<PAGE>
ANNUAL REPORT
AS OF DECEMBER 31, 1997
.PACIFIC SELECT FUND
[LOGO APPEARS HERE]
<PAGE>
PACIFIC SELECT FUND
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund") Annual
Report dated December 31, 1997. The Fund is the underlying investment vehicle
for variable life insurance policies and variable annuity contracts offered by
Pacific Life Insurance Company ("Pacific Life").
Pacific Life, as adviser to the Fund ("the Adviser"), engaged other firms to
serve as Portfolio Managers under Pacific Life'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 December 31, 1997 and the anticipated
outlook for the first six months of 1998.
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 December 31, 1997. Blairlogie
Capital Management ("Blairlogie") serves as Portfolio Manager for the Emerging
Markets Portfolio.
We look forward to continued growth in assets in 1998 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 year ended December
31, 1997 was 5.28%**. The yield, measured during the 7-day period ending
December 31, 1997 was 5.54%**.
Yields on three-month Treasury bills moved in a relatively narrow range in
1997, starting the year at 5.19%, dipping to a low of 4.84% in early June, then
bouncing up to 5.17% at mid-year. Over the next three months, rates on short-
term Treasuries declined modestly to 5.09%, but edged up again in the fourth
quarter to end the year at 5.34%. Although yields on commercial paper held a
tight trading range of around 5.50% to 5.55%, these rates experienced year-end
pressure and rose to a high of 5.95% before dropping to 5.74% at year-end.
Except for one rate boost in March, the Federal Reserve enacted no further
tightening as evidence of a low-inflation environment continued. Current market
conditions indicate the Federal Reserve will likely stay on hold for a continued
period in 1998.
At the beginning of 1998, heavy demand and a limited supply of short-term
investments have put downward pressure on rates. Commercial paper rates have
sunk below the Federal Funds target rate of 5.50%. Recent record lows in
consumer prices, along with a strong domestic economy and a high level of
investment, are expected to continue to push yields even lower in the coming
months. In this environment, the Portfolio's emphasis will be on extending
maturities by a modest amount and maintaining liquidity with high-quality
commercial paper, asset-backed money market tranches, and high-grade, short-term
corporate bonds.
____________________
* 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 all
dividends and capital gain distributions, if any. 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. Past performance is
not predictive of future performance.
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
HIGH YIELD BOND PORTFOLIO
- -------------------------
The total return for the High Yield Bond Portfolio for the year ended December
31, 1997 was 9.44%** compared with 12.63%* for the First Boston High Yield Bond
Index and 9.76%* for the Lehman Brothers Government/Corporate Bond Index.
The high-yield market posted a strong performance in 1997 as evidenced by the
12.63% return of the First Boston High Yield Index. Although spreads remained
at historically narrow levels throughout 1997, the high-yield bond market
outperformed most investment-grade fixed income sectors. In 1997 as well as
1996, the broad-based bull market provided the underpinnings for the
outperformance of the lower-quality tier of high-yield bonds. As measured by
the First Boston High Yield Index, the single-B category returned 14.08% while
the BB category returned 10.14%.
The Portfolio underperformed its benchmark in 1997, as returns were dampened
due to its primary emphasis on holdings within the higher-quality tiers and some
exposure to foreign markets. Given the tight spread levels during 1997, the
opportunity for diversification and higher yields was sought through purchase of
securities abroad. As a result, approximately 10% of the Portfolio was invested
in bonds in Southeast Asia. Investments in the region focused on higher-quality
companies located in countries rated BB or better. In the fourth quarter,
however, currency devaluations and subsequent turmoil in the region created
uncertainties which had a substantial negative impact on these holdings.
Looking forward in 1998, the environment again looks favorable for high-yield
bonds. Most indicators point to steady economic growth with low inflation. In
addition, mutual funds, insurance companies, and collateralized bond obligations
(CBOs) should continue to have a strong appetite for high yield bonds.
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------
Performance Comparison
------------------------------------------------------------------------------------------
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
HIGH YIELD BOND PORTFOLIO 10,000 10,600 11,039 11,081 13,805 16,389 19,341 19,421 23,088
------------------------------------------------------------------------------------------
First Boston High Yield Bond Index 10,000 10,989 11,033 10,330 14,850 17,325 20,601 20,402 23,953
------------------------------------------------------------------------------------------
Lehman Brothers Government/Corporate 10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521
Bond Index
-----------------------------------------------------------------------------------------
<CAPTION>
------------------------
Performance Comparison
------------------------
12/31/96 12/31/97
------------------------
<S> <C> <C>
HIGH YIELD BOND PORTFOLIO 25,695 28,122
------------------------
First Boston High Yield Bond Index 26,927 30,326
------------------------
Lehman Brothers Government/Corporate 21,118 23,179
Bond Index
------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
HIGH YIELD BOND PORTFOLIO** 9.44% 13.13% 11.40%
First Boston Index 12.63% 14.12% 11.84%
Lehman Brothers Index 9.76% 10.43% 7.61%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
MANAGED BOND AND GOVERNMENT SECURITIES PORTFOLIOS
- -------------------------------------------------
The total return for the year ended December 31, 1997 for the Managed Bond
Portfolio was 9.92%** versus the Lehman Brothers Government/Corporate Bond Index
return of 9.76%*. The Government Securities Portfolio returned 9.48%** for the
12-month period ended December 31, 1997 compared with the 9.59%* return of the
Lehman Brothers Government Bond Index.
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
retreat. However, at June 30, 1997, the 30-year Treasury yielded 6.78%, still
higher than the 6.64% level at the end of December 1996. Turmoil in Asia
coupled with record low inflation sparked a bond rally in the second half of the
year, pushing down the yield on the 30-year Treasury to 5.92% by year-end 1997.
Although above-market durations in both Portfolios 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 second half of the
year as interest rates fell. PIMCO reported that the Managed Bond Portfolio's
above-benchmark performance was the result of opportunities found in higher-
yielding corporate bonds, mortgage pass-throughs, and a small position in
currency-hedged non-U.S.
_________________
* 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 all
dividends and capital gain distributions, if any. The returns do not include
deductions at the separate account or contract level for cost of insurance
charges, premium load, administrative charges, maintenance fees, premium tax
charges, mortality and expense risk charges, or other charges that may be
incurred under a contract. Past performance is not predictive of future
performance.
A-2
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
securities. Mortgage pass-throughs provided yield premiums and price gains
relative to Treasury issues while corporate bonds continued to fare well amid
strong economic growth. The near-benchmark 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 added yield while small positions in non-
U.S. government bonds added value.
For 1998, PIMCO expects the crisis in Asia to slow the U.S. economy as exports
fall and significantly cheaper Asian imports rise. Inflation will remain subdued
due to pressure from cheap imports and excess global capacity. In addition,
plunging commodity and high technology prices coupled with intense corporate
price competition should more than offset rising wages. In this environment,
PIMCO expects mortgages securities will be more attractive than overvalued
corporate bonds, although the Managed Bond Portfolio will continue to hold a
small amount of below-investment grade bonds due to their generous yields.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Performance Comparison
-----------------------------------------------------------------------------------------
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
MANAGED BOND PORTFOLIO 10,000 10,399 11,929 12,946 15,151 16,466 18,382 17,581 20,929
-----------------------------------------------------------------------------------------
Lehman Brothers Government/Corporate 10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521
Bond Index
-----------------------------------------------------------------------------------------
<CAPTION>
------------------------
Performance Comparison
------------------------
12/31/96 12/31/97
------------------------
<S> <C> <C>
MANAGED BOND PORTFOLIO 21,820 23,987
------------------------
Lehman Brothers Government/Corporate 21,118 23,179
Bond Index
------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
MANAGED BOND PORTFOLIO** 9.92% 10.91% 7.81%
Lehman Brothers Index 9.76% 10.43% 7.61%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Performance Comparison
-----------------------------------------------------------------------------------------
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GOVERNMENT SECURITIES PORTFOLIO 10,000 10,355 11,864 12,814 14,949 16,073 17,808 16,902 20,081
-----------------------------------------------------------------------------------------
Lehman Brothers Government Bond 10,000 10,364 11,839 12,872 14,843 15,917 17,613 17,018 20,140
Index
-----------------------------------------------------------------------------------------
<CAPTION>
----------------------
Performance Comparison
----------------------
12/31/96 12/31/97
----------------------
<S> <C> <C>
GOVERNMENT SECURITIES PORTFOLIO 20,673 22,633
----------------------
Lehman Brothers Government Bond 20,699 22,682
Index
----------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
GOVERNMENT SECURITIES PORTFOLIO** 9.48% 10.22% 7.08%
Lehman Brothers Index 9.59% 10.05% 7.34%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
GROWTH PORTFOLIO
- ----------------
The Growth Portfolio's total return for the year ending December 31, 1997 was
30.27%** versus 22.36%* for the Russell 2000 Index and 33.36%* for Standard &
Poor's 500 Total Return 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 Index.
The U.S. stock market had its third straight year of superior returns in 1997.
For the first time in history, the S&P 500 and Dow Jones Industrials Average
were both up more than 20% for three consecutive years. However, the gain in
small cap stocks occurred entirely in the first nine months of the year. In the
fourth quarter, turmoil in the financial markets of Asian countries spilled
over to U.S. markets, causing the stock of any firm doing business in Asia to
come under pressure. The overall market stagnated on these concerns but large
caps avoided a broad decline as their share prices were propped by falling
interest rates.
_________________
* All indices are unmanaged. Sources for indices: AIM/TM/ Asset Investment
Management software, Micropal, Inc., Portland, Oregon.
** The return for each Porfilio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not include
deductions at the separate account or contract level for cost of insurance
charges, premium load, administrative charges, maintence fees, premium tax
charges, mortality and expense risk charges, or other charges that may be
incurred under a contract. Past performance is not predictive of future
performance.
A-3
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
During the year the Portfolio performed well, beating its small cap
benchmarks. The fourth quarter, however, presented a difficult environment as
small cap stocks retreated. Some of the companies that had been top performers
earlier in the year--especially semiconductor production equipment firms--were
exposed to the Asian financial crisis and thus gave up a portion of their
earlier gains. Other areas of strength in the Portfolio included cable and
media stocks, oil service issues, and bank stocks. At year-end the Portfolio was
relatively underweighted in insurance, utilities, and retailers.
Looking ahead, Capital Guardian continues to be optimistic on the long-term
prospects for the market. Weakness in Asia may help to keep the U.S. economy
from overheating, allowing interest rates to continue to trend downward and
supporting even higher Price/Earnings ratios. Recent events have led Capital
Guardian to focus its research efforts on identifying those firms that are
exposed to economic weakness in Asia and making sure that exposure is reflected
in the company's fair valuation estimate. Capital Guardian's core research
process is based on doing in-depth research on individual firms and searching
for superior businesses run by good managers.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------
Performance Comparison
-------------------------------------------------------------------------------------------------------------
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GROWTH PORTFOLIO 10,000 11,507 15,529 12,844 17,872 21,541 26,259 23,505 29,559 36,539 47,601
-------------------------------------------------------------------------------------------------------------
Russell 2000 Index 10,000 13,613 15,824 12,738 18,604 22,031 26,192 25,714 33,028 38,474 47,081
-------------------------------------------------------------------------------------------------------------
S&P 500 Index 10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733 37,788 50,395
-------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
GROWTH PORTFOLIO** 30.27% 26.52% 17.18%
Russell Index 22.36% 22.34% 16.41%
S&P Index 33.36% 31.15% 20.27%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed may
be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the year ended December 31, 1997, the Aggressive Equity Portfolio returned
3.78%** compared with a 22.36%* return for the Russell 2000 Index and a 33.36%*
return for the S&P 500 Index.
The year 1997 marked the first time in history that the S&P 500 Index posted a
return of greater than 20% for three consecutive years. Underneath that
unprecedented performance statistic were signs of a two-tiered market and the
underpinnings of some erosion of investor confidence. Large, blue-chip equities
were outstanding performers, while small capitalization companies lagged the
overall market. In this environment, value stocks outperformed growth. The
worst-performing sector of the stock market was small cap, high growth. This can
be seen in the dramatic performance differential between the 33.36% return for
the S&P 500 Index and the 12.95% return for the Russell 2000 Growth Index.
Unfortunately, CCI's philosophy of seeking good companies with the potential for
positive surprises in their business fundamentals, concentrated the Portfolio
right in that weakest segment of the market. The combination of the Portfolio's
normally high volatility and the steep price declines that followed any
disappointments in company fundamentals proved to be very harsh. In this
environment, the Portfolio significantly underperformed the overall market.
Unlike any other year in recent memory, 1997 actually contained two periods of
panic selling. The first period began in January and lasted until April. The
sell-off was focused on the personal computer industry. Fears of a slowdown in
computer sales led to a belief that the up cycle in semiconductors and
semiconductor production equipment would be cut short. As most companies
continued to report very strong results, those fears abated, and the technology
sector rose sharply from May to September. Although the Portfolio was hurt badly
in the sell-off, it recovered its losses during the spring/summer rally. Then
came the turmoil in several Asian economies and financial markets. The ensuing
wave of U.S. stock market panic selling began in October and lasted through
year-end. This second downturn has been more difficult to deal with because many
companies have indicated that their business fortunes are definitely being
affected by Asian woes.
With the moderating growth and the reduction in foreign demand for U.S. goods,
the casualty rate among the Portfolio's aggressive growth stock holdings
increased. There simply was more opportunity for disappointments than in
previous years.
_________________
* 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 all
dividends and capital gain distributions, if any. The returns do not include
deductions at the separate account or contract level for cost of insurance
charges, premium load, administrative charges, maintenance fees, premium tax
charges, mortality and expense risk charges, or other charges that may be
incurred under a contract. Past performance is not predictive of future
performance.
A-4
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
Historically, CCI's strategy for dealing with bearish environments for
aggressive growth stocks has been to prune back holdings and to retain those
issues which have very strong prospects for continued positive surprise events.
In the past, after each sell-off (even the recent one of early 1997) portfolios
so constructed have bounced back. The relative valuation of small cap growth
stocks--in particular technology-related stocks reached a level that,
historically, has preceded periods of strong performance.
Looking for safe places to invest in 1998 is a top priority, as CCI believes
that companies with Asian connections will continue to be susceptible to
earnings disappointments. In prior years, CCI has been able to find a number of
companies with unique development. The challenge will be to find and
intensively monitor more of these strong swimmers that can overcome any future
torrent of bad news.
<TABLE>
<CAPTION>
--------------------------------------------
Performance Comparison
--------------------------------------------
4/30/96 12/31/96 12/31/97
--------------------------------------------
<S> <C> <C> <C>
AGGRESSIVE EQUITY PORTFOLIO 10,000 10,786 11,194
--------------------------------------------
Russell 2000 Index 10,000 11,084 13,563
--------------------------------------------
S&P 500 Index 10,000 11,670 15,564
--------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year
------
<S> <C>
AGGRESSIVE EQUITY PORTFOLIO** 3.78%
Russell Index 22.36%
S&P Index 33.36%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
The total return of the Growth LT Portfolio for the year ending December 31,
1997 was 10.96%** versus 24.36%* for the Russell 2500 Index and 33.36%* for the
S&P 500 Index.
At year-end 1997, the Portfolio's asset allocation was approximately 78% in
domestic stocks, 16% in foreign equities, 1% in preferred securities, and 5% in
cash and equivalents. Approximately 45% of the Portfolio's equity holdings were
in companies with capitalizations of less than $8.5 billion.
In the first six months of l997, liquidity-driven flows into the very large
cap stocks of the S&P 500 Index pushed the market to new highs. In this
environment, small and midsize stocks severely underperformed their larger
counterparts. During this period, the Portfolio's limited exposure to the mega-
cap stocks and higher concentrations of small and midsize positions held back
performance, as did its high allocation to cash. In the second half of the year,
as the market's advance became more broadly based, the Portfolio regained
momentum and began to catch up with the performance of the benchmarks. However,
global volatility and some mild individual stock disappointments in the fourth
quarter ultimately kept the Portfolio from closing this gap.
Going into 1998, Janus believes the Portfolio is well positioned to exploit a
number of compelling themes. In the pharmaceuticals area, holdings include
companies that have exciting new products as well as impressive product
pipelines. With the meaningful decline in interest rates seen in early 1998,
Janus increased its exposure to several other high-quality pharmaceutical
companies as well. In the technology sector, Janus remains positive on its
holdings and believes a number of the Portfolio's positions may have been
unjustly penalized for their exposure to the expected slowing of demand from
Asia. Finally, several holdings in the cable television industry were added in
the fourth quarter, where Janus believes improving cash flows and exciting new
services provided over digital cable--such as Internet and telephone services--
offer cable operators better financial returns and an improving outlook for
growth.
_________________
* 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 all
dividends and capital gain distributions, if any. The returns do not include
deductions at the separate account or contract level for cost of insurance
charges, premium load, administrative charges, maintenance fees, premium tax
charges, mortality and expense risk charges, or other charges that may be
incurred under a contract. Past performance is not predictive of future
performance.
A-5
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
<TABLE>
<CAPTION>
---------------------------------------------------------
Performance Comparison
---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1/31/94 12/31/94 12/31/95 12/31/96 12/31/97
---------------------------------------------------------
GROWTH LT PORTFOLIO 10,000 11,326 15,489 18,254 20,255
---------------------------------------------------------
Russell 2500 Index 10,000 9,894 13,030 15,512 19,290
---------------------------------------------------------
S&P 500 Index 10,000 10,127 13,944 17,145 22,865
---------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years
------ -------
<S> <C> <C>
GROWTH LT PORTFOLIO** 10.96% 21.39%
Russell Index 24.36% 24.92%
S&P Index 33.36% 31.15%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
EQUITY INCOME AND MULTI-STRATEGY PORTFOLIOS
- -------------------------------------------
The total return for the Equity Income Portfolio for the year ending
December 31, 1997 was 28.60%** versus the S&P 500 Index return of 33.36%*. The
Multi-Strategy Portfolio returned 19.62%** for the 12-month period ended
December 31, 1997 compared with the 33.36%* return of the S&P 500 Index, the
9.65%* return of the Lehman Brothers Aggregate Bond Index, and the 9.76%* return
of the Lehman Brothers Government/Corporate Bond Index.
After a volatile first quarter dominated by strong earnings releases and
fears about rising interest rates, the market stabilized in the second quarter
and advanced sharply. All indicators pointed to continued low inflation and a
cooling economy. U.S. equity market returns continued to be dominated by the
largest capitalization stocks deemed the "Nifty Fifty," a trend which has been
present for several years. This trend reversed briefly during the third quarter
as the market broadened and corporate earnings of some of the larger companies
fell below expectations. Both Portfolios benefited from this reversal as
holdings in many of the largest companies had been underweighted due to their
excessive valuations.
The fourth quarter saw large cap stocks once again take the lead as
investors sought a safe haven from the turmoil in emerging markets. JPMIM's
investment strategy continued to emphasize stock selection within all sectors of
the market, resulting in a well-diversified, fully invested Portfolio of the
most undervalued stocks. The drug industry group and the finance sector were
among the strongest performers in the S&P 500 during 1997, returning 52% and
48%, respectively. Although stock selection within the Portfolios continued to
be strong, the Portfolio underperformed the benchmark in 1997 as selected
holdings in the technology and retail sectors did not live up to expectations.
The Multi-Strategy Portfolio continued to underweight its equity holdings
as JPMIM viewed stocks as overvalued relative to bonds. Asset allocation
remained virtually split between stocks and bonds, deviating from a normal
allocation of 60% stocks and 40% bonds. The underweighting of equities hurt
performance in a year when the stock market posted very strong gains. The equity
portion of the Multi-Strategy Portfolio performed similarly to the Equity Income
Portfolio. Within the fixed income portion, performance was enhanced by
overweighting of investment-grade corporates and selected mortgage securities.
Without a strong conviction as to the direction of interest rates throughout
much of the year, JPMIM maintained a duration for the Portfolio similar to that
of the broad bond market index.
During 1998, JPMIM expects that the Gross Domestic Product ("GDP") should
grow at a more trend-like rate of 2.7%. Inflation will likely rise to a 2.25%
level as wage pressures begin to build during this latter stage of the prolonged
economic expansion. Going forward, JPMIM will continue its strategy of using
fundamental research to identify stocks that are underpriced relative to their
long-term ability to grow earnings and generate cash flow and will continue to
favor the corporate and asset-backed securities.
_____________________
* 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 all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-6
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------
Performance Comparison
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97
-----------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO 10,000 10,896 14,082 13,020 17,111 18,027 19,522 19,467 25,629 30,608 39,364
-----------------------------------------------------------------------------------------------------------
S&P 500 Index 10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733 37,788 50,395
-----------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31,1997
---------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
EQUITY INCOME PORTFOLIO** 28.60% 26.46% 16.90%
S&P Index 33.36% 31.15% 20.27%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Performance Comparison
------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95
------------------------------------------------------------------------------------------
MULTI-STRATEGY PORTFOLIO 10,000 10,601 13,083 12,891 15,989 16,878 18,438 18,162 22,750
------------------------------------------------------------------------------------------
S&P 500 Index 10,000 11,188 14,735 14,277 18,617 20,035 22,040 22,320 30,733
------------------------------------------------------------------------------------------
Lehman Brothers Aggregate Bond Index 10,000 10,917 12,525 13,646 15,830 17,004 18,663 18,118 21,465
------------------------------------------------------------------------------------------
Lehman Brothers Government/Corporate 10,000 10,396 11,875 12,858 14,932 16,065 17,837 17,212 20,521
Bond Index
------------------------------------------------------------------------------------------
<CAPTION>
12/31/96 12/31/97
--------------------
MULTI-STRATEGY PORTFOLIO 25,609 30,635
--------------------
S&P 500 Index 37,788 50,395
--------------------
Lehman Brothers Aggregate Bond Index 22,241 24,391
--------------------
Lehman Brothers Government/Corporate 21,118 23,179
Bond Index
--------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31,1997
---------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
MULTI-STRATEGY PORTFOLIO** 19.62% 19.03% 12.66%
S&P Index 33.36% 31.15% 20.27%
Lehman Brothers Aggregate Index 9.65% 10.41% 7.48%
Lehman Brothers G/C Index 9.76% 10.43% 7.61%
</TABLE>
- --------------------------------------------------------------------------------
Performance quoted represents past performance. Investment return and principal
value will fluctuate so that shares of the Portfolio when redeemed may be worth
more or less than their original cost. Past performance is not predictive of
future performance.
- --------------------------------------------------------------------------------
EQUITY PORTFOLIO
- ----------------
For the year ending December 31, 1997, the total return of the Equity
Portfolio was 18.18%** versus the 33.36%* return of the S&P 500 Index.
The equity markets got off to a strong start in the first half of 1997, but
weakened significantly in the fourth quarter as concerns over troubled financial
markets in Asia suggested signs of a potential global slowdown. With weak Asian
currencies and some evidence of deflation on the horizon, investors ignored the
rise in wages and focused more on the possible reductions to earnings estimates.
Slower economic growth and the potential for deflation led the Federal Reserve
Board to leave short-term rates unchanged and to hint at a possible rate
reduction. In this environment, the bond market rallied strongly, driving the
yield on long bonds down from 6.40% to 5.92% by the end of the year. Given the
solid earnings results and continued low inflation, investor sentiment remained
positive toward large-cap issues despite the possibility of lower future growth.
With stock prices well off their highs and Asian markets still struggling,
Greenwich remains cautiously optimistic going into 1998.
The Portfolio entered the fourth quarter of 1997 well positioned to benefit
from solid company fundamentals and a flight to quality in large cap issues.
While the Portfolio underperformed the S&P 500 Index for the calendar year ended
1997, Greenwich believes the difference reflects a concentration of performance
in a select number of stocks. Simply put, money flows went to the largest of the
large cap issues, with limited regard for valuations. Greenwich is clearly
disappointed in the performance of the Portfolio for 1997, but believes the
Portfolio remains well positioned to benefit from the solid fundamentals of
pharmaceutical, finance, and consumer sectors going forward.
_____________________
* 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 all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-7
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
Greenwich continues to believe large cap growth stocks offer attractive
potential returns to investors over the long term. Looking into 1998, Greenwich
thinks the stock market could again trend upward, but not without significant
volatility. To the extent that interest rates and inflation remain in check and
growth in corporate profits continues at a moderate pace, large-cap issues
should continue to perform well. The philosophy that is the cornerstone of
Greenwich's stock selection process--looking for high-quality growth stocks with
powerful earnings momentum--has not changed. Greenwich believes that over the
long-term these issues should offer investors superior growth and above-average
returns.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------
Performance Comparison
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97
-------------------------------------------------------------------------------------------------------------
EQUITY PORTFOLIO 10,000 10,743 13,979 13,624 17,674 18,793 21,811 21,184 26,226 33,577 39,684
-------------------------------------------------------------------------------------------------------------
S&P 500 Index 10,000 11,655 15,350 14,874 19,395 20,872 22,960 23,252 32,016 39,366 52,499
-------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
EQUITY PORTFOLIO** 18.18% 23.27% 16.12% 14.76%
S&P Index 33.36% 31.15% 20.27% 18.05%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
For the year ending December 31, 1997, the total return for the Bond and
Income Portfolio was 16.32%** compared with the 14.52%* return of the Lehman
Brothers Government/Corporate Long-Term Bond Index and the 9.65%* return of the
Lehman Brothers Aggregate Bond Index.
The bond market posted solid returns in 1997 after a sluggish start at the
beginning of the year. During the first quarter, interest rates rose on fears of
an overheating economy and the prospects of Federal Reserve tightening. As
widely expected, the Fed hiked short-term interest rates to 5.50% on March 25.
30-year Treasury bond yields peaked soon after at 7.17% in mid-April. At that
point, inflationary pressures seemed under control, and the Fed decided to leave
interest rates steady for the rest of the year. Nevertheless, the bond market
was quite volatile in the third quarter as the market strengthened, retreated,
then rallied. Turmoil in the fourth quarter due to the Asian economic crisis
provided the stimulus to the U.S. bond market as worldwide investors sought the
relative safety of government bonds.
In this environment, longer maturity issues outperformed intermediate-term
securities, and Treasury issues outperformed corporates and mortgage securities.
The Portfolio, which was well positioned by holding longer-term securities in a
falling interest rate environment, performed exceptionally well and posted
higher-than-benchmarks returns.
For 1998, Greenwich expects that both short-term and long-term interest rates
will continue to decline. With a less restrictive Federal Reserve stance due to
the "Asian Contagion," moderate growth prospects for the domestic economy, and
continued low inflation, long bond yields could move toward a 5.35% level.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Performance Comparison
-----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96
------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO 10,000 10,639 12,453 12,860 15,988 17,280 20,631 18,905 25,277 25,073
------------------------------------------------------------------------------------------
Lehman Brothers Government/Corporate 10,000 10,973 12,897 13,728 16,408 17,809 20,687 19,221 24,977 24,827
LT Index
------------------------------------------------------------------------------------------
Lehman Brothers Aggregate Bond Index 10,000 10,789 12,377 13,485 15,644 16,804 18,443 17,905 21,213 21,980
------------------------------------------------------------------------------------------
<CAPTION>
<S> <C>
------------
12/31/97
BOND AND INCOME PORTFOLIO ------------
29,165
-------------
Lehman Brothers Government/Corporate
LT Index 28,431
-------------
Lehman Brothers Aggregate Bond Index
24,104
-------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31, 1997
----------------------------------------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
BOND AND INCOME PORTFOLIO** 16.32% 15.55% 11.04% 11.30%
Lehman Brothers G/C LT Index 14.52% 14.22% 9.97% 11.03%
Lehman Brothers Aggregate Index 9.65% 10.41% 7.48% 9.17%
</TABLE>
_____________________
* 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 all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-8
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
For the year ended December 31, 1997, the total return for the Equity Index
Portfolio was 32.96%** versus the 33.36%* return of the S&P 500 Index. This
Portfolio seeks to replicate the performance of the S&P 500 Index.
The large cap equity market started 1997 strong, with the S&P 500 Index
reaching a record high in mid-February. However, the last two trading days of
March lopped more than 4% from the value of the Index. This plunge in stock
prices was primarily attributable to the Federal Reserve's decision to hike the
federal funds rate. After mid-April, the S&P 500 soared, bolstered by the strong
economy, solid earnings of large cap stocks, falling interest rates, and low
inflation. Technology stocks, which had been in a slump, picked up around mid-
year and led the rally.
In the third quarter, the market zigzagged, following an advance-retreat
pattern. Large cap stocks underperformed their smaller cousins during this
period, but recovered in September. Troubled by volatility in the Asian markets,
the Dow plummeted 7% on October 27, marking the largest single one-day point
loss ever of 554.26. The S&P 500 also fell nearly 7%, declining 64.66 points.
The next day saw the Dow rebound, experiencing its largest one-day gain of
337.17 points, or close to 5%. Despite this decline and ensuing high volatility,
the market advanced in the fourth quarter, bolstered by continued strength in
financial stocks and a jump in the share prices of utilities. As was the case in
1996, large cap value stocks outperformed large cap growth stocks. The strongest
sector performers for the year were financial services (+52%), health care
(+35%) and consumer staples (+33%). The weakest performers included basic
materials (+5%), technology (+15%) and energy (+15%).
Looking ahead in 1998, Bankers Trust thinks the consumer sector still
appears to be relatively strong, although not as dynamic as in the past two
years. However, employment gains, low inflation, low interest rates, and a
healthy stock market should provide meaningful support to consumer spending.
Business investment should also continue to expand, supported by a still robust
corporate earnings picture and the continuing drive to improve competitiveness.
The economy is again seen as providing a positive environment for the
financial markets, with real GDP anticipated to be around 2% for all of 1998.
Given the strong upward move that has already taken place in the stock market
over the past several years, the gains from this point forward appear to be
limited. Low interest rates and hefty flows of retirement funds into the equity
market should provide some support to stock prices. Nevertheless, the current
high valuations and the growing concerns about the financial problems in the Far
East suggest that any equity gains in 1998 will turn out to be below average.
INTERNATIONAL PORTFOLIO
- -----------------------
The International Portfolio's total return for the year ending December 31,
1997 was 9.28%** versus 1.78%* for the Morgan Stanley Capital International
Europe, Austria and Far East Index ("EAFE Index").
After the strong performance in the first nine months of 1997, the fourth
quarter of 1997 saw most international markets plunge in U.S. dollar terms as
the turmoil in Asia continued to rattle investors around the globe. While the
"Asian Contagion" continued to have its greatest impact on the nations in the
Pacific Rim, investors in the U.S. and Europe began to consider how corporate
earnings would be affected by cheap Asian exports, slower global growth, and
lower Asian demand.
The Asian currency crisis began mid-year with the devaluation of the Thai
baht and quickly spread to Malaysia, the Philippines, Indonesia and South Korea.
Virtually no country in the region has escaped the debacle. The Hong Kong market
fell nearly 29% in the fourth quarter, and even markets with relatively healthy
fundamentals were not spared. The supposed "safe haven" Singapore market fell
20.6% in U.S. dollar terms while Australia declined 12.9%. Japanese stocks also
experienced a difficult quarter, falling 19.8%.
Relatively speaking, Europe was the bright spot among international markets
for all of 1997. Among the strongest markets were Portugal, Switzerland, and
Italy--all registering annual gains of over 30% in U.S. dollars. Against this
backdrop, the Portfolio performed exceptionally well on a relative basis in
1997. Near the beginning of the fourth quarter, the Portfolio's exposure to both
Asia and Japan was further reduced while stock selection in the UK and in
Australia contributed strongly to outperforming the international benchmark.
_____________________
* 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 all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-9
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
Looking ahead, Morgan Stanley expects the beginning of 1998 to continue to
be volatile, particularly as the Asian crisis plays out. The financial sectors
in both Asia and Japan are fragile, and investors will be watching carefully to
see how these difficulties are resolved. The wild card in Asia will be whether
China and in turn Hong Kong will allow their currencies to fall in light of the
competitive devaluations sweeping the region. Although such a devaluation is
unlikely near term, the possibility nonetheless makes Morgan Stanley cautious
about the outlook for the Hong Kong market and the region overall. As a
defensive measure, the Portfolio will be underweighted in Asia relative to the
benchmark EAFE index, with the majority of holdings in Australia. Japan will
also remain underweighted. Although the Japanese government will likely come
under increasing pressure to stimulate the economy and reform the banking
sector, thus far, that government's anti-deficit stance has precluded any
government spending package, meaningful tax cut, or any plan to deal with the
weakest banks and their huge amount of bad debt.
Of the developed international regions, Morgan Stanley believes Europe
offers the most investment potential for the near term. As a result, European
countries currently represent the largest weighting, with nearly 70% of the
Portfolio invested there. Restructuring, consolidation and deregulation should
continue as European Monetary Union ("EMU") approaches, with companies jockeying
for better strategic positioning in the new pan-European world. Also, with the
introduction of the Euro currency scheduled for 1999, interest rates will
continue to converge, with rates falling in the peripheral nations and rising in
the core countries. In particular, Morgan Stanley is finding new investment
opportunities in the UK in companies offering the combination of strong business
franchises with low capital requirements. Overall, conditions around the world
will be monitored in order to seek the best investment opportunities available.
<TABLE>
<CAPTION> --------------------------------------------------------------------------------------------------------
Performance Comparison
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1/31/88 12/31/88 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97
--------------------------------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO 10,000 11,688 14,078 12,181 13,511 12,190 15,851 16,329 18,053 22,005 24,045
--------------------------------------------------------------------------------------------------------
EAFE Index 10,000 12,609 13,938 10,668 11,958 10,492 13,916 15,001 16,694 17,704 18,018
--------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31,1997
---------------------------------------------------------
1 Year 3 Years 5 Years
------ ------- -------
<S> <C> <C> <C>
INTERNATIONAL PORTFOLIO** 9.28% 13.77% 14.55%
EAFE Index 1.78% 6.27% 11.39%
</TABLE>
- -------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- -------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
For the year ending December 31, 1997 the Emerging Markets Portfolio
returned -1.69%** versus the -11.59%* return of the Morgan Stanley Capital
International Emerging Markets Free Index ("MSCI EMF Index").
During the first half of 1997, emerging markets as a whole posted strong
gains--close to 18%. However, share prices began slipping in July and continued
to spiral downward through the third quarter. The final quarter of the year was
disastrous, delivering a washout in emerging stock markets as the Asian currency
panic spread to places like Brazil and Russia. For 1997, the Portfolio's return
relative to the benchmark was quite strong, outperforming the MSCI EMF Index by
ten percentage points. The Portfolio's underexposure to the Asian countries
helped bolster returns during this tumultuous period.
The "domino effect" in Asia, so feared by military strategists during the
Vietnam War era, never came to pass under Communism. But it happened with
dramatic effect in 1997 under Capitalism. What took place was a financial crash
worthy of mention in any history book.
Despite the turmoil in the region, Blairlogie makes certain general
observations about the struggle toward regaining stability. First, collapsed
currencies make Asian goods highly competitive in world markets. Second, the
Asian people's rise in expectations and educational levels and their experience
of real income growth over the past 15 years have left a taste of prosperity
that can't be extinguished. Third, at the most rudimentary economic level, there
is always a daily need for life's staples--food, building materials,
transportation, power, etc. The earnings of companies in these defensive sectors
tend to hold up well despite the turbulent economic environment.
Europe's emerging markets were exceptionally strong performers. In local
currencies there were spectacular moves with Turkey (+300%), Hungary (+144%),
and Russia (+111%). The rising U.S. dollar hurt these returns, but not too many
Americans would complain about an annual return of 116% from Turkey's stock
market after currency translation. Portugal, with stock market returns that
totaled over 50%, graduated to the EAFE Index while Russia joined the MSCI EMF
Index in 1997, currently representing 6% of the index. The continuing
restructuring, capital investment and political sentiment to converge with the
EMU over the next 10 years should, in Blairlogie's view, continue to provide
robust returns in Europe's emerging markets in 1998.
Latin America also experienced solid improvement in 1997, perhaps heralding
better things to come once the financial typhoons have blown over in Asia. In
U.S. dollars, Mexico advanced 54%, and all markets enjoyed double-digit gains
except Chile, which rose under 6%. Currency translation impacted returns in
Colombia; locally, the market was up 78%, but in U.S. dollars posted a "mere"
42% gain. Some emerging market "Asian Contagion" in the fourth quarter hurt
Mexico and Venezuela, but the region overall proved to be relatively stable with
very sound fundamentals.
The recent weakness in global equities has undoubtedly taken the froth from
stock prices, which generally have shifted from being expensive to fair value
(U.S. stocks excepted). In Blairlogie's view, the current optimistic consensus
estimates for 1998--especially in the U.S. which represents 52% of the MSCI
Global Index--mean that downside risk is still out there.
Looking across asset classes, emerging markets have been hit the hardest,
perhaps almost indiscriminately in recent months. Blairlogie's models indicate
that as a group, emerging market stocks offer the most potential for 1998.
However, Blairlogie believes that these stocks will continue to be highly
leveraged to the mood swings of investors in the near term.
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------
Performance Comparison
---------------------------------------------------------------------------------
<S> <C> <C> <C>
4/30/96 12/31/96 12/31/97
---------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO 10,000 9,677 9,513
---------------------------------------------------------------------------------
MSCI Emerging Markets Free Index 10,000 9,980 8,822
---------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Average Annual Returns For Periods Ended December 31,1997
---------------------------------------------------------
1 Year
-----
<S> <C>
EMERGING MARKETS PORTFOLIO** -1.69%
MSCI Index -11.59%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
________________________
_____________________
* All indices are unmanaged. Sources for indices: AIM(TM) Asset Investment
Management software, Micropal, Inc., Portland Oregon.
** The return for each Portfolio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-10
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders
Pacific Select Fund
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Pacific Select Fund (the "Fund")
comprised of the Money Market, High Yield Bond, Managed Bond, Government
Securities, Growth, Aggressive Equity, Growth LT, Equity Income,Multi-Strategy,
Equity, Bond and Income, Equity Index, International, and Emerging Markets
Portfolios as of December 31, 1997 and the related statements of operations for
the year then ended, the statements of changes in net assets for each of the two
years in the period then ended, and the financial highlights for each of the
five periods then ended (as to the Aggressive Equity Portfolio, the Growth LT
Portfolio and the Emerging Markets Portfolio, for each of the periods from
commencement of operations through December 31, 1997). These financial
statements and financial highlights are the responsibility of the Fund's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits. The financial
highlights for the Equity and the Bond and Income Portfolios for the year ended
December 31, 1993 were audited by other auditors whose report dated February 15,
1994 expressed an unqualified opinion on the financial highlights.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at December
31, 1997 by correspondence with the custodians and brokers; where replies were
not received from brokers, we performed other auditing procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
respective Portfolios constituting Pacific Select Fund as of December 31, 1997
and the results of their operations, the changes in their net assets, and the
related financial highlights for the respective stated periods, in conformity
with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Costa Mesa, California
February 6, 1998
A-11
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1997
(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
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments in securities at value ... $279,855 $383,072 $ 80,054 $236,397 $114,549 $634,102
Short-term investments at amortized
cost ................................ $450,276 25,564 124,056 58,539 9,416 14,960 61,481
Cash ................................. 1 1 1 1 1
Receivables:
Dividends and interest .............. 489 5,851 5,032 812 88 15 148
Fund shares sold .................... 1,592 251 687 339 290 372 885
Securities sold ..................... 2,165 3,007 10,397
Other receivables ................... 5 32 5 13
Forward foreign currency contracts
appreciation ........................ 364 123
Variation margin ..................... 475 198
Organization costs ................... 18 1
-----------------------------------------------------------------------------------
TOTAL ASSETS ......................... 452,363 311,522 513,719 140,065 248,362 132,922 707,027
-----------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed ................ 716 239 32 1
Securities purchased ................ 44,889 10,065 1,675 10,087 29,337
Accrued advisory fees ............... 142 155 231 63 132 79 418
Accrued custodian fees and
recordkeeping fees ................. 2 23 4 3 59
Accrued other ....................... 1 1 1 1 5
Forward foreign currency contracts
depreciation ........................ 60
-----------------------------------------------------------------------------------
TOTAL LIABILITIES .................... 858 397 45,144 10,165 1,807 10,170 29,880
-----------------------------------------------------------------------------------
NET ASSETS ........................... $451,505 $311,125 $468,575 $129,900 $246,555 $122,752 $677,147
===================================================================================
NET ASSETS CONSIST OF:
Paid-in capital ...................... $451,531 $303,801 $452,105 $126,127 $175,053 $118,270 $581,294
Accumulated undistributed net
investment income (loss) ............ (26) (19) 297 56 (20) (141) 1,132
Accumulated undistributed net
realized gain (loss) ................ 3,155 6,812 2,458 27,187 (3,037) 36,714
Net unrealized appreciation on
investments and assets and
liabilities in foreign currencies ... 4,188 9,361 1,259 44,335 7,660 58,007
-----------------------------------------------------------------------------------
NET ASSETS ........................... $451,505 $311,125 $468,575 $129,900 $246,555 $122,752 $677,147
===================================================================================
Shares of beneficial interest
outstanding of $.001 par value ...... 44,902 31,190 42,073 12,051 10,020 10,977 39,130
===================================================================================
NET ASSETS PER SHARE ................. $ 10.055 $ 9.975 $ 11.137 $ 10.779 $ 24.606 $ 11.183 $ 17.305
===================================================================================
</TABLE>
See Notes to Financial Statements
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
DECEMBER 31, 1997
(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 ........ $783,601 $343,029 $287,659 $109,252 $856,404 $695,932 $ 87,874
Short-term investments at amortized cost .. 21,708 28,723 32,036 1,546 15,151 93,881 12,036
Cash ...................................... 564 1,248 1 206 4
Receivables:
Dividends and interest ................... 905 2,379 177 1,852 1,160 2,244 76
Fund shares sold ......................... 1,236 472 997 260 1,586 215 158
Securities sold .......................... 101 29 7,170 737
Other receivables ........................ 18 400 5
Forward foreign currency contracts
appreciation ............................. 5,339
Variation margin .......................... 21
Organization costs ........................ 18
---------------------------------------------------------------------------------------
TOTAL ASSETS .............................. 807,551 375,235 329,287 112,911 874,507 798,748 100,171
---------------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed ..................... 91 143 560 343 3,174
Securities purchased ..................... 916 7,770 10,400 209 30,715 574
Accrued advisory fees .................... 431 193 173 56 121 540 88
Accrued custodian fees and recordkeeping
fees .................................... 1 1 6 2 24 180 79
Accrued other ............................ 5 3 11 103
Forward foreign currency contracts
depreciation ............................. 5
Variation margin .......................... 6
---------------------------------------------------------------------------------------
TOTAL LIABILITIES ......................... 1,439 8,107 11,144 404 371 34,712 746
---------------------------------------------------------------------------------------
NET ASSETS ................................ $806,112 $367,128 $318,143 $112,507 $874,136 $764,036 $ 99,425
=======================================================================================
NET ASSETS CONSIST OF:
Paid-in capital ........................... $629,694 $314,935 $238,844 $102,831 $672,690 $680,818 $106,145
Accumulated undistributed net investment
income (loss) ............................ (17) (10) (95) 300 (12) (3,210) (45)
Accumulated undistributed net realized gain
(loss) ................................... 109,353 30,020 22,349 (109) 8,154 65,324 (10,011)
Net unrealized appreciation on investments
and assets and liabilities in foreign
currencies ............................... 67,082 22,183 57,045 9,485 193,304 21,104 3,336
---------------------------------------------------------------------------------------
NET ASSETS ................................ $806,112 $367,128 $318,143 $112,507 $874,136 $764,036 $ 99,425
=======================================================================================
Shares of beneficial interest outstanding
of $.001 par value ....................... 32,939 22,688 13,315 8,674 33,994 47,143 10,503
=======================================================================================
NET ASSETS PER SHARE ...................... $ 24.473 $ 16.182 $ 23.893 $ 12.970 $ 25.714 $ 16.207 $ 9.467
======================================================================================
</TABLE>
See Notes to Financial Statements
A-13
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1997
(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 ....................... $ 38 $ 1,243 $ 187 $ 3,157
Interest ........................ $22,411 20,734 $21,900 $ 6,518 661 442 4,269
Other ........................... 2 132 4 3 2 36
------------------------------------------------------------------------------------------------
Total Investment Income ......... 22,413 20,904 21,904 6,518 1,907 631 7,462
------------------------------------------------------------------------------------------------
EXPENSES
Advisory fees ................... 1,521 1,466 2,056 646 1,355 684 4,194
Custodial fees .................. 38 27 65 21 31 22 150
Recordkeeping fees .............. 83 69 81 32 36 19 129
Trustees fees ................... 6 4 5 2 3 1 8
Legal fees ...................... 6 3 6 2 3 2 9
Printing expenses ............... 20 11 16 5 10 4 27
Insurance expenses .............. 7 4 6 2 4 2 10
Other ........................... 72 18 27 6 14 7 45
------------------------------------------------------------------------------------------------
Total Expenses .................. 1,753 1,602 2,262 716 1,456 741 4,572
------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) .... 20,660 19,302 19,642 5,802 451 (110) 2,890
------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN
(LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from
security transactions .......... 3,142 2,175 743 27,222 (1,437) 36,980
Net realized gain from futures
contracts ...................... 4,152 2,259 56
Net realized foreign exchange
gain ........................... 428 109 1,722
------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) on
Investments and Foreign
Currency Transactions .......... 3,142 6,755 3,111 27,222 (1,437) 38,758
------------------------------------------------------------------------------------------------
Net unrealized appreciation
(depreciation) on investments... (924) 6,977 770 23,329 5,339 14,897
Net unrealized appreciation on
futures contracts .............. 1,083 333
Net unrealized foreign exchange
gain (loss) .................... 222 69 (4)
------------------------------------------------------------------------------------------------
Net Unrealized Gain (Loss) on
Investments and Foreign
Currency Transactions ......... (924) 8,282 1,172 23,329 5,339 14,893
------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED
GAIN ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS .. 2,218 15,037 4,283 50,551 3,902 53,651
------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS ...... $20,660 $21,520 $34,679 $10,085 $51,002 $ 3,792 $56,541
================================================================================================
</TABLE>
See Notes to Financial Statements
A-14
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1997
(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 .... $ 9,273 $ 2,558 $ 2,163 $ 10,571 $ 15,529 $ 1,285
Interest .................................... 777 8,831 1,459 $ 6,899 877 2,587 472
Other ....................................... 2 25 32
--------------------------------------------------------------------------------
Total Investment Income ..................... 10,050 11,389 3,624 6,899 11,448 18,141 1,789
--------------------------------------------------------------------------------
EXPENSES
Advisory fees ............................... 4,063 1,866 1,819 569 1,081 5,353 868
Custodial fees .............................. 68 58 27 10 85 724 224
Recordkeeping fees .......................... 136 63 68 29 140 160 42
Trustees fees ............................... 10 4 4 1 9 16 1
Legal fees .................................. 9 5 5 2 9 41 2
Printing expenses ........................... 29 14 13 5 27 85 4
Insurance expenses .......................... 11 5 5 2 11 12 1
Other ....................................... 48 21 21 5 49 132 16
--------------------------------------------------------------------------------
Total Expenses .............................. 4,374 2,036 1,962 623 1,411 6,523 1,158
--------------------------------------------------------------------------------
NET INVESTMENT INCOME ....................... 5,676 9,353 1,662 6,276 10,037 11,618 631
--------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss) from security
transactions ............................... 109,959 30,457 22,274 245 6,168 64,106 (9,420)
Net realized gain from futures contracts .... 36 1,994
Net realized foreign exchange gain (loss) ... 10 (583) (118)
--------------------------------------------------------------------------------
Net Realized Gain (Loss) on Investments and
Foreign Currency Transactions .............. 109,959 30,503 22,274 245 8,162 63,523 (9,538)
--------------------------------------------------------------------------------
Net unrealized appreciation (depreciation)
on investments ............................. 28,343 10,107 18,430 8,892 143,741 (38,341) 3,437
Net unrealized appreciation on futures
contracts .................................. 39 264
Net unrealized foreign exchange gain
(loss) ..................................... (3) 5,683 (8)
--------------------------------------------------------------------------------
Net Unrealized Gain (Loss) on Investments
and Foreign Currency Transactions .......... 28,343 10,143 18,430 8,892 144,005 (32,658) 3,429
--------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY
TRANSACTIONS ............................... 138,302 40,646 40,704 9,137 152,167 30,865 (6,109)
--------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS .................. $143,978 $49,999 $42,366 $15,413 $162,204 $ 42,483 $(5,478)
================================================================================
</TABLE>
See Notes to Financial Statements
A-15
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1997
(In thousands)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Agressive 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) ....... $ 20,660 $ 19,302 $ 19,642 $ 5,802 $ 451 $ (110) $ 2,890
Net realized gain (loss) on
investments and foreign currency
transactions ...................... 3,142 6,755 3,111 27,222 (1,437) 38,758
Net unrealized appreciation
(depreciation) on investments and
foreign currency transactions ..... (924) 8,282 1,172 23,329 5,339 14,893
---------------------------------------------------------------------------------------
Net Increase In Net Assets
Resulting From Operations ......... 20,660 21,520 34,679 10,085 51,002 3,792 56,541
---------------------------------------------------------------------------------------
Net Equalization Credits ........... 1,437 2,059 4,541 317 90 76
---------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income .............. (20,660) (19,302) (19,640) (5,801) (452) (2,942)
Capital gains ...................... (1,910) (954) (19,532) (22,869)
---------------------------------------------------------------------------------------
Net Decrease In Net Assets
Resulting From Distributions To
Shareholders ...................... (20,660) (21,212) (20,594) (5,801) (19,984) (25,811)
---------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ....... 690,898 162,156 195,944 45,249 69,253 110,504 235,290
Dividend reinvestments ............. 20,507 20,906 20,178 5,754 19,942 25,808
Cost of shares repurchased ......... (583,530) (59,048) (26,443) (23,246) (41,803) (41,393) (52,911)
---------------------------------------------------------------------------------------
Net Increase In Net Assets Derived
From Capital Share Transactions ... 127,875 124,014 189,679 27,757 48,112 69,111 208,187
---------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS ......... 129,312 126,381 208,305 32,358 79,220 72,903 238,993
---------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year .................. 322,193 184,744 260,270 97,542 167,335 49,849 438,154
---------------------------------------------------------------------------------------
End of Year ........................ $ 451,505 $311,125 $468,575 $129,900 $246,555 $122,752 $677,147
=======================================================================================
</TABLE>
See Notes to Financial Statements.
A-16
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1997
(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 ................... $ 5,676 $ 9,353 $ 1,662 $ 6,276 $ 10,037 $ 11,618 $ 631
Net realized gain (loss) on investments
and foreign currency transactions ..... 109,959 30,503 22,274 245 8,162 63,523 (9,538)
Net unrealized appreciation
(depreciation) on investments and
foreign currency transactions ......... 28,343 10,143 18,430 8,892 144,005 (32,658) 3,429
---------------------------------------------------------------------------------------
Net Increase (Decrease) In Net Assets
Resulting From Operations ............. 143,978 49,999 42,366 15,413 162,204 42,483 (5,478)
---------------------------------------------------------------------------------------
Net Equalization Credits ................ 568 798 51 67 1,230 5,783 347
---------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ................... (5,679) (9,350) (1,662) (5,976) (10,035) (13,090) (485)
Capital gains ........................... (32,179) (13,352) (8,550) (1,251) (18,953) (10,845)
---------------------------------------------------------------------------------------
Net Decrease In Net Assets Resulting
From Distributions To Shareholders .... (37,858) (22,702) (10,212) (7,227) (28,988) (23,935) (485)
---------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares ............ 278,009 109,696 120,828 36,207 411,759 397,019 121,955
Dividend reinvestments .................. 37,734 22,563 10,208 7,213 28,899 23,584 483
Cost of shares repurchased .............. (45,581) (18,845) (52,995) (20,976) (94,380) (134,917) (61,480)
---------------------------------------------------------------------------------------
Net Increase In Net Assets Derived
From Capital Share Transactions ....... 270,162 113,414 78,041 22,444 346,278 285,686 60,958
---------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS .............. 376,850 141,509 110,246 30,697 480,724 310,017 55,342
---------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year ....................... 429,262 225,619 207,897 81,810 393,412 454,019 44,083
---------------------------------------------------------------------------------------
End of Year ............................. $806,112 $367,128 $318,143 $112,507 $874,136 $ 764,036 $ 99,425
=======================================================================================
</TABLE>
See Notes to Financial Statements
A-17
<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 Agressive 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-18
<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-19
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR WERE AS FOLLOWS:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------
INVESTMENT ACTIVITIES DISTRIBUTIONS
- --------------------------------------------------------------------------------------------------------------------------------
NET ASSET NET REALIZED TOTAL DIVIDENDS
VALUE, NET AND UNREALIZED FROM (FROM NET DISTRIBUTIONS
FOR THE YEAR ENDED BEGINNING INVESTMENT GAIN (LOSS) INVESTMENT INVESTMENT (FROM CAPITAL TOTAL
DECEMBER 31, OF YEAR INCOME ON SECURITIES OPERATIONS INCOME) GAINS) DISTRIBUTIONS
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
1997 $10.04 $0.51 $0.01 $0.52 $(0.50) - $(0.50)
1996 10.02 0.47 0.02 0.49 (0.47) - (0.47)
1995 10.03 0.54 - 0.54 (0.55) - (0.55)
1994 9.99 0.33 0.04 0.37 (0.33) - (0.33)
1993 9.96 0.23 0.03 0.26 (0.23) - (0.23)
- ----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
1997 $9.94 $0.78 $0.12 $0.90 $(0.77) $(0.09) $(0.86)
1996 9.79 0.79 0.25 1.04 (0.79) (0.10) (0.89)
1995 8.91 0.76 0.88 1.64 (0.76) - (0.76)
1994 9.67 0.73 (0.70) 0.03 (0.73) (0.06) (0.79)
1993 9.24 0.86 0.77 1.63 (0.86) (0.34) (1.20)
- ----------------------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
1997 $10.75 $0.59 $0.44 $1.03 $(0.60) $(0.04) $(0.64)
1996 11.10 0.59 (0.15) 0.44 (0.57) (0.22) (0.79)
1995 9.90 0.65 1.19 1.84 (0.64) - (0.64)
1994 10.89 0.50 (0.98) (0.48) (0.50) (0.01) (0.51)
1993 10.62 0.52 0.70 1.22 (0.52) (0.43) (0.95)
- ----------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES
- ---------------------
PORTFOLIO
- ---------
1997 $10.38 $0.53 $0.42 $0.95 $(0.55) - $(0.55)
1996 10.84 0.56 (0.27) 0.29 (0.53) $(0.22) (0.75)
1995 9.64 0.58 1.19 1.77 (0.57) - (0.57)
1994 10.64 0.44 (0.99) (0.55) (0.44) (0.01) (0.45)
1993 10.48 0.34 0.78 1.12 (0.34) (0.62) (0.96)
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO
- ----------------
1997 $21.45 $0.05 $5.65 $5.70 $(0.05) $(2.49) $(2.54)
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)
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- ----------------------------------------------------------------------------------------------------------------------------------
RATIO OF
NET
RATIO OF INVESTMENT AVERAGE
NET ASSET NET ASSETS, EXPENSES INCOME TO PORTFOLIO COMMISSIONS
FOR THE YEAR ENDED VALUE, END OF YEAR TO AVERAGE AVERAGE TURNOVER PAID PER SHARE
DECEMBER 31, END OF YEAR TOTAL RETURN (IN THOUSANDS) NET ASSETS NET ASSETS RATE (1)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
1997 10.06 5.28% $451,505 0.44% 5.17% N/A N/A
1996 10.04 5.07% 322,193 0.50% 4.93% N/A N/A
1995 10.02 5.54% 95,949 0.53% 5.41% N/A N/A
1994 10.03 3.76% 94,150 0.64% 3.94% N/A N/A
1993 9.99 2.58% 33,910 0.65% 2.56% N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND
- ---------------
PORTFOLIO
- ---------
1997 $9.98 9.44% $311,125 0.65% 7.89% 103.19% N/A
1996 9.94 11.31% 184,744 0.71% 8.28% 120.06% N/A
1995 9.79 18.87% 84,425 0.77% 8.51% 127.31% N/A
1994 8.91 0.42% 25,338 0.88% 8.13% 141.86% N/A
1993 9.67 18.01% 16,017 0.75% 8.37% 185.83% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
1997 $11.14 9.92% $468,575 0.66% 5.72% 230.87% N/A
1996 10.75 4.25% 260,270 0.71% 5.71% 386.16% N/A
1995 11.10 19.04% 126,992 0.76% 6.04% 191.39% N/A
1994 9.90 (4.36)% 53,219 0.84% 5.04% 127.95% N/A
1993 10.89 11.63% 43,116 0.75% 4.74% 163.11% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES
- ---------------------
PORTFOLIO
- ---------
1997 $10.78 9.48% $129,900 0.66% 5.39% 203.01% N/A
1996 10.38 2.94% 97,542 0.72% 5.33% 307.13% N/A
1995 10.84 18.81% 59,767 0.82% 5.58% 298.81% N/A
1994 9.64 (5.10)% 21,489 0.88% 4.29% 232.99% N/A
1993 10.64 10.79% 23,584 0.75% 3.15% 402.37% N/A
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH PORTFOLIO
- ----------------
1997 $24.61 30.27% $246,555 0.70% 0.22% 52.20% $0.044
1996 21.45 23.62% 167,335 0.76% 0.44% 70.22% 0.047
1995 18.57 25.75% 129,741 0.79% 0.88% 46.76% 0.052
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
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on A-22
A-20
<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 DIVIDENDS
NET ASSET NET UNREALIZED TOTAL (FROM DISTRIBUTIONS
VALUE, INVESTMENT GAIN (LOSS) FROM NET (FROM
FOR THE YEAR ENDED BEGINNING INCOME ON INVESTMENT INVESTMENT CAPITAL RETURN OF
DECEMBER 31, OF YEAR (LOSS) SECURITIES OPERATIONS INCOME) GAINS) CAPITAL
- -----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1997 $10.78 $(0.01) $ 0.41 $ 0.40 - - -
1996 (2) 10.00 0.01 0.78 0.79 $(0.01) - -
- -----------------------------------------------------------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
1997 $16.50 $ 0.16 $ 1.51 $ 1.67 $(0.09) $(0.77) -
1996 14.12 0.14 2.37 2.51 (0.13) - -
1995 11.11 0.10 3.96 4.06 (0.10) (0.95) -
1994 (3) 10.00 0.10 1.21 1.31 (0.12) (0.08) -
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
1997 $20.45 $ 0.20 $ 5.35 $ 5.55 $(0.20) $(1.33) -
1996 18.21 0.24 3.15 3.39 (0.24) (0.91) -
1995 14.05 0.26 4.16 4.42 (0.26) - -
1994 15.52 0.20 (0.25) (0.05) (0.20) (1.22) -
1993 15.11 0.26 0.98 1.24 (0.26) (0.57) -
- -----------------------------------------------------------------------------------------------------------------------------------
MULTI-STRATEGY PORTFOLIO
- ------------------------
1997 $14.75 $ 0.50 $ 2.23 $ 2.73 $(0.50) $(0.80) -
1996 14.20 0.48 1.20 1.68 (0.48) (0.65) -
1995 11.73 0.45 2.47 2.92 (0.45) - -
1994 12.66 0.32 (0.51) (0.19) (0.32) (0.42) -
1993 12.18 0.35 0.77 1.12 (0.35) (0.29) -
- -----------------------------------------------------------------------------------------------------------------------------------
EQUITY PORTFOLIO
- ----------------
1997 $21.07 $ 0.14 $ 3.58 $ 3.72 $(0.13) $(0.77) -
1996 17.52 0.02 4.71 4.73 (0.02) (1.16) -
1995 14.20 0.05 3.33 3.38 (0.06) - -
1994 14.94 0.32 (0.74) (0.42) (0.32) - -
1993 14.39 0.22 1.90 2.12 (0.22) (0.81) $(0.54)
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS RATIOS / SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------
RATIO OF NET
INVESTMENT
RATIO OF INCOME
NET ASSET NET ASSETS, EXPENSES TO (LOSS) TO
FOR THE YEAR ENDED TOTAL VALUE, TOTAL END OF YEAR AVERAGE NET AVERAGE NET
DECEMBER 31, DISTRIBUTIONS END OF YEAR RETURN (IN THOUSANDS) ASSETS (4) ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------------
<S> <C> <C> <C> <C> <C> <C>
1997 - $11.18 3.78% $122,752 0.86% (0.13)%
1996 (2) $(0.01) 10.78 7.86% 49,849 1.02% (0.11)%
- ------------------------------------------------------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
1997 $(0.86) $17.31 10.96% $677,147 0.82% 0.52%
1996 (0.13) 16.50 17.87% 438,154 0.87% 0.74%
1995 (1.05) 14.12 36.75% 200,785 0.94% 0.90%
1994 (3) (0.20) 11.11 13.25% 49,374 1.08% 1.32%
- ------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
1997 $(1.53) $24.47 28.60% $806,112 0.70% 0.91%
1996 (1.15) 20.45 19.43% 429,262 0.75% 1.31%
1995 (0.26) 18.21 31.66% 206,653 0.83% 1.59%
1994 (1.42) 14.05 (0.28)% 75,083 0.94% 1.39%
1993 (0.83) 15.52 8.29% 33,356 0.75% 1.74%
- ------------------------------------------------------------------------------------------------------------------------------
MULTI-STRATEGY PORTFOLIO
- ------------------------
1997 $(1.30) $16.18 19.62% $367,128 0.71% 3.25%
1996 (1.13) 14.75 12.56% 225,619 0.78% 3.37%
1995 (0.45) 14.20 25.25% 134,501 0.84% 3.49%
1994 (0.74) 11.73 (1.50)% 79,147 0.94% 2.78%
1993 (0.64) 12.66 9.25% 41,448 0.75% 3.01%
- ------------------------------------------------------------------------------------------------------------------------------
EQUITY PORTFOLIO
- ----------------
1997 $(0.90) $23.89 18.18% $318,143 0.70% 0.59%
1996 (1.18) 21.07 28.03% 207,897 0.74% 0.05%
1995 (0.06) 17.52 23.80% 108,136 0.80% 0.27%
1994 (0.32) 14.20 (2.87)% 73,125 0.96% 2.19%
1993 (1.57) 14.94 16.06% 84,791 0.93% 1.52%
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- -------------------------------------------------------------------------
FOR THE YEAR ENDED PORTFOLIO AVERAGE COMMISSIONS
DECEMBER 31, TURNOVER RATE PAID PER SHARE (1)
- -------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------------
<S> <C> <C>
1997 189.21% $0.054
1996 (2) 79.86% 0.051
- -------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
1997 145.17% $0.046
1996 147.02% 0.045
1995 165.83% 0.052
1994 (3) 257.20% N/A
- -------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
1997 105.93% $0.045
1996 94.95% 0.048
1995 86.47% 0.048
1994 134.57% N/A
1993 27.67% N/A
- -------------------------------------------------------------------------
MULTI-STRATEGY PORTFOLIO
- ------------------------
1997 71.89% $0.045
1996 132.94% 0.048
1995 176.45% 0.048
1994 187.40% N/A
1993 27.87% N/A
- -------------------------------------------------------------------------
EQUITY PORTFOLIO
- ----------------
1997 159.88% $0.060
1996 90.98% 0.060
1995 226.45% 0.060
1994 178.63% N/A
1993 229.77% N/A
- -------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on A-22
A-21
<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
NET REALIZED
ASSET VALUE, NET AND UNREALIZED TOTAL DIVIDENDS (FROM DISTRIBUTIONS
FOR THE YEAR ENDED BEGINNING INVESTMENT GAIN (LOSS) FROM INVESTMENT NET INVESTMENT FROM CAPITAL
DECEMBER 31, OF YEAR INCOME (LOSS) ON SECURITIES OPERATIONS INCOME) (5) GAINS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
BOND AND INCOME PORTFOLIO
- -------------------------
1997 $12.05 $ 0.80 $ 1.05 $ 1.85 $(0.76) $(0.17)
1996 13.02 0.79 (0.94) (0.15) (0.79) (0.03)
1995 10.42 0.82 2.59 3.41 (0.81) -
1994 13.05 0.83 (1.87) (1.04) (0.83) (0.53)
1993 11.70 0.87 1.35 2.22 (0.87) -
- ------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
1997 $20.42 $ 0.37 $ 6.13 $ 6.50 $(0.37) $(0.84)
1996 17.45 0.37 3.42 3.79 (0.37) (0.45)
1995 13.02 0.34 4.43 4.77 (0.34) -
1994 13.24 0.30 (0.18) 0.12 (0.30) (0.04)
1993 12.43 0.29 0.86 1.15 (0.29) (0.05)
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
- -----------------------
1997 $15.40 $ 0.41 $ 1.00 $ 1.41 $(0.29) $(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) -
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
1997 $ 9.68 $ 0.06 $(0.22) $(0.16) $(0.05) -
1996 (2) 10.00 (0.02) (0.30) (0.32) - -
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
NET RATIO OF RATIO OF
NET ASSETS, EXPENSES NET INVESTMENT
FOR THE YEAR ENDED RETURN OF TOTAL ASSET VALUE, TOTAL END OF YEAR TO AVERAGE INCOME TO AVERAGE
DECEMBER 31, CAPITAL DISTRIBUTIONS END OF YEAR RETURN (IN THOUSANDS) NET ASSETS (4) NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1997 - $(0.93) $12.97 16.32% $112,507 0.66% 6.62%
1996 - (0.82) 12.05 (0.80)% 81,810 0.71% 6.74%
1995 - (0.81) 13.02 33.71% 56,853 0.80% 6.93%
1994 $(0.23) (1.59) 10.42 (8.36)% 34,078 0.93% 7.25%
1993 - (0.87) 13.05 19.39% 43,223 0.84% 6.86%
- ------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
1997 - $(1.21) $25.71 32.96% $874,136 0.23% 1.61%
1996 - (0.82) 20.42 22.36% 393,412 0.31% 2.05%
1995 - (0.34) 17.45 36.92% 137,519 0.42% 2.26%
1994 - (0.34) 13.02 1.05% 40,612 0.51% 2.37%
1993 - (0.34) 13.24 9.38% 33,836 0.50% 2.34%
- ------------------------------------------------------------------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
- -----------------------
1997 - $(0.60) $16.21 9.28% $764,036 1.02% 1.81%
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%
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
1997 - $(0.05) $ 9.47 (1.69)% $ 99,425 1.46% 0.80%
1996 (2) - - 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 (1)
- -------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
<S> <C> <C>
1997 15.32% N/A
1996 26.50% N/A
1995 51.84% N/A
1994 31.97% N/A
1993 41.92% N/A
- -------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
1997 2.58% $0.022
1996 20.28% 0.024
1995 7.52% 0.026
1994 2.02% N/A
1993 1.15% N/A
- -------------------------------------------------------------------------
INTERNATIONAL PORTFOLIO
- -----------------------
1997 84.34% $0.004
1996 20.87% 0.001
1995 16.07% 0.018
1994 52.22% N/A
1993 46.48% N/A
- -------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
1997 69.60% $0.002
1996 (2) 47.63% 0.001
- -------------------------------------------------------------------------
</TABLE>
(1) Brokerage commissions paid on portfolio transactions increase the cost
of securities purchased or reduce the proceeds of securities sold, and
are not reflected separately in the Fund's statements of operations.
Fixed-income transactions are excluded.
(2) 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.
(3) 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.
(4) 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.
(5) 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-22
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
COMMERCIAL PAPER - 99.99%
Allied Signal Inc
5.830% due 01/13/98 $10,000,000 $ 9,980,567
6.050% due 01/06/98 ~ 1,300,000 1,298,908
American General Finance
5.810% due 01/08/98 13,500,000 13,484,749
American Greetings Corp
5.810% due 01/12/98 8,000,000 7,985,798
Americredit Auto
5.790% due 06/12/98 2,267,819 2,267,819
Assoc Manufactured Housing
5.670% due 10/15/98 7,070,555 7,070,555
Avnet Inc
5.750% due 02/09/98 5,000,000 4,968,854
5.820% due 02/13/98 5,000,000 4,965,242
Baltimore Gas & Electric
5.870% due 01/16/98 7,000,000 6,982,879
5.970% due 01/13/98 6,200,000 6,187,662
BankAmerica Manufacture Trust III
5.825% due 12/10/98 14,447,661 14,447,661
Bemis Co Inc
5.920% due 01/21/98 15,000,000 14,950,667
Cincinnati Bell Inc
5.900% due 01/13/98 ~ 5,000,000 4,990,167
Copelco Cap Fund
5.809% due 07/20/98 6,938,358 6,938,358
Dayton Power & Light Co
5.900% due 01/14/98 7,000,000 6,985,086
6.250% due 01/06/98 13,000,000 12,988,715
Dow Jones & Co
6.130% due 01/07/98 7,900,000 7,891,929
Duquesne Light Co 1st Mtg
6.150% due 02/12/98 5,000,000 5,000,976
Eaton Corp
5.850% due 01/14/98 ~ 10,000,000 9,978,875
Equitable Resources
5.815% due 01/16/98 ~ 13,500,000 13,467,291
5.900% due 01/21/98 ~ 5,000,000 4,983,611
FHLB Reset Note
5.263% due 03/06/98 15,000,000 14,998,334
Fluor Corp
5.880% due 01/15/98 10,380,000 10,356,264
Ford Credit Auto
5.748% due 10/15/98 11,360,425 11,360,425
Ford Motor Credit Co
5.800% due 01/05/98 10,000,000 9,993,556
5.820% due 01/07/98 5,000,000 4,995,150
6.000% due 01/06/98 5,000,000 4,995,833
GE Capital
5.830% due 01/09/98 10,000,000 9,987,044
5.880% due 01/15/98 10,000,000 9,977,133
Greentree Manufactured Housing
5.889% due 05/15/98 2,357,276 2,357,276
Heller Equipment Trust
5.733% due 09/25/98 6,644,460 6,644,460
Hyundai Motor
5.720% due 01/12/98 6,000,000 5,989,513
5.870% due 01/07/98 10,000,000 9,990,217
Johnson Controls Inc
5.920% due 01/20/98 ~ 15,000,000 14,953,133
Michigan Csd Gas Co
5.720% due 01/09/98 5,000,000 4,993,644
Monsanto Co
6.250% due 01/09/98 ~ 10,000,000 9,986,111
New England Power Co
6.150% due 01/08/98 1,500,000 1,498,206
Northern Indiana Public Service
5.850% due 01/21/98 5,500,000 5,482,125
Parker-Hannifin Corp
6.200% due 01/05/98 350,000 349,759
PHH Co
5.628% due 07/27/98 20,000,000 20,001,056
Questar Corp
5.770% due 01/23/98 12,000,000 11,957,687
5.850% due 01/27/98 8,000,000 7,966,200
Rubbermaid Inc
5.750% due 01/20/98 ~ 15,000,000 14,954,479
Sherwin-Williams Co
5.850% due 01/06/98 ~ 5,000,000 4,995,937
Snap On Tools Corp
5.800% due 01/20/98 ~ 10,000,000 9,969,389
5.900% due 01/22/98 ~ 5,000,000 4,982,792
Societe Generale N.A.
6.000% due 01/15/98 10,900,000 10,874,567
Southwest Public Service
5.700% due 01/09/98 10,000,000 9,987,333
5.900% due 01/30/98 7,000,000 6,966,731
Triangle Fund
5.000% due 11/15/98 20,000,000 20,000,000
Union Accept Trust
6.210% due 09/10/98 1,981,726 1,981,726
Warner-Lambert Co
6.600% due 01/02/98 900,000 899,835
Weyerhaeuser Re
5.800% due 01/16/98 8,000,000 7,980,667
WFS Financial Auto Trust
5.910% due 12/20/98 10,000,000 9,999,063
--------------
Total Commercial Paper 450,242,014
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-23
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments (Continued)
December 31, 1997
- ---------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchase price
of $34,008; collateralized by U.S.
Treasury Notes - market value
$35,272 and due 01/31/01) $34,000 $ 34,000
-------------
Total Securities Held Under Repurchase 34,000
-------------
Agreement
Total Short-Term Investments 450,276,014
-------------
at Amortized Cost
TOTAL MONEY MARKET PORTFOLIO $ 450,276,014
-------------
(COST $450,276,014)
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-24
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 0.04%
CONSUMER DISCRETIONARY - 0.04%
Globalstar Telecommunications
Warrants * 1,250 $ 127,500
--------------
127,500
--------------
HEALTH CARE - 0.00%
Crescendo Pharmaceuticals Corp * 363 4,197
--------------
4,197
--------------
Total Common Stocks (Cost $4,174) 131,697
--------------
PREFERRED STOCKS - 0.56%
CONSUMER DISCRETIONARY - 0.56%
Cablevision Systems PIK 'M' 9,213 1,066,440
Time Warner 5,940 652,500
--------------
Total Preferred Stocks (Cost $1,260,016) 1,718,940
--------------
CONVERTIBLE PREFERRED STOCKS - 0.31%
CONSUMER DISCRETIONARY - 0.18%
Hilton Hotels 20,000 562,500
--------------
562,500
--------------
Technology - 0.13%
Elsag Bailey ~ 10,000 397,500
--------------
397,500
--------------
Total Convertible Preferred Stocks (Cost $813,700) 960,000
--------------
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 66.72%
CAPITAL GOODS - 4.91%
BE Aerospace
9.750% due 03/01/03 $1,500,000 1,578,750
9.875% due 02/01/06 3,500,000 3,710,000
Imperial Holly Corp
9.750% due 12/15/07 ~ 1,500,000 1,516,875
K&F Industries
9.250% due 10/15/07 ~ 1,000,000 1,030,000
Portola Packaging
10.750% due 10/01/05 1,020,000 1,078,650
Scotsman Industries
8.625% due 12/15/07 1,500,000 1,511,250
United Defense Industries Inc
8.750% due 11/15/07 ~ $4,000,000 $ 4,045,000
Westinghouse Air Brake
9.375% due 06/15/05 500,000 522,500
--------------
14,993,025
--------------
Consumer Discretionary - 27.82%
Ameriserve Food Distribution
8.875% due 10/15/06 ~ 2,000,000 2,020,000
10.125% due 07/15/07 1,000,000 1,055,000
Cablevision Systems Corp
7.875% due 12/15/07 1,500,000 1,537,500
8.125% due 08/15/09 ~ 1,500,000 1,552,500
9.875% due 05/15/06 2,000,000 2,175,000
Capstar Hotel
8.750% due 08/15/07 ~ 1,500,000 1,552,500
Comcast Corp
9.1258% due 10/15/06 1,500,000 1,627,500
Fox Kids Worldwide
9.250% due 11/01/07 ~ 3,000,000 2,917,500
Fox Liberty Net
8.875% due 08/15/07 ~ 3,000,000 3,015,000
Garden State Newspapers
8.750% due 10/01/09 ~ 2,000,000 2,017,500
Globalstar Telecommunications
10.750% due 11/01/04 ~ 1,500,000 1,470,000
11.250% due 06/15/04 1,000,000 1,007,500
11.375% due 02/15/04 1,250,000 1,268,750
Gray Communications System
10.625% due 10/01/06 1,000,000 1,087,500
Hammons Hotels (John Q.)
8.875% due 02/15/04 500,000 513,750
9.750% due 10/01/05 3,000,000 3,180,000
Harrahs Operating Inc
8.750% due 03/15/00 1,000,000 1,025,000
HMH Properties
8.875% due 07/15/07 1,000,000 1,055,000
Hollinger International Publishing
8.625% due 03/15/05 2,000,000 2,080,000
9.250% due 02/01/06 500,000 527,500
Holmes Products
9.875% due 11/15/01 ~ 1,000,000 1,022,500
Interface Inc
9.500% due 11/15/05 3,000,000 3,225,000
Intermedia Communications
8.500% due 01/15/08 ~ 5,000,000 5,025,000
8.875% due 11/01/07 ~ 4,000,000 4,130,000
Jacor Communications
8.750% due 06/15/07 1,000,000 1,022,500
Katz Media Corp
10.500% due 01/15/07 1,500,000 1,661,250
K-III Communications
8.500% due 02/01/06 2,500,000 2,550,000
Lenfest Communications Inc
8.375% due 11/01/05 1,500,000 1,545,000
Loewen Group International Inc
8.250% due 10/15/03 2,000,000 2,125,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-25
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
Optel Inc
13.000% due 02/15/05 $ 500,000 $ 532,500
Pegasus Communication 'A'
9.625% due 10/15/05 ~ 1,000,000 1,030,000
Pillowtex Corp
9.000% due 12/15/07 ~ 500,000 515,000
Prime Hospitality
9.750% due 04/01/07 3,000,000 3,217,500
RCN Corp
10.000% due 10/15/07 ~ 1,000,000 1,042,500
Rose Hills Acquisition Corp
9.500% due 11/15/04 3,500,000 3,657,500
SCI Television
11.000% due 06/30/05 1,000,000 1,033,130
Showboat Inc
9.250% due 05/01/08 1,500,000 1,605,000
Sinclair Broadcasting
8.750% due 12/15/07 1,000,000 1,005,000
9.000% due 07/15/07 3,000,000 3,075,000
Sprint Spectrum
11.000% due 08/15/06 2,350,000 2,655,500
Station Casino
9.625% due 06/01/03 2,000,000 2,080,000
Sun International
9.000% due 03/15/07 2,000,000 2,065,000
Teleport Communications
9.875% due 07/01/06 3,000,000 3,382,500
Viacom International Inc
10.250% due 09/15/01 1,000,000 1,101,815
Young Broadcasting
8.750% due 06/15/07 2,000,000 1,990,000
--------------
84,979,195
--------------
CONSUMER STAPLES - 4.13%
Aurora Foods
9.875% due 02/15/07 ~ 2,000,000 2,120,000
B&G Foods Inc
9.625% due 08/01/07 ~ 1,000,000 1,012,500
Chiquita Brands International Inc
9.125% due 03/01/04 500,000 521,250
10.250% due 11/01/06 1,500,000 1,642,500
Quality Food Centers
8.700% due 03/15/07 3,500,000 3,771,250
Ralphs Grocery Corp
10.450% due 06/15/04 2,000,000 2,265,000
Southland Corp
5.000% due 12/15/03 1,500,000 1,295,625
--------------
12,628,125
--------------
ENERGY - 8.13%
Armco Inc
9.000% due 09/15/07 1,500,000 1,466,250
California Energy Inc
9.875% due 06/30/03 1,500,000 1,628,588
10.250% due 01/15/04 1,000,000 1,091,635
Calpine Corp
8.750% due 07/15/07 ~ 1,000,000 1,025,000
10.500% due 05/15/06 1,500,000 1,635,000
Clark R&M Inc
8.875% due 11/15/07 ~ 1,500,000 1,522,500
Cross Timbers Oil Co
8.750% due 11/01/09 ~ 1,500,000 1,531,875
DI Industries
8.875% due 07/01/07 3,500,000 3,640,000
Falcon Drilling Co
8.875% due 03/15/03 500,000 526,875
Ferrellgas Partners L.P.
9.375% due 06/15/06 2,000,000 2,120,000
Forcenergy Inc
8.500% due 02/15/07 3,000,000 3,037,500
Giant Industries
9.000% due 09/01/07 ~ 1,000,000 1,000,000
9.750% due 11/15/03 2,000,000 2,045,000
Trico Marine Services
8.500% due 08/01/05 ~ 2,000,000 2,037,500
Vintage Petroleum
8.625% due 02/01/09 500,000 523,750
--------------
24,831,473
--------------
FINANCIAL & BUSINESS SERVICES - 2.59%
Bank United Corp
8.875% due 05/01/07 2,500,000 2,734,375
CEI Citicorp Holdings
9.750% due 02/14/07 ~ 1,500,000 1,428,750
Iron Mountain Inc
8.750% due 09/30/09 ~ 1,000,000 1,027,500
10.125% due 10/01/06 2,000,000 2,210,000
Salomon Inc Mtn
6.100% due 06/15/00 250,000 249,255
7.240% due 05/27/03 250,000 257,598
--------------
7,907,478
--------------
HEALTH CARE - 8.32%
Dade International Inc
11.125% due 05/01/06 1,500,000 1,668,750
Genesis Health Care Ventures Inc
9.250% due 10/01/06 4,000,000 4,095,000
9.750% due 06/15/05 500,000 521,250
Integrated Health
9.250% due 01/15/08 ~ 2,000,000 2,040,000
9.500% due 09/15/07 ~ 2,000,000 2,060,000
10.250% due 04/30/06 3,000,000 3,195,000
Magellan Health Services
11.250% due 04/15/04 1,000,000 1,113,750
Paragon Health Networks
9.500% due 11/01/07 ~ 4,000,000 4,010,000
Tenet Healthcare Corp
8.625% due 12/01/03 1,000,000 1,045,000
8.625% due 01/15/07 3,000,000 3,105,000
10.125% due 03/01/05 500,000 546,875
Vencor Inc
8.625% due 07/15/07 ~ 2,000,000 2,007,500
--------------
25,408,125
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-26
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
MATERIALS & PROCESSING - 5.09%
AK Steel Corp
9.125% due 12/15/06 $3,000,000 $ 3,075,000
LTV Corp
8.200% due 09/15/07 ~ 4,000,000 3,920,000
Nortek Inc
9.125% due 09/01/07 ~ 500,000 510,000
Polymer Group Inc
9.000% due 07/01/07 2,000,000 2,005,000
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,080,000
Silgan Corp
9.000% due 06/01/09 500,000 513,750
Wheeling Pittsburgh
9.250% due 11/15/07 ~ 3,000,000 2,910,000
Wyman-Gordon Co
8.000% due 12/15/07 1,500,000 1,518,750
--------------
15,532,500
--------------
TECHNOLOGY - 0.34%
Dialogic Corp
11.000% due 11/15/07 ~ 1,000,000 1,042,500
--------------
1,042,500
--------------
TRANSPORTATION - 3.26%
Coach USA
9.375% due 07/01/07 ~ 1,500,000 1,539,375
Delco Remy International Inc
10.625% due 08/01/06 ~ 2,000,000 2,145,000
Hayes Wheels International
9.125% due 07/15/07 ~ 1,500,000 1,557,500
Kitty Hawk Inc
9.950% due 11/15/04 ~ 1,000,000 1,010,000
Newport News Shipbuilding
9.250% due 12/01/06 1,500,000 1,595,624
Titan Wheel International
8.750% due 04/01/07 2,000,000 2,105,000
--------------
9,952,499
--------------
UTILITIES - 2.13%
Vanguard Cellular
9.375% due 04/15/06 4,500,000 4,657,500
Worldcom Inc
9.375% due 01/15/04 1,743,000 1,847,562
--------------
6,505,062
--------------
Total Corporate Bonds & Notes
(Cost $198,602,347) 203,779,982
--------------
CONVERTIBLE BONDS - 7.20%
CONSUMER DISCRETIONARY - 0.45%
DSC Communication Corp
7.000% due 08/01/04 ~ $ 500,000 $ 472,500
The Learning Co
5.500% due 11/01/00 1,000,000 887,500
--------------
1,360,000
--------------
CONSUMER STAPLES - 3.06%
AES Corp
8.375% due 08/15/07 1,500,000 1,503,750
8.500% due 11/01/07 ~ 3,000,000 3,015,000
10.250% due 07/15/06 4,000,000 4,350,000
Chiquita Brands International Inc
7.000% due 03/28/01 500,000 475,000
--------------
9,343,750
--------------
FINANCIAL & BUSINESS SERVICES - 2.56%
AC International
0.500% due 07/30/02 1,000,000 882,500
Filinvest Land Inc Corp
3.750% due 08/01/99 2,000,000 1,460,000
FLI Capital
3.750% due 08/01/99 ~ 1,500,000 1,095,000
MBI Finance Ltd
0.000% due 12/18/01 * ~ 1,000,000 552,500
Peregrine Inv
4.500% due 12/01/00 1,000,000 750,000
PIV Investment Finance Gtd
4.500% due 12/01/00 ~ 4,100,000 3,075,000
--------------
7,815,000
--------------
HEALTH CARE - 0.17%
Alza
5.000% due 05/01/06 500,000 523,750
--------------
523,750
--------------
MATERIALS & PROCESSING - 0.70%
Ashanti Capital
5.500% due 03/15/03 2,000,000 1,645,000
FMC Corp Euro
6.750% due 01/16/05 500,000 495,000
--------------
2,140,000
--------------
TECHNOLOGY - 0.26%
Kent Electronics Corp
4.500% due 09/01/04 1,000,000 800,000
--------------
800,000
--------------
Total Convertible Bonds
(Cost $23,442,740) 21,982,500
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-27
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
FOREIGN BONDS - 14.82%
AUSTRALIA - 0.33%
Murrin Murrin
9.375% due 08/31/07 ~ $1,000,000 $ 1,000,000
--------------
1,000,000
--------------
BRAZIL - 0.46%
Globo Communicacoes PT 'B'
10.500% due 12/20/06 ~ 1,500,000 1,417,500
--------------
1,417,500
--------------
CANADA - 4.47%
CF Cable Tv
9.125% due 07/15/07 1,000,000 1,094,015
Doman Industries
9.250% due 11/15/07 ~ 1,000,000 980,000
Hollinger Inc
0.000% due 10/05/13 * 4,000,000 1,540,000
International Semi-Tech
0.000% due 08/15/03 * 3,000,000 1,110,000
MDC Communications
10.500% due 12/01/06 1,500,000 1,593,750
Rogers Cablesystems Limited
9.625% due 08/01/02 500,000 532,500
10.000% due 03/15/05 1,500,000 1,653,750
10.000% due 12/01/07 1,000,000 1,097,500
Rogers Cantel Inc
8.000% due 10/01/07 3,000,000 2,985,000
9.375% due 06/01/08 1,000,000 1,060,000
--------------
13,646,515
--------------
CHINA - 0.55%
Road King Infrastruct
9.500% due 07/15/07 ~ 2,000,000 1,690,000
--------------
1,690,000
--------------
GERMANY - 0.51%
Fresensius Med Care Cap
9.000% due 12/01/06 1,500,000 1,567,500
--------------
1,567,500
--------------
HONG KONG - 1.64%
Guangdong Enterprises
8.875% due 05/22/07 ~ 3,000,000 2,772,930
RHG Finance Corp
8.875% due 10/01/05 2,000,000 2,225,772
--------------
4,998,702
--------------
INDIA - 0.29%
Tata Engineering
7.875% due 07/15/07 ~ 1,000,000 887,085
--------------
887,085
--------------
INDONESIA - 0.54%
PT Indah Kiat Pulp & Paper
10.000% due 07/01/07 $2,000,000 $ 1,660,000
--------------
1,660,000
--------------
KAZAKHSTAN - 0.67%
Republic of Kazakhstan
8.375% due 10/02/02 ~ 2,250,000 2,030,625
--------------
2,030,625
--------------
MEXICO - 1.00%
Fideicomiso Petacalco Trst
10.160% due 12/23/09 ~ 1,000,000 1,025,000
Petro Mexicano
8.850% due 09/15/07 1,000,000 992,500
United Mexican States
9.875% due 01/15/07 1,000,000 1,043,500
--------------
3,061,000
--------------
PHILIPPINES - 2.50%
Filinvest Development Corp Cap
2.500% due 05/15/06 ~ 250,000 157,500
Philippines Long Distance
8.350% due 03/06/17 1,000,000 830,000
9.250% due 06/30/06 3,000,000 2,850,000
Piltel International Holding Corp
1.750% due 07/17/06 1,000,000 710,000
RFM Capital Ltd
2.750% due 05/30/06 ~ 500,000 472,500
Universal Robina
8.375% due 12/19/06 ~ 3,000,000 2,610,000
--------------
7,630,000
--------------
POLAND - 0.62%
Netia Holdings Bv
10.250% due 11/01/07 ~ 2,000,000 1,895,000
--------------
1,895,000
--------------
UNITED KINGDOM - 1.24%
Newsquest Capital PLC
11.000% due 05/01/06 1,500,000 1,687,500
Telewest PLC
9.625% due 10/01/06 2,000,000 2,085,000
--------------
3,772,500
--------------
Total Foreign Bonds
(Cost $45,538,785) 45,256,427
--------------
</TABLE>
See Notes to Financial Statements See Explanation of Symbols on A-65
A-28
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY NOTES - 1.97%
5.875% due 11/30/01 $6,000,000 $ 6,025,298
--------------
Total U.S. Treasury Notes (Cost $5,895,504) 6,025,298
--------------
Total Investments in Securities
at Market value (Cost $275,557,266) 279,854,844
--------------
COMMERCIAL PAPER - 8.36%
Baltimore Gas & Electric
5.970% due 01/13/98 300,000 299,403
Dow Jones & Co
6.130% due 01/07/98 ~ 5,000,000 4,994,892
Ford Motor Credit Co
6.110% due 01/05/98 5,000,000 4,996,606
New England Power Co
6.150% due 01/08/98 500,000 499,402
Parker-Hannifin Corp
6.200% due 01/05/98 ~ 1,500,000 1,498,967
Polysindo Pn
9.804% due 07/15/98 3,000,000 2,745,000
Societe Generale N.A.
6.000% due 01/15/98 4,000,000 3,990,666
Warner-Lambert Co
6.600% due 01/02/98 ~ 800,000 799,853
Washington Post Co
6.150% due 01/08/98 ~ 5,700,000 5,693,184
--------------
Total Commercial Paper 25,517,973
--------------
<CAPTION>
VALUE
-----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.02%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97 , repurchase price
of $46,011; collateralized by U.S.
Treasury Notes - market value
$51,447 and due 05/15/16) 46,000 46,000
--------------
Total Securities Held Under Repurchase
Agreement 46,000
--------------
Total Short-Term Investments
at Amortized Cost 25,563,973
--------------
TOTAL HIGH YIELD BOND PORTFOLIO $305,418,817
--------------
(COST $301,230,745)
Notes to Schedule of Investments
(a) At December 31, 1997, the net unrealized
appreciation (depreciation) of investments based
on cost of investments for federal income tax
purposes was as follows:
Tax cost basis $301,230,745
--------------
Aggregate gross unrealized appreciation for
all investments in which there was
an excess of value over tax cost $9,982,498
Aggregate gross unrealized depreciation for
all investments in which there was
an excess of tax cost over value (5,794,426)
--------------
Net unrealized appreciation $ 4,188,072
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-29
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 23.12%
CONSUMER STAPLES - 0.82%
RJR Holdings Capital Corp
8.000% due 07/15/01 $ 3,000,000 $ 3,098,556
RJR Nabisco Inc Mtn
8.625% due 12/01/02 1,000,000 1,066,720
--------------
4,165,276
--------------
FINANCIAL & BUSINESS SERVICES - 12.30%
Advanta Corp `C'
6.384% due 08/07/98 5,000,000 4,985,300
Advanta National Bank FRN
5.980% due 02/10/98 5,500,000 5,494,704
6.069% due 03/19/99 2,000,000 1,973,922
Banamex
9.125% due 04/06/00 2,000,000 2,015,000
Capital One Bank
8.125% due 02/27/98 6,325,000 6,341,380
First USA Bank
6.160% due 03/31/98 10,000,000 10,010,200
Goldman Sachs FRN
6.208% due 12/07/01 ~ 8,000,000 8,000,664
Heller Financial
6.108% due 04/01/99 10,000,000 10,004,600
6.250% due 01/15/99 + 3,400,000 3,405,617
Salomon Inc
5.980% due 02/02/98 5,000,000 4,999,100
7.125% due 08/01/99 1,000,000 1,014,085
7.875% due 05/11/98 2,000,000 2,014,506
9.375% due 04/15/98 2,100,000 2,119,138
--------------
62,378,216
--------------
TECHNOLOGY - 0.80%
TCI Communication Inc
7.250% due 06/15/99 4,000,000 4,047,240
--------------
4,047,240
--------------
TRANSPORTATION - 1.98%
Northwest Airlines
10.530% due 01/15/09 + 5,203,033 5,690,817
UAL Equipment Trust
9.210% due 01/21/17 800,000 952,144
9.560% due 10/19/18 1,650,000 2,062,285
10.850% due 02/19/15 1,000,000 1,337,330
--------------
10,042,576
--------------
UTILITIES - 7.22%
AT&T Corp
6.300% due 12/10/98 12,000,000 12,001,751
6.380% due 08/28/98 8,000,000 8,020,800
Commonwealth Edison
6.000% due 03/15/98 3,000,000 2,999,433
El Paso Electric
7.250% due 02/01/99 800,000 803,956
Long Island Lighting
7.300% due 07/15/99 $ 1,250,000 $ 1,267,012
7.300% due 01/15/00 3,250,000 3,230,175
7.850% due 05/15/99 3,000,000 3,055,455
Texas-New Mexico Power
12.500% due 01/15/99 2,000,000 2,112,860
Toledo Edison
7.460% due 04/03/00 100,000 101,238
9.300% due 04/01/98 3,000,000 3,021,368
--------------
36,614,048
--------------
Total Corporate Bonds & Notes
(Cost $116,288,932) 117,247,356
--------------
MORTGAGE-BACKED SECURITIES - 28.29%
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.11%
Citibank 1988-2
8.000% due 07/25/18 + " 28,180 28,285
Countrywide
6.750% due 05/25/24 " 1,000,000 980,550
8.359% due 11/25/24 + " 273,652 280,750
Paine Weber
6.500% due 03/25/24 " 319,167 318,266
Residential Accredited Loans Inc
7.500% due 03/25/27 + " 1,000,000 1,030,468
Residential Funding Corp
5.988% due 10/25/27 + " 1,153,498 1,154,940
Resolution Trust Corp
7.325% due 06/25/23 + " 179,700 180,374
7.500% due 08/25/23 " 119,384 119,160
8.000% due 04/25/25 + " 1,000,000 1,032,658
Salomon Brothers Mortgage Securities
6.355% due 02/25/27 + " 5,543,092 5,550,020
--------------
10,675,471
--------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 6.96%
7.000% due 01/14/28 # " 7,400,000 7,464,750
7.000% due 02/12/28 # " 25,400,000 25,598,438
7.500% due 09/20/26 " 2,195,929 2,226,459
--------------
35,289,647
--------------
FEDERAL HOUSING AUTHORITY - 2.23%
7.430% due 08/01/21 " 343,163 360,297
7.430% due 02/01/23 " 365,166 383,840
7.430% due 10/01/23 + " 10,185,989 10,566,372
--------------
11,310,509
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 4.65%
6.139% due 08/01/31 " 5,870,709 5,836,864
6.221% due 04/01/27 " 4,793,056 4,779,437
7.149% due 06/01/27 + " 5,176,885 5,258,881
7.618% due 01/01/25 " 1,361,267 1,395,339
7.621% due 01/01/23 " 4,365,821 4,499,007
7.760% due 11/01/23 " 225,110 234,267
7.782% due 12/01/22 " 1,031,315 1,082,944
7.799% due 05/01/23 " 497,406 516,470
--------------
23,603,209
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-30
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 11.83%
6.500% due 11/20/26 " $15,910,760 $ 16,210,358
6.500% due 02/20/27 " 2,841,699 2,914,135
6.500% due 01/22/28 # " 1,680,000 1,662,675
6.875% due 10/20/24 " 1,892,850 1,949,681
6.875% due 11/20/23 " 7,938,904 8,154,517
7.000% due 03/20/24 " 1,800,173 1,857,163
7.000% due 07/20/25 " 3,581,771 3,674,184
7.000% due 07/20/26 " 10,843,882 11,084,529
7.000% due 12/20/26 " 1,753,697 1,791,810
8.000% due 01/22/28 # " 10,000,000 10,365,625
9.000% due 02/15/17 " 102,202 109,387
9.500% due 08/15/17 " 22,896 24,836
9.500% due 04/15/18 " 6,245 6,773
9.500% due 09/15/18 " 129,342 140,270
9.750% due 04/15/98 " 676 682
10.000% due 05/15/19 " 39,542 44,000
--------------
59,990,625
--------------
STUDENT LOAN MORTGAGE ASSOCIATION - 0.51%
6.004% due 04/25/04 " 2,567,853 2,567,853
--------------
2,567,853
--------------
Total Mortgage-Backed Securities
(Cost $141,698,532) 143,437,314
--------------
OTHER ASSET-BACKED SECURITIES - 0.73%
Financial Asset Securities Corp
6.500% due 04/16/03 + " 1,000,000 998,750
GE Capital Mortgage
6.500% due 04/25/24 " 410,952 410,467
Greenwich Capital Mortgage
7.611% due 01/25/22 + " 50,092 50,913
Imperial Savings & Loan
9.900% due 02/25/18 + 59,920 63,476
Ryland Mortgage
7.681% due 11/28/22 + " 795,103 807,775
14.000% due 11/25/31 + " 74,586 82,733
Sears Mortgage
8.666% due 05/25/32 + " 59,187 59,844
Securities Assets Sales Inc
6.500% due 11/25/25 " 1,205,550 1,208,395
--------------
Total Other Asset-Backed Securities
(Cost $3,666,434) 3,682,353
--------------
U.S. TREASURY BONDS - 17.05%
3.625% due 07/15/02 4,941,847 4,920,231
6.000% due 02/15/26 5,050,000 5,044,477
6.500% due 11/15/26 43,900,000 46,876,991
6.625% due 02/15/27 7,500,000 8,142,195
6.750% due 08/15/26 19,525,000 21,501,926
--------------
Total U.S. Treasury Bonds
(Cost $80,683,331) 86,485,820
--------------
U.S. TREASURY STRIPPED - 0.12%
0.000% due 08/15/13 * $ 1,550,000 $ 610,043
--------------
Total U.S. Treasury Stripped
(Cost $523,305) 610,043
--------------
FOREIGN BONDS - 3.81%
GERMANY - 3.81%
Bundes Republic
6.500% due 07/04/27 32,100,000 19,333,715
--------------
Total Foreign Bonds (Cost $19,138,261) 19,333,715
--------------
FOREIGN GOVERNMENT - 2.42%
POLAND - 0.94%
Polish Government Treasury Bills
0.000% due 01/21/98 * 1,410,000 394,640
0.000% due 04/22/98 * 16,580,000 4,376,650
--------------
4,771,290
--------------
MEXICO - 1.48%
United Mexican States Brady Bond
6.250% due 12/31/19 9,000,000 7,504,200
--------------
7,504,200
--------------
Total Foreign Government (Cost $12,745,435) 12,275,490
--------------
Total Investments in Securities
at Market Value (Cost $374,744,230) 383,072,091
--------------
VALUE
-----
COMMERCIAL PAPER - 23.32%
Abbott Laboratories
5.900% due 01/07/98 3,600,000 3,596,460
6.000% due 01/13/98 1,500,000 1,497,000
American Express Credit
5.990% due 01/13/98 3,600,000 3,592,812
AT&T Corp
5.840% due 06/12/98 2,810,000 2,738,457
BellSouth Telecommunications
5.730% due 02/20/98 2,500,000 2,480,104
Caisse National Des Telecom
5.750% due 01/05/98 2,500,000 2,498,403
5.770% due 01/09/98 6,400,000 6,391,794
Canada Bills
5.720% due 01/30/98 3,300,000 3,284,795
Coca-Cola
5.830% due 01/21/98 7,000,000 6,977,328
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-31
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
Ford Motor Credit Co
5.540% due 01/07/98 $ 3,000,000 $ 2,997,230
5.580% due 01/14/98 12,700,000 12,674,406
5.690% due 01/15/98 2,900,000 2,893,583
GE Capital Mortgage
5.540% due 01/28/98 10,000,000 9,958,450
5.720% due 01/16/98 1,300,000 1,296,902
5.850% due 01/06/98 4,000,000 3,996,750
GMAC
5.640% due 01/21/98 800,000 797,493
5.760% due 01/21/98 4,700,000 4,684,960
IBM Corp
5.680% due 01/15/98 1,200,000 1,197,349
5.730% due 02/03/98 15,600,000 15,518,061
KFW International Financial
5.730% due 02/02/98 2,700,000 2,686,248
5.740% due 02/02/98 4,100,000 4,079,081
5.800% due 01/09/98 11,600,000 11,585,049
New Center Asset Trust
5.520% due 01/28/98 7,800,000 7,767,708
5.600% due 01/15/98 3,100,000 3,093,249
--------------
Total Commercial Paper 118,283,672
--------------
U.S. TREASURY BILLS - 0.30%
5.020% due 02/05/98 ** 370,000 368,194
5.085% due 02/05/98 ** 190,000 189,061
5.130% due 02/05/98 ** 300,000 298,504
5.160% due 02/05/98 ** 25,000 24,876
5.170% due 02/05/98 ** 15,000 14,925
5.175% due 04/16/98 ** 115,000 113,282
5.185% due 03/12/98 ** 505,000 500,083
5.220% due 02/05/98 ** 10,000 9,949
--------------
Total U.S. Treasury Bills 1,518,874
--------------
<CAPTION>
VALUE
-----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.84%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97 , repurchase price
of $4,290,013; collateralized by U.S.
Treasury Notes - market value
$4,377,975 and due 05/15/98) 4,253,929 4,253,929
--------------
Total Securities Held Under Repurchase
Agreement 4,253,929
--------------
Total Short-Term Investments
at Amortized Cost 124,056,475
--------------
TOTAL MANAGED BOND PORTFOLIO
(COST $498,798,209) $507,128,566
--------------
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Securities with an approximate aggregate market value of $1,518,874 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at December 31, 1997:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 year Notes (3/98) 466 $ 89,640
U.S. Treasury 10 year Notes (3/98) 456 139,938
U.S. Treasury 30 year Bonds (3/98) 261 382,437
--------------
$612,015
==============
</TABLE>
(b) Transactions in options for the year ended December 31, 1997 were as
follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
---------------------------
<S> <C> <C>
Outstanding, December 31, 1996 0 $ 0
Options Written 385 127,933
Options Expired (385) (127,933)
---------------------------
Outstanding, December 31, 1997 0 $ 0
===========================
</TABLE>
(c) Forward foreign currency contracts outstanding at December 31, 1997, were
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 Sell 1/98 $ 366,136 $ (5,588)
C$ Buy 3/98 2,345,938 (90,404)
Sell 3/98 2,397,796 142,262
DM Sell 1/98 21,926,297 308,135
FF Buy 1/98 161,615 (1,933)
Sell 1/98 404,580 9,217
SF Buy 1/98 165,887 (1,168)
Sell 1/98 167,477 2,759
Sell 3/98 167,396 1,143
--------------
$364,423
==============
</TABLE>
Principal amount denoted in the indicated currency:
BP - British Pound
C$ - Canadian Dollar
DM - German Mark
FF - French Franc
SF - Swiss Franc
(d) At December 31, 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 $498,798,209
=============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $8,997,110
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (666,753)
-------------
Net unrealized appreciation $8,330,357
=============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-32
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 0.08%
FINANCIAL & BUSINESS SERVICES - 0.08%
International American Dev Bank
9.450% due 09/15/98 $ 100,000 $ 102,380
--------------
Total Corporate Bonds & Notes
(Cost $100,168) 102,380
--------------
GOVERNMENT BONDS - 0.40%
Federal Farm Credit Bank
8.650% due 10/01/99 530,000 554,514
--------------
Total Government Bonds (Cost $528,173) 554,514
--------------
MORTGAGE-BACKED SECURITIES - 35.12%
COLLATERALIZED MORTGAGE OBLIGATIONS - 6.99%
Bear Sterns Mortgage Securities Inc
7.000% due 03/25/27 " 1,000,000 973,438
Champion Home Equity Loan Trust
7.900% due 05/25/28 + " 1,673,558 1,712,521
Countrywide
7.932% due 03/25/24 + " 280,864 287,886
8.359% due 11/25/24 " 273,652 280,750
GE Capital Mortgage
6.500% due 04/25/24 " 273,968 273,645
Residential Accredited Loans Inc
7.500% due 03/25/27 + " 3,000,000 3,091,406
Residential Funding Corp
8.380% due 03/25/25 + " 222,118 227,949
Resolution Trust Corp
7.500% due 08/25/23 " 59,693 59,580
Salomon Brothers Mortgage Securities
6.355% due 02/25/27 + " 2,771,546 2,775,011
------------
9,682,186
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 0.95%
7.000% due 01/14/28 # " 1,300,000 1,311,375
------------
1,311,375
------------
Federal Housing Authority - 0.46%
6.750% due 02/01/08 " 3,664 3,679
7.400% due 07/25/19 + " 446,661 460,548
7.430% due 07/01/21 " 175,603 179,818
------------
644,045
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 13.66%
5.000% due 04/25/14 " 670,916 668,669
6.158% due 03/25/27 " 2,543,614 2,541,811
6.191% due 08/01/17 " 2,137,389 2,130,707
6.246% due 03/01/18 " 2,108,435 2,101,844
6.500% due 02/18/04 " 1,672,298 1,684,974
7.000% due 01/14/28 # " 8,000,000 8,057,500
7.618% due 01/01/25 " 1,013,894 1,039,271
7.782% due 12/01/22 " 678,958 712,947
------------
18,937,723
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 12.13%
6.500% due 11/20/26 " 2,709,752 2,760,776
6.500% due 01/22/28 # " 790,000 781,853
6.875% due 10/20/24 " 1,261,900 1,299,788
7.000% due 09/20/23 " 139,832 143,725
7.000% due 07/20/25 " 4,558,618 4,676,234
7.000% due 12/20/26 " 1,753,697 1,791,810
7.000% due 01/20/27 " 2,668,469 2,733,278
7.375% due 05/20/23 " 257,385 265,597
7.375% due 05/20/26 " 2,102,811 2,163,989
9.000% due 01/15/17 " 185,512 198,556
9.750% due 04/15/98 " 713 720
------------
16,816,326
------------
STUDENT LOAN MORTGAGE ASSOCIATION - 0.93%
6.004% due 04/25/04 " 1,283,927 1,283,927
------------
1,283,927
------------
Total Mortgage-Backed Securities
(Cost $48,249,332) 48,675,582
------------
OTHER ASSET-BACKED SECURITIES - 8.13%
Citibank 1988-2
8.000% due 07/25/18 + 15,078 15,135
Financial Asset Securities Corp
6.500% due 04/16/03 + " 2,000,000 1,997,502
Firstplus Home Loan Trust
6.050% due 01/10/04 " 2,783,772 2,783,883
6.310% due 01/10/23 + " 3,000,000 3,001,866
Greenwich Capital Mortgage
7.611% due 01/25/22 + " 75,137 76,370
Home Savings
5.833% due 05/25/27 + 402,236 391,804
Imperial Savings & Loans
8.833% due 07/25/17 + 13,964 13,945
9.900% due 02/25/18 + 59,920 63,477
Money Store Home
6.720% due 02/15/10 324,532 324,427
Ryland Mortgage
5.000% due 11/25/31 + " 109,013 103,273
6.702% due 10/01/27 + " 1,584,566 1,583,576
Ryland Sec (First Nationwide Trust)
6.707% due 10/25/18 + " 915,658 914,373
------------
Total Other Asset-Backed Securities
(Cost $11,268,925) 11,269,631
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-33
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
STRIPPED MORTGAGE-BACKED SECURITIES - 0.08%
FHLMC (IO)
6.500% due 09/15/18 " $1,045,356 $ 111,564
--------------
Total Stripped Mortgage-Backed Securities
(Cost $119,016) 111,564
--------------
U.S. TREASURY BONDS - 9.91%
3.625% due 07/15/02 1,512,810 1,506,193
6.000% due 02/15/26 300,000 299,672
6.500% due 11/15/26 5,400,000 5,766,190
6.750% due 08/15/26 5,600,000 6,167,005
--------------
Total U.S. Treasury Bonds
(Cost $13,210,450) 13,739,060
--------------
FOREIGN BONDS - 4.04%
GERMANY - 4.04%
Bundes Republic
6.500% due 07/04/27 9,300,000 5,601,357
--------------
Total Foreign Bonds (Cost $5,544,730) 5,601,357
--------------
Total Investments in Securities
at Market Value (Cost $79,020,794) 80,054,088
--------------
<CAPTION>
VALUE
-----
<S> <C> <C>
COMMERCIAL PAPER - 40.59%
Abbott Laboratories
5.900% due 01/07/98 300,000 299,705
6.000% due 01/13/98 5,000,000 4,990,000
American Express Credit
5.830% due 01/13/98 6,000,000 5,988,340
AT&T Corp
5.840% due 06/12/98 3,300,000 3,215,982
Australian Wheat Board
5.660% due 02/02/98 4,200,000 4,178,869
Bankers Trust
5.900% due 07/14/98 + 4,000,000 3,997,400
BellSouth Telecommunications
5.710% due 02/18/98 700,000 694,671
5.730% due 02/20/98 1,500,000 1,488,062
Caisse National Des Telecom
5.750% due 01/05/98 3,300,000 3,297,892
<CAPTION>
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
Canadian Wheat Board
5.770% due 01/13/98 $ 700,000 $ 698,654
Ford Motor Credit Co
5.540% due 01/07/98 3,900,000 3,896,398
GE Capital Mortgage
5.700% due 01/23/98 1,800,000 1,793,730
5.710% due 01/22/98 1,100,000 1,096,337
GMAC
5.640% due 01/21/98 4,000,000 3,987,467
Hewlett Packard
5.950% due 01/22/98 1,000,000 996,528
IBM Corp
5.820% due 01/16/98 1,800,000 1,795,634
KFW International Financial
5.730% due 02/02/98 1,500,000 1,492,360
New Center Asset Trust
5.610% due 01/30/98 2,100,000 2,090,510
Oesterreichische Kontbk
5.710% due 02/05/98 3,000,000 2,983,346
Pitney Bowes Credit
5.890% due 01/12/98 1,000,000 998,200
Proctor & Gamble
5.830% due 01/16/98 1,200,000 1,197,085
Wisconsin Electric Power Co
5.770% due 01/26/98 5,100,000 5,079,566
--------------
Total Commercial Paper 56,256,736
--------------
U.S. TREASURY BILLS - 0.61%
5.020% due 02/05/98 ** 280,000 278,633
5.085% due 02/05/98 ** 65,000 64,679
5.130% due 02/05/98 ** 120,000 119,402
5.150% due 02/05/98 ** 20,000 19,900
5.185% due 03/12/98 ** 360,000 356,495
--------------
Total U.S. Treasury Bills 839,109
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-34
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.04%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchase price
of $1,443,503; collateralized by U.S.
Treasury Notes - market value
$1,560,342 and due 05/31/98) $1,443,142 $ 1,443,142
--------------
Total Securities Held Under Repurchase
Agreement 1,443,142
--------------
Total Short-Term Investments
at Amortized Cost 58,538,987
--------------
TOTAL GOVERNMENT SECURITIES
PORTFOLIO (COST $137,559,143) $138,593,075
==============
</TABLE>
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Securities with an approximate aggregate market value of $839,109 have been
segregated with the custodian to cover margin requirements for the following
open interest rate futures contracts at December 31, 1997:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 year Notes (3/98) 240 $ 7,500
U.S. Treasury 10 year Notes (3/98) 179 43,875
U.S. Treasury 30 year Bonds (3/98) 108 32,500
--------------
$83,875
==============
</TABLE>
(b) Transactions in options for the year ended December 31, 1997
were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
-----------------------------
<S> <C> <C>
Outstanding, December 31, 1996 0 $ 0
Options Written 80,132 101,651
Options Expired (80,132) (101,651)
-----------------------------
Outstanding, December 31, 1997 0 $ 0
=============================
</TABLE>
(c) Forward foreign currency contracts outstanding at December 31, 1997, were
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>
C$ Buy 3/98 $ 1,558,055 $ (54,132)
Sell 3/98 1,598,779 94,856
DM Sell 1/98 5,872,410 82,526
-----------
$123,250
-----------
</TABLE>
Principal amount denoted in the indicated currency:
C$ - Canadian Dollar
DM - German Mark
(d) At December 31, 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 $137,588,349
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 1,092,670
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (87,945)
--------------
Net unrealized appreciation $ 1,004,725
==============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-35
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 96.17%
CAPITAL GOODS - 3.36%
Bandag Inc 45,000 $ 2,404,688
GaSonics International Corp * 190,000 1,876,250
Granite Construction 81,000 1,863,000
Silicon Valley Group * 93,000 2,104,125
-----------
8,248,063
-----------
CONSUMER DISCRETIONARY - 32.58%
Alyn Corp * 67,300 706,650
American Disposal Services Inc * 150,000 5,475,000
Anntaylor Stores Corp * 130,000 1,738,750
Aspect Telecommunications * 70,000 1,461,250
Banta Corp 79,500 2,146,500
BHC Communications 'A' 12,200 1,589,050
Big City Radio Inc * 243,000 1,974,375
Buffets Inc * 157,000 1,471,875
Cablevision Systems Corp * 26,000 2,489,500
CapStar Hotel * 50,200 1,722,488
Chris Craft Industries Inc * 30,900 1,616,456
Circuit City Stores Carmax * 69,900 629,100
Cole National Corp 'A' * 28,900 865,193
Comsat Corp 87,500 2,121,875
Globalstar Telecommunications * 172,376 8,467,971
GT Bicycles * 93,200 553,375
Hudson Foods 'A' 145,000 2,981,563
Intrawest Corp 152,300 2,646,213
Jacor Communications * 35,000 1,859,375
Jones Intercable 'A' 149,800 2,630,863
Libbey Inc 75,000 2,840,624
Lojack Corp * 150,000 2,212,500
Micro Warehouse Inc * 43,200 602,100
Nine West Group Inc * 111,000 2,879,063
NY Magic 28,000 771,750
Peregrine Systems Inc * 212,000 2,835,500
Picturetel Corp * 85,600 556,400
Pixar Inc * 70,700 1,528,887
Rio Hotel & Casino Inc * 112,000 2,352,000
RPM Inc 132,500 2,020,625
Ruby Tuesday Inc 43,300 1,114,975
Sizzler International Inc 183,800 493,963
Spelling Entertainment Group 60,900 426,300
St. Johns Knits Inc 48,000 1,920,000
Standard Products 54,500 1,396,563
Station Casinos Inc * 41,100 418,706
Tefron Ltd * 100,000 2,300,000
Total Control Products Inc * 162,000 1,984,500
Viatel Inc * 292,000 1,460,000
White Cap Industries * 105,100 1,957,488
Williams Sonoma * 31,500 1,319,063
Young Broadcasting Corp 'A' * 40,000 1,550,000
-----------
80,088,429
-----------
- --------------------------------------------------------------
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
CONSUMER STAPLES - 3.34%
Corn Produce International WI 7,700 $ 229,075
Cymer Inc * 41,700 625,500
Firearms Training Systems * 77,000 399,438
Fresh Del Monte Produce Inc * 174,600 2,553,525
Robert Mondavi 'A' * 55,300 2,695,875
Smithfield Foods Inc * 40,400 1,333,200
Topps Company (The) 172,000 381,625
--------------
8,218,238
--------------
ENERGY - 6.68%
Coflexip 29,752 1,651,236
Falcon Drilling Co Inc * 72,000 2,524,500
Global Marine Inc * 43,300 1,060,850
KN Energy Inc 70,000 3,780,000
Louis Dreyfus Natural Gas * 120,000 2,242,500
NGC Corp 113,000 1,977,500
San Juan Basin Realty Trust 175,000 1,618,750
Seacor Holdings Inc * 25,900 1,560,475
--------------
16,415,811
--------------
FINANCIAL & BUSINESS SERVICES - 15.35%
AHL Services Inc * 87,500 2,154,688
BA Merchant Services Inc 'A' * 90,000 1,597,500
Bank United Corp 60,000 2,936,250
Coast Savings Financial Inc * 51,000 3,496,688
Commerce Bancshares 32,082 2,173,555
Community First Bankshares 60,000 3,195,000
Dollar Thrifty Group * 135,000 2,767,500
ESG Re Limited * 22,300 524,050
First Midwest Bancorp 25,687 1,123,806
Hambrecht & Quist * 80,200 2,927,300
Harleysville Group Inc 90,000 2,160,000
Hibernia Corp 'A' 82,200 1,546,388
Imperial Credist Commercial 143,000 2,091,374
Insignia Financial Group Inc 'A' * 103,500 2,380,500
Jefferies Group Inc 23,200 949,750
Keystone Financial 50,000 2,012,500
Provident Bankshares Corp 28,000 1,788,500
Washington Federal Inc 9,600 301,808
Waste Mgmt International Inc ADR * 257,200 1,607,500
--------------
37,734,657
--------------
HEALTH CARE - 6.84%
Apria Healthcare Group * 90,000 1,209,375
Cardiac Pathways Corp * 13,700 95,900
CORR Therapeutics * 140,000 3,150,000
Depuy Inc 72,000 2,070,000
Gensia Inc * 426 2,476
Gilead Sciences * 80,000 3,060,000
Heska Corp * 50,000 618,750
Millennium Pharmaceuticals * 32,400 615,600
Nature's Sunshine Prods Inc 34,500 897,000
Protein Design Laboratories Inc * 40,000 1,600,000
Sangstat Medical * 38,300 1,551,150
Wesley Jessen Visioncare * 50,000 1,950,000
--------------
16,820,251
--------------
</TABLE>
See Notes to Financial Statements See explanation symbols on A-65
A-36
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
MATERIALS & PROCESSING - 5.97%
CB Commercial Real Estate Services * 24,700 $ 795,031
Holophane * 87,850 2,174,288
International Precious Metals Corp * 32,500 41,641
Ivex Packaging Corp * 91,500 2,196,000
Martin Marietta Material 48,600 1,776,938
OM Group Inc 42,000 1,538,250
Pentair Inc 40,700 1,462,656
Potlatch Corp 35,000 1,505,000
Quintiles Transnational * 48,000 1,836,000
Texas Industries Inc 30,100 1,354,500
--------------
14,680,304
--------------
TECHNOLOGY - 16.37%
Acclaim Entertainment Inc * 240,500 871,812
Alliance Semiconductor Corp * 184,000 839,500
Applied Graphics Technologies Inc * 40,000 2,130,000
Ascent Entertainment Group * 42,770 443,739
BE Semiconductor * 52,500 515,154
Boston Technology Inc * 23,600 592,950
Brooks Automation Inc * 87,000 1,598,625
Caraustar Industries Inc 46,000 1,575,500
Data General Corp * 85,000 1,482,188
Digital Microwave * 114,000 1,653,000
Etec Systems Inc * 80,200 3,729,300
Harmon International 23,800 1,010,013
Indus Group Inc * 114,000 826,500
Integrated Process Equipment Corp * 70,000 1,102,500
KLA-Tencor Corp * 36,000 1,390,500
Kulicke & Soffa Industries * 145,000 2,700,624
Lam Research * 60,000 1,755,000
Microchip Technology Inc * 71,425 2,142,750
Novellus Systems * 135,000 4,362,188
Remedy Corp * 72,000 1,512,000
Sensormatic Electric 109,400 1,798,265
Speedfam International Inc * 57,000 1,510,500
Structural Dynamics Research Corp * 63,000 1,417,500
Teleflex 54,800 2,068,700
Vantive Corp * 47,600 1,201,900
--------------
40,230,708
--------------
TRANSPORTATION - 5.68%
America West Holdings Corp 'B' * 145,300 2,706,213
Artcic Cat Inc 132,000 1,278,750
Hayes Lemmerz International Inc * 61,100 1,710,800
International Total Services Inc * 35,500 563,562
Landstar System Inc * 86,500 2,281,438
Lear Seating Corp * 29,400 1,396,500
M.S. Carriers Inc * 46,000 1,144,250
Polaris Industries 94,200 2,878,986
--------------
13,960,499
--------------
Total Common Stocks (Cost $192,061,959) 236,396,960
--------------
Total Investments in Securities
at Market Value (Cost $192,061,959) 236,396,960
--------------
</TABLE>
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.83%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchase price
of $9,424,225; collateralized by U.S.
Treasury Notes - market value
$9,613,718 and due 05/31/98) $9,415,736 $ 9,415,736
--------------
Total Securities Held Under Repurchase
Agreement 9,415,736
--------------
Total Short-Term Investments
at Amortized Cost 9,415,736
--------------
TOTAL GROWTH PORTFOLIO
(COST $201,477,695) $245,812,696
--------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) At December 31, 1997, the net unrealized
appreciation (depreciation) of investments
based on cost of investments for federal income
tax purposes was as follows:
Tax cost basis $201,477,695
--------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost $ 61,684,354
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (17,349,353)
--------------
Net unrealized appreciation $ 44,335,001
--------------
</TABLE>
See Notes to Financial Statements See explanation symbols on A-65
A-37
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -------
<S> <C> <C>
COMMON STOCKS - 88.45%
CAPITAL GOODS - 2.90%
Black & Decker Corp 32,600 $ 1,273,437
National Semiconductor * 52,700 1,366,906
QUALCOM Inc * 22,000 1,111,000
-----------
3,751,343
-----------
Consumer Discretionary - 21.50%
Abercrombie & Fitch Co 'A' * 44,700 1,396,875
Bed Bath & Beyond Inc * 25,000 962,500
Bob Evans Farms 59,100 1,307,587
Brylane Inc * 45,000 2,216,250
Costco Cos * 27,000 1,204,875
Ethan Allen Interiors Inc 45,000 1,735,313
Federal Express Corp * 27,000 1,648,688
Fred Meyer Inc * 48,800 1,775,100
Goody's Family Clothing * 60,000 1,631,250
Jacor Communications * 23,700 1,259,063
New York Times Co 'A' 24,000 1,587,000
NEXTEL Communications Inc 65,000 1,690,000
Paging Network Inc * 187,900 2,019,925
Payless Shoesource Inc * 19,600 1,315,650
Rocky Shoes & Boots Inc * 130,000 1,982,500
Sunbeam Corp 32,500 1,369,063
Superior Services Inc * 45,000 1,299,375
TJX Cos Inc 42,000 1,443,750
------------
27,844,764
------------
CONSUMER STAPLES - 2.19%
CVS Corp 25,000 1,601,562
Hershey Foods Corp 20,000 1,238,750
------------
2,840,312
------------
ENERGY - 5.30%
Devon Energy Corp 40,000 1,540,000
Stolt Comex Seaway SA * 35,000 1,750,000
Sun Company Inc 50,200 2,111,538
Weatherford Enterra Inc * 33,300 1,456,875
------------
6,858,413
------------
FINANCIAL & BUSINESS SERVICES - 16.04%
Accustaff Inc * 42,300 972,900
Associates First Capital Corp 23,000 1,635,875
Capital One Finance 30,800 1,668,975
Charter One Financial 31,100 1,963,187
Countrywide Credit Industries Inc 24,000 1,029,000
Dime Bancorp Inc * 96,700 2,925,175
Golden West Financial Corp 11,400 1,115,063
Imperial Credit Industries Inc * 50,000 1,025,000
NCO Group Inc * 75,000 1,931,250
Price (T Rowe) Associates 31,600 1,986,850
Providian Corp 19,900 899,231
Registry Inc * 46,000 2,110,250
Staff Leasing Inc * 80,000 1,510,000
------------
20,772,756
------------
HEALTH CARE - 7.78%
Guidant Corp 27,200 $ 1,693,200
HBO & Co 35,000 1,680,000
Hooper Holmes Inc 110,000 1,601,875
Medicis Pharmaceutical 'A' * 36,000 1,840,500
Molecular Dynamics Inc * 95,000 1,543,750
Quintiles Transnational * 45,000 1,721,250
------------
10,080,575
------------
MATERIALS & PROCESSING - 1.41%
Consolidation Capital Corp * 90,000 1,828,125
------------
1,828,125
------------
TECHNOLOGY - 27.33%
America Online Inc * 22,100 1,971,044
American Power Conversion * 35,000 826,875
Billing Information Concepts * 45,000 2,160,000
Ceridian Corp * 36,700 1,681,319
CP Clare Corp * 120,000 1,560,000
DSP Communications * 103,900 1,246,800
Forecross Corp * 110,000 1,320,000
Gateway 2000 Inc * 44,000 1,435,500
Integrated Process Equipment Corp * 65,000 1,023,750
Intuit Inc * 59,500 2,454,375
Kent Electronics Corp * 45,000 1,130,625
Lycos Inc * 50,000 2,068,750
Network Appliances * 74,400 2,641,200
Panamsat Corp * 30,800 1,328,250
Peoplesoft Inc * 25,000 975,000
Premisys Communications Inc * 90,000 2,351,250
Sanmina Corp * 22,700 1,537,925
Symantec Corp * 83,300 1,827,394
Teleport Communications * 45,100 2,474,862
Unisys Corp * 138,500 1,921,687
Visio Corp * 38,000 1,458,250
------------
35,394,856
------------
TRANSPORTATION - 4.00%
Alaska Air Group * 35,000 1,356,250
Lear Seating Corp * 20,200 959,500
US Airways Group Inc * 25,000 1,562,500
US Freightways Corp 40,000 1,356,250
------------
5,178,250
------------
Total Common Stocks (Cost $106,889,263) 114,549,394
------------
Total Investments in Securities
at Market Value (Cost $106,889,263) 114,549,394
------------
</TABLE>
See explanation of symbols on A-65
A-38
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 11.55%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchase price
of $14,963,532; collateralized by U.S.
Treasury Notes - market value
$15,261,148 and due 5/31/98) $14,960,000 $ 14,960,000
-------------
Total Securities Held Under Repurchase
Agreement 14,960,000
-------------
Total Short-Term Investments
at Amortized Cost 14,960,000
-------------
TOTAL AGGRESSIVE EQUITY PORTFOLIO
(COST $121,849,263) $ 129,509,394
-------------
</TABLE>
- --------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Transactions in options for the year ended December 31, 1997
were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
-----------------------------
<S> <C> <C>
Outstanding, December 31, 1996 0 $ 0
Options Written 678 65,763
Options Expired (678) (65,763)
-----------------------------
Outstanding, December 31, 1997 0 $ 0
-----------------------------
</TABLE>
(b) At December 31, 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 $ 121,849,263
-------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value $ 14,084,439
over tax cost
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (6,424,308)
-------------
Net unrealized appreciation $ 7,660,131
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-39
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C>
COMMON STOCKS - 75.11%
CAPITAL GOODS - 0.40%
Maxim Integrated Products * 79,500 $ 2,742,750
--------------
2,742,750
--------------
CONSUMER DISCRETIONARY - 15.30%
CBS Corp 361,075 10,629,145
Comcast 'A' 502,925 15,873,570
CompUSA Inc * 133,025 4,123,775
Costco Co * 155,300 6,930,262
Linens 'N Things Inc * 88,200 3,847,725
Tele-Communications 'A' * 732,970 20,477,349
Time Warner Inc 158,475 9,825,450
Warner Lambert Co 280,050 34,726,200
--------------
106,433,476
--------------
CONSUMER STAPLES - 0.49%
Sara Lee Corp 60,425 3,402,683
--------------
3,402,683
--------------
ENERGY - 6.74%
Diamond Offshore Drilling 178,450 8,587,906
Noble Drilling Corp * 255,750 7,832,344
Santa Fe International Corp 106,350 4,327,116
Schlumberger Ltd 178,300 14,353,150
Transocean Offshore Inc 245,100 11,810,756
--------------
46,911,272
--------------
FINANCIAL & BUSINESS SERVICES - 13.88%
Ambanc Holding Co Inc 19,725 369,844
Associates First Capital Corp 160,925 11,445,791
Astoria Financial Corp 12,300 685,725
Bank of New York Co Inc 132,000 7,631,250
BankAmerica Corp 185,800 13,563,400
Catskill Financial Corp 14,650 276,518
Citicorp 25,800 3,262,088
Dime Bancorp Inc 29,500 892,375
First Defiance Financial Corp 21,850 349,600
First Savings Bancorp 5,050 128,775
First Spartan Financial 12,650 509,163
FSF Financial Corp 3,125 65,820
GSB Financial Corp * 8,675 156,692
Klamath First Bancorp Inc 26,850 577,275
Lamar Advertising Co * 84,725 3,367,819
North Central Bancshares Inc 14,650 291,169
Outdoor Systems Inc * 78,882 3,027,097
Peekskill Financial Corp 14,650 245,388
Provident Financial Holdings * 18,700 409,063
Queens County Bankcorp Inc 18,300 741,150
Reliance Group 42,525 600,666
Roslyn Bancorp Inc 74,625 1,735,031
Schwab (Charles) Corp 180,750 7,580,203
SLM Holding Corp 33,125 4,608,515
Star Banc Corp 68,200 3,912,975
SunAmerica Inc 80,662 3,448,301
TF Financial Corp 18,125 543,750
U.S. Bancorp 23,875 2,672,503
UNUM Corp 431,776 23,477,820
--------------
96,575,766
--------------
HEALTH CARE - 6.92%
Cardinal Health Inc 54,325 4,081,166
Centocor Inc * 96,075 3,194,494
HBO & Co 140,100 6,724,800
Lilly (Eli) & Co 192,650 13,413,256
Omnicare Inc 285,400 8,847,400
Pfizer Inc 87,950 6,557,772
Sofamor Danek Group * 81,575 5,307,468
--------------
48,126,356
--------------
MATERIALS & PROCESSING - 5.72%
Monsanto Co 753,875 31,662,750
Solutia Inc 305,520 8,153,565
--------------
39,816,315
--------------
TECHNOLOGY - 23.91%
America Online Inc * 19,850 1,770,372
Analog Devices * 359,125 9,943,273
Aspen Technology Inc * 264,275 9,051,419
Cadence Design Systems Inc * 262,525 6,431,863
Ceridian Corp * 85,400 3,912,388
CISCO Systems Inc * 236,100 13,162,575
Compaq Computer Corp 188,900 10,661,044
Dell Computer Corp * 112,425 9,443,700
EMC Corp * 253,025 6,942,373
Intel Corp 170,750 11,995,188
Microsoft Corp * 134,975 17,445,519
MMC Networks Inc * 9,000 153,000
Parametric Technology Corp * 586,325 27,777,146
Peoplesoft Inc * 57,400 2,238,600
Pittway Corp 225,762 15,718,679
Sapient Corp * 72,500 4,440,625
Technology Solutions * 174,112 4,592,204
Texas Instruments Inc 140,400 6,318,000
Wind River Systems * 108,437 4,303,593
--------------
166,301,561
--------------
TRANSPORTATION - 1.75%
Sealed Air Corp * 197,075 12,169,381
--------------
12,169,381
--------------
Total Common Stocks
(Cost $453,737,716) 522,479,560
--------------
</TABLE>
See Notes to Financial Statements See explanations of symbols on A-65
A-40
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C>
FOREIGN COMMON STOCKS - 16.05%
Brazil - 0.59%
Ericsson Telecomunicaco 128,286 $ 4,115,268
--------------
4,115,268
--------------
FINLAND - 4.66%
Metra Oy 'B' 179,565 4,219,087
Nokia Corp ADR Pref 281,100 19,677,000
Raisio Group PLC 71,628 8,506,951
--------------
32,403,038
--------------
FRANCE - 0.58%
Elf Aquitaine 34,434 4,006,283
--------------
4,006,283
--------------
ITALY - 1.62%
BCA Comm Italiana 1,487,316 5,170,568
Telecom Italia Spa 959,387 6,128,189
--------------
11,298,757
--------------
NETHERLANDS - 4.37%
Asm Lithography * 124,175 8,381,813
Philips Electronics 5,292 314,179
Philips Electronics Nv-Hy Sh 359,300 21,737,650
--------------
30,433,642
--------------
NORWAY - 1.38%
Ocean Rig Asa * 4,258,187 4,504,796
Smedvig Asa 'B' 151,611 3,187,265
Tomra Systems Asa 84,838 1,898,585
--------------
9,590,646
--------------
SWEDEN - 0.65%
Electrolux B-F 65,105 4,521,352
--------------
4,521,352
--------------
SWITZERLAND - 0.77%
SCH Lebensv & Rentenanst * 6,797 5,332,530
--------------
5,332,530
--------------
UNITED KINGDOM - 1.43%
Siebe PLC 283,963 5,346,847
SmithKline Beecham PLC 442,796 4,574,695
--------------
9,921,542
--------------
Total Foreign Common Stocks
(Cost $122,310,430) 111,623,058
--------------
Total Investments in Securities
at Market Value (Cost $576,048,146) 634,102,618
--------------
COMMERCIAL PAPER - 8.83%
FMC Discount Note
5.750% due 01/23/98 $20,000,000 $ 19,929,722
FNMA
5.400% due 01/15/98 20,000,000 19,958,000
General Electric Capital
6.700% due 01/02/98 21,500,000 21,495,999
--------------
Total Commercial Paper 61,383,721
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchase price
of $97,023; collateralized by U.S.
Treasury Notes - market value
$99,105 and due 05/15/03) 97,000 97,000
--------------
Total Securities Held Under Repurchase
Agreement 97,000
--------------
Total Short-Term Investments
at Amortized Cost 61,480,721
--------------
TOTAL GROWTH LT PORTFOLIO
(COST $637,528,867) $695,583,339
--------------
</TABLE>
See Notes to Financial Statements See explanations of symbols on A-65
A-41
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Forward foreign currency contracts outstanding at December 31, 1997, were
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 1/98 $ 180,950 $ (143)
Buy 2/98 1,749,150 (25,635)
Buy 3/98 842,967 (6,414)
Buy 5/98 229,100 (186)
Sell 1/98 185,020 4,213
Sell 2/98 1,715,184 (8,331)
Sell 3/98 3,502,580 58,250
Sell 5/98 502,500 11,970
DG Buy 1/98 1,540,318 (59,202)
Buy 2/98 8,000,960 (227,144)
Sell 1/98 5,859,661 (64,802)
Sell 2/98 17,466,410 161,003
Sell 3/98 2,872,372 44,290
DM Buy 2/98 6,880,238 (248,126)
Sell 2/98 6,421,410 (210,703)
FM Buy 1/98 1,775,576 (30,613)
Buy 3/98 3,112,235 (160,260)
Sell 1/98 3,844,957 121,013
Sell 2/98 361,664 (6,789)
Sell 3/98 16,543,230 636,953
Sell 5/98 669,216 21,368
IL Buy 3/98 1,343,060 (37,873)
Sell 1/98 5,978,231 (9,963)
Sell 3/98 2,534,783 (18,843)
SK Buy 2/98 637,959 (30,702)
Buy 3/98 1,295,828 (42,507)
Sell 1/98 1,623,159 42,961
Sell 2/98 611,465 4,208
Sell 3/98 2,059,660 34,168
--------------
$ (47,839)
--------------
</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 December 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
Tax cost basis $ 637,528,867
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 82,319,777
--------------
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value
(24,265,305)
--------------
Net unrealized appreciation $ 58,054,472
--------------
See Notes to Financial Statements See explanations of symbols on A-65
A-42
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCKS - 0.50%
CONSUMER DISCRETIONARY - 0.50%
TCI Communications 62,300 $ 3,994,987
-------------
3,994,987
-------------
Total Convertible Preferred Stocks
(Cost $3,052,700) 3,994,987
-------------
COMMON STOCKS - 95.70%
CAPITAL GOODS - 4.56%
AlliedSignal Inc 410,100 15,968,269
Boeing 142,500 6,973,594
Cooper Industries Inc 281,900 13,813,100
-------------
36,754,963
-------------
CONSUMER DISCRETIONARY - 21.00%
Bristol Myers Squibb 189,100 17,893,587
Circuit City Stores 341,200 12,133,925
Federated Department Stores * 173,600 7,475,650
General Mills Inc 153,600 11,001,600
International Game Technology 308,000 7,777,000
Learning Co Inc * 4,800 77,100
Motorola 178,600 10,191,363
Procter & Gamble 149,000 11,892,062
Starwood Lodging Trust 182,600 10,567,975
Telecom-TCI Ventures * 523,981 14,835,212
Toys R Us * 446,900 14,049,419
Tyco International Ltd 373,600 16,835,350
Wal-Mart Stores Inc 240,300 9,476,831
Warner Lambert Co 200,900 24,911,600
-------------
169,118,674
-------------
CONSUMER STAPLES - 8.24%
Anheuser Busch 342,600 15,074,400
Commscope Inc * 182,333 2,450,100
PepsiCo 264,500 9,637,719
Philip Morris Co Inc 341,400 15,469,687
Ralston-Purina Group 157,900 14,674,831
Unilever N.V. 144,500 9,022,219
-------------
66,328,956
-------------
ENERGY - 9.57%
Atlantic Richfield 142,800 11,441,850
Cooper Cameron Corp * 60,400 3,684,400
Duke Power 70,300 3,892,863
Enron Corp 216,200 8,985,812
Exxon Corp 254,000 15,541,625
Mobil Corp 103,800 7,493,062
Tosco Corp 688,700 26,041,469
-------------
77,081,081
-------------
- -----------------------------------------------------------------
FINANCIAL & BUSINESS SERVICES - 13.86%
Ambac Financial Group Inc 59,400 $ 2,732,400
American International Group Inc 71,500 7,775,625
Chase Manhattan Corp 34,400 3,766,800
Equity Office Properties 232,883 7,350,379
FNMA 330,100 18,836,331
First Hawaiian Inc 92,100 3,660,975
First Union Corp 469,200 24,046,500
Fleet Financial Group Inc 124,800 9,352,200
Marsh & McLennan Cos 136,100 10,147,956
MBIA Inc 68,100 4,549,931
Providian Corp 254,500 11,500,219
Washington Mutual Inc 123,300 7,868,081
-------------
111,587,397
-------------
HEALTH CARE - 5.00%
Alza Corp * 252,500 8,032,656
Crescendo Pharmaceuticals Corp * 13,025 150,602
Forest Laboratories * 80,700 3,979,519
Humana Inc 687,100 14,257,325
United Healthcare Corp 278,700 13,847,906
-------------
40,268,008
-------------
MATERIALS & PROCESSING - 7.56%
Albemarle Corp 335,800 8,017,225
Allegheny Teledyne Inc 518,700 13,421,362
Temple Inland Inc 227,900 11,922,019
Union Carbide Corp 317,300 13,624,069
Waste Management Inc 505,000 13,887,500
-------------
60,872,175
-------------
TECHNOLOGY - 16.39%
Autodesk Inc 163,200 6,038,400
Bay Networks Inc * 498,600 12,745,463
Cabletron Systems * 247,100 3,706,500
CISCO Systems Inc * 147,800 8,239,850
EMC Corp * 545,000 14,953,438
General Semiconductor Inc * 143,200 1,655,750
IBM Corp 175,400 18,340,262
Input/Output Inc * 161,800 4,803,437
Nextlevel Systems Inc * 547,000 9,777,625
Oracle Systems Corp * 334,550 7,464,647
Perkin Elmer Corp 190,100 13,508,981
Sensormatic Electric 518,100 8,516,269
Sun Microsystems * 335,400 13,374,075
U S West Media Group * 307,900 8,890,612
-------------
132,015,309
-------------
TRANSPORTATION - 2.24%
Goodyear Tire & Rubber 157,300 10,008,212
Union Pacific Corp 129,000 8,054,438
-------------
18,062,650
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-43
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- -----------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
UTILITIES - 7.28%
Dominion Resources Inc 193,200 $ 8,223,075
GTE Corp 244,600 12,780,350
SBC Communications 189,200 13,858,900
Sprint Corp 198,500 11,637,063
Worldcom Corp * 399,600 12,087,900
-------------
58,587,288
-------------
Total Common Stocks (Cost $707,605,597) 770,676,501
-------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 1.11%
Consumer Discretionary - 1.11%
Berkshire Hathaway
1.000% due 12/02/01 $ 5,542,000 8,929,548
-------------
Total Corporate Bonds & Notes (Cost $5,860,311) 8,929,548
-------------
Total Investments in Securities
at Market Value (Cost $716,518,608) 783,601,036
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 2.69%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchase price
of $21,713,031; collateralized by U.S.
Treasury Notes - market value
$22,147,106 and due 5/15/98) 21,707,906 21,707,906
-------------
Total Securities Held Under Repurchase
Agreement 21,707,906
-------------
Total Short-Term Investments
at Amortized Cost 21,707,906
-------------
TOTAL EQUITY INCOME PORTFOLIO
(COST $738,226,514) $805,308,942
=============
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
- -------------------------------
(a) At December 31, 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 $738,226,514
============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 85,934,903
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (18,852,475)
------------
Net unrealized appreciation $ 67,082,428
============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-44
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK - 0.72%
CONSUMER DISCRETIONARY - 0.72%
Home Ownership Funding 1,830 $ 1,779,611
TCI Communications 14,300 916,988
-----------
Total Convertible Preferred Stock 2,696,599
-----------
(Cost $2,532,903)
COMMON STOCKS - 47.61%
CAPITAL GOODS - 2.29%
AlliedSignal Inc 95,500 3,718,531
Boeing 32,700 1,600,256
Cooper Industries Inc 65,400 3,204,600
-----------
8,523,387
-----------
CONSUMER DISCRETIONARY - 10.58%
Bristol Myers Squibb 43,500 4,116,187
Circuit City Stores 77,200 2,745,425
Commscope Inc * 40,933 550,037
Federated Department Stores * 39,300 1,692,356
General Mills Inc 35,800 2,564,175
International Game Technology 71,200 1,797,800
Motorola 41,400 2,362,388
Procter & Gamble 33,700 2,689,681
Starwood Lodging Trust 40,700 2,355,512
TCI Communications * 116,859 3,308,570
Toys R Us * 101,900 3,203,481
Tyco International Ltd 85,858 3,868,976
Wal-Mart Stores Inc 53,800 2,121,738
Warner Lambert Co 48,100 5,964,400
-----------
39,340,726
-----------
CONSUMER STAPLES - 3.90%
Anheuser Busch 77,600 3,414,400
PepsiCo 60,800 2,215,400
Philip Morris Co Inc 79,100 3,584,219
Ralston-Purina Group 35,300 3,280,694
Unilever N.V. 32,000 1,998,000
-----------
14,492,713
-----------
ENERGY - 4.68%
Atlantic Richfield 33,000 2,644,125
British Petroleum PLC ADR 234 18,647
Cooper Cameron Corp * 14,000 854,000
Duke Power 16,100 891,538
Enron Corp 48,200 2,003,313
Exxon Corp 57,000 3,487,688
Mobil Corp 23,100 1,667,531
Tosco Corp 154,500 5,842,031
-----------
17,408,873
-----------
- --------------------------------------------------------------
FINANCIAL & BUSINESS SERVICES - 6.96%
Ambac Financial Group Inc 16,000 $ 736,000
American International Group Inc 16,500 1,794,375
Chase Manhattan Corp 7,900 865,050
Equity Office Properties 55,408 1,752,285
FNMA 74,700 4,262,567
First Hawaiian Inc 21,100 838,725
First Union Corp 112,000 5,740,000
Fleet Financial Group Inc 28,700 2,150,706
Marsh & McLennan Cos 31,200 2,326,350
MBIA Inc 15,400 1,028,913
Providian Corp 55,700 2,516,944
Washington Mutual Inc 29,200 1,863,325
-----------
25,875,240
-----------
HEALTH CARE - 2.51%
Alza Corp * 59,500 1,892,844
Crescendo Pharmaceuticals Corp * 3,150 36,422
Forest Laboratories * 18,300 902,419
Humana Inc 157,500 3,268,125
United Healthcare Corp 64,700 3,214,781
-----------
9,314,591
-----------
MATERIALS & PROCESSING - 3.68%
Albemarle Corp 69,400 1,656,925
Allegheny Teledyne Inc 115,500 2,988,563
Temple Inland Inc 52,600 2,751,638
Union Carbide Corp 71,900 3,087,206
Waste Management Inc 115,900 3,187,250
-----------
13,671,582
-----------
TECHNOLOGY - 8.27%
Autodesk Inc 41,300 1,528,100
Bay Networks Inc * 126,600 3,236,213
Cabletron Systems * 57,300 859,500
CISCO Systems Inc * 33,950 1,892,713
EMC Corp * 130,100 3,569,619
General Semiconductor Inc * 32,000 370,000
IBM Corp 40,500 4,234,781
Input/Output Inc * 36,200 1,074,688
Nextlevel Systems Inc * 122,500 2,189,688
Oracle Systems Corp * 75,700 1,689,056
Perkin Elmer Corp 43,700 3,105,431
Sensormatic Electric 115,100 1,891,956
Sun Microsystems * 78,000 3,110,250
U.S. West Media Group * 68,600 1,980,825
-----------
30,732,820
-----------
TRANSPORTATION - 1.14%
Goodyear Tire & Rubber 36,400 2,315,950
Union Pacific Corp 30,800 1,923,075
-----------
4,239,025
-----------
UTILITIES - 3.60%
Dominion Resources Inc 44,300 1,885,519
GTE Corp 56,500 2,952,125
SBC Communications 43,100 3,157,075
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-45
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
Sprint Corp $ 44,800 $ 2,626,400
Worldcom Corp * 91,400 2,764,850
------------
13,385,969
------------
Total Common Stocks (Cost $162,245,362) 176,984,926
------------
CORPORATE BONDS & NOTES - 9.14%
CAPITAL GOODS - 0.72%
Lockheed Martin
6.550% due 05/15/99 1,500,000 1,508,625
Northrop-Grumman
9.375% due 10/15/24 1,000,000 1,173,889
------------
2,682,514
------------
CONSUMER DISCRETIONARY - 0.41%
COX Communication Inc
6.690% due 09/20/04 1,500,000 1,525,028
------------
1,525,028
------------
ENERGY - 2.20%
Columbia Gas System
6.610% due 11/28/02 1,000,000 1,009,560
CSX Corp
7.050% due 05/01/02 1,500,000 1,535,771
Enron Corp
6.625% due 10/15/03 1,500,000 1,511,122
LASMO
7.300% due 11/15/27 3,000,000 3,063,750
Standard Oil Co
9.000% due 06/01/19 1,000,000 1,035,340
------------
8,155,543
------------
FINANCIAL & BUSINESS SERVICES - 2.45%
Associates Corp North America
5.960% due 05/15/37 460,000 468,419
Chrysler Financial Corp
5.625% due 01/15/99 1,000,000 994,955
First Union Corp
6.550% due 10/15/35 1,700,000 1,721,590
Fleetwood Credit Corp Grantor Trust
6.900% due 03/15/12 1,455,100 1,471,658
GMAC
9.125% due 07/15/01 250,000 272,193
Mellon Bank Capital
7.720% due 12/01/26 500,000 521,991
Montell American Financial
7.400% due 03/15/04 1,500,000 1,563,840
Safeco Capital Trust
8.072% due 07/15/37 2,000,000 2,104,578
------------
9,119,224
------------
MATERIALS & PROCESSING - 0.46%
Georgia Pacific
9.950% due 06/15/02 $1,500,000 $ 1,699,170
------------
1,699,170
------------
TRANSPORTATION - 0.76%
Norfolk Southern
6.950% due 05/01/02 1,500,000 1,538,519
Union Tank Car
6.500% due 04/15/08 1,276,372 1,287,936
------------
2,826,455
------------
UTILITIES - 2.14%
Pacificorp
6.750% due 07/15/04 1,000,000 1,018,750
8.900% due 02/15/01 1,000,000 1,079,342
Potomac Electric Power
7.375% due 09/15/25 2,000,000 2,075,600
Southern Co Cap Trust
8.190% due 02/01/37 1,100,000 1,218,250
Southwestern Bell
7.375% due 07/15/27 1,500,000 1,555,185
Western Resources Inc
7.250% due 07/01/99 1,000,000 1,016,299
------------
7,963,426
------------
Total Corporate Bonds & Notes
(Cost $33,321,106) 33,971,360
------------
CONVERTIBLE BONDS - 0.55%
FINANCIAL & BUSINESS SERVICES - 0.55%
Berkshire Hathaway
1.000% due 12/02/01 1,278,000 2,059,178
------------
Total Convertible Bonds
(Cost $1,373,319) 2,059,178
------------
MORTGAGE-BACKED SECURITIES - 11.66%
COLLATERALIZED MORTGAGE OBLIGATION - 0.04%
Donaldson, Lufkin & Jenrette
8.650% due 11/25/24 " 133,398 131,189
------------
131,189
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.86%
6.500% due 05/01/11 " 2,998,516 3,008,778
6.500% due 03/01/12 " 718,565 720,821
6.500% due 02/15/19 " 1,300,000 1,285,577
8.000% due 11/01/26 " 1,260,708 1,306,586
8.500% due 07/01/02 " 561,147 576,438
------------
6,898,200
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-46
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- ------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.19%
6.300% due 12/25/15 " $1,853,926 $ 1,844,656
6.500% due 01/25/23 " 6,220,000 6,269,324
7.000% due 01/14/27 " 2,040,000 2,086,538
8.000% due 11/01/26 " 1,607,294 1,666,426
--------------
11,866,944
--------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 6.57%
7.000% due 06/15/23 " 607,127 614,145
7.000% due 03/15/24 " 445,393 450,631
7.000% due 04/15/24 " 1,253,920 1,268,668
7.000% due 05/15/24 " 92,263 93,348
7.000% due 12/15/25 " 3,595,062 3,629,861
7.000% due 10/15/27 " 2,624,472 2,649,123
7.000% due 12/15/27 " 2,325,529 2,347,365
7.000% due 12/31/27 " 5,000,000 5,047,200
7.375% due 06/20/21 " 201,583 208,078
7.375% due 06/20/23 " 131,229 135,417
9.000% due 04/15/16 " 393,245 430,297
9.000% due 05/15/16 " 904,219 989,413
9.000% due 06/15/16 " 272,434 298,103
9.000% due 08/15/16 " 290,656 318,041
9.000% due 09/15/16 " 564,099 617,249
9.000% due 10/15/16 " 1,044,938 1,143,392
9.000% due 11/15/16 " 896,300 980,750
9.000% due 12/15/16 " 813,871 890,554
9.000% due 01/15/17 " 302,167 330,531
9.000% due 03/15/17 " 608,982 666,147
9.000% due 07/15/17 " 229,993 251,582
9.000% due 08/15/17 " 304,272 332,834
9.000% due 10/15/17 " 343,117 375,325
12.000% due 05/15/16 " 319,873 367,790
--------------
24,435,844
--------------
Total Mortgage-Backed Securities
(Cost $42,340,428) 43,332,177
--------------
OTHER ASSET-BACKED SECURITIES - 3.23%
Alaska Trade Co
6.790% due 10/01/05 2,500,000 2,553,125
Caterpillar Financial
6.300% due 05/25/02 500,000 503,560
CS First Boston Mortgage Security Corp
6.400% due 02/17/04 " 1,400,000 1,409,188
Greentree Financial
6.700% due 10/15/17 1,000,000 1,009,260
Greentree Home Improvement Loan Trust
6.390% due 01/15/29 " 2,000,000 2,001,250
Greentree Rec, Equip, & Consumer Trust
5.550% due 02/15/18 399,991 396,519
Morgan Stanley Mtg Trst
8.950% due 05/01/17 " 371,110 383,565
Premier Auto Trust
4.650% due 11/02/99 " 174,022 172,717
The Money Store Home Equity
6.440% due 09/15/24 500,000 499,964
U.S.A Bancorp
8.270% due 12/15/26 2,000,000 2,172,990
World Omni Auto Lease
6.300% due 06/25/02 301,400 302,162
6.750% due 06/25/03 600,000 602,202
--------------
Total Other Asset-Backed Securities
(Cost $11,788,613) 12,006,502
--------------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.01%
FNMA (IO)
6.000% due 12/25/07 " 401,515 39,085
--------------
Total Stripped Mortgage-Backed Securities
(Cost $46,036) 39,085
--------------
U.S. TREASURY BONDS - 10.66%
6.500% due 11/15/26 ** 8,385,000 8,953,612
8.500% due 02/15/20 23,609,000 30,691,724
--------------
Total U.S. Treasury Bonds
(Cost $35,562,463) 39,645,336
--------------
U.S. TREASURY NOTES - 4.85%
5.875% due 02/15/00 2,155,000 2,164,430
6.000% due 06/30/99 12,841,000 12,909,224
6.875% due 07/31/99 2,910,000 2,961,836
--------------
Total U.S. Treasury Notes
(Cost $18,011,627) 18,035,490
--------------
FOREIGN BOND - 3.84%
Canada - 1.79%
Canadian Imperial Bank
6.200% due 08/01/00 2,500,000 2,507,488
Hydro Quebec
8.875% due 03/01/26 2,100,000 2,615,088
McKesson Financial Canada
6.550% due 11/01/02 ~ 1,500,000 1,521,414
--------------
6,643,990
--------------
CHINA - 0.07%
Guangdong International
8.750% due 10/24/16 ~ 250,000 258,601
--------------
258,601
--------------
</TABLE>
See Notes Financial Statements See explanation of symbols on A-65
A-47
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- ------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
FRANCE - 0.16%
Legrand S.A.
8.500% due 02/15/25 $ 500,000 $ 596,325
--------------
596,325
--------------
GERMANY - 0.42%
Ford Motor Credit
8.625% due 01/24/00 1,515,000 1,581,281
--------------
1,581,281
--------------
INDONESIA - 0.02%
Sampoerna International
8.375% due 06/15/06 ~ 100,000 73,743
--------------
73,743
--------------
MALAYSIA - 0.19%
Petroliam Nasional Berhd
7.750% due 08/15/15 ~ 750,000 690,693
--------------
690,693
--------------
NETHERLANDS - 0.52%
BTM Curacao Holding
6.406% due 09/29/49 2,000,000 1,920,000
--------------
1,920,000
--------------
UNITED KINGDOM - 0.67%
Abbey National
8.200% due 10/15/04 1,000,000 1,097,561
Midland Bank PLC
8.625% due 12/15/04 1,250,000 1,396,169
--------------
2,493,730
--------------
Total Foreign Bonds
(Cost $13,663,759) 14,258,363
--------------
Total Investments in Securities
at Market Value (Cost $320,885,616) 343,029,016
--------------
- --------------------------------------------------------------------------
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.73%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97 , repurchase price
of $28,729,364; collateralized by U.S.
Treasury Notes - market value
$29,299,144 and due 05/15/98) $28,722,582 $ 28,722,582
-------------
Total Securities Held Under Repurchase
Agreement 28,722,582
-------------
Total Short-Term Investments
at Amortized Cost 28,722,582
-------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $349,608,198) $ 371,751,598
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Securities with an approximate aggregate market value of $8,953,612 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at December 31, 1997:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ----------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 year Notes (3/98) 23 $ 1,797
U.S. Treasury 30 year Bonds (3/98) 26 37,938
--------------
$ 39,735
==============
</TABLE>
(b) At December 31, 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 $349,608,198
==============
Aggregate gross unrealized appreciation for
all investments in which there was an excess of
value over tax cost $26,609,329
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (4,465,929)
--------------
Net unrealized appreciation $22,143,400
==============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-48
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 89.98%
CAPITAL GOODS - 1.15%
Boeing 60,000 $ 2,936,250
U.S. Filter Corp * 25,000 748,438
-----------
3,684,688
-----------
CONSUMER DISCRETIONARY - 24.45%
Avon Products Inc 125,000 7,671,875
Callaway Golf Co 200,000 5,712,500
General Electric 140,000 10,272,500
Home Depot Inc 175,000 10,303,125
Mattel Inc 160,000 5,960,000
McDonalds Corp 90,000 4,297,500
Motorola 85,000 4,850,313
Procter & Gamble 85,000 6,784,062
Walt Disney Productions 100,000 9,906,250
Warner Lambert Co 100,000 12,400,000
------------
78,158,125
------------
CONSUMER STAPLES - 6.27%
Beringer Wine Estates 'B' * 34,000 1,292,000
Coca-Cola 40,000 2,665,000
Colgate Palmolive 50,000 3,675,000
International Home Foods * 100,000 2,800,000
Panamerican Beverages Inc 'A' 60,000 1,957,500
Starbucks Corp * 200,000 7,675,000
-----------
20,064,500
-----------
ENERGY - 4.43%
Santa Fe International Corp 150,000 6,103,125
Schlumberger Ltd 100,000 8,050,000
-----------
14,153,125
-----------
FINANCIAL & BUSINESS SERVICES - 15.84%
Ahmanson (H.F.) & Co 70,000 4,685,625
American International Group Inc 65,000 7,068,750
Associates First Capital Corp 50,000 3,556,250
BankBoston Corp 70,000 6,575,625
Chase Manhattan Corp 50,000 5,475,000
Citicorp 50,000 6,321,875
FNMA 50,000 2,853,125
Friedman Billings Ramsey 'A' * 100,000 1,793,750
Hartford Life Inc 100,000 4,531,250
Household International Inc 50,000 6,378,125
SLM Holding Corp 10,000 1,391,250
-----------
50,630,625
-----------
HEALTH CARE - 9.38%
Johnson & Johnson 50,000 3,293,750
Lilly (Eli) & Co 200,000 13,925,000
Merck & Co Inc 50,000 5,312,500
Pfizer Inc 100,000 7,456,250
-----------
29,987,500
-----------
TECHNOLOGY - 23.84%
America Online Inc * 100,000 8,918,750
Bay Networks Inc * 100,000 2,556,250
CISCO Systems Inc * 75,000 4,181,250
Compaq Computer Corp 140,000 7,901,250
Dell Computer Corp * 100,000 8,400,000
Hewlett Packard Co 75,000 4,687,500
Honeywell Inc 75,000 5,137,500
IBM Corp 25,000 2,614,062
Lucent Technologies Inc 100,000 7,987,500
Microsoft Corp * 60,000 7,755,000
Nokia Corp ADR 90,000 6,300,000
Peoplesoft Inc * 150,000 5,850,000
Philips Electronics 65,000 3,932,500
-----------
76,221,562
-----------
TRANSPORTATION - 1.26%
Hertz Corp 'A' 4,025,000
-----------
4,025,000
-----------
UTILITIES - 3.36%
AT&T Corp 60,000 3,675,000
Ericsson (LM) Tel 'B' ADR 100,000 3,731,250
Worldcom Corp * 110,000 3,327,500
-----------
10,733,750
-----------
Total Common Stocks (Cost $230,614,026) 287,658,875
-----------
Total Investments in Securities
at Market Value (Cost $230,614,026) 287,658,875
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-49
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 10.02%
Citibank N.A.
6.350% due 01/02/98
(Dated 12/31/97, repurchased price
of $32,047,302; collateralized by U.S.
Treasury Note - market value
$32,677,163 and due 04/30/02) $32,036,000 $ 32,036,000
------------
Total Securities Held Under Repurchase
Agreement 32,036,000
------------
Total Short-Term Investments
at Amortized Cost $ 32,036,000
------------
TOTAL EQUITY PORTFOLIO
(COST $262,650,026) $319,694,875
------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) At December 31, 1997, the net unrealized appreciation
(depreciation) of investments based on cost of investments for
federal income tax purposes was as follows:
Tax cost basis $262,650,026
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 62,396,626
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (5,351,777)
------------
Net unrealized appreciation $ 57,044,849
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-50
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
CORPORATE BONDS & NOTES - 83.83%
CAPITAL GOODS - 10.23%
Boeing
6.875% due 10/15/43 $2,000,000 $ 2,067,500
James River Corp
7.750% due 11/15/23 1,000,000 1,073,725
Lockhead Martin
7.750% due 05/01/26 1,500,000 1,681,875
Loral
7.000% due 09/15/23 2,090,000 2,125,875
Northrop Grumman Corp
7.750% due 03/01/16 2,000,000 2,202,500
Toro Co
7.800% due 06/15/27 2,000,000 2,177,500
--------------
11,328,975
--------------
CONSUMER DISCRETIONARY - 13.59%
CBS Inc
7.125% due 11/01/23 2,000,000 1,865,000
Dayton Hudson Co
9.700% due 06/15/21 500,000 653,125
Federal Express
7.600% due 07/01/97 2,000,000 2,127,500
Fruit of the Loom
7.375% due 11/15/23 2,000,000 1,967,500
ITT Destinations Corp
7.750% due 11/15/25 1,000,000 942,935
News America Holdings
7.750% due 12/01/45 2,100,000 2,197,125
Time Warner Entertainment
8.375% due 07/15/33 2,000,000 2,287,500
Times Mirror Co
7.250% due 11/15/96 1,000,000 1,074,950
Walt Disney Productions
7.550% due 07/15/93 1,750,000 1,935,938
--------------
15,051,573
--------------
CONSUMER STAPLES - 12.27%
Anheuser Busch
6.750% due 12/15/27 1,500,000 1,515,000
7.000% due 12/01/25 2,000,000 2,030,000
Coca-Cola Enterprise
6.750% due 09/15/23 1,500,000 1,496,250
Hershey Foods Co
7.200% due 08/15/27 4,000,000 4,285,000
Ralston Purina
7.8750% due 06/15/25 1,500,000 1,685,625
8.6250% due 02/15/22 500,000 602,500
Seagram Co Limited
6.875% due 09/01/23 2,000,000 1,982,500
--------------
13,596,875
--------------
ENERGY - 2.07%
Apache Corp
7.625% due 11/01/96 $1,000,000 $ 1,076,250
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,218,640
--------------
2,294,890
--------------
FINANCIAL & BUSINESS SERVICES - 15.18%
American General
7.500% due 07/15/25 1,500,000 1,623,750
Bank One Corp
8.000% due 04/29/27 3,000,000 3,412,500
GMAC
7.400% due 19/01/25 1,000,000 1,061,250
International Bank
0.000% due 07/15/29 * 17,140,000 2,506,725
0.000% due 03/11/31 * 10,000,000 1,412,500
NationsBank
7.250% due 10/15/25 3,500,000 3,675,000
Republic New York Corp
7.200% due 07/15/97 3,000,000 3,127,500
--------------
16,819,225
--------------
HEALTH CARE - 10.11%
Amgen Inc
8.125% due 04/01/97 3,500,000 4,016,250
Columbia/HCA Healthcare
7.500% due 11/15/95 3,500,000 3,491,250
Merck & Co Inc
6.300% due 01/01/26 1,000,000 973,750
Rite Aid Corp
7.700% due 02/15/27 2,500,000 2,718,750
--------------
11,200,000
--------------
MATERIALS & PROCESSING - 4.20%
Dow Chemical
7.375% due 03/01/23 1,500,000 1,591,875
Georgia-Pacific
7.375% due 12/01/25 1,500,000 1,509,375
Lyondell Petrochemical
7.550% due 02/15/26 1,500,000 1,556,250
--------------
4,657,500
--------------
TECHNOLOGY - 4.64%
Harris Corp
7.000% due 01/15/26 1,000,000 992,500
IBM Corp
7.125% due 12/01/96 4,000,000 4,153,360
--------------
5,145,860
--------------
</TABLE>
See Notes to Financial Statements See Explanation of symbols on A-65
A-51
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------ -----
<S> <C> <C>
TRANSPORTATION - 10.60%
AMR Corp
9.000% due 09/15/16 $ 4,500,000 $ 5,349,375
Chrysler Corp
7.450% due 02/01/97 2,000,000 2,121,920
Ford Motor Co
7.700% due 05/15/97 2,000,000 2,222,500
Johnson Controls
6.950% due 12/01/45 2,000,000 2,045,000
--------------
11,738,795
--------------
UTILITY - 0.94%
BellSouth Telecommunications
7.000% due 12/01/95 1,000,000 1,044,460
--------------
1,044,460
--------------
Total Corporate Bonds & Notes
(Cost $85,012,691) 92,878,153
--------------
U.S. TREASURY BONDS - 9.84%
6.000% due 02/15/26 10,000,000 9,989,063
7.125% due 02/15/23 800,000 913,373
--------------
Total U.S. Treasury Bonds
(Cost $10,046,649) 10,902,436
--------------
U.S. TREASURY STRIPPED - 1.80%
Strip Principal
0.000% due 02/15/25 * 10,000,000 1,991,200
--------------
Total U.S. Treasury Stripped
(Cost $1,662,221) 1,991,200
--------------
FOREIGN GOVERNMENT - 3.14%
British Colombia
7.250% due 09/01/36 1,000,000 1,103,750
Province of Newfoundland
7.320% due 01/13/23 1,000,000 1,075,324
Province of Saskatchewan
9.125% due 02/15/21 1,000,000 1,301,300
--------------
Total Foreign Government
(Cost $3,046,751) 3,480,374
--------------
Total Investments in Securities
at Market Value (Cost $99,768,312) 109,252,163
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.39%
Citibank N.A.
6.350% due 01/02/98
(Dated 12/31/97, repurchase price
of $1,546,545; collateralized by U.S.
Treasury Notes - market value
$1,579,388 and due 04/30/02) $1,546,000 $ 1,546,000
--------------
Total Securities Held Under Repurchase
Agreement 1,546,000
--------------
Total Short-Term Investments
at Amortized Cost 1,546,000
--------------
TOTAL BOND AND INCOME PORTFOLIO
(COST $101,314,312) $110,798,163
==============
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) At December 31, 1997, the net unrealized
appreciation (depreciation) of investments
based on cost of investments for federal income
tax purposes was as follows:
Tax cost basis $101,527,422
==============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $9,311,051
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (40,310)
--------------
Net unrealized appreciation $9,270,741
==============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-52
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- -----------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
COMMON STOCKS - 98.26%
CAPITAL GOODS - 4.08%
Aeroquip-Vickers Inc 1,400 $ 68,687
AlliedSignal Inc 64,900 2,527,044
AMP Inc 26,400 1,108,800
Armstrong World Industries 5,400 403,650
ASARCO Inc 3,800 85,263
Ball Corp 1,300 45,906
Black & Decker Corp 8,400 328,125
Boeing 112,610 5,510,852
Briggs & Stratton Co 3,000 145,687
Browning Ferris 22,900 847,300
Case Corp 9,600 580,200
Caterpillar Inc 43,800 2,127,038
Cooper Industries Inc 11,900 583,100
Cummins Engine Inc 5,400 318,937
Deere & Co 29,800 1,737,712
Emerson Electric Co 51,100 2,883,956
Foster Wheeler Corp 3,500 94,719
General Dynamics Corp 6,720 580,860
General Signal Corp 6,000 253,125
Grainger (W.W.) Inc 5,400 524,813
Illinios Tool Works 26,200 1,575,275
Ingersoll Rand Co 19,650 795,825
Lockheed Martin Corp 22,971 2,262,643
Masco Corp 20,100 1,022,588
National Semiconductor * 19,300 500,594
Navistar International Corp * 4,660 115,626
Northrop Grumman Corp 7,900 908,500
Parker Hannifin Corp 13,975 641,103
Textron Inc 17,400 1,087,500
Thomas & Betts Corp 6,800 321,300
TRW Inc 14,500 773,938
Tyco Laboratories 62,600 2,820,913
United Technologies 26,600 1,936,813
--------------
35,518,392
--------------
CONSUMER DISCRETIONARY - 20.51%
Alcan Aluminium Limited 21,600 596,700
Alltel Corp 18,600 763,763
American General Corp 27,065 1,463,202
American Greetings 'A' 8,960 350,560
American Home Products 73,400 5,615,100
American Stores Co 34,300 705,294
Autozone Inc * 16,900 490,100
Avery Dennison Corp 11,300 505,675
Avon Products Inc 15,700 963,588
Bausch & Lomb Inc 4,600 182,275
Bristol Myers Squibb 114,400 10,825,100
CBS Corp 83,400 2,455,088
Cendant Corp * 95,266 3,274,771
Charming Shoppes Inc 1,280 6,000
Circuit City Stores 13,000 462,313
Clear Channel Commumications * 10,500 834,094
Coastal Corp 12,300 761,831
Comcast 'A' 36,135 1,140,511
ConAgra 51,800 1,699,688
Corning Inc 27,500 1,020,938
Costco Cos * 25,222 1,125,532
Crane Co 2,500 108,438
CVS Corp 18,800 1,204,375
Darden Restaurants 11,200 140,000
Dayton Hudson Corp 25,300 1,707,750
Deluxe Corp 6,400 220,800
Dillard Department Stores 14,000 493,500
Donnelley (RR) & Sons 16,000 596,000
DSC Communications * 13,820 331,680
E G & G Inc 1,700 35,381
Eastern Enterprises 100 4,500
Eastman Kodak 36,300 2,207,494
Ecolab Inc 5,570 308,787
Federal Express Corp * 13,700 836,556
Federated Department Stores * 23,700 1,020,581
Fleetwood Enterprise 1,800 76,388
Fluor Corp Del 11,200 418,600
Fort James Corp 23,300 891,225
Fruit of the Loom * 7,100 181,937
Gap Inc 46,500 1,647,844
General Electric 372,000 27,295,500
General Mills Inc 18,600 1,332,225
Gillette Co 62,800 6,307,475
Great Atlantic & Pacific 3,400 100,937
H & R Block 13,100 587,044
Harcourt General Inc 3,842 210,350
Harland (John H.) Co 1,000 21,000
Harrah's Entertainment Inc * 10,350 195,356
Hasbro Inc 15,150 477,225
Hilton Hotels Corp 30,700 913,325
Home Depot Inc 82,000 4,827,750
Ikon Office Solutions Inc 14,200 399,375
International Flavors/Fragrances 14,400 741,600
Interpublic Group 11,650 580,316
Jostens Inc 1,048 24,169
Kimberly Clark Corp 64,452 3,178,289
King World Productions 5,400 311,850
Kmart Corp 59,100 683,344
Knight-Ridder Inc 11,200 582,400
Kroger Co * 28,300 1,045,331
Limited Inc 30,490 777,495
Liz Claiborne Inc 8,560 357,915
Longs Drug Stores 1,200 38,550
Marriott International Inc 14,900 1,031,825
Mattel Inc 33,650 1,253,462
May Department Stores Co 26,700 1,406,756
Maytag Corp 12,200 455,212
McDonalds Corp 76,600 3,657,650
McGraw Hill Inc 12,700 939,800
MCI Communications Corp 76,880 3,291,425
Mercantile Stores 2,300 140,012
Meredith Corp 2,800 99,925
Mirage Resorts Inc * 16,600 377,650
Motorola 67,100 3,828,894
National Services Industries 4,400 218,075
New York Times Co 11,100 733,987
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-53
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Newell Co 16,000 $ 680,000
Nike Inc 22,400 879,200
Nordstrom Inc 9,360 565,110
Omnicom Group Inc 18,400 779,700
Penny (J.C.) Inc 29,200 1,761,125
PPG Industries Inc 22,000 1,256,750
Procter & Gamble 153,000 12,211,312
Reebok International Limited 5,880 169,417
Rite Aid Corp 15,100 886,181
Rubbermaid Inc 16,900 422,500
Russell Corp 1,500 39,844
Sears Roebuck 42,600 1,927,650
Service Corp International 29,300 1,082,269
Sigma Aldrich Corp 12,700 504,825
Springs Industries Inc 700 36,400
Sysco Corp 20,800 947,700
Tandy Corp 12,872 496,376
Tele-Communications 'A' * 51,610 1,441,854
Tellabs Inc * 21,700 1,147,387
Time Warner Inc 58,020 3,597,240
Times Mirror 'A' 6,188 380,562
TJX Cos Inc 19,300 663,437
Toys R Us * 32,100 1,009,144
Tribune Co 15,300 952,425
Tricon Global Restaurants * 19,370 562,941
Tupperware Corp 8,100 225,788
Unicom Corp 27,300 839,475
VF Corp 14,400 661,500
Viacom International Inc 33,738 1,398,018
Wal-Mart Stores Inc 254,400 10,032,900
Walgreen Co 57,200 1,794,650
Walt Disney Productions 76,002 7,528,948
Warner Lambert Co 31,500 3,906,000
Wendy's International Inc 18,200 437,937
Whirlpool Corp 9,300 511,500
Winn Dixie Stores 14,100 615,994
Woolworth Corp 16,800 342,300
--------------
178,793,812
--------------
CONSUMER STAPLES - 8.14%
Albertson's Inc 29,200 1,383,350
Anheuser Busch 57,900 2,547,600
Archer-Daniel Midland 67,014 1,453,366
Brown Forman Inc 'B' 2,361 130,445
Campbell Soup Co 50,800 2,952,750
Coca-Cola 280,700 18,701,637
Colgate Palmolive 35,000 2,572,500
Coors Adolph 4,890 162,592
CPC International Inc 17,000 1,831,750
Fortune Brands Inc 19,000 704,187
Giant Foods Inc 4,100 138,119
Heinz (H.J.) Co 43,650 2,217,966
Hershey Foods Corp 11,700 724,669
Kellogg Co 45,300 2,248,012
PepsiCo 171,700 6,256,319
Philip Morris Co Inc 274,400 12,433,750
Pioneer Hi-Bred Inc 7,880 845,130
Polaroid Corp 5,300 258,044
Quaker Oats Co 17,100 902,025
Ralston-Purina Group 11,200 1,040,900
Sara Lee Corp 56,400 3,176,025
Seagrams Limited 42,200 1,363,588
Supervalue Inc 8,600 360,125
Unilever N.V. 74,600 4,657,837
UST Inc 22,500 831,094
Whitman Corp 12,800 333,600
Wrigley (W.M. Jr.) Co 9,400 747,888
--------------
70,975,268
--------------
ENERGY - 11.08%
Amerada Hess Corp 11,200 614,600
Amoco Corp 55,900 4,758,488
Anadarko Petroleum 5,600 339,850
Apache Corp 9,600 336,600
Armco Inc 500 2,469
Ashland Oil Inc 10,200 547,613
Atlantic Richfield 37,900 3,036,737
Baker Hughes Inc 18,200 793,975
Carolina Power & Light 13,800 585,637
Central & South West 28,800 779,400
Chevron Corp 73,900 5,690,300
Columbia Gas System Inc 7,200 565,650
Consolidated Edison Co 28,600 1,172,600
Consolidated Natural Gas 12,200 738,100
CSX Corp 23,700 1,279,800
Cyprus Minerals Co 7,600 116,850
Dresser Industries Inc 21,700 910,044
Duke Power 39,726 2,199,827
duPont (EI) deNemours 127,700 7,669,981
Echo Bay Mines Limited 8,100 19,744
Enron Corp 35,900 1,492,094
Exxon Corp 279,600 17,108,025
Firstenergy Corp 29,300 849,700
FMC Corp * 4,700 316,369
Halliburton 30,100 1,563,319
Helmerich & Payne 3,800 257,925
Homestake Mining Co 15,600 138,450
Inco Limited 21,700 368,900
Kerr McGee Corp 5,600 354,550
McDermott International Inc 5,100 186,787
Minnesota Mining & Mfg Co 48,300 3,963,619
Mobil Corp 90,400 6,525,750
Newmont Mining Corp 19,622 576,396
Occidental Petroleum Corp 41,600 1,219,400
Paccar Inc 9,666 507,465
Pennzoil Co 5,600 374,150
Peoples Energy Corp 1,200 47,250
Phillips Petroleum Co 29,800 1,449,025
Rowan Cos Inc * 10,600 323,300
Royal Dutch Petroleum Guild 243,000 13,167,562
Schlumberger Ltd 55,800 4,491,900
Sonat Inc 11,400 521,550
Sun Company Inc 8,457 355,723
Tenneco Inc 19,100 754,450
Texaco Inc 62,900 3,420,187
Union Pacific Resources 28,526 691,755
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-54
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Unocal Corp 29,900 $ 1,160,494
USX-Marathon Group 34,100 1,150,875
Williams Cos 38,600 1,095,275
----------
96,590,510
----------
FINANCIAL & BUSINESS SERVICES - 17.43%
Aetna Life & Casualty Co 17,439 1,230,539
Ahmanson (H.F.) & Co 12,100 809,944
Allstate Corp 49,389 4,488,225
American Express 52,100 4,649,925
American International Group Inc 78,950 8,585,813
Aon Corp 17,050 999,556
Banc One Corp 68,740 3,733,441
Bank of New York Co Inc 44,200 2,555,313
BankAmerica Corp 77,884 5,685,532
BankBoston Corp 17,300 1,625,119
Barnett Banks of Florida 22,900 1,645,938
BB&T Corp 17,100 1,095,469
Beneficial Corp 6,500 540,313
Chase Manhattan Corp 47,140 5,161,830
Chubb Corp 19,600 1,482,250
CIGNA Corp 8,900 1,540,256
Cincinnati Financial Corp 3,200 450,400
Cinergy Corp 18,113 693,954
Citicorp 51,500 6,511,531
Cognizant Corp 16,500 735,281
Comerica Inc 13,200 1,191,300
Conseco Inc 20,700 940,556
Corestates Financial 23,740 1,900,684
Countrywide Credit Industries Inc 11,000 471,625
Dow Jones & Co Inc 10,100 542,244
Dun & Bradstreet 19,700 609,469
Equifax Inc 16,200 574,088
FHLMC 81,600 3,422,100
Fifth Third Bancorp 18,450 1,508,288
First Chicago NBD Corp 34,487 2,879,665
First Data Corp 50,500 1,477,125
First Union Corp 73,910 3,787,888
Fleet Financial Group Inc 26,965 2,020,690
FNMA 121,000 6,904,563
Gannett Inc 32,600 2,015,087
Golden West Financial Corp 4,900 479,281
Green Tree Financial Corp 16,400 429,475
Hartford Financial Services Group 14,200 1,328,587
Household International Inc 12,600 1,607,287
Huntington Bancshares 23,000 828,000
ITT Corp * 13,900 1,151,962
ITT Industries Inc 11,900 373,362
Jefferson Pilot Corp 8,200 638,575
Keycorp 26,300 1,862,369
Laidlaw Inc 'B' 30,000 408,750
Lincoln National Corp 10,300 804,687
Marsh & McLennan Cos 20,800 1,550,900
MBIA Inc 9,200 614,675
MBNA Corp 59,525 1,625,777
Mellon Bank Corp 30,300 1,836,937
Merrill Lynch Co 38,200 2,786,212
MGIC Investment Corp 14,300 950,950
Morgan (J.P.) and Co Inc 21,300 $ 2,404,238
Morgan Stanley 65,874 3,894,800
National City Corp 25,800 1,696,350
NationsBank Corp 82,876 5,039,897
Norwest Corp 88,700 3,426,038
PNC Bank Corp 37,600 2,145,550
Progressive Corp 8,600 1,030,925
Providian Corp 11,400 515,138
Pulte Corp 700 29,269
Republic New York Corp 6,300 719,381
Safeco Corp 17,540 855,075
Schwab (Charles) Corp 30,300 1,270,706
St. Paul Cos Inc 10,260 841,961
State Street Corp 17,800 1,035,737
SunAmerica Inc 21,300 910,575
Suntrust Banks Inc 24,000 1,713,000
Synovus Financial Corp 21,700 710,675
Torchmark Corp 14,200 597,287
Transamerica Corp 7,070 752,955
Travelers Inc 129,159 6,958,441
U.S. Bancorp 28,279 3,165,481
UNUM Corp 16,400 891,750
USF & G Corp 9,400 207,387
Wachovia Corp 25,000 2,028,125
Washington Mutual Inc 29,840 1,904,165
Wells Fargo & Co 10,100 3,428,319
-----------
151,917,012
-----------
HEALTH CARE - 8.78%
Abbott Laboratories 88,800 5,821,950
Allergan Inc 5,200 174,525
Alza Corp * 9,700 308,581
Amgen Inc * 30,400 1,645,400
Bard (C.R.) Inc 6,000 187,875
Baxter International Inc 33,200 1,674,525
Becton Dickinson 15,200 760,000
Biomet Inc 14,740 377,712
Boston Scientific Corp * 23,000 1,055,125
Cardinal Health Inc 13,100 984,137
Columbia/HCA Healthcare 69,484 2,058,463
Guidant Corp 17,300 1,076,925
HBO & Co 23,500 1,128,000
Healthsouth Corp * 43,000 1,193,250
Humana Inc 16,200 336,150
Johnson & Johnson 153,000 10,078,875
Lilly (Eli) & Co 125,500 8,737,938
Mallinckrodt Group Inc 8,900 338,200
Manor Care Inc 4,950 173,250
Medtronic Inc 54,900 2,871,956
Merck & Co Inc 135,800 14,428,750
Pfizer Inc 146,600 10,930,863
Pharmicia & Upjohn Inc 59,335 2,173,144
Schering-Plough 84,900 5,274,413
St. Jude Medical 11,020 336,110
Tenet Healthcare Corp * 32,600 1,079,875
U.S. Surgical Corp 7,200 211,050
United Healthcare Corp 22,600 1,122,938
-----------
76,539,980
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-55
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
MATERIALS & PROCESSING - 4.02%
Allegheny Teledyne Inc 16,605 $ 429,654
Aluminum Company of America 20,000 1,407,500
Applied Materials * 41,800 1,259,225
Barrick Gold Corp 44,200 823,225
Battle Mountain Gold 'A' 11,400 66,975
Bemis Inc 7,300 321,656
Bethlehem Steel Corp 13,600 117,300
Boise Cascade Corp 6,700 202,675
Burlington Northern Santa Fe 17,470 1,623,618
Burlington Resources Inc 19,547 875,950
Clorox Co 12,400 980,375
Crown Cork & Seal 14,700 736,837
Dover Corp 23,000 830,875
Dow Chemical 26,800 2,720,200
Eastman Chemical Co 8,525 507,770
Engelhard Corp 12,812 222,608
Freeport McMoran Copper 'B' 11,400 179,550
Georgia-Pacific Timber Group 9,800 222,337
Grace (W.R.) & Co 8,400 675,675
Great Lakes Chemical 5,500 246,813
Harnischfeger Industries Inc 6,500 229,531
Hercules Inc 12,100 605,756
Inland Steel Industries Inc 3,100 53,088
International Paper 35,823 1,544,867
Johnson Controls Inc 10,600 506,150
Loew's Corp 11,700 1,241,663
Louisiana Pacific Corp 11,800 224,200
Lowe's Co 20,800 991,900
Martin Marietta Material 1 37
Mead Corp 12,600 352,800
Monsanto Co 65,100 2,734,200
Moore Limited 8,200 124,025
Morton International 13,700 470,938
Nalco Chemical Co 5,200 205,725
Nucor Corp 11,400 550,763
Owens-Illinois Inc * 16,000 607,000
Owens Corning Fiberglass 3,300 112,612
Pall Corp 15,766 326,159
Phelps Dodge Corp 7,600 473,100
Placer Dome Inc 26,500 336,219
Potlatch Corp 1,300 55,900
Praxair Inc 18,900 850,500
Reynolds Metals Co 9,900 594,000
Rohm & Haas Co 5,900 564,925
Safety Kleen Corp 8,800 241,450
Sherwin Williams Co 20,800 577,200
Stanley Works 8,100 382,219
Stone Container Corp 11,312 118,069
Temple Inland Inc 7,000 366,188
Timken Co 6,800 233,750
Union Camp Corp 8,900 477,819
Union Carbide Corp 16,500 708,469
USX-US Steel Group 11,060 345,625
Waste Management Inc 47,600 1,309,000
Westvaco Corp 10,300 323,806
Weyerhaeuser Co 23,700 $ 1,162,781
Willamette Industries 9,900 318,656
Worthington Industries Inc 15,255 251,707
------------
35,023,615
------------
TECHNOLOGY - 12.60%
3 Com Corp * 37,400 1,306,663
Adobe Systems Inc 8,600 354,750
Advanced Micro Devices * 15,600 279,825
Apple Computer 14,050 184,406
Autodesk Inc 5,860 216,820
Automatic Data Processing 34,300 2,105,163
Bay Networks Inc * 21,700 554,706
Cabletron Systems * 19,700 295,500
Ceridian Corp * 9,400 430,638
Cincinnati Milacron 2,500 64,844
CISCO Systems Inc * 114,600 6,388,950
Compaq Computer Corp 85,502 4,825,519
Computer Association International 60,600 3,204,225
Computer Sciences * 9,200 768,200
Data General Corp * 6,300 109,856
Dell Computer Corp * 37,700 3,166,800
Digital Equipment Corp * 17,500 647,500
Eaton Corp 9,800 874,650
EMC Corp * 58,500 1,605,094
Frontier Corp 16,800 404,250
Harris Corp 8,400 385,350
Hewlett Packard Co 117,900 7,368,750
Honeywell Inc 15,500 1,061,750
IBM Corp 110,000 11,501,875
Intel Corp 185,480 13,029,970
KLA-Tencor Corp * 10,500 405,562
LSI Logic * 16,500 325,875
Lucent Technologies Inc 72,214 5,768,093
Micron Technology 22,200 577,200
Microsoft Corp * 137,100 17,720,175
Millipore Corp 4,752 161,271
Nextlevel Systems Inc * 18,600 332,475
Northern Telecom Limited 29,800 2,652,200
Novell Inc * 37,800 283,500
Oracle Systems Corp * 111,035 2,477,468
Parametric Technology Corp * 16,000 758,000
Perkin Elmer Corp 6,100 433,481
Pitney Bowes Inc 17,000 1,528,938
Raychem Corp 9,400 404,788
Raytheon Co 'A' 5,255 259,120
Raytheon Co 'B' 32,900 1,661,450
Rockwell International Corp 25,300 1,321,925
Scientific Atlanta 8,800 147,400
Seagate Technology * 28,600 550,550
Shared Medical Systems Corp 3,000 198,000
Silicon Graphics * 23,344 290,341
Sun Microsystems * 45,100 1,798,362
Tektronix 6,450 255,984
Texas Instruments Inc 42,500 1,912,500
Thermo Electron Corp * 16,000 712,000
U.S. West Media Group * 71,400 2,061,675
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-56
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Unisys Corp * 20,200 $ 280,275
Western Atlas Inc * 7,100 525,400
Xerox Corp 38,400 2,834,400
------------
109,774,462
------------
TRANSPORTATION - 3.34%
Air Products & Chemicals 14,100 1,159,725
AMR Corp Del * 9,700 1,246,450
Brunswick Corp 8,900 269,781
Caliber Systems Inc 4,680 227,858
Champion International Corp 12,400 561,875
Chrysler Corp 76,344 2,686,355
Cooper Tire & Rubber Corp 6,900 168,188
Dana Corp 10,100 479,750
Delta Air Lines 9,100 1,082,900
Echlin Inc 8,200 296,738
Ford Motor Co 127,000 6,183,312
General Motors Corp 82,400 4,995,500
General Re Corp 9,300 1,971,600
Genuine Parts Co 16,975 576,089
Georgia-Pacific Corp * 9,800 595,350
Goodrich (B.F.) Co 7,400 306,637
Goodyear Tire & Rubber 19,400 1,234,325
Norfolk Southern 44,100 1,358,831
Pep Boys 8,200 195,775
Ryder Systems Inc 6,500 212,875
Snap On Inc 4,350 189,769
Southwest Airlines 27,150 668,569
U.S. Airways Group Inc * 9,500 593,750
Union Pacific Corp 29,500 1,841,906
------------
29,103,908
------------
UTILITIES - 8.28%
Andrew Corp * 11,525 276,600
Airtouch Communications Inc * 55,200 2,294,250
American Electric Power Inc 19,000 980,875
Ameritech Corp 63,500 5,111,750
AT&T Corp 183,900 11,263,875
Baltimore Gas & Electric 12,150 413,859
Bell Atlantic Corp 87,361 7,949,851
Bell South Corp 114,700 6,459,044
Centex Corp 2,700 169,931
Dominion Resources Inc 18,750 798,047
DTE Energy Co 16,600 575,813
Edison International 42,100 1,144,594
Entergy Corp 30,700 919,081
FPL Group Inc 20,500 1,213,344
GPU Inc 15,800 665,575
GTE Corp 111,700 5,836,325
Houston Industry Inc 36,929 985,543
Niagara Mohawk Power 10,800 113,400
NICOR Inc 3,400 143,438
Northern States Power Co 6,200 361,150
Oryx Energy Co 11,900 303,450
Pacific Enterprises 11,000 413,875
Pacific Gas & Electric 52,900 1,610,144
Pacificorp 30,700 $ 838,494
Peco Energy Co 24,200 586,850
PP&L Resources 13,500 323,156
Public Services Enterprises 30,200 956,962
SBC Communications 102,974 7,542,845
Southern Co 83,000 2,147,625
Sprint Corp 40,700 2,386,037
Texas Utilities Co 29,610 1,230,666
U.S. West Communications 57,600 2,599,200
Union Electric Co 8,600 371,950
Worldcom Corp * 105,100 3,179,275
------------
72,166,874
------------
Total Common Stocks
(Cost $663,191,491) 856,403,833
------------
Total Investments in Securities
at Market Value (Cost $663,191,491) 856,403,833
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
U.S. TREASURY BILLS - 0.09%
5.18% due 04/30/98 ** $ 580,000 570,171
5.20% due 04/30/98 ** 250,000 245,764
------------
Total U.S. Treasury Bills 815,935
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.65%
State Street Bank and Trust
4.250% due 01/02/98
(Dated 12/31/97, repurchased price
of $14,338,385; collateralized by U.S.
Treasury Note - market value
$14,621,831 and due 05/15/98) 14,335,000 14,335,000
------------
Total Securities Held Under Repurchase
Agreement 14,335,000
------------
Total Short-Term Investments
at Amortized Cost 15,150,935
------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $678,342,242) $871,554,768
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-57
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $815,935 have been
segregated with the custodian to cover margin requirements for the following
open stock index futures contracts at December 31, 1997:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ---------------------------------------------------------------------
<S> <C> <C>
S&P 500 (3/98) 58 $91,275
--------------
(b) At December 31, 1997, the net unrealized
appreciation (depreciation) of investments
based on cost of investments for federal
income tax purposes was as follows:
Tax cost basis $678,342,242
--------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $203,639,180
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (10,426,654)
--------------
Net unrealized appreciation $193,212,526
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols as A-65
A-58
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
PREFERRED STOCKS - 2.28%
AUSTRALIA - 1.01%
News Corporation Ltd 1,618,707 $ 8,008,538
--------------
8,008,538
--------------
GERMANY - 1.27%
Dykerhoff AG 11,200 2,870,917
Hornbach Holdings AG 43,300 2,985,460
Suedzucker AG 8,380 4,123,718
--------------
9,980,095
--------------
Total Preferred Stocks (Cost $19,400,909) 17,988,633
--------------
COMMON STOCKS - 85.83%
AUSTRALIA - 1.36%
Australia & New Zealand Banking 159,400 1,053,030
Commonwealth Bank Australia 95,700 1,097,334
Lend Lease Corp Ltd 35,000 684,075
National Australian Bank Ltd 263,000 3,671,913
Qantas Airways Ltd ADR * ~ 116,900 2,068,721
Telstra Corp Instalment * 918,300 1,938,403
Telstra Corp Primary * 119,000 251,192
--------------
10,764,668
--------------
AUSTRIA - 0.37%
Bohler Uddeholm 50,500 2,960,476
--------------
2,960,476
--------------
BELGIUM - 0.69%
Gib Holding Ltd 112,130 5,441,003
--------------
5,441,003
--------------
BERMUDA - 1.17%
ACE Ltd 45,000 4,342,500
Partnerre Ltd 106,000 4,915,750
--------------
9,258,250
--------------
BRAZIL - 2.20%
Banco Bradesco SA 625,810,000 6,168,378
Banco Bradesco SA Rights * 26,757,000 95,901
Cia Vale Do Rio Doce ADR 47,400 953,503
Lojas Americanas SA * 258,648,000 1,205,168
Telebras ADR 76,600 8,919,113
--------------
17,342,063
--------------
DENMARK - 1.44%
BG Bank 77,100 5,188,849
Unidanmark AS 84,800 6,227,011
--------------
11,415,860
--------------
FINLAND - 4.12%
Amer Group Ltd * 88,900 $ 1,705,316
Huhtamaki I 42,200 1,742,937
Kone Oy 'B' 35,105 4,253,043
Merita Ltd 'A' 2,371,100 12,970,388
Metra Oy 'B' 109,350 2,569,304
Rautaruukki Oy 679,800 5,490,611
Valmet Oy Corp 276,730 3,819,978
--------------
32,551,577
--------------
FRANCE - 6.64%
Alcatel Alsthom 47,255 6,008,489
Bongrain 320 135,095
Cie De St Gobain 39,800 5,655,946
Elf Aquitaine 70,500 8,202,443
France Telecom SA * 101,800 3,693,666
Group Danone 24,700 4,413,280
LaFarge Coppee 82,300 5,401,857
Legris Industries 44,500 1,545,832
Scor 39,651 1,896,710
SGS-Thomson Microelecton * 55,700 3,448,558
Total SA 'B' 60,780 6,616,953
Usinor Sacilor 376,100 5,432,243
--------------
52,451,072
--------------
GERMANY - 6.46%
BASF AG * 167,600 5,982,885
Bayer 100,700 3,737,510
Buderus AG 12,460 5,591,048
Gerresheimer Glas 201,500 2,823,431
Holzmann (Phillip) AG * 10,400 2,683,199
Lufthansa 221,400 4,160,983
Metro AG 42,860 1,520,458
Plettac AG * 24,133 3,327,857
Veba AG 91,100 6,205,204
Viag AG 15,980 8,752,148
Volkswagen AG 11,200 6,258,723
--------------
51,043,446
--------------
HONG KONG - 1.29%
Cheung Kong Holdings 417,000 2,731,629
China Light & Power 225,000 1,248,822
Dao Heng Bank Group Ltd 227,000 566,965
Hong Kong Telecommunication 406,800 837,512
HSBC Holdings PLC 64,068 1,579,516
Hutchison Whampoa Ltd 230,000 1,442,825
NG Fung Hong Ltd 348,000 366,089
Shanghai Industrial Holding 158,000 587,353
Sun Hung Kai Properties 65,000 453,061
Swire Pacific Ltd 'A' 73,000 400,462
--------------
10,214,234
--------------
IRELAND - 0.81%
Bank of Ireland 418,200 6,444,613
--------------
6,444,613
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-59
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ -----
<S> <C> <C>
ISRAEL - 1.93%
ECI Telecommunications 117,300 $ 2,991,150
Scitex Corp ADR * 527,300 6,360,556
Tadiran Ltd 165,900 5,868,713
--------------
15,220,419
--------------
ITALY - 2.98%
Magneti Marelle Spa 1,446,800 2,473,966
Marzotto (Gaetano) Spa 71,350 891,346
Mediaset Spa 698,150 3,429,481
Sogefi 419,900 1,068,116
Telecom Italia Spa 33,330 212,899
Telecom Italia Spa RISP 3,498,800 15,426,721
--------------
23,502,529
--------------
JAPAN - 15.12%
Amada Co 382,000 1,420,619
Asahi Tech Corp 205,000 325,384
Canon Inc 178,000 4,149,216
Dai Nippon Printing 132,000 2,479,776
Daicel Chemical Industries 762,000 993,291
Daifuku 324,000 1,577,579
Daikin Industries 395,000 1,490,166
Family Mart 37,000 1,327,761
Fuji Machine Manufacturing Co 128,000 3,091,669
Fuji Photo Film 113,000 4,332,324
Fujitec Co Ltd 219,000 1,209,063
Fujitsu Ltd 411,000 4,412,069
Furukawa Electric Co Ltd 652,000 2,794,679
Hitachi Credit Corp 114,000 1,879,385
Hitachi Ltd 574,000 4,093,241
Inabata & Co 176,000 553,311
Kaneka Corp 478,000 2,158,816
Kurita Water Industries * 130,000 1,325,768
Kyocera Corp 58,000 2,632,826
Kyudenko Co Ltd 149,000 752,912
Lintec Inc 101,000 1,564,391
Matsushita Electric 267,000 3,910,363
Mitsubishi Chemical Corp 641,000 919,120
Mitsubishi Estate 176,000 1,916,344
Mitsubishi Heavy Industries 608,000 2,536,150
Mitsumi Electric Co Ltd * 202,000 2,880,957
Murata Manufacturing Co 73,000 1,835,985
NEC Corp 403,000 4,295,288
NIFCO 121,000 788,636
Nintendo Corp Ltd 50,000 4,907,411
Nippon Telegraph & Telephone 4,900,000 4,208,105
Nissan Motor Co Ltd 537,000 2,223,517
Nissha Printing 120,000 723,230
Ricoh Company 308,000 3,825,940
Rinnai Corp 91,000 1,374,612
Sangetsu Co Ltd 74,000 760,342
Sankyo Co Ltd 129,000 2,917,992
Sanwa Shutter 241,000 1,212,253
Sekisui Chemical Co 186,000 945,581
Sekisui House Ltd 219,000 1,408,895
Shimanura Co Ltd 54,000 939,923
Shin-Etsu Polymer Co 199,000 656,136
Sony Corp 58,000 5,158,916
Sumitomo Marine & Fire * 209,000 1,105,778
Suzuki Motor Co 249,000 2,252,962
TDK Corp 54,000 4,074,378
Tokyo Electron Ltd 72,000 2,307,710
Toshiba 900,000 3,747,268
Toyota Motor Corp 153,000 4,387,685
Tsubakimoto Chain 444,000 1,600,123
Yamaha Corp 153,000 1,736,303
Yamanouchi Pharmaceutica 154,000 3,306,368
--------------
119,428,517
--------------
MALAYSIA - 0.16%
Tenaga Nasional Berhad 583,000 1,243,613
--------------
1,243,613
--------------
MEXICO - 2.92%
Cifra B 352,910 871,113
Desc SA 'C' 5,050 47,606
Grupo Mexico SA * 539,000 2,002,363
Panamerican Beverages Inc 'A' 153,000 4,991,625
Sociedad De Formento Inds 'B' 505,000 4,823,245
Telefonos De Mexico SA ADR 184,000 10,315,500
--------------
23,051,452
--------------
NETHERLANDS - 4.76%
ABN Amro Holding Nv 191,000 3,722,921
AKZO Nobel NV 56,800 9,798,806
Benckiser Nv 'B' * 35,650 1,475,961
Ing Groep Nv 216,985 9,144,100
Koninklijke Bijenkorf Beheer 22,050 1,381,865
Koninklijke KNP Bt 173,800 4,005,162
Koninklijke PTT Nederlan 3,441 143,651
Koninklijke Van Ommeren 51,800 1,738,169
Philips Electronics 102,800 6,168,507
Royal Dutch Air 1,100 40,711
--------------
37,619,853
--------------
NEW ZEALAND - 0.08%
Amp Nz Office Trust * 1,048,000 626,614
--------------
626,614
--------------
NORWAY - 0.70%
Saga Petroleum 'B' * 230,800 3,505,981
Sparebanken Nor 55,705 1,987,036
--------------
5,493,017
--------------
PERU - 0.47%
Telefonica De Peru 'B' * 1,648,995 3,685,277
--------------
3,685,277
--------------
PORTUGAL - 0.40%
Electricidade De Portugal * 167,800 3,179,032
--------------
3,179,032
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-60
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
SINGAPORE - 0.87%
Creative Technology * 57,150 $ 1,161,682
Creative Technology Ltd * 8,150 179,300
DBS Bank 60,000 513,522
Electronic Resources Ltd 51,000 51,834
Natsteel Electronics Ltd * 278,000 356,897
Overseas Chinese Banking * 281,000 1,636,731
Singapore Press Holdings 65,000 815,156
United O/S Bank 285,000 1,583,804
Venture Manufacturing Singapore 140,000 391,085
WBL Corp 196,000 181,730
------------
6,871,741
------------
SPAIN - 2.73%
Banco Bilbao Vizcaya * 151,100 4,889,390
Iberdrola SA 476,700 6,273,398
Telefonica De Espana SA 217,860 6,220,282
Uralita * 365,700 4,176,548
------------
21,559,618
------------
SWEDEN - 3.84%
Esselte Ab B-F 200,975 4,078,216
Forenings Sparbanken Ab 'A' 95,100 2,163,516
Nordbanken Holding Ab * 363,900 2,059,353
Pharmacia & Upjohn 142,000 5,226,050
Skf Ab 'B' 328,000 6,986,552
Spectra-Physics Ab 'A' Shr 183,100 3,473,179
Svenska Handelsbanken 'A' 182,300 6,307,124
------------
30,293,990
------------
SWITZERLAND - 4.86%
Ascom Holdings AG * 1,280 1,645,964
Bobst AG * 2,420 3,558,824
Forbo Holdings AG 13,150 5,369,733
Holderbank Finan Glaris 6,050 4,932,695
Nestle Sa Bearer Reg 7,960 11,918,222
Novartis AG 50 81,053
Schindler Holding AG 2,930 3,144,439
Sig Schweiz Industrie Ge * 2,440 3,329,548
Sulzer AG 3,820 2,419,508
Sulzer Medica * 382 91,450
Valora Holding AG 8,840 1,862,326
----------
38,353,762
----------
UNITED KINGDOM - 17.46%
Aggreko PLC * 320,900 832,148
Bass PLC 163,500 2,527,696
BAT Industries 106,700 977,243
BG PLC 2,759,941 12,490,550
Booker PLC 556,900 2,920,466
British Telecomm 863,000 6,838,440
Bunzl PLC 689,000 2,697,110
Burmah Castrol 490,500 8,563,379
Charter PLC 332,800 4,108,901
Commercial Union * 212,675 3,154,452
Danka Business Systems 133,100 516,627
Diageo PLC 396,100 3,653,921
Glynwed International 133,400 $ 575,079
Great Univ Stores 552,600 6,845,471
Imperial Tobacco Group 1,266,200 8,030,909
Kwik Save Group 353,400 1,692,761
Medeva PLC 1,436,500 3,831,857
National Westminster Bank 532,289 8,875,340
Peninsular & Orient Stea 398,200 4,567,775
Premier Farnell PLC 547,800 3,985,650
Premier Oil PLC 2,036,300 1,790,987
Racal Electronics 512,640 2,243,828
Reckitt & Colman 404,400 6,382,237
Royal Bank of Scotland Group PLC 311,486 2,834,793
Royal Sun Alliance Group 861,691 8,681,856
Salvensen (Christian) 340,500 556,780
Scapa Group PLC * 1,173,800 4,478,548
Stolt Nielsen SA ADR 410,150 8,972,031
Tate & Lyle 227,300 1,884,666
Unilever PLC 473,600 4,079,408
Westminster Health 553,400 3,322,575
WPP Group PLC 1,126,200 5,013,090
-----------
137,926,574
-----------
Total Common Stocks (Cost $661,118,665) 677,943,270
-----------
Total Investments in Securities
at Market Value (Cost $680,519,574) 695,931,903
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 11.89%
State Street Bank and Trust
5.000% due 01/02/98
(Dated 12/31/97, repurchase price
of $94,329,270; collateralized by U.S.
Treasury Notes - market value
$96,193,144 and due 03/31/98) $93,881,108 93,881,108
-----------
Total Short-Term Investment
at Amortized Cost 93,881,108
-----------
TOTAL INTERNATIONAL PORTFOLIO
(COST $774,400,682) $789,813,011
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-61
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- ------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Forward foreign currency contracts outstanding at December 31, 1997,
were 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>
JY Sell 1/98 $ 34,635,000 $ 2,400,518
Sell 2/98 34,635,000 2,916,197
Sell 3/98 14,000,000 418,864
S$ Buy 3/98 6,133,843 (243,452)
Sell 3/98 9,406,222 158,608
-----------
$ 5,650,735
-----------
Principal amount denoted in the indicated currency:
JY - Japanese Yen
S$ - Singapore Dollar
(b) At December 31, 1997, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
Tax cost basis $774,400,682
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 87,966,420
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (72,554,091)
------------
Net unrealized appreciation $ 15,412,329
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-62
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ ------
<S> <C> <C>
COMMON STOCKS - 87.95%
ARGENTINA - 7.20%
Astra Argentina De 305,870 $ 535,374
Banco Frances Del Rio 60,234 559,078
Banco Galicia 87,432 559,671
Dalmine Siderar SA * 1,979 8,412
Dalmine Siderca SA * 313,537 871,799
Inversiones Y Representaciones GDR 4,625 174,016
Molinos Rio De La Plata * 54,993 132,008
Perez Compancia ADR 76,843 1,097,519
Renault Argentina SA * 10,560 14,787
Telefonica De Argentina ADR 45,253 1,685,674
YPF Sociedad Anonima ADR 45,500 1,555,531
--------------
7,193,869
--------------
BRAZIL - 6.05%
Aracruz Celulose SA ADR 9,400 135,125
Aracruz Celulose SA PNB * 61,000 84,176
Banco Bradesco SA 54,875,000 540,887
Banco Bradesco SA Rights * 2,346,000 8,409
Banco Itau SA PN 816,000 438,548
Centrais Eletrobras 25,381,000 1,296,341
Cia Cervejaria Brahma 349,000 234,207
Cia Energetica Minas Ger 7,801,000 338,930
Cia Paulista De Forca E * 1,543,000 203,297
Cia Siderurgica Nacional 7,307,000 202,967
Cia Souza Cruz Ind Com * 21,100 170,161
Cia Vale Do Rio Doce 14,780 297,322
Petrol Brasileiros 1,748,000 408,736
Telebras ADR 8,900,000 1,036,294
Telecomunicacues Brasileiras ADR 3,350 340,744
Usinas Siderurgicas Mina 31,859 188,413
White Martins SA 82,567 120,595
--------------
6,045,152
--------------
CHILE - 9.12%
Banco Santander 70,675 998,284
Chilgener SA ADR 41,774 1,023,463
Compania Cervecerias Unidas ADR 21,000 616,875
Compania De Telefono Chili ADR 76,220 2,277,073
Empresa ADR 72,075 1,274,827
Enersis ADR 56,085 1,626,465
Madeco SA ADR 21,485 327,646
Maderas Y Sinteticos Sociedad ADR 37,175 353,163
Sociedad Quimica Y Minera Chile * 13,990 615,560
--------------
9,113,356
--------------
HUNGARY - 3.23%
Danubius Hotels RT * 6,300 191,358
Gedeon Richter RT 5,700 647,715
Graboplast RT 3,800 201,058
Magyar Olaj Es Gazipare 30,300 734,788
Matav RT * 190,000 1,009,014
Otp Bank RT 11,800 447,443
--------------
3,231,376
--------------
INDIA - 3.19%
Bajai Auto GDR * 13,395 $ 268,972
BSES Limited GDR * 7,100 123,363
Eih Limited * 14,200 189,570
Gujarat Ambuja GDR * 18,200 129,766
Hindalco Industries * 14,800 296,000
Indian Hotels Co Limited 13,670 261,097
Indian Rayon & Industries GDR * 22,800 97,584
Larsen & Tourbro Limited 18,300 203,130
State Bank of India * 14,200 258,440
Steel Authority of India * 18,400 58,880
Tata Engineering & Loco Co GDR * 33,620 280,055
The India Public Sector Fund Limited * 63,000 614,250
Videsh Sanchar Nigam Limited * 28,900 405,467
-------------
3,186,574
-------------
ISRAEL - 8.61%
Agis Industries Limited * 52,800 429,802
Bank Hapoalim Bm * 441,800 1,060,170
Bezek Hapoalim Bm * 208,200 574,932
Blue Square Chain Stores * 73,300 700,266
Clal Israel Limited 1 2,711,000 804,565
ECI Telecommunications ORD 45,200 1,152,600
Elco Holdings Limited * 65,300 535,246
Elite Industries * 22,980 682,125
Formula Systems * 11,000 338,581
ICL Israel Chemical * 539,000 729,737
Industrial Buildings * 471,500 802,270
Teva Pharmaceutical ADR 16,770 795,366
-------------
8,605,660
-------------
KAZAKHSTAN - 0.83%
Central Asia Regional GR * 101,138 834,391
-------------
834,391
-------------
MEXICO - 11.40%
Apasco SA 33,500 232,697
Cemex SA 142,700 646,947
Cifra V * 291,337 719,128
Controladora Coml Mexica * 273,004 356,239
Desc SA 'B' 30,200 288,440
Desc SA 'C' 501 4,723
Empresas Ica Sociedad * 125,784 339,345
Empresas Moderna SA * 41,600 222,396
Fomento Economico Mexica 52,821 424,560
Grupo Bimbo 'A' 41,200 398,611
Grupo Carso SA De Cv 85,600 573,356
Grupo Financiero Banamex * 240,679 620,953
Grupo Industrial Alfa 60,200 407,705
Grupo Mexico SA * 137,750 511,736
Grupo Modelo SA De Cv 97,882 820,742
Grupo Televisa * 12,150 470,053
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-63
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
MARKET
SHARES VALUE
------ -----
<S> <C> <C>
Industrias Penoles SA 87,750 $ 397,280
Kimberly Clark De Mexico 146,480 708,598
Telefonos De Mexico ADR 51,500 2,887,219
Tubos De Acero De Mexico * 8,361 179,416
Tv Azteca SA ADR * 7,800 175,988
--------------
11,386,132
--------------
PERU - 2.75%
Banco Wiese ADR 45,750 228,750
Cementos Lima SA * 40,219 87,227
Creditcorp ADR 27,234 490,212
Enrique Ferreyros * 105,420 111,416
Luz Del Sur * 168,300 194,549
Minas Buenaventura 'A' * 14,024 104,215
Minas Buenaventura 'B' * 11,631 87,499
Minsur SA * 26,302 56,175
Southern Peru Copper * 10,523 38,810
Telefonica De Peru 'B' * 515,658 1,152,425
Union De Cervecerias Per 211,458 193,998
--------------
2,745,276
--------------
POLAND - 1.21%
Amica Wronki * 11,000 187,234
Argos Holding * 4,400 91,121
Bank Rozwoju Eksportu 9,000 186,383
Bank Slaski SA 1,840 101,787
Debica 3,750 91,489
Elektrim 44,390 429,418
Polifarb - Bonus Shares * 4,446 11,099
Polifarb * 22,340 105,838
--------------
1,204,369
--------------
PORTUGAL - 10.42%
Banco Commercial Portugal * 17,000 347,855
Banco Espirito Santo * 39,300 1,170,134
Brisa Auto-Estradas De Portugal * 10,000 358,413
Cimpor Cimentos De Portugal * 32,200 844,429
Colep * 41,400 585,159
Electricidade De Portugal * 59,400 1,125,355
Investec * 24,900 737,728
Jeronimo Martins 12,220 387,958
Jeronimo Martins Baby SH * 12,220 558,021
Mundial Confianca * 45,300 824,980
Portugal Telecom 61,400 2,850,535
Sonae Industria E Investmentos 15,250 617,130
--------------
10,407,697
--------------
RUSSIA - 3.78%
Lukoil Holding ADR * 13,750 1,262,594
Mosenergo ADR * 13,950 521,544
Surgutneftegaz ADR * 34,500 352,631
Tatneft ADR * 4,300 612,750
Unified Energy * 33,900 1,025,475
--------------
3,774,994
--------------
SOUTH AFRICA - 6.21%
Absa Group Limited * ~ 25,984 $ 296,218
Barlow Limited 52,421 444,876
De Beers Centenary 32,540 661,967
Driefontein 48,000 325,491
Liberty Life Association of Africa 26,738 686,787
Metro Cash 305,595 266,881
Nasionale Pers 53,850 442,618
Nedcor * ~ 43,447 961,482
Norwich Holding 6,837 10,537
Rembrandt Group 75,017 547,232
Sasol Limited 52,500 549,111
Smith CG Limited 94,642 388,953
South African Breweries 25,202 621,440
-------------
6,203,593
-------------
TAIWAN - 0.03%
President Enterprise GDS * ~ 2,880 34,560
-------------
34,560
-------------
TURKEY - 7.46%
Adana Cimento 4,959,200 418,246
Akaltekstil 3,952,630 150,485
Akbank 8,122,710 714,407
Arcelik 3,263,250 306,667
Bagfas Bandirma Gubre 836,000 543,904
Ege Biracilik Ve Malt * 2,762,000 249,578
Eregli Demir Ve Celik FA 2,706,000 417,311
Ford Otomotive Sanayii 'A' * 671,000 557,819
Izmir Demir Celik * 17,813,000 210,322
Migros Turk Tas 715,310 646,367
Netas Telekomunik * 755,000 272,892
Sabanci Holding * 9,458,000 581,154
Turk Sise Ve Cam Fabrika * 5,391,680 396,256
Turkiye Is Bankasi 'C' * 5,182,000 936,506
Yapi Ve Kredi Bank 27,597,510 1,050,700
-------------
7,452,614
-------------
VENEZUELA - 6.46%
Banco Provincial * 387,376 712,839
Cia Anonima Telefono De Venezuela * 55,950 2,328,919
Corp Venezolana De Cemen 405,300 655,006
Electricidad De Caracas * 1,517,100 1,820,039
Mavesa SA ADR 42,250 269,344
Siderurgica Venezolana 1,597,100 668,229
-------------
6,454,376
-------------
Total Common Stocks (Cost $84,528,440) 87,873,989
-------------
Total Investments in Securities
at Market Value (Cost $84,528,440) 87,873,989
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-65
A-64
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
DECEMBER 31, 1997
- --------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 12.05%
Chase Bank London
5.750% due 01/02/98 $12,035,684 $12,035,684
--------------
Total Short-Term Investments
at Amortized Cost 12,035,684
--------------
TOTAL EMERGING MARKETS PORTFOLIO
(COST $96,564,444) $99,909,673
--------------
</TABLE>
- -------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) At December 31, 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 $ 96,564,444
-------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 10,672,625
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (7,327,396)
-------------
Net unrealized appreciation $ 3,345,229
-------------
</TABLE>
- --------------------------------------------------------------------------------
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 December 31, 1997.
" Pass-through security backed by a pool of mortgages or other loans on
which principal payments are periodically made. Therefore, the
effective maturity is shorter than the stated maturity.
- --------------------------------------------------------------------------------
See Notes to Financial Statements See explanation of symbols on A-65
A-65
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4, 1987.
The Fund currently consists of fourteen separate portfolios (the "Portfolios"):
the Money Market Portfolio, the High Yield Bond Portfolio, the Managed Bond
Portfolio, the Government Securities Portfolio, the Growth Portfolio, the
Aggressive Equity Portfolio, the Growth LT Portfolio, the Equity Income
Portfolio, the Multi-Strategy Portfolio, the Equity Portfolio, the Bond and
Income Portfolio, the Equity Index Portfolio, the International Portfolio, and
the Emerging Markets Portfolio. The assets of each Portfolio are segregated and
a shareholder's interest is limited to the Portfolio in which shares are owned.
The investment objective of each Portfolio is summarized in the following table:
- ---------------------------------------------------------------------------
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 prudent investment
Securities 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.
- ---------------------------------------------------------------------------
At December 31, 1997, shares of the Fund were offered only to Pacific
Select, Pacific Select Exec, Pacific COLI, Pacific Select Variable Annuity,
Separate Account A and Pacific Corinthian Variable Separate Accounts of Pacific
Life Insurance Company (formerly named Pacific Mutual Life Insurance Company).
Pursuant to consent received from the California Department of Insurance on
September 1, 1997, Pacific Mutual Life Insurance Company ("Pacific Mutual")
implemented a plan of conversion to form a mutual holding company structure (the
"Conversion"). The Conversion created Pacific Mutual Holding Company ("PMHC"), a
mutual holding company and Pacific LifeCorp, an intermediate stock holding
company. Pacific Mutual was converted to a stock life insurance company and
renamed Pacific Life Insurance Company ("Pacific Life"). Under their respective
charters, PMHC must always own at least 51% of the outstanding voting stock of
Pacific LifeCorp, and Pacific LifeCorp must always own 100% of the voting stock
of Pacific Life. Owners of Pacific Life's annuity contracts and life insurance
policies have certain membership interests in PMHC, consisting principally of
the right to vote on the election of the Board of Directors of PMHC and on other
matters, and certain rights upon liquidation or dissolution of PMHC.
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 September 30, 1997, Pacific Corinthian Life Insurance Company ("PCL")
completed the rehabilitation of the business of First Capital Life Insurance
Company ("FCL") pursuant to a five-year rehabilitation plan approved by the
California Superior Court and the California Department of Insurance (the
"Rehabilitation Plan"). Under the terms of the Rehabilitation Plan, FCL's
insurance policies in force, primarily individual annuities and universal life
insurance, were restructured and assumed by PCL on December 31, 1992, pursuant
to an assumption reinsurance agreement and asset purchase agreement. On October
30, 1997, PCL was merged into Pacific Life, with Pacific Life as the surviving
entity.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with
generally accepted accounting principles for investment companies. The
preparation of financial statements in accordance with generally accepted
accounting principles requires management to make
A-66
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
estimates and assumptions that affect the reported amounts and disclosures in
the financial statements. Actual results could differ from those estimates.
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 15% of the Managed Bond and Government Securities
Portfolios' investments, respectively, as of December 31, 1997). Money market
instruments are valued at amortized cost which approximates market value.
B. Foreign Currency Translation
Foreign securities which are not traded in U.S. currency are recorded in
the financial statements after translation to U.S. dollars based on the
applicable exchange rates at the end of the period. Related dividends, interest
and withholding taxes are accrued at the rates of exchange prevailing on the
respective dates of such transactions. Pursuant to U.S. Federal income tax
regulations, the Fund computes the effect of changes in foreign exchange rates
from the fluctuations arising from changes in market prices on the sale of
foreign currency denominated debt obligations. This foreign exchange component
of the net gains or losses realized on the sales and maturities of such debt
obligations is treated as ordinary income or loss for Federal income tax
purposes.
The Fund isolates that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are included
with the net realized and unrealized gain or loss on foreign currency
transactions.
Reported net realized foreign exchange gains 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, as amended, 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 Portfolio - $1,034; Growth LT Portfolio - $117,968; Equity
Income Portfolio - $121,170; Multi-Strategy Portfolio - $29,381; Equity
Portfolio - $15,675; Equity Index Portfolio - $62,140; International Portfolio -
$1,613,838; Emerging Markets Portfolio - $151,882.
E. Securities Gains or Losses and Investment Income
Gains or losses on the sale of Portfolio securities are determined on an
identified cost basis. Dividend income is recorded on the ex-dividend date;
interest income is accrued daily.
F. Allocation of General Expenses
General expenses of the Fund (including trustees, legal and audit fees, and
proxy and shareholder meeting costs) are allocated among the Portfolios in
proportion to their relative average daily net assets. Expenses which relate
exclusively to a particular Portfolio (including advisory fees, registration
fees, brokerage commissions, interest expenses and certain taxes) are borne
directly by the particular Portfolio.
A-67
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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.
3. 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 correlation with the Standard & Poor's Composite
500 Index. These investments involve, to varying degrees, elements of market
risk and risks in excess of the amount recognized in the Statements of Assets
and Liabilities. The face or contract amounts reflect the extent of the
involvement the Portfolios have in the particular classes of instruments. Risks
associated with the use of the stock index futures contracts include an
imperfect correlation between the movement in the index and the movement in the
market values of the securities held in that market. Risks may also arise if
there is an illiquid secondary market for the instruments, or the inability of
counterparties to perform.
B. Options on Futures Contracts
The Managed Bond and Government Securities Portfolios wrote options on
interest rate futures contracts during the year ended December 31, 1997. When
the fund writes (sells) an option, an amount equal to the premium received is
recorded as an asset with an equal liability which is marked-to-market based on
the option's quoted daily settlement price. Any fluctuation in the value of such
an instrument is recorded as unrealized appreciation (depreciation) until
terminated, at which time realized gains and losses are recognized. The purposes
of using options on futures contracts include hedging exposure to rising
interest rates while retaining capital gain potential from falling rates and
capitalizing on anticipated changes in market volatility. These investments
involve, to varying degrees, elements of market risk and risks in excess of the
amount recognized in the statements of assets and liabilities. Risks may include
an imperfect correlation between the changes in the market values of the
securities held by the Fund and the prices of futures options, an illiquid
secondary market for the instruments, or the inability of counterparties to
perform.
C. Forward Foreign Currency Contracts
Forward foreign currency contracts may be used for the purpose of hedging
against foreign exchange risk arising from the Fund's investment in foreign
securities. These contracts are "marked-to-market" daily at the applicable
translation rates and any resulting unrealized appreciation or depreciation is
recorded in the Fund's financial statements. The Fund records realized gains or
losses at the time the forward contract is closed. A forward contract is
extinguished through a closing transaction or upon delivery of the currency.
Risks may arise upon entering these contracts from the potential inability of
counterparties to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. dollar.
A-68
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
4. INVESTMENT ADVISORY, AGENCY, AND
DISTRIBUTION AGREEMENTS
Pursuant to an Investment Advisory Agreement, Pacific Life serves as
Investment Adviser to the Fund, and receives from the Fund the following
advisory fees: for the Money Market Portfolio, an annual rate of .40% of the
first $250 million of the average daily net assets of the Portfolio, .35% of the
next $250 million of the average daily net assets of the Portfolio, and .30% of
the average daily net assets of the Portfolio in excess of $500 million; for the
High Yield Bond, Managed Bond, Government Securities, and Bond and Income
Portfolios, an annual rate of .60% of average daily net assets of each of the
Portfolios; for the Growth, Equity Income, Multi- Strategy and Equity
Portfolios, an annual rate of .65% of average daily net assets of each of the
Portfolios; for the Aggressive Equity Portfolio, an annual rate of .80% of the
average daily net assets of the Portfolio; for the Growth LT Portfolio, an
annual rate of .75% of the average daily net assets of the Portfolio; for the
Equity Index Portfolio, an annual rate of .25% of the first $100 million of the
average daily net assets of the Portfolio, .20% of the next $100 million of the
average daily net assets of the Portfolio, and .15% of the average daily net
assets of the Portfolio in excess of $200 million; for the International
Portfolio, an annual rate of .85% of the average daily net assets of the
Portfolio; and for the Emerging Markets Portfolio, an annual rate of 1.10% of
the average daily net assets of the Portfolio. The fees are accrued daily.
The Fund and Pacific Life also entered into an Agreement for Support
Services effective October 1, 1995, pursuant to which Pacific Life provides
support services that are outside the scope of Pacific Life's responsibilities
under the Advisory Contract. Under the Agreement, the Fund compensates Pacific
Life for its expenses in providing support services to the Fund in connection
with various matters including the expense of registering and qualifying the
Fund on State and Federal levels, providing legal and accounting services,
maintaining the Fund's legal existence, shareholders' meetings and expenses
associated with preparing, printing and distributing reports, proxies and
prospectuses to existing shareholders. Pacific Life provides these support
services to the Fund on a cost reimbursement basis.
Pursuant to Portfolio Management Agreements, the Fund and Pacific Life
employ portfolio managers for twelve of the fourteen Portfolios of the Fund. The
costs of such services are borne by Pacific Life as Investment Adviser to the
Fund.
Pursuant to an Agency Agreement, Pacific Life serves as transfer agent and
dividend disbursing agent for the Fund, without remuneration from the Fund.
Pacific Mutual Distributors, Inc., a wholly-owned subsidiary of Pacific
Life, serves as distributor of the Fund's shares without remuneration from the
Fund.
5. CUSTODIAN AND RECORDKEEPING AGENT
Custodial and recordkeeping service costs are accrued under the Custody
Agreement on a daily basis by the Fund on a per transaction and net asset basis
for each Portfolio.
6. 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 1997 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 1998 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 differences relating to
shareholder distributions will result in reclassifications to paid-in capital.
7. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $27,540,758 of investment advisory fees and $165,000
of support services expenses to Pacific Life for the year ended December 31,
1997 (Note 4). As of December 31, 1997, $2,822,447 and $14,329 respectively,
remained payable.
A-69
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Pacific Life has voluntarily undertaken to waive its fees or otherwise
reimburse the Fund for its operating expenses, exclusive of advisory fees,
additional custodial charges associated with holding foreign securities, foreign
tax on dividends, interest, or gains, and extraordinary expenses, in excess of
.25% of average daily net assets, through December 31, 1998. For the year ended
December 31, 1997, the operating expenses for each of the Portfolios were below
the 0.25% expense cap.
Certain officers and directors of Pacific Life are also officers and
trustees of the Fund.
8. 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 year ended December 31, 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 $ 21,993,125 $324,946,092 $211,582,243
Managed Bond Portfolio 736,676,364 614,566,413 124,712,900 60,213,415
Government Securities Portfolio 160,480,609 151,419,029 20,823,346 10,145,551
Growth Portfolio 126,757,246 101,794,338
Aggressive Equity Portfolio 211,821,062 144,475,348
Growth LT Portfolio 897,991,922 697,111,078
Equity Income Portfolio 860,470,919 634,721,002
Multi-Strategy Portfolio 109,863,778 69,251,185 243,062,933 184,115,837
Equity Portfolio 456,412,021 402,948,067
Bond and Income Portfolio 5,607,813 8,010,563 29,623,760 6,107,140
Equity Index Portfolio 349,945,019 15,432,844
International Portfolio 728,586,501 483,198,152
Emerging Markets Portfolio 105,640,990 47,904,347
-----------------------------------------------------------------------------------------------------------------------
</TABLE>
A-70
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
9. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the year ended December 31, 1997 and 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 69,266,087 50,071,013 16,492,058 12,316,934 18,496,718 12,168,889
Distributions
reinvested 2,055,630 772,662 2,132,659 1,221,180 1,899,678 1,233,507
Shares redeemed (58,497,432) (28,344,297) (6,020,762) (3,573,844) (2,540,180) (625,344)
--------------------------- --------------------------- ---------------------------
Ending Balances 44,902,429 32,078,144 31,189,867 18,585,912 42,072,937 24,216,721
--------------------------- --------------------------- ---------------------------
<CAPTION>
GOVERNMENT SECURITIES GROWTH PORTFOLIO AGGRESSIVE EQUITY
PORTFOLIO 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 4,335,056 4,602,766 2,932,756 2,619,774 10,100,063 5,548,218
Distributions
reinvested 554,504 563,577 1,063,998 510,026 903
Shares redeemed (2,232,799) (1,283,145) (1,777,412) (2,317,090) (3,749,407) (922,975)
--------------------------- --------------------------- ---------------------------
Ending Balances 12,051,232 9,394,471 10,020,064 7,800,722 10,976,802 4,626,146
--------------------------- --------------------------- ---------------------------
<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 14,040,035 16,920,404 12,098,809 10,085,140 7,072,785 5,563,328
Distributions
reinvested 1,725,463 172,382 1,821,638 863,549 1,534,626 906,350
Shares redeemed (3,197,233) (4,752,656) (1,976,060) (1,305,021) (1,216,544) (643,896)
--------------------------- --------------------------- ---------------------------
Ending Balances 39,129,648 26,561,383 32,938,927 20,994,540 22,687,601 15,296,734
--------------------------- --------------------------- ---------------------------
<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 5,203,027 4,269,758 2,986,511 2,818,189 17,509,062 11,981,661
Distributions
reinvested 474,172 459,879 603,053 401,391 1,316,528 516,410
Shares redeemed (2,231,154) (1,034,459) (1,704,205) (798,281) (4,098,731) (1,110,822)
--------------------------- --------------------------- ---------------------------
Ending Balances 13,315,239 9,869,194 8,674,393 6,789,034 33,994,421 19,267,562
--------------------------- --------------------------- ---------------------------
<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 24,443,338 16,491,205 11,872,367 4,596,197
Distributions
reinvested 1,503,506 574,609 51,232
Shares redeemed (8,283,692) (1,675,993) (5,975,716) (41,574)
--------------------------- ---------------------------
Ending Balances 47,142,608 29,479,456 10,502,506 4,554,623
--------------------------- ---------------------------
</TABLE>
(1) Operations commenced on April 1, 1996.
________________
A-71
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED)
In accordance with Rule 30d-1 under the Investment Company Act of 1940, the
Pacific Select Fund (the "Fund") is required to furnish certain information
regarding any matters submitted to a vote of the Fund's Portfolio's
shareholders. Shareholders of record on June 13, 1997, representing
38,475,705.261 shares of the International Portfolio, were notified that a
Special Meeting of Shareholders of the Portfolio (the "Meeting") would be held
at the offices of the Fund on August 8, 1997. 100% of the outstanding shares
were voted. A brief description of the matter voted upon as well as the voting
results of the Meeting are outlined in the table below:
<TABLE>
<CAPTION>
PROPOSAL VOTES FOR VOTES AGAINST ABSTENTIONS TOTAL
-------- --------- ------------- ----------- OUTSTANDING
SHARES
------------
Number Percent* Number Percent* Number Percent*
----------- ---------- --------- ----------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
Approval of the 35,282,885 91.7% 656,810 1.7% 2,536,010 6.6 % 38,475,705
Portfolio Management
Agreement with Morgan
Stanley Asset
Management Inc.
("Morgan Stanley") for
the International
Portfolio under which
Morgan Stanley would
continue to serve as
Portfolio Manager of
the International
Portfolio.
</TABLE>
*Based on total shares outstanding
A-72
<PAGE>
ANNUAL REPORT
AS OF DECEMBER 31, 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
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Form No. 15-20951-00
Pacific Life Insurance Company FIRST
700 Newport Center Drive CLASS
P.O. Box 7500 U.S.
Newport Beach, CA 92658-7500 POSTAGE
PAID
Address Service Requested PACIFIC
LIFE
92799
