<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, 1996. The Fund is the underlying investment
vehicle for variable life insurance policies and variable annuity contracts
offered by Pacific Mutual Life Insurance Company ("Pacific Mutual") and variable
annuity contracts administered by Pacific Corinthian Life Insurance Company.
Pacific Mutual, as Adviser to the Fund engaged other firms to serve as
Portfolio Managers under Pacific Mutual's supervision for twelve 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. Columbus Circle Investors ("CCI") serves as Portfolio
Manager for the Aggressive Equity Portfolio. Janus Capital Corporation
("Janus") serves as Portfolio Manager for the Growth LT Portfolio. J.P. Morgan
Investment Management Inc. ("JPMIM") serves as Portfolio Manager for the Equity
Income Portfolio and the Multi-Strategy Portfolio. Greenwich Street Advisors, a
division of Smith Barney Mutual Funds Management Inc. ("Greenwich") serves as
Portfolio Manager for the Equity Portfolio and the Bond and Income Portfolio.
Bankers Trust Company ("Bankers Trust") serves as Portfolio Manager for the
Equity Index Portfolio. Templeton Investment Counsel, Inc. ("Templeton") serves
as Portfolio Manager for the International Portfolio. Blairlogie Capital
Management ("Blairlogie") serves as Portfolio Manager for the Emerging Markets
Portfolio.
We look forward to continued growth in assets in 1997 and beyond.
Sincerely,
/s/ Thomas C. Sutton
Thomas C. Sutton
Chairman and President
Pacific Select Fund
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
MONEY MARKET PORTFOLIO
- ----------------------
The total return for the Money Market Portfolio for the year ended December 31,
1996 was 5.07%**. The yield, measured during the 7-day period ending December
31, 1996, was 5.3%.
In 1996 the core rate of inflation advanced a mild 2.6% while the targeted
federal funds rate remained at 5.25%, unchanged following the Federal Open
Market Committee's January 31 meeting. This environment was conducive to
keeping short-term interest rates in a narrow trading range, with 3-month
Treasury bills ending the year at 5.19% versus 5.07% one year ago. During this
period, top-tier commercial paper ranged between 5.20% and 5.50%.
The Portfolio's extension of the average maturity through the use of asset-
backed money market tranches and holdings of short-term corporate debt were
positive contributors to performance and helped stabilize cash flow
reinvestment. By year-end, however, the average maturity of the Portfolio was
shortened to 47 days.
Moving into 1997, Pacific Mutual believes that the Portfolio's shortened average
maturity will benefit performance in the event the Federal Reserve moves
interest rates higher as protection against inflationary trends. The use of
Agency reset notes should also provide the Portfolio some protection against a
possible rise in short-term rates.
HIGH YIELD BOND PORTFOLIO
- -------------------------
The total return for the High Yield Bond Portfolio for the year ended December
31, 1996 was 11.31%.** versus 12.42%* for the First Boston High Yield Bond Index
and 2.91%* for the Lehman Brothers Government/Corporate Bond Index.
High-yield corporate bonds were outstanding performers in 1996 relative to
government and mortgage-backed securities. In the corporate sector, lower-
quality bonds outperformed their investment-grade counterparts. Within the high-
yield sector, intermediate maturity issues had better performance than long-term
issues while securities rated B or lower generally outperformed securities rated
BB. The Portfolio underperformed its high-yield benchmark over the twelve-month
period primarily because the Portfolio's emphasis remained on the higher-quality
tier of this market.
Looking ahead in 1997, Pacific Mutual believes that the favorable environment
for high-yield bonds should continue, with slow, steady growth and inflation in
check. Even though yield spreads remain narrow by historical measures, the
high-yield market offers a number of attractive investment opportunities.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------------------------------------------------------
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
High Yield Bond Portfolio $10,000 10,600 11,039 11,081 13,805 16,389 19,341 19,421 23,088 25,695
First Boston High Yield Index $10,000 10,989 11,033 10,330 14,850 17,325 20,601 20,402 23,953 26,927
Lehman Brothers Government Corporate
Bond Index $10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521 21,118
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------
High Yield Bond Portfolio
Total Returns as of 12/31/96**
First
Boston Lehman
Portfolio Index Index
--------- ----- -----
<S> <C> <C> <C>
1 Year 11.31% 12.42% 2.91%
3 Years# 9.93% 9.33% 5.79%
5 Years# 13.22% 12.63% 7.18%
</TABLE>
# Annualized
- -------------------------------------------------------------
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
predictive of future performance.
MANAGED BOND/GOVERNMENT SECURITIES PORTFOLIOS
- ---------------------------------------------
The total returns for the year ended December 31, 1996 for the Managed Bond
Portfolio and the Government Securities Portfolio were 4.25%** and 2.94%**,
respectively. The total returns for the Lehman Brothers Government/Corporate
Bond
- -------------------------------
* All indices are unmanaged. Sources for indices : AIM /TM/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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>
Index and the Lehman Brothers Government Bond Index for the corresponding period
were 2.91%* and 2.77%*, respectively.
After rising in the first six months of 1996, interest rates began to drop in
the second half as fears of an overheating economy began to fade. PIMCO's use
of multiple strategies, ranging from sector rotation to in-depth analysis of
individual securities, contributed to the outperformance of both Portfolios
compared with their respective benchmarks. Although above-market durations
detracted from returns during the first six months and had little effect in the
third quarter, the higher-than-index durations were beneficial to both
Portfolios during the final quarter when yields fell 0.25% on average.
PIMCO reported that the Managed Bond Portfolio's strong relative performance was
the result of opportunities found in higher-yielding corporate bonds, mortgage
pass-throughs, and selected currency-hedged, foreign government securities.
Mortgage pass-throughs provided yield premiums and price gains relative to
Treasury issues while investment in Canadian government notes performed well
amid that country's lower inflation and subdued economic growth.
Performance of the Government Securities Portfolio was bolstered by holdings in
pass-through mortgage securities, which added income above Treasuries. Holdings
of short-term adjustable rate mortgages performed well as did a small position
in Canadian government notes.
Looking ahead in 1997, PIMCO currently intends to maintain an average portfolio
maturity above that of the market indexes to reflect a moderately bullish stance
on interest rates. PIMCO expects that rates will trend downward in the first
half of 1997 as both consumer spending and business investment begin to slow
down.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------------------------------------------------------
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Managed Bond Portfolio $10,000 10,399 11,929 12,946 15,151 16,466 18,382 17,581 20,929 21,820
Lehman Brothers Government Corporate
Bond Index $10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521 21,118
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------
Managed Bond Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 Year 4.25% 2.91%
3 Years# 5.87% 5.79%
5 Years# 7.56% 7.18%
</TABLE>
# Annualized
- -------------------------------------------------------
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
predictive of future performance.
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------------------------------------------------------
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Government Securities Portfolio $10,000 10,355 11,864 12,814 14,949 16,073 17,808 16,902 20,081 20,673
Lehman Brothers Government Bond
Index $10,000 10,364 11,839 12,872 14,843 15,917 17,613 17,018 20,140 20,699
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------
Government Securities Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 Year 2.94% 2.77%
3 Years# 5.09% 5.53%
5 Years# 6.69% 6.87%
# Annualized
- ----------------------------------------------------
</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
predictive of future performance.
* All indices are unmanaged. Sources for indices : AIM /TM/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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, 1996 was
23.62%** versus 16.49%* for the Russell 2000 Index, 19.03%* for the Russell 2500
Index, and 22.96%* for Standard & Poor's 500 Stock Index ("S&P 500 Index"). The
Russell 2000 Index has been added to replace the Russell 2500 as a benchmark
comparison because the median size of the stocks held in the Portfolio is
relatively representative of the median size of the stocks that comprise the
Russell 2000.
The U.S. stock market continued to rise in 1996, with robust performance that
came on the heels of 1995's exceptionally strong gain of 37.6%. Moderate
economic growth and low inflation carried U.S. equities, particularly large
capitalization stocks, to record highs over the past 12 months. Small
capitalization stocks, however, lagged their large cap counterparts during this
period.
Capital Guardian reported that areas of strength in the Portfolio during the
second half of 1996 were consumer staples, financial services, health care,
oils, and technology. Utilities and consumer discretionary stocks performed
less well. At year-end, the Portfolio held relatively heavy weightings in
shares of semiconductor production equipment, media, and satellite-based
communications stocks and relatively less exposure to technology, oil,
utilities, financial issues, pharmaceuticals, and retail stocks.
Looking ahead to 1997, Capital Guardian continues to have a positive outlook for
small cap stocks and believes this asset class looks attractive relative to
large cap stocks. While the market's strong advance has led to overvaluation of
some issues, Capital Guardian expects to remain fully invested and continue to
find selected stocks at attractive prices.
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------------------------------------------------------
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Portfolio $10,000 11,507 15,529 12,844 17,872 21,541 26,259 23,505 29,559 36,539
Russell 2500 Index $10,000 11,756 14,041 11,951 17,531 20,369 23,736 23,484 30,927 36,818
Russell 2000 Index $10,000 13,613 15,824 12,738 18,604 22,031 26,192 25,714 33,028 38,474
S&P 500 Index $10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733 37,788
- -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------
Growth Portfolio
Total Returns as of 12/31/96**
Russell
S&P 2500 2000
Portfolio Index Index Index
--------- ----- ----- -----
<S> <C> <C> <C> <C>
1 Year 23.62% 22.96% 19.03% 16.49%
3 Years# 11.63% 19.68% 15.76% 13.68%
5 Years# 15.36% 15.22% 16.00% 15.64%
# Annualized
- ----------------------------------------------------------------
</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
predictive of future performance.
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
From its inception on April 1, 1996 through December 31, 1996, the Aggressive
Equity Portfolio returned 7.86%** versus 12.45%* for the Russell 2500 Index and
16.76%* for the S&P 500 Index for the same nine-month period.
Domestic stocks experienced a sell-off in July that had the greatest impact on
smaller capitalization issues. During the next two months the Portfolio made up
some of the lost ground, but the environment of the fourth quarter, when the
large cap stocks emerged as a safe haven and dominated the market, proved
difficult for share prices of small and mid-sized stocks.
CCI reported that energy stocks led the small and mid-cap markets in the second
half, boosted by surprisingly strong oil and natural gas prices. The Portfolio's
above-market allocation to this sector benefitted performance. Selected
drilling and equipment holdings were particularly strong. CCI believes the
outlook for the energy sector remains favorable. Valuations are less-inflated
than in some other sectors, and many of the companies in the energy component
have solid fundamentals. Two other attractive areas are consumer-related stocks
and technology issues. Technology stocks appeal to CCI because they continue to
offer the largest number of dynamic companies with the potential for positive
earnings surprises.
- ---------------------------------
* All indices are unmanaged. Sources for indices : AIM /TM/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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>
Looking to 1997, the current period of relative underperformance in the small
cap arena is entering its third year. CCI believes the conditions that have
generated this performance remain in place. The domestic economy has enjoyed a
long expansion, and inflation has remained low. The economic and political
landscapes are extremely attractive, but according to CCI, investors have
concluded the stock market has already priced in these parameters and the market
will likely decline should a misstep occur. In such an environment stock
investors have typically shown a clear preference for large, well-known
companies. As a result, CCI expects that 1997 will be another difficult year for
the types of emerging small cap growth securities that fit the Portfolio's
investment discipline.
<TABLE>
<CAPTION>
- ------------------------------------------------------
Performance Comparison
as of 12/31/96
-------------------------
3/96 4/96 12/96
-------------------------
<S> <C> <C> <C>
Aggressive Equity Portfolio $10,000 10,327 11,139
Russell 2500 Index $10,000 10,462 11,764
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------
Aggressive Equity Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 Year 7.86% 12.45%
3 Years# N/A 15.76%
5 Years# N/A 16.00%
# Annualized
- ------------------------------------------
</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
predictive of future performance.
GROWTH LT PORTFOLIO
- -------------------
The Growth LT Portfolio's total return for the year ending December 31, 1996 was
17.87%** versus 19.03%* for the Russell 2500 Index and 22.96%* for the S&P 500
Index.
At year-end 1996, the Portfolio's asset allocation was approximately 76% in
domestic stocks, 11% in foreign equities, and 13% in cash and equivalents.
Janus reported that during 1996 the Portfolio benefitted from individual stock
selection in a number of industries and sectors, including pharmaceuticals,
technology, and financial services. However, performance slowed in the third
and fourth quarters after the market sell-off in July. Much of the market rally
near year-end came from larger, well-established stocks. Small cap issues,
which had been severely battered in the summer sell-off, continued to languish.
In addition, the Portfolio held an 11% exposure to foreign stocks, which
underperformed their U.S. counterparts for most of the last six months of the
year.
Looking ahead in 1997, Janus remains confident about the Portfolio's current
holdings and will continue to seek both large and small companies that have
growth potential and are selling at attractive valuations.
<TABLE>
<CAPTION>
- ------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------
1/94 12/94 12/95 12/96
---------------------------------
<S> <C> <C> <C> <C>
Growth LT Portfolio $10,000 11,326 15,489 18,254
S&P 500 Index $10,000 10,127 13,944 17,145
Russell 2500 Index $10,000 9,894 13,030 15,512
- ------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------
Growth LT Portfolio
Total Returns as of 12/31/96**
S&P Russell
Portfolio Index Index
--------- ----- -----
<S> <C> <C> <C>
1 Year 17.87% 22.96% 19.03%
3 Years# N/A 19.68% 15.76%
5 Years# N/A 15.22% 16.00%
# Annualized
- --------------------------------------------
</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
predictive of future performance.
- -------------------------------
* All indices are unmanaged. Sources for indices : AIM /TM/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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-5
<PAGE>
EQUITY INCOME/MULTI-STRATEGY PORTFOLIOS
- ---------------------------------------
The total return for the Equity Income Portfolio for the year ending December
31, 1996 was 19.43%** versus the S&P 500 Index's return of 22.96%*. The Multi-
Strategy Portfolio's return for the year ending December 31, 1996 was 12.56%**
versus 22.96%* for the S&P 500 Index, 3.61%* for the Lehman Brothers Aggregate
Bond Index, and 2.91%* for the Lehman Brothers Government/Corporate Bond Index.
The Lehman Brothers Aggregate Bond Index has been added to replace the latter
Index as a benchmark comparison because this Index, like the Portfolio, contains
the performance of mortgage-backed securities.
The stock market continued its record-setting pace in the second half of 1996.
Positive market influences included weaker economic data that alleviated
concerns about inflationary pressures and corporate profits that exceeded
expectations. In this environment, the larger capitalization and defensive
growth stocks that have led the market for the past two years continued their
outperformance. JPMIM reported that searching for turnaround candidates was
rewarded in relatively few sectors, with traditional value factors such as
price-to-book ratios having been less effective.
The Equity Income Portfolio, which seeks attractively valued stocks,
underperformed the market as a whole in 1996 but significantly outperformed the
S&P 500 Index in the fourth quarter when market leadership switched to value
stocks. JPMIM reported that over the year the Portfolio's holdings in the
services and energy sectors added value while technology and health care sectors
detracted from performance.
The Multi-Strategy Portfolio was underweighted in stocks during 1996 and
concluded the year with an allocation of 50% equities, 42% fixed income, and 8%
cash versus the usual allocation of a 60% weighting in stocks and 40% in bonds.
JPMIM reported that the Portfolio's duration at year-end was longer than the
benchmark and was a positive contributor to fourth-quarter performance as
interest rates fell. In addition, the Portfolio's holdings in higher-quality,
below-investment grade sectors added value as these sectors were supported by
sustained inflows into mutual funds and the stable U.S. economy.
Entering 1997, JPMIM believes that the investment environment is remarkably
similar to what it was in the beginning of 1996. Despite some recent slowing,
corporate earnings growth has been robust, with profit margins at or near
record levels. However, JPMIM expects that some of these influences are losing
momentum or coming to an end. Higher wage costs due to a tight labor market
plus an inability to pass along cost increases will put pressure on profit
margins. JPMIM's investment approach focuses on finding a diversified
collection of attractively valued stocks and avoids the practice of market
timing. This approach should be beneficial, according to JPMIM, if large blue-
chip stocks lose favor and breadth continues to return to the market. In terms
of the Multi-Strategy Portfolio, JPMIM will continue to seek value in the fixed
income market and expects to maintain the Portfolio's equity allocation at
slightly below the 60% allocation.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
---------------------------------------------------------------------------------
Equity Income Portfolio $10,000 10,896 14,082 13,020 17,111 18,027 19,522 19,467 25,629 30,608
---------------------------------------------------------------------------------
S&P 500 Index $10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733 37,788
- ----------------------------------------------------------------------------------------------------------
<CAPTION>
----------------------------------------------------
Equity Income Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 year 19.43% 22.96%
3 Years# 16.16% 19.68%
5 Years# 12.32% 15.22%
# Annualized
----------------------------------------------------
</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
predictive of future performance.
- -------------------------------------------------------
* All indices are unmanaged. Sources for indices : AIM (TM) Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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>
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
---------------------------------------------------------------------------------
Multi-Strategy Portfolio $10,000 10,601 13,083 12,891 15,989 16,878 18,438 18,162 22,750 25,609
---------------------------------------------------------------------------------
S&P 500 Index $10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733 37,788
---------------------------------------------------------------------------------
Lehman Brothers Government Corporate
Bond Index $10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521 21,118
---------------------------------------------------------------------------------
Lehman Brothers Aggregate Bond Index $10,000 10,917 12,525 13,646 15,830 17,004 18,663 18,118 21,465 22,241
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------
Multi-Strategy Portfolio
Total Returns as of 12/31/96**
Lehman
S&P G/C Aggregate
Portfolio Index Index Index
--------- ----- ----- -----
<S> <C> <C> <C> <C>
1 Year 12.56% 22.96% 2.91% 3.61%
3 Years# 11.56% 19.68% 5.79% 6.02%
5 Years# 9.87% 15.22% 7.18% 7.03%
# Annualized
--------------------------------------------------------------------------------
</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
predictive of future performance.
EQUITY PORTFOLIO
- ----------------
For the year ending December 31, 1996, the total return of the Equity Portfolio
was 28.03%** versus 22.96%* for the S&P 500 Index.
After a solid performance in the first half of 1996, most major stock indexes
continued to advance but ended the year on a choppy note. As the economy slowed
in the second half of 1996, investors favored larger, more liquid issues. The
slowing economy led to a bond market rally, driving down yields and creating
fertile ground for equities. During this period, large cap issues outperformed
their small cap counterparts.
Greenwich reported that the Portfolio entered the fourth quarter of 1996 well
positioned to benefit from the continued earnings momentum and solid industry
fundamentals of large-cap issues. During the year, the Portfolio benefitted
from the strong performance of stock holdings in the technology, consumer
cyclicals, and financial services sectors. Overall, Greenwich attributed the
Portfolio's above-index performance to its chosen asset allocation model and
stock selection criteria.
Looking ahead to 1997, Greenwich expects that the market will likely trend
upward, but not without some volatility. To the extent that interest rates and
inflation remain in check and growth in corporate earnings proceeds at a
moderate pace, large cap stocks should continue to outperform. The Portfolio
Manager intends to continue looking for high-quality growth stocks with strong
earnings momentum. Greenwich believes that, over the long term, these issues
are expected to outperform the market as a whole.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/87 12/87 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
----------------------------------------------------------------------------------------------------
Equity Portfolio $10,000 10,218 10,974 14,281 13,918 18,056 19,198 22,281 21,641 26,792 34,301
----------------------------------------------------------------------------------------------------
S&P 500 Index $10,000 10,531 12,274 16,165 15,663 20,424 21,980 24,179 24,486 33,715 41,456
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------
Equity Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 Year 28.03% 22.96%
3 Years# 15.45% 19.68%
5 Years# 13.68% 15.22%
10 Years# 13.09% 15.29%
# Annualized
------------------------------------------------
</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
predictive of future performance.
- -------------------------------------------------------
* All indices are unmanaged. Sources for indices : AIM /(TM)/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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>
BOND AND INCOME PORTFOLIO
- -------------------------
For the year ending December 31, 1996, the total return for the Bond and Income
Portfolio was -0.80%** versus 0.13%* for the Lehman Brothers Government/
Corporate Long-Term Bond Index.
1996 was a difficult year for fixed income securities with long-term maturities.
The yield on the 30-year Treasury bond rose from 5.95% at the end of 1995 to end
the year at 6.64%. As a result, the long sectors of the government market
experienced negative performance for the 12-month period. The Portfolio's
underperformance was primarily due to its longer-than-market average maturity
and duration.
Entering 1997, Greenwich believes that renewed fears of inflation are unfounded.
The Federal Reserve has indicated its continuing vigilance to conduct monetary
policy in a pre-emptive manner. Greenwich also believes that fiscal policy will
continue to be a positive for the credit markets as budget deficits continue to
decline. U.S. corporations will likely remain constrained by global competition
and will be unwilling and unable to pass through price increases to consumers.
Finally, technological advances are expected to continue to increase
productivity.
Looking ahead, Greenwich forecasts some deceleration in economic activity from
its reported preliminary 4.7% rate of growth in the fourth quarter. Greenwich
expects that the Federal Reserve will maintain its conservative monetary policy
approach, and fiscal policy will continue to be a positive for the credit
markets. Although long-term rates may come under pressure in the early part of
l997, Greenwich believes that any increase will be reversed later in the year.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/87 12/87 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
------------------------------------------------------------------------------------------
Bond and Income Portfolio $10,000 9,792 10,415 12,190 12,589 15,651 16,916 20,196 18,506 24,744 24,544
------------------------------------------------------------------------------------------
Lehman Brothers Government
Corporate LT Index $10,000 9,917 10,881 12,789 13,613 16,271 17,661 20,515 19,061 24,768 24,620
- ----------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------
Bond and Income Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 Year (0.80%) 0.13%
3 Years# 6.71% 6.52%
5 Years# 9.41% 8.79%
10 Years# 9.39% 9.44%
# Annualized
-----------------------------------------------
</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
predictive of future performance.
EQUITY INDEX PORTFOLIO
- ----------------------
For the year ending December 31, 1996, the total return for the Equity Index
Portfolio was 22.36%** versus the 22.96%* return of the S&P 500 Index. The
Portfolio seeks to replicate the performance of the S&P 500 Index.
1996 was another impressive year for U.S. equity markets, particularly in the
large cap segment, which outperformed smaller cap stocks. After rising 10.10%
in the first half of the year, the Index plunged in July, but rebounded to end
the third quarter on a positive note. The fourth quarter of the year was the
strongest, with the S&P 500 Index returning a robust 8.34%.
In the large cap market, growth stocks outperformed value stocks. The three
top-performing industry groups in the S&P 500 Index were oil and gas drilling
(up l04%), shoes (up 65%) and semiconductors (up 57%). The worst-performing
groups were machines and broadcast/media issues, which fell 18% or more, and
trucking firms (down over 32%).
Looking ahead to 1997, Bankers Trust believes that the odds favor further
economic growth in the coming year. Consumer spending is expected to provide a
solid base, supported by gains in employment and income. Export markets are
expected to accelerate despite the strength of the dollar. However, given the
tight labor market and elevated level of capacity utilization, above-trend
economic growth could generate inflation pressure going forward. Increases in
wage cost and fringe benefits would show up in both higher selling prices and a
modest shrinking of profit margins. In that light, Bankers Trust believes
- -------------------------------------------------------
* All indices are unmanaged. Sources for indices: AIM (TM) Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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>
that both short- and long-term interest rates would move gradually higher. This
negative for bonds would also act as a drag on equities, although continued
strong growth in corporate earnings should more than offset the negative impact
from rising rates.
INTERNATIONAL PORTFOLIO
- -----------------------
The International Portfolio's total return for the year ending December 31, 1996
was 21.89%** versus 6.04%* for the Morgan Stanley Capital International Europe,
Australia and Far East Index ("EAFE Index"). Templeton reported that the major
contributors to this substantial outperformance were advantageous stock
selection in the financial sector, favorable allocations to both emerging
markets and European countries, and avoidance of Japanese equities, which
performed poorly in 1996.
Templeton believes that financial companies worldwide should continue to perform
well in the near future for many of the same reasons they performed well in
1996. Solid economic growth and low levels of nonperforming loans have helped
banks to post record returns on assets. Favorable interest rate structures have
also allowed banks to recapitalize while merger and acquisition activity has
increased. The Portfolio had a strong exposure to European banks, particularly
in Spain and the Nordic countries, and to several large banks in the Far East.
Emerging markets presented a mixed bag of performance for 1996. Templeton
reported that among the top-performing markets worldwide were China and Hungary,
which rose 41% and 103%, respectively. The worst performers were Korea and
Thailand, down 38% and 40%. The Portfolio's emerging markets exposure continued
to perform well. Of the more established and liquid markets in Latin America,
Brazil and Mexico posted strong gains. Hong Kong, one of the Portfolio's
largest emerging markets weightings, rose over 33% despite the uncertainty
surrounding Chinese control in 1997. Although there is some debate whether Hong
Kong should be classified as an emerging or developed market, Templeton believes
the reversion of Hong Kong to Chinese rule allows for classifying the market as
"emerging."
Europe continued down the road of restructuring. Most European markets were
strong performers, and the Portfolio benefitted from its overweighting in Europe
versus the EAFE Index. Among the better-performing European markets were the
Nordic countries where the Portfolio maintained above-Index positions. Templeton
continued to avoid Japanese stocks due to their excessive price-to-earnings
ratios and unexciting dividend yields. The substantial underweighting in Japan
versus the EAFE Index was well rewarded as this country performed poorly,
falling 15% in 1996.
Looking to 1997, Templeton expects to continue concentrating on securities that
are cheap relative to assets or future earnings, not on global or economic
trends. The Portfolio Manager expects to retain the Portfolio's sizable
exposure to the financial sector, to Nordic countries, and to selected emerging
markets such as Hong Kong. Despite the upcoming governmental changeover and
recent increase in Hong Kong stock prices, Templeton believes this market
continues to offer some attractive bargains.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Performance Comparison
as of 12/31/96
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/88 12/88 12/89 12/90 12/91 12/92 12/93 12/94 12/95 12/96
-----------------------------------------------------------------------------------
International Portfolio $10,000 11,688 14,078 12,181 13,511 12,190 15,851 16,329 18,053 22,005
-----------------------------------------------------------------------------------
EAFE Index $10,000 12,609 13,938 10,668 11,958 10,492 13,916 15,001 16,694 17,704
- ------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------
International Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
<S> <C> <C>
1 Year 21.89% 6.04%
3 Years# 11.54% 8.32%
5 Years# 10.23% 8.15%
# Annualized
-----------------------------------------------
</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
predictive of future performance.
- -------------------------------------------------------
* All indices are unmanaged. Sources for indices: AIM/(TM)/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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>
EMERGING MARKETS PORTFOLIO
- --------------------------
From its inception on April 1, 1996 through December 31, 1996 the Emerging
Markets Portfolio returned -3.23%** versus the -0.2%* return of the Morgan
Stanley Capital International Emerging Markets Free Index for the same nine-
month period.
Some of this underperformance was the result of high start-up costs incurred in
investing in the emerging markets at the Portfolio's inception. Blairlogie
reported that gains in country allocation during the third quarter were offset
by stock selection in India, Mexico, and Brazil. The fourth quarter's strong
performance in Asian stocks was reduced due to country allocation and currency
losses.
Blairlogie reported that overweighting in Latin America during the last six
months of the year was beneficial. In particular, the Portfolio enjoyed
relative gains from exposure to Brazil and Venezuela. The underweighting in
Chile also added value as this market lagged its neighbors.
Another source of value added was the Portfolio's underweighted position in
Asia. This region has underperformed both Latin America and Europe/Middle East.
However, Blairlogie increased allocations to Malaysia and Korea toward year-end.
Inflationary and current account worries have stabilized in Malaysia, and profit
forecasts are being upgraded. Korea's poor performance offered a contrarian-
based move into the market at very reasonable valuation levels. The Middle
Eastern and European markets have performed well during the past six months,
with Blairlogie's preferred countries--Hungary, Poland, and Turkey--posting
strong performance.
Looking ahead to 1997, Blairlogie expects that selected emerging markets should
outperform both developed ("EAFE") countries and U.S. equities in the first half
of the year. Higher growth, lower valuations, liquidity, and a two-year lag in
performance provide an attractive framework of investment opportunity. According
to Blairlogie, this backdrop should be set against a macroeconomics landscape in
the developed markets of steady but unexciting growth and full valuations.
Absence of inflationary pressures in EAFE markets bodes well for stable short-
term interest rates in Europe and Japan. This should translate into greater
confidence in emerging markets with a lower risk of EAFE-induced panic.
Blairlogie notes the caveat that any sharp slide in the U.S. stock market would
likely impact emerging markets but expects the adverse effect would be short-
lived.
<TABLE>
<CAPTION>
- -------------------------------------------------------------
Performance Comparison
as of 12/31/96
---------------------------
<S> <C> <C> <C>
3/96 4/96 12/96
---------------------------
Emerging Markets Portfolio $10,000 10,179 9,850
---------------------------
MSCI Emerging Markets Free Index $10,000 10,400 10,379
- -------------------------------------------------------------
<CAPTION>
-----------------------------------------------
Emerging Markets Portfolio
Total Returns as of 12/31/96**
Portfolio Index
--------- -----
1 Year (3.23%) (0.20%)
3 Years# N/A (2.34%)
5 Years# N/A 12.65%
# Annualized
-----------------------------------------------
</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
predictive of future performance.
- -------------------------------------------------------
* All indices are unmanaged. Sources for indices: AIM/(TM)/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
**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-10
<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, High Yield Bond, Managed Bond, Government Securities, Growth,
Aggressive Equity, Growth LT, Equity Income, Multi-Strategy, Equity, Bond and
Income, Equity Index, International, and Emerging Markets Portfolios as of
December 31, 1996 and the related statements of operations for the year then
ended, the statements of changes in net assets for each of the two years in the
period then ended, and the financial highlights for each of the five periods
then ended (as to the Aggressive Equity Portfolio, Growth LT Portfolio and the
Emerging Markets Portfolio, for each of the periods from commencement of
operations through December 31, 1996). 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 two 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, 1996 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, 1996
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 14, 1997
A-11
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
(In thousands, except per share amounts)
High
Money Yield Managed Government
Market Bond Bond Securities Growth
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value... $157,374 $ 204,660 $ 74,155 $ 160,883
Short-term investments at amortized cost.... $318,435 25,065 83,263 29,799 7,263
Cash........................................ 1 183 1 2
Receivables:
Dividends and interest................... 913 2,948 2,682 675 63
Fund shares sold......................... 3,031 290 1,000 102 130
Securities sold.......................... 7,218 788 30
Other receivables........................ 13
Forward foreign currency contracts
appreciation............................... 130 51
--------- --------- --------- --------- ---------
TOTAL ASSETS................................ 322,380 185,860 298,954 105,583 168,371
--------- --------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed..................... 105 100 838
Securities purchased..................... 1,018 37,801 7,523 89
Accrued advisory fees.................... 65 91 128 49 91
Accrued custodian fees and
recordkeeping fees...................... 12 5 12 13
Accrued other............................ 5 2 4 5
Variation margin............................ 739 369
--------- --------- --------- --------- ---------
TOTAL LIABILITIES........................... 187 1,116 38,684 8,041 1,036
--------- --------- --------- --------- ---------
NET ASSETS.................................. $322,193 $184,744 $260,270 $ 97,542 $167,335
========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital............................. $322,219 $177,728 $257,885 $ 98,053 $126,851
Over distributed net investment income...... (26) (19) (133) (54) (19)
Undistributed capital gains (losses)........ 1,922 1,439 (544) 19,497
Net unrealized appreciation of
investments and on translation of
other assets denominated
in foreign currencies....................... 5,113 1,079 87 21,006
--------- --------- --------- --------- ---------
NET ASSETS.................................. $322,193 $184,744 $260,270 $ 97,542 $167,335
========= ========= ========= ========= =========
Shares of beneficial interest
outstanding $.001 par value................. 32,078 18,586 24,217 9,394 7,801
========= ========= ========= ========= =========
NET ASSETS PER SHARE......................... $10.044 $9.940 $10.748 $10.383 $21.451
========= ========= ========= ========= =========
</TABLE>
See notes to financial statements.
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
DECEMBER 31, 1996
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Aggressive Growth Equity Multi-
Equity LT Income Strategy Equity
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at market value.. $ 43,367 $381,348 $419,684 $207,428 $193,491
Short-term investments at amortized cost... 7,609 58,323 16,382 17,658 14,638
Cash....................................... 18 13 5 1
Receivables:
Dividends and interest.................. 2 108 703 1,802 65
Fund shares sold........................ 315 14 842 74 63
Securities sold......................... 222 1,748 216 488
Other receivables....................... 6
Forward foreign currency contracts
appreciation.............................. 8 4
Organization costs......................... 21 2
--------- --------- --------- --------- ---------
TOTAL ASSETS............................... 51,554 441,564 437,838 227,455 208,257
--------- --------- --------- --------- ---------
LIABILITIES
Payables:
Fund shares redeemed.................... 3 424 13 14 242
Securities purchased.................... 1,628 2,630 8,331 1,683
Accrued advisory fees................... 31 273 232 117 115
Accrued custodian fees and
recordkeeping fees..................... 32 24 16 1
Accrued other........................... 11 7 6 2
Forward foreign currency contracts
depreciation.............................. 52
--------- --------- --------- --------- ---------
TOTAL LIABILITIES.......................... 1,705 3,410 8,576 1,836 360
--------- --------- --------- --------- ---------
NET ASSETS................................. $ 49,849 $438,154 $429,262 $225,619 $207,897
========= ========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital............................ $ 49,159 $373,031 $358,964 $200,723 $160,752
Over distributed net investment income..... (31) (538) (14) (23) (95)
Undistributed capital gains (losses)....... (1,600) 22,547 31,573 12,879 8,625
Net unrealized appreciation of
investments and on translation
of other assets denominated
in foreign currencies.................... 2,321 43,114 38,739 12,040 38,615
--------- --------- --------- --------- ---------
NET ASSETS................................. $ 49,849 $438,154 $429,262 $225,619 $207,897
========= ========= ========= ========= =========
Shares of beneficial interest
outstanding $.001 par value............... 4,626 26,561 20,995 15,297 9,869
========= ========= ========= ========= =========
NET ASSETS PER SHARE....................... $10.776 $16.496 $20.446 $14.750 $21.065
========= ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
A-13
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
DECEMBER 31, 1996
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Bond and Equity Inter- Emerging
Income Index national Markets
Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities at market
value..................................... $ 78,713 $371,983 $424,926 $ 36,119
Short-term investments at amortized cost... 1,884 28,735 24,782 7,812
Cash....................................... 1
Receivables:
Dividends and interest.................. 1,407 627 1,342 47
Fund shares sold........................ 819 453 117
Securities sold......................... 284 4,091 481
Other receivables....................... 28
Organization costs......................... 21
--------- --------- --------- ---------
TOTAL ASSETS............................... 82,004 402,449 455,622 44,597
LIABILITIES
Payables:
Fund shares redeemed.................... 149
Securities purchased.................... 8,516 1,084 344
Accrued advisory fees, net of
reimbursement.......................... 41 61 311 30
Accrued custodian fees and
recordkeeping fees..................... 1 10 166 130
Accrued other........................... 3 4 12 10
Forward foreign currency contracts
depreciation.............................. 30
Variation margin........................... 446
--------- --------- --------- ---------
TOTAL LIABILITIES.......................... 194 9,037 1,603 514
--------- --------- --------- ---------
NET ASSETS................................. $ 81,810 $393,412 $454,019 $ 44,083
========= ========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital............................ $ 80,320 $325,182 $389,349 $ 44,840
Over distributed net investment income..... (14) (1,155) (73)
Undistributed capital gains (losses)....... 897 18,946 12,063 (591)
Net unrealized appreciation
(depreciation) of investments and on
translation of other assets
denominated in foreign currencies......... 593 49,298 53,762 (93)
--------- --------- --------- ---------
NET ASSETS................................. $ 81,810 $393,412 $454,019 $ 44,083
========= ========= ========= =========
Shares of beneficial interest
outstanding $.001 par value............... 6,789 19,268 29,479 4,555
========= ========= ========= =========
NET ASSETS PER SHARE....................... $12.050 $20.418 $15.401 $9.679
========= ========= ========= =========
</TABLE>
See notes to financial statements.
A-14
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
(In thousands)
<TABLE>
<CAPTION>
High
Money Yield Managed Government
Market Bond Bond Securities Growth
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld................... $ 94 $ 1,365
Interest................................................... $ 8,525 11,658 $11,488 $ 4,889 375
Other...................................................... 1 15 2 26
------- ------- ------- ------- -------
Total Investment Income.................................... 8,526 11,767 11,490 4,889 1,766
------- ------- ------- ------- -------
EXPENSES
Advisory fees.............................................. 626 784 1,072 484 963
Custodial fees............................................. 45 47 62 32 56
Recordkeeping fees......................................... 59 60 79 41 58
Trustees fees.............................................. 4 3 5 2 4
Legal fees................................................. 11 6 8 4 7
Printing expenses.......................................... 12 10 14 7 13
Insurance expenses......................................... 5 4 6 3 5
Other...................................................... 17 15 18 8 15
------- ------- ------- ------- -------
Total Expenses............................................. 779 929 1,264 581 1,121
------- ------- ------- ------- -------
NET INVESTMENT INCOME...................................... 7,747 10,838 10,226 4,308 645
------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security transactions........ 1,923 2,573 (58) 19,497
Net realized loss from futures contracts................... (626) (73)
Net realized foreign exchange loss......................... (250) (125)
------- ------- ------- ------- -------
Net Realized Gain (Loss) on Investments
and Foreign Currency Transactions........................ 1,923 1,697 (256) 19,497
------- ------- ------- ------- -------
Net unrealized appreciation (depreciation) on investments.. 2,664 (880) (494) 11,461
Net unrealized depreciation on futures contracts........... (973) (601)
Net unrealized foreign exchange gain....................... 207 84
------- ------- ------- ------- -------
Net Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions............................ 2,664 (1,646) (1,011) 11,461
------- ------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS............................................. 4,587 51 (1,267) 30,958
------- ------- ------- ------- -------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS................................. $ 7,747 $15,425 $10,277 $ 3,041 $31,603
======= ======= ======= ======= =======
</TABLE>
See Notes to Financial Statements.
A-15
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1996
(In thousands)
<TABLE>
<CAPTION>
Aggressive Growth Equity Multi-
Equity LT Income Strategy Equity
Portfolio (1) Portfolio Portfolio Portfolio Portfolio
------------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld.................. $ 28 $ 1,846 $ 5,824 $ 1,763 $ 814
Interest.................................................. 149 3,230 451 5,313 408
Other..................................................... 1 54
------- ------- ------- ------- -------
Total Investment Income................................... 177 5,076 6,276 7,076 1,276
------- ------- ------- ------- -------
EXPENSES
Advisory fees............................................. 153 2,367 1,977 1,108 1,050
Custodial fees............................................ 13 149 101 94 43
Recordkeeping fees........................................ 21 129 116 71 62
Trustees fees............................................. 1 8 8 4 4
Legal fees................................................ 2 15 14 10 8
Printing expenses......................................... 1 24 23 14 13
Insurance expenses........................................ 1 10 10 6 5
Other..................................................... 6 36 33 18 16
------- ------- ------- ------- -------
Total Expenses............................................ 198 2,738 2,282 1,325 1,201
------- ------- ------- ------- -------
NET INVESTMENT INCOME (LOSS).............................. (21) 2,338 3,994 5,751 75
------- ------- ------- ------- -------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security transactions....... (1,600) 22,349 32,381 13,073 8,582
Net realized gain from futures contracts.................. 35
Net realized foreign exchange gain (loss)................. 234 (3)
------- ------- ------- ------- -------
Net Realized Gain (Loss) on Investments
and Foreign Currency Transactions....................... (1,600) 22,618 32,381 13,070 8,582
------- ------- ------- ------- -------
Net unrealized appreciation on investments................ 2,321 22,290 21,020 2,666 26,890
Net unrealized foreign exchange gain...................... 118 3
------- ------- ------- ------- -------
Net Unrealized Gain on Investments and
Foreign Currency Transactions........................... 2,321 22,408 21,020 2,669 26,890
------- ------- ------- ------- -------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS............................................ 721 45,026 53,401 15,739 35,472
------- ------- ------- ------- -------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................... $ 700 $47,364 $57,395 $21,490 $35,547
======= ======= ======= ======= =======
</TABLE>
See Notes to Financial Statements.
(1) Operations commenced on April 1, 1996.
A-16
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1996
(In thousands)
<TABLE>
<CAPTION>
Bond and Equity Inter- Emerging
Income Index national Markets
Portfolio Portfolio Portfolio Portfolio(1)
--------- ------------- --------- ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld.................. $ 4,999 $ 8,969 $ 283
Interest.................................................. $ 5,110 772 1,248 103
Other..................................................... 1
--------- ------------- --------- ---------
Total Investment Income................................... 5,110 5,772 10,217 386
--------- ------------- --------- ---------
EXPENSES
Advisory fees............................................. 411 511 2,586 203
Custodial fees............................................ 21 76 433 164
Recordkeeping fees........................................ 36 95 167 35
Trustees fees............................................. 2 6 8 1
Legal fees................................................ 4 10 14 3
Printing expenses......................................... 6 18 22 1
Insurance expenses........................................ 2 8 9 1
Other..................................................... 8 27 32 5
--------- ------------- --------- ---------
Total Expenses............................................ 490 751 3,271 413
Adviser Reimbursement..................................... 7
--------- ------------- --------- ---------
Net Expenses.............................................. 490 751 3,271 406
--------- ------------- --------- ---------
NET INVESTMENT INCOME (LOSS).............................. 4,620 5,021 6,946 (20)
--------- ------------- --------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security
transactions............................................. 1,519 15,948 10,845 (591)
Net realized gain from futures contracts.................. 2,905
Net realized foreign exchange loss........................ (399) (53)
--------- ------------- --------- ---------
Net Realized Gain (Loss) on Investments
and Foreign Currency Transactions...................... 1,519 18,853 10,446 (644)
--------- ------------- --------- ---------
Net unrealized appreciation
(depreciation) on investments............................ (5,614) 28,185 45,080 (92)
Net unrealized foreign exchange gain (loss)............... (59) 17 (1)
--------- ------------- --------- ---------
Net Unrealized Gain (Loss) on
Investments and Foreign Currency Transactions........... (5,614) 28,126 45,097 (93)
--------- ------------- --------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS............................................ (4,095) 46,979 55,543 (737)
--------- ------------- --------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS............................... $ 525 $52,000 $62,489 $ (757)
========= ============= ========= =========
</TABLE>
See Notes to Financial Statements.
(1) Operations commenced on April 1, 1996.
A-17
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1996
(In thousands)
High
Money Yield Managed Government
Market Bond Bond Securities Growth
Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- ----------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.......................... $ 7,747 $ 10,838 $ 10,226 $ 4,308 $ 645
Net realized gain (loss) on investments
and foreign currency transactions........... 1,923 1,697 (256) 19,497
Net unrealized appreciation (depreciation)
on investments and foreign currency
transactions............................... 2,664 (1,646) (1,011) 11,461
--------- --------- --------- --------- ----------
Net increase in net assets resulting
from operations.............................. 7,747 15,425 10,277 3,041 31,603
--------- --------- --------- --------- ----------
NET EQUALIZATION CREDITS....................... 1,785 1,582 3,447 515 33
--------- --------- --------- --------- ----------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.......................... (7,747) (10,886) (10,236) (4,293) (644)
Capital gains.................................. (990) (2,885) (1,520) (8,911)
--------- --------- --------- --------- ----------
Net decrease in net assets resulting
from distributions to shareholders............ (7,747) (11,876) (13,121) (5,813) (9,555)
--------- --------- --------- --------- ----------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................... 499,519 118,107 126,408 47,342 51,319
Dividend reinvestments......................... 7,708 11,655 12,825 5,743 9,535
Cost of shares repurchased..................... (282,768) (34,574) (6,558) (13,053) (45,341)
--------- --------- --------- --------- ----------
Net increase in net assets derived from
capital share transactions.................. 224,459 95,188 132,675 40,032 15,513
--------- --------- --------- --------- ----------
NET INCREASE IN NET ASSETS..................... 226,244 100,319 133,278 37,775 37,594
--------- --------- --------- --------- ----------
NET ASSETS
Beginning of year.............................. 95,949 84,425 126,992 59,767 129,741
--------- --------- --------- --------- ----------
End of year.................................... $ 322,193 $ 184,744 $ 260,270 $ 97,542 $ 167,335
========= ========= ========= ========= ==========
</TABLE>
See Notes to Financial Statements.
A-18
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1996
(In thousands)
<TABLE>
<CAPTION>
Aggressive Growth Equity Multi-
Equity LT Income Strategy Equity
Portfolio (1) Portfolio Portfolio Portfolio Portfolio
------------ --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)..................... $ (21) $ 2,338 $ 3,994 $ 5,751 $ 75
Net realized gain (loss) on investments
and foreign currency transactions............. (1,600) 22,618 32,381 13,070 8,582
Net unrealized appreciation on
investments and foreign currency
transactions.................................... 2,321 22,408 21,020 2,669 26,890
---------- --------- --------- --------- ---------
Net increase in net assets resulting
from operations............................... 700 47,364 57,395 21,490 35,547
---------- --------- --------- --------- ---------
NET EQUALIZATION CREDITS......................... 5 38 709 592
---------- --------- --------- --------- ---------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............................ (10) (2,683) (3,990) (5,801) (108)
Capital gains.................................... (1) (11,862) (6,758) (8,289)
---------- --------- --------- --------- ---------
Net decrease in net assets resulting
from distributions to shareholders.............. (10) (2,684) (15,852) (12,559) (8,397)
---------- --------- --------- --------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares..................... 58,221 263,137 189,264 78,163 84,432
Dividend reinvestments........................... 10 2,684 15,797 12,483 8,397
Cost of shares repurchased....................... (9,077) (73,170) (24,704) (9,051) (20,218)
---------- --------- --------- --------- ---------
Net increase in net assets derived from
capital share transactions.................... 49,154 192,651 180,357 81,595 72,611
---------- --------- --------- --------- ---------
NET INCREASE IN NET ASSETS....................... 49,849 237,369 222,609 91,118 99,761
---------- --------- --------- --------- ---------
NET ASSETS
Beginning of year................................ 200,785 206,653 134,501 108,136
---------- --------- --------- --------- ---------
End of year...................................... $ 49,849 $ 438,154 $ 429,262 $ 225,619 $ 207,897
========== ========= ========= ========= =========
</TABLE>
See Notes to Financial Statements.
(1) Operations commenced on April 1, 1996.
A-19
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1996
(In thousands)
<TABLE>
<CAPTION>
Bond and Equity Inter- Emerging
Income Index national Markets
Portfolio Portfolio Portfolio Portfolio (1)
--------- --------- --------- -------------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)...................... $ 4,620 $ 5,021 $ 6,946 $ (20)
Net realized gain (loss) on investments
and foreign currency transactions.............. 1,519 18,853 10,446 (644)
Net unrealized appreciation (depreciation) on
investments and foreign currency transactions.... (5,614) 28,126 45,097 (93)
--------- --------- --------- -----------
Net increase (decrease) in net assets
resulting from operations........................ 525 52,000 62,489 (757)
--------- --------- --------- -----------
NET EQUALIZATION CREDITS.......................... 92 849 4,102 142
--------- --------- --------- -----------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income............................. (4,620) (5,026) (6,416)
Capital gains..................................... (138) (4,465) (2,081)
--------- --------- ---------
Net decrease in net assets resulting
from distributions to shareholders............... (4,758) (9,491) (8,497)
--------- --------- ---------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares...................... 33,815 223,444 228,466 45,106
Dividend reinvestments............................ 4,752 9,463 8,403
Cost of shares repurchased........................ (9,469) (20,372) (23,143) (408)
--------- --------- --------- -----------
Net increase in net assets derived from
capital share transactions..................... 29,098 212,535 213,726 44,698
--------- --------- --------- -----------
NET INCREASE IN NET ASSETS........................ 24,957 255,893 271,820 44,083
--------- --------- --------- -----------
NET ASSETS
Beginning of year................................. 56,853 137,519 182,199
--------- --------- ---------
End of year....................................... $ 81,810 $ 393,412 $ 454,019 $ 44,083
========= ========= ========= ===========
</TABLE>
See Notes to Financial Statements.
(1) Operations commenced on April 1, 1996.
A-20
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1995
(In thousands)
<TABLE>
<CAPTION>
High
Money Yield Managed Government Growth
Market Bond Bond Securities Growth LT
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.................... $ 5,225 $ 4,537 $ 5,241 $ 2,114 $ 956 $ 1,014
Net realized gain on investments
and foreign currency transactions....... 990 5,734 2,863 8,911 12,228
Net unrealized gain on investments
and foreign currency transactions....... 3,249 3,716 1,330 14,638 18,562
-------- -------- -------- -------- -------- --------
Net increase in net assets resulting
from operations......................... 5,225 8,776 14,691 6,307 24,505 31,804
-------- -------- -------- -------- -------- --------
NET EQUALIZATION CREDITS (DEBITS)........ (34) 795 1,230 300 76 181
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.................... (5,251) (4,508) (5,400) (2,184) (976) (815)
Capital gains............................ (13) (12,566)
-------- -------- -------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders........... (5,251) (4,508) (5,400) (2,184) (989) (13,381)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares............. 252,865 73,272 69,995 37,934 58,165 162,889
Dividend reinvestments................... 5,229 4,459 5,311 2,169 987 13,486
Cost of shares repurchased............... (256,235) (23,707) (12,054) (6,248) (34,454) (43,568)
-------- -------- -------- -------- -------- --------
Net increase in net assets derived from
capital share transactions.............. 1,859 54,024 63,252 33,855 24,698 132,807
-------- -------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS............... 1,799 59,087 73,773 38,278 48,290 151,411
-------- -------- -------- -------- -------- --------
NET ASSETS
Beginning of year........................ 94,150 25,338 53,219 21,489 81,451 49,374
-------- -------- -------- -------- -------- --------
End of year.............................. $ 95,949 $ 84,425 $126,992 $ 59,767 $129,741 $200,785
======== ======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-21
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1995
(In thousands)
<TABLE>
<CAPTION>
Equity Multi- Bond and Equity Inter-
Income Strategy Equity Income Index national
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income....................... $ 2,063 $ 3,495 $ 235 $ 2,958 $ 1,791 $ 2,270
Net realized gain on investments
and foreign currency transactions.......... 12,389 7,345 9,658 294 4,554 3,100
Net unrealized gain on investments
and foreign currency transactions.......... 19,133 11,136 7,633 8,971 16,956 6,427
-------- -------- -------- -------- -------- --------
Net increase in net assets resulting
from operations............................ 33,585 21,976 17,526 12,223 23,301 11,797
-------- -------- -------- -------- -------- --------
NET EQUALIZATION CREDITS.................... 430 272 35 288 1,864
-------- -------- -------- -------- -------- --------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income....................... (2,080) (3,457) (296) (2,958) (1,800) (3,358)
Capital gains............................... (55) (12) (6) (58)
-------- -------- -------- -------- -------- --------
Net decrease in net assets resulting from
distributions to shareholders.............. (2,135) (3,469) (296) (2,958) (1,806) (3,416)
-------- -------- -------- -------- -------- --------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................ 116,224 43,830 29,095 18,183 89,775 115,563
Dividend reinvestments...................... 2,129 3,449 296 2,958 1,801 3,370
Cost of shares repurchased.................. (18,663) (10,704) (11,610) (7,666) (16,452) (22,950)
-------- -------- -------- -------- -------- --------
Net increase in net assets derived from
capital share transactions................. 99,690 36,575 17,781 13,475 75,124 95,983
-------- -------- -------- -------- -------- --------
NET INCREASE IN NET ASSETS.................. 131,570 55,354 35,011 22,775 96,907 106,228
-------- -------- -------- -------- -------- --------
NET ASSETS
Beginning of year........................... 75,083 79,147 73,125 34,078 40,612 75,971
-------- -------- -------- -------- -------- --------
End of year................................. $206,653 $134,501 $108,136 $ 56,853 $137,519 $182,199
======== ======== ======== ======== ======== ========
</TABLE>
See Notes to Financial Statements.
A-22
<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 fourteen separate portfolios (the
"Portfolios"): the Money Market Portfolio, the High Yield Bond Portfolio,
the Managed Bond Portfolio, the Government Securities Portfolio, the Growth
Portfolio, the Aggressive Equity Portfolio, the Growth LT Portfolio, the
Equity Income Portfolio, the Multi-Strategy Portfolio, the Equity Portfolio,
the Bond and Income Portfolio, the Equity Index Portfolio, the International
Portfolio, and the Emerging Markets Portfolio. The assets of each Portfolio
are segregated and a shareholder's interest is limited to the Portfolio in
which shares are owned. At December 31, 1996, shares of the Fund were
offered only to Pacific Select, Pacific Select Exec, Pacific COLI, Pacific
Select Variable Annuity and Separate Account A Separate Accounts of Pacific
Mutual Life Insurance Company ("Pacific Mutual") and Pacific Corinthian
Variable Separate Account of Pacific Corinthian Life Insurance Company
("Pacific Corinthian"). Pacific Corinthian is a wholly-owned subsidiary of
Pacific Mutual.
The investment objective of each Portfolio is summarized in the following
table:
<TABLE>
<S> <C>
- ---------------------------------------------------------------------------------------------------------
Money Market Current income consistent with preservation of capital.
- ---------------------------------------------------------------------------------------------------------
High Yield Bond High level of current income.
- ---------------------------------------------------------------------------------------------------------
Managed Bond Maximize total return consistent with prudent investment management.
- ---------------------------------------------------------------------------------------------------------
Government Securities Maximize total return consistent with prudent investment management.
- ---------------------------------------------------------------------------------------------------------
Growth Growth of capital.
- ---------------------------------------------------------------------------------------------------------
Aggressive Equity Capital appreciation.
- ---------------------------------------------------------------------------------------------------------
Growth LT Long-term growth of capital consistent with the preservation of capital.
- ---------------------------------------------------------------------------------------------------------
Equity Income Long-term growth of capital and income.
- ---------------------------------------------------------------------------------------------------------
Multi-Strategy High total return.
- ---------------------------------------------------------------------------------------------------------
Equity Capital appreciation.
- ---------------------------------------------------------------------------------------------------------
Bond and Income High level of current income consistent with prudent investment
management and preservation of capital.
- ---------------------------------------------------------------------------------------------------------
Equity Index Provide investment results that correspond to the total return performance
of common stocks publicly traded in the U.S.
- ---------------------------------------------------------------------------------------------------------
International Long-term capital appreciation.
- ---------------------------------------------------------------------------------------------------------
Emerging Markets Long-term growth of capital.
- ---------------------------------------------------------------------------------------------------------
</TABLE>
The preparation of the accompanying financial statements requires
management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements
and the reported amounts of income and expenses during the reporting period.
Actual results could differ from those estimates.
The Fund commenced operations on January 4, 1988. All Portfolios began
operations at that date, except the Equity Index Portfolio which commenced
operations on January 30, 1991, the Growth LT Portfolio which commenced
operations on January 4, 1994, the Aggressive Equity Portfolio and the
Emerging Markets Portfolio which commenced operations on April 1, 1996, and
the Equity Portfolio and the Bond and Income Portfolio which commenced
operations on January 19, 1984 as series of the Pacific Corinthian Variable
Fund ("PCVF") (see next page).
A-23
<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 were exchanged for shares issued by the Money Market
Portfolio, the Government Securities Portfolio, the Equity Income Portfolio
and the Multi-Strategy Portfolio of the Fund. The Equity Portfolio and the
Bond and Income Portfolio of the Fund were formed expressly for the purpose
of acquiring the Equity Series and the Bond and Income Series of PCVF.
A. Security Trading and Valuation
The net asset value per share is calculated separately for each Portfolio.
The net asset value per share is determined by dividing the value of each
Portfolio's net assets by the number of outstanding shares of the Portfolio.
Portfolio securities are valued and the net asset value per share is
determined at or about 4:00 p.m. New York City time on each day the New York
Stock Exchange is open.
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 6% and 19% of the Managed Bond and
Government Securities Portfolios' investments, respectively, as of December
31, 1996). Money market instruments are valued at amortized cost which
approximates market value.
B. Foreign Currency Translation
Foreign securities which are not traded in U.S. currency are recorded in
the financial statements after translation to U.S. dollars based on the
applicable exchange rates at the end of the period. Related dividends,
interest and withholding taxes are accrued at the rates of exchange
prevailing on the respective dates of such transactions. Pursuant to U.S.
Federal income tax regulations, the Fund computes the effect of changes in
foreign exchange rates from the fluctuations arising from changes in market
prices on the sale of foreign currency denominated debt obligations. This
foreign exchange component of the net gains or losses realized on the sales
and maturities of such debt obligations is treated as ordinary income or
loss for Federal income tax purposes.
The Fund isolates that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations
are included with the net realized and unrealized gain or loss on foreign
currency transactions.
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.
A-24
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
1. SIGNIFICANT ACCOUNTING POLICIES (Continued)
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: Managed Bond Portfolio - $1,454; Government Securities
Portfolio - $290; Growth Portfolio - $2,651; Aggressive Equity Portfolio -
$675; Growth LT Portfolio - $79,380; Equity Income Portfolio - $50,685;
Multi-Strategy Portfolio - $15,370; Equity Portfolio - $9,751; Equity Index
Portfolio - $31,179; International Portfolio - $1,147,600; Emerging Markets
Portfolio - $25,849.
E. Securities Gains or Losses and Investment Income
Gains or losses on the sale of Portfolio securities are determined on an
identified cost basis. Dividend income is recorded on the ex-dividend date;
interest income is accrued daily.
F. Allocation of General Expenses
General expenses of the Fund (including Trustees, legal and audit fees,
and proxy and shareholder meeting costs) are allocated among the Portfolios
in proportion to their relative average daily net assets. Expenses which
relate exclusively to a particular Portfolio (including advisory fees,
registration fees, brokerage commissions, interest expenses and certain
taxes) are borne directly by the particular Portfolio.
G. Organization Costs
Organization costs of $3,952 for the Growth LT Portfolio and $23,410 for
the Aggressive Equity Portfolio and the Emerging Markets Portfolio are
currently being amortized over five years at the rates of 10%, 15%, and 25%
in years one, two, and three through five, respectively.
H. Equalization
The Fund, including the Money Market Portfolio, follows the accounting
practice known as equalization, by which a portion of the proceeds from
sales and costs of repurchases of Fund shares, equivalent on a per share
basis to the amount of distributable investment income on the date of the
transaction, is credited or charged to undistributed income. As a result,
undistributed investment income per share is unaffected by sales or
redemptions of Fund shares.
2. DERIVATIVE FINANCIAL INSTRUMENTS
A. Interest Rate and Stock Index Futures Contracts
An interest rate contract is an agreement between two parties to buy and
sell a specified quantity of a financial instrument at a specified price at
a future date. A stock index futures contract is an agreement between two
parties to take or make delivery of an amount of cash equal to the
difference between the value of the index at the close of the last trading
day of the contract and the price at which the index contract was originally
written. Initial margin deposits are made upon entering into futures
contracts and can be either cash or securities. During the period the
futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking-to-market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin receivables or payables represent the difference
between the unrealized appreciation (depreciation) on the open contracts and
the cash deposits made on the margin accounts. When the contract is closed,
the Fund records a realized gain or loss equal to the difference between the
proceeds from the closing transaction and the fund's cost of the contract.
Interest rate futures contracts are used as non-leveraged substitutes for
the underlying physical securities. Stock index futures are entered into for
the purposes of maintaining a perfect correlation with the Standard & Poor's
Composite 500 Index. These investments involve, to varying degrees, elements
of market risk and risks in excess of the amount recognized in the
Statements of
A-25
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
2. DERIVATIVE FINANCIAL INSTRUMENTS (Continued)
Assets and Liabilities. The face or contract amounts reflect the extent of
the involvement the Portfolios have in the particular classes of
instruments. Risks associated with the use of the stock index futures
contracts include an imperfect correlation between the movement in the index
and the movement in the market values of the securities held in that market.
Risks may also arise if there is an illiquid secondary market for the
instruments, or the inability of counterparties to perform.
For the Managed Bond Portfolio, securities with an approximate aggregate
market value of $1,917,012 have been segregated with the custodian to cover
margin requirements for the following open interest rate futures contracts
at December 31, 1996:
<TABLE>
<CAPTION>
Number of Value per Unrealized
Type Contracts Contract Depreciation
---- --------- --------- ------------
<S> <C> <C> <C>
U.S. Treasury 5 year Notes (3/97) 466 $ 100,000 $ (104,767)
U.S. Treasury 10 year Notes (3/97) 444 100,000 (356,781)
U.S. Treasury 30 year Bonds (3/97) 139 100,000 (9,750)
----------
$ (471,298)
==========
</TABLE>
For the Government Securities Portfolio, securities with an approximate
aggregate market value of $1,136,372 have been segregated with the custodian
to cover margin requirements for the following open interest rate futures
contracts at December 31, 1996:
<TABLE>
<CAPTION>
Number of Value per Unrealized
Type Contracts Contract Depreciation
---- --------- --------- ------------
<S> <C> <C> <C>
U.S. Treasury 5 year Notes (3/97) 220 $ 100,000 $ (110,000)
U.S. Treasury 10 year Notes (3/97) 167 100,000 (113,719)
U.S. Treasury 30 year Bonds (3/97) 108 100,000 (25,500)
----------
$ (249,219)
==========
</TABLE>
For the Equity Index Portfolio, securities with an approximate aggregate
market value of $795,396 have been segregated with the custodian to cover
margin requirements for the following open stock index futures contracts at
December 31, 1996:
<TABLE>
<CAPTION>
Number of Value per Unrealized
Type Contracts Index Point Depreciation
---- --------- ----------- ------------
<S> <C> <C> <C>
S&P 500 (3/97) 52 $500 $ (173,291)
==========
</TABLE>
A-26
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
2. DERIVATIVE FINANCIAL INSTRUMENTS (Continued)
B. Options on Futures Contracts
The Managed Bond and Government Securities Portfolios wrote options on
interest rate futures contracts during the year ended December 31, 1996.
When the Fund writes (sells) an option, an amount equal to the premium
received is recorded as an asset with an equal liability which is marked-to-
market based on the option's quoted daily settlement price. Any 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 year ended
December 31, 1996 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
--------- -------
<S> <C> <C>
Outstanding, December 31, 1995 0 $ 0
Options written 216 135,632
Options exercised (65) (52,820)
Options expired (116) (68,235)
Options repurchased (35) (14,577)
------- ---------
Outstanding, December 31, 1996 0 $ 0
======= =========
</TABLE>
For the Government Securities Portfolio, transactions in options for the
year ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
--------- -------
<S> <C> <C>
Outstanding, December 31, 1995 0 $ 0
Options written 95 40,982
Options exercised (50) (22,856)
Options expired (30) (11,878)
Options repurchased (15) (6,248)
------- ---------
Outstanding, December 31, 1996 0 $ 0
======= =========
</TABLE>
A-27
<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 appreciation or depreciation
is recorded in the Fund's financial statements. The Fund records realized
gains or losses at the time the forward contract is closed. A forward
contract is extinguished through a closing transaction or upon delivery of
the currency. Risks may arise upon entering these contracts from the
potential inability of counterparties to meet the terms of their contracts
and from unanticipated movements in the value of a foreign currency relative
to the U.S. dollar.
For the Managed Bond Portfolio, the following forward foreign currency
contracts were outstanding at December 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Sell 3,966,443 Canadian Dollar 03/26/97 $ 64,594
Sell 3,466,755 Canadian Dollar 09/05/97 (3,977)
Buy 3,733,333 German Deutschmark 03/26/97 (166,338)
Buy 776,557 German Deutschmark 03/26/97 (14,814)
Sell 4,579,129 German Deutschmark 03/26/97 250,391
-----------
$ 129,856
===========
</TABLE>
For the Government Securities Portfolio, the following forward foreign
currency contracts were outstanding at December 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- --------------
<S> <C> <C>
Sell 793,438 Canadian Dollar 03/26/97 $ 12,921
Sell 693,351 Canadian Dollar 09/05/97 (795)
Buy 2,467,692 German Deutschmark 03/26/97 (109,947)
Buy 321,678 German Deutschmark 03/26/97 (6,136)
Sell 2,827,920 German Deutschmark 03/26/97 154,633
-----------
$ 50,676
===========
</TABLE>
For the Multi-Strategy Portfolio, the following forward foreign currency
contracts were outstanding at December 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
------- ---------------
<S> <C> <C>
Buy 414,017 Canadian Dollar 03/06/97 $ 3,761
Sell 410,557 Canadian Dollar 03/06/97 (301)
-----------
$ 3,460
===========
</TABLE>
A-28
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (continue)
2. DERIVATIVE FINANCIAL INSTRUMENTS (Continued)
For the Growth LT Portfolio, the following forward foreign currency
contracts were outstanding at December 31, 1996:
<TABLE>
<CAPTION>
Unrealized
Appreciation/
Expires (Depreciation)
-------- --------------
<S> <C> <C>
Sell 2,199,600 British Pound 01/16/97 $(215,166)
Sell 1,679,800 British Pound 05/27/97 (26,300)
Sell 1,004,880 British Pound 06/04/97 (18,540)
Sell 449,135 Finnish Mark 02/12/97 13,444
Sell 391,233 Finnish Mark 03/11/97 (3,774)
Sell 109,745 Finnish Mark 04/22/97 329
Sell 102,958 Finnish Mark 05/12/97 1,500
Sell 780,989 Finnish Mark 05/27/97 13,259
Buy 623,261 German Deutschmark 02/10/97 (10,312)
Buy 811,635 German Deutschmark 02/12/97 (13,589)
Buy 2,453,906 German Deutschmark 03/11/97 (39,236)
Buy 299,850 German Deutschmark 04/22/97 (5,309)
Buy 731,952 German Deutschmark 04/22/97 (11,963)
Buy 299,620 German Deutschmark 04/22/97 (5,079)
Sell 642,321 German Deutschmark 02/10/97 29,371
Sell 836,177 German Deutschmark 02/12/97 38,132
Sell 2,500,000 German Deutschmark 03/11/97 85,329
Sell 1,312,767 German Deutschmark 04/22/97 3,695
Buy 1,171,189 Italian Lira 01/27/97 13,022
Buy 390,168 Italian Lira 05/27/97 2,297
Sell 1,173,212 Italian Lira 01/27/97 (10,999)
Sell 878,677 Italian Lira 02/10/97 (8,897)
Sell 490,966 Italian Lira 05/12/97 (225)
Sell 661,332 Italian Lira 05/27/97 7,224
Buy 293,221 Swedish Krona 04/22/97 2,475
Buy 737,354 Swedish Krona 04/22/97 1,886
Buy 815,822 Swedish Krona 06/04/97 4,976
Sell 640,468 Swedish Krona 01/27/97 23,057
Sell 304,090 Swedish Krona 01/27/97 10,085
Sell 3,475,370 Swedish Krona 04/22/97 74,865
Sell 821,638 Swedish Krona 06/04/97 839
---------
$ (43,604)
=========
</TABLE>
A-29
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
3. INVESTMENT ADVISORY, AGENCY, AND DISTRIBUTION AGREEMENTS
Pursuant to an Investment Advisory Agreement, Pacific Mutual serves as
Investment Adviser to the Fund, and receives from the Fund the following
advisory fees: for the Money Market Portfolio, an annual rate of .40% of the
first $250 million of the average daily net assets of the Portfolio, .35% of
the next $250 million of the average daily net assets of the Portfolio, and
.30% of the average daily net assets of the Portfolio in excess of $500
million; for the High Yield Bond, Managed Bond, Government Securities, and
Bond and Income Portfolios, an annual rate of .60% of average daily net
assets of each of the Portfolios; for the Growth, Equity Income, Multi-
Strategy and Equity Portfolios, an annual rate of .65% of average daily net
assets of each of the Portfolios; for the Aggressive Equity Portfolio, an
annual rate of .80% of the average daily net assets of the Portfolio; for
the Growth LT Portfolio, an annual rate of .75% of the average daily net
assets of the Portfolio; for the Equity Index Portfolio, an annual rate of
.25% of the first $100 million of the average daily net assets of the
Portfolio, .20% of the next $100 million of the average daily net assets of
the Portfolio, and .15% of the average daily net assets of the Portfolio in
excess of $200 million; for the International Portfolio, an annual rate of
.85% of the average daily net assets of the Portfolio; and for the Emerging
Markets Portfolio, an annual rate of 1.10% of the average daily net assets
of the Portfolio. The fees are accrued daily.
The Fund and Pacific Mutual also entered into an Agreement for Support
Services effective October 1, 1995, pursuant to which Pacific Mutual
provides support services that are outside the scope of Pacific Mutual's
responsibilities under the Advisory Contract. Under the Agreement, the Fund
compensates Pacific Mutual for its expenses in providing support services to
the Fund in connection with various matters including the expense of
registering and qualifying the Fund on State and Federal levels, providing
legal and accounting services, maintaining the Fund's legal existence,
shareholders' meetings and expenses associated with preparing, printing and
distributing reports, proxies and prospectuses to existing shareholders.
Pacific Mutual provides these support services to the Fund on a cost
reimbursement basis.
Pursuant to Portfolio Management Agreements, the Fund and Pacific Mutual
employ portfolio managers for twelve of the fourteen Portfolios of the Fund.
The costs of such services are borne by Pacific Mutual as Investment Adviser
to the Fund.
Pursuant to an Agency Agreement, Pacific Mutual serves as transfer agent
and dividend disbursing agent for the Fund, without remuneration from the
Fund.
Pacific Mutual Distributors, Inc., a wholly-owned subsidiary of Pacific
Mutual, serves as distributor of the Fund's shares without remuneration from
the Fund.
4. CUSTODIAN AND RECORDKEEPING AGENT
Custodial and recordkeeping service costs are accrued under the Custody
Agreement on a daily basis by the Fund on a per transaction and net asset
basis for each Portfolio.
5. DISTRIBUTIONS TO SHAREHOLDERS
The Fund currently declares and pays dividends on net investment income
monthly for all the Portfolios, except the International Portfolio and the
Emerging Markets Portfolio, for which dividends are declared and paid at
least annually. All realized capital gains are distributed at least annually
for all Portfolios. Distributions to shareholders are recorded on the ex-
dividend date. All dividends are reinvested in additional shares of the
related Portfolios unless a shareholder elects to receive a dividend in
cash.
The Fund declared and paid sufficient net investment income, dividends,
and capital gains distributions during 1996 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 1997 to avoid Federal income and
capital gains taxes, pursuant to the Code.
A-30
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
5. DISTRIBUTIONS TO SHAREHOLDERS (Continued)
Income, dividends, and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions, net operating
losses, 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 $14,295,821 of investment advisory fees and $108,000
of support services expenses to Pacific Mutual for the year ended December
31, 1996 (Note 3). As of December 31, 1996, $1,642,513 and $9,811
respectively, remained payable.
Pacific Mutual has voluntarily undertaken to waive its fees or otherwise
reimburse the Fund for its operating expenses, exclusive of advisory fees,
additional custodial charges associated with holding foreign securities,
foreign tax on dividends, interest, or gains, and extraordinary expenses, in
excess of .25% of average daily net assets, through December 31, 1998. For
the year ended December 31, 1996, the operating expenses for each of the
Portfolios except the Emerging Markets Portfolio were under the 0.25%
expense cap and the Portfolio had accrued $6,860 as an expense reimbursement
from Pacific Mutual. The receivable balance which is netted against accrued
advisory fees on the statements of assets and liabilities, was $6,860 as of
December 31, 1996.
Certain officers and directors of Pacific Mutual are also officers and
trustees of the Fund.
7. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments) for
the year ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
U.S. Government Securities Other Securities
Purchases Sales Purchases Sales
------------ ----------- ----------- -----------
<S> <C> <C> <C> <C>
High Yield Bond Portfolio $ 213,788,293 $ 141,782,518
Managed Bond Portfolio $ 294,639,950 $ 301,362,483 425,564,756 319,122,840
Government Securities Portfolio 103,257,184 86,949,972 149,524,348 116,176,093
Growth Portfolio 103,474,768 99,173,487
Aggressive Equity Portfolio 60,268,275 17,622,109
Growth LT Portfolio 554,502,265 381,532,572
Equity Income Portfolio 450,468,707 279,038,614
Multi-Strategy Portfolio 65,438,508 41,336,825 222,591,657 177,265,227
Equity Portfolio 197,976,094 139,180,046
Bond and Income Portfolio 12,197,385 33,156,584 17,549,758
Equity Index Portfolio 253,541,145 46,186,449
International Portfolio 264,693,983 58,871,643
Emerging Markets Portfolio 47,424,607 10,614,645
</TABLE>
No activity is shown for the Money Market Portfolio since it trades exclusively
in short-term debt securities.
A-31
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
8. FEDERAL TAX BASIS ON PORTFOLIOS
Unrealized appreciation (depreciation) at December 31, 1996 based on cost
of investments for federal income tax purposes was as follows:
<TABLE>
<CAPTION>
Net
Gross Gross Unrealized
Unrealized Unrealized Appreciation
Tax Cost Basis Appreciation Depreciation (Depreciation)
-------------- ------------ ------------- --------------
<S> <C> <C> <C> <C>
High Yield Bond Portfolio $ 177,327,258 $ 5,542,272 $ (430,366) $ 5,111,906
Managed Bond Portfolio 286,502,204 2,075,766 (654,335) 1,421,431
Government Securities Portfolio 103,704,235 598,900 (349,788) 249,112
Growth Portfolio 147,140,298 32,033,926 (11,027,961) 21,005,965
Aggressive Equity Portfolio 48,655,297 3,971,831 (1,650,872) 2,320,959
Growth LT Portfolio 396,513,672 54,534,909 (11,377,438) 43,157,471
Equity Income Portfolio 397,326,661 46,196,799 (7,457,835) 38,738,964
Multi-Strategy Portfolio 213,049,624 14,365,623 (2,329,049) 12,036,574
Equity Portfolio 169,514,475 41,362,913 (2,748,138) 38,614,775
Bond and Income Portfolio 80,228,149 2,091,322 (1,722,752) 368,570
Equity Index Portfolio 351,246,656 52,797,269 (3,325,955) 49,471,314
International Portfolio 395,954,639 65,538,011 (11,784,347) 53,753,664
Emerging Markets Portfolio 44,022,788 2,482,406 (2,574,369) (91,963)
</TABLE>
A-32
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
<TABLE>
<CAPTION>
9. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the years ended December 31, 1996 and 1995 were as follows:
Money Market Portfolio High Yield Bond Portfolio Managed Bond Portfolio
-------------------------------- --------------------------- ----------------------------
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 9,578,766 9,390,330 8,621,642 2,842,865 11,439,669 5,375,772
Shares sold 50,071,013 25,343,548 12,316,934 7,806,880 12,168,889 6,714,926
Distributions reinvested 772,662 524,082 1,221,180 472,260 1,233,507 506,029
Shares redeemed (28,344,297) (25,679,194) (3,573,844) (2,500,363) (625,344) (1,157,058)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 32,078,144 9,578,766 18,585,912 8,621,642 24,216,721 11,439,669
=========== =========== =========== =========== =========== ===========
Government Securities Portfolio Growth Portfolio Aggressive Equity Portfolio
-------------------------------- --------------------------- ----------------------------
1996 1995 1996 1995 1996 1995*
---- ---- ---- ---- ---- ----
Beginning Balances 5,511,273 2,229,122 6,988,012 5,467,523 0 0
Shares sold 4,602,766 3,681,411 2,619,774 3,533,055 5,548,218 ---
Distributions reinvested 563,577 209,247 510,026 58,016 903 ---
Shares redeemed (1,283,145) (608,507) (2,317,090) (2,070,582) (922,975) ---
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 9,394,471 5,511,273 7,800,722 6,988,012 4,626,146 0
=========== =========== =========== =========== =========== ===========
Growth LT Portfolio Equity Income Portfolio Multi-Strategy Portfolio
-------------------------------- --------------------------- ----------------------------
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
Beginning Balances 14,221,253 4,442,921 11,350,872 5,342,866 9,470,952 6,746,932
Shares sold 16,920,404 12,137,609 10,085,140 7,041,236 5,563,328 3,299,929
Distributions reinvested 172,382 962,783 863,549 128,064 906,350 262,384
Shares redeemed (4,752,656) (3,322,060) (1,305,021) (1,161,294) (643,896) (838,293)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 26,561,383 14,221,253 20,994,540 11,350,872 15,296,734 9,470,952
=========== =========== =========== =========== =========== ===========
Equity Portfolio Bond and Income Portfolio Equity Index Portfolio
-------------------------------- --------------------------- ----------------------------
1996 1995 1996 1995 1996 1995
---- ---- ---- ---- ---- ----
Beginning Balances 6,174,016 5,148,862 4,367,735 3,269,303 7,880,313 3,118,551
Shares sold 4,269,758 1,727,815 2,818,189 1,500,665 11,981,661 5,687,418
Distributions reinvested 459,879 19,835 401,391 248,058 516,410 113,444
Shares redeemed (1,034,459) (722,496) (798,281) (650,291) (1,110,822) (1,039,100)
----------- ----------- ----------- ----------- ----------- -----------
Ending Balances 9,869,194 6,174,016 6,789,034 4,367,735 19,267,562 7,880,313
=========== =========== =========== =========== =========== ===========
International Portfolio Emerging Markets Portfolio
-------------------------------- ---------------------------
1996 1995 1996 1995*
---- ---- ---- ----
Beginning Balances 14,089,635 6,360,464 0 0
Shares sold 16,491,205 9,289,337 4,596,197 ---
Distributions reinvested 574,609 263,214 0 ---
Shares redeemed (1,675,993) (1,823,380) (41,574) ---
----------- ----------- ----------- -----------
Ending Balances 29,479,456 14,089,635 4,554,623 0
=========== =========== =========== ===========
</TABLE>
* Portfolio commenced operations subsequent to December 31, 1995.
A-33
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Selected data for a share outstanding throughout each year
were as follows:
Money Market Portfolio High Yield Bond Portfolio
---------------------- -------------------------
For the year ended December 31, For the year ended December 31,
------------------------------- -------------------------------
1996 1995 1994 1993 1992 1996 1995 1994 1993 1992
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year $ 10.02 $ 10.03 $ 9.99 $ 9.96 $ 9.94 $ 9.79 $ 8.91 $ 9.67 $ 9.24 $ 8.54
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Income (Loss) From
- ------------------
Investment Operations
---------------------
Net investment income 0.47 0.54 0.33 0.23 0.29 0.79 0.76 0.73 0.86 0.87
Net realized and unrealized
gain (loss) on securities 0.02 0.00 0.04 0.03 0.02 0.25 0.88 (0.70) 0.77 0.69
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Total from Investment
Operations 0.49 0.54 0.37 0.26 0.31 1.04 1.64 0.03 1.63 1.56
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Distributions
- -------------
Dividends (from net
investment income) (0.47) (0.55) (0.33) (0.23) (0.29) (0.79) (0.76) (0.73) (0.86) (0.86)
Distributions (from capital
gains) 0.00 0.00 0.00 0.00 0.00 (0.10) 0.00 (0.06) (0.34) 0.00
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Total Distributions (0.47) (0.55) (0.33) (0.23) (0.29) (0.89) (0.76) (0.79) (1.20) (0.86)
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Net Asset Value, End of Year $ 10.04 $ 10.02 $ 10.03 $ 9.99 $ 9.96 $ 9.94 $ 9.79 $ 8.91 $ 9.67 $ 9.24
======== ======== ======= ======= ======= ======== ======= ======= ======= =======
- ---------------------------
Total return 5.07% 5.54% 3.76% 2.58% 3.22% 11.31% 18.87% 0.42% 18.01% 18.72%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year (in
thousands) $322,193 $ 95,949 $94,150 $33,910 $23,905 $184,744 $84,425 $25,338 $16,017 $14,152
Ratio of expenses to
average net assets 0.50% 0.53% 0.64% 0.65% 0.65% 0.71% 0.77% 0.88% 0.75% 0.75%
Ratio of net investment
income to average net
assets 4.93% 5.41% 3.94% 2.56% 3.13% 8.28% 8.51% 8.13% 8.37% 9.46%
Portfolio turnover rate N/A N/A N/A N/A N/A 120.06% 127.31% 141.86% 185.83% 186.23%
</TABLE>
A-34
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
<TABLE>
<CAPTION>
Selected data for a share outstanding throughout each year were as follows:
Managed Bond Portfolio Government Securities Portfolio
---------------------- -------------------------------
For the year ended December 31, For the year ended December 31,
------------------------------- -------------------------------
1996 1995 1994 1993 1992 1996 1995 1994 1993 1992
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year $ 11.10 $ 9.90 $ 10.89 $ 10.62 $ 10.79 $ 10.84 $ 9.64 $ 10.64 $ 10.48 $ 10.55
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Income (Loss) from
- ------------------
Investment Operations
---------------------
Net investment income 0.59 0.65 0.50 0.52 0.68 0.56 0.58 0.44 0.34 0.51
Net realized and unrealized
gain (loss) on securities (0.15) 1.19 (0.98) 0.70 0.23 (0.27) 1.19 (0.99) 0.78 0.27
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Total from Investment
Operations 0.44 1.84 (0.48) 1.22 0.91 0.29 1.77 (0.55) 1.12 0.78
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Distributions
- -------------
Dividends (from net
investment income) (0.57) (0.64) (0.50) (0.52) (0.67) (0.53) (0.57) (0.44) (0.34) (0.51)
Distributions (from capital
gains) (0.22) 0.00 (0.01) (0.43) (0.41) (0.22) 0.00 (0.01) (0.62) (0.34)
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Total Distributions (0.79) (0.64) (0.51) (0.95) (1.08) (0.75) (0.57) (0.45) (0.96) (0.85)
-------- -------- ------- ------- ------- -------- ------- ------- ------- -------
Net Asset Value, End of Year $ 10.75 $ 11.10 $ 9.90 $ 10.89 $ 10.62 $ 10.38 $ 10.84 $ 9.64 $ 10.64 $ 10.48
======== ======== ======= ======= ======= ======== ======= ======= ======= =======
- ------------------------
Total return 4.25% 19.04% (4.36)% 11.63% 8.68% 2.94% 18.81% (5.10)% 10.79% 7.52%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year (in
thousands) $260,270 $126,992 $53,219 $43,116 $26,406 $ 97,542 $59,767 $21,489 $23,584 $17,701
Ratio of expenses to
average net assets 0.71% 0.76% 0.84% 0.75% 0.75% 0.72% 0.82% 0.88% 0.75% 0.75%
Ratio of net investment
income to average net
assets 5.71% 6.04% 5.04% 4.74% 6.39% 5.33% 5.58% 4.29% 3.15% 4.95%
Portfolio turnover rate 386.16% 191.39% 127.95% 163.11% 89.55% 307.13% 298.81% 232.99% 402.37% 212.31%
</TABLE>
A-35
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
Aggressive
Equity
Growth Portfolio Portfolio Growth LT Portfolio
---------------- ----------- -------------------
For the
period ended For the year ended
For the year ended December 31, December 31, December 31,
------------------------------- ------------ ------------------
1996 1995 1994 1993 1992 1996 (1) 1996 1995 1994 (2)
---- ---- ---- ---- ---- -------- ---- ---- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year $18.57 $14.90 $18.20 $15.76 $13.70 $10.00 $14.12 $11.11 $10.00
------ ------ ------ ------ ------ ------ ------ ------ ------
Income (Loss) from
Investment Operations
- ---------------------
Net investment income 0.08 0.15 0.10 0.08 0.11 0.01 0.14 0.10 0.10
Net realized and
unrealized gain (loss) on
securities 4.11 3.67 (2.01) 3.37 2.69 0.78 2.37 3.96 1.21
------ ------ ------ ------ ------ ------ ------ ------ ------
Total from Investment
Operations 4.19 3.82 (1.91) 3.45 2.80 0.79 2.51 4.06 1.31
------ ------ ------ ------ ------ ------ ------ ------ ------
Distributions
- -------------
Dividends (from net
investment income) (0.09) (0.15) (0.10) (0.08) (0.11) (0.01) (0.13) (0.10) (0.12)
Distributions (from
capital gains) (1.22) 0.00 (1.29) (0.93) (0.63) 0.00 0.00 (0.95) (0.08)
------ ------ ------ ------ ------ ------ ------ ------ ------
Total Distributions (1.31) (0.15) (1.39) (1.01) (0.74) (0.01) (0.13) (1.05) (0.20)
------ ------ ------ ------ ------ ------ ------ ------ ------
Net Asset Value, End of
Year $21.45 $18.57 $14.90 $18.20 $15.76 $10.78 $16.50 $14.12 $11.11
====== ====== ====== ====== ====== ====== ====== ====== ======
- ---------------------------
Total return 23.62% 25.75% (10.49)% 21.89% 20.53% 7.86% 17.87% 36.75% 13.25%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year
(in thousands) $167,335 $129,741 $81,451 $77,405 $34,747 $49,849 $438,154 $200,785 $49,374
Ratio of expenses to
average net assets 0.76% 0.79% 0.86% 0.71% 0.75% 1.02%* 0.87% 0.94% 1.08%*
Ratio of net investment
income to average net
assets 0.44% 0.88% 0.58% 0.51% 0.81% (0.11)%* 0.74% 0.90% 1.32%*
Portfolio turnover rate 70.22% 46.76% 40.42% 35.08% 39.97% 79.86% 147.02% 165.83% 257.20%
Average commissions paid
per share (3) $0.05 $0.05 N/A N/A N/A $0.05 $0.05 $0.05 N/A
- ----------------
</TABLE>
* Ratios are annualized.
(1) Information is for the period from April 1, 1996 (commencement of
operations) to December 31, 1996.
(2) Information is for the period from January 4, 1994 (commencement of
operations) to December 31, 1994.
(3) Brokerage commissions paid on portfolio transactions increase the cost of
securities purchased or reduce the proceeds of securities sold, and are not
reflected separately in the Fund's statements of operations. Fixed-income
transactions are excluded.
A-36
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
Equity Income Portfolio
---------------------------------------------------
For the year ended December 31,
---------------------------------------------------
1996 1995 1994 1993 1992
--------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $ 18.21 $ 14.05 $ 15.52 $ 15.11 $ 14.74
--------- --------- --------- -------- --------
Income (Loss) from Investment Operations
- ----------------------------------------
Net investment income 0.24 0.26 0.20 0.26 0.19
Net realized and unrealized gain (loss) on securities 3.15 4.16 (0.25) 0.98 0.59
--------- --------- --------- -------- --------
Total from Investment Operations 3.39 4.42 (0.05) 1.24 0.78
--------- --------- --------- -------- --------
Distributions
- -------------
Dividends (from net investment income) (0.24) (0.26) (0.20) (0.26) (0.19)
Distributions (from capital gains) (0.91) 0.00 (1.22) (0.57) (0.22)
--------- --------- --------- -------- --------
Total Distributions (1.15) (0.26) (1.42) (0.83) (0.41)
--------- --------- --------- -------- --------
Net Asset Value, End of Year $ 20.45 $ 18.21 $ 14.05 $ 15.52 $ 15.11
========= ========= ========= ======== ========
- --------------------------------------------
Total return 19.43% 31.66% (0.28)% 8.29% 5.36%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year (in thousands) $429,262 $206,653 $75,083 $33,356 $22,021
Ratio of expenses to average net assets** 0.75% 0.83% 0.94% 0.75% 0.75%
Ratio of net investment income to average net assets 1.31% 1.59% 1.39% 1.74% 1.39%
Portfolio turnover rate 94.95% 86.47% 134.57% 27.67% 18.52%
Average commissions paid per share (1) $ 0.05 $ 0.05 N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
Multi-Strategy Portfolio
---------------------------------------------------
For the year ended December 31,
---------------------------------------------------
1996 1995 1994 1993 1992
--------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $ 14.20 $ 11.73 $ 12.66 $ 12.18 $ 11.99
--------- --------- --------- -------- --------
Income (Loss) from Investment Operations
- ----------------------------------------
Net investment income 0.48 0.45 0.32 0.35 0.37
Net realized and unrealized gain (loss) on securities 1.20 2.47 (0.51) 0.77 0.27
--------- --------- --------- -------- --------
Total from Investment Operations 1.68 2.92 (0.19) 1.12 0.64
--------- --------- --------- -------- --------
Distributions
- -------------
Dividends (from net (0.48) (0.45) (0.32) (0.35) (0.37)
investment income)
Distributions (from capital gains) (0.65) 0.00 (0.42) (0.29) (0.08)
--------- --------- --------- -------- --------
Total Distributions (1.13) (0.45) (0.74) (0.64) (0.45)
--------- --------- --------- -------- --------
Net Asset Value, End of Year $ 14.75 $ 14.20 $ 11.73 $ 12.66 $ 12.18
========= ========= ========= ======== ========
- -------------------------------------------------
Total return 12.56% 25.25% (1.50)% 9.25% 5.57%
- ------------
Ratios/Supplemental Data
- ---------------------------
Net assets, end of year (in thousands) $225,619 $134,501 $79,147 $41,448 $19,931
Ratio of expenses to average net assets** 0.78% 0.84% 0.94% 0.75% 0.75%
Ratio of net investment income to average net assets 3.37% 3.49% 2.78% 3.01% 3.36%
Portfolio turnover rate 132.94% 176.45% 187.40% 27.87% 16.52%
Average commissions paid per share (1) $ 0.05 $ 0.05 N/A N/A N/A
</TABLE>
- -------------------
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
(1) Brokerage commissions paid on portfolio transactions increase the cost of
securities purchased or reduce the proceeds of securities sold, and are not
reflected separately in the Fund's statements of operations. Fixed-income
transactions are excluded.
A-37
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
Equity Portfolio
----------------
For the year ended December 31,
-------------------------------
1996 1995 1994 1993 1992
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $ 17.52 $ 14.20 $ 14.94 $ 14.39 $ 14.83
Income (Loss) from Investment Operations
- ----------------------------------------
Net investment income 0.02 0.05 0.32 0.22 0.19
Net realized and unrealized gain (loss) on securities 4.71 3.33 (0.74) 1.90 0.49
-------- -------- ------- ------- -------
Total from Investment Operations 4.73 3.38 (0.42) 2.12 0.68
-------- -------- ------- ------- -------
Distributions
- -------------
Dividends (from net investment income) (0.02) (0.06) (0.32) (0.22) (0.19)
Distributions (in excess of net investment income) 0.00 0.00 0.00 0.00 0.00
Distributions (from capital gains) (1.16) 0.00 0.00 (0.81) (0.93)
Return of capital 0.00 0.00 0.00 (0.54) 0.00
-------- -------- ------- ------- -------
Total Distributions (1.18) (0.06) (0.32) (1.57) (1.12)
-------- -------- ------- ------- -------
Net Asset Value, End of Year $ 21.07 $ 17.52 $ 14.20 $ 14.94 $ 14.39
======== ======== ======= ======= =======
- --------------------------------------------
Total return 28.03% 23.80% (2.87%) 16.06% 6.30%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year (in thousands) $207,897 $108,136 $73,125 $84,791 $81,902
Ratio of expenses to average net assets 0.74% 0.80% 0.96% 0.93% 0.93%
Ratio of net investment income to average net assets 0.05% 0.27% 2.19% 1.52% 1.30%
Portfolio turnover rate 90.98% 226.45% 178.63% 229.77% 242.37%
Average commissions paid per share (1) $ 0.06 $ 0.06 N/A N/A N/A
</TABLE>
<TABLE>
<CAPTION>
Bond and Income Portfolio
-------------------------
For the year ended December 31,
-------------------------------
1996 1995 1994 1993 1992
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year $ 13.02 $ 10.42 $ 13.05 $ 11.70 $ 11.69
Income (Loss) from Investment Operations
- ----------------------------------------
Net investment income 0.79 0.82 0.83 0.87 0.89
Net realized and unrealized gain (loss) on securities (0.94) 2.59 (1.87) 1.35 0.01
-------- -------- ------- ------- -------
Total from Investment Operations (0.15) 3.41 (1.04) 2.22 0.90
-------- -------- ------- ------- -------
Distributions
- -------------
Dividends (from net investment income) (0.79) (0.81) (0.83) (0.86) (0.89)
Distributions (in excess of net investment income) 0.00 0.00 0.00 (0.01) 0.00
Distributions (from capital gains) (0.03) 0.00 (0.53) 0.00 0.00
Return of capital 0.00 0.00 (0.23) 0.00 0.00
-------- -------- ------- ------- -------
Total Distributions (0.82) (0.81) (1.59) (0.87) (0.89)
-------- -------- ------- ------- -------
Net Asset Value, End of Year $ 12.05 $ 13.02 $ 10.42 $ 13.05 $ 11.70
======== ======== ======= ======= =======
- -------------------------------------------
Total return (0.80%) 33.71% (8.36%) 19.39% 8.09%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year (in thousands) $ 81,810 $ 56,853 $34,078 $43,223 $42,731
Ratio of expenses to average net assets 0.71% 0.80% 0.93% 0.84% 0.85%
Ratio of net investment income to average net assets 6.74% 6.93% 7.25% 6.86% 7.67%
Portfolio turnover rate 26.50% 51.84% 31.97% 41.92% 21.99%
Average commissions paid per share (1) N/A N/A N/A N/A N/A
</TABLE>
- -------------------
(1) Brokerage commissions paid on portfolio transactions increase the cost of
securities purchased or reduce the proceeds of securities sold, and are not
reflected separately in the Fund's statements of operations. Fixed-income
transactions are excluded.
A-38
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS(Continued)
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
Equity Index Portfolio International Portfolio
---------------------- -----------------------
For the year ended December 31, For the year ended December 31,
------------------------------- -------------------------------
1996 1995 1994 1993 1992 1996 1995 1994 1993 1992
---- ---- ---- ---- ---- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning
of Year $ 17.45 $ 13.02 $ 13.24 $ 12.43 $ 11.98 $ 12.93 $ 11.94 $ 12.09 $ 9.38 $ 10.59
--------- -------- ------- ------- ------- -------- -------- ------- ------- -------
Income (Loss) from
- ------------------
Investment Operations
---------------------
Net investment income 0.37 0.34 0.30 0.29 0.29 0.28 0.33 0.07 0.09 0.15
Net realized and
unrealized gain (loss) on
securities 3.42 4.43 (0.18) 0.86 0.53 2.54 0.91 0.30 2.73 (1.19)
--------- -------- ------- ------- ------- -------- -------- ------- ------- -------
Total from Investment
Operations 3.79 4.77 0.12 1.15 0.82 2.82 1.24 0.37 2.82 (1.04)
--------- -------- ------- ------- ------- -------- -------- ------- ------- -------
Distributions
- -------------
Dividends (from net
investment income) (0.37) (0.34) (0.30) (0.29) (0.29) (0.23) (0.25) (0.07) (0.09) (0.17)
Distributions (in excess
of net investment income) 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 (0.02) 0.00
Distributions (from
capital gains) (0.45) 0.00 (0.04) (0.05) (0.08) (0.12) 0.00 (0.45) 0.00 0.00
--------- -------- ------- ------- ------- -------- -------- ------- ------- -------
Total Distributions (0.82) (0.34) (0.34) (0.34) (0.37) (0.35) (0.25) (0.52) (0.11) (0.17)
--------- -------- ------- ------- ------- -------- -------- ------- ------- -------
Net Asset Value, End of
Year $ 20.42 $ 17.45 $ 13.02 $ 13.24 $ 12.43 $ 15.40 $ 12.93 $ 11.94 $ 12.09 $ 9.38
========= ======== ======= ======= ======= ======== ======== ======= ======= =======
- --------------------------
Total Return 22.36% 36.92% 1.05% 9.38% 6.95% 21.89% 10.56% 3.01% 30.02% (9.78)%
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of year
(in thousands) $ 393,412 $137,519 $40,612 $33,836 $23,030 $454,019 $182,199 $75,971 $30,574 $19,402
Ratio of expenses to
average net assets** 0.31% 0.42% 0.51% 0.50% 0.50% 1.07% 1.12% 1.22% 1.04% 1.05%
Ratio of net investment
income to average net
assets 2.05% 2.26% 2.37% 2.34% 2.53% 2.28% 1.87% 1.28% 0.92% 1.43%
Portfolio turnover rate 20.28% 7.52% 2.02% 1.15% 3.52% 20.87% 16.07% 52.22% 46.48% 38.99%
Average commissions paid
per share (1) $ 0.02 $ 0.03 N/A N/A N/A $ 0.01 $ 0.02 N/A N/A N/A
</TABLE>
- --------------
** The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends.
(1) Brokerage commissions paid on portfolio transactions increase the cost of
securities purchased or reduce the proceeds of securities sold, and are not
reflected separately in the Fund's statements of operations. Fixed-income
transactions are excluded.
A-39
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS(Continued)
Selected data for a share outstanding throughout each period were as follows:
<TABLE>
<CAPTION>
Emerging Markets Portfolio
--------------------------
For the period ended December 31,
--------------------------------
1996(1)
-------
<S> <C>
Net Asset Value, Beginning of Period $10.00
-------
Loss from Investment Operations
- -------------------------------
Net investment loss (0.02)
Net realized and unrealized loss on securities (0.30)
-------
Total from Investment Operations (0.32)
-------
Distributions
- -------------
Dividends (from net investment income) 0.00
Distributions (from capital gains) 0.00
-------
Total Distributions 0.00
-------
Net Asset Value, End of Period $9.68
=======
- --------------------------------------------
Total Return (3.23%)
- ------------
Ratios/Supplemental Data
- ------------------------
Net assets, end of period (in thousands) $44,083
Ratio of expenses to average net assets 2.18%*
Ratio of net investment income to average net
assets (0.11%)*
Portfolio turnover rate 47.63%
Average commissions paid per share (2) $0.00
</TABLE>
- -------------
* Ratios are annualized.
(1) Information is for the period from April 1, 1996 (commencement of
operations) to December 31, 1996.
(2) Brokerage commissions paid on portfolio transactions increase the cost of
securities purchased or reduce the proceeds of securities sold, and are not
reflected separately in the Fund's statements of operations. Fixed-income
transactions are excluded.
See Notes to Financial Statements.
A-40
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 99.99%
Abbott Laboratories
6.500% due 01/02/97 $ 7,000,000 $ 6,998,736
Americredit Auto
5.425% due 12/12/97 4,717,937 4,714,642
5.574% due 09/05/97 2,787,172 2,787,172
Ameritech Corp
5.960% due 01/07/97 9,500,000 9,490,563
Baltimore Gas & Electric
5.870% due 01/08/97 9,500,000 9,489,157
Cargill Inc
6.750% due 01/03/97 10,000,000 9,996,250
Case Equipment Trust
5.563% due 09/15/97 2,315,950 2,315,950
Caterpillar Financial Trust
5.418% due 05/25/97 312,057 312,057
Donnelley (RR) & Sons
6.750% due 01/03/97 ~ 5,000,000 4,998,125
Duracell Inc
6.750% due 01/02/97 15,000,000 14,997,188
Eaton Corp
5.950% due 01/10/97 9,500,000 9,485,869
Electric Data System
5.800% due 01/06/97 ~ 8,000,000 7,993,556
Federal Home Loan Bank
4.520% due 02/07/97 2,000,000 1,997,474
5.250% due 01/29/97 5,000,000 5,000,031
5.480% due 12/16/97 5,000,000 5,000,000
Fluor Corp
5.850% due 01/07/97 3,000,000 2,997,075
FNMA
5.500% due 02/21/97 5,000,000 5,000,145
5.510% due 07/16/97 20,000,000 19,995,199
Ford Credit Auto Lease
5.451% due 11/15/97 3,000,000 2,999,738
Ford Credit Auto Trust
5.514% due 10/15/97 2,658,561 2,657,884
5.670% due 07/15/97 3,416,846 3,417,308
Gillette Co
6.600% due 01/02/97 ~ 15,000,000 14,997,250
Great Lakes Chemical Corp
5.750% due 01/10/97 ~ 5,000,000 4,992,813
Hyundai Motor
6.900% due 01/02/97 6,168 9,998,083
Illinois Tool Works
6.500% due 01/02/97 10,000,000 9,998,194
Lubrizol Corp
6.060% due 01/10/97 2,000,000 1,996,970
Nationsbank Auto Trust
5.780% due 08/15/97 672,273 672,409
Navistar Financial Trust
5.490% due 11/20/97 3,480,355 3,480,355
New England Power Co
5.850% due 01/07/97 2,025,000 2,023,026
6.000% due 01/10/97 6,350,000 6,340,475
Northern States Power Co
6.000% due 01/10/97 5,000,000 4,992,500
6.250% due 01/06/97 4,500,000 4,496,094
Olympic Auto Trust
5.430% due 12/15/97 8,000,000 8,000,000
Parker-Hannifin Corp
5.850% due 01/14/97 ~ 8,100,000 8,082,889
PepsiCo Inc
6.875% due 05/15/97 2,545,000 2,552,839
Potomac Electric Power
5.950% due 01/07/97 9,500,000 9,490,579
Raytheon Co
6.500% due 01/02/97 10,200,000 10,198,158
Sara Lee Corp
6.210% due 01/07/97 9,500,000 9,490,168
Shell Oil Co
6.500% due 01/02/97 15,000,000 14,997,292
Societe Generale Na
5.360% due 01/14/97 1,000,000 998,064
Southern California Edison
6.125% due 07/15/97 9,000,000 9,011,083
St Paul Companies
6.500% due 01/02/97 ~ 15,000,000 14,997,292
Temple Inland Inc
6.050% due 01/07/97 ~ 9,500,000 9,490,421
</TABLE>
~ Purchased in a private placement transaction; resale to the public may
require registration.
A-41
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - (Continued)
U.S. West Communications
5.900% Due 01/10/97 $ 9,500,000 $ 9,485,987
Warner-Lambert Co
6.500% Due 01/02/97 15,000,000 14,997,290
-------------
Total Commercial Paper 318,424,350
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
4.000% due 01/02/97
(Dated 12/31/96, repurchase price
of $11,002; collateralized by U.S.
Treasury Notes - market value
$11,276 and due 06/26/97) 11,000 11,000
-------------
Total Securities Held Under Repurchase
Agreement 11,000
-------------
Total Short-Term Investments
at Amortized Cost 318,435,350
-------------
TOTAL MONEY MARKET PORTFOLIO
(Cost $318,435,350) 318,435,350
=============
</TABLE>
See Notes To Financial Statements.
A-42
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
PREFERRED STOCKS - 0.72%
Consumer Discretionary - 0.72%
Cablevision Systems PIK 'M' 8,258 $ 743,233
Time Warner 5,242 570,105
-----------
Total Preferred Stocks (Cost $1,260,276) 1,313,338
-----------
CONVERTIBLE PREFERRED STOCKS - 0.47%
Consumer Discretionary - 0.27%
Hilton Hotels 20,000 492,500
-----------
492,500
-----------
Technology - 0.20%
Elsag Bailey ~ 10,000 360,000
-----------
360,000
-----------
Total Convertible Preferred Stocks
(Cost $813,700) 852,500
-----------
<CAPTION>
Principal Market
Amount Value
------ ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 57.75%
Capital Goods - 4.12%
BE Aerospace
9.750% due 03/01/03 $ 1,500,000 1,575,000
9.875% due 02/01/06 1,500,000 1,582,500
Clark Materials
10.750% due 11/15/06 ~ 500,000 522,500
Portola Packaging
10.750% due 10/01/05 1,320,000 1,379,400
Rayovac Corp
10.250% due 11/01/06 ~ 500,000 516,250
Waxman USA Inc
11.125% due 09/01/01 1,400,000 1,435,000
Westinghouse Air Brake
9.375% due 06/15/05 500,000 512,500
-----------
7,523,150
-----------
Consumer Discretionary - 23.88%
Boyd Gaming Corp
9.250% due 10/01/03 3,000,000 2,940,000
Cablevision Systems Corp
9.875% due 05/15/06 2,000,000 2,047,500
California Hotel Finance
11.000% due 12/01/02 2,000,000 2,092,500
Comcast Cellular
0.000% due 03/05/00 1,500,000 1,087,500
Comcast Corp
9.125% due 10/15/06 1,500,000 1,539,375
Granite Broadcasting
9.375% due 12/01/05 750,000 729,375
10.375% due 05/15/05 1,500,000 1,541,250
Gray Communications System
10.625% due 10/01/06 1,000,000 1,062,500
Hammons Hotel (John Q.)
8.875% due 02/15/04 500,000 495,625
9.750% due 10/01/05 2,500,000 2,575,000
Harrahs Operating Inc
8.750% due 03/15/00 1,000,000 1,014,375
Heritage Media
11.000% due 06/15/02 1,000,000 1,067,500
Hollinger International Publishing
9.250% due 02/01/06 500,000 497,500
Host Marriott Travel Plaza
9.500% due 05/15/05 1,500,000 1,569,375
JCAC Inc
10.125% due 06/15/06 1,000,000 1,040,000
Katz Media Corp
10.500% due 01/15/07 ~ 1,500,000 1,545,000
K-III Communications
8.500% due 02/01/06 2,500,000 2,462,500
Lenfest Communications Inc
8.375% due 11/01/05 1,500,000 1,453,125
10.500% due 06/15/06 750,000 789,375
Loewen Group International Inc
8.250% due 10/15/03 2,000,000 2,032,500
</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, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ ------
<S> <C> <C>
Consumer Discretionary - (Continued)
Panamsat L.P.
9.750% due 08/01/00 $1,000,000 $1,055,000
Rose Hills Acquisition Corp
9.500% due 11/15/04 ~ 3,500,000 3,578,750
SCI Television
11.000% due 06/30/05 1,000,000 1,067,500
Showboat Inc
9.250% due 05/01/08 1,500,000 1,477,500
Station Casinos
9.625% due 06/01/03 2,000,000 2,000,000
Teleport Communications
9.875% due 07/01/06 3,000,000 3,195,000
Viacom International
10.250% due 09/15/01 1,000,000 1,082,500
Videotron Ltee
10.250% due 10/15/02 500,000 533,750
-----------
43,571,875
-----------
Consumer Staples - 4.54%
Chiquita Brands International Inc
9.125% due 03/01/04 500,000 507,500
10.250% due 11/01/06 1,500,000 1,601,250
Dominick's Finer Foods
10.875% due 05/01/05 1,000,000 1,115,000
Ralphs Grocery Corp
10.450% due 06/15/04 1,500,000 1,597,500
Smiths Food & Drug Centers Inc
11.250% due 05/15/07 2,000,000 2,220,000
Southland Corp
5.000% due 12/15/03 1,500,000 1,237,500
-----------
8,278,750
-----------
Energy - 6.12%
California Energy Inc
0.000% due 01/15/04 1,000,000 1,057,500
9.875% due 06/30/03 1,500,000 1,582,500
Calpine Corp
10.500% due 05/15/06 $1,500,000 $1,595,625
Falcon Drilling Co
8.875% due 03/15/03 500,000 512,500
Ferrellgas Partners L.P.
9.375% due 06/15/06 2,000,000 2,025,000
Giant Industries
9.750% due 11/15/03 2,000,000 2,055,000
HS Resources Inc
9.250% due 11/15/06 ~ 1,000,000 1,025,000
Louis Dreyfus Natural Gas
9.250% due 06/15/04 500,000 539,314
Vintage Petroleum
9.000% due 12/15/05 750,000 772,500
-----------
11,164,939
-----------
Financial & Business Services - 2.03%
Iron Mountain Inc
10.125% due 10/01/06 2,000,000 2,130,000
Phoenix Re Corp
9.750% due 08/15/03 1,000,000 1,085,000
Salomon Inc Mtn
6.100% due 06/15/00 250,000 245,390
7.240% due 05/27/03 250,000 250,253
-----------
3,710,643
-----------
Health Care - 6.68%
Abbey Healthcare
9.500% due 11/01/02 2,000,000 2,100,000
Dade International Inc
11.125% due 05/01/06 1,500,000 1,627,500
Genesis Health Care Ventures Inc
9.750% due 06/15/05 500,000 515,000
Integrated Health
10.250% due 04/30/06 ~ 3,000,000 3,135,000
Magellan Health Services
11.250% due 04/15/04 1,000,000 1,115,000
Tenet Healthcare Corp
8.625% due 12/01/03 1,500,000 1,588,125
10.125% due 03/01/05 500,000 555,000
Universal Health Services
8.750% due 08/15/05 1,500,000 1,546,875
-----------
12,182,500
-----------
</TABLE>
~ Purchased in a private placement transaction; resale to
the public may require registration.
A-44
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ ------
<S> <C> <C>
Materials & Processing - 3.27%
Bell & Howell Operating Co
9.250% due 07/15/00 $ 2,000,000 $ 2,045,000
Building Materials
8.625% due 12/15/06 ~ 750,000 751,875
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,050,000
Stone Container
11.875% due 08/01/16 1,000,000 1,052,500
USG Corp
9.250% due 09/15/01 1,000,000 1,068,750
-----------
5,968,125
-----------
Transportation - 2.58%
Delco Remy International Inc
10.625% due 08/01/06 ~ 2,000,000 2,112,500
Newport News Shipbuilding
8.625% due 12/01/06 ~ 500,000 513,750
9.250% due 12/01/06 ~ 1,500,000 1,554,375
Santa Fe Pacific
8.375% due 07/01/05 500,000 525,000
-----------
4,705,625
-----------
Utilities - 4.53%
El Paso Electric
7.750% due 05/01/01 1,500,000 1,518,750
Sprint Spectrum
11.000% due 08/15/06 2,000,000 2,175,000
Vanguard Cellular
9.375% due 04/15/06 4,500,000 4,567,500
-----------
8,261,250
-----------
Total Corporate Bonds & Notes
(COST $102,069,473) 105,366,857
CONVERTIBLE BONDS - 3.65%
Consumer Staples - 2.03%
AES Corp
10.250% due 07/15/06 $3,000,000 $3,247,500
Chiquita Brands International Inc
7.000% due 03/28/01 500,000 456,250
-----------
3,703,750
-----------
Financial & Business Services - 1.09%
Filinvest Land Inc Cap
3.750% due 02/01/02 1,000,000 965,000
MBI Finance Ltd
0.000% due 12/18/01 ~ 1,500,000 1,027,500
-----------
1,992,500
-----------
Health Care - 0.27%
Alza Corp
5.000% due 05/01/06 500,000 484,375
-----------
484,375
-----------
Materials & Processing - 0.26%
FMC Corp Euro
6.750% due 01/16/05 500,000 475,000
-----------
475,000
-----------
Total Convertible Bonds
(Cost $6,378,177) 6,655,625
-----------
FOREIGN BONDS - 23.67%
Brazil - 2.50%
Comtel Brasileira Ltd
10.750% due 09/26/04 ~ 2,000,000 2,060,000
Globo Communicacoes Pt 'B'
10.500% due 12/20/06 ~ 1,500,000 1,500,000
Petroleo Brasileiro SA
10.000% due 10/17/06 ~ 1,000,000 997,500
-----------
4,557,500
-----------
</TABLE>
~ Purchased in a private placement transaction; resale to
the public may require registration.
A-45
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ ------
<S> <C> <C>
Canada - 7.61%
CF Cable TV
9.125% due 07/15/07 $1,000,000 $1,082,500
Four Seasons Hotel
9.125% due 07/01/00 ~ 1,500,000 1,548,750
Hollinger Inc
0.000% due 10/05/13 4,000,000 1,400,000
International Semi-Tech
0.000% due 08/15/03 6,250,000 4,062,500
MDC Communications
10.500% due 12/01/06 1,500,000 1,554,375
Rogers Cablesystems Limited
9.625% due 08/01/02 500,000 522,500
10.000% due 03/15/05 1,500,000 1,601,250
10.000% due 12/01/07 1,000,000 1,057,500
Rogers Cantel Inc
9.375% due 06/01/08 1,000,000 1,050,000
-----------
13,879,375
-----------
Germany - 1.39%
Fresensius Med Care Cap
9.000% due 12/01/06 1,500,000 1,528,125
Veritas Holdings
9.625% due 12/15/03 ~ 1,000,000 1,012,500
-----------
2,540,625
-----------
Hong Kong - 3.14%
PIV Investment Finance Gtd
4.500% due 12/01/00 ~ 1,000,000 875,000
4.500% due 12/01/00 3,100,000 2,712,500
RHG Finance Corp
8.875% due 10/01/05 2,000,000 2,143,106
-----------
5,730,606
-----------
Indonesia - 1.44%
FSW International Financial
12.500% due 11/01/06 ~ $2,000,000 $2,125,000
PT Indah Kiat Pulp & Paper
8.875% due 11/01/00 500,000 495,625
-----------
2,620,625
-----------
Mexico - 1.11%
Banco Nacional Obra
9.625% due 11/15/03 1,500,000 1,483,125
Grupo Industrial Durango
12.625% due 08/01/03 500,000 547,500
-----------
2,030,625
-----------
Panama - 1.64%
Universal Robina
8.375% due 12/19/06 ~ 3,000,000 3,000,000
-----------
3,000,000
Philippines - 2.84%
Filinvest Development Corp Cap
2.500% due 05/15/06 ~ 500,000 482,500
Philippine Long Distance Tel
9.250% due 06/30/06 3,000,000 3,202,500
Piltel International Holding Corp
1.750% due 07/17/06 ~ 1,000,000 990,000
RFM Capital Ltd
2.750% due 05/30/06 ~ 500,000 500,000
-----------
5,175,000
-----------
Thailand - 0.29%
Tipco Asphalt Co Ltd
2.750% due 09/19/06 ~ 500,000 530,000
-----------
530,000
-----------
</TABLE>
~ Purchased in a private placement transaction; resale to
the public may require registration.
A-46
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ ------
<S> <C> <C>
United Kingdom - 1.71%
Newsquest Capital PLC
11.500% due 05/01/06 ~ $ 2,500,000 $ 2,606,250
Telewest PLC
9.625% due 10/01/06 500,000 515,000
-------------
3,121,250
-------------
Total Foreign Bonds
(Cost $41,740,394) 43,185,606
-------------
Total Investments in Securities
at Market Value (Cost $152,262,020) 157,373,926
-------------
Value
------
COMMERCIAL PAPER - 13.74%
Ameritech Corp
5.960% due 01/07/97 500,000 499,503
Baltimore Gas & Electric
5.870% due 01/08/97 5,500,000 5,493,722
Eaton Corp
5.950% due 01/10/97 2,500,000 2,496,281
Northern States Power Co
6.200% due 01/06/97 5,589,000 5,584,187
6.250% due 01/06/97 500,000 499,566
Parker-Hannifin Corp
5.950% due 01/07/97 3,300,000 3,296,728
Potomac Electric Power Co
5.950% due 01/07/97 3,200,000 3,196,827
Raytheon Company
6.500% due 01/02/97 3,000,000 2,999,458
Sara Lee Corp
6.210% due 01/07/97 1,000,000 998,966
-------------
Total Commercial Paper 25,065,238
-------------
Total Short-Term Investment
at Amortized Cost 25,065,238
-------------
TOTAL HIGH YIELD BOND PORTFOLIO
(COST $177,327,258) $ 182,439,164
=============
</TABLE>
~ Purchased in a private placement transaction; resale to
the public may require registration.
See notes to Financial Statements.
A-47
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 24.98%
Consumer Discretionary - 3.50%
Associated Corp of North America
6.750% due 07/15/97 $ 1,650,000 $ 1,658,382
First Brands Corp
9.125% due 04/01/99 1,750,000 1,764,131
Time Warner Inc
6.460% due 08/15/00 250,000 250,046
8.110% due 08/15/06 750,000 768,878
8.180% due 08/15/07 5,500,000 5,643,385
------------
10,084,822
------------
Consumer Staples - 1.40%
RJR Holdings Capital Corp
8.000% due 07/15/01 3,000,000 3,020,928
RJR Nabisco Inc Mtn
8.625% due 12/01/02 1,000,000 1,009,629
------------
4,030,557
------------
Financial & Business Services - 10.82%
Advanta Corp 'C'
6.384% due 08/07/98 5,000,000 4,996,900
Advanta National Bank FRN
5.913% due 03/19/99 2,000,000 1,994,035
6.090% due 11/10/97 1,000,000 999,400
Banamex
9.125% due 04/06/00 2,000,000 2,052,500
Capital One Bank
8.125% due 02/27/98 6,325,000 6,457,382
Chrysler Financial Corp
5.990% due 11/17/97 3,000,000 3,004,980
CTC Mansfield Funding
11.125% due 09/30/16 1,000,000 1,055,000
First USA Bank
8.100% due 02/21/97 2,000,000 2,005,494
GMAC
4.950% due 02/03/97 1,000,000 999,350
8.125% due 01/13/97 2,000,000 2,000,960
Lehman Brothers Holdings
7.870% due 06/05/97 4,000,000 4,029,960
Paine Webber Group
8.250% due 05/01/02 1,480,000 1,556,679
------------
31,152,640
------------
Technology - 1.40%
TCI Communication Inc
7.250% due 06/15/99 4,000,000 4,011,280
------------
4,011,280
------------
Transportation - 1.38%
UAL Equipment Trust
9.210% due 01/21/17 800,000 882,272
9.560% due 10/19/18 1,650,000 1,868,229
10.850% due 02/19/15 1,000,000 1,228,610
------------
3,979,111
------------
Utilities - 6.48%
Commonwealth Edison
6.000% due 03/15/98 3,000,000 2,990,895
Consumers Power
6.000% due 07/01/97 2,000,000 1,998,760
El Paso Electric
7.250% due 02/01/99 800,000 798,032
Long Island Lighting
7.300% due 07/15/99 1,250,000 1,260,800
7.300% due 01/15/00 3,250,000 3,250,240
7.850% due 05/15/99 3,000,000 3,008,760
Texas-New Mexico Power
12.500% due 01/15/99 2,000,000 2,172,700
Toledo Edison
7.460% due 04/03/00 100,000 98,193
9.300% due 04/01/98 3,000,000 3,082,203
------------
18,660,583
------------
Total Corporate Bonds & Notes
(Cost $71,574,611) 71,918,993
------------
</TABLE>
A-48
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 33.51%
Collateralized Mortgage Obligations - 6.44%
Citibank 1988-2
8.000% due 07/25/18 + $ 35,072 $ 34,793
Countrywide
6.750% due 05/25/24 1,000,000 918,880
8.217% due 11/25/24 + 499,828 513,261
Donaldson, Lufkin & Jenrette
7.883% due 12/25/22 + 1,219,870 1,250,367
GE Capital Mortgage
6.500% due 04/25/24 849,078 848,653
Paine Weber
6.500% due 03/25/24 692,239 689,643
Residential Accredited Loans Inc
7.500% due 03/25/27 + 1,000,000 988,125
Residential Funding Corp
5.675% due 10/25/27 + 1,902,387 1,902,982
8.000% due 10/25/24 934,428 936,474
Resolution Trust Corp
6.825% due 06/25/23 406,253 409,554
7.500% due 08/25/23 190,875 191,114
8.000% due 04/25/25 + 1,000,000 1,026,719
8.000% due 06/25/26 + 875,208 812,986
Salomon Brothers Mortgage Securities
5.836% due 02/25/27 + 8,000,000 8,000,000
------------
18,523,551
------------
Federal Home Loan Mortgage Corporation - 6.71%
6.000% due 01/14/27 # 5,000,000 4,648,438
6.500% due 02/01/26 4,382,177 4,194,576
6.500% due 01/14/27 # 1,500,000 1,433,906
6.500% due 02/13/27 # 7,500,000 7,160,156
7.500% due 09/20/26 2,037,735 1,886,168
------------
19,323,244
------------
Federal Housing Authority - 0.47%
7.341% due 05/01/23 621,604 640,274
7.430% due 08/01/21 348,913 344,346
7.430% due 02/01/23 371,727 375,652
------------
1,360,272
------------
Federal National Mortgage Association - 3.73%
7.728% due 01/01/23 6,521,892 6,723,921
7.731% due 01/01/25 2,190,315 2,268,779
7.922% due 12/01/22 1,299,820 1,345,577
7.981% due 11/01/23 395,002 409,401
------------
10,747,678
------------
Government National Mortgage Association - 14.88%
6.500% due 01/20/24 1,577,276 1,607,124
6.500% due 03/20/24 2,144,836 2,190,330
6.500% due 12/15/25 254,254 243,034
6.500% due 01/15/26 2,957,525 2,824,969
6.500% due 03/15/26 2,809,986 2,684,043
6.500% due 04/15/26 1,935,915 1,849,147
6.500% due 05/15/26 851,753 813,577
6.500% due 06/15/26 24,858 23,744
6.500% due 01/23/27 # 7,500,000 7,594,844
7.000% due 10/20/22 4,921,552 5,041,146
7.000% due 10/20/24 2,273,548 2,329,021
7.000% due 01/23/27 # 2,000,000 2,043,125
7.125% due 06/20/21 1,820,898 1,870,531
7.125% due 07/20/24 3,670,635 3,755,016
7.500% due 01/21/27 # 2,500,000 2,500,781
8.000% due 01/21/27 # 5,000,000 5,100,000
9.000% due 02/15/17 129,911 136,853
9.500% due 08/15/17 27,645 30,030
9.500% due 04/15/18 7,006 7,606
9.500% due 09/15/18 147,357 160,019
9.750% due 04/15/98 6,911 7,279
10.000% due 05/15/19 40,113 44,124
------------
42,856,343
------------
</TABLE>
# Forward buy contract.
+ Valued under procedures established by the Board of Trustees.
A-49
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
Student Loan Mortgage Association - 1.28%
5.735% due 04/25/04 $ 3,690,635 $ 3,698,386
------------
3,698,386
------------
Total Mortgage-Backed Securities
(Cost $95,829,222) 96,509,474
------------
OTHER ASSET-BACKED SECURITIES - 1.41%
Greenwich Capital Mortgage
7.623% due 01/25/22 + 70,323 71,224
Imperial Savings & Loan
9.900% due 02/25/18 + 67,322 71,224
Ryland Mortgage
7.468% due 11/28/22 + 2,000,000 2,039,376
14.000% due 11/25/31 + 93,102 103,372
Sears Mortgage
8.680% due 05/25/32 + 79,186 80,052
Securitized Assets Sales Inc
6.500% due 11/25/25 1,694,957 1,696,465
------------
Total Other Asset-Backed Securities
(Cost $4,013,344) 4,061,713
------------
U.S. TREASURY BONDS - 5.93%
6.750% due 08/15/26 16,950,000 17,079,773
------------
Total U.S. Treasury Bonds
(Cost $17,414,111) 17,079,773
------------
U.S. TREASURY NOTES - 0.81%
7.875% due 11/15/04 1,900,000 2,073,969
9.125% due 05/15/99 230,000 245,848
------------
Total U.S. Treasury Notes
(Cost $2,264,497) 2,319,817
------------
U.S. TREASURY STRIPPED - 0.16%
0.000% due 08/15/15 1,600,000 455,729
------------
Total U.S. Treasury Stripped
(Cost $356,521) 455,729
------------
FOREIGN BONDS - 1.30%
Argentina - 1.30%
Republic of Argentina FRB
6.625% due 03/31/05 4,312,000 3,751,440
------------
Total Foreign Bonds (Cost $3,481,408) 3,751,440
------------
FOREIGN GOVERNMENT - 2.65%
Canada Government Real Return
4.250% due 12/01/26 10,172,500 7,625,201
------------
Total Foreign Government (Cost $7,344,359) 7,625,201
------------
</TABLE>
+ Valued under procedures established by the Board of Trustees.
A-50
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
CALL OPTIONS - 0.33%
U.S. Treasury Notes
5.750% due 01/06/97 $12,200,000 $ 938,180
------------
Total Call Options (Cost $959,796) 938,180
------------
Total Investments In Securities
at Market Value (Cost $203,237,869) 204,660,320
------------
<CAPTION>
Value
-----
<S> <C> <C>
COMMERCIAL PAPER - 27.15%
Abbott Laboratories
5.420% due 01/08/97 4,300,000 4,295,468
AT&T Corp
5.370% due 02/06/97 8,600,000 8,553,818
Canada Bills
5.370% due 02/05/97 5,300,000 5,272,330
Canadian Wheat Board
5.350% due 02/18/97 1,700,000 1,687,873
5.540% due 02/18/97 5,300,000 5,260,851
Coca-Cola
5.450% due 01/10/97 12,000,000 11,983,650
FHLMC
5.400% due 01/16/97 3,700,000 3,691,675
5.410% due 02/03/97 700,000 696,529
FNMA
5.450% due 02/11/97 700,000 695,655
5.360% due 03/27/97 3,500,000 3,455,060
General Electric Credit Corp
5.420% due 01/28/97 6,400,000 6,373,984
KFW International Financial
5.380% due 01/07/97 12,000,000 11,989,240
<CAPTION>
- -------------------------------------------------------------------------------
Principal
Amount Value
------ -----
<S> <C> <C>
Kingdom of Sweden
5.400% due 02/04/97 $ 1,100,000 $ 1,094,390
New Center Asset Trust
5.400% due 01/15/97 4,200,000 4,191,180
5.410% due 02/12/97 6,000,000 5,962,130
W. Australian Tsy Corp
5.370% due 03/18/97 3,000,000 2,965,470
------------
Total Commercial Paper 78,169,303
------------
U.S. TREASURY BILLS - 0.67%
4.810% due 03/13/97 ** 445,000 440,708
4.975% due 01/23/97 ** 180,000 179,453
4.980% due 01/23/97 ** 40,000 39,877
4.990% due 01/23/97 ** 315,000 314,039
5.000% due 01/23/97 ** 205,000 204,374
5.000% due 03/06/97 ** 30,000 29,741
5.005% due 03/06/97 ** 55,000 54,525
5.025% due 03/06/97 ** 270,000 267,666
5.030% due 03/06/97 ** 390,000 386,629
------------
Total U.S. Treasury Bills 1,917,012
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 1.10%
State Street Bank and Trust
4.000% due 01/02/97
(Dated 12/31/96, Repurchase Price
of $3,178,706; Collateralized By U.S.
Treasury Notes - Market Value
$3,127,435 and due 02/15/02) 3,177,000 3,177,000
------------
Total Securities Held Under Repurchase
Agreements 3,177,000
------------
Total Short-term Investments
at Amortized Value 83,263,315
------------
TOTAL MANAGED BOND PORTFOLIO
(COST $286,502,204) $287,923,635
============
</TABLE>
** Securities have been segregated with the custodian to cover
margin requirement for open future contracts as of
December 31, 1996.
See Notes to Financial Statements.
A-51
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments
December 31, 1996
- -------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.10%
Financial & Business Services - 0.10%
International American Dev Bank
9.450% due 09/15/98 $ 100,000 $ 105,310
--------------
Total Corporate Bonds & Notes
(Cost $100,407) 105,310
--------------
GOVERNMENT BONDS - 0.54%
Federal Farm Credit Bank
8.650% due 10/01/99 530,000 562,877
--------------
Total Government Bonds (Cost $527,129) 562,877
--------------
MORTGAGE-BACKED SECURITIES - 49.18%
Collateralized Mortgage Obligations - 18.15%
Bear Sterns Mortgage Securities Inc
7.000% due 03/25/27 1,000,000 967,900
Champion Home Equity Loan Trust
6.088% due 05/25/28 2,624,016 2,612,208
Citibank 1988-2
8.000% due 07/25/18 + 18,767 18,617
Countrywide
7.845% due 03/25/24 + 447,140 457,900
8.217% due 11/25/24 499,829 513,261
Ge Capital Mortgage
6.500% due 04/25/24 566,052 565,769
Mortgage Obligation Structured Trust
6.350% due 10/25/18 935,110 936,186
Residential Accredited Loans Inc
7.500% due 03/25/27 + 3,000,000 2,964,375
Residential Funding Corp
5.675% due 10/25/27 + 3,804,773 3,805,964
8.120% due 03/25/25 + 377,594 388,450
Resolution Trust Corp
7.500% due 08/25/23 95,437 95,557
8.000% due 04/25/25 + 1,500,000 1,540,078
Salomon Brothers Mortgage Securities
5.836% due 02/25/27 + 4,000,000 4,000,000
--------------
18,866,265
--------------
Federal Home Loan Mortgage Corp - 4.33%
6.500% due 02/01/26 1,460,726 1,398,192
6.500% due 01/14/27 # 2,900,000 2,772,219
6.500% due 02/13/27 # 350,000 334,141
--------------
4,504,552
--------------
Federal Housing Authority - 0.62%
6.750% due 02/01/08 5,134 5,116
7.400% due 07/25/19 + 455,417 462,248
7.430% due 07/01/21 178,222 180,181
--------------
647,545
--------------
Federal National Mortgage Association - 10.95%
6.084% due 08/01/17 2,420,823 2,400,388
6.179% due 03/01/18 2,293,313 2,273,954
6.500% due 01/30/27 + 2,000,000 1,997,500
7.000% due 03/25/23 2,354,397 2,134,166
7.731% due 01/01/25 1,631,382 1,689,824
7.922% due 12/01/22 855,727 885,850
--------------
11,381,682
--------------
Government National Mortgage Association - 13.35%
6.500% due 03/15/26 825,317 788,326
6.500% due 04/15/26 903,477 862,983
7.000% due 05/20/26 2,924,931 2,993,077
7.000% due 10/20/24 1,515,698 1,552,681
7.000% due 01/23/27 # 2,000,000 2,043,125
7.125% due 08/20/21 1,815,490 1,856,098
7.125% due 05/20/23 316,083 323,201
7.125% due 09/20/23 167,273 170,988
</TABLE>
# Forward buy contract.
+ Valued under procedures established by the board of trustees.
A-52
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
Government National Mortgage Association - (Continued)
7.125% due 07/20/24 $2,936,508 $3,004,013
9.000% due 01/15/17 258,193 271,988
9.750% due 04/15/98 7,285 7,672
----------
13,874,152
----------
Student Loan Mortgage Association - 1.78%
5.735% due 04/25/04 1,845,318 1,849,193
----------
1,849,193
----------
Total Mortgage-Backed Securities
(Cost $49,829,662) 51,123,389
----------
OTHER ASSET-BACKED SECURITIES - 4.28%
Greenwich Capital Mortgage
7.623% due 01/25/22 + 105,484 106,836
Home Savings
5.771% due 05/25/27 + 469,041 453,578
Imperial Savings & Loan
9.900% due 02/25/18 + 67,322 71,224
10.169% due 02/25/18 + 18,816 18,934
Ryland Mortgage
5.000% due 11/25/31 + 146,214 133,169
6.620% due 10/01/27 + 2,117,199 2,117,199
Ryland Sec (First Nationwide Trust)
6.784% due 10/25/18 + 1,551,988 1,548,836
----------
Total Other Asset-Backed Securities
(Cost $5,412,529) 4,449,776
----------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.18%
FHLMC (IO)
6.500% due 09/15/18 1,668,440 189,822
-----------
Total Stripped Mortgage-Backed Securities
(Cost $197,395) 189,822
-----------
U.S. TREASURY BONDS - 3.64%
6.750% due 08/15/26 3,750,000 3,778,710
-----------
Total U.S. Treasury Bonds
(Cost $3,852,254) 3,778,710
-----------
U.S. TREASURY NOTES - 11.95%
5.250% due 12/31/97 1,400,000 1,395,403
5.875% due 11/30/01 2,000,000 1,971,565
6.000% due 09/30/98 1,000,000 1,002,733
6.375% due 09/30/01 8,000,000 8,050,020
-----------
Total U.S. Treasury Notes
(Cost $12,480,625) 12,419,721
-----------
FOREIGN BONDS - 1.47%
Canada - 1.47%
Canada Government Real Return
4.250% due 12/01/26 2,034,500 1,525,040
-----------
Total Foreign Bonds (Cost $1,468,871) 1,525,040
-----------
Total Investments in Securities
at Market Value (Cost $73,868,872) 74,154,645
-----------
</TABLE>
+ Valued under procedures established by the Board of Trustees.
A-53
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
- -------------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 26.56%
AT&T Corp
5.400% due 01/30/97 $2,500,000 $2,489,125
Ameritech Corp
5.330% due 02/14/97 1,500,000 1,490,228
Coca-Cola
5.450% due 01/10/97 4,500,000 4,493,869
Federal Home Loan Bank
5.370% due 02/20/97 500,000 496,271
Federal Home Loan Bank VRN
5.400% due 01/16/97 3,400,000 3,392,350
FHLMC
5.410% due 02/03/97 1,400,000 1,393,057
FNMA
5.450% due 02/11/97 800,000 795,034
General Electric Capital
5.400% due 01/09/97 4,100,000 4,095,080
New Center Asset Trust
5.400% due 01/15/97 4,500,000 4,490,550
United Parcel Service
5.390% due 02/03/97 4,500,000 4,477,766
----------
Total Commercial Paper 27,613,330
----------
U.S. TREASURY BILLS - 1.09%
4.810% due 03/13/97 ** 170,000 168,361
4.975% due 01/23/97 ** 245,000 244,255
4.980% due 01/23/97 ** 10,000 9,970
4.990% due 01/23/97 ** 30,000 29,909
4.990% due 01/23/97 ** 15,000 14,954
5.000% due 01/23/97 ** 15,000 14,954
5.000% due 03/13/97 ** 325,000 321,866
5.005% due 03/06/97 ** 10,000 9,913
5.025% due 03/06/97 ** 325,000 322,190
----------
Total U.S. Treasury Bills 1,136,372
----------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.01%
State Street Bank and Trust
4.000% due 01/02/97
(Dated 12/31/96, repurchase price
of $1,071,238; collateralized by U.S.
Treasury Notes - market value
$1,054,661 and due 02/15/02) 1,049,000 1,049,000
-----------
Total Securities Held Under Repurchase
Agreements 1,049,000
-----------
Total Short-Term Investments
at Amortized Value 29,798,702
-----------
TOTAL GOVERNMENT SECURITIES
PORTFOLIO (COST $103,667,548) 103,953,347
===========
</TABLE>
** Securities have been segregated with the custodian to cover
margin requirement for open future contracts as of
December 31, 1996.
See Notes to Financial Statements.
A-54
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 95.53%
Capital Goods - 3.22%
Bandag Inc 26,000 $ 1,231,750
Figgie International * 77,700 932,400
Granite Construction 81,000 1,539,000
Silicon Valley Group * 85,000 1,710,625
------------
5,413,775
------------
Consumer Discretionary - 29.74%
Alyn Corp * 67,300 731,887
American Disposal Services Inc * 150,000 2,775,000
American Radio Systems 'A' * 56,100 1,528,725
Banta Corp 52,500 1,200,937
BHC Communications 'A' * 12,200 1,236,775
Buffets Inc * 157,000 1,432,625
Cablevision Systems Corp 13,000 398,125
Carson Inc 'A' * 60,000 832,500
Chris Craft Industries Inc * 30,000 1,256,250
Cole National Corp 'A' * 38,900 1,021,125
Comsat Corp 74,400 1,832,100
Consolidated Stores * 37,500 1,204,687
Cox Radio Inc 'A' * 58,000 1,015,000
Donna Karan International Inc * 80,900 1,142,713
Foodmaker Inc * 125,000 1,109,375
Gaylord Entertainment 'A' 80,000 1,830,000
Globalstar Telecommunications * 38,800 2,444,400
GT Bicycles * 62,000 798,250
Hudson Foods 'A' 95,000 1,805,000
International Family Entertainment 'B' * 71,250 1,104,375
Jacor Communications * 50,000 1,368,750
Jones Intercable 'A' 43,600 452,350
Libbey Inc 75,000 2,090,625
Lojack Corp * 150,000 1,500,000
Micro Warehouse Inc * 43,200 507,600
NY Magic 28,000 504,000
Oil Dri America 33,000 495,000
Picturetel Corp * 45,600 1,185,600
Providence Journal Co * 53,000 1,623,125
Rio Hotel & Casino Inc * 70,000 1,023,750
RPM Inc 137,375 2,335,375
Ruby Tuesday Inc 43,300 801,050
Scotts Co * 60,000 1,192,500
Sizzler International Inc 41,800 120,175
Spelling Entertainment Group 67,000 494,125
Standard Products 54,500 1,389,750
Sunglass Hut International * 75,000 543,750
Tencor Instruments * 91,000 2,400,125
Viatel Inc * 105,000 945,000
Williams Sonoma * 32,000 1,164,000
Young Broadcasting Corp 'A' * 40,000 1,170,000
------------
50,006,499
------------
Consumer Staples - 3.58%
Hollinger International 'A' 64,600 742,900
Robert Mondavi 'A' * 60,000 2,190,000
Smithfield Foods Inc * 63,200 2,401,600
Topps Company (The) 172,000 688,000
------------
6,022,500
------------
Energy - 8.62%
Calenergy Inc * 71,000 2,387,375
Coflexip 41,752 1,095,990
Enron Global Power & Pipeline 45,000 1,215,000
Falcon Drilling Co Inc * 30,300 1,189,275
Global Marine Inc * 100,000 2,062,500
Louis Dreyfus Natural Gas * 112,000 1,918,000
Parker/Parsley Petroleum 39,000 1,433,250
San Juan Basin Realty Trust 175,000 1,443,750
Seacor Holdings Inc * 27,800 1,751,400
------------
14,496,540
------------
Financial & Business Services - 13.64%
Acnielsen Corp * 34,500 521,812
Air & Water Technical Corp 'A' * 30,300 174,225
Ba Merchant Services Inc 'A' * 60,600 1,083,225
Central Fidelity Banks Inc 60,000 1,545,000
Charter One Financial 36,750 1,543,500
Coast Savings Financial Inc * 40,000 1,465,000
Commerce Bancshares 30,555 1,413,169
</TABLE>
* Non-income producing securities.
A-55
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
Financial & Business Services - (Continued)
E.W. Blanch Holdings Inc 23,500 $ 472,937
First Financial Corp 42,875 1,050,437
First Midwest Bancorp 43,625 1,423,266
Harleysville Group Inc 45,000 1,372,500
Hibernia Corp 82,200 1,089,150
Insignia Financial Group Inc 'A' * 58,500 1,316,250
Jefferies Group Inc 40,000 1,615,000
Keystone Financial 36,000 900,000
Metromail Corp * 12,800 233,600
Price Reit Inc 'B' 26,300 1,012,550
Standard Federal Bank 22,100 1,256,938
Team Rental Group Inc * 51,500 830,437
Washington Federal Inc 50,000 1,325,000
Waste Mgmt International Inc ADR* 163,500 1,287,563
------------
22,931,559
------------
Health Care - 4.72%
Apria Healthcare Group * 90,000 1,687,500
Cardiac Pathways Corp * 13,700 162,687
COR Therapeutics * 140,000 1,382,500
Gensia Inc * 426 1,970
Gilead Science * 80,000 2,000,000
Heartport Inc * 34,700 793,763
Millennium Pharmaceuticals * 33,100 575,113
Sequus Pharmaceutical Inc * 83,500 1,336,000
------------
7,939,533
------------
Materials & Processing - 7.48%
Carbide/Graphite Group Inc * 25,000 490,625
Holophane * 87,850 1,669,150
Lindsay Manufacturing Inc Co 35,000 1,636,250
Martin Marietta Materials 48,600 1,129,950
OM Group Inc 42,000 1,134,000
Pentair Inc 40,700 1,312,575
Polymer Group Inc * 51,500 714,563
Potlatch Corp 35,000 1,505,000
Quebecor Printing 80,000 1,400,000
Quintiles Transnational * 24,000 1,590,000
------------
12,582,113
------------
Technology - 18.17%
Acclaim Entertainment Inc * 198,200 644,150
Applied Graphics Technologies Inc * 56,700 1,651,388
Avid Technology Inc * 53,700 557,138
BE Semiconducter * 43,400 542,500
Caraustar Industries Inc 35,500 1,180,375
C-Cor Electronics * 46,000 609,500
Data General Corp * 85,000 1,232,500
Etec Systems Inc * 92,200 3,526,650
Harmon International 13,800 767,625
Indus Group Inc * 38,200 983,650
Integrated Process Equipment Corp * 70,000 1,260,000
Komag Inc * 45,000 1,220,625
Kulicke & Soffa Industries * 130,000 2,470,000
Lam Research * 60,000 1,687,500
Lexmark International Group * 22,000 607,750
Macromedia Inc * 74,000 1,332,000
Micro Linear Corp * 40,000 345,000
Microchip Technology Inc * 56,750 2,887,156
Netcom On-Line Communication * 25,300 328,900
Plasma & Materials Techology Inc * 72,000 846,000
Quantum Corp * 60,000 1,717,500
Stratus Computer * 28,000 763,000
Teleflex 21,900 1,141,537
Ultratech Stepper * 83,000 1,971,250
Vanguard Cellular System * 18,100 285,075
------------
30,558,769
------------
Transportation - 4.29%
America West Airlines * 113,000 1,793,875
APS Holding Corp 'A' * 43,600 675,800
Landstar System Inc * 55,000 1,278,750
Lear Seating Corp * 29,400 1,003,275
Polaris Industries 47,500 1,128,125
Teekay Shipping 40,800 1,336,200
------------
7,216,025
------------
</TABLE>
* Non-income producing securities.
A-56
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
Utilities - 2.06%
<S> <C> <C>
Brooks Fiber Properties Inc * 20,500 $ 522,750
Octel Communications * 110,000 1,925,000
Telephone/Data Systems 28,000 1,015,000
------------
3,462,750
------------
Total Common Stocks (Cost $139,637,298) 160,630,063
------------
Principal Market
Amount Value
------ -----
Corporate Bonds & Notes - 0.15%
<S> <C> <C>
Trenwick Group
6.000% Due 12/15/99 $240,000 253,200
------------
Total Corporate Bonds & Notes
(Cost $240,000) 253,200
------------
Total Investments in Securities
at Market Value (Cost $139,877,298) 160,883,263
------------
Value
-----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 4.32%
State Street Bank and Trust
4.000% due 01/02/97
(dated 12/31/96, repurchase price
of $7,264,614; collateralized by U.S.
Treasury Notes - market value
$7,147,677 and due 02/15/02) 7,263,000 7,263,000
------------
Total Securities Held Under Repurchase
Agreement 7,263,000
------------
Total Short-Term Investments
at amortized cost 7,263,000
------------
TOTAL GROWTH PORTFOLIO
(COST $147,140,298) $168,146,263
============
</TABLE>
* Non-income producing securities.
see notes to Financial Statements.
A-57
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Portfolio Of Investments
December 31, 1996
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Common Stocks - 85.07%
Capital Goods - 5.88%
Camco International 17,000 $ 784,125
James River Corp 33,900 1,122,938
National Semiconductor * 17,200 419,250
QUALCOM Inc * 16,800 669,900
-----------
2,996,213
-----------
Consumer Discretionary - 22.36%
Apac Teleservices Inc * 25,500 978,563
CKS Group Inc * 20,000 557,500
Eagle Hardware & Garden * 35,000 726,250
Furniture Brands International Inc * 55,000 770,000
Gartner Group Inc 'A' * 25,600 996,800
Gucci Group 12,400 792,050
MGM Grand Inc * 19,800 690,525
O'Sullivan Industries Holdings * 55,000 770,000
Pacific Sunwear Of California * 35,000 901,250
St. Johns Knits Inc 18,000 783,000
Superior Services Inc * 30,000 611,250
VIASOFT Inc * 14,000 661,500
Waters Corp * 28,000 850,500
West Marine Inc * 18,200 514,150
Williams Sonoma * 21,900 796,612
-----------
11,399,950
-----------
Consumer Staples - 0.85%
Mastec Inc * 8,200 434,600
-----------
434,600
-----------
Energy - 9.33%
Devon Energy Corp 20,000 695,000
Diamond Offshore Drilling * 16,400 934,800
Energy Ventures Inc * 17,000 864,875
Nabors Industries Inc * 39,500 760,375
Nuevo Energy Co * 15,000 780,000
United Meridian Corp * 13,900 719,325
-----------
4,754,375
-----------
Financial & Business Services - 8.70%
Bank Plus Corp * 55,000 $632,500
CMAC Investment Corp 17,000 624,750
COREstaff Inc * 28,000 663,250
Everest Reinsurance Holdings 19,800 569,250
Imperial Credit Industries * 25,000 525,000
Interim Service Inc * 12,500 443,750
Washington Mutual Inc 22,600 978,863
-----------
4,437,363
-----------
Health Care - 8.16%
Alternative Living Services * 22,000 319,000
AmeriSource Health 'A' * 13,300 641,725
HEALTHSOUTH Corp * 12,000 463,500
Hooper Holmes Inc 55,000 955,625
Jones Medical Industries Inc 14,000 512,750
Medicis Pharmaceutical 'A' * 12,000 528,000
Mentor Corp 25,000 737,500
-----------
4,158,100
-----------
Materials & Processing - 4.42%
Republic Industries Inc * 14,600 455,338
USA Waste Services * 25,000 796,875
Wyman-Gordon 45,000 1,001,250
-----------
2,253,463
-----------
Technology - 23.72%
Ace Communications Corp * 60,000 900,000
Act Networks Inc * 2,600 94,900
Adaptec Inc * 34,000 1,360,000
Ascend Communications Inc * 15,700 975,362
Axent Technologies Inc * 30,000 450,000
Billing Information Concepts * 20,000 575,000
Check Point Software 12,500 271,875
Checkpoint System * 25,000 618,750
Fore Systems * 22,900 752,837
LCC International Inc 'A' * 23,000 425,500
Netscape Communications Corp * 19,100 1,086,312
Rational Software Corp * 21,300 842,681
</TABLE>
A-58
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Technology - (Continued)
Talx Corp * 84,000 $ 693,000
Titanium Metals Corp * 26,000 854,750
Videoserver Inc * 17,000 722,500
VLSI Technology * 35,000 835,625
Xylan Corp * 22,400 632,800
----------
12,091,892
----------
Transportation - 1.65%
Harley-Davidson Inc 17,900 841,300
----------
841,300
----------
Total Common Stocks (Cost $41,046,297) 43,367,256
----------
Total Investments In Securities
At Market Value (Cost $41,046,297) 43,367,256
----------
Principal
Amount Value
------ -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 14.93%
State Street Bank And Trust
4.000% Due 01/02/97
(Dated 12/31/96, repurchase price
of $7,610,691; collateralized by U.S.
Treasury Notes - market value
$7,765,668 and due 06/26/97) $7,609,000 7,609,000
----------
Total Securities Held Under Repurchase
Agreement 7,609,000
----------
Total Short-Term Investments
at amortized cost 7,609,000
----------
TOTAL AGGRESSIVE EQUITY
PORTFOLIO (Cost $48,655,297) $50,976,256
===========
* Non-income producing securities.
see notes to Financial Statements.
</TABLE>
A-59
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio Of Investments
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 76.54%
Consumer Discretionary - 12.05%
Abercrombie & Fitch Co 'A' * 230,725 $ 3,806,963
Bristol Myers Squibb 32,950 3,583,313
Central Euro Media Entert 'A' * 40,466 1,284,796
Concord EFS Inc * 46,975 1,327,044
Doubletree Corp * 77,250 3,476,250
Extended Stay America Inc * 22,500 452,813
Fastenal Co 12,475 570,731
Galoob (Lewis) Toys Inc * 45,275 633,850
Linens 'N Things Inc * 43,425 852,216
MFS Communications Co Inc * 295,497 16,104,587
Millicom International Cellular 'A' * 18,625 598,328
National Processing Inc * 85,650 1,370,400
Nike Inc 95,450 5,703,138
Nordstrom Inc 17,075 605,095
Paging Network Inc * 97,675 1,489,544
Palmer Wireless Inc 'A' * 80,475 844,988
Papa John's International Inc * 11,775 397,406
Planet Hollywood Intl Inc 'A' * 32,750 646,813
Teletech Holdings Inc * 175,225 4,555,850
Tommy Hilfiger * 12,300 590,400
Verifone Inc * 42,500 1,253,750
Warner Lambert Co 37,300 2,797,500
-----------
52,945,775
-----------
Energy - 1.18%
Triton Energy Limited * 106,725 5,176,163
-----------
5,176,163
-----------
Financial & Business Services - 19.68%
Alco Standard Corp 83,875 4,330,047
Associates First Capital Corp 97,400 4,297,775
Bank Of New York Co Inc 30,700 1,036,125
Chase Manhattan Corp 48,600 4,337,550
First Data Corp 221,300 8,077,450
First USA Paymentech Inc * 426,350 14,442,606
HFS Inc * 133,550 7,979,613
Lamar Advertising Co * 79,100 1,918,175
Outdoor Systems Inc * 75,813 2,132,227
Redwood Trust Inc 84,050 3,130,863
Schwab (Charles) Corp 12,400 396,800
SunAmerica Inc 48,200 2,138,875
Universal Outdoor Holdings * 13,625 320,188
UNUM Corp 59,450 4,295,263
Wells Fargo & Co 102,741 27,714,385
-----------
86,547,942
-----------
Health Care - 9.83%
Centocor Inc * 265,650 9,496,988
HBO & Co 237,175 14,082,266
Lilly (Eli) & Co 109,225 7,973,425
Omnicare Inc 167,325 5,375,316
Pharmaceutical Product Development * 70,300 1,775,075
Target Therapeutics * 107,025 4,495,050
-----------
43,198,120
-----------
Materials & Processing - 1.53%
Monsanto Co 130,850 5,086,794
Praxair Inc 34,050 1,570,556
Quintiles Transnational * 1,250 82,813
-----------
6,740,163
-----------
Technology - 27.06%
Advanced Micro Devices * 13,575 349,556
Analog Devices * 439,500 14,888,063
Ascend Communications Inc * 87,850 5,457,681
Aspen Technology Inc * 33,375 2,678,344
Black Box Corp * 12,475 514,594
Cambridge Tech Partners Inc * 5,975 200,536
Ciber Inc * 17,450 523,500
Cisco Systems Inc * 226,200 14,391,975
CompDent Corp * 80,800 2,848,200
Dell Computer Corp * 17,275 917,734
Documentum Inc * 13,900 469,125
ETEC Systems Inc * 10,775 412,144
HNC Software Inc * 94,600 2,968,075
IBM Corp 46,925 7,085,675
Indus Group Inc * 97,075 2,499,681
Intel Corp 45,200 5,918,375
Intelligroup * 14,500 159,500
</TABLE>
* Non-income producing securities
A-60
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
Technology - (Continued)
Intelliquest Information Group * 96,675 $ 2,199,356
JDA Software Group Inc * 85,325 2,431,763
Keane Inc * 79,000 2,508,250
Lucent Technologies Inc 56,025 2,591,156
Meta Group Inc * 40,850 1,102,950
Microsoft Corp * 24,800 2,049,100
Netscape Communications Corp * 76,650 4,359,469
Oracle Systems Corp * 22,675 946,681
Parametric Technology Corp * 138,900 7,135,988
Peoplesoft Inc * 163,975 7,860,552
Pittway Corp 127,362 6,813,867
Premiere Technologies Inc * 3,600 90,000
Sapient Corp * 11,225 472,853
Sun Microsystems * 133,275 3,423,510
Systemsoft Corp * 76,000 1,130,500
Technology Solutions * 116,075 4,817,113
U.S. Robotics Corp 37,450 2,696,400
West Teleservices * 9,375 213,281
Xylan Corp * 136,475 3,855,419
--------------
118,980,966
--------------
Transportation - 0.52%
Wisconsin Central Trans * 58,200 2,306,175
--------------
2,306,175
--------------
Utilities - 4.69%
Cincinnati Bell Inc 176,425 10,872,191
Commnet Cellular Inc * 8,575 239,028
Worldcom Corp * 364,450 9,498,478
-----------
20,609,697
-----------
Total Common Stocks
(Cost $302,681,254) 336,505,001
-----------
FOREIGN COMMON STOCKS - 10.20%
Brazil - 0.39%
Telebras ADR 22,550 1,725,075
-----------
1,725,075
-----------
Canada - 1.14%
Potash Corp Of Saskatchewan 59,043 5,018,655
-----------
5,018,655
-----------
Finland - 1.73%
Cultor Oy 1 2,858 155,400
Metra Oy 'B' 64,794 3,635,837
Nokia Corp ADR Pref 66,125 3,810,453
-----------
7,601,690
-----------
France - 0.32%
Axime (Ex Segin) 12,320 1,424,277
-----------
1,424,277
-----------
Germany - 0.76%
Fresenius Medical Care ADR * 118,375 3,329,297
-----------
3,329,297
-----------
Italy - 1.97%
Banca Popolare Di Bergam 20,771 342,078
Gucci Group * 102,000 6,515,250
Telecom Italia SPA 715,440 1,807,452
-----------
8,664,780
-----------
Mexico - 0.00%
Grupo Financiero Inbursa 2,784 9,498
-----------
9,498
-----------
Netherlands - 0.05%
Baan Company Nv * 6,225 216,319
-----------
216,319
-----------
Sweden - 0.83%
Kinnevik Ab 'B' Free 64,755 1,779,049
Netcom System Ab 69,107 1,115,940
Securitas Ab 'B' Free 24,990 724,909
-----------
3,619,898
-----------
</TABLE>
* Non-income producing securities.
A-61
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
United Kingdom - 3.01%
Barclays PLC 121,454 $ 2,080,940
Danka Business Systems ADR 35,375 1,251,391
Ecsoft Group PLC ADR * 69,875 672,545
Glaxo Holdings 28,581 463,995
Glaxo Sponsored ADR 29,525 937,418
Rentokil Group PLC 528,568 3,973,708
SmithKline Beecham PLC 56,675 3,853,900
-----------
13,233,897
-----------
Total Foreign Common Stocks
(Cost $35,509,662) 44,843,386
-----------
Total Investments in Securities
at Market Value (Cost $338,190,916) 381,348,387
-----------
COMMERCIAL PAPER - 12.56%
Principal
Shares Value
------ ------
American Express Credit
6.550% due 01/02/97 $ 15,300,000 15,297,216
FMC Finance
5.250% due 01/23/97 10,000,000 9,967,916
FNMA
5.625% due 01/03/97 20,000,000 19,993,750
JP Morgan
5.300% due 01/13/97 10,000,000 9,982,334
-----------
Total Commercial Paper 55,241,216
-----------
U.S. TREASURY BILLS - 0.68%
5.190% due 01/09/97 3,000,000 2,996,540
-----------
Total U.S. Treasury Bills 2,996,540
-----------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.02%
State Street Bank and Trust
4.000% due 01/02/97
(Dated 12/31/96, repurchase price
of $85,019; collateralized by U.S.
Treasury Notes - market value
$87,114 and due 06/26/97) $85,000 $85,000
------------
Total Securities Held Under Repurchase
Agreement 85,000
------------
Total Short-term Investments
at Amortized Cost 58,322,756
------------
TOTAL GROWTH LT PORTFOLIO
(COST $396,513,672) $439,671,143
============
</TABLE>
* Non-income producing securities.
See Notes To Financial Statements.
A-62
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
Common Stocks - 95.86%
Capital Goods - 8.62%
AlliedSignal Inc 90,600 $ 6,070,200
Boeing 121,700 12,945,838
Coltec Industries * 113,800 2,147,975
Cooper Industries Inc 48,500 2,043,062
Grainger (W.W.) Inc 87,900 7,053,975
WMX Technologies Inc 224,700 7,330,838
-------------
37,591,888
-------------
Consumer Discretionary - 19.34%
American Home Products 91,600 5,370,050
Bausch & Lomb Inc 42,900 1,501,500
Bristol Myers Squibb 45,500 4,948,125
Circuit City Store 140,300 4,226,538
Federated Department Stores * 93,300 3,183,863
Learning Co Inc * 146,800 2,110,250
MCI Communications Corp 181,500 5,932,781
Paging Network Inc * 120,900 1,843,725
Procter & Gamble 122,000 13,115,000
TCI Satellite Entertainment 'A' * 186,100 1,837,738
Tele-communications 'A' * 703,300 9,186,856
Time Warner Inc 189,200 7,095,000
Toys R Us * 117,000 3,510,000
Viacom Inc 49,400 1,722,825
Wal-Mart Stores Inc 462,900 10,588,838
Warner Lambert Co 109,100 8,182,500
-------------
84,355,589
-------------
Consumer Staples - 7.51%
Kellogg Co 31,800 2,086,875
Pepsico 252,200 7,376,850
Philip Morris Co Inc 124,300 13,999,288
Ralston-Purina Group 61,400 4,505,225
Unilever N.V. 27,200 4,766,800
-------------
32,735,038
-------------
Energy - 11.67%
Anadarko Petroleum 30,600 1,981,350
Ashland Oil Inc 90,300 3,961,913
British Petroleum PLC ADR 41,178 5,821,539
Cooper Cameron Corp * 20,835 1,593,877
DuPont (Ei) deNemours 79,900 7,540,562
Duke Power Co 44,900 2,076,625
Enron Corp 98,300 4,239,188
Exxon Corp 170,800 16,738,400
Royal Dutch Petroleum Guild 40,700 6,949,525
-------------
50,902,979
-------------
Financial & Business Services - 14.29%
Ambac Inc 29,800 1,977,975
Corestates Financial 68,400 3,548,250
Crestar Financial Corp 38,600 2,870,875
Dean Witter Discover & Co 88,900 5,889,625
First Chicago NBD Corp 129,100 6,939,125
First Data Corp 52,700 1,923,550
First Tennessee National 61,800 2,317,500
First USA Inc 126,500 4,380,062
Firstar Corp 74,700 3,921,750
Fleet Financial Group Inc 63,900 3,187,013
Great Western Financial 31,400 910,600
ITT Hartford Group 83,200 5,616,000
MBIA Inc 21,800 2,207,250
NationsBank Corp 86,600 8,465,150
Providian Corp 140,800 7,233,600
Salomon Inc 19,500 918,937
-------------
62,307,262
-------------
Health Care - 6.87%
Alza Corp * 60,100 1,555,088
Columbia/HCA Healthcare 145,500 5,929,125
Forest Laboratories * 166,900 5,465,975
Humana Inc 107,400 2,054,025
Pfizer Inc 41,500 3,439,312
Schering-Plough 32,500 2,104,375
SmithKline Beecham PLC 33,200 2,257,600
United Healthcare Corp 159,200 7,164,000
-------------
29,969,500
-------------
</TABLE>
* Non-income Producing Securities.
A-63
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
Materials & Processing - 6.18%
Albemarle Corp 224,400 $ 4,067,250
Allegheny Teledyne Inc 219,229 2,560,612
Aluminum Company Of America 57,000 3,633,750
Johnson Controls Inc 52,800 4,375,800
Temple Inland Inc 52,600 2,846,975
Union Carbide Corp 181,000 7,398,375
USG Corp * 60,500 2,049,437
-------------
26,932,199
-------------
Technology - 10.16%
Autodesk Inc 56,100 1,570,800
Bay Networks Inc * 61,500 1,283,813
CISCO Systems Inc * 79,000 5,026,375
Compaq Computer Corp * 24,600 1,826,550
EMC Corp * 143,200 4,743,500
General Instruments Corp * 283,400 6,128,525
IBM Corp 37,700 5,692,700
Intel Corp 30,500 3,993,593
Oracle Systems Corp * 52,600 2,196,050
Perkin Elmer Corp 38,600 2,272,575
Quantum Corp * 134,400 3,847,200
Read-Rite Corp * 98,700 2,492,175
Sensormatic Electric 193,500 3,241,125
-------------
44,314,981
-------------
Transportation - 4.32%
Consolidated Freightways Corp * 88,950 789,431
Consolidated Freightways Inc 177,800 3,956,050
General Motors Corp 148,500 8,278,875
Union Pacific Corp 97,000 5,832,125
-------------
18,856,481
-------------
Utilities - 6.90%
Allegheny Power Systems 84,300 5,042,268
Bell Atlantic Corp 83,100 5,380,725
Dominion Resources Inc 64,900 2,498,650
Edison International 107,200 2,130,600
GTE Corp 47,300 2,152,150
Pacific Gas & Electric 107,600 2,259,600
SBC Communications 56,100 2,903,175
U.S. West Communications 98,200 3,166,950
Worldcom Corp * 173,900 4,532,268
-------------
30,066,386
-------------
Total Common Stocks (Cost $379,308,360) 418,032,303
-------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.38%
Consumer Discretionary - 0.38%
Berkshire Hathway
1.000% due 12/02/01 $1,800,000 1,651,500
-------------
Total Corporate Bonds & Notes (Cost $1,636,479) 1,651,500
-------------
Total Investments in Securities
at Market Value ($380,944,839) 419,683,803
-------------
<CAPTION>
Value
-----------
<S> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.76%
State Street Bank and Trust
4.000% due 01/02/97
(Dated 02/15/02, repurchase price
Of $16,385,463; collateralized by U.S.
Treasury Notes - market value
$16,122,738 and due 02/15/02) 16,381,822 16,381,822
-------------
Total Securities Held Under Repurchase
Agreement 16,381,822
-------------
Total Short-Term Investments
at amortized cost 16,381,822
-------------
TOTAL EQUITY INCOME PORTFOLIO
(Cost $397,326,661) $ 436,065,625
=============
</TABLE>
* Non-income producing securities.
See Notes to Financial Statements.
A-64
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments
December 31, 1996
- -----------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 50.30%
Capital Goods - 4.60%
AlliedSignal Inc 26,300 $ 1,762,100
Boeing 33,100 3,521,013
Coltec Industries * 31,600 596,450
Cooper Industries Inc 13,300 560,263
Grainger (W.W.) Inc 24,100 1,934,025
WMX Technologies Inc 60,800 1,983,600
-------------
10,357,451
-------------
Consumer Discretionary - 10.14%
American Home Products 25,500 1,494,938
Bausch & Lomb Inc 12,200 427,000
Bristol Myers Squibb 12,200 1,326,750
Circuit City Store 38,000 1,144,750
Federated Department Stores * 25,500 870,188
Learning Co Inc * 38,300 550,563
MCI Communications Corp 49,600 1,621,300
Paging Network Inc * 34,200 521,550
Procter & Gamble 32,900 3,536,750
TCI Satellite Entertainment 'A' * 49,000 483,875
Tele-Communications 'A' * 191,700 2,504,081
Time Warner Inc 51,700 1,938,750
Toys R Us * 31,000 930,000
Viacom International Inc 13,500 470,813
Wal-Mart Stores Inc 122,600 2,804,475
Warner Lambert Co 29,500 2,212,500
-------------
22,838,283
-------------
Consumer Staples - 3.93%
Kellog Co 8,700 570,938
PepsiCo 66,400 1,942,200
Philip Morris Co Inc 33,500 3,772,938
Ralston-Purina Group 17,000 1,247,375
Unilever N.V. 7,500 1,314,375
8,847,826
Energy - 6.16%
Anadarko Petroleum 8,200 530,950
Ashland Oil Inc 24,500 1,074,938
British Petroleum PLC ADR 11,287 1,595,700
Cooper Cameron Corp * 6,449 493,349
Duke Power Inc 12,500 578,125
duPont (EI) deNemours 21,800 2,057,375
Enron Corp 26,400 1,138,500
Exxon Corp 46,000 4,508,000
Royal Dutch Petroleum Guild 11,000 1,878,250
-------------
13,855,187
-------------
Financial & Business Services - 7.44%
Ambac Inc 8,100 537,638
Corestates Financial 18,500 959,688
Crestar Financial Corp 10,400 773,500
Dean Witter Discover & Co 22,900 1,517,125
First Chicago Nbd Corp 35,100 1,886,625
First Data Corp 14,400 525,600
First Tennessee National 16,800 630,000
First USA Inc 34,400 1,191,100
Firstar Corp 19,700 1,034,250
Fleet Financial Group Inc 17,200 857,850
Great Western Financial 8,300 240,700
ITT Hartford Group 22,100 1,491,750
MBIA Inc 6,000 607,500
NationsBank Corp 23,600 2,306,900
Providian Corp 37,900 1,947,113
Salomon Inc 5,000 235,625
-------------
16,742,964
-------------
Health Care - 3.57%
Alza Corp * 16,400 424,350
Columbia/HCA Healthcare 39,600 1,613,700
Forest Laboratories * 44,000 1,441,000
Humana Inc 28,400 543,150
Pfizer Inc 11,400 944,775
Schering-Plough 8,800 569,800
SmithKline Beecham Plc 9,000 612,000
United Healthcare Corp 42,100 1,894,500
-------------
8,043,275
-------------
Materials & Processing - 3.52%
Albemarle Corp 57,600 1,044,000
Allegheny Teledyne Inc 58,397 1,343,131
Aluminum Company Of America 15,600 994,500
Johnson Controls Inc 14,200 1,176,825
Temple Inland Inc 14,800 801,050
</TABLE>
*Non-income producing securities.
A-65
<PAGE>
PACIFIC SELECT FUND
MILTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
Materials & Processing - (Continued)
Union Carbide Corp 49,200 $ 2,011,050
552,163
-------------
USG Corp * 16,300 7,922,719
-------------
Technology - 5.35%
445,200
Autodesk Inc 15,900 348,613
Bay Networks Inc * 16,700 1,361,575
Cisco Systems Inc * 21,400 519,750
Compaq Computer Corp * 7,000 1,291,875
EMC Corp * 39,000 1,669,450
General Instruments Corp * 77,200 1,540,200
IBM Corp 10,200 1,086,781
Intel Corp 8,300 597,025
Oracle Systems Corp * 14,300 606,413
Perkin Elmer Corp 10,300 1,050,538
Quantum Corp * 36,700 669,125
Read-Rite Corp * 26,500 845,875
-------------
Sensormatic Electric 50,500 12,032,420
-------------
Transportation - 2.28%
238,738
Consolidated Freightways Corp * 26,900 1,197,050
Consolidated Freightways Inc 53,800 2,190,975
General Motors Corp 39,300 1,509,138
-------------
Union Pacific Corp 25,100 5,135,901
-------------
Utilities - 3.31%
701,663
Allegheny Power Systems 23,100 1,463,350
Bell Atlantic Corp 22,600 681,450
Dominion Rec Inc Va 17,700 582,338
Edison International 29,300 591,500
GTE Corp 13,000 617,400
Pacific Gas & Electric 29,400 802,125
SBC Communications 15,500 777,225
U.S. West Communications 24,100 1,237,969
-------------
Worldcom Corp * 47,500 7,455,020
-------------
Total Common Stocks 113,231,046
(Cost $102,604,364) -------------
<CAPTION>
- ----------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 9.35%
Consumer Discretionary - 0.21%
Tele-Communications
$ 430,000 $ 470,243
-------------
10.125% due 04/15/22 470,243
-------------
Energy - 1.76%
Ferrellgas Partners L.P.
9.375% due 06/15/06 500,000 506,250
Hydro Quebec
8.875% due 03/01/26 2,100,000 2,405,550
Standard Oil Co
9.000% due 06/01/19 1,000,000 1,051,950
-------------
3,963,750
-------------
Financial & Business Services - 4.10%
Aegis Auto Trust
8.800% due 03/20/02 631,654 645,866
Chase Manhattan
10.125% due 11/01/00 500,000 560,085
Chrysler Financial Corp
5.625% due 01/15/99 1,000,000 989,910
First Union Corp
6.550% due 10/15/35 1,700,000 1,654,338
Fleetwood Credit Corp Grantor Trust
6.900% due 03/15/12 1,895,410 1,923,197
Marshall & Ilsley
7.650% due 12/01/26 1,000,000 970,000
Mellon Bank Capital
7.720% due 12/01/26 500,000 493,057
Metropolitan Life
7.000% due 11/01/05 2,000,000 1,981,360
-------------
9,217,813
-------------
Health Care - 0.36%
Mariner Health Group
9.500% Due 04/01/06 250,000 244,375
Tenet Healthcare
10.125% Due 03/01/05 500,000 555,000
-------------
799,375
-------------
</TABLE>
*Non-income producing securities.
A-66
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
- ----------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
Materials & Processing - 0.94%
Buckeye Cellulose
8.500% due 12/15/05 $ 200,000 $ 201,500
Georgia Pacific
9.950% due 06/15/02 1,500,000 1,706,640
Ryerson Tull Inc
9.125% due 07/15/06 200,000 210,000
-------------
2,118,140
-------------
Transportation - 0.72%
General Motors Corp
9.125% due 07/15/01 250,000 273,313
Union Tank Car
6.500% due 04/15/08 1,438,029 1,353,372
-------------
1,626,685
-------------
Utilities - 1.26%
Texas Utilities
7.375% due 10/01/25 1,000,000 941,280
Virginia Electric Power
7.250% due 02/01/23 2,000,000 1,900,740
-------------
2,842,020
-------------
Total Corporate Bonds & Notes
(Cost $20,957,352) 21,038,026
-------------
CONVERTIBLE BONDS - 1.15%
Financial & Business Services - 0.92%
Berkshire Hathway
1.000% due 12/02/01 500,000 458,750
Ford Motor Credit
8.625% due 01/24/00 1,515,000 1,606,847
-------------
2,065,597
-------------
Technology - 0.23%
Moog Inc
10.000% due 05/01/06 500,000 527,500
-------------
527,500
-------------
Total Convertible Bonds
(Cost $2,763,238) 2,593,097
-------------
MORTGAGE-BACKED SECURITIES - 9.98%
Collateralized Mortgage Obligations - 0.10%
Donaldson, Lufkin & Jenrette
8.548% due 11/25/24 $ 215,982 $ 216,049
-------------
216,049
-------------
Federal Home Loan Mortgage Corporation - 2.27%
6.500% due 09/01/10 318,720 313,955
6.500% due 03/01/11 35,255 34,685
6.500% due 04/01/11 401,762 395,530
6.500% due 05/01/11 3,242,138 3,190,592
7.000% due 01/01/04 360,217 361,420
8.500% due 07/01/02 795,556 823,194
-------------
5,119,376
-------------
Federal National Mortgage Association - 5.12%
5.500% due 04/25/05 500,000 492,810
6.000% due 12/25/07 581,674 67,256
6.300% due 12/25/15 1,925,651 1,868,483
6.500% due 01/25/23 6,220,000 6,034,520
8.000% due 11/01/26 2,996,631 3,058,016
-------------
11,521,085
-------------
Government National Mortgage Association - 2.49%
7.000% due 06/15/23 659,919 648,991
7.000% due 03/15/24 451,101 443,527
7.000% due 04/15/24 1,361,644 1,338,782
7.000% due 05/15/24 99,764 98,089
7.125% due 06/20/21 251,093 256,747
7.125% due 06/20/23 159,822 163,346
7.500% due 05/15/17 140,035 141,974
7.500% due 02/15/24 44,290 44,456
8.000% due 11/15/25 510,812 522,627
8.000% due 06/15/26 634,462 648,579
8.000% due 07/15/26 328,260 335,564
8.000% due 09/15/26 488,306 499,171
12.000% due 05/15/16 413,376 473,195
-------------
5,615,048
-------------
Total Mortgage-Backed Securities
(Cost $22,203,345) 22,471,558
-------------
</TABLE>
A-67
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
OTHER ASSET-BACKED SECURITIES - 4.21%
Access Financial Corp
6.100% due 05/15/21 $ 799,799 $ 800,247
6.375% due 05/15/21 1,000,000 992,650
Alaska Trade Co
6.790% due 10/01/05 ~ 2,500,000 2,475,000
Caterpillar Financial
6.300% due 05/25/02 500,000 500,790
Greentree Financial
6.700% due 10/15/17 1,000,000 1,008,700
Greentree Rec, Equip, & Consumer Trust
5.550% due 02/15/18 682,770 665,489
Morgan Stanley Mtg Trust
8.950% due 05/01/17 515,256 531,650
Premier Auto Trust
4.650% due 11/02/99 475,670 471,060
U.S.A. Bancorp
8.270% due 12/15/26 1,000,000 1,031,380
World Omni Auto Lease
6.300% due 06/25/02 1,000,000 1,007,150
-------------
Total Other Asset-Backed Securities
(Cost $9,483,954) 9,484,116
-------------
U.S. TREASURY BONDS - 10.42%
6.000% due 02/15/26 650,000 591,706
8.500% due 02/15/20 15,459,000 18,572,481
12.000% due 08/15/13 3,000,000 4,291,879
-------------
Total U.S. Treasury Bonds
(Cost $22,485,794) 23,456,066
-------------
U.S. TREASURY NOTES - 5.67%
6.000% due 08/15/99 7,225,000 7,226,100
6.875% due 07/31/99 2,910,000 2,970,011
6.875% due 05/15/06 365,000 376,235
7.875% due 11/15/04 2,000,000 2,183,121
-------------
Total U.S. Treasury Notes
(Cost $12,679,306) 12,755,467
-------------
FOREIGN BONDS - 1.07%
China - 0.11%
Guangdong International
8.750% due 10/24/16 250,000 257,263
-------------
257,263
-------------
England - 0.61%
Midland Bank PLC
8.625% due 12/15/04 1,250,000 1,363,950
-------------
1,363,950
-------------
France - 0.25%
Legrand
8.500% due 02/15/25 500,000 562,474
-------------
Indonesia - 0.05% 562,474
-------------
Sampoerna International
8.375% due 06/15/06 100,000 101,636
-------------
101,636
-------------
Philippines - 0.05%
Philippine Long Distance
10.625% due 06/02/04 100,000 113,374
-------------
113,374
-------------
Total Foreign Bonds
(Cost $2,214,146) 2,398,697
-------------
Total Investments In Securities
at Market Value (Cost $195,391,499) 207,428,073
-------------
</TABLE>
~Purchased in a private placment transaction;
the public may require registration.
A-68
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
- ----------------------------------------------------------------------------
Principal
Amount Value
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.85%
State Street Bank And Trust
4.000% due 01/02/97
(Dated 12/31/96, repurchase price
of $17,662,049; collateralized by U.S.
Treasury Notes - market value
$17,375,800 and due 02/15/02) $ 17,658,125 $ 17,658,125
-------------
Total Securities Held Under Repurchase
Agreement 17,658,125
-------------
Total Short-Term Investment
at Amortized Cost 17,658,125
-------------
TOTAL MULTI-STRATEGY PORTFOLIO
(Cost $213,049,624) $ 225,086,198
=============
</TABLE>
See Notes to Financial Statements
A-69
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Portfolio of Investments
December 31, 1996
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 92.97%
Capital Goods - 2.10%
Case Corp 80,000 $ 4,360,000
------------
4,360,000
------------
Consumer Discretionary - 26.66%
Abercrombie & Fitch Co 'A' * 100,000 1,650,000
Boston Chicken Inc* 110,000 3,946,250
Callaway Golf Co 200,000 5,750,000
Estee Lauder Co 'A' 110,000 5,596,250
General Mills Inc 50,000 3,168,750
Gillette Co 30,000 2,332,500
Gucci Group 125,000 7,984,375
Kmart Corp 50,000 518,750
Motorola 50,000 3,068,750
Nike Inc 50,000 2,987,500
Saks Holdings Inc* 140,000 3,780,000
Sears Roebuck 50,000 2,306,250
Tiffany & Co 50,000 1,831,250
Univision Communications Inc* 60,000 2,220,000
Walt Disney Productions 120,000 8,355,000
------------
55,495,625
------------
Consumer Staples - 6.17%
Coca-Cola 100,000 5,262,500
Starbucks Corp* 265,000 7,585,625
------------
12,848,125
------------
Financial & Business Services - 18.56%
Associates First Capital Corp 50,000 2,206,250
Chase Manhattan Corp 100,000 8,925,000
Citicorp 100,000 10,300,000
First Usa Inc 200,000 6,925,000
HFS Inc* 120,000 7,170,000
MBNA Corp 50,000 2,075,000
Robert Half International INC * 30,000 1,031,250
------------
38,632,500
------------
Technology - 36.65%
Adaptec Inc* 65,000 2,600,000
Cisco Systems Inc* 150,000 9,543,750
Compaq Computer Corp* 70,000 5,197,500
Dell Computer Corp* 90,000 4,781,250
Diebold Inc 40,000 2,515,000
Fore Systems* 80,000 2,630,000
Gateway 2000* 40,000 2,142,500
Hewlett Packard Co 60,000 3,015,000
Intel Corp 78,000 10,213,125
McAfee Associates Inc* 80,000 3,520,000
Microsoft Corp* 140,000 11,567,500
Netscape Communications Corp* 20,000 1,137,500
Oracle Systems Corp* 75,000 3,131,250
Sun Microsystems* 200,000 5,137,500
U.S. Robotics Corp 25,000 1,800,000
3 Com Corp* 100,000 7,337,500
------------
76,269,375
------------
Transportation - 0.65%
Rohr Industries* 60,000 1,357,500
------------
1,357,500
------------
Utilities - 2.18%
Ericsson (LM) Tel 'B'ADS 150,000 4,528,125
------------
4,528,125
------------
Total Common Stocks (Cost $154,876,475) 193,491,250
------------
Total Investments in Securities
at market value (Cost $154,876,475) 193,491,250
------------
</TABLE>
* Non-income producing securities.
A-70
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.03%
Citibank N.A.
6.900% due 01/02/97
(Dated 12/31/96, repurchase price
of $14,643,611; collateralized by U.S.
Treasury Notes - market value
$14,917,297 and due 12/31/98) $14,638,000 $ 14,638,000
-------------
Total Securities Held Under Repurchase
Agreement 14,638,000
-------------
Total Short-Term Investments
At Amortized Cost 14,638,000
-------------
Total Equity Portfolio
(Cost $169,514,475) $ 208,129,250
=============
</TABLE>
See Notes To Financial Statements.
A-71
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- --------------------------------------------------------------------
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 77.17%
Capital Goods - 10.41%
Boeing
6.875% due 10/15/43 $ 2,000,000 $ 1,880,000
James River Corp
7.750% due 11/15/23 1,000,000 992,800
Lockhead Martin
7.750% due 05/01/26 1,500,000 1,565,625
Loral
7.000% due 09/15/23 2,090,000 1,942,028
Northrop Grumman Corp
7.750% due 03/01/16 2,000,000 2,015,000
-----------
8,395,453
-----------
Consumer Discretionary - 14.63%
CBS Inc
7.125% due 11/01/23 2,000,000 1,672,500
Dayton Hudson Co
9.700% due 06/15/21 500,000 608,125
Fruit of the Loom
7.375% due 11/15/23 2,000,000 1,852,500
ITT Destinations Corp
7.750% due 11/15/25 1,000,000 946,430
News America Holdings
7.750% due 12/01/45 2,100,000 1,974,000
Time Warner Entertainment
8.375% due 07/15/33 2,000,000 2,017,500
Times Mirror Co
7.250% due 11/15/96 1,000,000 970,020
Walt Disney Productions
7.550% due 07/15/93 1,750,000 1,750,000
-----------
11,791,075
-----------
Consumer Staples - 9.00%
Anheuser Busch
7.000% due 12/01/25 2,000,000 1,900,000
Coca-Cola Enterprise
6.750% due 09/15/23 1,500,000 1,402,500
Ralston Purina
7.875% due 06/15/25 1,500,000 1,539,375
8.625% due 02/15/22 500,000 551,250
Seagram Co Limited
6.875% due 09/01/23 2,000,000 1,857,500
-----------
7,250,625
-----------
Energy - 2.61%
Apache Corp
7.625% due 11/01/96 1,000,000 998,750
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,103,860
-----------
2,102,610
-----------
Financial & Business Services - 10.70%
American General
7.500% due 07/15/25 1,500,000 1,503,750
GMAC
7.400% due 09/01/25 2,000,000 1,962,500
International Bank
0.000% due 07/15/29 17,140,000 1,778,275
Nationsbank Corp
7.250% due 10/15/25 3,500,000 3,381,875
-----------
8,626,400
-----------
Health Care - 8.56%
Columbia/HCA Healthcare
7.500% due 11/15/95 3,500,000 3,478,125
Merck & Co Inc
6.300% due 01/01/26 1,000,000 901,250
Rite Aid Corp
7.700% due 02/15/27 2,500,000 2,518,750
-----------
6,898,125
-----------
Materials & Processing - 6.73%
Asarco Inc
8.500% due 05/01/25 1,000,000 1,058,750
Dow Chemical
7.375% due 03/01/23 1,500,000 1,492,500
Georgia-Pacific
7.375% due 12/01/25 1,500,000 1,410,000
</TABLE>
A-72
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
<S> <C> <C>
Materials & Processing - (continued)
Lyondell Petrochemical
7.550% due 02/15/26 $ 1,500,000 $ 1,460,625
-----------
5,421,875
-----------
Technology - 3.49%
Harris Corp
7.000% due 01/15/26 1,000,000 930,000
IBM Corp
7.000% due 10/30/45 2,000,000 1,882,500
-----------
2,812,500
-----------
Transportation - 11.04%
AMR Corp
9.000% due 09/15/16 4,500,000 5,045,625
Ford Motor Co
7.400% due 11/01/46 2,000,000 1,967,500
Johnson Controls
6.950% due 12/01/45 2,000,000 1,885,000
-----------
8,898,125
-----------
Total Corporate Bonds & Notes
(Cost $61,292,142) 62,196,788
-----------
U.S. TREASURY BONDS - 14.64%
6.000% due 02/15/26 8,000,000 7,282,530
6.875% due 08/15/25 3,000,000 3,059,539
7.125% due 02/15/23 1,400,000 1,461,903
-----------
Total U.S. Treasury Bonds
(Cost $12,224,178) 11,803,972
-----------
U.S. TREASURY STRIPPED - 1.90%
Strip Principal
0.000% due 02/15/25 10,000,000 1,529,500
-----------
Total U.S. Treasury Stripped
(Cost $1,555,816) 1,529,500
-----------
FOREIGN GOVERNMENT - 3.95%
British Columbia
7.250% due 09/01/36 1,000,000 1,020,000
Province of Newfoundland
7.320% due 10/13/23 1,000,000 987,500
Province of Saskatchewan
9.125% due 02/15/21 1,000,000 1,174,960
-----------
Total Foreign Government
(Cost $3,049,007) 3,182,460
-----------
Total Investment in Securities
at Market Value (Cost $78,121,143) 78,712,720
-----------
<CAPTION>
Value
-----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 2.34%
Citibank N.A.
6.900% due 01/02/97
(Dated 12/31/96, repurchase price
of $1,884,722; collateralized by
U.S. Treasury Notes - market value
$1,925,778 and due 12/31/98 1,884,000 1,884,000
-----------
Total Securities Held Under
Repurchase Agreement 1,884,000
-----------
Total Short-Term Investment
at Amortized Cost 1,884,000
-----------
TOTAL BOND AND INCOME PORTFOLIO
(COST $80,005,143) $80,596,720
===========
</TABLE>
* Non-income producing securities.
See Notes To Financial Statements.
A-73
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 92.83%
Capital Goods - 4.90%
AlliedSignal Inc 18,200 $ 1,219,400
AMP Inc 15,400 590,975
Armstrong World Industries 2,800 194,600
ASARCO Inc 3,800 94,525
Ball Corp 1,300 33,800
Black & Decker Corp 6,400 192,800
Boeing 22,900 2,435,987
Briggs & Stratton Co 1,200 52,800
Browning Ferris 14,800 388,500
Case Corp 5,200 283,400
Caterpillar Inc 13,000 978,250
Cooper Industries Inc 8,100 341,213
Cummins Engine Inc 1,600 73,600
Deere & Co 17,500 710,937
Emerson Electric Co 14,700 1,422,225
Foster Wheeler Corp 3,500 129,937
General Dynamics Corp 4,020 283,410
General Signal Corp 3,500 149,625
Giddings & Lewis Inc 3,900 50,213
Grainger (W.W.) Inc 3,000 240,750
Illinois Tool Works 8,700 694,912
Ingersoll Rand Co 7,500 333,750
James River Corp 6,000 198,750
Lockheed Martin Corp 13,471 1,232,597
Masco Corp 11,200 403,200
McDonnell Douglas 14,500 928,000
National Semiconductor * 9,400 229,125
Navistar International Corp * 2,760 25,185
Northrop Grumman Corp 4,000 331,000
Parker Hannifin Corp 4,550 176,312
Texas Instruments Inc 12,000 765,000
Textron Inc 5,800 546,650
Thomas & Betts Corp 4,300 190,812
Trinova Corp 700 25,462
TRW Inc 8,800 435,600
Tyco Laboratories 10,800 571,050
United Technologies 16,600 1,095,600
Westinghouse Electric 25,600 508,800
WMX Technologies Inc 33,100 1,079,888
-------------
19,638,640
-------------
Consumer Discretionary - 18.63%
Alcan Aluminum Limited 14,900 501,012
Alltel Corp 13,100 411,012
American General Corp 14,100 576,337
American Greetings 'A' 5,760 163,440
American Home Products 41,600 2,438,800
American Stores Co 10,300 421,013
Autozone Inc * 3,200 88,000
Avery Dennison Corp 5,600 198,100
Avon Products Inc 9,500 542,687
Bausch & Lomb Inc 4,600 161,000
Bristol Myers Squibb 33,600 3,654,000
Charming Shoppes Inc 1,280 6,480
Circuit City Store 5,500 165,687
Coastal Corp 7,300 356,788
Comcast 'A' 19,235 342,623
ConAgra 14,950 743,763
Corning Inc 15,900 735,375
Crane Co 1,800 52,200
CVS Corp 7,400 306,175
Darden Restaurants 7,400 64,750
Dayton Hudson Corp 14,900 584,825
Deluxe Corp 6,400 209,600
Dillard Department Stores 7,700 237,738
Donnelley (R.R.) & Sons 10,700 335,713
DSC Communications * 8,020 143,358
Eastern Enterprises 100 3,538
Eastman Kodak 21,500 1,725,375
Ecolab Inc 3,270 123,034
E G & G Inc 1,700 34,212
Federal Express Corp * 8,200 364,900
Federated Department Stores * 14,300 487,987
Fleetwood Enterprise 1,800 49,500
Fleming Cos Inc 400 6,900
Fluor Corp Del 5,700 357,675
Fruit Of The Loom * 5,000 189,375
Gap Inc 19,500 587,438
</TABLE>
* Non-income producing securities.
A-74
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
Market
Shares Value
------ ------
<S> <C> <C>
Consumer Discretionary - (Continued)
General Electric 108,500 $ 10,727,938
General Mills Inc 9,500 602,063
Gillette Co 36,900 2,868,975
Great Atlantic & Pacific 3,400 108,375
Guidant Corp 5,400 307,800
H & R Block 6,900 200,100
Harcourt General Inc 3,842 177,212
Harland (John H.) Co 1,000 33,000
Harrah's Entertainment Inc * 7,450 148,069
Hasbro Inc 6,100 237,138
Hilton Hotels Corp 15,500 404,938
Home Depot 31,100 1,558,887
Interpublic Group 5,000 237,500
International Flavors/Fragrances 8,100 364,500
Jostens Inc 1,048 22,139
Kmart Corp 34,000 352,750
Kimberly Clark Corp 18,676 1,778,889
King World Productions * 1,600 59,000
Knight-Ridder Inc 5,700 218,025
Kroger Co * 7,800 362,700
Limited Inc 18,990 348,941
Liz Claiborne Inc 5,060 195,442
Longs Drug Stores 600 29,475
Marriott International Inc 8,600 475,150
Mattel Inc 17,450 484,238
May Department Stores Co 17,200 804,100
Maytag Corp 4,900 96,775
McDonalds Corp 46,200 2,090,550
McGraw Hill Inc 7,200 332,100
MCI Communications Corp 46,380 1,516,046
Mercantile Stores 1,700 83,938
Meredith Corp 800 42,200
Motorola 38,800 2,381,350
National Service Industries 4,400 164,450
New York Times Co 5,200 197,600
Newell Co 10,700 337,050
Nike Inc 12,500 746,875
Nordstrom Inc 5,860 207,664
Nynex Corp 30,200 1,453,375
Penny (J.C.) Inc 15,700 765,375
PPG Industries Inc 11,100 622,988
Price/Costco Inc * 13,622 342,253
Procter & Gamble 45,400 4,880,500
Reebok International Limited 4,080 171,360
Rubbermaid Inc 9,800 222,950
Russell Corp 1,500 44,625
Sears Roebuck 25,400 1,171,575
Service Corp International 14,300 400,400
Sigma Aldrich Corp 3,800 237,263
Springs Industries Inc 700 30,100
Stride Rite Corp 400 4,000
Supervalue Inc 5,700 161,737
Sysco Corp 12,600 411,075
Tandy Corp 3,136 137,984
Tele-Communications 'A' * 38,160 498,465
Tellabs Inc * 12,400 466,550
Time Warner Inc 36,720 1,377,000
Times Mirror 'A' 6,688 332,728
TJX Cos Inc 5,700 270,038
Toys R Us * 17,500 525,000
Tribune Co 4,600 362,825
Tupperware Corp 4,500 241,313
Unicom Corp 15,400 417,725
VF Corp 4,600 310,500
Viacom International Inc 18,838 656,975
Viacom International Warrants * 289 9
Wal-Mart Stores Inc 150,200 3,435,825
Walgreen Co 16,900 676,000
Walt Disney Productions 44,302 3,084,527
Warner Lambert Co 18,500 1,387,500
Wendy's International Inc 9,600 196,800
Whirlpool Corp 5,300 247,113
Winn Dixie Stores 8,400 265,650
Woolworth Corp 7,500 164,062
-------------
74,648,517
-------------
Consumer Staples - 8.18%
Albertson's Inc 17,300 616,312
American Brands Inc 11,900 590,537
Anheuser Busch 34,000 1,360,000
</TABLE>
* Non-income producing securities.
A-75
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
Market
Shares Value
------ ------
Consumer Staples - (Continued)
<S> <C> <C>
Archer-Daniel Midland 36,842 $ 810,524
Brown Forman Inc 'B' 1,861 85,141
Campbell Soup Co 15,700 1,259,925
Coca-Cola 165,600 8,714,700
Colgate Palmolive 9,300 857,925
Coors Adolph 1,190 22,610
CPC International Inc 9,500 736,250
Giant Foods Inc 2,700 93,150
Heinz (H.J.) Co 24,950 891,962
Hershey Foods Corp 8,700 380,625
Kellogg Co 14,300 938,438
PepsiCo 101,500 2,968,875
Philip Morris Co Inc 53,700 6,047,963
Pioneer Hi-Bred Inc 4,800 336,000
Polaroid Corp 3,000 130,500
Quaker Oats Co 10,000 381,250
Ralston Purina Group 6,500 476,938
Sara Lee Corp 32,600 1,214,350
Seagrams Limited 25,100 972,625
Unilever N.V. 10,900 1,910,225
UST Inc 13,600 440,300
Whitman Corp 5,100 116,663
Wrigley (W.M. Jr.) Co 7,200 405,000
-------------
32,758,788
-------------
Energy - 11.34%
Amerada Hess Corp 6,200 358,825
Amoco Corp 32,300 2,600,150
Armco Inc 500 2,063
Ashland Oil Inc 5,000 219,375
Atlantic Richfield 10,300 1,364,750
Baker Hughes Inc 9,200 317,400
Carolina Power & Light 8,300 302,950
Central & South West 15,600 399,750
Chevron Corp 44,000 2,860,000
Columbia Gas System Inc 3,900 248,138
Consolidated Edison Co 17,400 508,950
Consolidated Natural Gas 6,900 381,225
CSX Corp 14,600 616,850
Cyprus Minerals Co 6,500 151,938
Dresser Industries Inc 12,500 387,500
Duke Power Co 11,800 545,750
duPont (EI) deNemours 36,800 3,473,000
Echo Bay Mines Limited 5,200 34,450
Enron Corp 17,300 746,063
Enserch Corp 3,600 82,800
Exxon Corp 81,700 8,006,600
FMC Corp * 1,900 133,238
Halliburton 8,600 518,150
Helmerich & Payne 2,300 119,888
Homestake Mining Co 11,600 165,300
Inco Limited 10,600 337,875
Kerr McGee Corp 3,300 237,600
Louisiana Land & Exploration 2,500 134,063
McDermott International Inc 5,100 84,788
Minnesota Mining & Mfg Co 27,100 2,245,913
Mobil Corp 26,000 3,178,500
Newmont Mining Corp 6,798 304,211
Noram Energy Corp 9,800 150,675
Occidental Petroleum Corp 19,600 458,150
Paccar Inc 3,133 213,044
Panenergy Corp 10,800 486,000
Pennzoil Co 2,900 163,850
Peoples Energy Corp 1,200 40,650
Phillips Petroleum Co 16,300 721,275
Rowan Cos Inc * 6,500 147,063
Royal Dutch Petroleum Guild 35,200 6,010,400
Santa Fe Energy Resources 4,100 56,888
Schlumberger Limited 15,900 1,588,013
Sonat Inc 6,000 309,000
Sun Company Inc 5,857 142,764
Tenneco Inc * 11,500 518,937
Texaco Inc 18,100 1,776,063
Unocal Corp 17,500 710,938
Usx-Marathon Group 19,400 463,175
Williams Cos 11,200 420,000
-------------
45,444,938
-------------
Financial & Business Services - 14.82%
Aetna Life & Casualty Co 9,339 747,120
Ahmanson (H.F.) & Co 8,700 282,750
Alco Standard Corp 8,900 459,462
</TABLE>
* Non-income producing securities.
A-76
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------------------
Market
Shares Value
------ ------
Financial & Business Services - (Continued)
<S> <C> <C>
Alexander & Alexander 1,500 $ 26,063
Allstate Corp 30,089 1,741,401
American International Group Inc 30,600 3,312,450
American Express 30,700 1,734,550
Aon Corp 6,300 391,388
Banc One Corp 29,240 1,257,320
Bank Of Boston Corp 9,900 636,075
Bank Of New York Co Inc 26,600 897,750
BankAmerica Corp 24,192 2,413,152
Barnett Banks Of Florida 13,700 563,412
Beneficial Corp 4,100 259,838
Boatmens Bankshare 10,600 683,700
Chase Manhattan Corp 28,640 2,556,120
Chubb Corp 12,000 645,000
CIGNA Corp 5,200 710,450
Cinergy Corp 9,113 304,146
Citicorp 30,800 3,172,400
Cognizant Corp * 11,200 369,600
Comerica Inc 8,100 424,237
Corestates Financial 15,440 800,950
Dean Witter Discover & Co 10,527 697,414
Dow Jones & Co Inc 7,300 247,288
Dun & Bradstreet 11,200 266,000
FHLMC 11,800 1,299,475
FNMA 73,200 2,726,700
Fifth Third Bancorp 7,600 477,375
First Bank Systems 9,500 648,375
First Chicago NBD Corp 21,887 1,176,426
First Data Corp 28,800 1,051,200
First Union Corp 19,455 1,439,670
Fleet Financial Group Inc 17,865 891,017
Gannett Inc 9,200 688,850
Golden West Financial Corp 2,900 183,062
Great Western Financial 8,500 246,500
Green Tree Financial Corp 9,200 355,350
HFS Inc * 8,900 531,775
Household International Inc 6,200 571,950
ITT Corp * 8,200 355,675
ITT Hartford Group 7,900 533,250
ITT Industries Inc 7,900 193,550
Jefferson Pilot Corp 4,000 226,500
Keycorp 15,800 797,900
Laidlaw Inc 'B' 14,100 162,150
Lincoln National Corp 7,100 372,750
Marsh & McLennan 5,000 520,000
MBIA Inc 2,900 293,625
MBNA Corp 15,300 634,950
Mellon Bank Corp 9,000 639,000
Merrill Lynch Co 10,300 839,450
MGIC Investment Corp 3,800 288,800
Morgan (J.P.) And Co Inc 12,700 1,239,837
Morgan Stanley 10,400 594,100
National City Corp 15,700 704,537
NationsBank Corp 18,772 1,834,963
Northern Telecommunications 17,700 1,095,188
Norwest Corp 25,100 1,091,850
PNC Bank Corp 23,300 876,663
Providian Corp 6,800 349,350
Pulte Corp 700 21,525
Republic New York Corp 4,200 342,825
Safeco Corp 9,040 356,515
Salomon Inc 7,600 358,150
St Paul Cos Inc 6,160 361,130
Suntrust Banks Inc 13,600 669,800
Torchmark Corp 3,850 194,425
Transamerica Corp 4,770 376,830
Travelers Inc 43,094 1,955,390
UNUM Corp 4,700 339,575
U.S. Bancorp 11,040 496,110
USF & G Corp 6,100 127,337
USLIFE Corp 925 30,756
Wachovia Corp 10,100 570,650
Wells Fargo & Co 6,100 1,645,475
-------------
59,378,342
-------------
Health Care - 7.68%
Abbott Laboratories 50,800 2,578,100
Allergan Inc 5,200 185,250
Alza Corp * 6,300 163,012
Amgen Inc 17,700 962,437
Bard (C.R.) Inc 2,700 75,600
Baxter International Inc 18,700 766,700
</TABLE>
* Non-income producing securities.
A-77
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
Health Care - (Continued)
Becton Dickinson 8,900 $ 386,038
Beverly Enterprises * 4,500 57,375
Biomet Inc 7,640 115,555
Boston Scientific Corp * 12,000 720,000
Columbia/HCA Healthcare 44,684 1,820,873
Humana Inc 10,800 206,550
Johnson & Johnson 87,300 4,343,175
Lilly (Eli) & Co 37,000 2,701,000
Mallinckrodt Group Inc 4,500 198,562
Manor Care Inc 3,750 101,250
Medtronic Inc 16,100 1,094,800
Merck & Co Inc 79,200 6,276,600
Pfizer Inc 42,500 3,522,188
Pharmicia & Upjohn Inc 34,335 1,360,524
Rite Aid Corp 9,000 357,750
Schering-Plough 24,600 1,592,850
St. Jude Medical 5,820 248,078
Tenet Healthcare Corp * 12,600 275,625
United Healthcare Corp 11,500 517,500
U.S. Surgical Corp 4,200 165,375
-------------
30,792,767
-------------
Materials & Processing - 4.62%
Allegheny Teledyne Inc 9,705 223,215
Aluminum Company Of America 11,900 758,625
Applied Materials * 11,300 406,094
Barrick Gold Corp 24,500 704,375
Battle Mountain Gold 'A' 11,400 78,375
Bemis Inc 2,500 92,188
Bethlehem Steel Corp 10,500 94,500
Boise Cascade Corp 3,800 120,650
Burlington Northern Santa Fe 9,570 826,609
Burlington Resources Inc 8,800 443,300
Clorox Co 3,800 381,425
Crown Cork & Seal 9,000 489,375
Dover Corp 7,100 356,775
Dow Chemical 15,500 1,214,812
Eastman Chemical Co 5,625 310,781
Engelhard Corp 7,712 147,492
Freeport McMoRan Copper 'B' 6,600 197,175
Grace (W.R.) & Co 11,000 569,250
Great Lakes Chemical 4,700 219,725
Harnischfeger Industries Inc 3,600 173,250
Hercules Inc 6,600 285,450
Inland Steel Indusitries Inc 3,100 62,000
International Paper 19,823 800,354
Johnson Controls Inc 2,900 240,337
Loew's Corp 8,000 754,000
Louisiana Pacific Corp 7,000 147,875
Lowe's Co 11,900 422,450
Martin Marietta Materials 1 23
Mead Corp 4,000 232,500
Monsanto Co 39,400 1531,675
Moore Limited 8,200 167,075
Morton International 8,900 362,675
Nalco Chemical Co 3,400 122,825
Nucor Corp 6,000 306,000
Owens Corning Fiberglass 2,700 115,087
Pall Corp 7,666 195,483
Phelps Dodge Corp 4,200 283,500
Placer Dome Inc 16,000 348,000
Potlatch Corp 600 25,800
Praxair Inc 9,500 438,188
Reynolds Metals Co 4,200 236,775
Rohm & Haas Co 4,700 383,636
Safety Kleen Corp 1,600 26,200
Sherwin Williams Co 4,800 268,800
Stanley Works 6,000 162,000
Stone Container Corp 4,412 65,629
Temple Inland Inc 4,200 227,325
Timken Co 2,800 128,450
Union Camp Corp 3,600 171,900
Union Carbide Corp 8,100 331,087
Union Pacific Resources Group 17,526 512,636
USX-US Steel Group 6,260 196,407
Westvaco Corp 5,200 149,500
Weyerhaeuser Co 13,700 649,037
Willamette Industries 3,900 273,975
Worthington Industries Inc 4,355 78,934
-------------
1,851,1579
-------------
</TABLE>
* Non-income producing securities.
A-78
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
Technology - 11.46%
Advanced Micro Devices * 7,900 $ 203,425
Amdahl Corp 6,200 75,175
Apple Computer 8,350 174,306
Autodesk Inc 3,760 105,280
Automatic Data Processing 17,900 767,463
Bay Networks Inc * 11,900 248,413
Cabletron Systems * 11,100 369,075
Ceridian Corp * 4,800 194,400
Cincinnati Milacron 1,100 24,063
Cisco Systems Inc * 43,400 2,761,325
Compaq Computer Corp * 17,600 1,306,800
Computer Association International 24,700 1,228,825
Computer Sciences * 5,400 443,475
Cuc International Inc * 26,825 637,094
Data General Corp * 100 1,450
Dell Computer Corp * 12,200 648,125
Digital Equipment Corp * 10,200 371,025
Eaton Corp 5,500 383,625
Emc Corp * 15,700 520,063
Frontier Corp 4,200 95,025
General Instruments Corp * 9,000 194,625
Harris Corp 2,500 171,562
Hewlett Packard Co 68,000 3,417,000
Honeywell Inc 8,200 539,150
Ibm Corp 34,200 5,164,200
Intel Corp 54,540 7,141,331
Intergraph Corp * 370 3,793
LSI Logic * 8,600 230,050
Lucent Technologies Inc 41,614 1,924,648
Micron Technology 12,800 372,800
Microsoft Corp * 78,700 6,502,587
Millipore Corp 2,052 84,902
Novell Inc * 22,700 214,941
Oracle Systems Corp * 44,090 1,840,757
Perkin Elmer Corp 2,600 153,075
Pitney Bowes Inc 10,300 561,350
Raychem Corp 3,300 264,412
Raytheon Co 16,100 774,812
Rockwell International Corp * 14,800 900,950
Scientific Atlanta 3,000 45,000
Seagate Technology * 16,100 635,950
Shared Medical Systems Corp 2,000 98,500
Silicon Graphics * 12,144 309,672
Sun Microsystems * 23,400 601,087
Tandem Computers Inc * 9,100 125,125
Tektronix 1,600 82,000
Unisys Corp * 12,800 86,400
U.S. West Media Group * 39,200 725,200
Western Atlas Inc * 2,900 205,538
Xerox Corp 21,800 1,147,225
3 Com Corp * 11,500 843,813
-------------
45,920,887
-------------
Transportation - 3.63%
Air Products & Chemicals 6,900 476,962
AMR Corp Del * 5,800 511,125
Brunswick Corp 5,100 122,400
Caliber Systems Inc 1,280 24,640
Champion International Corp 6,700 289,775
Chrysler Corp 48,144 1,588,752
Conrail Inc 5,434 541,362
Cooper Tire & Rubber Corp 4,000 79,000
Dana Corp 6,000 195,750
Delta Air Lines 4,700 333,112
Echlin Inc 4,600 145,475
Ford Motor Co 79,200 2,524,500
General Motors Corp 49,700 2,770,775
General Re Corp 5,500 867,625
Genuine Parts Co 8,550 380,475
Georgia-Pacific Corp 6,400 460,800
Goodrich (B.F.) Co 2,700 109,350
Goodyear Tire & Rubber 11,100 570,262
Norfolk Southern 8,700 761,250
Pep Boys 3,300 101,475
Ryder Systems Inc 6,500 182,812
Santa Fe Pacific Gold Corp 10,521 161,760
Snap On Inc 2,950 105,094
Southwest Airlines 10,300 227,887
Union Pacific Corp 15,400 925,925
U.S. Air Group Inc * 3,100 72,462
-------------
14,530,805
-------------
</TABLE>
* Non-income producing securities.
A-79
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
Utilities - 7.57%
Airtouch Communications Inc * 33,900 $ 855,975
Ameritech Corp 35,200 2,134,000
American Electric Power Inc 10,900 448,262
Andrew Corp * 4,050 214,903
AT&T Corp 106,400 4,628,400
Baltimore Gas & Electric 7,550 201,962
Bell Atlantic Corp 29,800 1,929,550
Bell South Corp 64,700 2,612,262
Centex Corp 1,100 41,386
Dominion Resources Inc 12,750 490,875
DTE Energy Co 11,000 356,125
Edison International 30,700 610,162
Entergy Corp 17,200 477,300
FPL Group Inc 11,200 515,200
GPU Inc 9,400 316,075
GTE Corp 62,500 2,843,750
Houston Industry Inc 18,500 418,563
Niagara Mohawk Power 6,200 61,225
NICOR Inc 1,800 64,350
Northern States Power Co 3,400 155,975
Ohio Edison Co 12,600 286,650
Oryx Energy Co 5,600 138,600
Pacific Enterprises 6,200 188,325
Pacific Gas & Electric 29,100 611,100
Pacific Telesis 29,000 1,065,750
Pacificorp 18,400 377,200
Peco Energy Co 16,800 424,200
PP&L Resources 8,200 188,600
Public Service Enterprises 17,100 465,975
SBC Communications 39,000 2,018,250
Southern Co 44,200 1,000,025
Sprint Corp 23,400 933,075
Texas Utilities Co 13,500 550,125
Union Electric Co 5,200 200,200
U.S. West Communications 32,800 1,057,800
Worldcom Corp * 56,600 1,475,137
--------------
30,357,312
--------------
Total Common Stocks (Cost $322,511,260) 371,982,575
--------------
Total Investments In Securities
at market value (Cost $322,511,260) 371,982,575
--------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - 0.20%
4.860% due 02/13/97 ** $ 800,000 795,396
-------------
Total U.S. Treasury Bills 795,396
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 6.97%
State Street Bank And Trust
4.000% Due 01/02/97
(Dated 12/31/96, repurchase price
of $27,946,209; collateralized by u.s.
treasury notes - market value
$27,494,280 and due 02/15/02) 27,940,000 27,940,000
-------------
Total Securities Held Under Repurchase
Agreement 27,940,000
-------------
Total Short-term Investments
at amortized cost 28,735,396
-------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $351,246,656) $ 400,717,971
=============
</TABLE>
* Non-income producing securities.
** Securities have been segregated with the custodian to cover margin
requirements for open future contracts as of December 31, 1996.
See Notes to Financial Statements.
A-80
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
PREFERRED STOCKS - 1.60%
Australia - 1.60%
News Corporation Ltd 1,618,707 $ 7,204,217
-------------
Total Preferred Stocks (Cost $7,016,968) 7,204,217
-------------
COMMON STOCKS - 92.74%
Argentina - 1.75%
Telecom De Argentina ADR 87,700 3,540,888
Telefonica De Argentina ADR 122,200 3,161,925
YPF Sociedad Anonima 46,000 1,161,500
-------------
7,864,313
-------------
Australia - 3.01%
Burns, Philp & Co Ltd 939,200 1,672,001
Gio Australian Holdings Ltd 1,913,879 4,897,798
National Australian Bank Ltd 430,000 5,057,789
Qantas Airways Ltd ADR 116,900 1,914,238
-------------
13,541,826
-------------
Austria - 0.69%
Env Energie-Versorgung 6,720 1,011,833
Mayr-Melnhof Karton AG * 42,500 2,080,735
-------------
3,092,568
-------------
Belgium - 1.01%
Solvoy Npv 4,760 2,913,000
Union Miniere Npv * 23,804 1,612,356
-------------
4,525,356
-------------
Brazil - 2.20%
Banco Bradesco SA + 500,000 3,624,025
Lojas Americanas SA + 262,268 3,458,535
Telebras ADR 36,600 2,799,900
-------------
9,882,460
-------------
Bermuda - 1.40%
ACE Ltd 45,000 2,705,625
Partnerre Ltd 106,000 3,604,000
-------------
6,309,625
-------------
Canada - 2.09%
Canadian Imperial Bank Of Commerce 90,000 3,968,995
London Insurance Group Inc 220,400 2,926,339
National Bank Of Canada 250,000 2,525,989
-------------
9,421,323
-------------
China - 0.21%
Shandong Huaneng Power ADR 75,000 731,250
Shanghai Hai Xing Shipping 1,940,000 225,742
-------------
956,992
-------------
Denmark - 2.80%
Tele Danmark AS 85,000 4,686,373
Unidanmark AS 152,700 7,900,844
-------------
12,587,217
-------------
Egypt - 1.99%
Commercial International Bank Ltd * 384,000 5,414,400
Suez Cement Co * ~ 225,000 3,521,250
-------------
8,935,650
-------------
Finland - 3.87%
Enso-Gutzeit Oy 161,000 1,295,620
Kemira Oy 290,100 3,659,533
Merita Ltd 'A' * 1,977,700 6,151,009
Metsa-Serla Oy 299,000 2,243,573
Outokumpu Oy 48,000 819,522
Upm-Kymmeme Corp 155,000 3,253,186
-------------
17,422,443
-------------
France - 5.95%
Alcatel Alsthom 39,455 3,168,563
Banque National De Paris 107,076 4,142,748
Elf Aquitaine 58,000 5,278,112
Eramet Sln 13,092 686,132
Pechiney International SA 83,000 3,476,724
Peugeot SA 46,500 5,232,370
</TABLE>
* Non-income producing securities.
+ This represemt number of units; each unit equal 1,000 shares.
~ Purchased in a private placement transaction; resale to
the public may require registration.
A-81
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
France - (Continued)
Rhone-Poulenc SA 65,600 $ 2,235,961
Total SA 31,380 2,551,514
-------------
26,772,124
-------------
Germany - 0.59%
Volkswagen AG 6,400 2,649,351
-------------
2,649,351
Greece - 0.37%
Ergo Bank SA 33,000 1,680,574
-------------
1,680,574
-------------
Hong Kong - 7.11%
Cheung Kong Holdings Ltd 940,000 8,355,421
Consolidated Electric 1,896,800 4,451,085
Hong Kong Electric Holdings 2,156,600 7,165,896
HSBC Holdings PLC 121,068 2,590,569
Hutchison Whampoa Ltd 300,000 2,356,326
Jardine Matheson Holdings 531,586 3,508,468
Yizheng Chemical Fibre 14,608,000 3,550,720
-------------
31,978,485
-------------
Indonesia - 0.88%
Asia Pulp & Paper Co Ltd ADR * 185,100 2,105,513
PT Inti Indorayon Utama 950,000 693,798
PT Lippo Bank Fgn Reg 1,194,000 1,162,659
-------------
3,961,970
-------------
Israel - 1.94%
Scitex Corp ADR 444,000 4,218,000
Tadiran Ltd 161,000 4,528,125
-------------
8,746,125
-------------
Italy - 6.74%
Fiat Spa 2,700,000 8,164,032
Instituto Nazionale Ital 6,104,000 7,945,655
Stet D Risp Port Non Con 1,058,000 3,571,970
Telecom Italia Di Risp 3,170,000 6,181,291
Unicem Unione Cementi * 680,800 4,440,000
-------------
30,302,948
-------------
Japan - 0.44%
Sony Corp 30,000 1,961,578
-------------
1,961,578
-------------
Mexico - 1.67%
Cifra B * 1,850,000 2,252,378
Panamerican Beverages Inc 'A' 76,500 3,585,938
Telefonos De Mexico SA ADR 51,200 1,689,600
-------------
7,527,916
-------------
Netherlands - 7.07%
ABN Amro Holding 30,000 1,951,050
AKZO Nobel Nv 27,000 3,686,860
DSM Nv 34,000 3,352,196
Ing Groep Nv 76,250 2,744,171
Koninklijke Bijenkorf Beheer 22,050 1,588,396
Koninklijke PTT Nederlanden 134,235 5,118,374
Macintosh Nv 233,000 5,122,953
Philips Electronics Nv 203,620 8,247,064
-------------
31,811,064
-------------
New Zealand - 2.28%
Fletcher Challenge Paper 250,000 513,833
Fletcher Forestry Shares 3,527,486 5,904,768
Tranz Rail Holdings ADR * 216,000 3,820,500
-------------
10,239,101
-------------
Norway - 3.19%
Den Norske Bank 920,000 3,523,023
Norske Skogindustrier AS 166,000 5,549,138
Nycomed Asa 'B' * 342,540 5,268,357
-------------
14,340,518
-------------
Peru - 0.74%
CPT Telefonica Del Peru-Adr 14,200 268,025
Telefonica De Peru 'B' 1,648,995 3,068,191
-------------
3,336,216
-------------
Portugal - 0.23%
Soares Da Costa 87,980 1,031,490
-------------
1,031,490
-------------
</TABLE>
* Non-income producing securities.
A-82
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
South Africa - 0.72%
Iscor 2,047,415 $ 1,461,658
Sappi Ltd 200,000 1,795,447
------------
3,257,105
------------
South Korea - 0.40%
Korea Chemical Co 26,000 1,784,615
------------
1,784,615
------------
Spain - 8.08%
Argentaria 98,000 4,383,555
Banco Popular Espanol 20,000 3,926,399
Dragados Y Const SA 612,000 9,423,358
Empresa Nacional De Electric 22,600 1,607,699
Iberdrola SA 386,500 5,475,094
Repsol SA 156,170 5,987,579
Sevillana De Electricida 76,477 868,455
Telefonica De Espana SA 200,000 4,642,390
------------
36,314,529
------------
Sweden - 10.04%
Assidomaen Ab 200,000 5,553,161
Electrolux B-F 'B' 65,400 3,784,684
Skandia Foersaekrings Ab 169,000 4,766,512
Skf Ab 401,000 9,463,974
Stadshypotek Ab 189,000 5,164,878
Svenska Handelsbanken 152,000 4,353,678
Trelleborg Ab 274,000 3,623,730
Volvo Ab 'B' 383,000 8,423,487
------------
45,134,104
------------
Switzerland - 2.95%
ABB AG 1,020 1,265,971
Ascom Holdings AG 1,200 1,219,232
Baer Holding AG 5,000 5,229,221
Baloise-Holdings 1,669 3,346,709
Novartis AG 1,920 2,194,080
------------
13,255,213
------------
United Kingdom - 10.33%
Albert Fisher Group PLC 1,320,086 949,472
BICC PLC 1,720,090 8,159,462
British Gas PLC 2,609,000 10,030,464
Dawson International 604,000 594,751
National Power PLC 569,000 4,764,877
National Westminster Bank 420,250 4,933,394
Northern Foods PLC 1,241,800 4,348,861
Powergen PLC 260,000 2,549,056
Royal Bank of Scotland Group PLC 131,493 1,268,899
Smith (W.H.) Group PLC 322,800 2,374,251
Thames Water PLC 618,100 6,483,290
------------
46,456,777
------------
Total Common Stocks (Cost $363,545,032) 417,081,576
------------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CONVERTIBLE BONDS - 0.15%
Luxembourg - 0.15%
Arbed SA
2.500% due 07/15/03 $ 1,150,000 640,341
------------
Total Convertible Bonds
(Cost $610,470) 640,341
------------
Total Investment In Securities
at Market Value (Cost $371,172,470) 424,926,134
------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENT - 5.51%
Chase Bank London
5.844% Due 01/02/97 24,782,169 24,782,169
------------
Total Short-Term Investment
At Amortized Cost 24,782,169
------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $395,954,639) $449,708,303
============
</TABLE>
See Notes to Financial Statements.
A-83
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 81.77%
Argentina - 1.70%
Banco Frances Del Rio 5,480 $ 51,247
Banco Galicia 8,500 51,094
Dalmine Siderar SA 1,979 5,701
Dalmine Siderca SA * 23,494 43,002
Inversiones Y Representaciones GDR 325 10,359
Molinos Rio De La Plata * 5,427 19,323
Perez Compancia ADR 9,700 136,405
Telefonica De Argentina ADR 6,730 174,139
YPF Sociedad Anonima ADR 10,200 257,550
------------
748,820
------------
Brazil - 12.06%
Aracruz Celulose SA PNB + 61,000 99,230
Banco Bradesco SA + 83,920 608,256
Banco Itau SA PN + 644 278,949
Brasmotor SA + 473 131,351
Centrais Eletrobras + 3,372 1,252,856
Cia Cervejaria Brahma + 330 180,422
Cia Energetica Minas Ger + 4,870 165,943
Cia Paulista De Forca E + 887 105,016
Cia Siderurgica Nacional + 3,600 102,224
Cia Souza Cruz Ind Com + 24,400 160,177
Cia Tecidos Norte De Min + 312 99,588
Cia Vale Do Rio Doce 15,380 296,082
Duratex SA + 1,074 40,309
Petrol Brasileiros + 1,680 267,629
Telebras ADR 13,050 998,325
Telecomunicacues Brasileiras ADR + 3,124 224,023
Usinas Siderurgicas Mina + 145,530 148,486
White Martins SA + 97,000 140,052
------------
5,298,918
------------
Chile - 1.58%
Banco Santander 4,175 62,625
Chilgener SA ADR 2,300 48,012
Compania Cervecerias Unidas ADR 1,350 21,769
Compania De Telefono Chili ADR 2,040 206,295
Empresa ADR 8,375 129,812
Enersis ADR 4,950 137,362
Madeco SA ADR 1,150 27,887
Maderas Y Sinteticos Sociedad ADR 1,775 24,850
Sociedad Quimica Y Minera Chile 640 34,640
------------
693,252
------------
Colombia - 1.33%
Banco Ganadero SA ADR ~ 1,900 38,475
Banco Indl Colombiano ADR 13,100 271,006
Carulla Y Compania ~ 21,140 89,845
Cememtos Diamante ~ 4,130 53,690
Cemento Paz Del Rio * ~ 10,500 133,063
------------
586,079
------------
Hungary - 1.69%
Borsodchem Rt * 3,200 78,508
Egis Rt 2,000 114,430
Gedeon Richter Rt 3,100 177,460
Graboplast Rt 2,300 76,212
Magyar Olaj Es Gazipare 13,500 165,193
Otp Bank Rt 7,300 128,241
------------
740,044
------------
India - 4.10%
Bajai Auto GDR 4,150 141,100
BSES Limited GDR * 4,300 88,688
Century Textiles * 230 11,615
Eih Limited 3,800 89,775
Grasim Industries 4,370 66,642
Hindalco Industries 10,200 251,226
Indian Aluminium 11,500 58,075
Indian Hotels Co Limited 5,700 144,267
Indian Rayon & Industries GDR 7,800 66,300
Larsen & Tourbro Limited 7,500 108,750
Raymond Limited * 9,300 55,800
Reliance Industries GDS * 8,010 96,120
</TABLE>
* Non-income producing securities.
+ This represent number of units; each unit equal 500 shares.
~ Purchased in a private placement transaction; resale to the
public may require registration.
A-84
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
India - (Continued)
State Bank of India * 14,300 $ 248,391
Steel Authority of India 5,400 51,908
Tata Engineering & Loco Co GDR 30,120 320,176
-------------
1,798,833
-------------
Indonesia - 3.33%
Bank International Indonesia 247,904 244,021
Bimantara Citra 172,000 229,382
P.T. Hm Sampoerna 42,000 224,047
P.T. Semen Gresik 68,000 218,798
Telekomunikasi Indonesia ADR 11,600 400,200
United Tractors 70,500 147,746
-------------
1,464,194
-------------
Israel - 5.30%
Bezek * 56,300 136,623
Bank Hapoalim BM * 208,200 329,977
Blue Square Israel ADR * 15,800 225,150
Clal Industries Limited 31,800 152,082
Elite Industries * 30,900 151,684
ICL Israel Chemical * 258,400 223,095
Koor Industries * 2,505 218,345
Osem Investment * 26,850 150,928
Super Sol * 7,340 179,794
Tadiran Limited * 52,491 238,735
Tadiran Telecommunications 4,425 99,009
Teva Pharmaceutical ADR * 442 221,454
-------------
2,326,876
-------------
Malaysia - 12.45%
DCB Holdings Berhad 93,000 318,531
Edaran Otomobil Nasional 30,000 299,941
Gamuda Berhad Rights * 100,333 425,091
Ioi Properties Berhad 94,000 305,207
Jaya Tiasa Holdings 101,000 535,894
Land & General Holdings 143,000 342,566
Metacorp Berhad 133,000 339,675
Perusahaan Otomobil Nas 51,000 323,104
Public Bank Berhad Foreign 216,666 458,984
Road Builder (M) Holdings Berhad 66,000 373,708
Sungei Way Holdings Berhad * 126,000 374,183
Telekom Malaysia 67,000 596,912
UMW Holdings Berhad 69,000 322,392
United Engineers 50,000 451,396
-------------
5,467,584
-------------
Mexico - 10.01%
Apasco SA 18,500 126,696
Cemex SA 76,500 275,051
Cifra SA 'B' 206,478 251,911
Controladora Coml Mexica * 74,204 68,699
Desc SA 'B' * 43,000 234,496
Desc SA 'C' * 250 1,360
Empresas Ica Sociedad 6,089 89,501
Empresas Moderna SA 26,600 131,566
Fomento Economico Mexica 43,471 148,854
Grupo Carso SA De Cv 53,500 282,936
Grupo Financiero Banamex * 245,129 481,864
Grupo Industrial Alfa 33,000 153,595
Grupo Mexico SA * 59,000 182,575
Grupo Modelo SA De Cv 32,632 189,129
Grupo Televisa 5,600 143,500
Industrias Penoles SA 61,800 218,671
Kimberly Clark De Mexico 12,756 251,561
Telefonos De Mexico ADR 32,500 1,072,500
Tubos De Acero De Mexico * 5,961 94,121
-------------
4,398,586
-------------
Pakistan - 0.42%
Engro Chemical * 6,100 20,470
Fauji Fertilizer Co * 23,500 39,577
Faysal Bank * 18,100 9,551
Hubco GDR * 1,960 41,160
Pakistan State Oil * 6,760 43,684
Pakistan Telecom 250 16,875
Sui Southern Gas Pipeline * 18,745 11,225
-------------
182,542
-------------
</TABLE>
* Non-income producing securities.
A-85
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------------------
Market
Shares Value
------ -----
<S> <C> <C>
Peru - 1.28%
Backus Y Johnston 20,128 $ 17,338
Banco Wiese ADR 3,300 19,387
Creditcorp ADR 4,262 78,847
Enrique Ferreyros 12,500 11,964
Luz Del Sur * 43,000 51,692
Minas Buenaventura 'A' 3,424 24,907
Minas Buenaventura 'B' 531 4,381
Minsur SA 4,152 14,386
Southern Peru Copper 6,361 22,039
Telefonica De Peru 'B' 170,708 317,627
------------
562,568
------------
Philippines - 3.73%
Ayala Corp 217,800 236,019
Metro Bank Trust Co 14,075 347,861
Petron Corp 449,300 152,044
Philippine Long Distance Telephone 4,500 229,500
San Miguel Corp 86,690 382,359
Sm Prime 1,125,800 291,081
------------
1,638,864
------------
Poland - 3.56%
Bank Rozwoju Eksportu 12,700 380,770
Bank Slaski SA 2,140 217,850
Debica * 9,850 219,774
Elektrim 62,790 569,147
Polifarb 31,640 175,386
------------
1,562,927
------------
Portugal - 3.02%
Banco Totta & Acores 8,000 150,770
Cimpor Cimentos De Portugal 7,400 159,209
Investec * 4,900 151,595
Jeronimo Baby Shares * 1,640 83,496
Jeronimo Martins 3,279 169,021
Portugal Telecom 13,600 387,444
Sonae Industria E Investmentos 7,150 226,275
------------
1,327,810
------------
South Africa - 5.60%
Barlow Limited 10,621 94,212
De Beers Centenary 10,490 301,012
Driefontein * 25,000 263,172
Gencor 58,933 214,141
Liberty Life Associates of Africa 7,038 176,382
Metro Cash 43,839 145,240
Murray Roberts Holdings 22,462 50,412
Nasionale Pers 15,450 142,826
Nedcor * ~ 19,047 262,087
Norwich Holdings 51,837 90,855
Rembrandt Group 31,117 277,682
Sasol Limited 11,100 131,677
Smith C.G. Limited 16,642 81,280
South African Breweries 9,102 230,541
------------
2,461,519
------------
South Korea - 4.09%
Cho Hung Bank 12,560 100,064
Daewoo Securities Co * 13,100 168,982
Hanwha Chemical Corp 13,900 107,746
Korea Electric Power 21,150 634,200
Korea Fund 44,500 667,500
Korean Air 490 7,991
Samsung Electronics Co 1,870 109,419
------------
1,795,902
------------
Taiwan - 0.98%
Acer Inc GDR * 8,700 80,910
Advanced Semiconductor * 5,500 53,515
Asia Cement GDS 1,900 34,865
China Steel GDS 5,740 114,369
Evergreen Marine* 3,200 63,616
GVC Corp GDR * 5,100 38,887
President Enterprise GDS * 2,400 42,900
------------
429,062
------------
</TABLE>
* Non-income producing securities.
~ Purchased in a private placement transaction; resale to the
public may require registration.
A-86
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
December 31, 1996
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
<S> <C> <C>
Thailand - 2.43%
Bangkok Bank Public Co 42,800 $ 413,752
Cogeneration PLC * 27,200 101,255
Electricity Generating 34,000 92,773
Krung Thai Bank Public Co Limited 65,700 126,770
Phatra Thanakit Co 24,500 69,716
Thai Farmers Bank Public 24,700 154,050
Total Access Comm 16,000 110,400
---------------
1,068,716
---------------
Turkey - 3.11%
Adana Cimento + 897,000 95,945
Akaltekstil + 531,750 72,567
Akbank + 642,000 174,633
Arcelik + 579,750 117,607
Demirbank + 1,174,000 81,189
Eczacibasi Yapi * + 1,217,000 98,751
Erciyas Biracilik + 374,000 81,042
Eregli Demir Ve Celik FA + 392,500 94,099
Goodyear + 87,500 79,069
Izmir Demir Celik * + 4,931,500 82,760
Migros Turk Tas + 42,875 104,766
Netas Telekomunik + 354,500 160,171
Turk Sise Ve Cam Fabrika * + 472,500 100,207
Yapi Ve Kredi Bank + 493,500 24,573
---------------
1,367,379
---------------
Total Common Stocks (Cost $36,020,113) 35,920,475
---------------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.17%
Taiwan - 0.17%
Far Eastern Department Stores
3.000% due 07/06/01 $ 70,000 73,850
Total Corporate Bonds & Notes
(Cost $72,450) 73,850
---------------
CONVERTIBLE BONDS - 0.28%
Taiwan - 0.28%
Formosa Chemical
1.750% due 07/19/01 40,000 44,900
Nan Ya Plastics
1.750% due 07/19/01 70,000 79,800
---------------
124,700
---------------
Total Convertible Bonds (Cost $118,425) 124,700
---------------
Total Investments In Securities
at Market Value (Cost $36,210,988) 36,119,025
---------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENT - 17.78%
Chase Bank London
5.844% due 01/02/97 2,311,800 2,311,800
Chase Manhatten Bank
5.500% due 01/02/97 5,500,000 5,500,000
---------------
Total Short-term Investments
at Amortized Cost 7,811,800
---------------
TOTAL EMERGING MARKETS
PORTFOLIO (COST $44,022,788) $ 43,930,825
===============
</TABLE>
* Non-income producing securities.
+ This represent number of units; each unit equal 1,000 shares.
See Notes to Financial Statements.
A-87
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (Unaudited)
In accordance with Rule 30d-1 under the Investment Company Act of 1940, the
Pacific Select Fund (the "Fund") is required to furnish certain information
regarding any matters submitted to a vote of the Fund's shareholders.
Shareholders of record on October 24, 1996, representing 108,404,653 shares,
were notified that a Special Meeting of Shareholders (the "Meeting") would be
held at the offices of the Fund on December 17, 1996. 100% of the outstanding
shares were voted. A brief description of each matter voted upon as well as the
voting results of the aforementioned Meeting are outlined in the table below:
<TABLE>
<CAPTION>
Total
Outstanding
Proposal Votes For Votes Against Abstentions Shares
-------- --------- ------------- ----------- ------
Number Percent* Number Percent* Number Percent*
------ ------- ------ ------- ------ -------
<S> <C> <C> <C> <C> <C> <C> <C>
Addendum to the Portfolio Management Agreement with:
Pacific Investment Management Company ("PIMCO") for
the Managed Bond Portfolio that decreases the portfolio
management fee paid by Pacific Mutual 19,534,620 93.5% 434,859 2.1% 924,663 4.4% 20,894,142
PIMCO for the Government Securities Portfolio that
decreases the portfolio management fees paid by Pacific
Mutual 8,148,891 94.7% 59,661 0.7% 398,054 4.6% 8,606,606
Columbus Circle Investors for the Aggressive Equity
Portfolio that decreases the portfolio management fee
paid by Pacific Mutual 3,217,497 96.3% 16,726 0.5% 105,629 3.2% 3,339,852
Janus Capital Corporation for the Growth LT Portfolio
that decreases the portfolio management fee paid
by Pacific Mutual 22,427,582 94.9% 384,280 1.6% 813,974 3.5% 23,625,836
J.P. Morgan Investment Management Inc. ("J.P. Morgan
Investment") for the Equity Income Portfolio that
decreases the portfolio management fee paid by Pacific
Mutual 18,482,587 95.7% 163,928 0.9% 658,692 3.4% 19,305,207
J.P. Morgan Investment for the Multi-Strategy Portfolio
that decreases the portfolio management fee paid
by Pacific Mutual 13,268,899 96.1% 69,488 0.5% 474,255 3.4% 13,812,642
Greenwich Street Advisors, a division of Mutual Funds
Management Inc., ("Greenwich") for the Equity Portfolio
that decreases the portfolio management fee paid by
Pacific Mutual 8,734,164 95.4% 81,881 0.9% 338,662 3.7% 9,154,707
Greenwich for the Bond and Income Portfolio that decreases
the portfolio management fee paid by Pacific Mutual 6,016,623 95.5% 66,489 1.1% 216,199 3.4% 6,299,311
Blairlogie Capital Management for the Emerging Markets
Portfolio that decreases the portfolio management fee
paid by Pacific Mutual 3,216,506 95.6% 34,876 1.0% 114,968 3.4% 3,366,350
</TABLE>
* Based on total shares outstanding.
A-88
