|
|
|
|
|
|
|
|
|
|
|
|
|
|
Previous: IDS MANAGED FUTURES II L P, 10-Q, 1997-08-15 |
Next: PACIFIC SELECT SEPARATE ACCOUNT OF PACIFIC MUTUAL LIFE INSUR, N-30D, 1997-08-15 |
<PAGE>
SEMI-ANNUAL REPORT
AS OF JUNE 30, 1997
.PACIFIC SELECT FUND
[LOGO OF PACIFIC SELECT FUND APPEARS HERE]
<PAGE>
PACIFIC SELECT FUND
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund") Semi-
annual Report dated June 30, 1997. 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 of the Fund. The Adviser, with input from each of these Portfolio
Managers, has prepared the attached discussion of the results for each Portfolio
for the period from January 1, 1997 to June 30, 1997 and the anticipated outlook
for the last six months of 1997.
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 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") served as Portfolio
Manager for the International Portfolio through May 31, 1997. Morgan Stanley
Asset Management Inc. ("Morgan Stanley") served as Portfolio Manager for the
International Portfolio from June 1, 1997 through June 30, 1997. 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
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
MONEY MARKET PORTFOLIO
- ----------------------
The total return for the Money Market Portfolio for the six months ended June
30, 1997 was 2.53%**. The yield, measured during the 7-day period ending June
30, 1997, was 5.16%**.
After rising in the first three months of 1997, yields on short-term Treasury
bills and commercial paper fell in the second quarter. At mid-year, the 3-month
T-bill yield was 5.17% compared with 5.18% at year-end 1996. On March 25, 1997,
the Federal Reserve raised interest rates, increasing the Federal funds rate
0.25% to 5.50%, Many investors expected to see another rate hike before the end
of June, but the Fed decided to maintain this rate level based on evidence of
low inflation, a moderating economy, and low unemployment.
As yields have fallen, the Portfolio has extended its average maturity through
the use of asset-backed money market tranches. This extension strategy provides
the Portfolio with a yield pickup. At June 30, the average maturity of the
Portfolio was 64 days as compared with 47 days at year-end 1996.
For the remainder of 1997, heavy demand for short-term securities should keep
yields relatively low. In this environment, the Portfolio will actively seek
to trade into higher-yielding instruments while maintaining liquidity.
HIGH YIELD PORTFOLIO
- --------------------
The total return for the High Yield Bond Portfolio for the six months ended
June 30, 1997 was 4.97%** versus 5.86%* for the First Boston High Yield Bond
Index and 2.74%* for the Lehman Brothers Government/Corporate Bond Index.
The overall U.S. bond market rebounded from a poor-performing first quarter
and posted strong gains in the second quarter as interest rates fell. The high-
yield market continued to experience a heavy calendar of new issuance, with over
$55 billion of debt offered year-to-date. Over the past six months, high-yield
corporate bonds solidly outperformed investment-grade corporates, governments,
and mortgage-backed securities. Within the high-yield sector, long-term issues
had better performance than intermediate-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.
For the balance of 1997, Pacific Mutual Life believes that the favorable
environment for high-yield bonds will continue. Despite the compression in
spreads between high-yield and investment-grade securities, there are still good
opportunities for attractive returns. Momentum continues to be strong, driven
by
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
cash flows into mutual funds and a healthy economy with low inflation.
MANAGED BOND AND GOVERNMENT SECURITIES PORTFOLIOS
- -------------------------------------------------
The total returns for the six months ended June 30, 1997 for the Managed Bond
Portfolio and the Government Securities Portfolio were 2.67%** and 2.24%**,
respectively. The total returns for the Lehman Brothers Government/Corporate
Bond Index and the Lehman Brothers Government Bond Index for the corresponding
period were 2.74%* and 2.62%*, respectively.
After falling significantly toward the end of 1996, interest rates rose in the
first quarter of 1997 as fears of an overheating economy and tighter monetary
policy concerned investors. On signs that the surge in growth had subsided to a
moderate pace of expansion in the second quarter, interest rates began to drop.
At June 30, 1997, the 30-year Treasury yielded 6.78% compared with 6.64% at
year-end 1996. Supporting the drop in bond yields was the continued absence of
inflationary pressures at any stage of the production process.
PIMCO's use of multiple strategies, ranging from sector rotation to in-depth
analysis of individual securities, contributed to near-benchmark performance for
both Portfolios. Although above-market durations detracted from returns
throughout the first quarter and the beginning of the second quarter, higher-
than-index duration was beneficial to both Portfolios in the latter part of the
second quarter.
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 a small position in currency-hedged, Canadian
government securities. Mortgage pass-throughs provided yield premiums and price
gains relative to Treasury issues while corporate bonds continued to fare
extremely well amid strong economic growth.
Performance of the Government Securities Portfolio was bolstered by holdings
in pass-through mortgage securities as well as collateralized mortgage
obligations. The Portfolio's short-term adjustable rate mortgages performed
particularly well, and small positions in Canadian government bonds added value.
For the remainder of 1997, PIMCO intends to maintain an average portfolio
maturity for both Portfolios above that of the respective market indexes to
reflect a moderately bullish opinion about the direction of interest rates.
PIMCO expects that rates will trend downward later in 1997 as the growth rate of
the economy slows to a more sustainable 3% level and inflation remains benign.
GROWTH PORTFOLIO
- ----------------
The Growth Portfolio's total return for the six months ending June 30, 1997
was 17.93%** versus 10.20%* for the Russell 2000 Index, 11.26%* for the Russell
2500 Index, and 20.61%* for Standard & Poor's 500 Stock Index ("S&P 500 Index").
The Russell 2000 Index is the most comparable benchmark because the median and
average market size of the stocks held in the Portfolio is relatively
representative of the size of the stocks that comprise the Russell 2000.
The U.S. stock market extended its remarkable winning streak during the first
half of 1997. The combination of moderate economic growth and continued low
inflation kept interest rates at reasonably low levels and bolstered stock
prices. Most of the six-month gain occurred during the second quarter as stock
valuations rose sharply, supported by the underlying fundamentals of solid
revenues, earnings, and cash flows.
In this environment, the Portfolio's holdings performed well, and areas of
particular strength were semiconductor equipment and media firms. Areas that
performed less well included technology (other than semiconductors) and several
biotech firms. At mid-year, the Portfolio was relatively underweighted in
finance, utilities, oil companies, and retailers.
Looking ahead, Capital Guardian continues to be bullish on the long-term
prospects for the stock market. Corrections are inevitable, but global and U.S.
trends--economic, political, technical, and social--appear to be positive for
the long-term growth of equity values. The market's sustained strong advance has
led to full (if not over-) valuations of some issues, but Capital Guardian
expects to be able to find enough attractive issues to remain fully invested.
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the six months ended June 30, 1997, the Aggressive Equity Portfolio
returned -1.98%** compared with 10.20%* for the Russell 2000 Index, 11.26%* for
the Russell 2500 Index and 20.61%* for the S&P 500 Index.
The Portfolio's below-benchmark return is primarily the result of the extreme
negative environment for small cap aggressive growth stocks that persisted
through April of this year, a large bet on technology stocks, and some
inevitable disadvantageous stock selection.
Looking back, July 1996 marked a sea change in investor interest in small cap
issues. Over the next three quarters, interest ebbed at an accelerating rate,
with small growth stocks declining the most. In the first four months of 1997,
small cap stocks declined by 5% while large cap issues as measured by the S&P
500 gained 9%. In May the tide changed, and interest in small and mid cap stocks
rekindled. Investors started to reward companies with strong sales and earnings
growth rates, improving business development, and positively surprising news
events. The Portfolio responded well to this shift in environment, advancing
over 10% in May and making further progress in June.
The Portfolio's performance year-to-date was also hindered by the 30%
allocation to the technology sector, which is heavily populated with the
aggressive growth stocks that meet CCI's discipline. In the first half of the
year, technology underperformed the broader small cap market, and the
Portfolio's overweighting significantly detracted from performance. The
Portfolio's technology holdings were concentrated in computer hardware and
software, and in aggregate these stocks performed poorly despite having good
fundamentals.
CCI believes the outlook for the small cap segment of the market is
attractive. Even with relative valuations well below their historical peak, CCI
continues to build up defenses against
See explanation of symbols on A-5
A-2
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
negative surprises because the penalty for missing expectations has become
severe. The second quarter results have reinforced CCI's belief that a "Positive
Surprise" discipline of investing in companies doing better than expected still
works, and a portfolio inventory of vibrant companies can produce very
attractive investment returns.
GROWTH LT PORTFOLIO
- -------------------
The total return of the Growth LT Portfolio for the six months ending June 30,
1997 was 5.33%** versus 11.26%* for the Russell 2500 Index and 20.61%* for the
S&P 500 Index.
At mid-year 1997, the Portfolio's asset allocation was approximately 60% in
domestic stocks, 17% in foreign equities, and 23% in cash and equivalents. This
allocation detracted from results as domestic equities outperformed their
international counterparts and short-term yield levels were well below the gains
enjoyed by major stock market indexes. In addition, over 60% of the Portfolio
was invested in companies with capitalizations of less than $8.5 billion with an
average weighted market capitalization of $16.52 billion.
Although the market's narrow focus and a major sell-off in technology hurt
performance in the first quarter, the Portfolio rebounded strongly in the second
quarter. Small and mid cap stocks began to participate in the rally, giving the
market greater breadth in its advance. Additionally, selected technology stocks
came back into favor, allowing the Portfolio to make up for lost ground.
The Portfolio's current mix is somewhat more eclectic than in the past,
although several broad themes remain. These include health care,
pharmaceuticals, technology, telecommunications, financial services and consumer
products companies. Looking ahead over the next several quarters, Janus
remains confident about the earnings prospects for the Portfolio and, using
fundamental analysis, will continue to seek attractively priced companies with
good growth potential.
EQUITY INCOME AND MULTI-STRATEGY PORTFOLIOS
- -------------------------------------------
The total return for the Equity Income Portfolio for the six months ending
June 30, 1997 was 17.22%** versus the S&P 500 Index's return of 20.61%*. The
Multi-Strategy Portfolio's return for the six-month period ending June 30, 1997
was 10.08%** versus 20.61%* for the S&P 500 Index, and 3.11%* for the Lehman
Brothers Aggregate Bond Index. The Lehman Brothers Aggregate Bond Index
("Aggregate Bond Index") recently replaced the Lehman Brothers
Government/Corporate Bond Index as a benchmark comparison because the Portfolio
contains mortgage-backed securities.
The stock market benefited from an environment of strong growth and low
inflation in the first half of 1997. After a volatile first quarter, the market
stabilized in the second quarter as the Federal Reserve decided to hold the Fed
Funds rate at 5.5%. The first quarter of 1997 was dominated by strong fourth
quarter earnings reports in January and February and fears of rising rates in
March. As rates rose, JPMIM slightly underweighted interest-sensitive sectors,
specifically the finance, telephone, utility, and insurance sectors. However,
in the second quarter as interest rates began to fall, these sectors rebounded.
Weightings were then readjusted to a more neutral stance. This sector neutral
approach, combined with a focus on undervalued stock selection, led to strong
gains for the first six months.
The Equity Income Portfolio also benefited from strong stock selection,
particularly in the telephone and drug sectors. In addition, stock selection in
the retail sector also added to performance as this sector rebounded after weak
holiday sales the previous December.
The Multi-Strategy Portfolio's asset allocation favored fixed income
securities during the first half of 1997, as JPMIM continued to view stocks as
overvalued relative to bonds. Allocation remained closer to a 50/50 balance
between stocks and bonds versus the usual allocation of 60% equity and 40% fixed
income. In addition to the equity sectors mentioned above, fixed income
performance was enhanced by an overweighting of investment-grade corporate
securities. Without a strong conviction as to the direction of interest rates
in the second quarter, the Portfolio maintained a duration similar to that of
the Aggregate Bond Index.
JPMIM's outlook calls for strong GDP growth of 3.5% in 1997 and below-trend
growth in 1998, with inflation moving up above 3% in 1998 due to higher wage
growth. The Portfolios will continue to be fully invested in a diverse
selection of stocks and will remain largely sector neutral. In equities, JPMIM
has positioned technology holdings away from the personal computer industry and
towards the data networking areas as JPMIM believes the environment in these two
subsectors is about to reverse. In the Multi-Strategy Portfolio, equities will
continue to be underweighted versus bonds. Within the fixed income portion,
investment-grade corporates will continue to be overweighted in anticipation of
above-trend growth over the second half of 1997.
EQUITY PORTFOLIO
- ----------------
For the six months ending June 30, 1997, the total return of the Equity
Portfolio was 13.45%** versus the 20.61%* for the S&P 500 Index.
The first month of 1997 started off quite strong for stocks, but the market
began to retreat in mid-February. The last two trading days of March lopped more
than 4% from the value of the S&P 500 Index and erased most of the quarter's
advance. The sell-off in March proved to be another buying opportunity as most
major indexes rebounded from their mid-April lows to post record gains for the
second quarter. The market rally ignited after the Fed decided to leave interest
rates unchanged, owing to a benign inflation environment. With strong earnings
growth and a more favorable inflation outlook, investor preference remained with
large cap issues despite their historically high valuations. In that regard,
the equity markets continued to see new highs amid a fairly narrow leadership--
similar to the "Nifty Fifty" of the 1970s.
Although the Portfolio entered the second quarter of 1997 well positioned to
benefit from the continued earnings momentum and solid industry fundamentals of
large cap issues, performance for the six-month period was below that of the
benchmark. The corporate giants that dominate the top 25 positions in the Index
posted exceptionally strong gains,
See explanation of symbols on A-5
A-3
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
eclipsing the Portfolio's base of growth stocks with powerful earnings momentum.
To reflect a more selective posture toward technology stocks, this sector
weighting was reduced to limit volatility in the Portfolio. As the second
quarter progressed, strong performance of the consumer, finance, and
pharmaceutical sectors bolstered Portfolio results.
For the balance of 1997, Greenwich believes the direction of the market will
be upward--given solid economic growth and the lower interest rate environment--
but not without some volatility. To the extent that interest rates and
inflation remain in check and corporate profit growth proceeds at a moderate
pace, large cap issues should continue to outperform. The Portfolio Manager
intends to continue looking for high-quality growth stocks with strong earnings
momentum because, over the long term, these issues are expected to offer
superior growth and above-average returns.
BOND AND INCOME PORTFOLIO
- -------------------------
For the six-month period ending June 30, 1997 the total return for the Bond &
Income Portfolio was 2.16%** versus 2.52%* for the Lehman Brothers
Government/Corporate Long-Term Bond Index.
The bond market rebounded in the second quarter after posting negative returns
in the first three months of 1997. After above-average economic growth in the
first quarter, the economy began to slow and has shown little evidence of
inflation. The main reason for the slowdown was the drop in consumer spending.
Weak auto sales figures and incentive finance packages offered by auto
manufacturers were clear evidence of this sluggishness. Housing starts have
also moved within a fairly narrow range during the past two years and retail
sales remained sluggish.
As inflationary pressure appeared to be contained, the Federal Reserve decided
not to raise interest rates during the second quarter. By June 30, 1997, the
yield on the 30-year bellwether Treasury had fallen to 6.78%, down from the
7.10% level at the end of March but up from the 6.64% yield at the end of 1996.
Over the past six months, intermediate securities outperformed longer maturity
issues. Among the major sectors, mortgage securities and corporates
outperformed Treasury issues as a whole. As rates rose during the first quarter
of 1997, Greenwich added long-term maturities to the Portfolio. Additions were
made to the bank and finance sector as well as biotechnology, which is expected
to have tremendous growth prospects. Early in 1997, Treasury bonds were
purchased yielding close to 7%. Greenwich believes that long-term interest
rates will continue to decline toward the 6% level and that these issues should
perform well.
For the remainder of 1997, Greenwich does not envision any serious imbalances
which could cause a recession nor do they see large pockets of pent-up demand.
Monetary policy is expected to remain restrictive, and fiscal policy will also
be under a tight rein, as evidenced by the Federal deficit (which will be less
than 1% of GDP in fiscal 1997) and the shrinkage in Treasury bond issuance
relative to potential demand.
EQUITY INDEX PORTFOLIO
- ----------------------
For the six months ended June 30, 1997, the total return for the Equity Index
Portfolio was 20.47%** versus the 20.61%* return of the S&P 500 Index. This
Portfolio seeks to replicate the performance of the S&P 500 Index.
The first half of 1997 was one of the top-ten strongest periods in the past 50
years, and during this period large cap growth stocks outperformed large cap
value stocks. Despite a 10% correction between early March and mid-April, the
S&P 500 advanced over 17% by the end of June. Strong-performing sectors in the
second quarter included financial services, health care, and transportation.
Technology stocks, which slumped in the first quarter, posted hefty gains in the
second quarter. Weaker-performing sectors included utilities and energy.
Real GDP, which grew at an annualized rate of 5% in the first quarter, posted
a 1.5% gain in the second quarter. The inflation picture, already quite benign,
brightened further, and corporate profits continued to post impressive gains. As
the second half of 1997 unfolds, the economy is expected to again display
strength, with robust employment and a pickup in the pace of consumer spending.
On balance, Bankers Trust estimates that real GDP will rise in the 2%-3% zone,
enough to generate slightly higher inflation and allow corporate earnings to
continue to expand at a double-digit rate. In the event the Fed raises interest
rates in the fall, the S&P 500 could suffer a correction of 5%-10%. Longer-
term, however, favorable fundamentals are expected to result in a positive trend
for both stocks and bonds.
INTERNATIONAL PORTFOLIO
- -----------------------
The International Portfolio's total return for the six months ending June 30,
1997 was 14.10%** versus 11.20%* for the Morgan Stanley Capital International
Europe, Austria and Far East Index (EAFE Index). The management of the
Portfolio was moved from Templeton to Morgan Stanley on June 1, 1997. The
transition period went smoothly, and the majority of the restructuring was
completed in June. The restructuring was concentrated on increasing exposure to
markets such as Japan and Germany--which are expected to show stronger
performance going forward--and selectively paring back exposure to emerging
market countries.
Near the end of the first quarter, many international stock markets gave up
part of their earlier gains, in tandem with the U.S. market. As a result,
Europe provided fertile ground for finding undervalued stocks. In addition,
European companies have gone through a number of restructurings in order to
recognize shareholder value. During the quarter, the Portfolio was
underweighted in Japan as Templeton believed that opportunities in other Asian
countries, such as Hong Kong were attractive. Brazil and China, two of the
world's largest emerging markets, also provided good bargains.
In the second quarter, the Japanese market posted impressive gains following
an extended period of underperformance. The economy finally began to pick up,
reflecting the lagged benefits of low interest rates and devaluation of the yen.
The Portfolio's weighting in Japan was raised from less than 1% in May to
approximately 20% at quarter-end. This restructuring allowed
See explanation of symbols on A-5
A-4
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
the Portfolio to capture a portion of that market's rise in June. The markets in
Europe continued to extend their rally, buoyed by strong corporate earnings and
benign inflation. In Asia the story was mixed. The Hong Kong market rose over
20% as investors became euphoric prior to the July 1 hand-over to China. Red
chip stocks (companies with the strongest ties to China) performed exceptionally
well. In contrast, the Thai market plummeted, due to concerns about the nation's
banking system and fears of currency devaluation. In Latin America, Brazil and
Mexico were strong performers. As the news from this region continues to be
positive, Morgan Stanley has decided to retain the Portfolio's exposure for the
time being.
Looking ahead to the second half of 1997, Morgan Stanley remains cautiously
optimistic about the international markets. European markets should continue to
be supported by improving fundamentals, although valuations have reached record
levels. Morgan Stanley expects to increase exposure to Japan and anticipates
finding attractive opportunities in Singapore and Malaysia. Finally, Morgan
Stanley will continue to selectively reduce the Portfolio's exposure to the
emerging markets, taking advantage of market strength particularly in Latin
America.
EMERGING MARKETS PORTFOLIO
- --------------------------
For the six months ending June 30, 1997 the Emerging Markets Portfolio
returned 14.99%** versus the 17.75%* return of the Morgan Stanley Capital
International Emerging Markets Free Index.
The Portfolio's overweighting in Latin America was beneficial during the first
half of 1997. The global pattern of funds flowing from Asia to Latin America
was sustained during this period, and most Latin markets repeatedly hit records
in trading volume. In particular, Peru and Brazil, both of which saw strong
inflows of capital, performed well, as did Mexico.
Persistent fears over currency devaluation led Blairlogie to reduce the
Portfolio's allocation to Thailand and Malaysia. The below-benchmark weighting
in Thailand and the Czech Republic paid off as the currencies of these
countries were devalued following an onslaught of speculators. Other markets
such as the Philippines and Indonesia have also suffered from currency weakness.
Overall, the U.S. dollar was strong during the second quarter, which lowered
returns to U. S. investors. During this period Malaysia and India performed
poorly. Malaysian auto sector stocks fell sharply, while in India, Global
Depository Receipts (GDRs)--the most common and cost-efficient investment
vehicle held by foreigners-- underperformed the local market. Much of this
underperformance was attributable to the government's postponement of the
removal of oil price subsidies. Each time such a delay occurs, the oil sector,
which is not represented among GDRs, advances sharply and GDRs tend to lag in
this situation.
The strength of the U.S. equity market continued to bewilder global investors.
Blairlogie believes that there are now many international markets that are
cheaper across a broad range of criteria. In Eastern Europe, further short-term
choppiness is expected, although suitable opportunities could occur later this
year. Portugal, with low inflation, is graduating to the EAFE Index later in
1997, which is likely to continue to bolster its desirability. Latin America
may be overvalued in the short term, but the region is poised for a period of
solid growth. From a contrarian standpoint, the relative performance between
Latin America and Asia is beginning to appear stretched, although the flow of
capital from Asia to Latin America is expected to continue due to fears of
currency woes within Asia.
_____________________________
EXPLANATION OF SYMBOLS
- ----------------------
* 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 and 7-day yield 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>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1997 (UNAUDITED)
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT AGGRESSIVE GROWTH
MARKET BOND BOND SECURITIES GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------------
ASSETS
<S> <C> <C> <C> <C> <C> <C> <C>
Investments in securities at value............ $236,724 $274,085 $ 77,724 $192,887 $74,982 $426,485
Short-term investments at amortized cost...... $379,986 14,213 94,288 41,002 14,463 8,266 131,705
Cash.......................................... 1 13 1 3 3
Receivables:
Dividends and interest...................... 877 4,111 2,868 491 70 13 334
Fund shares sold............................ 1,788 616 1,225 117 58 369 766
Securities sold............................. 2,467 10,793 3,120 81 2,770 2,003
Other receivables........................... 16 34
Forward foreign currency contracts
appreciation................................ 141 40 681
Organization costs............................ 19 1
-----------------------------------------------------------------------------------
TOTAL ASSETS.................................. 382,651 258,132 383,429 122,529 207,559 86,422 561,978
-----------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed........................ 25 18 26 183
Securities purchased........................ 18,427 55,278 16,315 2,890 5,243 4,291
Accrued advisory fees....................... 120 115 158 52 105 51 330
Accrued custodian fees and
recordkeeping fees......................... 79 38 50 19 32 35 84
Accrued other............................... 47 18 24 7 13 16 40
Variation margin............................ 358 182
-----------------------------------------------------------------------------------
TOTAL LIABILITIES............................. 271 18,598 55,886 16,575 3,066 5,345 4,928
-----------------------------------------------------------------------------------
NET ASSETS.................................... $382,380 $239,534 $327,543 $105,954 $204,493 $81,077 $557,050
-----------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital............................... $382,406 $232,229 $326,329 $106,837 $153,299 $80,293 $489,704
Under distributed net investment income....... (26) (26) (380) (129) (21) (67) (964)
Undistributed capital gains (losses).......... 1,342 (350) (1,040) 9,264 (6,497) 10,326
Net unrealized appreciation of
investments and on translation of other
assets denominated in foreign currencies.... 5,989 1,944 286 41,951 7,348 57,984
-----------------------------------------------------------------------------------
NET ASSETS.................................... $382,380 $239,534 $327,543 $105,954 $204,493 $81,077 $557,050
-----------------------------------------------------------------------------------
Shares of beneficial interest
outstanding of $.001 par value............... 38,057 24,065 30,616 10,249 9,172 7,676 33,886
-----------------------------------------------------------------------------------
NET ASSETS PER SHARE.......................... $10.047 $9.954 $10.699 $10.338 $22.297 $10.563 $16.439
-----------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
A-6
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND EQUITY INTER- EMERGING
INCOME STRATEGY EQUITY INCOME INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value............... $601,201 $266,817 $257,878 $88,160 $605,340 $632,777 $84,019
Short-term investments at amortized cost......... 19,662 14,228 31,690 3,336 27,400 5,234 4,893
Cash............................................. 2 1
Receivables:
Dividends and interest......................... 458 2,057 78 1,681 691 3,582 281
Fund shares sold............................... 1,073 327 458 193 1,576 1,567 449
Securities sold................................ 756 187 3,864 35,431 5,385
Other receivables.............................. 18 2
Forward foreign currency contracts
appreciation.................................. 10 310
Organization costs............................... 19
---------------------------------------------------------------------------------
TOTAL ASSETS..................................... 623,150 283,644 293,970 93,370 635,008 678,903 95,046
---------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed........................... 90 14 12 106
Securities purchased........................... 2,118 527 11,065 12,449 5,932 1,424
Accrued advisory fees.......................... 325 149 147 45 86 413 80
Accrued custodian fees and
recordkeeping fees............................ 87 59 34 15 79 288 93
Accrued other.................................. 44 19 23 9 41 46 14
Variation margin................................. 83
---------------------------------------------------------------------------------
TOTAL LIABILITIES................................ 2,574 844 11,283 81 12,844 6,679 1,611
---------------------------------------------------------------------------------
NET ASSETS....................................... $620,576 $282,800 $282,687 $93,289 $622,164 $672,224 $93,435
=================================================================================
NET ASSETS CONSIST OF:
Paid-in capital.................................. $502,054 $251,008 $213,711 $93,965 $484,734 $545,015 $85,427
Over (Under) distributed net investment
income.......................................... (17) (27) 234 (14) 6,298 399
Undistributed capital gains (losses)............. 39,740 9,946 13,796 (421) 4,379 39,466 382
Net unrealized appreciation (depreciation) of
investments and on translation of other assets
denominated in foreign currencies.............. 78,799 21,873 54,946 (255) 133,065 81,445 7,227
---------------------------------------------------------------------------------
NET ASSETS....................................... $620,576 $282,800 $282,687 $93,289 $622,164 $672,224 $93,435
=================================================================================
Shares of beneficial interest outstanding of
$.001 par value............................... 27,698 18,695 12,277 7,956 26,499 39,161 8,394
=================================================================================
NET ASSETS PER SHARE............................. $22.405 $15.127 $23.026 $11.726 $23.479 $17.166 $11.131
=================================================================================
</TABLE>
See Notes to Financial Statements
A-7
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1997 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT AGGRESSIVE GROWTH
MARKET BOND BOND SECURITIES GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld.............. $ 39 $ 627 $ 62 $ 1,817
Interest.............................................. $10,016 8,904 $ 9,170 $3,055 261 201 2,746
Other................................................. 1 41 1 9
-----------------------------------------------------------------------------
Total Investment Income............................... 10,017 8,984 9,171 3,055 888 263 4,572
-----------------------------------------------------------------------------
EXPENSES
Advisory fees......................................... 694 629 860 301 574 241 1,793
Custodial fees........................................ 52 29 36 16 34 25 88
Recordkeeping fees.................................... 74 45 61 22 28 15 84
Trustees fees......................................... 6 3 4 1 2 1 6
Legal fees............................................ 9 4 6 2 3 2 9
Printing expenses..................................... 23 11 15 5 8 4 24
Insurance expenses.................................... 8 4 5 2 3 1 8
Other................................................. 28 11 16 4 10 10 27
-----------------------------------------------------------------------------
Total Expenses........................................ 894 736 1,003 353 662 299 2,039
-----------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS).......................... 9,123 8,248 8,168 2,702 226 (36) 2,533
-----------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security transactions... 1,330 (528) (121) 9,300 (4,897) 9,739
Net realized gain (loss) from futures contracts....... (807) (547) 56
Net realized foreign exchange gain.................... 250 86 427
-----------------------------------------------------------------------------
Net Realized Gain (Loss) on Investments and
Foreign Currency Transactions........................ 1,330 (1,085) (582) 9,300 (4,897) 10,222
-----------------------------------------------------------------------------
Net unrealized appreciation (depreciation)
on investments....................................... 876 214 (264) 20,945 5,027 14,146
Net unrealized appreciation on futures contracts...... 635 473
Net unrealized foreign exchange gain (loss)........... 12 (10) 722
-----------------------------------------------------------------------------
Net Unrealized Gain on Investments and
Foreign Currency Transactions........................ 876 861 199 20,945 5,027 14,868
-----------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS........ 2,206 (224) (383) 30,245 130 25,090
-----------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS............................ $ 9,123 $10,454 $ 7,944 $2,319 $30,471 $ 94 $27,623
-----------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
A-8
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 1997 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND EQUITY INTER- EMERGING
INCOME STRATEGY EQUITY INCOME INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld.......... $ 3,959 $ 1,149 $ 897 $ 4,377 $10,729 $ 799
Interest.......................................... 346 3,948 624 $3,209 466 948 164
Other............................................. 2 25 32
-------------------------------------------------------------------------------
Total Investment Income........................... 4,305 5,097 1,523 3,209 4,843 11,702 995
-------------------------------------------------------------------------------
EXPENSES
Advisory fees..................................... 1,672 807 788 254 441 2,275 357
Custodial fees.................................... 75 71 24 11 63 378 115
Recordkeeping fees................................ 86 43 41 18 81 150 49
Trustees fees..................................... 7 3 3 1 6 7 1
Legal fees........................................ 11 5 5 2 10 11 2
Printing expenses................................. 27 12 12 4 24 27 4
Insurance expenses................................ 9 4 4 1 8 9 1
Other............................................. 30 12 14 5 27 31 8
-------------------------------------------------------------------------------
Total Expenses.................................... 1,917 957 891 296 660 2,888 537
-------------------------------------------------------------------------------
NET INVESTMENT INCOME............................. 2,388 4,140 632 2,913 4,183 8,814 458
-------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security
transactions..................................... 40,346 10,413 13,720 (67) 3,064 39,676 1,001
Net realized gain from futures contracts.......... 1,322
Net realized foreign exchange gain (loss)......... 3 (714) (14)
-------------------------------------------------------------------------------
Net Realized Gain (Loss) on Investments
and Foreign Currency Transactions................ 40,346 10,416 13,720 (67) 4,386 38,962 987
-------------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) on investments.................... 40,060 9,827 16,331 (847) 83,743 27,419 7,319
Net unrealized appreciation on futures contracts.. 24
Net unrealized foreign exchange gain (loss)....... 6 264 (1)
-------------------------------------------------------------------------------
Net Unrealized Gain (Loss) on
Investments and Foreign
Currency Transactions........................... 40,060 9,833 16,331 (847) 83,767 27,683 7,318
-------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS................................... 80,406 20,249 30,051 (914) 88,153 66,645 8,305
-------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS....................... $82,794 $24,389 $30,683 $1,999 $92,336 $75,459 $8,763
-------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
A-9
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1997 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT AGGRESSIVE GROWTH
MARKET BOND BOND SECURITIES GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)............... $ 9,123 $ 8,248 $ 8,168 $ 2,702 $ 226 $ (36) $ 2,533
Net realized gain (loss) on investments
and foreign currency transactions......... 1,330 (1,085) (582) 9,300 (4,897) 10,222
Net unrealized appreciation on
investments and foreign
currency transactions.................... 876 861 199 20,945 5,027 14,868
--------------------------------------------------------------------------------------
Net Increase In Net Assets Resulting
From Operations........................... 9,123 10,454 7,944 2,319 30,471 94 27,623
--------------------------------------------------------------------------------------
Net Equalization Credits................... 538 896 1,564 94 55 11
--------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income...................... (9,123) (8,255) (8,165) (2,691) (228) (2,532)
Capital gains.............................. (1,910) (954) (19,533) (22,870)
--------------------------------------------------------------------------------------
Net Decrease In Net Assets Resulting
From Distributions To Shareholders........ (9,123) (10,165) (9,119) (2,691) (19,761) (25,402)
--------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares............... 258,024 72,205 80,033 12,710 25,339 43,105 124,017
Dividend reinvestments..................... 9,059 10,020 8,951 2,666 19,719 25,401
Cost of shares repurchased................. (207,434) (28,620) (22,100) (6,686) (18,665) (11,971) (32,754)
--------------------------------------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions............... 59,649 53,605 66,884 8,690 26,393 31,134 116,664
--------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS................. 60,187 54,790 67,273 8,412 37,158 31,228 118,896
--------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period........................ 322,193 184,744 260,270 97,542 167,335 49,849 438,154
--------------------------------------------------------------------------------------
End of Period.............................. $ 382,380 $239,534 $327,543 $105,954 $204,493 $ 81,077 $557,050
--------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
A-10
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 1997 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND EQUITY INTER- EMERGING
INCOME STRATEGY EQUITY INCOME INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income......................... $ 2,388 $ 4,140 $ 632 $ 2,913 $ 4,183 $ 8,814 $ 458
Net realized gain (loss) on investments and
foreign currency transactions................ 40,346 10,416 13,720 (67) 4,386 38,962 987
Net unrealized appreciation (depreciation) on
investments and foreign currency transactions 40,060 9,833 16,331 (847) 83,767 27,683 7,318
----------------------------------------------------------------------------------
Net Increase In Net Assets Resulting
From Operations.............................. 82,794 24,389 30,683 1,999 92,336 75,459 8,763
----------------------------------------------------------------------------------
Net Equalization Credits 496 344 20 40 584 2,451 168
----------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income......................... (2,391) (4,141) (303) (2,913) (4,183) (2,075)
Capital gains................................. (32,179) (13,352) (8,549) (1,251) (18,953) (10,845)
----------------------------------------------------------------------------------
Net Decrease In Net Assets Resulting
From Distributions To Shareholders........... (34,570) (17,493) (8,852) (4,164) (23,136) (12,920)
----------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares.................. 118,043 39,756 55,982 14,928 174,887 172,803 73,842
Dividend reinvestments........................ 34,455 17,385 8,849 4,159 23,064 12,723
Cost of shares repurchased.................... (9,904) (7,200) (11,892) (5,483) (38,983) (32,311) (33,421)
----------------------------------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions.................. 142,594 49,941 52,939 13,604 158,968 153,215 40,421
----------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS.................... 191,314 57,181 74,790 11,479 228,752 218,205 49,352
----------------------------------------------------------------------------------
NET ASSETS
Beginning of Period........................... 429,262 225,619 207,897 81,810 393,412 454,019 44,083
----------------------------------------------------------------------------------
End of Period................................. $620,576 $282,800 $282,687 $93,289 $622,164 $672,224 $ 93,435
----------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
A-11
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1996
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT AGGRESSIVE GROWTH
MARKET BOND BOND SECURITIES GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO (1) PORTFOLIO
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)......... $ 7,747 $ 10,838 $ 10,226 $ 4,308 $ 645 $ (21) $ 2,338
Net realized gain (loss) on investments
and foreign currency transactions... 1,923 1,697 (256) 19,497 (1,600) 22,618
Net unrealized appreciation
(depreciation) on investments and
foreign currency transactions...... 2,664 (1,646) (1,011) 11,461 2,321 22,408
----------------------------------------------------------------------------------------
Net Increase In Net Assets Resulting
From Operations..................... 7,747 15,425 10,277 3,041 31,603 700 47,364
----------------------------------------------------------------------------------------
Net Equalization Credits............. 1,785 1,582 3,447 515 33 5 38
----------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income................ (7,747) (10,886) (10,236) (4,293) (644) (10) (2,683)
Capital gains........................ (990) (2,885) (1,520) (8,911) (1)
----------------------------------------------------------------------------------------
Net Decrease In Net Assets Resulting
From Distributions To Shareholders. (7,747) (11,876) (13,121) (5,813) (9,555) (10) (2,684)
----------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares......... 499,519 118,107 126,408 47,342 51,319 58,221 263,137
Dividend reinvestments............... 7,708 11,655 12,825 5,743 9,535 10 2,684
Cost of shares repurchased........... (282,768) (34,574) (6,558) (13,053) (45,341) (9,077) (73,170)
----------------------------------------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions........... 224,459 95,188 132,675 40,032 15,513 49,154 192,651
----------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS........... 226,244 100,319 133,278 37,775 37,594 49,849 237,369
----------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year.................... 95,949 84,425 126,992 59,767 129,741 200,785
----------------------------------------------------------------------------------------
End of Year.......................... $ 322,193 $184,744 $260,270 $ 97,542 $167,335 $49,849 $438,154
----------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on April 1, 1996
See Notes to Financial Statements
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE YEAR ENDED DECEMBER 31, 1996
(IN THOUSANDS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND EQUITY INTER- EMERGING
INCOME STRATEGY EQUITY INCOME INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO (1)
----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)............. $ 3,994 $ 5,751 $ 75 $ 4,620 $ 5,021 $ 6,946 $ (20)
Net realized gain (loss) on investments
and foreign
currency transactions.................. 32,381 13,070 8,582 1,519 18,853 10,446 (644)
Net unrealized appreciation
(depreciation) on investments and
foreign currency transactions.......... 21,020 2,669 26,890 (5,614) 28,126 45,097 (93)
--------------------------------------------------------------------------------------
Net Increase (Decrease) In Net Assets
Resulting From Operations............... 57,395 21,490 35,547 525 52,000 62,489 (757)
--------------------------------------------------------------------------------------
Net Equalization Credits................. 709 592 92 849 4,102 142
--------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.................... (3,990) (5,801) (108) (4,620) (5,026) (6,416)
Capital gains............................ (11,862) (6,758) (8,289) (138) (4,465) (2,081)
--------------------------------------------------------------------------------------
Net Decrease In Net Assets Resulting
From
Distributions To Shareholders.......... (15,852) (12,559) (8,397) (4,758) (9,491) (8,497)
--------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares............. 189,264 78,163 84,432 33,815 223,444 228,466 45,106
Dividend reinvestments................... 15,797 12,483 8,397 4,752 9,463 8,403
Cost of shares repurchased............... (24,704) (9,051) (20,218) (9,469) (20,372) (23,143) (408)
--------------------------------------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions............. 180,357 81,595 72,611 29,098 212,535 213,726 44,698
--------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS............... 222,609 91,118 99,761 24,957 255,893 271,820 44,083
--------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year........................ 206,653 134,501 108,136 56,853 137,519 182,199
--------------------------------------------------------------------------------------
End of Year.............................. $429,262 $225,619 $207,897 $81,810 $393,412 $454,019 $44,083
======================================================================================
</TABLE>
(1) Operations commenced on April 1, 1996
See Notes to Financial Statements
A-13
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR WERE AS FOLLOWS:
<TABLE>
<CAPTION>
INVESTMENT ACTIVITIES
- ---------------------------------------------------------------------------------------------------------------------
NET REALIZED AND TOTAL FROM
FOR THE YEAR ENDED NET ASSET VALUE, NET UNREALIZED GAIN (LOSS) INVESTMENT
DECEMBER 31, BEGINNING OF PERIOD INVESTMENT INCOME ON SECURITIES OPERATIONS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.04 $0.25 $0.01 $0.26
1996 10.02 0.47 0.02 0.49
1995 10.03 0.54 - 0.54
1994 9.99 0.33 0.04 0.37
1993 9.96 0.23 0.03 0.26
1992 9.94 0.29 0.02 0.31
- ---------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1997 (Unaudited) $9.94 $0.38 $0.10 $0.48
1996 9.79 0.79 0.25 1.04
1995 8.91 0.76 0.88 1.64
1994 9.67 0.73 (0.70) 0.03
1993 9.24 0.86 0.77 1.63
1992 8.54 0.87 0.69 1.56
- ---------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.75 $0.27 $0.01 $0.28
1996 11.10 0.59 (0.15) 0.44
1995 9.90 0.65 1.19 1.84
1994 10.89 0.50 (0.98) (0.48)
1993 10.62 0.52 0.70 1.22
1992 10.79 0.68 0.23 0.91
- ---------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.38 $0.24 $(0.01) $0.23
1996 10.84 0.56 (0.27) 0.29
1995 9.64 0.58 1.19 1.77
1994 10.64 0.44 (0.99) (0.55)
1993 10.48 0.34 0.78 1.12
1992 10.55 0.51 0.27 0.78
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------------
DIVIDENDS (FROM
FOR THE YEAR ENDED NET INVESTMENT DISTRIBUTIONS (FROM
DECEMBER 31, INCOME) CAPITAL GAINS) TOTAL DISTRIBUTIONS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $(0.25) - $(0.25)
1996 (0.47) - (0.47)
1995 (0.55) - (0.55)
1994 (0.33) - (0.33)
1993 (0.23) - (0.23)
1992 (0.29) - (0.29)
- ---------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1997 (Unaudited) $(0.38) $(0.09) $(0.47)
1996 (0.79) (0.10) (0.89)
1995 (0.76) - (0.76)
1994 (0.73) (0.06) (0.79)
1993 (0.86) (0.34) (1.20)
1992 (0.86) - (0.86)
- ---------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $(0.30) $(0.03) $(0.33)
1996 (0.57) (0.22) (0.79)
1995 (0.64) - (0.64)
1994 (0.50) (0.01) (0.51)
1993 (0.52) (0.43) (0.95)
1992 (0.67) (0.41) (1.08)
- ---------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1997 (Unaudited) $(0.27) - $(0.27)
1996 (0.53) $(0.22) (0.75)
1995 (0.57) - (0.57)
1994 (0.44) (0.01) (0.45)
1993 (0.34) (0.62) (0.96)
1992 (0.51) (0.34) (0.85)
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
RATIOS / SUPPLEMENTAL DATA
- ---------------------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED NET ASSET VALUE, NET ASSETS, END OF PERIOD RATIO OF EXPENSES TO
DECEMBER 31, END OF PERIOD TOTAL RETURN (IN THOUSANDS) AVERAGE NET ASSETS (1)
- ---------------------------------------------------------------------------------------------------------------------
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.05 2.53% $382,380 0.50%
1996 10.04 5.07% 322,193 0.50%
1995 10.02 5.54% 95,949 0.53%
1994 10.03 3.76% 94,150 0.64%
1993 9.99 2.58% 33,910 0.65%
1992 9.96 3.22% 23,905 0.65%
- ---------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1997 (Unaudited) $9.95 4.97% $239,534 0.70%
1996 9.94 11.31% 184,744 0.71%
1995 9.79 18.87% 84,425 0.77%
1994 8.91 0.42% 25,338 0.88%
1993 9.67 18.01% 16,017 0.75%
1992 9.24 18.72% 14,152 0.75%
- ---------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.70 2.67 % $327,543 0.70%
1996 10.75 4.25 % 260,270 0.71%
1995 11.10 19.04 % 126,992 0.76%
1994 9.90 (4.36)% 53,219 0.84%
1993 10.89 11.63 % 43,116 0.75%
1992 10.62 8.68 % 26,406 0.75%
- ---------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.34 2.24 % $105,954 0.70%
1996 10.38 2.94 % 97,542 0.72%
1995 10.84 18.81 % 59,767 0.82%
1994 9.64 (5.10)% 21,489 0.88%
1993 10.64 10.79 % 23,584 0.75%
1992 10.48 7.52 % 17,701 0.75%
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
RATIO OF NET INVESTMENT
FOR THE YEAR ENDED INCOME TO AVERAGE PORTFOLIO AVERAGE COMMISSIONS
DECEMBER 31, ASSETS (1) TURNOVER RATE PAID PER SHARE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) 5.11% N/A N/A
1996 4.93% N/A N/A
1995 5.41% N/A N/A
1994 3.94% N/A N/A
1993 2.56% N/A N/A
1992 3.13% N/A N/A
- --------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1997 (Unaudited) 8.01% 50.90% N/A
1996 8.28% 120.06% N/A
1995 8.51% 127.31% N/A
1994 8.13% 141.86% N/A
1993 8.37% 185.83% N/A
1992 9.46% 186.23% N/A
- ---------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) 5.77% 126.13% N/A
1996 5.71% 386.16% N/A
1995 6.04% 191.39% N/A
1994 5.04% 127.95% N/A
1993 4.74% 163.11% N/A
1992 6.39% 89.55% N/A
- ---------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1997 (Unaudited) 5.46% 75.34% N/A
1996 5.33% 307.13% N/A
1995 5.58% 298.81% N/A
1994 4.29% 232.99% N/A
1993 3.15% 402.37% N/A
1992 4.95% 212.31% N/A
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on A-17
A-14
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR WERE AS FOLLOWS:
<TABLE>
<CAPTION>
INVESTMENT ACTIVITIES DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------------------------------
NET REALIZED DIVIDENDS
NET ASSET VALUE, NET AND UNREALIZED TOTAL FROM (FROM NET DISTRIBUTIONS
FOR THE YEAR ENDED BEGINNING OF INVESTMENT GAIN (LOSS) INVESTMENT INVESTMENT (FROM CAPITAL TOTAL
DECEMBER 31, PERIOD INCOME ON SECURITIES OPERATIONS INCOME) GAINS) DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
GROWTH PORTFOLIO
- ----------------
For the Period Ended
June 30, 1997 (Unaudited) $21.45 $ 0.03 $ 3.34 $ 3.37 $(0.03) $(2.49) $(2.52)
1996 18.57 0.08 4.11 4.19 (0.09) (1.22) (1.31)
1995 14.90 0.15 3.67 3.82 (0.15) - (0.15)
1994 18.20 0.10 (2.01) (1.91) (0.10) (1.29) (1.39)
1993 15.76 0.08 3.37 3.45 (0.08) (0.93) (1.01)
1992 13.70 0.11 2.69 2.80 (0.11) (0.63) (0.74)
- ----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.78 $(0.01) $(0.21) $(0.22) - - -
1996 (3) 10.00 0.01 0.78 0.79 $(0.01) - $(0.01)
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
For the Period Ended
June 30, 1997 (Unaudited) $16.50 $ 0.14 $ 0.65 $ 0.79 $(0.08) $(0.77) $(0.85)
1996 14.12 0.14 2.37 2.51 (0.13) - (0.13)
1995 11.11 0.10 3.96 4.06 (0.10) (0.95) (1.05)
1994 (4) 10.00 0.10 1.21 1.31 (0.12) (0.08) (0.20)
- ----------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1997 (Unaudited) $20.45 $ 0.10 $ 3.29 $ 3.39 $(0.10) $(1.33) $(1.43)
1996 18.21 0.24 3.15 3.39 (0.24) (0.91) (1.15)
1995 14.05 0.26 4.16 4.42 (0.26) - (0.26)
1994 15.52 0.20 (0.25) (0.05) (0.20) (1.22) (1.42)
1993 15.11 0.26 0.98 1.24 (0.26) (0.57) (0.83)
1992 14.74 0.19 0.59 0.78 (0.19) (0.22) (0.41)
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
RATIOS / SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
RATIO OF NET
RATIO OF INVESTMENT AVERAGE
NET ASSETS, EXPENSES TO INCOME TO PORTFOLIO COMMISSIONS
NET ASSET VALUE, TOTAL END OF PERIOD AVERAGE NET AVERAGE NET TURNOVER PAID PER
END OF PERIOD RETURN (IN THOUSANDS) ASSETS (1), (5) ASSETS (1) RATE SHARE (2)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
GROWTH PORTFOLIO
- ----------------
For the Period Ended
June 30, 1997 (Unaudited) $22.30 17.93% $204,493 0.75% 0.26% 26.86% $0.04
1996 21.45 23.62% 167,335 0.76% 0.44% 70.22% 0.05
1995 18.57 25.75% 129,741 0.79% 0.88% 46.76% 0.05
1994 14.90 10.49% 81,451 0.86% 0.58% 40.42% N/A
1993 18.20 21.89% 77,405 0.71% 0.51% 35.08% N/A
1992 15.76 20.53% 34,747 0.75% 0.81% 39.97% N/A
- ----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1997 (Unaudited) $10.56 (1.98)% $ 81,077 0.99% (0.12)% 71.04% $0.05
1996 (3) 10.78 7.86 % 49,849 1.02% (0.11)% 79.86% 0.05
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
For the Period Ended
June 30, 1997 (Unaudited) $16.44 5.33% $557,050 0.85% 1.06% 87.04% $0.05
1996 16.50 17.87% 438,154 0.87% 0.74% 147.02% 0.05
1995 14.12 36.75% 200,785 0.94% 0.90% 165.83% 0.05
1994 (4) 11.11 13.25% 49,374 1.08% 1.32% 257.20% N/A
- ----------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1997 (Unaudited) $22.41 17.22% $620,576 0.74% 0.93% 52.74% $0.05
1996 20.45 19.43% 429,262 0.75% 1.31% 94.95% 0.05
1995 18.21 31.66% 206,653 0.83% 1.59% 86.47% 0.05
1994 14.05 (0.28)% 75,083 0.94% 1.39% 134.57% N/A
1993 15.52 8.29% 33,356 0.75% 1.74% 27.67% N/A
1992 15.11 5.36% 22,021 0.75% 1.39% 18.52% N/A
- ----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements See explanation of references on A-17
</TABLE>
A-15
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR WERE AS FOLLOWS:
<TABLE>
<CAPTION>
INVESTMENT ACTIVITIES DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED DIVIDENDS
NET ASSET VALUE, NET AND UNREALIZED TOTAL FROM (FROM NET DISTRIBUTIONS RETURN
FOR THE YEAR ENDED BEGINNING OF INVESTMENT GAIN (LOSS) INVESTMENT INVESTMENT (FROM CAPITAL OF TOTAL
DECEMBER 31, PERIOD INCOME ON SECURITIES OPERATIONS INCOME) GAINS) CAPITAL DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MULTI-STRATEGY PORTFOLIO
- ------------------------
For the Period Ended
June 30, 1997 (Unaudited) $14.75 $0.25 $1.18 $1.43 $(0.25) $(0.80) - $(1.05)
1996 14.20 0.48 1.20 1.68 (0.48) (0.65) - (1.13)
1995 11.73 0.45 2.47 2.92 (0.45) - - (0.45)
1994 12.66 0.32 (0.51) (0.19) (0.32) (0.42) - (0.74)
1993 12.18 0.35 0.77 1.12 (0.35) (0.29) - (0.64)
1992 11.99 0.37 0.27 0.64 (0.37) (0.08) - (0.45)
- ---------------------------------------------------------------------------------------------------------------------------------
EQUITY PORTFOLIO
- ----------------
For the Period Ended
June 30, 1997 (Unaudited) $21.07 $0.06 $2.69 $2.75 $(0.03) $(0.76) - $(0.79)
1996 17.52 0.02 4.71 4.73 (0.02) (1.16) - (0.18)
1995 14.20 0.05 3.33 3.38 (0.06) - - (0.06)
1994 14.94 0.32 (0.74) (0.42) (0.32) - - (0.32)
1993 14.39 0.22 1.90 2.12 (0.22) (0.81) $(0.54) (1.57)
1992 14.83 0.19 0.49 0.68 (0.19) (0.93) - (1.12)
- -----------------------------------------------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1997 (Unaudited) 12.05 $0.40 $(0.15) $0.25 $(0.40) $(0.17) - $(0.57)
1996 13.02 0.79 (0.94) (0.15) (0.79) (0.03) - (0.82)
1995 10.42 0.82 2.59 3.41 (0.81) - - (0.81)
1994 13.05 0.83 (1.87) (1.04) (0.83) (0.53) $(0.23) (1.59)
1993 11.70 0.87 1.35 2.22 (0.87) - - (0.87)
1992 11.69 0.89 0.01 0.90 (0.89) - - (0.89)
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) 20.42 $0.18 $3.89 $4.07 $(0.18) $(0.83) - $(1.01)
1996 17.45 0.37 3.42 3.79 (0.37) (0.45) - (0.82)
1995 13.02 0.34 4.43 4.77 (0.34) - - (0.34)
1994 13.24 0.30 (0.18) 0.12 (0.30) (0.04) - (0.34)
1993 12.43 0.29 0.86 1.15 (0.29) (0.05) - (0.34)
1992 11.98 0.29 0.53 0.82 (0.29) (0.08) - (0.37)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
RATIOS / SUPPLEMENTAL DATA
- -----------------------------------------------------------------------------------------------------------------------------------
RATIO OF NET
RATIO OF INVESTMENT AVERAGE
NET ASSETS, EXPENSES TO INCOME TO COMMISSIONS
FOR THE YEAR ENDED NET ASSET VALUE, TOTAL END OF PERIOD AVERAGE NET AVERAGE NET PORTFOLIO PAID PER
DECEMBER 31, END OF PERIOD RETURN (IN THOUSANDS) ASSETS (1), (5) ASSETS (1) TURNOVER SHARE (2)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
MUTI-STRATEGY PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1997 (Unaudited) $15.13 10.08% $282,800 0.77% 3.36% 42.82% $0.05
1996 14.75 12.56% 225,619 0.78% 3.37% 132.94% 0.05
1995 14.20 25.25% 134,501 0.84% 3.49% 176.45% 0.05
1994 11.73 (1.50)% 79,147 0.94% 2.78% 187.40% N/A
1993 12.66 9.25% 41,448 0.75% 3.01% 27.87% N/A
1992 12.18 5.57% 19,931 0.75% 3.36% 16.52% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY PORTFOLIO
- ----------------
For the Period Ended
June 30, 1997 (Unaudited) $23.03 13.45% $282,687 0.74% 0.52% 68.93% $0.06
1996 21.07 28.03% 207,897 0.74% 0.05% 90.98% 0.06
1995 17.52 23.80% 108,136 0.80% 0.27% 226.45% 0.06
1994 14.20 (2.87)% 73,125 0.96% 2.19% 178.63% N/A
1993 14.94 16.06% 84,791 0.93% 1.52% 229.77% N/A
1992 14.39 6.30% 81,902 0.93% 1.30% 242.37% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1997 (Unaudited) $11.73 2.16% $93,289 0.70% 7.00% 4.64% N/A
1996 12.05 (0.80)% 81,810 0.71% 6.74% 26.50% N/A
1995 13.02 33.71% 56,853 0.80% 6.93% 51.84% N/A
1994 10.42 (8.36)% 34,078 0.93% 7.25% 31.97% N/A
1993 13.05 19.39% 43,223 0.84% 6.86% 41.92% N/A
1992 11.70 8.09% 42,731 0.85% 7.67% 21.99% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1997 (Unaudited) $23.48 20.47% $622,164 0.27% 1.72% 1.66% $0.02
1996 20.42 22.36% 393,412 0.31% 2.05% 20.28% 0.02
1995 17.45 36.92% 137,519 0.42% 2.26% 7.52% 0.03
1994 13.02 1.05% 40,612 0.51% 2.37% 2.02% N/A
1993 13.24 9.38% 33,836 0.50% 2.34% 1.15% N/A
1992 12.43 6.95% 23,030 0.50% 2.53% 3.52% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements See explanation of references on A-17
</TABLE>
A-16
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (CONTINUED)
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR WERE AS FOLLOWS:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES DISTRIBUTIONS
-------------------------------------------------------------------------------------------
NET REALIZED
AND UNREALIZED TOTAL FROM DIVIDENDS
FOR THE YEAR ENDED NET ASSET VALUE, NET GAIN (LOSS) ON INVESTMENT (FROM NET DISTRIBUTIONS
DECEMBER 31, BEGINNING OF PERIOD INVESTMENT INCOME SECURITIES OPERATIONS INVESTMENT INCOME) (6) (FROM CAPTAL GAINS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1997 (Unaudited) $15.40 $ 0.27 $ 1.87 $ 2.14 $(0.06) $(0.31)
1996 12.93 0.28 2.54 2.82 (0.23) (0.12)
1995 11.94 0.33 0.91 1.24 (0.25) -
1994 12.09 0.07 0.30 0.37 (0.07) (0.45)
1993 9.38 0.09 2.73 2.82 (0.11) -
1992 10.59 0.15 (1.19) (1.04) (0.17) -
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1997 (Unaudited) $ 9.68 $ 0.06 $ 1.39 $ 1.45 - -
1996 (3) 10.00 (0.02) (0.30) (0.32) - -
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------------------------------
DISTRIBUTIONS RATIOS / SUPPLEMENTAL DATA
--------------------------------------------------------------------------------------------------------
RATIO OF RATIO OF NET
NET ASSETS, EXPENSES TO INVESTMENT INCOME
FOR THE YEAR ENDED TOTAL NET ASSET VALUE, END OF PERIOD AVERAGE NET TO AVERAGE NET
DECEMBER 31, DISTRIBUTIONS END OF PERIOND TOTAL RETURN (IN THOUSANDS) ASSETS(1), (5) ASSETS(1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1997 (Unaudited) $(0.37) $17.17 14.10% $672,224 1.06% 3.26%
1996 (0.35) 15.40 21.89% 454,019 1.07% 2.28%
1995 (0.25) 12.93 10.56% 182,199 1.12% 1.87%
1994 (0.52) 11.94 3.01% 75,971 1.22% 1.28%
1993 (0.11) 12.09 30.02% 30,574 1.04% 0.92%
1992 (0.17) 9.38 (9.78)% 19,402 1.05% 1.43%
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1997 (Unaudited) - $11.13 14.99% $ 93,435 1.65% 1.41%
1996 (3) - 9.68 3.23% 44,083 2.18% (0.11)%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
-------------------------------------------------------
FOR THE YEAR ENDED PORTFOLIO AVERAGE COMMISSIONS
DECEMBER 31, TURNOVER RATE PAID PER SHARE(2)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1997 (Unaudited) 65.19% $0.00
1996 20.87% 0.01
1995 16.07% 0.02
1994 52.22% N/A
1993 46.48% N/A
1992 38.99% N/A
- ---------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1997 (Unaudited) 25.85% $0.01
1996 (3) 47.63% 0.00
- ---------------------------------------------------------------------------------------
</TABLE>
____________________________________
(1) Ratios are annualized for the six months period ended June 30, 1997.
(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.
(3) Information is for the period from April 1, 1996 (commencement of
operations) to December 31, 1996. The ratio of expenses to average net
assets and the ratio of net investment income to average net assets
are annualized.
(4) Information is for the period from January 4, 1994 (commencement of
operations) to December 31, 1994. The ratio of expenses to average net
assets and the ratio of net investment income to average net assets
are annualized.
(5) The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends for the
Equity Income Portfolio, the Multi-Strategy Portfolio, the Equity
Index Portfolio and the International Portfolio.
(6) The distributions from net investment income for 1993 for the Bond and
Income Portfolio and the International Portfolio include dividends in
excess of net investment income of $0.01 and $0.02, respectively.
See Notes to Financial Statements
A-17
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------- -----------------------------------------------------------------
Principal Principal
Amount Value Amount Value
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER - 99.99% Lowes Co
5.520% due 07/11/97 $10,000,000 $ 9,984,667
Air Products & Chemicals Navistar Financial Trust
8.000% due 12/08/97 5,000,000 $ 5,043,310 5.841% due 05/15/98 6,287,929 6,287,929
Allergan Inc New England Power Co
5.550% due 07/15/97 5,000,000 4,989,208 5.550% due 07/01/97 6,600,000 6,600,000
AlliedSignal Inc 5.550% due 07/08/97 9,375,000 9,364,883
5.550% due 07/11/97 16,000,000 15,975,333 6.250% due 07/01/97 1,400,000 1,400,000
Americredit Auto Nynex Corp
5.425% due 12/12/97 1,431,472 1,430,997 5.530% due 07/07/97 4,000,000 3,996,313
5.790% due 06/12/97 7,004,824 7,004,824 5.560% due 07/16/97 5,000,000 4,988,417
Armstrong World Industries PHH Co
5.780% due 07/11/97 10,400,000 10,383,302 5.355% due 08/12/97 15,000,000 14,999,523
Association Corp of North America Province of Quebec
5.560% due 07/18/97 5,000,000 4,986,872 5.550% due 07/03/97 8,000,000 7,997,533
Avnet Inc Questar Corp
5.550% due 07/21/97 3,000,000 2,990,750 5.550% due 07/11/97 5,000,000 4,992,292
5.570% due 07/01/97 8,000,000 8,000,000 Rohm & Haas Co
5.570% due 07/11/97 2,000,000 1,987,313 5.550% due 07/01/97 5,000,000 5,000,000
5.600% due 07/21/97 5,000,000 4,973,556 Sherwin-Williams
Carolina Power & Light 5.530% due 07/08/97 ~ 3,000,000 2,996,774
5.530% due 07/21/97 5,000,000 4,984,639 5.530% due 07/09/97 ~ 6,000,000 5,992,627
Case Equipment Trust Snap On Tools Corp
5.597% due 03/15/97 6,722,229 6,722,229 5.880% due 07/09/97 ~ 5,400,000 5,398,236
Cincinnati Bell Inc Southern California Edison
5.540% due 07/15/97 8,250,000 8,232,226 6.125% due 07/15/97 10,000,000 10,000,993
Cooper Tire & Rubber Southwest Public Service
5.520% due 07/08/97 ~ 10,000,000 9,989,267 5.530% due 07/14/97 5,000,000 4,990,015
5.520% due 07/09/97 ~ 7,000,000 6,991,413 5.550% due 07/11/97 5,625,000 5,616,328
Copelco Cap Fund 5.560% due 07/18/97 5,000,000 4,986,872
5.809% due 07/20/98 15,000,000 15,000,000 Wisconsin Power & Light
Eastman Kodak Co 5.560% due 07/15/97 5,200,000 5,188,756
---------------
5.520% due 07/08/97 7,000,000 6,992,487
Federal Farm Credit Mtn Total Commercial Paper 379,935,207
---------------
5.427% due 12/17/97 27,500,000 27,491,045
Federal Home Loan Bank
5.263% due 03/06/98 15,000,000 14,993,545 SECURITIES HELD UNDER REPURCHASE
5.445% due 12/16/97 15,000,000 14,996,856 AGREEMENT - 0.01%
5.480% due 12/16/97 5,000,000 5,000,000
FNMA State Street Bank and Trust
5.510% due 07/16/97 20,000,000 19,999,633 4.250% due 07/01/97
Ford Credit Auto Lease (Dated 06/30/97, repurchase price
5.451% due 11/15/97 957,426 957,390 of $51,006; collateralized by U.S.
Ford Credit Auto Trust Treasury Notes - market value
5.514% due 10/15/97 287,000 286,973 $55,720 and due 02/28/98) 51,000 51,000
-------------
General Electric Capital
5.530% due 07/07/97 10,825,000 10,815,023 Total Securities Held Under Repurchase
Greentree Man Hs 97-2/A1 Agreement 51,000
-------------
5.618% due 04/15/98 5,515,624 5,515,624
5.889% due 05/15/98 14,460,379 14,460,379 Total Short-Term Investments
IBM Corp at Amortized Cost 379,986,207
-------------
5.540% due 07/14/97 5,000,000 4,989,997
Idaho Power Co
5.520% due 07/10/97 3,375,000 3,370,343 TOTAL MONEY MARKET PORTFOLIO
Johnson Controls Inc (COST $379,986,207) $379,986,207
-------------
5.570% due 07/02/97 9,600,000 9,598,515
</TABLE>
See Notes to Financial Statements See Explanation of symbols on A-58
A-18
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------- ------------------------------------------------------------
MARKET PRINCIPAL MARKET
SHARES VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
PREFERRED STOCKS - 0.59% Hammons Hotel (John Q.)
8.875% due 02/15/04 $ 500,000 $ 506,250
CONSUMER DISCRETIONARY - 0.59% 9.750% due 10/01/05 2,500,000 2,618,750
Harrahs Operating Inc
Cablevision Systems PIK 'M' 8,486 $ 854,965 8.750% due 03/15/00 1,000,000 1,021,250
Time Warner 5,531 629,599 Heritage Media
------------
11.000% due 06/15/02 1,000,000 1,057,500
Total Preferred Stocks (Cost $1,260,112) 1,484,564 Hollinger International Publishing
------------
8.625% due 03/15/05 2,000,000 2,030,000
CONVERTIBLE PREFERRED STOCKS - 0.37% 9.250% due 02/01/06 500,000 511,250
Interface Inc
CONSUMER DISCRETIONARY - 0.20% 9.500% due 11/15/05 3,000,000 3,150,000
Jacor Communications
Hilton Hotels 20,000 505,000 8.750% due 06/15/07 1,000,000 995,000
------------
505,000 K-III Communications
------------
TECHNOLOGY - 0.17% 8.500% due 02/01/06 2,500,000 2,506,250
Katz Media Corp
Elsag Bailey ~ 10,000 411,250 10.500% due 01/15/07 ~ 1,500,000 1,447,500
------------
411,250 KSL Recreation Group
------------
10.250% due 05/01/07 ~ 1,000,000 1,055,000
Total Convertible Preferred Stocks (Cost $813,700) 916,250 Lenfest Communications Inc
------------
8.375% due 11/01/05 1,500,000 1,481,250
PRINCIPAL MARKET 10.500% due 06/15/06 750,000 817,500
AMOUNT VALUE Loewen Group International Inc
---------- ----------
8.250% due 10/15/03 ~ 2,000,000 2,040,000
CORPORATE BONDS & NOTES - 55.90% MFS Communications
9.375% due 01/15/04 2,000,000 1,870,000
CAPITAL GOODS - 3.45% Panamsat L.P.
9.750% due 08/01/00 1,000,000 1,051,720
BE Aerospace Prime Hospitality
9.750% due 03/01/03 $1,500,000 1,569,375 9.750% due 04/01/07 ~ 3,000,000 3,150,000
9.875% due 02/01/06 1,500,000 1,584,375 Rose Hills Acquisition Corp
Portola Packaging 9.500% due 11/15/04 ~ 3,500,000 3,640,000
10.750% due 10/01/05 1,020,000 1,055,700 SCI Television
Rayovac Corp 11.000% due 06/30/05 1,000,000 1,066,250
10.250% due 11/01/06 ~ 500,000 525,000 Showboat Inc
Road King 9.250% due 05/01/08 1,500,000 1,545,000
9.500% due 07/15/07 ~ 2,000,000 2,000,000 Sinclair Broadcasting
Waxman USA Inc 9.000% due 07/15/07 3,000,000 2,910,000
11.125% due 09/01/01 1,400,000 1,410,500 Sprint Spectrum
Westinghouse Air Brake 11.000% due 08/15/06 2,000,000 2,220,000
9.375% due 06/15/05 500,000 514,500 Station Casino
------------
8,659,450 9.625% due 06/01/03 ~ 2,000,000 1,982,500
------------
CONSUMER DISCRETIONARY - 25.22% 9.750% due 04/15/07 2,000,000 1,938,550
Sun International
Cablevision Systems Corp 9.000% due 03/15/07 2,000,000 2,037,500
9.875% due 05/15/06 2,000,000 2,145,000 Teleport Communications
California Hotel Finance 9.875% due 07/01/06 3,000,000 3,195,000
11.000% due 12/01/02 2,000,000 2,107,500 The Learning Co
Comcast Cellular 5.500% due 11/01/00 1,000,000 822,500
9.500% due 05/01/07 ~ 2,000,000 1,996,769 Viacom International Inc
Comcast Corp 10.250% due 09/15/01 1,000,000 1,098,500
9.125% due 10/15/06 1,500,000 1,571,250 Videotron Ltee
Globalstar Lp/Capital 10.250% due 10/15/02 500,000 532,500
11.375% due 02/15/04 ~ 1,250,000 1,259,375 Young Broadcasting
Globalstar Telecommunications 8.750% due 06/15/07 ~ 2,000,000 1,915,000
-------------
11.250% due 06/15/04 ~ 1,000,000 942,500 63,294,914
-------------
Gray Communications System
10.625% due 10/01/06 1,000,000 1,060,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-19
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------- ------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
---------- ----------- ---------- -------------
<S> <C> <C> <C> <C> <C>
CONSUMER STAPLES - 3.85% HEALTH CARE - 5.50%
Auroa Foods Abbey Healthcare
9.875% due 02/15/07 ~ $2,000,000 $ 2,030,000 9.500% due 11/01/02 $2,000,000 $ 2,070,000
Chiquita Brands Dade International Inc
9.125% due 03/01/04 500,000 511,250 11.125% due 05/01/06 1,500,000 1,683,750
10.250% due 11/01/06 1,500,000 1,601,250 Genesis Health Care Ventures Inc
Dominick's Finer Foods 9.750% due 06/15/05 500,000 520,000
10.875% due 05/01/05 1,000,000 1,111,250 Integrated Health
Quality Food Centers 10.250% due 04/30/06 ~ 3,000,000 3,225,000
8.700% due 03/15/07 ~ 1,000,000 1,000,000 Magellan Health Services
Ralphs Grocery Corp 11.250% due 04/15/04 1,000,000 1,120,000
10.450% due 06/15/04 2,000,000 2,145,000 Tenet Healthcare Corp
Southland Corp 8.625% due 12/01/03 1,500,000 1,556,250
5.000% due 12/15/03 1,500,000 1,273,124 8.625% due 01/15/07 3,000,000 3,075,000
-----------
9,671,874 10.125% due 03/01/05 500,000 548,125
----------- ------------
ENERGY - 6.61% 13,798,125
------------
MATERIALS & PROCESSING - 2.66%
Belden & Blake
9.875% due 06/15/07 ~ 500,000 499,374 Bell & Howell Operating Co
California Energy Inc 9.250% due 07/15/00 2,000,000 2,071,250
9.875% due 06/30/03 1,500,000 1,598,062 Polymer Group Inc
10.250% due 01/15/04 1,000,000 1,076,485 9.000% due 07/01/07 ~ 2,000,000 1,967,820
Calpine Corp Ryerson Tull Inc
10.500% due 05/15/06 ~ 1,500,000 1,620,000 9.125% due 07/15/06 1,000,000 1,057,500
DI Industries Silgan Corp
8.875% due 07/01/07 750,000 742,500 9.000% due 06/01/09 ~ 500,000 504,375
Falcon Drilling Co USG Corp
8.875% due 03/15/03 500,000 507,500 9.250% due 09/15/01 1,000,000 1,061,250
------------
Ferrellgas Partners L.P. 6,662,195
------------
9.375% due 06/15/06 2,000,000 2,065,000 TRANSPORTATION - 3.50%
Forcenergy Inc
8.500% due 02/15/07 ~ 5,000,000 4,900,000 Coach USA
Giant Industries 9.375% due 07/01/07 ~ 1,500,000 1,496,250
9.750% due 11/15/03 2,000,000 2,040,000 Delco Remy International Inc
HS Resources Inc 10.625% due 08/01/06 2,000,000 2,135,000
9.250% due 11/15/06 ~ 500,000 502,500 Hayes Wheels International
Pride Petroleum Service 9.125% due 07/15/07 ~ 1,000,000 1,000,000
9.375% due 05/01/07 500,000 522,500 Newport News Shipbuilding
Vintage Petroleum 9.250% due 12/01/06 ~ 1,500,000 1,575,000
8.625% due 02/01/09 500,000 500,000 Santa Fe Pacific
-----------
16,573,921 8.375% due 07/01/05 500,000 535,553
-----------
FINANCIAL & BUSINESS SERVICES - 2.68% Titan Wheel International
8.750% due 04/01/07 2,000,000 2,050,000
------------
Bank United Corp 8,791,803
------------
8.875% due 05/01/07 2,500,000 2,534,375 UTILITIES - 2.43%
CEI Citicorp Holdings
9.750% due 02/14/07 1,500,000 1,558,125 El Paso Electric
Iron Mountain Inc 7.750% due 05/01/01 1,500,000 1,522,500
10.125% due 10/01/06 2,000,000 2,150,000 Vanguard Cellular
Salomon Inc Mtn 9.375% due 04/15/06 4,500,000 4,567,500
------------
6.100% due 06/15/00 250,000 245,165 6,090,000
------------
7.240% due 05/27/03 250,000 248,945
-----------
6,736,610 Total Corporate Bonds & Notes
-----------
(Cost $136,198,146) 140,278,892
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-20
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------- -----------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
---------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C>
CONVERTIBLE BONDS - 7.23% Hollinger Inc
0.000% due 10/05/13 * $4,000,000 $ 1,495,000
CONSUMER STAPLES - 1.93% International Semi-Tech
11.500% due 08/15/03 6,250,000 3,781,250
AES Corp MDC Communications
10.250% due 07/15/06 $4,000,000 $ 4,370,000 10.500% due 12/01/06 1,500,000 1,601,250
Chiquita Brands International Inc Rogers Cablesystem Limited
7.000% due 03/28/01 500,000 472,500 9.625% due 08/01/02 500,000 528,750
-----------
4,842,500 10.000% due 03/15/05 1,500,000 1,623,750
-----------
FINANCIAL & BUSINESS SERVICES - 4.25% 10.000% due 12/01/07 1,000,000 1,075,000
Rogers Cantel
Filinvest Land Inc Cap 9.375% due 06/01/08 1,000,000 1,055,000
-------------
3.750% due 02/01/02 2,000,000 1,905,000 13,844,375
-------------
FLI Capital GERMANY - 0.61%
3.750% due 02/01/02 1,500,000 1,428,750
MBI Finance Ltd Fresensius Med Care Cap
0.000% due 12/18/01 * 1,000,000 720,000 9.000% due 12/01/06 - 1,500,000 1,537,500
-------------
Peregrine Inv 1,537,500
-------------
4.500% due 12/01/00 1,000,000 902,500 HONG KONG - 2.07%
PIV Investment Finance Gtd
4.500% due 12/01/00 - 4,100,000 3,700,250 Guangdong Enterprises
Voto-Votorantim 8.875% due 05/22/07 - 3,000,000 3,062,733
8.500% due 06/27/97 - 2,000,000 1,995,000 RHG Finance Corp
-----------
10,651,500 8.875% due 10/01/05 2,000,000 2,126,040
----------- -------------
HEALTH CARE - 0.20% 5,188,773
-------------
INDONESIA - 3.81%
Alza Corp
5.000% due 05/01/06 500,000 509,375 Asia Pulp & Paper
-----------
509,375 12.000% due 12/29/49 - 3,000,000 3,060,000
-----------
MATERIALS & PROCESSING - 0.85% DGS International Fin Bv
10.000% due 06/01/07 - 2,500,000 2,531,250
Ashanti Capital PT Indah Kiat Pulp & Paper
5.500% due 03/15/03 2,000,000 1,655,000 10.000% due 07/01/07 4,000,000 3,973,880
-------------
FMC Corp Euro 9,565,130
-------------
6.750% due 01/16/05 500,000 475,000 MEXICO - 0.83%
-----------
2,130,000
-----------
Total Convertible Bonds Fideicomiso Petacalco Trust
(Cost $17,793,959) 18,133,375 10.160% due 12/23/09 - 1,000,000 1,012,500
-----------
United Mexican States
9.875% due 01/15/07 1,000,000 1,057,500
-------------
FOREIGN BONDS - 21.55% 2,070,000
-------------
PHILIPPINES - 4.37%
BRAZIL - 3.05%
Filinvest Development Corp Cap
Comtel Brasileira Ltd 2.500% due 05/15/06 2,500,000 2,375,000
10.750% due 09/26/04 2,000,000 2,162,500 Philippines Long Distance
CSN Iron Panama 8.350% due 03/06/17 1,000,000 950,000
9.125% due 06/01/07 - 4,000,000 3,902,000 9.250% due 06/30/06 3,000,000 3,153,750
Globo Communicacoes PT 'B' Piltel International Holding Corp
10.500% due 12/20/06 - 1,500,000 1,601,250 1.750% due 07/17/06 1,000,000 982,500
-----------
7,665,750 RFM Capital Ltd
-----------
CANADA - 5.52% 2.750% due 05/30/06 500,000 526,250
Universal Robina
CF Cable TV 8.375% due 12/19/06 - 3,000,000 2,970,000
-------------
9.125% due 07/15/07 1,000,000 1,073,750 10,957,500
-------------
Four Seasons Hotel
9.125% due 07/01/00 - 1,500,000 1,610,625
</TABLE>
See Notes to Financial Statements See explanation of symbols on a-58
A-21
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
(CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------- --------------------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
UNITED KINGDOM - 1.29% SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
Newsquest Capital PLC
11.000% due 05/01/06 $ 2,500,000 $ 2,718,750 State Street Bank and Trust
Telewest PLC 4.250% due 07/01/97
9.625% due 10/01/06 500,000 525,000 (Dated 06/30/97, repurchase price
------------
3,243,750 of $29,003; collateralized by U.S.
------------
Total Foreign Bonds Treasury Note - market value
(Cost $52,857,840) 54,072,778 $31,305 and due 02/15/16) $29,000 $ 29,000
------------ --------------
Total Securities Held Under Repurchase
U.S. TREASURY NOTES - 8.70% Agreement 29,000
--------------
5.875% due 11/30/01 6,000,000 5,885,618 Total Short-Term Investments
6.250% due 02/15/03 6,000,000 5,954,077 at Amortized Cost 14,212,722
--------------
6.375% due 08/15/02 10,000,000 9,998,464
------------
Total U.S. Treasury Notes TOTAL HIGH YIELD BOND PORTFOLIO
(Cost $21,811,759) 21,838,159 (COST $244,948,238) $250,936,740
------------ --------------
Total Investments in
Securities at Market Value
(Cost $230,735,516) 236,724,018 NOTES TO SCHEDULE OF INVESTMENTS
------------- --------------------------------
(a) At June 30, 1997, the net unrealized
appreciation (depreciation) of investments
VALUE based on cost of investments for federal income
-----
COMMERCIAL PAPER - 5.65% tax purposes was as follows:
Tax cost basis $244,948,238
Armstrong World Industries --------------
5.780% due 07/11/97 1,200,000 1,198,074 Aggregate gross unrealized appreciation for
Johnson Controls Inc all investments in which there was an excess
of value over tax cost $ 6,887,724
5.570% due 07/02/97 400,000 399,938
5.570% due 07/14/97 5,000,000 4,989,944 Aggregate gross unrealized depreciation for
Rohm & Haas Co all investments in which there was an excess of
tax cost over value (899,222)
5.550% due 07/01/97 2,000,000 2,000,000 --------------
Snap On Tools Net unrealized appreciation $ 5,988,502
5.880% due 07/03/97 2,600,000 2,599,150 --------------
Sherwin-Williams
5.800% due 07/08/97 3,000,000 2,996,616
------------
Total Commercial Paper 14,183,722
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-22
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------ -----------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
----------- ----------- ---------------- -----------
<S> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 21.40% Consumers Energy
6.000% due 07/01/97 $2,000,000 $ 2,000,000
CONSUMER DISCRETIONARY - 0.52% El Paso Electric
7.250% due 02/01/99 800,000 801,756
Associated Corp of North America Long Island Lighting
6.750% due 07/15/97 $ 1,650,000 $ 1,650,610 7.300% due 07/15/99 1,250,000 1,262,800
Time Warner Inc 7.300% due 01/15/00 3,250,000 3,288,925
6.773% due 08/15/00 250,000 250,323 7.850% due 05/15/99 3,000,000 3,053,625
-------------
1,900,933 Texas-New Mexico Power
-------------
CONSUMER STAPLES - 1.10% 12.500% due 01/15/99 2,000,000 2,145,490
Toledo Edison
RJR Holdings Capital Corp 7.460% due 04/03/00 100,000 100,137
8.000% due 07/15/01 3,000,000 3,032,796 9.300% due 04/01/98 3,000,000 3,061,419
RJR Nabisco Inc Mtn 23,724,122
-------------
8.625% due 12/01/02 1,000,000 1,030,140
-------------
4,062,936 Total Corporate Bonds & Notes
-------------
FINANCIAL & BUSINESS SERVICES - 11.15% (Cost $78,297,681) 78,836,451
-------------
Advanta Corp 'C'
6.384% due 08/07/98 5,000,000 4,965,000 MORTGAGE-BACKED SECURITIES - 34.91%
Advanta National Bank FRN
5.948% due 03/19/99 2,000,000 1,979,827 COLLATERALIZED MORTGAGE OBLIGATIONS - 3.93%
5.980% due 02/10/98 1,500,000 1,492,731
6.090% due 11/10/97 1,000,000 1,000,275 Citibank 1988-2
Banamex 8.000% due 07/25/18 + 29,282 29,035
9.125% due 04/06/00 2,000,000 2,045,000 Countrywide
Capital One Bank 6.750% due 05/25/24 1,000,000 927,960
8.125% due 02/27/98 6,325,000 6,404,948 8.125% due 11/25/24 + 386,621 396,649
Chrysler Financial Corp Donaldson, Lufkin & Jenrette
5.990% due 11/17/97 3,000,000 2,999,640 7.819% due 12/25/22 + 1,099,252 1,126,390
First USA Bank Paine Weber
6.160% due 03/31/98 10,000,000 10,007,630 6.500% due 03/25/24 559,325 557,048
Salomon Inc Residential Accredited Loans Inc
5.980% due 02/02/98 5,000,000 4,991,800 7.500% due 03/25/27 + 1,000,000 982,429
7.125% due 08/01/99 1,000,000 1,007,900 Residential Funding Corp
7.875% due 05/11/98 2,000,000 2,029,994 5.988% due 10/25/27 + 1,604,289 1,605,292
9.375% due 04/15/98 2,100,000 2,150,873 8.000% due 10/25/24 135,226 134,890
-------------
41,075,618 Residential Trust Corp
-------------
TECHNOLOGY - 1.09% 6.950% due 06/25/23 + 294,379 295,575
7.500% due 08/25/23 157,571 157,816
TCI Communication Inc 8.000% due 04/25/25 + 1,000,000 1,019,375
7.250% due 06/15/99 4,000,000 4,032,360 Salomon Brothers Mortgage Securities
-------------
4,032,360 5.980% due 02/25/27 + 7,255,834 7,235,427
------------- -------------
TRANSPORTATION - 1.10% 14,467,886
-------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.89%
UAL Equipment Trust
9.210% due 01/21/17 1,650,000 1,885,051 6.000% due 07/14/27 # 5,000,000 4,659,375
9.560% due 10/19/18 800,000 886,096 6.500% due 02/01/26 4,262,882 4,088,360
10.850% due 02/19/15 1,000,000 1,269,335 7.500% due 09/20/26 2,115,354 1,862,833
------------- -------------
4,040,482 10,610,568
------------- -------------
UTILITIES - 6.44% FEDERAL HOUSING AUTHORITY - 0.35%
AT&T Corp 7.430% due 08/01/21 346,092 342,807
6.380% due 08/28/98 5,000,000 5,013,150 7.430% due 02/01/23 368,508 364,937
Commonwealth Edison 7.796% due 05/01/23 575,445 596,423
-------------
6.000% due 03/15/98 3,000,000 2,996,820 1,304,167
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-23
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------- -----------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------------ ------------- ----------- -------------
<S> <C> <C> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 8.32% U.S. TREASURY BONDS - 8.56%
6.030% due 08/01/31 + $ 6,202,268 $ 6,109,233 6.500% due 11/15/26 $32,900,000 $ 31,542,908
--------------
6.220% due 04/01/27 4,985,671 4,900,202
7.167% due 06/01/27 + 5,425,671 5,436,692 Total U.S. Treasury Bonds
7.375% due 06/01/25 4,875,908 4,971,549 (Cost $31,223,767) 31,542,908
---------------
7.747% due 01/01/23 5,744,895 5,959,669
7.768% due 01/01/25 1,732,064 1,800,893 U.S. TREASURY NOTES - 3.23%
7.931% due 12/01/22 1,138,605 1,181,354
7.987% due 11/01/23 298,254 310,571 6.625% due 04/30/02 11,800,000 11,910,637
------------- ---------------
30,670,163
-------------
GOVERNMENT NATIONAL MORTGAGE Total U.S. Treasury Notes
ASSOCIATION - 18.58% (Cost $11,737,911) 11,910,637
---------------
6.500% due 01/15/26 878,081 841,685
6.500% due 03/15/26 1,014,632 972,576 U.S. TREASURY STRIPPED - 0.14%
6.500% due 04/15/26 1,738,514 1,666,452
6.500% due 05/15/26 58,959 56,515 0.000% due 08/15/13 * 1,550,000 512,921
---------------
6.500% due 06/15/26 24,706 23,682
6.500% due 11/20/26 17,123,014 17,376,897 Total U.S. Treasury Stripped
6.875% due 10/20/24 2,104,075 2,161,331 (Cost $505,286) 512,921
---------------
6.875% due 11/20/23 8,708,554 8,932,446
7.000% due 03/20/24 1,993,408 2,047,234 FOREIGN BONDS - 1.09%
7.000% due 12/20/26 1,921,940 1,958,595
7.500% due 08/20/27 21,800,000 21,834,063 ARGENTINA - 1.09%
8.000% due 09/18/27 10,000,000 10,196,875
9.000% due 02/15/17 122,129 129,075 Republic of Argentina FRB
9.500% due 08/15/17 23,315 25,285 6.750% due 03/31/05 4,268,000 4,011,920
---------------
9.500% due 04/15/18 6,956 7,540
9.500% due 09/15/18 145,319 157,526 Total Foreign Bond (Cost $3,496,636) 4,011,920
---------------
9.750% due 04/15/98 2,781 2,942
10.000% due 05/15/19 39,837 43,786 FOREIGN GOVERNMENT - 3.87%
-------------
68,434,505
-------------
STUDENT LOAN MORTGAGE Canada Government Real Return
ASSOCIATION - 0.84% 4.250% due 12/01/26 13,361,140 9,583,409
Polish Government Treasury Bills
5.806% due 04/25/04 3,099,879 3,102,668 0.00% due 10/22/97 * 1,340,000 382,408
---------------
3,102,668
--------------- 0.00% due 04/22/98 * 16,580,000 4,289,662
Total Mortgage-Backed Securities ---------------
(Cost $128,176,850) 128,589,957
--------------- Total Foreign Government (Cost $14,623,715) 14,255,479
---------------
Total Investments in Securities
OTHER ASSET-BACKED SECURITIES - 1.20% at Market Value (Cost $272,446,105) 274,084,996
---------------
GE Capital Mortgage
6.473% due 04/25/24 621,156 621,175 VALUE
---------------
Greenwich Capital Mortgage COMMERCIAL PAPER - 24.27%
7.603% due 01/25/22 + 60,654 60,996
Imperial Savings & Loan Caisse National Des Telecom
9.900% due 02/25/18 + 65,323 69,008 5.550% due 08/05/97 4,900,000 4,873,560
Ryland Mortgage 5.560% due 08/11/97 1,700,000 1,689,235
7.626% due 11/28/22 + 2,000,000 2,034,375 Canadian Wheat Board
14.000% due 11/25/31 + 83,671 93,057 5.540% due 09/11/97 1,600,000 1,581,936
Sears Mortgage duPont (EI) deNemours
8.552% due 05/25/32 + 69,519 70,486 5.520% due 07/14/97 1,000,000 998,007
Securitized Assets Sales Inc 5.520% due 07/15/97 1,900,000 1,895,922
6.500% due 11/25/25 1,474,446 1,475,626 Ford Motor Credit Co
---------------
5.580% due 07/02/97 2,200,000 2,199,659
Total Other Asset-Backed Securities 5.600% due 07/03/97 10,500,000 10,496,733
(Cost $4,384,259) 4,424,723
---------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-24
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
(CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------- ---------------------------------------------------------------------
PRINCIPAL NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
AMOUNT VALUE
------ -----
<S> <C> <C> <C>
GE Capital Mortgage (a) Securities with an approximate aggregate market value of
5.540% due 08/13/97 $ 500,000 $ 496,691 $1,222,405 have been segregated with the custodian to cover
5.560% due 07/03/97 1,300,000 1,299,598 margin requirements for the following open interest rate futures
GMAC contracts at June 30, 1997:
5.570% due 08/27/97 4,800,000 4,757,668 Unrealized
5.600% due 07/29/97 2,700,000 2,688,240 Number of Appreciation
IBM Corp Type Contracts (Depreciation)
----------------------------------- -------------------------------
5.530% due 07/07/97 2,700,000 2,697,512 U.S. Treasury 5 year Notes (9/97) 466 $ (295)
KFW International Financial U.S. Treasury 10 year Notes (9/97) 456 165,500
5.510% due 07/16/97 5,800,000 5,786,684 U.S. Treasury 30 year Bonds (9/97) 151 (1,813)
---------------
5.520% due 07/02/97 1,400,000 1,399,785 $ 163,392
---------------
5.530% due 08/22/97 6,200,000 6,150,476
Mobil Australia Fin (b) Forward foreign currency contracts outstanding at June 30, 1997,
5.550% due 07/25/97 1,300,000 1,295,190 are summarized as follows:
5.550% due 07/31/97 4,200,000 4,180,575 Principal
National Rural Utility Corp Contracts Amount Unrealized
5.580% due 07/21/97 2,100,000 2,093,490 To Buy or Expiration Covered By Appreciation
New Center Asset Trust Type To Sell Month Contract (Depreciation)
-----------------------------------------------------------------------
5.550% due 08/20/97 15,000,000 14,884,375 BP Sell 7/97 $ 327,478 $ (8,569)
5.620% due 07/09/97 400,000 399,500 C$ Sell 7/97 3,887,476 32,290
Ontario Hydro Sell 9/97 3,466,755 55,350
5.540% due 09/15/97 16,000,000 15,809,440 Sell 3/98 2,397,796 33,973
Pitney Bowes Credit DM Sell 7/97 1,869,499 25,657
5.480% due 07/11/97 1,100,000 1,098,326 FF Sell 7/97 165,236 2,541
Shell Oil Co SF Sell 7/97 165,267 198
-------------
5.490% due 07/07/97 600,000 599,451 $ 141,440
----------------- -------------
Total Commercial Paper 89,372,053 Principal amount denoted in the indicated currency:
-----------------
BP - British Pound
C$ - Canadian Dollar
U.S. TREASURY BILLS - 0.33% DM - German Mark
FF - French Franc
5.010% due 10/02/97 ** 370,000 365,135 SF - Swiss Franc
5.080% due 07/03/97 ** 490,000 489,882
5.160% due 08/07/97 ** 15,000 14,923 (c) At June 30, 1997, the net unrealized
appreciation (depreciation)
5.200% due 08/21/97 ** 355,000 352,465 of investments based on cost of
investments for federal income
-----------------
tax purposes was as follows:
Total U.S. Treasury Bills 1,222,405
-----------------
Tax cost basis $366,734,563
---------------
SECURITIES HELD UNDER
REPURCHASE AGREEMENT - 1.00% Aggregate gross unrealized appreciation
for all investments in which there was an
excess of value over tax cost $ 2,302,875
State Street Bank and Trust
4.250% due 07/01/97 Aggregate gross unrealized depreciation
(Dated 06/30/97, repurchase for all investments in which there was
price of $3,694,436; an excess of tax cost over value (663,984)
----------------
collateralized by U.S.
Treasury Notes - market
value $3,772,350 and Net unrealized appreciation $ 1,638,891
----------------
due 05/15/98) 3,694,000 3,694,000
-----------------
Total Securities Held
Under Repurchase Agreements 3,694,000
-----------------
Total Short-Term
Investments at Amortized Cost 94,288,458
-----------------
TOTAL MANAGED BOND PORTFOLIO
(COST $366,734,563) $368,373,454
-----------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-25
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------- ---------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 0.09% 6.146% due 03/25/27 $2,841,316 $ 2,850,357
6.500% due 02/18/04 1,919,696 1,909,194
FINANCIAL & BUSINESS SERVICES - 0.09% 7.768% due 01/01/25 1,290,070 1,341,335
7.931% due 12/01/22 749,591 777,735
-------------
International American Dev Bank 12,928,600
-------------
9.450% due 09/15/98 $ 100,000 $ 103,722 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 19.46%
-----------
Total Corporate Bonds & Notes 6.500% due 03/15/26 808,736 775,214
(Cost $100,289) 103,722 6.500% due 04/15/26 898,215 860,984
-----------
6.500% due 11/20/26 2,916,210 2,959,449
6.875% due 10/20/24 1,402,717 1,440,888
GOVERNMENT BONDS - 0.47% 7.000% due 05/20/26 2,703,139 2,781,351
7.000% due 12/20/26 1,921,940 1,958,595
Federal Farm Credit Bank 7.000% due 01/20/27 2,903,621 2,970,313
8.650% due 10/01/99 530,000 555,839 7.125% due 05/20/23 289,602 298,796
-----------
7.125% due 09/20/23 154,299 159,005
Total Government Bonds (Cost $527,647) 555,839 7.500% due 07/21/27 # 5,000,000 5,017,188
-----------
7.500% due 08/20/27 # 3,675,000 3,680,742
9.000% due 01/15/17 190,346 201,171
MORTGAGE-BACKED SECURITIES - 43.07% 9.750% due 04/15/98 2,936 3,105
-----------
23,106,801
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.73% STUDENT LOAN MORTGAGE ASSOCIATION - 1.30%
Bear Sterns Mortgage Securities Inc 5.860% due 04/25/04 1,549,939 1,551,334
-----------
7.000% due 03/25/27 1,000,000 940,469
Champion Home Equity Loan Trust Total Mortgage-Backed Securities
7.903% due 05/25/28 + 2,085,142 2,121,306 (Cost $50,975,813) 51,137,250
-----------
Countrywide
7.940% due 03/25/24 + 354,718 362,589
8.125% due 11/25/24 386,621 396,649 OTHER ASSET-BACKED SECURITIES - 10.51%
GE Capital Mortgage
6.473% due 04/25/24 414,104 414,117 Citibank 1988-2
Mortgage Obligation Structured Trust 8.000% due 07/25/18 + 15,669 15,536
6.350% due 10/25/18 365,488 364,526 Firstplus Home Loan Trust
Residential Accredited Loans Inc 6.050% due 01/10/04 4,331,047 4,337,630
7.500% due 03/25/27 + 3,000,000 2,947,286 6.310% due 04/10/23 + 3,000,000 2,998,815
Residential Funding Corp Greenwich Capital Mortgage
8.136% due 03/25/25 + 295,161 303,278 7.603% due 01/25/22 + 90,982 91,493
Resolution Trust Corp 78,786 78,909 Home Savings
7.500% due 08/25/23 5.702% due 05/25/27 + 437,229 421,038
Salomon Brothers Mortgage Securities Imperial Savings & Loans
5.980% due 02/25/27 + 3,627,917 3,617,714 8.828% due 07/25/17 + 16,491 16,619
-----------
11,546,843 9.900% due 02/25/18 + 65,323 69,008
-----------
FEDERAL HOME LOAN MORTGAGE CORP - 1.15% Money Store Home
6.720% due 02/15/10 1,314,285 1,319,700
6.500% due 02/01/26 1,420,961 1,362,787 Ryland Mortgage
-----------
1,362,787 5.000% due 11/25/31 + 123,078 112,905
-----------
FEDERAL HOUSING AUTHORITY - 0.54% 6.663% due 10/01/27 + 1,873,634 1,869,536
Ryland Sec (First Nationwide Trust)
6.750% due 02/01/08 4,512 4,481 6.758% due 10/25/18 1,241,136 1,233,018
-----------
7.400% due 07/25/19 + 451,121 458,593
7.430% due 07/01/21 176,937 177,811 Total Other Asset-Backed Securities
-----------
640,885 (Cost $12,493,050) 12,485,298
----------- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 10.89%
5.000% due 04/25/14 1,631,725 1,624,839
6.030% due 08/01/17 2,239,462 2,201,975
6.104% due 03/01/18 2,261,012 2,223,165
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-26
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------- -----------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
---------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C>
STRIPPED MORTGAGE-BACKED SECURITIES - KFW International Financial
0.12% 5.500% due 07/10/97 $3,400,000 $ 3,395,325
Kingdom of Sweden
FHLMC (IO) 5.560% due 07/11/97 4,700,000 4,692,741
6.500% due 09/15/18 $1,372,086 $ 144,942
-----------
Mobil Australia Fin
Total Stripped Mortgage-Backed 144,942 5.550% due 07/25/97 4,300,000 4,284,090
-----------
Securities (Cost $153,569) National Rural Utilities Corp
5.520% due 08/12/97 1,600,000 1,589,696
5.530% due 09/05/97 800,000 791,704
U.S. TREASURY BONDS - 1.13% 5.545% due 08/25/97 1,700,000 1,685,598
6.500% due 11/15/26 1,400,000 1,342,251 New Center Asset Trust
-----------
5.550% due 08/20/97 5,000,000 4,961,458
Total U.S. Treasury Bonds Province of Alberta
(Cost $1,326,103) 1,342,251 5.500% due 07/11/97 3,300,000 3,294,959
----------- ------------
Total Commercial Paper 38,731,099
------------
U.S. TREASURY NOTES - 7.59%
6.000% due 09/30/98 1,000,000 1,001,246 U.S. TREASURY BILLS - 0.54%
6.375% due 09/30/01 8,000,000 8,005,001
-----------
5.010% due 10/02/97 ** 55,000 54,277
Total U.S. Treasury Notes 5.045% due 10/02/97 ** 55,000 54,277
(Cost $9,080,049) 9,006,247 5.080% due 07/03/97 ** 495,000 494,860
-----------
5.160% due 08/07/97 ** 35,000 34,820
------------
FOREIGN BONDS - 2.48% Total U.S. Treasury Bills 638,234
------------
CANADA - 2.48%
SECURITIES HELD UNDER REPURCHASE
Canada Government Real Return AGREEMENT - 1.38%
4.250% due 12/01/26 4,111,120 2,948,741
-----------
State Street Bank and Trust
Total Foreign Bonds (Cost $3,046,022) 2,948,741 4.250% due 07/01/97
-----------
(Dated 06/30/97, repurchase price
of $1,633,200; collateralized by U.S.
Total Investments in Securities Treasury Notes - market value
at Market Value (Cost $77,702,542) 77,724,290 $1,619,588 and due 02/15/20) 1,633,000 1,633,000
----------- ------------
Total Securities Held Under Repurchase
VALUE Agreements 1,633,000
----- ------------
COMMERCIAL PAPER - 32.62%
Total Short-Term Investments
Caisse National Des Telecom at Amortized Cost 41,002,333
------------
5.550% due 08/05/97 400,000 397,842
5.550% due 08/11/97 300,000 298,104
5.560% due 08/11/97 800,000 794,934 TOTAL GOVERNMENT SECURITIES
5.570% due 07/15/97 2,100,000 2,095,451 PORTFOLIO (COST $118,704,875) $118,726,623
------------
duPont (EI) deNemours
5.520% due 07/15/97 3,000,000 2,993,560
Ford Motor Credit Co
5.540% due 08/27/97 2,200,000 2,180,702
5.580% due 07/01/97 800,000 800,000
GE Capital
5.570% due 08/06/97 4,500,000 4,474,935
</TABLE>
See Notes to Financial Statements SEE EXPLANATION OF SYMBOLS ON A-58
A-27
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 1997 (UNAUDITED)
- ------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Securities with an approximate aggregate market value of $638,234 have been
segregated with the custodian to cover margin requirements for the following
open interest rate futures contracts at June 30, 1997:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ------------------------------- -------------------------------
<S> <C> <C>
U.S. Treasury 5 year Notes (9/97) 240 $ 29,751
U.S. Treasury 10 year Notes (9/97) 179 112,281
U.S. Treasury 30 year Bonds (9/97) 108 81,750
------------
$ 223,782
------------
</TABLE>
(b) Forward foreign currency contracts outstanding at June 30, 1997, are
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount
To Buy or Expiration Covered By Unrealized
Type To Sell Month Contract Appreciation
- -------------------------------------------------------------------
<S> <C> <C> <C> <C>
C$ Sell 7/97 $ 777,641 $ 6,459
Sell 9/97 693,351 11,070
Sell 3/98 1,598,779 22,652
-----------
$ 40,181
-----------
</TABLE>
Principal amount denoted in the indicated currency:
C$ - Canadian Dollar
(c) At June 30, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $118,732,336
--------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $ 416,928
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (422,438)
--------------
Net unrealized depreciation $ (5,510)
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-28
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 93.03%
Capital Goods - 3.02%
Bandag Inc 45,000 $ 2,205,000
Granite Construction 81,000 1,599,750
Silicon Valley Group * 93,000 2,452,875
-----------
6,257,625
-----------
Consumer Discretionary - 29.55%
Alyn Corp * 67,300 807,600
American Disposal Services Inc * 150,000 3,375,000
American Radio Systems 'A' * 56,100 2,236,988
Ascent Entertainment Group * 42,770 390,276
Aspect Telecommunications * 67,100 1,492,975
Banta Corp 49,500 1,342,688
BHC Communications 'A' 12,200 1,459,425
Brylane Inc * 28,000 1,079,750
Buffets Inc * 157,000 1,324,688
Cablevision Systems Corp * 13,000 702,000
CapStar Hotel * 4,800 153,600
Carson Inc 'A' * 60,000 645,000
Chris Craft Industries Inc * 30,900 1,490,925
Circuit City Stores Carmax * 69,900 1,000,444
Cole National Corp 'A' * 28,900 1,271,600
Comsat Corp 87,500 2,083,594
Cox Radio Inc 'A' * 58,000 1,486,250
Donna Karan International Inc * 65,900 733,138
Foodmaker Inc * 100,000 1,637,500
Gaylord Entertainment 'A' 80,000 1,845,000
Globalstar Telecommunications * 150,376 4,605,265
GT Bicycles * 93,200 745,600
Hudson Foods 'A' 95,000 1,549,688
Iridium World Communications 20,000 362,500
Jacor Communications * 50,000 1,912,500
Jones Intercable 'A' 43,600 555,900
Libbey Inc 75,000 2,625,000
Lojack Corp * 150,000 2,156,250
Micro Warehouse Inc * 43,200 739,800
Nine West Group * 70,500 2,692,217
NY Magic 28,000 577,500
Peregrine Systems Inc * 162,000 2,490,750
Picturetel Corp * 100,600 955,700
Qwest Communications International * 9,800 267,050
Rio Hotel & Casino Inc * 120,000 1,807,500
RPM Inc 137,375 2,524,266
Ruby Tuesday Inc 43,300 971,544
Sizzler International Inc 183,800 539,913
Spelling Entertainment Group 67,000 460,625
Standard Products 54,500 1,376,125
Station Casinos Inc * 41,100 344,213
Total Control Products Inc * 72,000 594,000
Viatel Inc * 175,000 1,181,250
Williams Sonoma * 32,000 1,368,000
Young Broadcasting Corp 'A' * 40,000 1,300,000
-----------
61,261,597
-----------
Consumer Staples - 3.58%
Cymer Inc * 20,000 975,000
Firearms Training Systems 66,800 918,500
Hollinger International 'A' 64,600 722,713
Robert Mondavi 'A' * 60,000 2,835,000
Smithfield Foods Inc * 20,200 1,242,300
Topps Company (The) 172,000 720,250
-----------
7,413,763
-----------
Energy - 7.66%
Calenergy Inc * 47,000 1,786,000
Coflexip 36,852 1,110,167
Falcon Drilling Co Inc * 40,000 2,305,000
Global Marine Inc * 85,000 1,976,250
KN Energy Inc 59,100 2,489,588
Louis Dreyfus Natural Gas * 120,000 1,950,000
Parker/Parsley Petroleum 39,000 1,379,625
San Juan Basin Realty Trust 175,000 1,421,875
Seacor Holdings Inc * 27,800 1,454,288
-----------
15,872,793
-----------
Financial & Business Services - 10.58%
Air & Water Technical Corp 'A' * 30,300 90,900
BA Merchant Services Inc 'A' * 90,000 1,715,625
Central Fidelity Banks Inc 60,000 2,130,000
Charter One Financial 36,750 1,979,906
Coast Savings Financial Inc * 40,000 1,817,500
Commerce Bancshares 30,555 1,382,614
First Midwest Bancorp 40,125 1,271,461
Harleysville Group Inc 45,000 1,704,375
Hibernia Corp 82,200 1,145,663
Insignia Financial Group Inc 'A' * 96,500 1,749,063
Jefferies Group Inc 40,000 2,280,000
Keystone Financial 50,000 1,562,500
Provident Bankshares Corp 11,900 495,338
Washington Federal Inc 44,000 1,130,250
Waste Mgmt International Inc ADR * 163,500 1,491,938
-----------
21,947,133
-----------
Health Care - 5.23%
Apria Healthcare Group * 90,000 1,597,500
Cardiac Pathways Corp * 13,700 123,300
COR Therapeutics * 140,000 1,487,500
Gensia Inc * 426 1,890
Gilead Science * 80,000 2,210,000
Heska Corp 35,000 297,500
Millennium Pharmaceuticals * 32,400 522,450
Protein Design Laboratories * 30,000 855,000
Sangstat Medical 33,300 770,063
Sequus Pharmaceutical Inc * 98,500 627,938
Trigon Healthcare Inc * 47,600 1,154,300
Wesley Jessen Visioncare * 50,000 1,193,750
-----------
10,841,191
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-29
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Materials & Processing - 6.50%
Boston Properties * 11,800 $ 324,500
Carbide/Graphite Group Inc * 25,000 581,250
CB Commercial Real Estate Services * 24,700 747,175
Holophane * 87,850 1,757,000
International Precious Metals Corp * 149,000 1,052,313
Martin Marietta Materials 48,600 1,573,425
OM Group Inc 42,000 1,391,250
Pentair Inc 40,700 1,338,013
Polymr Group Inc * 51,500 830,438
Potlatch Corp 35,000 1,583,750
Quebecor Printing 34,000 620,500
Quintiles Transnational * 24,000 1,671,000
-------------
13,470,614
-------------
Technology - 21.15%
Acclaim Entertainment Inc * 200,500 827,063
Alliance Semiconductor Corp * 184,000 1,506,500
Applied Graphics Technologies Inc * 40,000 1,590,000
BE Semiconducter * 45,500 659,750
Boston Technology Inc * 35,000 1,034,688
Brooks Automation Inc 87,000 1,674,750
Caraustar Industries Inc 40,500 1,402,313
Data General Corp * 85,000 2,210,000
Etec Systems Inc * 92,200 3,953,075
Harmon International 23,800 1,002,575
Indus Group Inc * 94,000 1,903,500
INSO Corp * 34,100 701,182
Integrated Process Equipment Corp * 70,000 1,771,875
KLA-Tencor Corp * 91,000 4,436,250
Kulicke & Soffa Industries * 130,000 4,220,938
Lam Research * 60,000 2,223,750
Microchip Technology Inc * 85,125 2,532,469
Novellus Systems * 57,100 4,939,150
Speedfam International Inc * 37,400 1,341,724
Teleflex 54,800 1,712,499
Texas Industries Inc 40,100 1,065,155
Trikon Technologies Inc * 122,000 930,249
Ultratech Stepper * 10,000 228,749
-------------
43,868,204
-------------
Transportation - 3.92%
America West Holdings Corp 'B' * 106,200 1,539,899
APS Holding Corp 'A' * 49,000 428,749
Landstar System Inc * 55,000 1,546,874
Lear Seating Corp * 29,400 1,304,624
M.S. Carriers Inc * 51,000 1,281,374
Polaris Industries 62,500 2,035,155
-------------
8,136,675
-------------
Utilities - 1.84%
Brooks Fiber Properties Inc * 20,500 691,874
Octel Communications * 110,000 2,578,124
Telephone/Data Systems 14,400 547,199
-------------
3,817,197
-------------
Total Common Stocks (Cost $150,935,586) 192,886,792
-------------
Total Investments in Securities
at Market Value (Cost $150,935,586) 192,886,792
-------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 3.36%
FNMA
5.380% due 07/29/97 $7,000,000 6,970,709
-------------
Total Commercial Paper 6,970,709
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.61%
State Street Bank and Trust
4.250% due 07/01/97
(Dated 06/30/97, repurchase price
of $7,492,884; collateralized by U.S
Treasury Notes - market value
$7,422,013 and due 02/15/20) 7,492,000 7,492,000
-------------
Total Securities Held Under Repurchase
Agreement 7,492,000
-------------
Total Short-Term Investments
at Amortized Cost 14,462,709
-------------
TOTAL GROWTH PORTFOLIO
(COST $165,398,295) $207,349,501
-------------
<CAPTION>
Notes to Schedule of Investments
- --------------------------------
<S> <C>
(a) At June 30, 1997, the net unrealized appreciation (depreciation)
of investments based on cost of investments for federal income
tax purposes was as follows:
Tax cost basis $165,398,295
-------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $52,432,423
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (10,481,217)
-------------
Net unrealized appreciation $41,951,206
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-30
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 90.07%
Capital Goods - 5.76%
Camco International 17,000 $ 930,750
Hirsch International Corp 'A' * 40,000 890,000
National Semiconductor * 49,200 1,506,750
QUALCOM Inc * 24,800 1,261,700
Westinghouse Electric 8,800 203,500
----------
4,792,700
----------
Consumer Discretionary - 25.04%
Audiovox Corp * 80,000 575,000
BJ Services Co * 23,800 1,276,275
Brylane Inc * 20,000 771,250
CKS Group Inc * 15,000 506,250
Consolidated Stores * 25,300 879,175
CVS Corp 20,000 1,025,000
DSC Communications * 52,200 1,161,450
Eagle Hardware & Garden * 35,000 800,625
Furniture Brands International Inc * 55,000 1,065,625
Jacor Communications * 24,000 918,000
Liz Claiborne Inc 23,000 1,072,375
Newell Co 17,000 673,625
NEXTEL Communications Inc 50,000 946,875
O'Sullivan Industries Holdings * 65,000 1,076,563
Pacific Sunwear of California * 28,000 903,000
Ross Stores Inc 33,400 1,091,763
St. John Knits Inc 18,000 972,000
Superior Services Inc * 45,000 1,068,750
TJX Cos Inc 40,000 1,055,000
Tommy Hilfiger * 25,000 1,004,688
VIASOFT Inc * 14,000 710,500
West Marine Inc * 18,200 468,650
Williams Sonoma * 19,200 820,800
----------
20,843,239
----------
Consumer Staples - 1.08%
Mastec Inc * 11,100 525,169
Staff Leasing Inc * 20,000 375,000
----------
900,169
----------
Energy - 5.16%
Devon Energy Corp 20,000 735,000
Evi Inc * 34,000 1,428,000
Nuevo Energy Co * 15,000 615,000
Sun Company Inc 49,000 1,519,000
----------
4,297,000
----------
Financial & Business Services - 11.42%
Associates First Capital Corp 15,000 832,500
Astoria Financial Corp 15,800 750,500
COREstaff Inc * 28,000 756,000
Everest Reinsurance Holdings 35,700 1,414,613
Imperial Credit Industries * 25,000 514,063
Interim Services Inc * 20,500 912,250
Manpower Inc 16,000 712,000
Price (T Rowe) Associates 29,300 1,512,613
Transaction Systems Architecture 'A' * 36,700 1,266,150
Washington Mutual Inc 14,000 836,500
-----------
9,507,189
-----------
Health Care - 12.81%
Acuson Corp * 28,000 644,000
Agouron Pharmaceuticals * 9,800 792,575
Beverly Enterprises * 63,900 1,038,375
BioChem Pharma Inc * 36,800 818,800
Boston Scientific Corp * 20,000 1,228,750
ESC Medical Systems Limited * 22,000 561,000
FPA Medical Management Inc * 37,600 890,650
HBO & Co 18,000 1,239,750
Hooper Holmes Inc 55,000 1,261,563
McKesson Corp 8,400 651,000
Medicis Pharmaceutical 'A' * 15,000 748,125
Oxford Health Plans * 11,000 789,250
-----------
10,663,838
-----------
Materials & Processing - 1.46%
Wyman-Gordon 45,000 1,215,000
-----------
1,215,000
-----------
Technology - 23.62%
ACC Corp * 16,700 515,613
ACE Communications Corp * 30,000 588,750
America Online Inc * 15,000 834,375
American Power Conversion * 33,000 627,000
Ascend Communications Inc * 13,000 511,875
Autodesk Inc 25,400 973,138
AVX Corp 47,700 1,287,900
Billing Information Concepts * 20,000 697,500
Boston Technology Inc * 25,000 739,063
Check Point Software * 25,700 600,738
CUC International Inc * 40,000 1,032,500
Cypress Semiconductor * 58,300 845,350
Electroglas Inc * 20,000 503,750
Forecross Corp * 40,000 688,000
Hadco Corp * 9,500 622,250
Integrated Process Equipment Corp * 28,900 731,531
Kent Electronics Corp * 19,200 704,400
Lycos Inc * 30,000 382,500
Molecular Dynamics Inc * 50,000 700,000
Sawtek Inc * 21,100 712,125
Storage Tehnology * 6,300 280,350
Styling Technology Corp * 57,000 641,250
Symantec Corp * 41,000 799,500
Titanium Metals Corp * 26,000 822,250
Visio Corp * 12,000 845,999
VLSI Technology * 35,000 826,874
Xilinx * 23,500 1,152,968
-----------
19,667,549
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-31
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -------
<S> <C> <C>
Transportation - 3.72%
CNF Transportation 39,800 $ 1,283,549
Hertz Corp 'A' * 33,800 1,216,799
US Freightways Corp 23,000 595,124
------------
3,095,472
------------
Total Common Stocks (Cost $67,633,805) 74,982,156
------------
Total Investments in Securities
at Market Value (Cost $67,633,805) 74,982,156
------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 9.93%
State Street Bank and Trust
4.250% due 07/01/97
(Dated 06/30/97, repurchase price
of $8,266,873; collateralized by U.S.
Treasury Note - market value
$8,197,163 and due 02/15/20) 8,266,000 8,266,000
------------
Total Securities Held Under Repurchase
Agreement 8,266,000
------------
Total Short-Term Investments
at Amortized Cost 8,266,000
------------
TOTAL AGGRESSIVE EQUITY PORTFOLIO
(COST $75,899,805) $83,248,156
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1997, the net unrealized appreciation (depreciation)
of investments based on cost of investments for federal income
tax purposes was as follows:
<TABLE>
<S> <C>
Tax cost basis $75,899,805
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $9,219,228
------------
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (1,870,877)
------------
Net unrealized appreciation $7,348,351
============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-32
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 61.54%
Capital Goods - 0.64%
Westinghouse Electric 153,675 $ 3,553,734
------------
3,553,734
------------
Consumer Discretionary - 7.46%
Abercrombie & Fitch Co 'A' * 175,825 3,252,763
Central Euro Media Entert 'A' * 27,241 708,266
Costco Co * 171,225 5,629,022
Linens 'N Things Inc * 98,675 2,923,247
Millicom International Cellular 'A' * 18,625 889,344
Nordstrom Inc 31,575 1,549,148
Scholastic Corp * 45,625 1,596,875
Teletech Holdings Inc * 135,025 3,519,089
Warner Lambert Co 173,825 21,597,756
------------
41,665,510
------------
Energy - 3.40%
Minnesota Mining & Manufacturing Co 48,800 4,977,600
Noble Drilling Corp * 245,525 5,539,658
Santa Fe International Corp * 92,200 3,134,800
Texaco Inc 22,300 2,425,125
Triton Energy Limited * 62,900 2,881,606
------------
18,958,789
------------
Financial & Business Services - 16.00%
Ambanc Holding Co Inc * 19,725 320,531
Amresco Inc * 27,475 590,713
Associates First Capital Corp 123,075 6,830,663
Astoria Financial Corp 12,300 584,250
Bank of New York Co Inc 84,225 3,663,788
Bankamerica Corp 91,250 5,891,328
Catskill Financial Corp 14,650 227,075
Citicorp 50,350 6,070,322
Dime Bancorp Inc 29,500 516,250
Equifax Inc 144,350 5,368,016
First Data Corp 174,600 7,671,488
First Defiance Finl Corp 21,850 319,556
First Savings Bancorp 5,050 112,363
First USA Paymenttech Inc * 108,000 3,125,252
Fleet Financial Group Inc 15,075 953,494
FSF Financial Corp 3,125 54,297
Great Western Financial 49,800 2,676,750
Household Intl Inc 5,325 625,355
Klamath First Bancorp Inc 26,850 513,506
Lamar Advertising Co * 90,750 2,314,125
Nationwide Financial Services Inc 128,950 3,425,234
North Central Bancshares Inc 14,650 227,075
Outdoor Systems Inc * 52,588 2,011,491
Peekskill Financial Corp 14,650 219,750
PFF Bancorp Inc * 29,300 549,375
Provident Financial Holdings * 18,700 310,888
Queens County Bankcorp Inc 12,200 555,100
Redwood Trust Inc 97,200 4,544,100
Reliance Group 42,525 504,984
Roslyn Bancorp Inc 74,625 1,707,047
Schwab (Charles) Corp 83,700 3,405,544
State Street Corp 55,900 2,585,375
TF Financial Corp 18,125 355,703
Travelers Inc 42,900 2,705,381
UNUM Corp 309,876 13,014,792
Wells Fargo & Co 16,052 4,326,014
Western National Corp 16,425 440,395
------------
89,317,370
------------
Health Care - 5.67%
HBO & Co 122,750 8,454,406
Idexx Laboratories Inc * 107,225 1,333,611
Omnicare Inc 236,725 7,427,247
Pacificare Health Systems 'B' * 21,925 1,400,459
Protein Design Labs Inc * 31,400 894,900
Rhone-Poulenc Rorer 101,400 9,214,725
Sofamor Danek Group * 63,975 2,926,856
------------
31,652,204
------------
Material & Processing - 3.78%
Monsanto Co 345,275 14,868,405
Ucar Internationl Inc * 136,225 6,232,294
------------
21,100,699
------------
Technology - 19.51%
Analog Devices * 242,075 6,430,117
Ascend Communications Inc * 59,700 2,350,688
ASM Lithography * 31,675 1,852,988
Aspen Technology Inc * 199,825 7,518,416
Ciber Inc * 9,450 323,072
CISCO Systems Inc * 109,025 7,318,303
Compaq Computer Corp * 51,300 5,091,525
EMC Corp * 93,275 3,637,725
Indus Group Inc * 91,925 1,861,481
Intel Corp 63,700 9,033,456
Intelligroup * 14,500 139,563
Intelliquest Information Group * 85,675 1,927,688
JDA Software Group Inc * 17,175 586,097
KLA-Tencor Corp * 28,800 1,404,000
Lucent Technologies Inc 106,275 7,658,442
Microsoft Corp * 15,975 2,018,841
Parametric Technology Corp * 584,425 24,874,589
Peoplesoft Inc * 69,600 3,671,400
Pittway Corp 172,337 8,573,766
Rational Software Corp * 32,950 553,972
Sapient Corp * 49,275 2,439,113
Technology Solutions * 116,075 4,584,963
Wind River Systems * 132,687 5,075,278
------------
108,925,483
------------
Transportation - 1.39%
Caliber Systems Inc 150,350 5,600,537
Wisconsin Central Trans * 58,200 2,167,950
------------
7,768,487
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-33
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- ----------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Utilities - 3.69%
Cincinnati Bell Inc 501,850 $15,808,275
Worldcom Corp * 148,443 4,750,176
------------
20,558,451
------------
Total Common Stocks
(Cost $298,568,240) 343,500,727
------------
FOREIGN COMMON STOCKS - 14.87%
Canada - 0.52%
Potash Corp of Saskatchewan 38,713 2,905,895
------------
2,905,895
------------
Finland - 3.30%
Cultor Oy 1 2,858 151,458
Metra Oy 'B' 211,795 6,387,481
Nokia Corp ADR Pref 161,175 11,886,655
------------
18,425,594
------------
France - 1.31%
Axime (Ex Segin) * 12,320 1,457,255
Rhone-Poulenc 142,732 5,830,059
------------
7,287,314
------------
Germany - 2.87%
Fresenius Medical Care ADR * 59,150 1,722,743
Volkswagen Ag 18,863 14,305,645
------------
16,028,388
------------
Israel - 2.16%
Teva Pharmaceutical Ind ADR 186,400 12,069,400
------------
12,069,400
------------
Italy - 0.95%
Gucci Group 55,125 3,548,672
Industrie Natuzzi Spa ADR 68,550 1,756,593
------------
5,305,265
------------
Netherlands - 2.44%
Akzo Nobel N.V. ADS 16,481 2,259,743
Chicago Bridge & Iron Co 62,350 1,379,494
Philips Electronics 17,818 1,276,931
Philips Electronics Nv-Hy Sh 120,600 8,668,125
------------
13,584,293
------------
Sweden - 0.40%
Securitas Ab 'B' Free 24,990 706,042
Skandia Foersaekrings Ab 41,067 1,516,860
------------
2,222,902
------------
United Kingdom - 0.92%
Rentokil Initial PLC 1,468,736 $5,155,242
------------
5,155,242
------------
Total Foreign Common Stocks
(Cost $70,613,346) 82,984,293
------------
Total Investments in Securities
at Market Value (Cost $369,181,586) 426,485,020
------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 23.58%
Avco Financial Services
5.600% due 07/30/97 $ 20,000,000 19,909,778
FHLMC
5.370% due 07/03/97 20,000,000 19,994,033
Freddie Mac Govt
5.440% due 07/23/97 10,000,000 9,966,756
5.480% due 07/01/97 25,000,000 25,000,000
5.530% due 07/31/97 5,000,000 4,976,958
General Electric Capital
5.500% due 07/03/97 25,000,000 24,992,361
Prudential Funding Corp
6.000% due 07/01/97 26,800,000 26,800,000
-------------
Total Commercial Paper 131,639,886
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
4.25% due 07/01/97
(Dated 06/30/97, repurchase price
of $65,008; collateralized by U.S.
Treasury Notes - market value
$70,414 and due 08/15/13) 65,000 65,000
-------------
Total Securities Held Under Repurchase
Agreement 65,000
-------------
Total Short-Term Investments
at Amortized Cost 131,704,886
-------------
TOTAL GROWTH LT PORTFOLIO
(COST $500,886,472) $558,189,906
=============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-34
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 1997, are
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount Unrealized
To Buy or Expiration Covered By Appreciation
Type To Sell Month Contract (Depreciation)
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BP Buy 7/97 $2,943,674 $ 50,316
Sell 7/97 3,192,883 15,930
Sell 9/97 1,117,830 (44,030)
Sell 11/97 1,620,100 (36,400)
Sell 12/97 979,200 (14,520)
DG Buy 9/97 3,464,265 135,199
Sell 9/97 291,684 (9,994)
DM Buy 8/97 1,673,155 (64,422)
Sell 8/97 5,093,621 238,323
Sell 10/97 597,079 19,378
FM Sell 7/97 2,376,580 259,078
Sell 8/97 412,541 26,731
Sell 9/97 960,808 30,230
Sell 10/97 98,367 1,406
Sell 11/97 787,057 16,600
IL Buy 7/97 286,642 (21,952)
Sell 7/97 290,716 26,026
SK Buy 7/97 118,762 (2,165)
Sell 7/97 597,933 53,814
Sell 9/97 66,000 1,069
------------
$680,617
============
</TABLE>
Principal amount denoted in the indicated currency:
BP - British Pound
DG - Dutch Guilder
DM - German Mark
FM - Finnish Markka
IL - Italian Lira
SK - Swedish Krona
(b) At June 30, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $500,886,472
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $64,527,797
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (7,224,363)
--------------
Net unrealized appreciation $57,303,434
==============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-35
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 95.72%
Capital Goods - 6.45%
AlliedSignal Inc 166,600 $ 13,994,400
Boeing 273,400 14,507,288
Cooper Industries Inc 231,500 11,517,125
------------
40,018,813
------------
Consumer Discretionary - 22.43%
ADT Limited * 203,500 6,715,500
Bausch & Lomb Inc 57,100 2,690,838
Circuit City Stores * 288,900 10,274,006
Circuit City Stores Carmax 155,000 2,218,438
Circus Circus Enterprise Inc * 288,000 7,092,000
General Mills Inc 225,500 14,685,688
International Game Technology 455,400 8,083,350
Learning Co Inc * 4,400 41,250
Procter & Gamble 162,300 22,924,875
TCI Satellite Entertainment 'A' * 247,100 1,945,913
Tele-Communications 'A' * 1,130,700 16,819,163
Time Warner Inc 224,400 10,827,300
Toys R Us * 247,100 8,648,500
Wal-Mart Stores Inc 203,500 6,880,844
Warner Lambert Co 156,500 19,445,125
------------
139,292,790
------------
Consumer Staples - 5.07%
CPC International Inc 27,400 2,529,359
Philip Morris Co Inc 227,200 10,082,000
Ralston-Purina Group 133,800 10,996,688
Unilever N.V 36,100 7,869,800
------------
31,477,847
------------
Energy - 14.57%
Anadarko Petroleum 100,000 6,000,000
British Petroleum PLC ADR 120,510 9,023,186
CSX Corp 221,000 12,265,500
Duke Power Inc 59,500 2,852,282
duPont (EI) deNemours 212,100 13,335,788
Enron Corp 183,100 7,472,769
Exxon Corp 255,500 15,713,250
Mobil Corp 87,800 6,135,025
Royal Dutch Petroleum Guild 217,200 11,810,250
Tosco Corp 195,100 5,840,806
------------
90,448,856
------------
Financial & Business Services - 12.46%
Aegon N.V. ORD 93,601 6,557,944
Ambac Inc 29,300 2,237,788
Banc One Corp 103,182 4,997,885
Chase Manhattan Corp 39,900 3,872,794
Dime Bancorp Inc 211,500 3,701,250
First Chicago NBD Corp 174,900 10,581,450
First Data Corp 70,100 3,080,019
First Hawaiian 171,400 5,849,025
Marsh & McLennan Cos 121,200 8,650,650
MBIA Inc 28,800 3,249,000
NationsBank Corp 216,300 13,951,350
Providian Corp * 215,400 6,919,725
Washington Mutual Inc 62,100 3,710,475
------------
77,359,355
------------
Health Care - 4.15%
Alza Corp * 246,400 7,145,600
Forest Laboratories * 143,400 5,969,025
Humana Inc 239,900 5,547,688
Schering-Plough 148,400 7,104,650
------------
25,766,963
------------
Materials & Processing - 9.27%
Albemarle Corp 304,200 6,407,213
Allegheny Teledyne Inc 534,300 14,426,100
Aluminum Company of America 75,800 5,713,425
Johnson Controls Inc 146,800 6,027,975
Temple Inland Inc 103,200 5,572,800
Union Carbide Corp 245,400 11,549,138
Waste Management Inc 244,400 7,851,350
------------
57,548,001
------------
Technology - 12.72%
Autodesk Inc 163,200 6,252,600
Aware Inc * 110,100 1,623,975
Bay Networks Inc * 359,700 9,554,531
Cabletron Systems * 212,800 6,024,900
CISCO Systems Inc * 63,600 4,269,150
Cypress Semiconductor 3,300 47,850
EMC Corp * 337,400 13,158,600
General Instruments Corp * 485,300 12,132,500
IBM Corp 105,900 9,550,856
Input/Output Inc * 138,900 2,517,563
Perkin Elmer Corp 37,800 3,007,463
Sensormatic Electric 438,700 5,648,263
Sun Microsystems * 138,900 5,169,684
------------
78,957,935
------------
Transportation - 0.91%
General Motors Corp 98,300 5,474,081
Union Pacific Corp 2,400 169,200
------------
5,643,281
------------
Utilities - 7.69%
Allegheny Power Systems 111,900 2,986,330
Bell Atlantic Corp 110,500 8,384,187
Consolidated Edison Co N Y 100,500 2,958,468
Dominion Resources Inc 163,600 5,991,849
GTE Corp 77,900 3,417,862
SBC Communications 160,300 9,918,562
Sprint Corp 112,000 5,893,999
Worldcom Corp * 255,500 8,175,999
------------
47,727,256
------------
Total Common Stocks (Cost $515,388,627) 594,241,097
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-36
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 1.12%
Consumer Discretionary - 1.12%
Berkshire Hathway
1.000% due 12/02/01 $ 6,700,000 $ 6,959,625
================
Total Corporate Bonds & Notes (Cost $7,013,304) 6,959,625
================
Total Investments in Securities
at Market Value (Cost $522,401,931) 601,200,722
----------------
<CAPTION>
Value
-----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.16%
State Street Bank and Trust
4.250% due 07/01/97
(Dated 06/30/97, repurchase price
of $19,664,487; collateralized by U.S.
Treasury Notes - market value
$20,058,424 and due 05/31/98) 19,662,166 19,662,166
----------------
Total Securities Held Under Repurchase
Agreement 19,662,166
----------------
Total Short-Term Investments
at Amortized Cost 19,662,166
----------------
TOTAL EQUITY INCOME PORTFOLIO
(COST $542,064,097) $620,862,888
================
Notes to Schedule of Investments
(a) At June 30, 1997, the net unrealized appreciation
(depreciation) of investments based on cost of
investments for federal income tax purposes was as
follows:
Tax cost basis $542,064,097
================
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $86,237,471
Aggregate gross unrealized depreciation for all
investments which there was an excess of tax cost
over value (7,438,680)
----------------
Net unrealized appreciation $78,798,791
================
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-37
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
CONVERTIBLE PREFERRED STOCKS - 0.94%
Consumer Discretionary - 0.94%
Home Ownership Funding - 1,830 $ 1,767,615
JWS Hampshire Prop - 450 438,750
Lazara Corp - 450 438,300
2,644,665
-----------
Total Convertible Preferred Stocks
(Cost $2,736,920) 2,644,665
-----------
COMMON STOCKS - 51.18%
Capital Goods - 3.41%
AlliedSignal Inc 40,000 3,360,000
Boeing 66,000 3,502,125
Cooper Industries Inc 54,800 2,726,300
-----------
9,588,425
-----------
Consumer Discretionary - 11.96%
ADT Limited * 49,300 1,626,900
Bausch & Lomb Inc 14,400 678,600
Circuit City Stores * 69,000 2,453,813
Circuit City Stores Carmax 37,100 530,994
Circus Circus Enterprise Inc * 72,700 1,790,238
General Mills Inc 55,800 3,633,975
International Game Technology 110,100 1,954,275
Procter & Gamble 38,700 5,466,375
TCI Satellite Entertainment 'A' * 57,500 452,813
Tele-Communications 'A' * 263,700 3,922,538
Time Warner Inc 54,300 2,619,975
Toys R Us * 59,800 2,093,000
Wal-Mart Stores Inc 49,300 1,666,956
Warner Lambert Co 38,100 4,733,925
----------
33,624,377
----------
Consumer Staples - 2.71%
CPC International Inc 6,800 627,724
Philip Morris Co Inc 55,000 2,440,625
Ralston-Purina Group 32,100 2,638,219
Unilever N.V. 8,800 1,918,400
----------
7,624,968
----------
Energy - 6.74 %
Anadarko Petroleum 24,200 1,452,000
British Petroleum PLC ADR 29,666 2,221,242
Duke Power Inc 14,700 704,681
duPont (EI) deNemours 51,600 3,244,350
Enron Corp 44,000 1,795,750
Exxon Corp 61,800 3,800,700
Mobil Corp 21,200 1,481,350
Royal Dutch Petroleum Guild 52,000 2,827,500
Tosco Corp 46,800 1,401,075
----------
18,928,648
----------
Financial & Business Services - 6.11%
Ambac Inc 8,100 618,638
Banc One Corp 24,950 1,208,528
Chase Manhattan Corp 9,500 922,094
Dime Bancorp Inc 55,400 969,500
First Chicago NBD Corp 42,300 2,559,150
First Data Corp 16,900 742,544
First Hawaiian 43,200 1,474,200
Marsh & McLennan Cos 28,600 2,041,325
MBIA Inc 7,000 789,688
NationsBank Corp 51,800 3,341,100
Providian Corp * 50,800 1,631,950
Washington Mutual Inc 14,400 860,400
----------
17,159,117
----------
Health Care - 2.83%
Aegon N.V. ORD 22,068 1,546,166
Alza Corp * 59,500 1,725,500
Forest Laboratories * 38,200 1,590,075
Humana Inc 57,900 1,338,938
Schering-Plough 36,700 1,757,013
----------
7,957,692
----------
Materials & Processing - 4.92%
Albemarle Corp 68,400 1,440,675
Allegheny Teledyne Inc 128,300 3,464,100
Aluminum Company of America 18,400 1,386,900
Johnson Controls Inc 35,600 1,461,825
Temple Inland Inc 25,900 1,398,600
Union Carbide Corp 59,300 2,790,806
Waste Management Inc 58,600 1,882,525
----------
13,825,431
----------
Technology - 6.83%
Autodesk Inc 42,300 1,620,619
Aware Inc * 27,200 401,200
Bay Networks Inc * 87,000 2,310,938
Cabletron Systems * 51,400 1,455,263
CISCO Systems Inc * 15,200 1,020,300
Cypress Semiconductor 1,100 15,950
EMC Corp * 81,500 3,178,500
General Instruments Corp * 117,500 2,937,500
IBM Corp 25,800 2,326,838
Input/Output Inc * 33,600 609,000
Perkin Elmer Corp 9,100 724,019
Sensormatic Electric 105,300 1,355,738
Sun Microsystems * 33,300 1,239,384
----------
19,195,249
----------
Transportation - 1.52%
CSX Corporation 53,400 2,963,700
General Motors Corp 23,500 1,308,656
----------
4,272,356
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-38
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Utilities - 4.15%
Allegheny Power Systems 27,100 723,230
Bell Atlantic Corp 26,500 2,010,687
Consolidated Edison Co NY 24,300 715,330
Dominion Resources Inc 40,500 1,483,312
GTE Corp 19,300 846,787
SBC Communications 39,500 2,444,062
Sprint Corp 27,700 1,457,712
Worldcom Corp * 61,900 1,980,799
------------
11,661,919
------------
Total Common Stocks (Cost $123,157,678) 143,838,182
------------
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 7.97%
Energy - 1.22%
Hydro Quebec
8.875% due 03/01/26 2,100,000 2,389,821
Standard Oil Co
9.000% due 06/01/19 1,000,000 1,041,105
----------
3,430,926
----------
Financial & Business Services - 4.55%
Abbey National
8.200% due 10/15/04 1,000,000 1,067,589
Aegis Auto Trust
8.800% due 03/20/02 - 503,881 504,983
Associates Corp
5.960% due 05/15/37 460,000 461,005
BankBoston Capital Trust
8.250% due 12/15/26 2,000,000 2,027,070
Chase Manhattan
10.125% due 11/01/00 500,000 551,330
Chrysler Financial Corp
5.625% due 01/15/99 1,000,000 990,810
First Union Corp
6.550% due 10/15/35 1,700,000 1,652,137
Fleetwood Credit Corp Grantor Trust
6.900% due 03/15/12 1,681,768 1,690,950
Mellon Bank Capital
7.720% due 12/01/26 500,000 485,836
Metropolitan Life
7.000% due 11/01/05 2,000,000 1,983,160
Midland Bank PLC
8.625% due 12/15/04 1,250,000 1,363,575
----------
12,778,445
----------
Materials & Processing - 0.60%
Georgia Pacific
9.950% due 06/15/02 1,500,000 1,682,145
----------
1,682,145
----------
Transportation - 0.54%
General Motors Corp
9.125% due 07/15/01 250,000 270,468
Union Tank Car
6.500% due 04/15/08 1,276,372 1,255,784
----------
1,526,252
----------
Utilities - 1.06%
Southern Co Cap Trust
8.190% due 02/01/37 - 1,100,000 1,117,875
Virginia Electric Power
7.250% due 02/01/23 2,000,000 1,875,980
----------
2,993,855
----------
Total Corporate Bonds & Notes
(Cost $22,464,554) 22,411,623
----------
CONVERTIBLE BONDS - 1.23%
Financial & Business Services - 1.23%
Berkshire Hathaway
1.000% due 12/02/01 1,800,000 1,869,750
Ford Motor Credit
8.625% due 01/24/00 1,515,000 1,585,069
----------
Total Convertible Bonds
(Cost $3,474,785) 3,454,819
----------
MORGAGE-BACKED SECURITIES - 12.14%
Collateralized Mortgage Obligations - 0.06%
Donaldson, Lufkin & Jenrette
8.489% due 11/25/24 170,911 168,588
---------
168,588
---------
Federal Home Loan Mortgage Corporation - 2.18%
6.500% due 05/01/11 3,132,555 3,079,033
6.500% due 03/01/12 734,262 721,258
7.000% due 01/01/04 300,035 300,740
8.000% due 11/01/26 1,307,636 1,341,307
8.500% due 07/01/02 670,975 689,985
---------
6,132,323
---------
Federal National Mortgage Association - 3.40%
6.300% due 12/25/15 1,889,859 1,834,935
6.500% due 01/25/23 6,220,000 6,038,687
8.000% due 11/01/26 1,636,658 1,676,446
---------
9,550,068
---------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-39
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
Government National Mortgage Association - 6.50%
7.000% due 06/15/23 $ 637,710 $ 629,343
7.000% due 03/15/24 448,285 443,035
7.000% due 04/15/24 1,307,338 1,292,029
7.000% due 05/15/24 98,966 97,807
7.000% due 12/15/25 3,682,512 3,623,002
7.125% due 06/20/21 225,638 233,050
7.125% due 06/20/23 147,226 151,878
7.500% due 02/15/24 41,707 41,981
7.500% due 05/15/17 137,912 139,851
8.000% due 09/15/25 387,838 398,576
8.000% due 11/15/25 499,941 512,449
8.000% due 12/15/26 1,999,801 2,049,876
9.000% due 04/15/16 398,612 428,510
9.000% due 05/15/16 953,162 1,024,648
9.000% due 06/15/16 608,293 653,915
9.000% due 08/15/16 344,819 370,680
9.000% due 09/15/16 649,785 698,519
9.000% due 10/15/16 1,138,515 1,223,904
9.000% due 11/15/16 698,288 750,659
9.000% due 12/15/16 944,920 1,015,790
9.000% due 01/15/17 335,292 360,308
9.000% due 03/15/17 669,427 719,372
9.000% due 07/15/17 239,619 257,496
9.000% due 08/15/17 339,741 365,089
9.000% due 10/15/17 347,205 373,110
12.000% due 05/15/16 367,331 422,961
------------
18,277,838
------------
Total Mortgage-Backed Securities
(Cost $33,487,172) 34,128,817
------------
OTHER ASSET-BACKED SECURITIES - 2.95%
Alaska Trade Co
6.790% due 10/01/05 2,500,000 2,445,750
Caterpillar Financial
6.300% due 05/25/02 500,000 499,085
Greentree Financial
6.700% due 10/15/17 1,000,000 1,007,460
Greentree Rec, Equip, & Consumer Trust
5.550% due 02/15/18 530,471 516,286
Morgan Stanley Mtg Trust
8.950% due 05/01/17 448,458 464,541
Premier Auto Trust
4.650% due 11/02/99 307,758 305,161
U.S.A. Bancorp
8.270% due 12/15/26 - 2,000,000 2,045,000
World Omni Auto Lease
6.300% due 06/25/02 388,169 390,366
6.750% due 06/25/03 600,000 605,424
------------
Total Other Asset-Backed Securities
(Cost $8,409,569) 8,279,073
------------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.02%
FNMA (IO)
6.000% due 12/25/07 490,813 50,538
------------
Total Stripped Mortgage-Backed Securities
(Cost $58,804) 50,538
------------
U.S. TREASURY BONDS - 11.23%
6.500% due 11/15/26 3,235,000 3,101,559
8.500% due 02/15/20 23,024,000 27,269,073
12.000% due 08/15/13 840,000 1,183,088
------------
Total U.S.Treasury Bonds
(Cost $30,849,371) 31,553,720
------------
U.S.TREASURY NOTES - 6.00%
5.625% due 11/30/98 650,000 647,157
5.875% due 11/15/05 3,785,000 3,622,957
6.000% due 08/15/99 7,225,000 7,209,199
6.375% due 09/30/01 320,000 320,200
6.875% due 07/31/99 2,910,000 2,953,653
6.875% due 05/15/06 365,000 372,642
7.250% due 08/15/04 950,000 990,672
7.875% due 11/15/04 700,000 755,344
------------
Total U.S. Treasury Notes
(Cost $16,792,668) 16,871,824
------------
FOREIGN BOND - 0.63%
China - 0.09%
Guangdong International
8.750% due 10/24/16 - 250,000 260,986
------------
260,986
------------
France - 0.20%
Legrand
8.500% due 02/15/25 500,000 551,430
------------
551,430
------------
Indonesia - 0.04%
Sampoerna International
8.375% due 06/15/06 - 100,000 102,463
------------
102,463
------------
Thailand - 0.30%
Bangkok Bank Pub Co
8.375% due 01/15/27 - 860,000 846,025
------------
846,025
------------
Total Foreign Bonds
(Cost $1,720,322) 1,760,904
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-40
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
FOREIGN GOVERNMENT - 0.65%
Canadian Government
9.000% due 06/01/25 $ 2,000,000 $ 1,822,991
--------------
Total Foreign Government
(Cost $1,802,365) 1,822,991
--------------
Total Investments in Securities
at Market Value (Cost $244,954,208) 266,817,156
--------------
Value
-----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 5.06%
State Street Bank and Trust
4.250% due 07/01/97
(Dated 06/39/97),Repurchase price
of $14,229,948; collateralized by U.S.
Treasury Notes - market value
$14,097,081 and due 02/15/20) 14,228,268 14,228,268
--------------
Total Securities Held Under Repurchase
Agreement 14,228,268
--------------
Total Short Term Investments
at Amortized Cost 14,228,268
--------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $259,182,476) $281,045,424
--------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 1997,
are summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount
To Buy or Expiration Covered By Unrealized
Type To Sell Month Contract Appreciation
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
C$ Sell 9/97 $1,828,521 $9,678
----------------
</TABLE>
Principal amount denoted in the indicated currency;
C$ - Canadian Dollar
(b) At June 30, 1997, the net unrealized appreciation (depreciation)
of investments based on cost of investments for federal income
tax purposes was as follows:
<TABLE>
<S> <C>
Tax cost basis $259,182,476
===============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $24,176,210
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (2,313,262)
---------------
Net unrealized appreciation $21,862,948
===============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-41
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 89.06%
Capital Goods - 2.85%
Case Corp 60,000 $ 4,132,500
Tyco International Laboratories 20,000 1,391,250
U.S. Filter Corp * 100,000 2,725,000
------------
8,248,750
------------
Consumer Discretionary - 25.92%
Avon Products Inc 125,000 8,820,305
Boston Chicken Inc * 100,000 1,400,000
Callaway Golf Co 220,000 7,810,000
CVS Corp 65,000 3,331,250
Federal Express Corp * 85,000 4,908,750
General Electric 120,000 7,845,000
Gucci Group 160,000 10,300,000
Home Depot Inc 45,000 3,102,188
Mattel Inc 100,000 3,387,500
Motorola 30,000 2,280,000
Polo Ralph Lauren Corp * 100,000 2,737,500
Sears Roebuck 25,000 1,343,750
Tiffany & Co 180,000 8,313,750
Time Warner Inc 30,000 1,447,500
Walt Disney Productions 100,000 8,025,000
------------
75,052,493
------------
Consumer Staples - 7.40%
Coca-Cola 80,000 5,400,000
Colgate Palmolive 50,000 3,262,500
Starbucks Corp * 280,000 10,902,500
Fortune Brands Inc 50,000 1,865,625
------------
21,430,625
------------
Energy - 1.18%
Santa Fe International Corp * 100,000 3,400,000
------------
3,400,000
------------
Financial & Business Services - 17.88%
American International Group Inc 50,000 7,468,750
Associates First Capital Corp 50,000 2,775,000
Bank of Boston 50,000 3,618,750
Chase Manhattan Corp 105,000 10,191,563
Citicorp 100,000 12,056,250
DLJ Securities 50,000 2,987,500
First Data Corp 50,000 2,196,875
Hartford Life Inc * 125,000 4,687,500
HFS Inc * 100,000 5,800,000
------------
51,782,188
------------
Health Care - 6.78%
Merck & Co Inc 60,000 6,210,000
Rite Aid Corp 50,000 2,493,750
Lilly (Eli) & Co 100,000 10,931,250
------------
19,635,000
------------
Technology - 24.82%
Adaptec Inc * 80,000 2,780,000
Advanced Micro Devices * 60,000 2,160,000
Altera Corp * 60,000 3,030,000
BMC Software Inc * 100,000 5,537,500
CISCO Systems Inc * 80,000 5,370,000
Compaq Computer Corp * 15,000 1,488,750
Dell Computer Corp * 65,000 7,633,438
Gateway 2000 * 80,000 2,595,000
Hewlett Packard Co 60,000 3,360,000
Lucent Technologies Inc 150,000 10,809,362
McAfee Associates Inc * 75,000 4,734,375
Micron Technology 40,000 1,597,500
Microsoft Corp * 80,000 10,110,000
Nokia Corp ADR 60,000 4,425,000
Oracle Systems Corp * 50,000 2,518,750
Sun Microsystems * 100,000 3,721,874
------------
71,871,549
------------
Transportation - 0.87%
Hertz Corp 'A' * 70,000 2,520,000
------------
2,520,000
------------
Utilities - 1.36%
Ericsson (LM) Tel 'B' ADS 100,000 3,937,500
------------
3,937,500
------------
Total Common Stocks (Cost $202,931,935) 257,878,105
------------
Total Investments in Securities
at Market Value (Cost $202,931,935) 257,878,105
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-42
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 10.94%
Citibank N.A
6.000% due 07/01/97
(Dated 06/30/97, repurchase price
of $31,695,282; collateralized by U.S.
Treasury Notes - market value
$32,049,738 and due 05/15/00) $ 31,690,000 $ 31,690,000
Total Securities Held Under Repurchase
Agreement 31,690,000
------------
Total Short-Term Investments
at Amortized Cost 31,690,000
------------
TOTAL EQUITY PORTFOLIO
(COST $234,621,935) $289,568,105
============
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1997, the net unrealized appreciation
(depreciation) of investments based on cost of
investments for federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $234,621,935
============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $57,542,471
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (2,596,301)
-------------
Net unrealized appreciation $54,946,170
=============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-43
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 76.57%
Capital Goods - 11.27%
Boeing
6.875% due 10/15/43 $2,000,000 $ 1,867,500
James River Corp
7.750% due 11/15/23 1,000,000 958,295
Lockheed Martin
7.750% due 05/01/26 1,500,000 1,537,500
Loral
7.000% due 09/15/23 2,090,000 1,960,368
Northrop Grumman Corp
7.750% due 03/01/16 2,000,000 1,985,000
Toro Co
7.800% due 06/15/27 2,000,000 2,005,000
-----------
10,313,663
-----------
Consumer Discretionary - 12.87%
CBS Inc
7.125% due 11/01/23 2,000,000 1,725,000
Dayton Hudson Co
9.700% due 06/15/21 500,000 601,875
Fruit of the Loom
7.375% due 11/15/23 2,000,000 1,817,500
ITT Destinations Corp
7.750% due 11/15/25 1,000,000 919,935
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 2,037,500
Times Mirror Co
7.250% due 11/15/96 1,000,000 963,340
Walt Disney Productions
7.550% due 07/15/93 1,750,000 1,739,063
-----------
11,778,213
-----------
Consumer Staples - 7.82%
Anheuser Busch
7.000% due 12/01/25 2,000,000 1,865,000
Coca-Cola Enterprise
6.750% due 09/15/23 1,500,000 1,372,500
Ralston Purina
7.875% due 06/15/25 1,500,000 1,535,625
8.625% due 02/15/22 500,000 552,500
Seagram Co Limited
6.875% due 09/01/23 2,000,000 1,825,000
-----------
7,150,625
-----------
Energy - 2.28%
Apache Corp
7.625% due 11/01/96 1,000,000 980,000
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,106,705
-----------
2,086,705
-----------
Financial & Business Services - 12.53%
American General
7.500% due 07/15/25 1,500,000 1,486,875
Bank One Corp
8.000% due 04/29/27 3,000,000 3,097,500
GMAC
7.400% due 09/01/25 2,000,000 1,952,500
International Bank
0.000% due 07/15/29 * 17,140,000 1,585,450
NationsBank
7.250% due 10/15/25 3,500,000 3,342,500
-----------
11,464,825
-----------
Health Care - 9.09%
Amgen Inc
8.125% due 04/01/97 1,500,000 1,546,875
Columbia/HCA Healthcare
7.500% due 11/15/95 3,500,000 3,408,125
Merck & Co Inc
6.300% due 01/01/26 1,000,000 891,250
Rite Aid Corp
7.700% due 02/15/27 2,500,000 2,475,000
-----------
8,321,250
-----------
Materials & Processing - 5.85%
ASARCO Inc
8.500% due 05/01/25 1,000,000 1,055,000
Dow Chemical
7.375% due 03/01/23 1,500,000 1,468,125
Georgia-Pacific
7.375% due 12/01/25 1,500,000 1,391,250
Lyondell Petrochemical
7.550% due 02/15/26 1,500,000 1,434,373
-----------
5,348,748
-----------
Technology - 3.04%
Harris Corp
7.000% due 01/15/26 1,000,000 913,750
IBM Corp
7.000% due 10/30/45 2,000,000 1,865,000
-----------
2,778,750
-----------
Transportation - 11.82%
AMR Corp
9.000% due 09/15/16 4,500,000 5,006,250
Chrysler Corp
7.450% due 02/01/97 2,000,000 1,953,280
Ford Motor Co
7.700% due 05/15/97 2,000,000 2,005,000
Johnson Controls
6.950% due 12/01/45 2,000,000 1,847,500
-----------
10,812,030
-----------
Total Corporate Bonds & Notes
(Cost $69,764,267) 70,054,809
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-44
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY BONDS - 14.65%
6.000% due 02/15/26 $10,000,000 $ 8,951,563
6.875% due 08/15/25 3,000,000 3,011,719
7.125% due 02/15/23 1,400,000 1,442,219
-------------
Total U.S. Treasury Bonds
(Cost $13,994,623) 13,405,501
-------------
U.S. TREASURY STRIPPED - 1.69%
Strip Principal
0.000% due 02/15/25 * 10,000,000 1,543,600
-------------
Total U.S. Treasury Stripped
(Cost $1,607,918) 1,543,600
-------------
FOREIGN GOVERNMENT - 3.44%
British Colombia
7.250% due 09/01/36 1,000,000 996,250
Province of Newfoundland
7.320% due 10/13/23 1,000,000 969,825
Province of Saskatchewan
9.125% due 02/15/21 1,000,000 1,189,625
-------------
Total Foreign Government
(Cost $3,047,888) 3,155,700
-------------
Total Investment in Securities
at Market Value (Cost $88,414,696) 88,159,610
-------------
Value
-----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.65%
Citibank N.A.
6.000% due 07/01/97
(Dated 06/30/97, repurchase price
of $3,336,556; collateralized by U.S.
Treasury Notes - market value
$3,275,280 and due 11/30/99) 3,336,000 3,336,000
-------------
Total Securities Held Under Repurchase
Agreement 3,336,000
-------------
Total Short-Term Investments
at Amortized Cost 3,336,000
=============
TOTAL BOND AND INCOME PORTFOLIO
(COST $91,750,696) $91,495,610
=============
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1997, the net unrealized appreciation (depreciation)
of investments based on cost of investments for federal income
tax purposes was as follows:
<TABLE>
<S> <C>
Tax cost basis $91,974,343
=============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,813,880
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (2,292,613)
-------------
Net unrealized depreciation $ (478,733)
=============
</TABLE>
See Notes to Financial Statements See explanation of symbols A-58
A-45
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 95.67
Capital Goods - 4.97%
Aeroquip-Vickers Inc 1,400 $ 66,150
Allegheny Teledyne Inc 16,605 448,335
AlliedSignal Inc 26,200 2,200,800
AMP Inc 21,200 885,100
Armstrong World Industries 4,200 308,175
ASARCO Inc 3,800 116,375
Ball Corp 1,300 39,081
Black & Decker Corp 8,400 312,375
Boeing 63,700 3,380,080
Briggs & Stratton Co 3,000 150,000
Browning Ferris 20,600 684,950
Case Corp 7,500 516,563
Caterpillar Inc 17,000 1,825,374
Cooper Industries Inc 11,900 592,025
Cummins Engine Inc 4,000 282,250
Deere &Co 23,200 1,273,100
Emerson Electric Co 41,200 2,268,575
Foster Wheeler Corp 3,500 141,750
General Dynamics Corp 6,020 451,500
General Signal Corp 5,200 226,850
Giddings & Lewis Inc 3,900 81,413
Grainger (W.W.) Inc 3,400 265,838
Ikon Office Solutions Inc 12,500 311,719
Illinois Tool Works 21,200 1,058,675
Ingersoll Rand Co 10,300 636,025
James River Corp 8,500 314,500
Lockheed Martin Corp 17,671 1,830,052
Masco Corp 15,800 659,650
McDonnell Douglas 19,100 1,308,350
National Semiconductor * 13,600 416,500
Navistar International Corp * 2,760 47,610
Northrop Grumman Corp 5,500 482,969
Parker Hannifin Corp 7,050 427,847
Texas Instruments Inc 16,400 1,378,624
Textron Inc 14,000 929,250
Thomas & Betts Corp 5,500 289,094
TRW Inc 9,900 562,444
Tyco Laboratories 15,700 1,092,131
United Technologies 22,100 1,834,300
Westinghouse Electric 58,200 1,345,874
----------
31,442,273
----------
Consumer Discretionary - 19.77%
Alcan Aluminum limited 18,900 655,594
Alltel Corp 14,100 471,469
American General Corp 23,365 1,115,678
American Greetings 'A' 7,660 284,378
American Home Products 57,600 4,406,400
American Stores Co 13,300 656,687
Autozone Inc * 15,300 360,506
Avery Dennison Corp 9,000 361,125
Avon Products Inc 12,400 874,975
Bausch & Lomb Inc 4,600 216,775
Bristol Myers Squibb 89,300 7,233,300
Charming Shoppes Inc 1,200 6,680
Circuit City Store 8,400 298,725
Coastal Corp 9,600 510,600
Comcast 'A' 26,735 571,461
ConAgra 20,650 1,324,180
Corning Inc 20,400 1,134,750
Costco Cos * 19,922 654,936
Crane Co 2,500 104,530
CVS Corp 15,900 814,875
Darden Restaurants 7,400 67,063
Dayton Hudson Corp 19,600 1,042,474
Deluxe Corp 6,400 218,400
Dillard Department Stores 10,500 363,563
Donnelley (R.R.) & Sons 11,600 424,850
DSC Communications * 10,820 240,745
Eastern Enterprises 100 3,469
Eastman Kodak 29,600 2,271,800
Ecolab Inc 3,870 184,793
E G & G Inc 1,700 38,250
Federal Express Corp * 11,400 658,350
Federated Department Stores * 18,700 649,825
Fleetwood Enterprise 1,800 53,663
Fleming Cos Inc 400 7,200
Fluor Corp Del 8,200 452,538
Fruit of the Loom * 7,100 220,100
Gap Inc 25,400 987,425
General Electric 292,300 19,109,112
General Mills Inc 14,500 944,313
Gillette Co 50,800 4,813,300
Great Atlantic & Pacific 3,400 92,438
Guidant Corp 7,200 612,000
H & R Block 7,800 251,550
Harcourt General Inc 3,842 182,975
Harland (John H.) Co 1,000 22,813
Harrah's Entertainment Inc * 10,350 188,888
Hasbro Inc 13,350 378,806
Hilton Hotels Corp 23,000 610,938
Home Depot 42,800 2,950,524
International Flavors/Fragrances 11,200 565,600
Interpublic Group 6,300 386,269
Jostens Inc 1,048 28,034
Kimberly Clark Corp 51,652 2,569,686
King World Productions 1,600 56,000
Kmart Corp 46,900 574,525
Knight-Ridder Inc 9,400 461,188
Kroger Co * 23,800 690,200
Limited Inc 23,390 473,648
Liz Claiborne Inc 6,260 291,873
Longs Drug Stores 1,200 31,425
Marriott International Inc 11,200 687,400
Mattel Inc 27,850 943,419
May Department Stores Co 22,300 1,053,675
Maytag Corp 6,200 161,975
McDonalds Corp 60,600 2,927,737
McGraw Hill Inc 9,800 576,363
MCI Communications Corp 63,180 2,418,608
Mercantile Stores 2,300 144,756
Meredith Corp 1,600 46,400
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-46
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Motorola 52,800 $ 4,012,800
National Services Industries 4,400 214,225
New York Times Co 8,600 425,700
Newell Co 14,900 590,413
Nike Inc 17,200 1,004,050
Nordstrom Inc 7,360 361,100
Nynex Corp 41,000 2,362,624
Penny (J.C.) Inc 23,300 1,215,969
PPG Industries Inc 15,400 895,125
Procter & Gamble Co 60,300 8,517,374
Reebok International Limited 4,580 214,115
Rubbermaid Inc 14,700 437,325
Russell Corp 1,500 44,438
Sears Roebuck 33,800 1,816,750
Service Corp International 19,700 647,638
Sigma Aldrich Corp 9,500 333,094
Springs Industries Inc 700 36,925
Stride Rite Corp 5,600 72,100
Supervalue Inc 5,700 196,650
Sysco Corp 16,700 609,550
Tandy Corp 5,136 287,616
Tele-Communications 'A' * 56,060 833,893
Tellabs Inc * 16,900 944,288
Time Warner Inc 46,720 2,254,240
Times Mirror 'A' 6,188 341,887
TJX Cos Inc 13,400 353,425
Toys R Us * 26,200 917,000
Tribune Co 10,100 485,431
Tupperware Corp 6,100 222,650
Unicom Corp 22,000 489,500
VF Corp 6,200 527,775
Viacom International Inc 26,538 796,140
Walgreen Co 22,900 1,228,013
Wal-Mart Stores Inc 201,600 6,816,600
Walt Disney Productions 59,702 4,791,086
Warner Lambert Co 24,900 3,093,825
Wendy's International Inc 13,700 355,344
Whirlpool Corp 7,600 414,675
Winn Dixie Stores 11,800 439,550
Woolworth Corp 12,600 302,400
-----------
125,091,873
-----------
Consumer Staples - 8.37%
Albertson's Inc 23,700 865,050
Anheuser Busch 43,300 1,815,893
Archer-Daniel Midland 50,242 1,180,686
Brown Forman Inc 'B' 2,361 115,246
Campbell Soup Co 40,200 2,010,000
Coca-Cola 223,500 15,086,250
Colgate Palmolive 25,100 1,637,775
Coors Adolph 3,590 95,584
CPC International Inc 11,900 1,098,519
Fortune Brands Inc 17,000 634,313
Giant Foods Inc 2,700 88,088
Heinz (H.J.) Co 32,850 1,515,205
Hershey Foods Corp 10,300 569,719
Kellogg Co 19,000 1,626,875
PepsiCo 135,800 5,100,987
Philip Morris Co Inc 217,200 9,638,250
Pioneer Hi-Bred Inc 7,400 592,000
Polaroid Corp 4,000 222,000
Quaker Oats Co 13,600 610,300
Ralston Purina Group 9,400 772,563
Sara Lee Corp 43,600 1,814,850
Seagrams limited 34,500 1,388,624
Unilever N.V. 14,700 3,204,600
UST Inc 18,100 502,275
Whitman Corp 7,500 189,844
Wrigley (W.M. Jr.) Co 8,900 596,300
-----------
52,971,796
-----------
Energy - 11.51%
Amerada Hess Corp 9,200 511,175
Amoco Corp 44,700 3,886,105
Armco Inc 500 1,938
Ashland Oil Inc 6,000 278,250
Atlantic Richfield 27,600 1,945,800
Baker Hughes Inc 12,400 479,724
Carolina Power & Light 10,500 376,688
Central & South West 22,800 484,500
Chevron Corp 58,600 4,332,737
Columbia Gas System Inc 5,900 384,975
Consolidated Natural Gas 9,700 521,981
CSX Corp 20,200 1,121,100
Cyprus Minerals Co 7,600 186,200
Dresser Industries Inc 16,800 625,800
Duke Power Co 34,326 1,645,502
duPont (EI) deNemours 100,400 6,312,650
Echo Bay Mines Limited 8,100 46,575
Enron Corp 24,000 979,500
Enserch Corp 3,600 80,100
Exxon Corp 221,700 13,634,550
FMC Corp * 2,300 182,706
Halliburton 11,700 927,225
Helmerich & Payne 2,300 132,538
Homestake Mining Co 11,600 151,525
Inco limited 15,700 471,981
Kerr McGee Corp 4,300 272,513
Louisiana Land & Exploration 2,500 142,813
McDermott International Inc 5,100 148,856
Minnesota Mining & Mfg Co 37,100 3,784,200
Mobil Corp 70,000 4,891,250
Newmont Mining Corp 15,422 601,458
Noram Energy Corp 11,700 178,425
Occidental Petroleum Corp 31,700 794,481
Paccar Inc 7,866 365,277
Pennzoil Co 5,000 383,750
Peoples Energy Corp 1,200 44,925
Phillips Petroleum Co 22,300 975,625
Praxair Inc 13,800 772,800
Rowan Cos Inc * 8,500 239,594
Royal Dutch Petroleum Guild 191,200 10,396,500
Santa Fe Energy Resources 6,000 88,125
Schlumberger Limited 21,700 2,712,500
Sonat Inc 8,800 451,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-47
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
<S> <C> <C>
Sun Company Inc 7,257 $ 224,967
Tenneco Inc 15,900 718,481
Texaco Inc 24,500 2,664,374
Unocal Corp 23,500 912,094
USX-Marathon Group 24,200 698,775
Williams Cos 15,700 686,875
------------
72,851,483
------------
Financial & Business Services - 15.32%
Aetna Life & Casualty Co 12,739 1,304,215
Ahmanson (H.F.) & Co 9,700 417,100
Allstate Corp 39,089 2,853,497
American Express 41,600 3,099,200
American International Group Inc 41,700 6,228,938
Aon Corp 13,650 706,388
Banc One Corp 48,340 2,341,469
BankAmerica Corp 62,184 4,014,754
Bank of Boston Corp 12,200 879,163
Bank of New York Co Inc 36,000 1,566,000
Barnett Banks of Florida 19,600 1,029,000
Beneficial Corp 5,200 369,525
Chase Manhattan Corp 37,640 3,653,433
Chubb Corp 16,300 1,090,063
CIGNA Corp 6,300 1,118,250
Cinergy Corp 11,513 400,796
Citicorp 40,800 4,918,950
Cognizant Corp 15,400 623,700
Comerica Inc 9,800 666,400
Conseco Inc 16,000 592,000
Corestates Financial 19,940 1,071,774
Countrywide Credit Industries Inc 11,000 343,063
Dow Jones & Co Inc 7,800 313,463
Dun & Bradstreet 14,900 391,125
Equifax Inc 15,100 561,531
FHLMC 62,900 2,162,187
FNMA 93,700 4,087,662
Fifth Third Bancorp 9,700 796,006
First Bank Systems 12,900 1,101,338
First Chicago NBD Corp 28,887 1,747,663
First Data Corp 38,900 1,709,168
First Union Corp 25,955 2,400,838
Fleet Financial Group Inc 23,765 1,503,136
Gannett Inc 13,500 1,333,125
Golden West Financial Corp 3,700 259,000
Great Western Financial 13,600 731,000
Green Tree Financial Corp 13,000 463,125
Hartford Financial Services Group 11,200 926,800
HFS Inc * 14,800 858,400
Household International Inc 9,100 1,068,681
ITT Corp * 10,800 659,475
ITT Industries Inc 7,900 203,425
Jefferson Pilot Corp 5,500 384,313
Keycorp 20,200 1,128,675
Laidlaw Inc 'B' 19,700 272,106
Lincoln National Corp 10,200 656,625
Marsh & McLennan 16,000 1,142,000
MBIA Inc 4,100 462,531
MBNA Corp 31,150 1,140,869
Mellon Bank Corp 24,300 1,096,538
Merrill Lynch Co 28,900 1,723,163
MGIC Investment Corp 10,400 498,550
Morgan (J.P.) and Co Inc 16,400 1,711,750
Morgan Stanley 51,774 2,229,518
National City Corp 21,100 1,107,750
NationsBank Corp 63,576 4,100,652
Norwest Corp 32,500 1,828,125
PNC Bank Corp 29,900 1,244,588
Providian Corp * 9,400 301,975
Pulte Corp 700 24,194
Republic New York Corp 5,100 548,250
Safeco Corp 12,740 594,799
Salomon Inc 10,100 561,813
Schwab (Charles) Corp 16,500 671,344
St. Paul Cos Inc 8,160 622,200
Suntrust Banks Inc 19,800 1,090,238
Torchmark Corp 6,450 459,563
Transamerica Corp 5,170 483,718
Travelers Inc 56,794 3,581,572
UNUM Corp 11,800 495,600
U.S. Bancorp 14,240 913,140
USF & G Corp 7,200 172,800
Wachovia Corp 15,100 880,519
Wells Fargo & Co 8,300 2,236,850
------------
96,931,154
------------
Health Care - 8.64%
Abbott Laboratories 68,500 4,572,375
Allergan Inc 5,200 165,425
Alza Corp * 7,300 211,700
Amgen Inc 24,600 1,429,875
Bard (C.R.) Inc 6,000 217,875
Baxter International Inc 24,400 1,274,900
Becton Dickinson 11,200 567,000
Beverly Enterprises * 4,500 73,125
Biomet Inc 10,540 196,308
Boston Scientific Corp * 17,700 1,087,444
Cardinal Health Inc 10,100 578,225
Columbia/HCA Healthcare 58,484 2,299,152
Healthsouth Corp * 29,900 745,631
Humana Inc 16,200 374,625
Johnson & Johnson 119,900 7,718,563
Lilly (Eli) & Co 50,200 5,487,488
Mallinckrodt Group Inc 7,300 277,400
Manor Care Inc 3,750 122,344
Medtronic Inc 22,000 1,782,000
Merck & Co Inc 107,800 11,157,300
Pfizer Inc 57,500 6,871,250
Pharmicia & Upjohn Inc 46,935 1,630,991
Rite Aid Corp 9,900 493,763
Schering-Plough 67,000 3,207,625
St. Jude Medical 7,320 285,480
Tenet Healthcare Corp * 27,100 801,144
United Healthcare Corp 16,100 837,200
U.S. Surgical Corp 5,600 208,600
------------
54,674,808
------------
</TABLE>
See Notes to Financial Statement See explanation of symbols on A-58
A-48
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Material & Processing - 4.25%
Aluminum Company of America 16,400 $ 1,236,150
Applied Materials * 15,900 1,125,919
Barrick Gold Corp 35,300 776,600
Battle Mountain Gold 'A' 11,400 64,838
Bemis Inc 3,100 134,075
Bethlehem Steel Corp 10,500 109,594
Boise Cascade Corp 3,800 134,188
Burlington Northern Santa Fe 14,570 1,309,479
Burlington Resources Inc 11,500 507,438
Clorox Co 4,500 594,000
Crown Cork & Seal 12,700 678,656
Dover Corp 10,700 658,050
Dow Chemical 21,800 1,899,325
Eastman Chemical Co 7,925 503,238
Engelhard Corp 10,412 218,001
Freeport McMoran Copper 'B' 8,600 267,675
Grace (W. R.) & Co 6,900 380,363
Great Lakes Chemical 5,500 288,063
Harnischfeger Industries Inc 5,500 228,250
Hercules Inc 9,500 454,813
Inland Steel Industries Inc 3,100 80,988
International Paper 28,323 1,375,436
Johnson Controls Inc 7,800 320,288
Loew's Corp 10,400 1,041,300
Louisiana Pacific Corp 7,000 147,875
Lowe's Co 16,900 627,413
Mead Corp 5,500 342,407
Monsanto Co 52,400 2,256,475
Moore Limited 8,200 161,438
Morton International 13,700 413,569
Nalco Chemical Co 4,100 158,363
Nucor Corp 8,500 480,250
Owens Corning Fiberglass 3,300 142,313
Pall Corp 12,766 296,810
Phelps Dodge Corp 5,900 502,605
Placer Dome Inc 23,600 386,450
Potlatch Corp 600 27,150
Reynolds Metals Co 7,200 513,000
Rohm & Haas Co 5,900 531,369
Safety Kleen Corp 1,600 27,000
Sherwin Williams Co 14,900 460,038
Stanley Works 7,100 284,000
Stone Container Corp 6,412 91,772
Temple Inland Inc 5,100 275,400
Timken Co 6,800 241,825
Union Camp Corp 6,100 305,000
Union Carbide Corp 12,000 564,750
USX-US Steel Group 8,860 310,654
Waste Management Inc 41,800 1,342,825
Westvaco Corp 6,900 216,918
Weyerhaeuser Co 19,000 988,000
Willamette Industries 3,900 273,000
Worthington Industries Inc 6,255 114,545
-------------
26,869,941
-------------
Technology - 12.60%
Adobe Systems Inc 12,800 448,800
Advanced Micro Devices * 12,000 432,000
Amdahl Corp 6,200 54,250
Apple Computer 11,750 167,438
Autodesk Inc 5,060 193,861
Automatic Data Processing 24,400 1,146,800
Bay Networks Inc * 16,200 430,313
Cabletron Systems * 15,000 424,688
Ceridian Corp * 5,600 236,600
Cincinnati Milacron 1,100 28,531
CISCO Systems Inc * 59,500 3,993,938
Compaq Computer Corp * 24,300 2,411,775
Computer Association International 31,800 1,770,863
Computer Sciences * 7,600 548,150
CUC International Inc * 38,625 997,008
Data General Corp * 4,800 124,800
Dell Computer Corp * 14,900 1,749,818
Digital Equipment Corp * 13,400 474,863
Eaton Corp 7,400 646,114
EMC Corp * 22,500 877,500
Frontier Corp 12,900 257,194
General Instruments Corp * 11,500 287,500
Harris Corp 4,200 352,800
Hewlett Packard Co 92,700 5,191,200
Honeywell Inc 11,200 849,800
IBM Corp 89,200 8,044,723
Intel Corp 73,140 10,372,164
Intergraph Corp * 370 3,145
LSI Logic * 11,200 358,400
Lucent Technologies Inc 56,714 4,086,952
Micron Technology 18,500 738,844
Microsoft Corp * 107,300 13,560,036
Millipore Corp 4,752 209,088
Northern Telecom Limited 23,600 2,147,600
Novell Inc * 32,900 228,244
Oracle Systems Corp * 58,290 2,936,358
Parametric Technology Corp * 11,900 506,494
Perkin Elmer Corp 4,000 318,250
Pitney Bowes Inc 13,000 903,500
Raychem Corporation 4,300 319,813
Raytheon Co 20,900 1,065,900
Rockwell International Corp 19,800 1,168,200
Scientific Atlanta 6,100 133,437
Seagate Technology * 21,600 760,050
Shared Medical Systems Corp 3,000 162,000
Silicon Graphics * 16,044 240,660
Sun Microsystems * 33,600 1,250,550
Tandem Computers Inc * 12,100 245,025
Tektronix 2,100 126,000
Thermo Electron Corp * 14,500 493,000
Unisys Corp * 12,800 97,600
U.S. West Media Group * 55,400 1,121,850
Western Atlas Inc * 5,100 373,575
Xerox Corp 29,900 2,358,362
3 Com Corp * 28,900 1,300,500
-------------
79,726,924
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-49
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Transportation - 3.33%
Air Products & Chemicals 10,300 $ 836,875
AMR Corp Del * 7,100 656,750
Brunswick Corp 7,400 231,250
Caliber Systems Inc 3,180 118,455
Champion International Corp 9,400 519,350
Chrysler Corp 63,544 2,085,038
Cooper Tire & Rubber Corp 5,000 110,000
Dana Corp 7,600 288,800
Delta Air Lines 6,800 557,600
Echlin Inc 4,600 165,600
Ford Motor Co 104,600 3,948,650
General Motors Corp 64,300 3,580,706
General Re Corp 7,200 1,310,400
Genuine Parts Co 15,675 530,991
Georgia-Pacific Corp 8,900 759,838
Goodrich (B.F.) Co 5,700 246,881
Goodyear Tire & Rubber 13,900 880,044
Norfolk Southern 10,800 1,088,100
Pep Boys 5,300 180,531
Ryder System Inc 6,500 214,500
Snap On Inc 3,550 139,781
Southwest Airlines 11,800 305,325
Union Pacific Corp 21,800 1,536,900
Union Pacific Resources 23,526 585,209
U.S. Airways Group Inc * 6,100 213,500
-------------
21,091,074
-------------
Utilities - 6.91%
Airtouch Communications Inc * 47,300 1,294,837
Ameritech Corp 48,000 3,261,000
American Electric Power Inc 14,500 609,000
Andrew Corp * 8,425 236,953
AT&T Corp 143,900 5,045,493
Baltimore Gas & Electric 9,450 252,197
Bell Atlantic Corp 40,500 3,072,938
Bell South Corp 87,600 4,062,450
Centex Corp 1,100 44,688
Consolidated Edison Co 23,700 697,669
Dominion Resources Inc 14,350 525,569
DTE Energy Company 13,900 383,988
Edison International 39,000 970,125
Entergy Corp 23,200 635,100
FPL Group Inc 15,300 704,756
GPU Inc 11,800 423,325
GTE Corp 84,500 3,707,436
Houston Industry Inc 24,500 525,219
Niagara Mohawk Power 10,800 92,475
NICOR Inc 1,800 64,575
Northern States Power Co 4,600 238,050
Ohio Edison Co 12,600 274,838
Oryx Energy Co 8,600 181,675
Pacific Enterprises 8,100 272,363
Pacific Gas & Electric 40,300 977,275
Pacificorp 21,300 468,600
Peco Energy Co 24,200 508,200
PP&L Resources 9,300 185,419
Public Services Enterprises 24,300 607,500
SBC Communications 80,574 4,985,514
Southern Co 62,400 1,365,000
Sprint Corp 32,300 1,699,787
Texas Utilities Co 21,400 736,963
Union Electric Co 6,500 244,969
U.S. West Communications 45,600 1,718,550
Worldcom Corp * 81,700 2,614,400
-------------
43,688,896
-------------
Total Common Stocks
(Cost $472,126,083) 605,340,222
-------------
Total Investments in Securities
at Market value (Cost $472,126,083) 605,340,222
-------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - 0.12%
4.96% due 07/17/97 ** $ 775,000 773,295
-------------
Total U.S. Treasury Bills 773,295
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 4.21%
State Street Bank and Trust
4.250% due 07/01/97
(Dated 06/30/97, repurchase price
of $26,630,143; collateralized by U.S.
Treasury Notes - market value
$27,162,449 and due 05/31/98) 26,627,000 26,627,000
-------------
Total Securities Held Under Repurchase
Agreement 26,627,000
-------------
Total Short-Term Investments
at Amortized Cost 27,400,295
-------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $499,526,378) $632,740,517
-------------
</TABLE>
See Notes Financial Statements See explanation of symbols on A-58
A-50
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $773,295 have been
segregated with the custodian to cover margin requirements for the following
open stock index futures contracts at June 30, 1997:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Depreciation
- ------------------------------------- ---------------------------------
<S> <C> <C>
S&P 500 (9/97) 33 $(148,764)
----------------
</TABLE>
(b) At June 30, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
Tax cost basis $499,526,378
---------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $137,184,269
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (3,970,130)
----------------
Net unrealized appreciation $133,214,139
----------------
See Notes to Financial Statements See explanation of symbols on A-58
A-51
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
PREFERRED STOCKS -1.57%
Australia - 1.00%
News Corporation Ltd 1,618,707 $ 6,377,374
--------------
6,377,374
--------------
Germany - 0.57%
Hornbach Holdings AG 43,300 3,614,233
--------------
3,614,233
--------------
Total Preferred Stocks (Cost $10,801,676) 9,991,607
--------------
COMMON STOCKS - 97.61%
Australia - 2.33%
Broken Hill Proprietary 5,000 73,524
Gio Australian Holdings Ltd 1,913,879 5,922,451
National Australian Bank Ltd 430,000 6,156,572
Qantas Airways Ltd ADR - 116,900 2,714,815
WMC Ltd 2,900 18,276
--------------
14,885,638
--------------
Austria - 0.51%
Bohler Uddeholm 42,100 3,264,737
--------------
3,264,737
--------------
Belgium - 0.51%
Gib Holding Ltd 68,000 3,252,141
--------------
3,252,141
--------------
Bermuda - 1.15%
ACE Ltd 45,000 3,324,375
Partnerre Ltd 106,000 4,041,250
--------------
7,365,625
--------------
Brazil - 3.56%
Banco Bradesco SA 625,810,000 6,307,515
Cia Vale Do Rio Doce ADR 47,400 1,056,707
Lojas Americanas SA 269,947,548 3,661,156
Lojas Americanas SA ADR * 2,100 32,130
Telebras ADR 76,600 11,624,050
--------------
22,681,558
--------------
China 0.03%
Shandong Huaneng Power ADR 17,300 185,975
--------------
185,975
--------------
Denmark - 1.95%
BG Bank 67,800 3,749,356
Unidanmark AS 154,900 8,706,050
--------------
12,455,406
--------------
Egypt - 1.39%
Commercial International Bank Ltd - 309,000 6,442,650
Suez Cement Co * - 121,000 2,444,200
--------------
8,886,850
--------------
Finland - 2.60%
Amer Group Ltd 88,900 $ 1,601,817
Huhtamaki I 39,800 1,714,195
Kone Oy 'B' 12,180 1,455,254
Merita Ltd 'A' 1,977,700 6,593,350
Rautaruukki Oy 342,000 3,591,883
Valmet Oy Corp 93,900 1,624,956
--------------
16,581,455
--------------
France - 6.16%
Alcatel Alsthom 39,455 4,942,199
Banque National De Paris 107,076 4,413,739
Beghin Say 21,400 3,205,065
Bongrain 300 117,382
Cie De St Gobain 33,200 4,842,385
Elf Aquitaine 58,800 6,344,640
Group Danone 20,600 3,404,292
LaFarge Coppee 49,800 3,097,827
Legris Industries 37,100 1,749,017
SGS-Thomson Microelecton * 21,500 1,697,840
Total SA 50,680 5,123,461
Usinor Sacilor 19,100 344,572
--------------
39,282,419
--------------
Germany - 5.68%
BASF AG 86,100 3,178,461
Bayer 84,000 3,238,276
Buderus AG 3,300 1,832,545
Dykerhoff AG 9,300 3,366,492
Gerresheimer Glas 189,900 3,186,516
Lufthansa 195,900 3,770,441
Metro AG 14,900 1,624,071
Suedzucker AG 4,420 2,370,822
Veba AG 58,400 3,300,003
Viag AG 7,300 3,335,599
Volkswagen AG 9,300 7,053,094
--------------
36,256,320
--------------
Greece - 0.04%
Ergo Bank SA 3,750 225,103
--------------
225,103
--------------
Hong Kong - 6.54%
Cheung Kong Holdings 940,000 9,282,303
Hong Kong Electric Holdings 2,651,100 10,676,949
HSBC Holdings PLC 121,068 3,641,260
Hutchison Whampoa Ltd 300,000 2,594,553
Jardine Matheson Holdings 1,479,286 10,502,931
New Asia Realty & Tr Co 1,280,000 5,055,893
--------------
41,753,889
--------------
India - 0.41%
Industrial Cr & Inv-Indi * 183,800 2,643,044
--------------
2,643,044
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-52
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
Indonesia - 0.38%
PT Bank Bali Fgn Reg 201,500 $ 538,549
PT Inti Indorayon Utama 950,000 664,063
PT Lippo Bank Fgn Reg 1,194,000 1,227,385
--------------
2,429,997
--------------
Israel - 2.02%
ECI Telecommunications 117,300 3,489,675
Scitex Corp ADR 527,300 4,646,831
Tadiran Ltd 165,900 4,748,888
--------------
12,885,394
--------------
Italy - 1.74%
Sogefi 375,000 950,206
Stet D Risp Port Non Con 1,058,000 3,678,374
Telecom Italia Di Risp 3,170,000 6,285,828
Telecom Italia Spa 60,000 179,965
--------------
11,094,373
--------------
Japan - 20.40%
Amada Co 219,000 1,931,790
Asahi Tech Corp 205,000 999,039
Canon Inc 153,000 4,169,083
Dai Nippon Printing 132,000 2,985,852
Daicel Chemical Industries 372,000 1,439,240
Daifuku 150,000 1,978,166
Daikin Industries 185,000 1,680,349
Daiwa Securities Co 136,000 1,073,747
Family Mart 53,000 2,601,397
Fuji Machine Manufacturing Co 111,000 4,023,144
Fuji Photo Film 80,000 3,220,961
Fujitec Co Ltd 109,000 1,294,672
Fujitsu Ltd 311,000 4,318,690
Furukawa Electric Co Ltd 312,000 1,986,445
Hitachi Credit Corp 114,000 2,210,306
Hitachi Ltd 269,000 3,007,162
Inabata & Co 176,000 1,200,489
Kaneka Corp 368,000 2,307,633
Kurita Water Industries 100,000 2,663,755
Kyocera Corp 40,000 3,179,039
Kyudenko Co Ltd 149,000 1,257,066
Lintec Inc 16,000 292,052
Matsushita Electric 207,000 4,176,157
Mitsubishi Chemical Corp 771,000 2,518,376
Mitsubishi Estate 136,000 1,971,703
Mitsubishi Heavy Industries 428,000 3,285,694
Mitsumi Electric Co Ltd 142,000 3,385,677
Murata Manufacturing Co 73,000 2,907,249
NEC Corp 288,000 4,024,454
NIFCO 121,000 1,268,122
Nintendo Corp Ltd 46,000 3,856,769
Nippon Telegraph & Telephone 345 3,314,410
Nissan Motor Co Ltd 367,000 2,849,459
Nissha Printing 20,000 230,568
Obayashi Corp 233,000 1,560,795
Ricoh Co 278,000 3,641,921
Rinnai Corp 71,000 1,525,415
Sangetsu Co Ltd 56,000 1,193,362
Sankyo Co Ltd 114,000 3,833,188
Sanwa Shutter 191,000 1,734,847
Secom 21,000 1,542,445
Sekisui Chemical Co 216,000 2,188,297
Sekisui House Ltd 182,000 1,843,843
Shimanura Co Ltd 35,000 1,247,162
Sony Corp 51,000 4,449,694
Sumitomo Marine & Fire 164,000 1,346,376
Suzuki Motor Co 249,000 3,153,275
Taisei Corp 377,000 1,748,358
TDK Corp 47,000 3,452,140
Tokyo Electron Ltd 79,000 3,780,961
Toshiba 580,000 3,733,275
Tsubakimoto Chain 304,000 1,858,515
Yamanouchi Pharmaceutica 102,000 2,743,755
-------------
130,186,339
-------------
Mexico - 3.76%
Cifra A 226,269 419,027
Cifra B 1,850,000 3,454,018
Desc SA 'B' 505,000 3,707,708
Desc SA Ser C 5,050 37,905
Grupo Mexico SA 679,000 2,569,699
Panamerican Beverages Inc 'A' 153,000 5,029,875
Telefonos De Mexico SA ADR 184,000 8,786,000
-------------
24,004,232
-------------
Netherlands - 5.73%
ABN Amro Holding 169,000 3,152,760
AKZO Nobel Nv 36,200 4,963,454
Ing Groep Nv 105,000 4,843,519
KLM Konin Luchvaart Mij 900 27,755
Koninklijke Bijenkorf Beheer 22,050 1,543,129
Koninklijke KNP Bt 145,000 3,303,685
Koninklijke PTT Nederlan 3,441 135,051
Koninklijke Van Ommeren 43,200 1,677,884
Philips Electronics 236,195 16,926,967
-------------
36,574,204
-------------
New Zealand - 1.10%
Fletcher Challenge Paper 250,000 607,391
Fletcher Forest Shares 3,609,123 5,256,244
Tranz Rail Holdings ADR 67,000 1,130,625
-------------
6,994,260
-------------
Norway - 0.52%
Saga Petroleum 189,700 3,318,110
-------------
3,318,110
-------------
Peru - 0.98%
Creditcorp Common Stk ADR 86,000 1,892,000
Telefonica De Peru 'B' 1,648,995 4,329,000
-------------
6,221,000
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-53
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Portugal - 0.52%
Electricidade De Portuga 148,500 $ 2,725,313
Soares Da Costa * 60,080 563,250
-------------
3,288,563
-------------
South Korea - 0.51%
Korea Chemical Co 39,990 3,282,963
-------------
3,282,963
-------------
Spain - 3.11%
Banco Bilbao Vizcaya 42,000 3,413,266
Dragados Y Const SA 37,422 777,478
Iberdrola SA 397,600 5,020,952
Telefonica De Espana SA 248,810 7,196,216
Uralita 305,000 3,406,375
-------------
19,814,287
-------------
Sweden - 4.60%
Esselte Ab B-F 70,900 1,672,343
Pharmacia & Upjohn 48,400 1,637,170
Skandia Foersaekrings Ab 169,000 6,242,224
Skf Ab 401,000 10,393,987
Sparbanken Sverige-A 79,400 1,769,933
Spectra-Physics Ab-A Shr 152,700 2,750,816
Svenska Handelsbanken 152,000 4,875,583
-------------
29,342,056
-------------
Switzerland - 7.28%
Ascom Holdings AG 1,280 1,789,983
Baloise-Holdings 1,380 3,290,442
Bobst AG 2,120 3,602,330
Forbo Holdings AG 10,980 4,739,568
Holderbank Finan Glaris 5,040 4,762,014
Nestle Sa Bearer 5,290 6,980,843
Novartis AG 50 79,959
Oerlikon-Buehrle Hldg AG 320 37,492
Schindler Holding AG 2,560 3,288,798
Sig Schweiz Industrie Ge 2,100 3,122,302
Sulzer AG * 3,820 3,271,668
Valora Holding AG 7,390 1,569,646
Zurich Versicherungs-Reg 24,960 9,936,115
-------------
46,471,160
-------------
United Kingdom - 12.10%
Bass PLC 136,400 1,663,187
BAT Industries 190,900 1,706,897
BG PLC 2,609,000 9,591,558
British Telecomm 649,700 4,820,261
Burmah Castrol 287,400 4,864,565
Courtaulds Textiles PLC 161,700 824,448
Grand Metropolitan PLC 350,500 3,390,475
Imperial Tobacco Group 1,014,200 6,520,725
Kwik Save Group 303,400 1,536,829
National Westminster Bank 575,500 7,730,555
Peninsular & Orient Stea 317,400 3,167,969
Premier Farnell PLC 225,300 1,755,869
Racal Electronics 421,500 1,696,816
Reckitt & Colman 337,300 5,024,638
Royal Bank of Scotland Group PLC 258,300 1,649,979
Salvensen (Christian) 295,900 1,388,088
Stolz Nielsen SA ADR 410,150 7,946,656
Sun Alliance Group 413,300 3,045,734
Tate & Lyle 214,200 1,590,976
Unilever PLC 118,400 3,390,639
WPP Group PLC 939,300 3,851,625
-------------
77,158,489
-------------
Total Common Stocks (Cost $540,803,214) 622,785,587
-------------
Total Investments in Securities
at Market Value (Cost $551,604,890) 632,777,194
-------------
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 0.82%
Chase Bank London
4.000% due 07/01/97 $ 5,233,762 5,233,762
-------------
Total Short-Term Investments
at Amortized Cost 5,233,762
-------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $556,838,652) $638,010,956
==============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-54
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 1997, are
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount Unrealized
To Buy or Expiration Covered By Appreciation
Type To Sell Month Contract (Depreciation)
- ------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BF Sell 8/97 $ 800,000 $ 8,877
DG Sell 8/97 9,900,000 107,713
DM Sell 8/97 9,500,000 108,495
FF Sell 9/97 10,000,000 112,314
JY Sell 9/97 25,000,000 (172,650)
SF Sell 8/97 12,000,000 219,195
----------------
$383,944
================
</TABLE>
Principal amount denoted in the indicated currency:
BF - Belgian Franc
DG - Dutch Guilder
DM - German Mark
FF - French Franc
JY - Japanese Yen
SF - Swiss Franc
(b) At June 30, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $556,838,652
----------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $90,750,370
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (9,578,066)
----------------
Net unrealized appreciation $81,172,304
----------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-55
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 94.25%
Argentina - 2.69%
Astra Argentina De 24,000 $ 50,887
Banco Frances Del Rio 10,530 114,056
Banco Galicia 19,300 128,364
Ciadea SA 8,800 37,845
Dalmine Siderar SA * 1,979 8,135
Dalmine Siderca SA 57,844 149,838
Inversiones Y Representaciones GDR 1,525 66,719
Molinos Rio De La Plata 10,577 41,362
Perez Compancia ADR 23,743 378,983
Telefonica De Argentina ADR 17,330 600,051
YPF Sociedad Anonima ADR 26,600 817,950
----------
2,394,190
----------
Brazil - 9.47%
Aracruz Celulose SA PNB 61,000 123,530
Banco Bradesco SA 83,920,000 845,826
Banco Itau SA PN 816,000 456,913
Centrais Eletrobras 2,691,000 1,604,732
Cia Cervejaria Brahma 498,000 378,960
Cia Energetica Minas Ger 7,283,000 375,487
Cia Paulista De Forca E 887,000 149,138
Cia Siderurgica Nacional 3,600,000 118,718
Cia Souza Cruz Ind Com 24,400 257,260
Cia Vale Do Rio Doce 25,780 570,201
Petrol Brasileiros 1,619 449,723
Telebras ADR 12,300,000 1,866,525
Telecomunicacues Brasileiras ADR 4,552,000 617,350
Usinas Siderurgicas Mina 34,159 380,462
White Martins SA 77,068 225,512
----------
8,420,337
----------
Chile - 8.49%
Banco Santander 49,275 726,806
Chilgener SA ADR 26,900 753,200
Chilgener SA ADR RT 8,874 19,878
Compania Cervecerias Unidas ADR 16,400 359,775
Compania De Telefono Chili ADR 48,670 1,606,110
Empresa ADR 52,375 1,181,711
Enersis ADR 42,485 1,510,873
Madeco SA ADR 14,250 349,125
Maderas Y Sinteticos Sociedad ADR 24,425 406,066
Sociedad Quimica Y Minera Chile 9,590 634,139
----------
7,547,683
----------
Hungary - 1.50%
Borsodchem RT * 3,200 125,309
Egis RT 1,100 68,679
Gedeon Richter RT 4,100 369,410
Graboplast RT 2,300 105,748
Magyar Olaj Es Gazipare 19,300 418,473
Otp Bank RT 9,300 242,949
----------
1,330,568
----------
India - 6.84%
Bajai Auto GDR 12,550 431,093
BSES Limited GDR * 12,300 325,950
Eih Limited 18,400 303,600
Gujarat Ambuja GDR 27,400 318,662
Hindalco Industries 25,000 883,750
Indian Hotels Co Limited 18,450 438,188
Indian Rayon & Industries GDR 26,300 328,750
Larsen & Tourbro Limited 35,900 619,275
State Bank of India * 24,900 659,850
Steel Authority of India 30,300 267,398
Tata Engineering & Loco Co GDR * 49,420 758,597
Videsh Sanchar Nigam Limited * 35,900 744,925
----------
6,080,038
----------
Indonesia - 5.39%
Bank International Indonesia 1,713,171 1,479,301
Bank International Warrents * 36,726 14,346
Bimantara Citra 437,000 763,672
P.T. Hm Sampoerna 117,000 446,207
P.T. Semen Gresik 182,000 407,854
Telekomunikasi Indonesia ADR 42,600 1,384,500
United Tractors 79,500 294,202
----------
4,790,082
----------
Israel - 9.39%
Agis Industries Limited * 52,800 557,762
Bank Hapoalim Bm * 441,800 919,393
Bezek 208,200 525,946
Blue Square Chain Stores * 57,050 555,358
Clal Israel Limited 1 2,711,000 776,857
ECI Telecommunications ORD 45,200 1,344,701
Elco Holdings Limited * 42,744 380,776
Elite Industries * 22,980 555,705
Formula Systems * 11,000 179,610
ICL Israel Chemical * 539,000 634,313
Industrial Buildings * 471,500 831,659
Teva Pharmaceutical ADR 16,770 1,081,904
----------
8,343,984
----------
Malaysia - 9.19%
Edaran Otomobil Nasional 41,000 349,247
Gamuda Berhad 149,499 524,194
Ioi Properties Berhad 163,000 309,984
Jaya Tiasa Holdings 134,000 674,247
Land & General Holdings 311,000 357,330
Metacorp Berhad 193,000 401,446
Perusahaan Otomobil Nas 138,000 645,166
Public Bank Berhad Foreign 357,666 558,322
RHB Capital Berhad 165,000 522,979
Road Builder (M) Holdings Berhad 116,000 546,910
Sungei Way Holdings Berhad 272,600 514,095
Tan Chong Motor Holdings 252,000 475,246
Telekom Malaysia 231,500 1,082,290
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-56
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
UMW Holdings Berhad 94,000 $ 443,185
United Engineers 106,000 764,342
----------
8,168,983
----------
Mexico - 7.23%
Apasco SA 33,500 240,886
Cemex SA 142,700 621,061
Cifra SA 'A' 22,159 41,035
Cifra SA 'B' 269,178 502,565
Controladora Coml Mexica 154,204 143,952
Desc SA 'B' 24,800 182,081
Desc SA 'C' 501 3,761
Empresas Ica Sociedad 11,089 177,659
Empresas Moderna SA 32,500 173,221
Fomento Economico Mexica 42,371 252,826
Grupo Bimbo 'A' 29,300 210,315
Grupo Carso SA De Cv 63,700 445,988
Grupo Financiero Banamex * 134,829 319,766
Grupo Industrial Alfa 39,000 266,658
Grupo Mexico SA 50,400 190,742
Grupo Modelo SA De Cv 56,932 395,730
Grupo Televisa 10,500 318,938
Industrias Penoles SA 23,900 114,269
Kimberly Clark De Mexico 115,780 467,385
Telefonos De Mexico ADR 26,300 1,255,825
Tubos De Acero De Mexico * 5,761 105,961
----------
6,430,624
----------
Pakistan - 0.25%
Engro Chemical * 7,625 26,976
Fauji Fertilizer Co * 23,500 46,222
Faysal Bank * 18,100 12,024
Hubco GDR * 1,960 49,745
Pakistan State Oil * 6,760 54,439
Pakistan Telecom * 250 19,672
Sui Southern Gas Pipeline * 18,745 13,217
----------
222,295
----------
Peru - 5.13%
Banco Wiese ADR 55,200 358,800
Cementos Lima SA 69,869 141,843
Creditcorp ADR 34,734 764,148
Enrique Ferreyros 178,292 204,818
Luz Del Sur 273,400 320,254
Minas Buenaventura 'A' 34,174 317,928
Minas Buenaventura 'B' 13,181 129,576
Minsur SA 23,602 89,252
Southern Peru Copper 22,219 109,965
Telefonica De Peru 'B' 686,108 1,801,195
Union De Cervecerias Per 309,384 321,620
----------
4,559,399
----------
Philippines - 3.13%
Ayala Corp 767,250 552,690
Equitable Banking Corp 9,500 34,396
Metro Bank Trust Co 22,075 468,684
Petron Corp 991,960 251,976
Philippine Long Distance Telephone ADR 7,200 462,600
San Miguel Corp 159,159 419,379
Sm Prime 2,015,100 595,912
----------
2,785,637
----------
Poland - 0.56%
Bank Rozwoju Eksportu 5,500 115,472
Bank Slaski SA 1,040 74,365
Debica 2,250 46,212
Elektrim 22,390 194,844
Polifarb 13,340 67,786
----------
498,679
----------
Portugal - 7.54%
Banco Commercial Portugal 14,500 273,852
Banco Espirito Santo 28,800 652,745
Cimpor Cimentos De Portugal 23,200 540,718
Colep * 30,400 487,955
Electricidade De Portugal 23,000 422,102
Investec * 19,400 661,253
Jeronimo Martins 9,820 686,005
Mundial Confianca * 40,300 593,051
Portugal Telecom 39,900 1,609,602
Sonae Industria E Investmentos 14,050 587,466
Telecel-Comunicacoes Pes * 2,300 190,795
----------
6,705,544
----------
South Africa - 4.64%
Barlow Limited 27,121 295,164
De Beers Centenary 10,390 383,796
Driefontein 35,000 235,417
Gencor 94,933 437,556
Liberty Life Association of Africa 11,938 323,823
Metro Cash 176,595 155,779
Nasionale Pers 25,850 296,438
Nedcor * 22,547 496,034
Norwich Holdings 51,837 100,599
Rembrandt Group 37,317 398,311
Sasol Limited 24,100 316,231
Smith C.G. Limited 51,642 288,703
South African Breweries 12,802 393,137
----------
4,120,988
----------
South Korea - 4.51%
Cho Hung Bank 127,560 847,527
Daewoo Securities Co * 9,900 179,493
Korea Electric Power 56,250 1,678,632
Korea Fund 75,000 1,106,250
Samsung Electronics Co 1,870 199,722
Samsung Electronics Co Right 30 1,582
----------
4,013,206
----------
Taiwan - 0.93%
Acer Inc GDR * 8,700 154,686
Advanced Semiconductor * 7,590 150,888
Asia Cement GDS 1,900 30,552
China Steel GDS 5,740 121,258
Evergreen Marine * 3,200 54,016
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-58
A-57
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Portfolio of Investments (Continued)
June 30, 1997 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
GVC Corp GDR * 5,100 $ 54,213
President Enterprise GDS * 2,400 43,200
Taiwan Fund Inc 8,800 222,200
-----------
831,013
-----------
Thailand - 0.93%
Bangkok Bank Public Co 38,500 275,775
Cogeneration PLC 44,600 124,736
Electricity Generating 60,700 155,109
Krung Thai Bank Public Co Limited 65,700 71,384
Phatra Thanakit Co 24,500 31,549
Thai Farmers Bank Public 21,700 96,056
Total Access Comm 16,000 74,240
-----------
828,849
-----------
Turkey - 6.44%
Adana Cimento 4,206,000 389,510
Akaltekstil 9,651,626 487,538
Akbank 2,277,714 195,594
Arcelik 2,834,250 381,781
Bagfas Bandirma Gubre 1,925,000 460,263
Demirbank 2,649,780 51,755
Ege Biracilik Ve Malt 576,000 133,841
Eregli Demir Ve Celik FA 2,626,000 437,740
Izmir Demir Celik * 17,813,000 209,953
Migros Turk Tas 615,312 435,143
Netas Telekomunik 1,601,000 442,101
Otosan 728,000 387,351
Sabanci Holding 10,500,000 381,882
Tansas 1,817,000 373,251
Turk Sise Ve Cam Fabrika * 3,758,000 237,920
Turkiye Garanti Bankasi 7,443,000 280,727
Yapi Ve Kredi Bank 19,207,510 439,843
-----------
5,726,193
-----------
Total Common Stocks (Cost $76,601,402) 83,798,292
-----------
<CAPTION>
Principal Market
Amount Value
------ ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.09%
Taiwan - 0.09%
Far Eastern Department Stores
3.000% due 07/06/01 $70,000 75,775
-----------
Total Corporate Bonds & Notes
(Cost $72,450) 75,775
-----------
CONVERTIBLE BONDS - 0.16%
Taiwan - 0.16%
Nan Ya Plastics
1.750% due 07/19/01 $70,000 $ 100,100
Formosa Chemical
1.750% due 07/19/01 40,000 45,000
-----------
Total Convertible Bonds (Cost $118,422) 145,100
-----------
Total Investments in Securities
at Market Value (Cost $76,792,274) 84,019,167
-----------
SHORT TERM INVESTMENTS - 5.50%
Chase Bank London
5.750% due 07/01/97 4,893,000 4,893,000
------------ -----------
Total Short-Term Investments
at Amortized Cost 4,893,000
-----------
TOTAL EMERGING MARKETS
PORTFOLIO (COST $81,685,274) $88,912,167
-----------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
Tax cost basis $81,685,274
----------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $11,081,415
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (3,854,522)
----------------
Net unrealized appreciation $ 7,226,893
----------------
-----------------------------------------------------------------------
Explanation of Symbols For Schedules of Investments
---------------------------------------------------
- Securities purchased in a private placement transaction;
resale to the public may require registration.
# Forward buy contract.
+ Securities are valued under procedures established by
the Board of Trustees.
* Non-income producing securities.
** Securities have been segregated with the custodian to cover margin
requirements for open future contracts as of June 30, 1997.
-----------------------------------------------------------------------
See Notes to Financial Statements See explanation of symbols on A-58
A-58
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
1. SIGNIFICANT ACCOUNTING POLICIES
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4, 1987.
The Fund currently consists of fourteen separate portfolios (the "Portfolios"):
the Money Market Portfolio, the High Yield Bond Portfolio, the Managed Bond
Portfolio, the Government Securities Portfolio, the Growth Portfolio, the
Aggressive Equity Portfolio, the Growth LT Portfolio, the Equity Income
Portfolio, the Multi-Strategy Portfolio, the Equity Portfolio, the Bond and
Income Portfolio, the Equity Index Portfolio, the International Portfolio, and
the Emerging Market Portfolio. The assets of each Portfolio are segregated and a
shareholder's interest is limited to the Portfolio in which shares are owned. At
June 30, 1997, 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 Maximize total return consistent with
Securities 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").
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 7% and 13% of the Managed Bond and Government Securities
Portfolios' investments, respectively, as of June 30, 1997). Money market
instruments are valued at amortized cost which approximates market value.
A-59
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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 and losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, the difference between the amounts
of dividends, interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the value
of assets and liabilities, including investments in securities at the
period-end, resulting from changes in the exchange rate.
C. Income Taxes
The Fund's policy is to comply with the requirements of the Internal Revenue
Code that are applicable to regulated investment companies and to distribute
substantially all of its taxable income to its shareholders. Therefore, no
Federal income tax provision is required.
D. Foreign Taxes on Dividends
Dividend income in the statements of operations is shown net of foreign taxes
withheld on dividends from foreign securities. Foreign taxes withheld were as
follows: Growth LT Portfolio - $97,661; Equity Income Portfolio - $51,140;
Multi-Strategy Portfolio - $12,807; Equity Portfolio - $6,075; Equity Index
Portfolio - $31,206; International Portfolio - $1,035,342; Emerging Markets
Portfolio - $75,884.
E. Securities Gains or Losses and Investment Income
Gains or losses on the sale of Portfolio securities are determined on an
identified cost bases. 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 expense 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 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 Assets and
Liabilities. The face or contract amounts reflect the extent of the involvement
the Portfolios have in the particular classes of
A-60
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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.
B. 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 form unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
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 assets of each of the
Portfolios; for the Growth, Equity Income, Multi-Strategy and Equity Portfolios,
and 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 accured 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 of 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 are
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 Distributor, Inc., a wholly-owned subsidiary of Pacific Mutual,
serves as distributor of the Fund's shares without remuneration from the Fund.
4. CUSTODIAL AND RECORDKEEPING AGENT
Custodial and recordkeeping service costs are accured 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 dividends on net investment income 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.
Dividends on net investment income 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 difference relating to
shareholder distributions will result in reclassifications to paid-in capital.
6. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $11,686,001 of investment advisory fees and $63,500 of
support services expenses to Pacific Mutual
A-61
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
for the period ended June 30, 1997 (Note 3). As of June 30, 1997, $2,175,712 and
$35,141 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 period
ended June 30, 1997, the operating expenses for each of the Portfolios were
under the 0.25% expense cap.
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 and the
Money market Portfolio since it trades exclusively in short-term debt
securities) for the period ended June 30, 1997 are summarized in the following
table:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------
U.S. Government Securities Other Securities
-------------------------- ----------------
Purchases Sales Purchases Sales
--------- ----- --------- -----
<S> <C> <C> <C> <C>
High Yield Bond Portfolio $ 27,665,234 $ 5,793,203 $150,021,753 $ 95,358,024
Managed Bond Portfolio 156,264,241 134,908,590 225,261,495 172,770,826
Government Securities Portfolio 11,288,596 16,818,157 56,301,872 41,050,850
Growth Portfolio 47,090,494 45,331,568
Aggressive Equity Portfolio 69,310,031 37,825,320
Growth LT Portfolio 352,849,261 331,594,538
Equity Income Portfolio 367,097,934 265,933,097
Multi-Strategy Portfolio 32,044,804 19,564,483 109,366,610 80,877,307
Equity Portfolio 188,418,399 154,082,553
Bond and Income Portfolio 3,676,250 1,915,625 10,375,220 1,909,280
Equity Index Portfolio 154,425,652 7,875,259
International Portfolio 465,301,504 324,557,146
Emerging Markets Portfolio 55,023,543 15,443,878
- -----------------------------------------------------------------------------------------------------
</TABLE>
A-62
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
8. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the period ended June 30, 1997 and the year
ended December 31, 1996 were as follows:
<TABLE>
<CAPTION>
Money Market Portfolio High Yield Bond Portfolio Managed Bond Portfolio
1997 1996 1997 1996 1997 1996
------------------------------- ------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 32,078,144 9,578,766 18,585,912 8,621,642 24,216,721 11,439,669
Shares sold 25,864,067 50,071,013 7,388,568 12,316,934 7,676,692 12,168,889
Distributions reinvested 908,078 772,662 1,029,810 1,221,180 856,902 1,233,507
Shares redeemed (20,792,943) (28,344,297) (2,939,262) (3,573,844) (2,134,649) (625,344)
------------------------------- ------------------------------- ----------------------------
Ending Balances 38,057,346 32,078,144 24,065,028 18,585,912 30,615,666 24,216,721
------------------------------- ------------------------------- ----------------------------
</TABLE>
<TABLE>
<CAPTION>
Government Securities Portfolio Growth Portfolio Aggressive Equity Portfolio
1997 1996 1997 1996 1997 1996(1)
------------------------------- ------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 9,394,471 5,511,273 7,800,722 6,988,012 4,626,146
Shares sold 1,248,865 4,602,766 1,185,490 2,619,774 4,253,911 5,548,218
Distributions reinvested 262,176 563,577 1,055,033 510,026 903
Shares redeemed (656,432) (1,283,145) (869,739) (2,317,090) (1,204,305) (922,975)
------------------------------- ------------------------------- ----------------------------
Ending Balances 10,249,080 9,394,471 9,171,506 7,800,722 7,675,752 4,626,146
------------------------------- ------------------------------- ----------------------------
</TABLE>
<TABLE>
<CAPTION>
Growth LT Portfolio Equity Income Portfolio Multi-Strategy Portfolio
1997 1996 1997 1996 1997 1996
------------------------------- ------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 26,561,383 14,221,253 20,994,540 11,350,872 15,296,734 9,470,952
Shares sold 7,665,160 16,920,404 5,485,291 10,085,140 2,672,181 5,563,328
Distributions reinvested 1,701,864 172,382 1,685,747 863,549 1,209,315 906,350
Shares redeemed (2,041,970) (4,752,656) (467,482) (1,305,021) (483,184) (643,896)
------------------------------- ------------------------------- ----------------------------
Ending Balances 33,886,437 26,561,383 27,698,096 20,994,540 18,695,046 15,296,734
------------------------------- ------------------------------- ----------------------------
</TABLE>
<TABLE>
<CAPTION>
Equity Portfolio Bond and Income Portfolio Equity Index Portfolio
1997 1996 1997 1996 1997 1996
------------------------------- ------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 9,869,194 6,174,016 6,789,034 4,367,735 19,267,562 7,880,313
Shares sold 2,530,666 4,269,758 1,274,856 2,818,189 7,992,487 11,981,661
Distributions reinvested 417,958 459,879 358,855 401,391 1,082,085 516,410
Shares redeemed (540,957) (1,034,459) (467,129) (798,281) (1,842,952) (1,110,822)
------------------------------- ------------------------------- ----------------------------
Ending Balances 12,276,861 9,869,194 7,955,616 6,789,034 26,499,182 19,267,562
------------------------------- ------------------------------- ----------------------------
</TABLE>
<TABLE>
<CAPTION>
International Portfolio Emerging Markets Portfolio
1997 1996 1997 1996(1)
------------------------------- -------------------------------
<S> <C> <C> <C> <C>
Beginning Balances 29,479,456 14,089,635 4,554,623
Shares sold 10,905,366 16,491,205 7,056,136 4,596,197
Distributions reinvested 823,826 574,609
Shares redeemed (2,047,281) (1,675,993) (3,216,318) (41,574)
------------------------------- -------------------------------
Ending Balances 39,161,367 29,479,456 8,394,441 4,554,623
------------------------------- -------------------------------
</TABLE>
(1) Operations commenced on April 1, 1996.
A-63
<PAGE>
SEMI-ANNUAL REPORT
AS OF JUNE 30, 1997
.PACIFIC SELECT FUND
DISTRIBUTOR
Pacific Mutual
Distributors, Inc.
700 Newport Center Drive
Newport Beach, California 92660
Member: NASD & SIPC
ACCOUNTANTS
Deloitte & Touche LLP
695 Town Center Drive
Suite 1200
Costa Mesa, California 92626
COUNSEL
Dechert Price & Rhoads
1500 "K" Street, N.W.
Suite 500
Washington, D.C. 20005
Form No. 15-20803-00
357-7A
Pacific Mutual Life Insurance Company BULK RATE
Policy Benefits and Services Department U.S. POSTAGE
700 Newport Center Drive PAID
P.O. Box 7500 PACIFIC MUTUAL
Newport Beach, CA 92658-7500
|
|