165,550
ITT Corp * 3,200 169,600
ITT Hartford Group * 3,200 154,800
ITT Industries Inc * 3,200 76,800
Jefferson Pilot Corp 1,500 69,750
Keycorp 6,900 250,125
Laidlaw Inc 'B' 4,900 50,225
Lincoln National Corp 2,500 134,375
Marsh & McLennan 2,000 177,500
MBNA Corp 4,300 158,562
Mellon Bank Corp 4,100 220,375
Merrill Lynch Co 4,900 249,900
Morgan (J.P.) and Co Inc 5,200 417,300
Morgan Stanley 2,100 169,312
National City Corp 3,200 106,000
NationsBank Corp 7,372 513,275
Northern Telecommunications 7,000 301,000
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-62
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS(CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
FINANCIAL & BUSINESS SERVICES - (CONTINUED)
Norwest Corp 9,700 $ 320,100
PNC Bank Corp 6,900 222,525
Providian Corp 1,800 73,350
Pulte Corp 100 3,363
Republic New York Corp 1,500 93,188
Safeco Corp 3,740 129,030
Salomon Inc 2,800 99,400
St Paul Cos Inc 2,160 120,150
Suntrust Banks Inc 2,900 198,650
Torchmark Corp 1,250 56,563
Transamerica Corp 1,670 121,701
Travelers Inc 8,631 542,674
UNUM Corp 1,400 77,000
U.S. Bancorp 3,240 108,945
USF & G Corp 1,500 25,313
USLIFE Corp 225 6,722
Wachovia Corp 4,200 192,150
Wells Fargo & Co 1,400 302,400
-----------
17,655,527
HEALTH CARE - 7.77% -----------
Abbott Laboratories 21,200 885,100
Allergan Inc 1,200 39,000
Alza Corp * 1,200 29,700
Amgen Inc * 7,200 427,500
Bard (C.R.) Inc 1,000 32,250
Baxter International Inc 7,600 318,250
Becton Dickinson 1,600 120,000
Beverly Enterprises * 800 8,500
Biomet Inc * 3,340 59,703
Boston Scientific Corp * 4,300 210,700
Columbia/HCA Healthcare 11,923 605,092
Community Psychiatric Center 300 3,675
Humana Inc * 4,300 117,713
Johnson & Johnson 17,200 1,472,750
<CAPTION>
- -----------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Lilly (Eli) & Co 14,600 $ 821,250
Mallinckrodt Group Inc 1,500 54,563
Manor Care Inc 1,150 40,250
Medtronic Inc 6,300 352,013
Merck & Co Inc 32,800 2,156,600
Pfizer Inc 16,900 1,064,700
Rite Aid Corp 1,400 47,950
Schering-Plough 9,900 542,025
St. Jude Medical * 2,020 86,860
Tenet Healthcare Corp * 4,100 85,075
United Healthcare Corp 4,800 314,400
Upjohn Inc 13,635 528,356
U.S. Health Care 4,300 199,950
U.S. Surgical Corp 1,500 32,063
------------
10,655,988
MATERIALS & PROCESSING - 4.63% ------------
Aluminum Company of America 4,900 259,088
Applied Materials * 5,000 196,875
Barrick Gold Corp 9,800 258,475
Bemis Inc 500 12,813
Bethlehem Steel Corp 3,300 46,200
Boise Cascade Corp 1,600 55,400
Burlington Northern Industries 3,870 301,860
Burlington Resources Inc 3,700 145,225
Clorox Co 1,000 71,625
Crown Cork & Seal * 2,700 112,725
Dover Corp 2,700 99,563
Dow Chemical 7,300 513,738
Eastman Chemical Co 2,325 145,603
Engelhard Corp 2,812 61,161
Federal Paper Board Inc 1,500 77,813
Freeport McMoRan Copper 'B' 3,600 101,250
Grace (W.R.) & Co 2,700 159,638
Great Lakes Chemical 1,500 108,000
Harnischfeger Industries Inc 1,200 39,900
Hercules Inc 3,100 174,763
Inland Steel Industries Inc 600 15,075
International Paper 7,000 265,125
Johnson Controls Inc 800 55,000
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-63
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS(CONTINUED)
DECEMBER 31,1995
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
MATERIALS & PROCESSING - (CONTINUED)
Loews Corp 3,200 $ 250,800
Louisiana Pacific Corp 2,300 55,775
Lowe's Co 4,700 157,450
Mead Corp 1,100 57,475
Monsanto Co 3,200 392,000
Moore Limited 1,500 27,938
Morton International 3,900 139,913
Nalco Chemical Co 1,000 30,125
Nucor Corp 2,600 148,525
Owens Corning Fiberglass * 1,400 62,825
Pall Corp 2,266 60,899
Phelps Dodge Corp 2,000 124,500
Placer Dome Inc 6,800 164,050
Potlatch Corp 200 8,000
Praxair Inc 4,000 134,500
Raychem Corp 1,000 56,875
Reynolds Metals Co 1,900 107,588
Rohm & Haas Co 1,600 103,000
Safety Kleen Corp 300 4,688
Sherwin Williams Co 1,700 69,275
Stanley Works 900 46,350
Stone Container Corp 3,112 44,735
Temple Inland Inc 1,500 66,188
Timken Co 300 11,475
Union Camp Corp * 2,100 100,013
Union Carbide Corp 3,900 146,250
USX-US Steel Group 2,560 78,720
Westvaco Corp 1,800 49,950
Weyerhaeuser Co 5,600 242,200
Willamette Industries 1,700 95,625
Worthington Industries Inc 1,755 36,526
----------
6,351,148
----------
<CAPTION>
- ------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TECHNOLOGY - 8.10%
Advanced Micro Devices 3,400 $ 56,100
Amdahl Corp * 1,500 12,750
Apple Computer 3,550 113,156
Autodesk Inc 1,660 56,855
Automatic Data Processing 3,900 289,575
Cabletron Systems * 2,000 162,000
Ceridian Corp * 1,200 49,500
Cincinnati Milacron 200 5,250
Cisco Systems Inc * 7,300 544,763
Compaq Computer Corp * 7,200 345,600
Computer Association International 6,600 375,375
Computer Sciences * 1,600 112,400
Cray Research * 200 4,950
CUC International Inc * 5,050 172,331
Data General Corp * 100 1,375
Digital Equipment Corp * 4,200 269,325
Eaton Corp 2,300 123,338
Harris Computer Systems * 15 203
Harris Corp 800 43,700
Hewlett Packard Co 13,600 1,139,000
Honeywell Inc 3,200 155,600
IBM Corp 15,100 1,385,425
Intel Corp 21,940 1,245,095
Intergraph Corp * 370 5,828
LSI Logic * 3,700 121,175
Micron Technology 5,600 221,900
Microsoft Corp * 15,700 1,377,675
Millipore Corp 752 30,926
Novell Inc * 10,400 148,200
Oracle Systems Corp * 11,660 494,093
Perkin Elmer Corp 1,300 49,075
Pitney Bowes Inc 4,300 202,100
Raytheon Co 6,300 297,675
Rockwell InternationaL Corp 6,000 317,250
Scientific Atlanta 2,000 30,000
Shared Medical System Corp 800 43,350
Silicon Graphics * 4,600 126,500
Sun Microsystems * 5,200 237,250
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-64
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TECHNOLOGY - (CONTINUED)
Tandem Computers Inc * 2,500 $ 26,563
Tektronix 600 29,475
Teledyne Inc 400 10,250
Unisys Corp * 1,700 9,563
Western Atlas Inc * 1,400 70,700
Xerox Corp 2,900 397,300
3 Com Corp 4,000 186,747
-----------
11,097,261
-----------
TRANSPORTATION - 4.29%
Air Products & Chemicals 3,100 163,525
AMR Corp Del * 2,200 163,350
Brunswick Corp 2,400 57,600
Champion International Corp 2,800 117,600
Chrysler Corp 10,322 571,581
Conrail Inc 2,400 168,000
Consolidated Freightways Inc 100 2,650
Cooper Tire & Rubber Corp 1,200 29,550
Dana Corp 2,000 58,500
Delta Air Lines 1,500 110,813
Echlin Inc 1,300 47,450
Ford Motor Co 28,700 832,300
General Motors Corp 20,000 1,057,500
General Re Corp 2,200 341,000
Genuine Parts Co 3,150 129,150
Georgia-Pacific Corp 2,600 178,425
Goodrich (B.F.) Co 400 27,250
Goodyear Tire & Rubber 4,300 195,113
Pep Boys 1,300 33,313
Norfolk Southern 3,200 254,000
Pittston Services Group 300 9,413
Roadway Services Inc 1,280 62,560
Ryder Systems Inc 1,400 34,650
Santa Fe Pacific Gold Corp 1,621 19,655
Snap On Inc 600 27,150
</TABLE>
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Southwest Airlines 4,300 $ 99,975
Union Pacific Corp 5,600 369,600
U.S. Air Group Inc 700 9,275
U.S. West Communications 12,800 457,600
U.S. West Media Group 13,200 250,800
Yellow Corp 90 1,114
-----------
5,880,462
-----------
UTILITIES - 8.76%
Airtouch Communications Inc * 12,800 361,600
American Electric Power Inc 5,200 210,600
Ameritech Corp 14,400 849,600
Andrew Corp * 1,300 50,213
AT&T Corp 42,000 2,719,500
Baltimore Gas & Electric 3,150 89,775
Bell Atlantic Corp 11,700 782,438
Bell South Corp 25,900 1,126,650
Centex Corp 200 6,950
Detroit Edison Co 3,200 110,400
Entergy Corp 64,00 187,200
FPL Group Inc 5,100 236,513
General Public Utilities 2,500 85,000
GTE Corp 25,800 1,135,200
Houston Industry Inc 7,400 179,450
Niagara Mohawk Power 4,200 40,425
NICOR Inc 400 11,000
Northern States Power Co 1,500 73,688
Ohio Edison Co 3,500 82,250
Oryx Energy Co * 1,200 16,050
Pacific Enterprises 2,500 70,625
Pacific Gas & Electric 11,600 329,150
Pacificorp 6,300 133,875
Pacific Telesis 11,700 393,412
Peco Energy Co 6,300 189,788
Public Service Enterprises 6,900 211,313
SBC Communications 16,200 931,500
SCE Corp 12,500 221,875
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-65
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
UTILITIES - (CONTINUED)
Southern Co 18,100 $ 445,713
Sprint Corp 9,400 374,825
Texas Utilities Co 6,300 259,088
Union Electric Co 2,200 91,851
-------------
12,007,517
-------------
Total Common Stocks
(Cost $99,395,209) 120,681,620
-------------
PREFERRED STOCK - 0.00%
Teledyne 4 58
-------------
Total Preferred Stock 58
-------------
Total Investments in Securities
at Market Value (Cost $99,395,209) 120,681,678
-------------
PRINCIPAL
AMOUNT VALUE
------ -----
U.S. TREASURY BILLS - 0.40%
3.500% due 02/29/96 ** $ 25,000 24,857
4.100% due 02/29/96 ** 10,000 9,933
4.380% due 02/29/96 ** 45,000 44,677
4.930% due 02/29/96 ** 460,000 456,283
4.970% due 02/29/96 ** 15,000 14,878
-------------
Total U.S. Treasury Bills 550,628
-------------
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
TIME DEPOSITS - 11.56%
State Street Bank and Trust
4.250% due 01/02/96 $ 15,845,000 $ 15,845,057
-------------
Total Time Deposits 15,845,057
-------------
Total Short-Term Investments
at Amortized Cost 16,395,685
-------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $115,790,836) $ 137,077,363
=============
</TABLE>
** SECURITIES HAVE BEEN SEGRAGATED WITH THE CUSTODIAN TO COVER MARGIN
REQUIREMENTS FOR OPEN FUTURE CONTRACTS AS OF DECEMBER 31, 1995.
A-66
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCK - 73.11%
CAPITAL GOODS - 0.03%
James River Corp 2,675 $ 64,534
--------------
64,534
--------------
CONSUMER DISCRETIONARY - 9.37%
American Standard Co * 31,875 892,500
Baby Superstore Inc * 16,350 931,950
Central Euro Media Enter 'A' 10,650 218,325
Cognex Corp * 9,450 328,387
Coleman Co Inc * 14,625 513,703
Edmark Corp * 15,400 485,100
La Quinta Motor Inns 10,100 276,487
Millicom International Cellular 'A' * 18,625 568,063
Paging Network Inc * 152,800 3,724,500
Picturetel Corp * 39,800 1,716,375
Premisys Communications Inc * 19,200 1,075,200
Singer Company N.V. 69,550 1,938,706
Toy Biz Inc * 8,400 182,700
Ucar International Inc * 54,200 1,829,250
Warner Lambert Co 40,400 3,923,850
--------------
18,605,096
--------------
ENERGY - 1.05%
Barrett Resources Corp * 40,750 1,197,031
BDM International * 19,175 556,075
Symmetricom * 23,575 324,156
--------------
2,077,262
--------------
FINANCIAL & BUSINESS SERVICES - 17.99%
Alco Standard Corp * 42,100 1,920,812
Arch Communications Group * 3,200 76,800
Bank of New York Co Inc * 39,050 1,903,687
- --------------------------------------------------------------------------
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Chase Manhattan Corp 80,825 $ 4,900,016
Citicorp 21,600 1,452,600
FNMA 33,250 4,127,156
First Data Corp 61,600 4,119,500
First Interstate Bank 40,825 5,572,612
General Motors Corp 14,025 729,300
Glendale Federal Bank * 36,550 639,625
HFS Inc * 70,400 5,755,200
North American Mortgage 8,300 176,375
Olsten Corp 6,725 265,637
Redwood Trust Inc * 44,300 808,475
UNUM Corp 59,450 3,269,750
--------------
35,717,545
--------------
HEALTH CARE - 12.22%
Amgen Inc 128,400 7,623,750
ARV Assisted Living Inc * 22,950 269,663
Biochem Pharmaceutical Inc * 29,475 1,182,684
Corvita Corp * 104,075 1,079,778
Daig Corp * 21,000 483,000
Enterprise Systems Inc * 45,250 1,380,125
Healthsource Inc * 42,550 1,531,800
Horizon Mental Health Mgmt * 22,900 380,713
Lilly (Eli) & Co 49,100 2,761,875
Oxford Health Plans * 8,950 661,181
Pacificare Health Systems 'B' * 51,325 4,465,274
Pfizer Inc 38,975 2,455,425
--------------
24,275,268
--------------
MATERIALS & PROCESSING - 2.99%
Crown Cork & Seal * 113,500 4,738,625
Freeport McMoRan * 22,108 817,996
Plasma & Materials Techology Inc * 34,000 382,500
--------------
5,939,121
--------------
TECHNOLOGY - 29.02%
Altera Corp * 33,525 1,667,869
</TABLE>
* Non-income Producing Securities.
A-67
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
TECHNOLOGY - (CONTINUED)
Analog Devices * 173,450 $ 6,135,794
Anixter International Inc * 7,350 136,894
Ascend Communications Inc * 40,100 3,253,113
Boca Research Inc * 37,150 984,475
Ciber Inc * 13,775 321,991
Cisco Systems Inc * 87,875 6,557,672
Computer Association Int'l Inc 42,900 2,439,938
Comverse Technology * 38,600 772,000
CUC International Inc * 35,112 1,198,197
Dendrite International Inc * 7,500 135,000
Desktop Data Inc * 10,325 252,963
Digital Equipment Corp * 93,700 6,008,513
Discreet Logic Inc * 24,500 612,500
Elsag Bailey Process Auto * 2,925 78,609
Fulcrum Technologies * 17,900 581,750
Informix Corp * 16,450 493,500
Intuit Inc * 18,850 1,470,300
ITI Technologies Inc * 7,300 217,175
Itron Inc * 37,075 1,251,281
Keane Inc * 22,875 506,109
Macromedia Inc * 47,175 2,464,894
McAfee Associates Inc * 8,100 355,388
Nokia Corp 51,293 1,994,015
Novadigm 9,500 269,563
Novellus Systems Inc * 8,600 464,400
Peoplesoft Inc * 60,500 2,601,500
Pittway Corp 29,825 2,020,644
Programmer's Paradise Inc * 25,000 168,750
Seagate Technology * 27,925 1,326,438
Seer Technologies Inc * 9,100 113,750
Stratacom Inc 10,775 791,963
Sun Microsystems * 55,000 2,509,375
Systemsoft Corp * 38,000 427,500
Technology Solutions * 144,050 2,808,975
Telcom Semiconductor Inc * 8,300 60,175
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
US Robotics Corp 26,525 $ 2,327,569
Xerox Corp 13,625 1,866,625
------------
57,647,167
------------
TRANSPORTATION - 0.25%
Exide Corp 10,650 488,569
------------
488,569
------------
UTILITIES - 0.19%
Commnet Cellular Inc * 9,175 264,928
United Waste Systems Inc * 3,250 121,063
------------
385,991
------------
Total Common Stocks
(Cost $127,045,841) 145,200,553
------------
FOREIGN COMMOM STOCKS - 9.33%
BRAZIL - 0.78%
Telebras ADR 32,750 1,551,531
------------
1,551,531
------------
FINLAND - 2.53%
Cultor Oy 1 7,068 291,962
Cultor Oy 2-FR 4,614 190,593
Huhtamaki I 24,979 601,897
Metra Oy 'A' 1,490 61,206
Metra Oy 'B' 35,580 1,461,560
Nokia Ab-A Shs 61,459 2,411,789
------------
5,019,007
------------
GERMANY - 3.25%
Sap Ag-vorzug 42,492 6,442,574
------------
6,442,574
------------
</TABLE>
* NON-INCOME PRODUCTING SECURITIES
A-68
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
ITALY - 0.63%
Arnoldo Mondadori Editor 69,597 $ 603,057
Industrie Natuzzi Spa ADR 14,425 654,534
-----------
1,257,591
-----------
JAPAN - 0.57%
NTT Data Comm Systems 340 1,139,903
-----------
1,139,903
-----------
MEXICO - 0.01%
Grupo Financiero Inbursa 8,584 25,067
-----------
25,067
-----------
NORWAY - 0.10%
Elkjoep 8,348 206,728
-----------
206,728
-----------
SWEDEN - 1.46%
Kinnevik Ab 'B' Free 70,719 2,210,385
Nordictel Holdings Ab * 28,415 291,052
Securitas Ab 'B' Free 8,330 395,248
-----------
2,896,685
-----------
Total Foreign Stocks (Cost $15,826,036) 18,539,086
-----------
Total Investments in Securities
at Market Value (Cost $142,871,877) 163,739,639
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 17.52%
CHEVRON
5.730% due 01/12/96 $ 8,000,000 7,985,993
<CAPTION>
- ---------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
FHLMC
5.470 % due 01/25/96 $ 5,000,000 $ 4,981,767
5.480% due 03/07/96 5,000,000 4,949,766
FNMA
5.670% due 01/04/96 3,000,000 2,998,582
5.470% due 01/17/96 3,000,000 2,992,707
Ford Motor Credit
5.750% due 01/02/96 5,900,000 5,899,058
General Electric Capital Corp
5.950% due 01/04/96 5,000,000 4,997,521
------------
Total Commercial Paper 34,805,394
------------
TIME DEPOSITS - 0.04%
State Street Bank and Trust
4.250% due 01/02/96 77,000 77,000
------------
Total Time Deposits 77,000
------------
Total Short-Term Investments
at Amortized Cost 34,882,394
------------
TOTAL GROWTH LT PORTFOLIO
(COST $177,754,272) $ 198,622,033
=============
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-69
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 92.00%
CAPITAL GOODS - 3.04%
Case Corp 50,000 $ 2,287,500
Office Depot Inc * 50,000 987,500
------------
3,275,000
------------
CONSUMER DISCRETIONARY - 22.43%
Callaway Golf Co 200,000 4,525,000
Estee Lauder Co 'A' * 80,000 2,790,000
General Nutrition * 60,000 1,395,000
Gucci Group * 100,000 3,887,500
Intimate Brands 50,000 750,000
Motorola 60,000 3,420,000
Paging Network Inc * 100,000 2,406,250
Walt Disney Productions 85,000 5,015,000
------------
24,188,750
------------
CONSUMER STAPLES - 13.27%
Coca-Cola 80,000 5,940,000
PepsiCo 60,000 3,352,500
Starbucks Corp * 240,000 5,025,000
------------
14,317,500
------------
FINANCIAL & BUSINESS SERVICES - 11.25%
American Express 75,000 3,103,125
Capital One Finance 75,000 1,790,625
Chemical Banking Corp 30,000 1,762,500
Donaldson, Lufkin, & Jenrette Inc 30,000 937,500
First USA Inc 50,000 2,218,750
Green Tree Financial Corp 25,000 659,375
MBNA Corp 25,000 921,875
Medaphis Corp * 20,000 742,500
------------
12,136,250
------------
<CAPTION>
- --------------------------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
HEALTH CARE - 1.49%
Oxford Health Plans * 10,000 $ 737,500
PacifiCare Health Systems 'B' * 10,000 872,500
------------
1,610,000
------------
TECHNOLOGY - 37.48%
Adaptec Inc * 25,000 1,025,000
Adobe Systems Inc 30,000 1,863,750
Ascend Communications Inc * 10,000 811,875
Cabletron Systems * 50,000 4,050,000
Cascade Communications Corp * 10,000 851,250
Cisco Systems Inc * 60,000 4,481,250
Dell Computer Corp * 45,000 1,558,125
Fore Systems * 20,000 1,191,250
Hewlett Packard Co 50,000 4,187,500
Intel Corp 25,000 1,420,313
Intuit Inc * 30,000 2,343,750
Microsoft Corp * 45,000 3,951,562
Oracle Systems Corp * 100,000 4,237,500
Silicon Graphics * 50,000 1,375,000
U.S. Robotics Corp * 30,000 2,636,250
3 Com Corp * 95,000 4,435,313
------------
40,419,688
------------
UTILITIES - 3.04%
AT&T Corp 25,000 1,618,750
Ericsson 'B' ADR 85,000 1,657,500
------------
3,276,250
------------
Total Common Stocks
(Cost $87,498,886) 99,223,438
------------
</TABLE>
* NON-INCOME PRODUCING SECURITIES.
A-70
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 8.00%
With Citibank, dated 12/29/95
repurchased price of $8,635,562;
collateralized by U.S. Treasury
Notes (market value $8,656,875;
due 09/30/96) $ 8,630,000 $ 8,630,000
-------------
Total Securities Held Under Repurchase
Agreements 8,630,000
-------------
TOTAL EQUITY PORTFOLIO
(COST $96,128,886 ) $ 107,853,438
=============
</TABLE>
A-71
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 91.04%
CAPITAL GOODS - 11.40%
Boeing
6.875% due 10/15/93 $ 2,000,000 $ 2,072,500
Loral
7.000% due 09/15/23
McDonnell Douglas 2,090,000 2,052,652
9.750% due 04/01/12 1,750,000 2,250,937
------------
6,376,089
------------
CONSUMER DISCRETIONARY - 17.29%
CBS Inc
7.125% due 11/01/23 2,000,000 1,975,000
Dayton Hudson Co
9.700% due 06/15/21 500,000 647,500
Fruit of the Loom
7.375% due 11/15/23 2,000,000 1,915,060
News America Holdings
7.750% due 01/20/24 2,000,000 2,067,500
Time Warner Inc
9.150% due 02/01/23 1,000,000 1,146,250
Walt Disney Productions
7.550% due 07/15/93 1,750,000 1,916,250
------------
9,667,560
------------
CONSUMER STAPLES - 18.55%
Anheuser Busch
7.000% due 12/01/25 2,000,000 2,067,500
Coca Cola Enterprise
6.750% due 09/15/23 1,500,000 1,528,125
Hershey Foods Co
8.800% DUE 02/15/21 2,000,000 2,547,500
Ralston Purina
7.875% due 06/15/21 1,500,000 1,644,375
8.625% due 02/15/22 500,000 590,625
Seagram Co Limited
6.875% due 09/01/23 2,000,000 1,992,500
------------
10,370,625
------------
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
ENERGY - 5.27%
Burlington Resources
8.200% due 03/15/25 $ 1,500,000 $ 1,763,055
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,179,580
------------
2,942,635
------------
FINANCIAL & BUSINESS SERVICES - 9.60%
GMAC
7.400% due 09/01/25 2,000,000 2,140,000
International Bank
0.000% due 03/01/28 * 10,000,000 1,275,000
0.000% due 07/15/29 * 17,140,000 1,949,675
------------
5,364,675
------------
MATERIALS & PROCESSING - 9.48%
ASARCO Inc
8.500% due 05/01/25 1,000,000 1,145,000
Dow Chemical
7.375% due 03/01/23 1,500,000 1,569,375
Georgia-Pacific
7.375% due 12/01/25 1,500,000 1,515,000
Weyerhaeuser Co
7.125% due 07/15/23 1,000,000 1,068,750
------------
5,298,125
------------
TECHNOLOGY - 3.70%
IBM Corp
7.000% due 10/30/45 2,000,000 2,070,000
------------
2,070,000
------------
TRANSPORTATION - 15.75%
AMR Corp
9.000% due 09/15/16 4,500,000 5,090,625
Ford Motor Co
7.750% due 06/15/43 1,500,000 1,670,895
Johnson Controls
6.050% due 12/01/45 2,000,000 2,042,500
------------
8,804,020
------------
Total Corporate Bonds & Notes
(Cost $44,963,679) 50,893,729
------------
</TABLE>
*NON-INCOME PRODUCING SECURITIES
A-72
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1995
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY BONDS - 2.86%
7.125% due 02/15/23 $ 1,400,000 $ 1,600,816
------------
Total U.S. Treasury Bonds 1,600,816
------------
(Cost $1,567,606)
FOREIGN GOVERNMENT - 4.11%
Province of Newfoundland
7.320% due 10/13/23 1,000,000 1,031,580
Province of Saskatchewan
9.125% due 02/15/21 1,000,000 1,267,170
------------
Total Foreign Government
(Cost $2,055,753) 2,298,750
------------
Total Investments in Securities
at Market Value (Cost $48,587,038) 54,793,295
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 1.99%
With Citibank, dated 12/29/95
repurchased price of $1,114,718;
collateralized by U.S. Treasury
Notes (market value $1,123,875;
due 09/30/96) 1,114,000 1,114,000
------------
Total Securities Held Under Repurchase
Agreements 1,114,000
------------
TOTAL BOND AND INCOME PORTFOLIO
(COST $49,701,038) $ 55,907,295
============
</TABLE>
A-73
