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SEMI-ANNUAL REPORT
AS OF JUNE 30, 1998
. PACIFIC SELECT FUND
[LOGO OF
PACIFIC SELECT
FUND]
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PACIFIC SELECT FUND
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund") Semi-
annual Report dated June 30, 1998. 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, 1998 to June 30, 1998 and the anticipated outlook
for the last 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. Alliance Capital Management L.P. ("Alliance Capital") serves
as Portfolio Manager for the Aggressive Equity Portfolio. Columbus Circle
Investors ("CCI") served as Portfolio Manager for the Aggressive Equity
Portfolio through April 30, 1998. Janus Capital Corporation ("Janus") serves as
Portfolio Manager for the Growth LT Portfolio. J.P. Morgan Investment Management
Inc. ("JPMIM") serves as Portfolio Manager for the Equity Income Portfolio and
the Multi-Strategy Portfolio. Goldman Sachs Asset Management ("Goldman Sachs")
serves as Portfolio Manager for the Equity Portfolio and the Bond and Income
Portfolio. Greenwich Street Advisors, a division of Smith Barney Mutual Funds
Management Inc. ("Greenwich") served as Portfolio Manager for the Equity
Portfolio and the Bond and Income Portfolio through April 30, 1998. Bankers
Trust Company ("Bankers Trust") serves as Portfolio Manager for the Equity Index
Portfolio. Morgan Stanley Asset Management Inc. ("Morgan Stanley") serves as
Portfolio Manager for the International Portfolio. Blairlogie Capital Management
("Blairlogie") serves as Portfolio Manager for the Emerging Markets Portfolio.
We look forward to continued growth in assets in 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 six months ended June
30, 1998 was 2.63%**. This compares favorably against IBC's Money Market
Institutional Averages return of 2.52%*. The yield, measured during the 7-day
period ending June 30, 1998, was 5.49%**.
In keeping with its stance of the last fifteen months, Federal Reserve
policymakers held the Federal Funds rate steady at 5.50% after its July 1, 1998
meeting. Rate stability occurred despite signs of increasing demand and first
quarter growth, which doubled Fed forecasts. During the second quarter, the 30-
year government bond yield reached an all time low and consumer confidence
reached an all time high. However, we believe that growth will slow in the
second half of the year. The impact of the financial crisis in Asia will likely
trim U.S. growth, lessening fears of increases in domestic inflation and future
tightening by the Federal Reserve.
During the first half of the year, 30-day commercial paper rates held firm
with the stable Federal Funds rate, starting at a year-to-date low of 5.44%,
rallying to near
__________________
* 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
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PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
5.50% by March and staying consistently in the 5.48% to 5.53% range throughout
the 6-month period. Three-month Treasury bill yields began the year at 5.34%,
lowering to 4.97% by the end of May and stabilizing just below its average of
5.13% by mid-year.
In keeping with our expectation of stable-to-falling interest rates, the
Portfolio's average maturity will be longer than the Index going forward. This
will allow current, more favorable rates to be active in the Portfolio for
longer periods of time. Additionally, a slight increase in allocation to asset-
backed commercial paper should provide enhanced yield. When compared with
traditional commercial paper of similar maturity, Pacific Life believes asset-
backed commercial paper can provide additional yield.
HIGH YIELD BOND PORTFOLIO
- -------------------------
The total return for the High Yield Bond Portfolio for the six months ended
June 30, 1998 was 2.76%** compared with 4.31%* for the First Boston High Yield
Bond Index and 4.17%* for the Lehman Brothers Government/Corporate Bond Index.
The year-to-date underperformance of the Portfolio was primarily due to weak
first quarter results attributable to the Portfolio's exposure to Southeast
Asia, as well as to the strong performance of the lower credit tier of the high
yield bond market (the Portfolio is primarily invested in the middle and upper
credit tiers). While the Portfolio underperformed its benchmark in the second
quarter, it experienced strong improvement by outperforming its benchmark for
the months of May and June combined. The same factors that negatively affected
performance in the first quarter carried over into April. Improved performance
results in May and June can be attributed to reduced Portfolio exposure in
Southeast Asia, outperformance in the middle and upper credit tiers of the high
yield bond market versus the lower tier, and lower exposures to some
underperforming cyclical sectors of the market.
The high yield bond market lagged other fixed income sectors (with the
exception of emerging markets) in the second quarter, but has outperformed year-
to-date. Although inflows into high yield bond mutual funds continued to be
strong, the supply of new high yield bond issues in the second quarter exceeded
demand leading to spread widening. According to First Boston, new high yield
bond issuance through June 30, 1998 was over $100 billion, which is on track to
overtake last year's record of $138 billion. As measured by the First Boston
High Yield Bond Index, spreads widened 0.38% in the second quarter from an
average spread of 3.78% on March 31, 1998 to 4.16% on June 30, 1998.
With the spread widening in the second quarter, the attractiveness of high
yield bonds has increased relative to other fixed income securities. In
addition, economic growth remains steady and inflation is low, which are both
positive for high yield bonds. Also, mutual funds, insurance companies and
collateralized bond obligations (CBOs) continue to support the high yield
market. However, Pacific Life believes credit selection will be more important
in the second half of 1998, and intends to scrutinize lower quality issues
closely to identify undervalued securities with upgrade potential for the
Portfolio.
MANAGED BOND AND GOVERNMENT SECURITIES PORTFOLIOS
- -------------------------------------------------
The Managed Bond Portfolio returned 4.07%** for the six months ended June 30,
1998 versus the Lehman Brothers Government/Corporate Bond Index return of
4.17%*. The Government Securities Portfolio returned 3.98%** for the six months
ended June 30, 1998 compared with the 4.18%* return of the Lehman Brothers
Government Bond Index.
Interest rates were relatively unchanged for longer maturities in the first
quarter; however, rates on intermediate term issues did drop slightly for the
same period, resulting in a flattening yield curve. Concerns about Asia and the
pace of U.S. corporate profit growth prompted a flight to quality in the second
quarter, resulting in lower yields for all maturities of U.S. Treasury debt.
The benchmark thirty-year Treasury bond yield fell to 5.63% at June 30, 1998
versus 5.92% at year-end 1997.
A higher-than-index duration was beneficial to both Portfolios in the second
quarter as interest rates fell. PIMCO reported that the Managed Bond Portfolio
benefited from opportunities found in higher-yielding corporate bonds, mortgage
pass-throughs, and a small position in currency-hedged non-U.S. 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 performance of the Government Securities Portfolio
benefited from holdings in
__________________
* 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.
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PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
pass-through mortgage securities as well as collateralized mortgage obligations.
The Government Securities Portfolio's short-term adjustable-rate mortgage
holdings added yield while intermediate-term maturities added value.
For the remainder of 1998, PIMCO expects the financial crisis in Asia to slow
the U.S. economy as exports fall and significantly cheaper Asian imports rise.
Inflation is expected to 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 that mortgage 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.
GROWTH PORTFOLIO
- ----------------
The Growth Portfolio's total return for the six months ended June 30, 1998 was
5.94%** versus 4.93%* for the Russell 2000 Index and 17.71%* for the Standard &
Poor's 500 Total Return Index ("S&P 500 Index").
The bull market that began in the summer of 1982, then suffered a severe but
short-lived setback in the fourth quarter of 1987, continues to astonish
investors. Since the summer of 1982 most of the major indices are up
significantly. Most of the market gains occurred during the first quarter of
1998 as the stock market staged a recovery from the Asian financial crisis of
the fourth quarter of 1997. However, in the second quarter of 1998 the Asian
crisis reclaimed the front pages of newspapers as the government of Indonesia
collapsed. The result in the stock market was not surprising - any company
doing a significant portion of its business in Asia or with Asian customers was
marked-down, as was any company selling a commodity for which the pricing is
dependent on demand from Asia.
Sectors in the Portfolio that were hurt by the Asian crisis included
semiconductor makers and their suppliers. The rest of the technology sector -
especially Internet related stocks - did quite well as did most commodity
makers. The Growth Portfolio had exposure to these sectors, which negatively
impacted performance. The price of a wide range of commodities - from gold,
copper, steel, polyethylene, pulp, linerboard, newsprint, oil and DRAM chips to
chicken, pork and beef - have been depressed by the inability of Asian customers
to finance their usual purchases. The stocks of producers of these commodities
and suppliers to these producers have not done well. Stocks that have done
well are large capitalization stocks characterized as being unaffected by Asia.
This has extended a trend that has not been helpful to the Portfolio - the
outperformance of large capitalization stocks versus smaller stocks.
In the first six months of 1998, large capitalization stocks, as measured by
the S&P 500 Index, were up 17.71%, and the very largest stocks, as measured by
the 100 largest companies of the S&P 500, were up 21.2%, which was well above
the 4.93%* return for the Russell 2000 Index for the same period. This is a
continuation of a trend of small capitalization stock underperformance that
began during 1994. After nearly 4 years of underperformance, the Russell 2000
Index now trades at a price-to-earnings ratio discount to the S&P 500 Index (its
longer term average is to trade at about a 30% price to earnings ratio premium
over the S&P 500 Index) and has a yield almost as high as the S&P 500 Index (its
longer term average is to yield about 33% less than the S&P 500 Index). The
Russell 2000 Index is, relative to the S&P 500 Index, as good a bargain as
Capital Guardian has ever seen.
Looking ahead, Capital Guardian continues to be optimistic about the long-term
prospects for the market, especially for smaller capitalization firms. The
problems in Asia have helped keep the U.S. economy from overheating, allowing
interest rates to continue to fall through the first half of 1998, supporting
higher price to earnings ratios. Capital Guardian does not believe the problems
of Asia will be fixed overnight, and in their opinion the market has fully
discounted those firms' direct impact from Asia. Additional negative surprises
from Asia will probably be limited to firms whose Asian dependence is several
steps removed from the source and thus not yet recognized. Capital Guardian's
in-depth, company-by-company research has allowed it to find enough attractive
individual investments to keep the Portfolio fully invested.
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the six months ended June 30, 1998, the Aggressive Equity Portfolio
returned 13.11%**
__________________
* 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-3
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PACIFIC SELECT FUND PERFORMANCE(CONTINUED)
compared with a 4.93%* return for the Russell 2000 Index and a 17.71%* return
for the S&P 500 Index. Alliance Capital assumed investment management
responsibilities for the Portfolio on May 1, 1998.
The performance of the U.S. economy in the first half of 1998 was recently
characterized by the chairman of the Federal Reserve as the best in fifty years.
In a phrase, the United States experienced strong growth and low inflation. This
environment was, ironically, aided by the tremendous economic weakness
experienced in Japan and the rest of Asia. When one considers the length of the
U.S. economic expansion, the high level of corporate profit margins, and
concerns regarding the effects of Asia on specific companies' profits, investors
have attached quite high valuations to certain large companies perceived to be
insulated from these concerns.
During the first half of 1998, the Aggressive Equity Portfolio was impacted by
both what securities it held, and what it did not hold. The broad market has
been intensely focused on a small group of large capitalization companies, such
as Microsoft and General Electric. The Portfolio's objective is not to own the
large capitalization companies, but rather to concentrate on small and medium
capitalization companies. Taking this into account, the Portfolio's first half
performance when compared to the Russell 2000 Index, an index of small and
medium capitalization companies, is impressive. Alliance Capital views the
performance divergence between the very large capitalization companies and
virtually all other companies as a near-term frustration which could provide a
source of significant opportunity for the Portfolio in the future.
Alliance Capital's investment process makes a judgment about the future
through their conviction that investment value is created through the dynamics
of changing industry and company prospects. Alliance Capital strives to
identify companies with both favorable secular growth prospects and a management
team able to exploit the opportunity and develop a favorable competitive
position. The research conducted ultimately manifests itself in the selection
of companies for Portfolio investment which have the potential for earnings
and/or cash flow growth outside consensus expectations. Currently, it believes
such opportunities include cable television and broadcasting, a number of
financial services companies, and technology companies.
The Portfolio benefited from companies with a fairly exclusive domestic
revenue and cost base and which have performed well and met investors' earnings
expectations. On the other hand, Portfolio holdings which have reported
disappointing earnings, often due to Asia-related problems, have been severely
reduced in price.
Alliance Capital believes that the stock valuation and performance gap between
very large companies and those small and mid capitalization companies owned in
the Aggressive Equity Portfolio will be closed. This process should occur when
investors become somewhat more confident that global economic growth is more
balanced and not particularly dependent on the U.S. While timing is unclear,
the question is not whether but when.
GROWTH LT PORTFOLIO
- -------------------
For the six months ended June 30, 1998, the total return for the Growth LT
Portfolio was 30.53%** versus a 5.66%* return for the Russell 2500 Index and a
17.71%* return for the S&P 500 Index.
Janus reports that at June 30, 1998, the Growth LT Portfolio's asset
allocation was 90.6% in domestic stocks, 5.8% in foreign stocks, and 3.6% in
cash and equivalents. In addition, over 40% of the Portfolio was invested in
companies with capitalizations of less than $10 billion, with an average
weighted market capitalization of $34.3 billion.
Domestic equities posted impressive gains during the first four months of
1998, against a backdrop of strong economic growth, continued low inflation, and
moderate improvement in Asia. Markets encountered renewed volatility in May and
June, amid mounting concerns over Asia and related uncertainty surrounding
corporate profits. This volatility caused a number of stocks to lose ground.
However, equities proved resilient and managed to end the second quarter with a
strong rally, sparked by a significant drop in long-term interest rates and a
resurgent technology sector. Large capitalization, blue chip stocks led the
advance, as foreign investors favored the perceived stability and liquidity of
these larger issues. However, with earnings growth becoming more scarce amid the
Asian crosswinds, it is Janus' view that companies that can
__________________
* 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
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PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
consistently meet their numbers will be rewarded, regardless of their size.
While the Portfolio has posted strong results since the first of the year,
several issues came alive at the end of the second quarter to bolster overall
returns. As a result, the Portfolio continued to outperform the market. The
Portfolio reflects Janus' commitment to a variety of investment themes,
particularly technology, pharmaceuticals, cable, and financial services. Key
technology positions all appreciated, as investors recognized the value of these
companies' dominant franchises, compelling products, and promising earnings
potential. Pharmaceutical stocks advanced on impressive market share gains by
the introduction of new drugs. Portfolio performance also benefited from strong
appreciation by cable stocks. The outlook for the cable industry remains very
positive, as providers start to generate free cash flow and transform themselves
into conduits for voice, data, and video traffic.
Looking ahead, Asia's economic difficulties contribute an element of
uncertainty to global markets. On the positive side, Asia's slowdown has been an
effective brake on the global economy and has helped keep domestic inflation in
check. As a result, domestic interest rates remain at very low levels, which is
expected to provide support for equity prices. In this economic environment,
Janus remains optimistic regarding the outlook for Portfolio performance, as
many holdings experience robust growth and remain untouched from Asia's
downturn. Janus' superior research team remains committed to finding promising
individual companies for the Portfolio with strong fundamentals and positive
earnings potential.
EQUITY INCOME AND MULTI-STRATEGY PORTFOLIOS
- -------------------------------------------
The total return for the Equity Income Portfolio for the six months ended June
30, 1998 was 15.55%** compared to the S&P 500 Index return of 17.71%*. The
Multi-Strategy Portfolio returned 10.43%** for the six months ended June 30,
1998 compared to the 17.71%* return of the S&P 500 Index and the 3.93%* return
of the Lehman Brothers Aggregate Bond Index.
U.S. stock markets rose to new highs during the first three months of 1998
amid weaker bond prices and a stabilizing dollar. Though the impact of Asian
economic woes on the U.S. economy remained uncertain, the U.S. market dismissed
fears of a worst case scenario. Defensive sectors, such as consumer stable and
utilities, gave back much of their 1997 fourth quarter outperformance while
economically sensitive sectors, like retail, technology, and consumer cyclical
rallied decisively. The S&P 500 Index finished the first quarter up 13.95%,
fueling the urgency of debate over the sustainability of current valuation
levels. U.S. equity market returns continued to be dominated by the "Nifty
Fifty" (the 50 largest capitalization stocks of the S&P 500 Index) as these
stocks rose 14.3% for the same period while the other 450 stocks in the S&P 500
Index appreciated 13.5%. This group's outperformance during the first quarter
was particularly noteworthy in that market earnings growth expectations for the
Nifty Fifty were lower than for the overall market.
Despite a second wave of bad news from Asia and an apparent slowdown in
corporate profit growth, the S&P 500 rose 3.76% in the second quarter, bringing
its year-to-date gain to 17.71%*. Trading was choppy as investors weighed signs
of strength in the domestic economy and related concerns that the Federal
Reserve might raise interest rates against a deepening crisis in Asia. The
market gained momentum during the latter half of June as pre-announced earnings
disappointments proved less widespread than had previously been anticipated.
Amid turmoil resulting from the Asian economic crisis, basic industry stocks
were among the hardest hit. As recovery in the Asian markets appears distant,
near term earnings uncertainty for basic industry stocks is extremely high.
During 1998, stock selection among retail and technology stocks detracted from
the Equity Income Portfolio's overall performance. However, JPMIM has identified
for the Portfolio a handful of companies in this sector whose stocks have
declined disproportionately to their longer-term earnings and cash flow
prospects providing potential value to the Portfolio.
As JPMIM views stocks overvalued relative to bonds, the Multi-Strategy
Portfolio continues to underweight its equity holdings allocating 54% in stocks,
41% in bonds, and 5% in cash, deviating from a normal allocation of 60% stocks
and 40% bonds. Within fixed income, allocations to corporate bonds, emerging
market debt, and asset-backed securities were reduced. In addition, below
investment grade exposures across sectors were also reduced. The equity portion
of the Multi-Strategy Portfolio and the Equity
__________________
* 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
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PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
Income Portfolio performed similarly during the time period.
JPMIM believes that growth in corporate profits seems unlikely to rebound to
1997 levels in view of softened global demand, a stronger dollar, domestic
capacity growth, and increasing wage pressures. Thus, JPMIM's current forecast
calls for the recent slow-down in operating earnings growth to persist during
the next several quarters. Going forward, JPMIM will continue its strategy of
using fundamental research to identify stocks that are undervalued relative to
their long-term ability to grow earnings and generate cash flow.
EQUITY PORTFOLIO
- ----------------
The Equity Portfolio's total return for the six months ended June 30, 1998 was
23.89%** which compared favorably to the Russell 1000 Growth Index return of
20.38%* and the S&P 500 Index return of 17.71%* for the same period. Goldman
Sachs assumed management responsibilities for the Portfolio on May 1, 1998.
The Portfolio was positioned during the first quarter to take advantage of
some strong industry fundamentals in areas such as telecommunications,
pharmaceuticals, the Internet and financial services. This led to strong first
quarter 1998 performance, in which the Portfolio's total return equaled
16.83%**.
Goldman Sachs utilizes a model which considers three investment themes: value,
momentum, and low risk. Of the three themes evaluated by the model, the
Portfolio had an above-average tilt towards value-oriented securities after
Goldman Sachs took over. As intended, the model's stock-picking ability drove
the performance. Stock selection had the largest impact on returns; industry
exposures and factor tilts remained fairly modest, contributing relatively less
to the Portfolio's returns since May 1, 1998.
The Portfolio's sector exposures deviate slightly from those of the Russell
1000 Growth Index. Goldman Sachs overweighted positions in the finance and the
air transportation sectors. The most underweighted sectors are banks and
energy/utilities. These differences are the result of a bottom-up process, not
the result of an explicit top-down decision to overweight or underweight any
given sector. The Portfolio is fully invested in stocks. The sector
representation continues to resemble the S&P 500 Index, while the Portfolio's
risk characteristics such as price-to-earnings and price-to-book ratios, as
intended, are slightly lower than the Index. Other risk characteristics such as
beta and yield mirror the equity market.
Currently, equity valuations are significantly higher than average due to the
large difference between the return on capital and the cost of capital. Goldman
Sachs believes that profit margins in both the United States and Europe will
sustain a higher level over the current cycle than they have done in previous
cycles. Although profit margins in the United States and Europe are close to
previous cyclical peaks, some of this margin improvement reflects the changing
mix of companies in the indices over time. Equity market indices today are
dominated by larger capitalization, higher margin companies to a far greater
degree than they were 10 years ago. Two near-term risks to the valuation picture
are that a significant and prolonged slowdown in global economic activity would
undermine returns to capital, and potentially more worrying, is a meaningful
rise in global bond yields. The trigger for this could be deteriorating
inflation expectations in the United States and/or a weaker dollar. Although
Goldman Sachs is sanguine about bonds in the medium term their forecasts show a
rise in global bond yields over the next 12 months.
As for market valuations, Goldman Sachs expects some decline in the difference
between return on capital and cost of capital going forward. This would probably
mean lower valuations on equities. However, as long as return on capital is
sustained close to current levels, earnings growth should be sufficient for
equity returns to exceed bonds.
BOND AND INCOME PORTFOLIO
- -------------------------
For the six months ended June 30, 1998, the total return for the Bond and
Income Portfolio was 4.87%** versus the 5.74%* return of the Lehman Brothers
Long-Term Government/Corporate Bond Index and the 3.93%* return of the Lehman
Brothers Aggregate Bond Index. Goldman Sachs assumed management responsibilities
for the Portfolio on May 1, 1998.
The first quarter of 1998 was characterized by stronger than expected economic
growth. The expected weakness due to the Asian crisis had yet to flow through
to the United States. Long-term U.S. government bond yields finished the first
quarter essentially unchanged from the beginning of the year.
__________________
* 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.
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<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (CONTINUED)
The 1998 first quarter return for the Portfolio equaled 0.96%**, which trailed
the Lehman Brothers Long-Term Government/Corporate Bond Index return of 1.43%*.
During a period of relatively low volatility and low trading volume in
domestic fixed income markets, Goldman Sachs began investing the Portfolio. In
this environment, Goldman Sachs was able to position the Portfolio attractively
relative to the Index.
In the U.S., conflicting influences on the economy contributed to keeping the
bond market largely range-bound, though still with a positive bias in terms of
price. The tightening of the labor market and the threat of rising wage
pressures has remained the major area of worry for the Federal Reserve in recent
months. Looking ahead, Goldman Sachs believes the impact of the situation in
Asia and a continuing unwinding of the inventory overhang should slow the
economy in the near-term. The Fed is likely to stay on hold for some time to
come, a view that Goldman Sachs believes is fully reflected in market prices.
Keeping in mind the current economic backdrop, Goldman Sachs believes
mortgages now offer value despite lower yields and increased refinancing risk.
The Portfolio has added to its aggregate sector position in both lower coupon
issues (believed to currently offer the most attractive risk/reward profile in
the mortgage market) and premium coupon issues (to take advantage of recent
price declines). Despite having increased the Portfolio's exposure to mortgage
holdings, Goldman Sachs remains only cautiously optimistic, as they believe that
loan prepayments and an increasing supply of loans could put pressure on the
mortgage market.
As corporate spreads widened, Goldman Sachs added to the Portfolio's corporate
exposure, especially in longer duration cable/media paper. Goldman Sachs
continues to position the Portfolio very close to the duration exposure of the
corporate sector of the Index and expects corporate spreads to remain volatile
for the next few months.
In most sectors of the asset-backed securities market, price spreads widened
due primarily to heavy quarter-end issuance and spread weakness in the corporate
markets. Spreads were unchanged, however, in the 7 to 10 year sectors of the
home equity and manufactured housing markets. In general, asset-backed
securities are attractively priced at current levels and spreads should firm as
dealers trim inventories during the early weeks of the third quarter.
EQUITY INDEX PORTFOLIO
- ----------------------
For the six months ending June 30, 1998, the total return for the Equity Index
Portfolio was 17.54%** versus the 17.71%* return of the S&P 500 Index. This
Portfolio seeks to replicate the performance of the S&P 500 Index.
The first quarter of 1998 boasted strong returns across all domestic equity
market capitalization classes. The Dow Jones Industrial Average ("Dow Jones")
came close to the 9000 mark and the S&P 500 crossed the 1000 mark at the
beginning February. Despite negative news for technology stocks, stronger than
anticipated earnings expectations for Microsoft helped to carry this sector to a
solid finish for the first quarter. Reversing the trend from 1997, large cap
growth stocks outperformed large cap value stocks for the first quarter of 1998:
technology (+20.67%), consumer cyclical (+19.69%) and communication services
(+17.47%) were the strongest performing sectors. Weakest performing sectors
included transportation (-9.74%), utilities (-5.62%) and energy (-5.51%) for
the same period.
Most of the major market indices had a bumpy run during the second quarter of
1998, due in part to continued volatility in the Asian and Eastern European
markets. Toward the end of April, fears of a Fed tightening at the May 19, 1998
meeting sparked a huge drop in the S&P 500, but a lower than expected employment
cost index helped the S&P 500 rebound on April 30, 1998. Stocks were down in
May, due in large part to volatility in the technology sector. However, the
General Motors strike helped calm expectations of a Fed tightening at the end of
June, which helped the stocks rebound during the month. Having spent the
greater portion of the second quarter above the 9,000 mark, the Dow Jones lost
steam and finished off June below that mark, due in part to profit warnings.
Continuing the trend from the first quarter, large growth stocks outperformed
large value stocks for the second quarter of 1998. Technology (+8.40%), consumer
cyclical (+7.76%) and healthcare (+7.73%), were among the top performing sectors
during the second quarter. Weaker performing sectors included basic materials
(-2.43%), communication services (-3.68%), and transportation (-7.42%).
__________________
* 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)
Looking ahead to the second half of 1998 and 1999, Bankers Trust views a rock-
solid U. S. monetary policy as a recipe for range-bound fixed-income markets.
Stable interest rates in turn should provide some support for equities. In the
U. S., though, stocks face the prospect of more moderate earnings growth as the
economy slows and rising labor costs squeeze margins. Market participants will
keep a close eye on Asian developments, especially Japan, whose recovery is key
for the entire region. It probably will take some hard-hitting actions by
Tokyo, rather than merely announcing plans, to convince investors that the
country is moving along the right track. Once the perception of the Asian
crisis shifts to a more positive note, however, both the U.S. bond market
(immediately) and stock market (only a bit later) could experience volatility as
investors begin to weigh the likelihood of a shift to a tighter monetary policy.
European markets will likely weaken in sympathy, though most -- especially in
the periphery countries -- will likely outperform U.S. investments.
INTERNATIONAL PORTFOLIO
- -----------------------
The International Portfolio's total return for the six months ended June 30,
1998 was 15.39%** versus 15.93%* for the Morgan Stanley Capital International
Europe, Austria, and Far East Index ("EAFE Index").
During the first half of 1998 Morgan Stanley continued to increase the
Portfolio's exposure to Europe based on the belief that fears of an Asian
induced slowdown there were overdone and that the European Monetary Union
("EMU") would enhance growth prospects for the region. Morgan Stanley moved
from a slightly underweighted to a neutral position such that European holdings
now make up about the same 74% of the Portfolio as they do for the Index. The
Portfolio remained underweighted in Japan with a 14% position versus 21% for the
Index. In Asia, the Portfolio has an underweighted position as well, with a 3%
holding versus 5% for the Index. This allocation leaves the Portfolio with
about a 9% unallocated cash position, which Morgan Stanley believes is
appropriate given current market volatility.
After an extraordinary start in the first quarter, international equity
markets slowed somewhat in the second quarter. The tone for the second quarter
was set by European markets, which had set records in the first quarter, but
were less impressive in the second. The drag on performance came from the Far
East where Asia (excluding Japan) suffered through another round of the "Asian
flu" and Japan experienced its own bout of currency weakness.
The European markets rose dramatically in the first quarter, easing in the
second quarter, but nonetheless posting healthy gains. Europe continues to
benefit from the stability of its markets and the perception of favorable
economic prospects, including finalization of the EMU.
Investors in Japanese equities endured another difficult period in the second
quarter as the MSCI Japan Index posted a -4.5% return in U.S. dollar terms for
the quarter. This dropped the year-to-date return for the Index in U.S. dollar
terms to -2.5%. Market participants' disappointment at the lack of leadership
on the part of Japanese policy-makers prompted the selling of both Japanese
equity securities and currency. The ruling party's unwillingness to confront the
nation's problems in a meaningful way led to a loss of confidence on the part of
investors, resulting in a run on the yen during the second quarter that saw the
Japanese currency depreciate by over 13% versus the U.S. dollar. During that
same period the Nikkei 225 Index of Japanese stocks fell 11%. In mid-June the
U.S. Federal Reserve intervened in the currency markets along with the Bank of
Japan to support the yen, stabilizing markets. The first half of the year ended
without a clearly defined policy response from Japan, so there is still cause
for concern in the second half of the year.
Aside from Japan, the markets of Asia were down 17.4% for the first half of
1998 in U.S. dollar terms. A second major downturn in Asian markets in a year
was the result of fears that a free-fall in the Japanese currency would lead to
another round of currency devaluations throughout the region. It is widely felt
that the region will never experience significant economic expansion until
Japan, the engine of growth, revives.
While the International Portfolio enjoyed an absolute return of 15.39%** for
the first half of this year, this was not quite enough to match the EAFE Index,
which was up 15.93%. Morgan Stanley's regional allocation, underweighted in Asia
and Japan, helped performance. The Portfolio's allocations to Europe were
roughly neutral versus the benchmark, though a heavier commitment to Europe
would have enhanced
__________________
* 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. Sector selection negatively impacted performance, particularly in
Europe, as Morgan Stanley underweighted the bank and insurance sectors, which
were among the stronger performers. Style also hurt performance as growth stocks
outperformed the Portfolio's value stocks.
Going forward, Europe still appears to offer the most attractive investment
potential and Morgan Stanley anticipates moving to an overweighted position
there. The Portfolio will maintain its underweighted positions in Japan and
Asia pending the implementation of the proper government policies necessary to
bolster regional economic growth.
EMERGING MARKETS PORTFOLIO
- --------------------------
For the six months ended June 30, 1998, the Emerging Markets Portfolio
returned -12.98%** versus the -18.87* return of the Morgan Stanley Capital
International Emerging Markets Free Index ("MSCI EMF Index").
The first quarter was characterized by significantly more stability than might
have been expected after the marked decline of the fourth quarter of 1997. The
MSCI EMF Index rose 6.19%* against the Emerging Markets Portfolio performance of
2.47%** for the first quarter of 1998.
The second quarter had a distinct "flight to quality" bias. There was capital
flight from Asia, with global equity investors flying mainly to what was
perceived to be the more solid continental European markets. With continuing
financial and political mayhem, virtually all the gains made in Asia in the
first quarter were given back with a vengeance. Though negative, the Emerging
Markets Portfolio's return of -15.07%** for the second quarter clearly exceeded
the return of the MSCI EMF Index of -23.60%*.
The first quarter rally in Asia faded and died, as the second quarter proved
worse for Asia's emerging markets. The departure of President Suharto was a
positive step for Indonesia, but there seemed little daylight elsewhere as
currencies fell in a spate of competitive devaluations. While Chinese currency
remained stable, the major risk in the region today is that China could let its
currency slide, potentially leading to further competitive devaluations and a
global deflationary spiral. In Blairlogie's experience, markets and economic
common sense tend to prevail, even if they are not obvious at the time. In
Blairlogie's view, it is difficult to support arguments about good value in
Asian stocks until the profits outlook stabilizes and opt to avoid further
investment in Asia during the second quarter.
Latin America experienced poor performance in the first and second quarter.
Despite its economic recovery in 1997, the region has had to react in 1998 to
the damaging effects of El Nino, the Asian recession, and a global collapse in
commodity prices. Blairlogie believes that the wave of selling in smaller
markets like Peru, Chile and Venezuela, have now discounted the imminent risks,
and that these countries provide opportunities in the longer term. OPEC's
agreement on supplies should stabilize oil prices in the coming months while any
sign of sounder economic policies in Japan would improve investor sentiment
towards Chile and Peru. During the second quarter of 1998 there was very little
Portfolio activity and Blairlogie's allocation to the region remained slightly
overweight at around 42% of assets.
Smaller European markets turned out to be a refuge for investors in a relative
sense. Blairlogie believes that an upturn in Europe's major economies should
mean insulation and even positive surprises for profits; however, two big
threats loomed during the second quarter of 1998 - the runs on both the Russian
ruble and the South African rand. Both situations were driven by events in Asia,
which had pushed down global prices of oil and precious metals, thereby robbing
these governments of much-needed revenues. Insufficient foreign reserves mean
that intervention will be ineffective and only a clear and direct program of
fiscal reform will ease the panic. The Portfolio is below the Index in both
countries, but remains heavily committed to the rest of the region, most notably
Turkey, Israel, Hungary and Poland. In the case of Poland, Blairlogie added to
the Portfolio's allocation during the quarter.
__________________________
__________________
* 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
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1998 (UNAUDITED)
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT
MARKET BOND BOND SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments at value ........................................ $479,170 $355,057 $690,083 $160,531
Cash ........................................................ 1 3,738 24 5
Receivables:
Dividends and interest ................................... 716 7,158 6,318 1,182
Fund shares sold ......................................... 17,075 221 348 5
Securities sold .......................................... 9,972 12,401 4,566
Other receivables ........................................ 202 53
Forward foreign currency contracts appreciation ............. 13
Variation margin ............................................ 264 42
Organization costs ..........................................
-----------------------------------------------------------
TOTAL ASSETS ................................................ 496,962 376,146 709,640 166,397
-----------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed ..................................... 5 45 424
Securities purchased ..................................... 9,424 99,913 26,503
Accrued advisory fees .................................... 152 181 294 68
Accrued custodian fees and recordkeeping fees ............ 27 12 17 5
Accrued other ............................................ 13 8 5 1
Forward foreign currency contracts depreciation .............
-----------------------------------------------------------
TOTAL LIABILITIES ........................................... 192 9,630 100,274 27,001
-----------------------------------------------------------
NET ASSETS .................................................. $496,770 $366,516 $609,366 $139,396
-----------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital ............................................. $496,796 $367,007 $592,691 $136,533
Accumulated undistributed net investment loss ............... (26) (20) (5) (16)
Accumulated undistributed net realized gain (loss) .......... (4,680) 10,426 1,896
Net unrealized appreciation (depreciation) on investments and
assets and liabilities in foreign currencies ............. 4,209 6,254 983
-----------------------------------------------------------
NET ASSETS .................................................. $496,770 $366,516 $609,366 $139,396
-----------------------------------------------------------
Shares of beneficial interest outstanding of $.001 par value 49,415 37,553 54,668 13,024
-----------------------------------------------------------
NET ASSETS PER SHARE ........................................ $10.053 $9.760 $11.147 $10.703
-----------------------------------------------------------
<CAPTION>
AGGRESSIVE GROWTH
GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO
-----------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments at value ........................................ $277,892 $172,544 $947,998
Cash ........................................................ 7 19 18
Receivables:
Dividends and interest ................................... 46 180 81
Fund shares sold ......................................... 128 251 259
Securities sold .......................................... 1,509 1,198 12,659
Other receivables ........................................
Forward foreign currency contracts appreciation .............
Variation margin ............................................
Organization costs .......................................... 15 1
-----------------------------------------------
TOTAL ASSETS ................................................ 279,582 174,207 961,016
-----------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed ..................................... 19 450
Securities purchased ..................................... 683 1,038 1,320
Accrued advisory fees .................................... 144 106 551
Accrued custodian fees and recordkeeping fees ............ 4 19 62
Accrued other ............................................ 4 5 12
Forward foreign currency contracts depreciation ............. 197
-----------------------------------------------
TOTAL LIABILITIES ........................................... 854 1,168 2,592
-----------------------------------------------
NET ASSETS .................................................. $278,728 $173,039 $958,424
-----------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital ............................................. $219,438 $151,450 $685,052
Accumulated undistributed net investment loss ............... (68) (83) (561)
Accumulated undistributed net realized gain (loss) .......... 14,166 24,338 61,518
Net unrealized appreciation (depreciation) on investments and
assets and liabilities in foreign currencies ............. 45,192 (2,666) 212,415
-----------------------------------------------
NET ASSETS .................................................. $278,728 $173,039 $958,424
-----------------------------------------------
Shares of beneficial interest outstanding of $.001 par value 11,773 13,681 44,357
-----------------------------------------------
NET ASSETS PER SHARE ........................................ $23.674 $12.648 $21.607
-----------------------------------------------
</TABLE>
See Notes to Financial Statements
A-10
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
(IN THOUSANDS, EXCEPT PER SHARE AMOUNTS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND
INCOME STRATEGY EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments at value........................................... $1,067,754 $ 473,195 $ 423,876 $ 144,954
Cash........................................................... 180
Receivables:
Dividends and interest...................................... 1,158 3,123 213 1,442
Fund shares sold............................................ 606 167 273 131
Securities sold............................................. 9,100 6,701 406
Other receivables........................................... 15
Forward foreign currency contracts appreciation................ 332 88
Variation margin............................................... 10 50
Organization costs.............................................
---------------------------------------------------------
TOTAL ASSETS................................................... 1,078,618 483,543 424,362 147,251
---------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed........................................ 130 313 295 229
Securities purchased........................................ 9,973 9,661 815
Accrued advisory fees....................................... 558 248 216 69
Accrued custodian fees and recordkeeping fees............... 39 25 13 8
Accrued other............................................... 13 10 5 4
Forward foreign currency contracts depreciation................
Variation margin............................................... 77
---------------------------------------------------------
TOTAL LIABILITIES.............................................. 10,713 10,257 606 1,125
---------------------------------------------------------
NET ASSETS..................................................... $1,067,905 $ 473,286 $ 423,756 $ 146,126
---------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital................................................ $ 872,101 $ 416,666 $ 289,427 $ 134,565
Accumulated undistributed net investment income (loss)......... (17) (21) 335 35
Accumulated undistributed net realized gain (loss)............. 88,513 25,892 93,684 6,101
Net unrealized appreciation (depreciation) on investments and
assets and liabilities in foreign currencies................ 107,308 30,749 40,310 5,425
---------------------------------------------------------
NET ASSETS..................................................... $1,067,905 $ 473,286 $ 423,756 $ 146,126
---------------------------------------------------------
Shares of beneficial interest outstanding of $.001 par value... 42,468 28,842 15,193 11,110
---------------------------------------------------------
NET ASSETS PER SHARE........................................... $ 25.146 $ 16.409 $ 27.892 $ 13.153
=========================================================
<CAPTION>
EQUITY INTER- EMERGING
INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments at value................................................ $1,247,620 $ 988,510 $ 107,156
Cash................................................................ 1 1,330 471
Receivables:
Dividends and interest........................................... 1,190 3,792 438
Fund shares sold................................................. 557 25 410
Securities sold.................................................. 5,848 1,671 55
Other receivables................................................ 9 1
Forward foreign currency contracts appreciation..................... 2,097
Variation margin....................................................
Organization costs.................................................. 15
------------------------------------------
TOTAL ASSETS........................................................ 1,255,216 997,434 108,546
------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed............................................. 834 6,227
Securities purchased............................................. 27,034 2,927 2,202
Accrued advisory fees............................................ 158 681 97
Accrued custodian fees and recordkeeping fees.................... 61 266 88
Accrued other.................................................... 15 17 6
Forward foreign currency contracts depreciation..................... 1
Variation margin.................................................... 248
------------------------------------------
TOTAL LIABILITIES................................................... 28,350 10,118 2,394
------------------------------------------
NET ASSETS.......................................................... $1,226,866 $ 987,316 $ 106,152
------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital..................................................... $ 875,034 $ 849,399 $ 128,019
Accumulated undistributed net investment income (loss).............. (13) 9,671 686
Accumulated undistributed net realized gain (loss).................. 3,540 35,514 (7,421)
Net unrealized appreciation (depreciation) on investments and
assets and liabilities in foreign currencies..................... 348,305 92,732 (15,132)
------------------------------------------
NET ASSETS.......................................................... $1,226,866 $ 987,316 $ 106,152
------------------------------------------
Shares of beneficial interest outstanding of $.001 par value........ 41,160 56,934 12,904
------------------------------------------
NET ASSETS PER SHARE................................................ $ 29.807 $ 17.341 $ 8.226
==========================================
</TABLE>
See Notes to Financial Statements
A-11
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1998 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT
MARKET BOND BOND SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld....................... $ 134
Interest....................................................... $ 12,719 14,429 $ 15,879 $ 3,921
Other.......................................................... 359 42 13
------------------------------------------------------
Total Investment Income........................................ 12,719 14,922 15,921 3,934
------------------------------------------------------
EXPENSES
Advisory fees.................................................. 848 1,024 1,587 396
Custodial fees................................................. 27 18 33 8
Recordkeeping fees............................................. 44 33 52 14
Trustees fees.................................................. 3 2 3 1
Legal fees..................................................... 3 1 4 1
Printing expenses.............................................. 12 6 9 2
Insurance expenses............................................. 5 2 3 1
Other.......................................................... 11 3 5 1
------------------------------------------------------
Total Expenses................................................. 953 1,089 1,696 424
------------------------------------------------------
NET INVESTMENT INCOME (LOSS)................................... 11,766 13,833 14,225 3,510
------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security transactions............ (4,674) 7,977 927
Net realized gain from futures contracts....................... 3,062 1,085
Net realized foreign exchange gain (loss)...................... (535) (7)
------------------------------------------------------
Net Realized Gain (Loss) on Investments and
Foreign Currency Transactions............................... (4,674) 10,504 2,005
------------------------------------------------------
Net unrealized appreciation (depreciation) on investments...... 21 (3,481) (340)
Net unrealized appreciation on futures contracts............... 726 170
Net unrealized foreign exchange loss........................... (352) (106)
------------------------------------------------------
Net Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions............................... 21 (3,107) (276)
------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS............... (4,653) 7,397 1,729
------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS................................... $ 11,766 $ 9,180 $ 21,622 $ 5,239
======================================================
<CAPTION>
AGGRESSIVE GROWTH
GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld.......................... $ 646 $ 356 $ 1,950
Interest.......................................................... 230 325 1,097
Other............................................................. 1
--------------------------------------
Total Investment Income........................................... 876 681 3,048
--------------------------------------
EXPENSES
Advisory fees..................................................... 879 589 3,042
Custodial fees.................................................... 16 13 94
Recordkeeping fees................................................ 17 13 82
Trustees fees..................................................... 2 1 5
Legal fees........................................................ 1 3 5
Printing expenses................................................. 5 2 14
Insurance expenses................................................ 2 1 5
Other............................................................. 1 1 8
--------------------------------------
Total Expenses.................................................... 923 623 3,255
--------------------------------------
NET INVESTMENT INCOME (LOSS)...................................... (47) 58 (207)
--------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from security transactions............... 14,251 27,375 61,473
Net realized gain from futures contracts..........................
Net realized foreign exchange gain (loss)......................... 535
--------------------------------------
Net Realized Gain (Loss) on Investments and
Foreign Currency Transactions.................................. 14,251 27,375 62,008
--------------------------------------
Net unrealized appreciation (depreciation) on investments......... 857 (10,326) 154,556
Net unrealized appreciation on futures contracts..................
Net unrealized foreign exchange loss.............................. (148)
--------------------------------------
Net Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions.................................. 857 (10,326) 154,408
--------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.................. 15,108 17,049 216,416
--------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS...................................... $15,061 $17,107 $216,209
======================================
</TABLE>
See Notes to Financial Statements
A-12
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 1998 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND
INCOME STRATEGY EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld......................... $ 6,247 $ 1,655 $ 1,421
Interest......................................................... 370 5,873 690 $ 4,115
Other............................................................ 7 15 29
-------------------------------------------------------
Total Investment Income.......................................... 6,624 7,543 2,140 4,115
-------------------------------------------------------
EXPENSES
Advisory fees.................................................... 3,082 1,362 1,193 372
Custodial fees................................................... 40 30 33 6
Recordkeeping fees............................................... 96 39 33 14
Trustees fees.................................................... 6 2 2 1
Legal fees....................................................... 5 3 4 3
Printing expenses................................................ 17 8 7 2
Insurance expenses............................................... 6 3 5 2
Other............................................................ 12 6 4 1
-------------------------------------------------------
Total Expenses................................................... 3,264 1,453 1,281 401
-------------------------------------------------------
NET INVESTMENT INCOME............................................ 3,360 6,090 859 3,714
-------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain from security transactions..................... 89,057 26,102 93,789 6,387
Net realized gain from futures contracts......................... 141 14 58
Net realized foreign exchange gain (loss)........................ (48) 35
-------------------------------------------------------
Net Realized Gain on Investments and
Foreign Currency Transactions................................. 89,057 26,195 93,803 6,480
-------------------------------------------------------
Net unrealized appreciation (depreciation) on investments........ 40,226 8,312 (16,804) (4,491)
Net unrealized appreciation (depreciation) on futures contracts.. (73) 69 346
Net unrealized foreign exchange gain (loss)...................... 327 85
-------------------------------------------------------
Net Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions................................. 40,226 8,566 (16,735) (4,060)
-------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS................. 129,283 34,761 77,068 2,420
-------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS..................................... $ 132,643 $ 40,851 $ 77,927 $ 6,134
=======================================================
<CAPTION>
EQUITY INTER- EMERGING
INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of foreign taxes withheld............................ $ 7,752 $ 12,097 $ 1,456
Interest............................................................ 476 1,691 254
Other............................................................... 1
----------------------------------------
Total Investment Income............................................. 8,229 13,788 1,710
----------------------------------------
EXPENSES
Advisory fees....................................................... 865 3,763 586
Custodial fees...................................................... 65 502 152
Recordkeeping fees.................................................. 111 93 19
Trustees fees....................................................... 6 9 1
Legal fees.......................................................... 6 18 1
Printing expenses................................................... 18 42 2
Insurance expenses.................................................. 5 5 1
Other............................................................... 8 11 5
----------------------------------------
Total Expenses...................................................... 1,084 4,443 767
----------------------------------------
NET INVESTMENT INCOME............................................... 7,145 9,345 943
----------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain from security transactions........................ 1,689 34,548 2,590
Net realized gain from futures contracts............................ 2,157
Net realized foreign exchange gain (loss)........................... 8,565 (38)
----------------------------------------
Net Realized Gain on Investments and
Foreign Currency Transactions.................................... 3,846 43,113 2,552
----------------------------------------
Net unrealized appreciation (depreciation) on investments........... 154,867 75,245 (18,462)
Net unrealized appreciation (depreciation) on futures contracts..... 134
Net unrealized foreign exchange gain (loss)......................... (3,617) (6)
----------------------------------------
Net Unrealized Gain (Loss) on Investments and
Foreign Currency Transactions.................................... 155,001 71,628 (18,468)
----------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS.................... 158,847 114,741 (15,916)
----------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........................................ $165,992 $124,086 $(14,973)
========================================
</TABLE>
See Notes to Financial Statements
A-13
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1998 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
HIGH GOVERN-
MONEY YIELD MANAGED MENT
MARKET BOND BOND SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)................................. $ 11,766 $ 13,833 $ 14,225 $ 3,510
Net realized gain (loss) on investments and foreign
currency transactions..................................... (4,674) 10,504 2,005
Net unrealized gain (loss) on investments and
foreign currency transactions............................. 21 (3,107) (276)
------------------------------------------------------
Net Increase In Net Assets Resulting From Operations......... 11,766 9,180 21,622 5,239
------------------------------------------------------
Net Equalization Credits..................................... 254 1,038 3,514 126
------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income........................................ (11,766) (13,834) (13,992) (3,575)
Capital gains................................................ (3,161) (7,425) (2,574)
------------------------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders............................. (11,766) (16,995) (21,417) (6,149)
------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................................. 465,421 73,345 126,542 23,972
Dividend reinvestments....................................... 11,674 16,737 20,915 6,087
Cost of shares repurchased................................... (432,084) (27,914) (10,385) (19,779)
------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions................................ 45,011 62,168 137,072 10,280
------------------------------------------------------
NET INCREASE IN NET ASSETS................................... 45,265 55,391 140,791 9,496
------------------------------------------------------
NET ASSETS
Beginning of Period.......................................... 451,505 311,125 468,575 129,900
------------------------------------------------------
End of Period................................................ $ 496,770 $ 366,516 $ 609,366 $ 139,396
------------------------------------------------------
<CAPTION>
Aggressive Growth
Growth Equity LT
Portfolio Portfolio Portfolio
----------------------------------------
<S> <C> <C> <C>
OPERATIONS
Net investment income (loss).................................... $ (47) $ 58 $ (207)
Net realized gain (loss) on investments and foreign
currency transactions........................................ 14,251 27,375 62,008
Net unrealized gain (loss) on investments and
foreign currency transactions................................ 857 (10,326) 154,408
----------------------------------------
Net Increase In Net Assets Resulting From Operations............ 15,061 17,107 216,209
----------------------------------------
Net Equalization Credits........................................ 72 154
----------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income........................................... (1) (2,021)
Capital gains................................................... (27,272) (36,669)
----------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders................................ (27,273) (38,690)
----------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares.................................... 57,687 54,937 112,288
Dividend reinvestments.......................................... 27,228 38,673
Cost of shares repurchased...................................... (40,602) (21,757) (47,357)
----------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions................................... 44,313 33,180 103,604
----------------------------------------
NET INCREASE IN NET ASSETS...................................... 32,173 50,287 281,277
----------------------------------------
NET ASSETS
Beginning of Period............................................. 246,555 122,752 677,147
----------------------------------------
End of Period................................................... $ 278,728 $ 173,039 $ 958,424
========================================
</TABLE>
See Notes to Financial Statements
A-14
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
FOR THE PERIOD ENDED JUNE 30, 1998 (UNAUDITED)
(IN THOUSANDS)
<TABLE>
<CAPTION>
EQUITY MULTI- BOND AND EQUITY
INCOME STRATEGY EQUITY INCOME INDEX
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income.......................................... $ 3,360 $ 6,090 $ 859 $ 3,714 $ 7,145
Net realized gain on investments and foreign
currency transactions....................................... 89,057 26,195 93,803 6,480 3,846
Net unrealized gain (loss) on investments and
foreign currency transactions............................... 40,226 8,566 (16,735) (4,060) 155,001
------------------------------------------------------------------
Net Increase (Decrease) In Net Assets Resulting From Operations 132,643 40,851 77,927 6,134 165,992
------------------------------------------------------------------
Net Equalization Credits....................................... 603 675 53 156 591
------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.......................................... (3,360) (6,053) (429) (4,014) (7,146)
Capital gains.................................................. (109,897) (30,371) (22,468) (235) (8,460)
------------------------------------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders............................... (113,257) (36,424) (22,897) (4,249) (15,606)
------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares................................... 160,288 80,807 62,820 38,709 238,522
Dividend reinvestments......................................... 112,984 36,207 22,872 4,237 15,566
Cost of shares repurchased..................................... (31,468) (15,958) (35,162) (11,368) (52,335)
------------------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions.................................. 241,804 101,056 50,530 31,578 201,753
------------------------------------------------------------------
NET INCREASE IN NET ASSETS..................................... 261,793 106,158 105,613 33,619 352,730
------------------------------------------------------------------
NET ASSETS
Beginning of Period............................................ 806,112 367,128 318,143 112,507 874,136
------------------------------------------------------------------
End of Period.................................................. $1,067,905 $473,286 $423,756 $ 146,126 $1,226,866
==================================================================
<CAPTION>
INTER- EMERGING
NATIONAL MARKETS
PORTFOLIO PORTFOLIO
------------------------
<S> <C> <C>
OPERATIONS
Net investment income.............................................. $ 9,345 $ 943
Net realized gain on investments and foreign
currency transactions........................................... 43,113 2,552
Net unrealized gain (loss) on investments and
foreign currency transactions................................... 71,628 (18,468)
------------------------
Net Increase (Decrease) In Net Assets Resulting From Operations.... 124,086 (14,973)
------------------------
Net Equalization Credits........................................... 2,259 160
------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income.............................................. (5,029) (174)
Capital gains...................................................... (64,358)
------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders................................... (69,387) (174)
------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares....................................... 305,979 27,335
Dividend reinvestments............................................. 68,560 173
Cost of shares repurchased......................................... (208,217) (5,794)
------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions...................................... 166,322 21,714
------------------------
NET INCREASE IN NET ASSETS......................................... 223,280 6,727
------------------------
NET ASSETS
Beginning of Period................................................ 764,036 99,425
------------------------
End of Period...................................................... $987,316 $ 106,152
========================
</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
MARKET BOND BOND SECURITIES
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss).............................. $ 20,660 $ 19,302 $ 19,642 $ 5,802
Net realized gain (loss) on investments and foreign
currency transactions.................................. 3,142 6,755 3,111
Net unrealized gain (loss) on investments and
foreign currency transactions.......................... (924) 8,282 1,172
------------------------------------------------------
Net Increase In Net Assets Resulting From Operations...... 20,660 21,520 34,679 10,085
------------------------------------------------------
Net Equalization Credits.................................. 1,437 2,059 4,541 317
------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income..................................... (20,660) (19,302) (19,640) (5,801)
Capital gains............................................. (1,910) (954)
------------------------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders.......................... (20,660) (21,212) (20,594) (5,801)
------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares.............................. 690,898 162,156 195,944 45,249
Dividend reinvestments.................................... 20,507 20,906 20,178 5,754
Cost of shares repurchased................................ (583,530) (59,048) (26,443) (23,246)
------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions............................. 127,875 124,014 189,679 27,757
------------------------------------------------------
NET INCREASE IN NET ASSETS................................ 129,312 126,381 208,305 32,358
------------------------------------------------------
NET ASSETS
Beginning of Year......................................... 322,193 184,744 260,270 97,542
------------------------------------------------------
End of Year............................................... $ 451,505 $ 311,125 $ 468,575 $129,900
======================================================
<CAPTION>
AGGRESSIVE GROWTH
GROWTH EQUITY LT
PORTFOLIO PORTFOLIO PORTFOLIO
---------------------------------------
<S> <C> <C> <C>
OPERATIONS
Net investment income (loss).............................. $ 451 $ (110) $ 2,890
Net realized gain (loss) on investments and foreign
currency transactions.................................. 27,222 (1,437) 38,758
Net unrealized gain (loss) on investments and
foreign currency transactions.......................... 23,329 5,339 14,893
---------------------------------------
Net Increase In Net Assets Resulting From Operations...... 51,002 3,792 56,541
---------------------------------------
Net Equalization Credits.................................. 90 76
---------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income..................................... (452) (2,942)
Capital gains............................................. (19,532) (22,869)
---------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders.......................... (19,984) (25,811)
---------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares.............................. 69,253 110,504 235,290
Dividend reinvestments.................................... 19,942 25,808
Cost of shares repurchased................................ (41,083) (41,393) (52,911)
---------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions............................. 48,112 69,111 208,187
---------------------------------------
NET INCREASE IN NET ASSETS................................ 79,220 72,903 238,993
---------------------------------------
NET ASSETS
Beginning of Year......................................... 167,335 49,849 438,154
---------------------------------------
End of Year............................................... $ 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
INCOME STRATEGY EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS
Net investment income ........................................... $5,676 $9,353 $1,662 $6,276
Net realized gain (loss) on investments and foreign
currency transactions ........................................ 109,959 30,503 22,274 245
Net unrealized gain (loss) on investments and
foreign currency transactions ................................ 28,343 10,143 18,430 8,892
-------------------------------------------------------
Net Increase (Decrease) In Net Assets Resulting From Operations 143,978 49,999 42,366 15,413
-------------------------------------------------------
Net Equalization Credits ........................................ 568 798 51 67
-------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ........................................... (5,679) (9,350) (1,662) (5,976)
Capital gains ................................................... (32,179) (13,352) (8,550) (1,251)
-------------------------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders ................................ (37,858) (22,702) (10,212) (7,227)
-------------------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares .................................... 278,009 109,696 120,828 36,207
Dividend reinvestments .......................................... 37,734 22,563 10,208 7,213
Cost of shares repurchased ...................................... (45,581) (18,845) (52,995) (20,976)
-------------------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions ................................... 270,162 113,414 78,041 22,444
-------------------------------------------------------
NET INCREASE IN NET ASSETS ...................................... 376,850 141,509 110,246 30,697
-------------------------------------------------------
NET ASSETS
Beginning of Year ............................................... 429,262 225,619 207,897 81,810
-------------------------------------------------------
End of Year ..................................................... $806,112 $367,128 $318,143 $112,507
-------------------------------------------------------
<CAPTION>
EQUITY INTER- EMERGING
INDEX NATIONAL MARKETS
PORTFOLIO PORTFOLIO PORTFOLIO
-------------------------------------------
<S> <C> <C> <C>
OPERATIONS
Net investment income ........................................... $10,037 $11,618 $631
Net realized gain (loss) on investments and foreign
currency transactions ........................................ 8,162 63,523 (9,538)
Net unrealized gain (loss) on investments and
foreign currency transactions ................................ 144,005 (32,658) 3,429
-------------------------------------------
Net Increase (Decrease) In Net Assets Resulting From Operations 162,204 42,483 (5,478)
-------------------------------------------
Net Equalization Credits ........................................ 1,230 5,783 347
-------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ........................................... (10,035) (13,090) (485)
Capital gains ................................................... (18,953) (10,845)
-------------------------------------------
Net Decrease In Net Assets Resulting From
Distributions To Shareholders ................................ (28,988) (23,935) (485)
-------------------------------------------
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares .................................... 411,759 397,019 121,955
Dividend reinvestments .......................................... 28,899 23,584 483
Cost of shares repurchased ...................................... (94,380) (134,917) (61,480)
-------------------------------------------
Net Increase In Net Assets Derived From
Capital Share Transactions ................................... 346,278 285,686 60,958
-------------------------------------------
NET INCREASE IN NET ASSETS ...................................... 480,724 310,017 55,342
-------------------------------------------
NET ASSETS
Beginning of Year ............................................... 393,412 454,019 44,083
-------------------------------------------
End of Year ..................................................... $874,136 $764,036 $99,425
-------------------------------------------
</TABLE>
See Notes to Financial Statements
A-17
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR WERE AS FOLLOWS:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
INVESTMENT ACTIVITIES DISTRIBUTIONS
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND TOTAL
FOR THE YEAR ENDED NET ASSET VALUE, NET UNREALIZED GAIN (LOSS) FROM INVESTMENT DIVIDENDS (FROM
DECEMBER 31, BEGINNING OF PERIOD INVESTMENT INCOME ON SECURITIES OPERATIONS NET INVESTMENT INCOME)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) $10.06 $0.26 $(0.01) $0.25 $(0.26)
1997 10.04 0.51 0.01 0.52 (0.50)
1996 10.02 0.47 0.02 0.49 (0.47)
1995 10.03 0.54 - 0.54 (0.55)
1994 9.99 0.33 0.04 0.37 (0.33)
1993 9.96 0.23 0.03 0.26 (0.23)
- ------------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1998 (Unaudited) $9.98 $0.40 $(0.13) $0.27 $(0.40)
1997 9.94 0.78 0.12 0.90 (0.77)
1996 9.79 0.79 0.25 1.04 (0.79)
1995 8.91 0.76 0.88 1.64 (0.76)
1994 9.67 0.73 (0.70) 0.03 (0.73)
1993 9.24 0.86 0.77 1.63 (0.86)
- ------------------------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) $11.14 $0.26 $0.18 $0.44 $(0.28)
1997 10.75 0.59 0.44 1.03 (0.60)
1996 11.10 0.59 (0.15) 0.44 (0.57)
1995 9.90 0.65 1.19 1.84 (0.64)
1994 10.89 0.50 (0.98) (0.48) (0.50)
1993 10.62 0.52 0.70 1.22 (0.52)
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1998 (Unaudited) $10.78 $0.27 $0.15 $0.42 $(0.29)
1997 10.38 0.53 0.42 0.95 (0.55)
1996 10.84 0.56 (0.27) 0.29 (0.53)
1995 9.64 0.58 1.19 1.77 (0.57)
1994 10.64 0.44 (0.99) (0.55) (0.44)
1993 10.48 0.34 0.78 1.12 (0.34)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------
DISTRIBUTIONS RATIOS / SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED DISTRIBUTIONS (FROM NET ASSET VALUE, NET ASSETS, END OF PERIOD
DECEMBER 31, CAPITAL GAINS) TOTAL DISTRIBUTIONS END OF PERIOD TOTAL RETURN (IN THOUSANDS)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) - $(0.26) $10.05 2.63% $496,770
1997 - (0.50) 10.06 5.28% 451,505
1996 - (0.47) 10.04 5.07% 322,193
1995 - (0.55) 10.02 5.54% 95,949
1994 - (0.33) 10.03 3.76% 94,150
1993 - (0.23) 9.99 2.58% 33,910
- ------------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.09) $(0.49) $9.76 2.76% $366,516
1997 (0.09) (0.86) 9.98 9.44% 311,125
1996 (0.10) (0.89) 9.94 11.31% 184,744
1995 - (0.76) 9.79 18.87% 84,425
1994 (0.06) (0.79) 8.91 0.42% 25,338
1993 (0.34) (1.20) 9.67 18.01% 16,017
- ------------------------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.15) $(0.43) $11.15 4.07% $609,366
1997 (0.04) (0.64) 11.14 9.92% 468,575
1996 (0.22) (0.79) 10.75 4.25% 260,270
1995 - (0.64) 11.10 19.04% 126,992
1994 (0.01) (0.51) 9.90 (4.36)% 53,219
1993 (0.43) (0.95) 10.89 11.63% 43,116
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.21) $(0.50) $10.70 3.98% $139,396
1997 - (0.55) 10.78 9.48% 129,900
1996 (0.22) (0.75) 10.38 2.94% 97,542
1995 - (0.57) 10.84 18.81% 59,767
1994 (0.01) (0.45) 9.64 (5.10)% 21,489
1993 (0.62) (0.96) 10.64 10.79% 23,584
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
RATIO OF NET INVESTMENT
FOR THE YEAR ENDED RATIO OF EXPENSES TO INCOME TO AVERAGE NET PORTFOLIO AVERAGE COMMISSIONS
DECEMBER 31, AVERAGE NET ASSETS (1) ASSETS (1) TURNOVER RATE PAID PER SHARE (2)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MONEY MARKET PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) 0.42% 5.31% N/A N/A
1997 0.44% 5.17% N/A N/A
1996 0.50% 4.93% N/A N/A
1995 0.53% 5.41% N/A N/A
1994 0.64% 3.94% N/A N/A
1993 0.65% 2.56% N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
HIGH YIELD BOND PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1998 (Unaudited) 0.64% 8.26% 47.29% N/A
1997 0.65% 7.89% 103.19% N/A
1996 0.71% 8.28% 120.06% N/A
1995 0.77% 8.51% 127.31% N/A
1994 0.88% 8.13% 141.86% N/A
1993 0.75% 8.37% 185.83% N/A
- ------------------------------------------------------------------------------------------------------------------------------------
MANAGED BOND PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) 0.64% 5.44% 159.02% N/A
1997 0.66% 5.72% 230.87% N/A
1996 0.71% 5.71% 386.16% N/A
1995 0.76% 6.04% 191.39% N/A
1994 0.84% 5.04% 127.95% N/A
1993 0.75% 4.74% 163.11% N/A
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------
For the Period Ended
June 30, 1998 (Unaudited) 0.64% 5.39% 186.06% N/A
1997 0.66% 5.39% 203.01% N/A
1996 0.72% 5.33% 307.13% N/A
1995 0.82% 5.58% 298.81% N/A
1994 0.88% 4.29% 232.99% N/A
1993 0.75% 3.15% 402.37% N/A
- ------------------------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements See explanation of references on A-21
</TABLE>
A-18
<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 ASSET NET REALIZED AND TOTAL DIVIDENDS
VALUE, INVESTMENT UNREALIZED FROM (FROM NET DISTRIBUTIONS
FOR THE YEAR ENDED BEGINNING OF INCOME GAIN (LOSS) INVESTMENT INVESTMENT (FROM CAPITAL TOTAL
DECEMBER 31, PERIOD (LOSS) ON SECURITIES OPERATIONS INCOME) GAIN) DISTRIBUTIONS
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
GROWTH PORTFOLIO
- ----------------
For the Period Ended
June 30, 1998 (Unaudited) $24.61 $(0.01) $1.66 $1.65 - $(2.59) $(2.59)
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)
- ----------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1998 (Unaudited) $11.18 $ 0.01 $1.46 $1.47 - - -
1997 10.78 (0.01) 0.41 0.40 - - -
1996 (3) 10.00 0.01 0.78 0.79 $(0.01) - $(0.01)
- ----------------------------------------------------------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
For the Period Ended
June 30, 1998 (Unaudited) $17.31 - $5.22 $5.22 $(0.05) $(0.87) $(0.92)
1997 16.50 $ 0.16 1.51 1.67 (0.09) (0.77) (0.86)
1996 14.12 0.14 2.37 2.51 (0.13) - (0.13)
1995 11.11 0.10 3.96 4.06 (0.10) (0.95) (1.05)
1994 (4) 10.00 0.10 1.21 1.31 (0.12) (0.08) (0.20)
- ----------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $24.47 $ 0.09 $3.70 $3.79 $(0.09) $(3.02) $(3.11)
1997 20.45 0.20 5.35 5.55 (0.20) (1.33) (1.53)
1996 18.21 0.24 3.15 3.39 (0.24) (0.91) (1.15)
1995 14.05 0.26 4.16 4.42 (0.26) - (0.26)
1994 15.52 0.20 (0.25) (0.05) (0.20) (1.22) (1.42)
1993 15.11 0.26 0.98 1.24 (0.26) (0.57) (0.83)
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
-----------------------------------------------------------------------------------------------------
RATIO OF RATIO OF NET
NET ASSETS, EXPENSES TO INVESTMENT INCOME
FOR THE YEAR ENDED NET ASSET VALUE, TOTAL END OF PERIOD AVERAGE NET (LOSS) TO AVERAGE PORTFOLIO
DECEMBER 31, END OF PERIOD RETURN (IN THOUSANDS) ASSETS (1), (5) NET ASSETS (1) TURNOVER RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
GROWTH PORTFOLIO
- ----------------
For the Period Ended
June 30, 1998 (Unaudited) $23.67 5.94 % $278,728 0.68% (0.03)% 18.62%
1997 24.61 30.27 % 246,555 0.70% 0.22 % 52.20%
1996 21.45 23.62 % 167,335 0.76% 0.44 % 70.22%
1995 18.57 25.75 % 129,741 0.79% 0.88 % 46.76%
1994 14.90 (10.49)% 81,451 0.86% 0.58 % 40.42%
1993 18.20 21.89 % 77,405 0.71% 0.51 % 35.08%
- ------------------------------------------------------------------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1998 (Unaudited) $12.65 13.11 % $173,039 0.85% 0.08 % 141.49%
1997 11.18 3.78 % 122,752 0.86% (0.13)% 189.21%
1996 (3) 10.78 7.86 % 49,849 1.02% (0.11)% 79.86%
- ------------------------------------------------------------------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
For the Period Ended
June 30, 1998 (Unaudited) $21.61 30.53 % $958,424 0.80% (0.05)% 67.47%
1997 17.31 10.96 % 677,147 0.82% 0.52 % 145.17%
1996 16.50 17.87 % 438,154 0.87% 0.74 % 147.02%
1995 14.12 36.75 % 200,785 0.94% 0.90 % 165.83%
1994 (4) 11.11 13.25 % 49,374 1.08% 1.32 % 257.20%
- ------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $25.15 15.55 % $1,067,905 0.69% 0.71 % 38.16%
1997 24.47 28.60 % 806,112 0.70% 0.91 % 105.93%
1996 20.45 19.43 % 429,262 0.75% 1.31 % 94.95%
1995 18.21 31.66 % 206,653 0.83% 1.59 % 86.47%
1994 14.05 (0.28)% 75,083 0.94% 1.39 % 134.57%
1993 15.52 8.29 % 33,356 0.75% 1.74 % 27.67%
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- -------------------------------------------------------------------
AVERAGE
FOR THE YEAR ENDED COMMISSIONS
DECEMBER 31, PAID PER SHARE (2)
- --------------------------------------------------------------------
<S> <C>
GROWTH PORTFOLIO
- ----------------
For the Period Ended
June 30, 1998 (Unaudited) $0.039
1997 0.044
1996 0.047
1995 0.052
1994 N/A
1993 N/A
- --------------------------------------------------------------------
AGGRESSIVE EQUITY PORTFOLIO
- ---------------------------
For the Period Ended
June 30, 1998 (Unaudited) $0.057
1997 0.054
1996 (3) 0.051
- --------------------------------------------------------------------
GROWTH LT PORTFOLIO
- -------------------
For the Period Ended
June 30, 1998 (Unaudited) $0.043
1997 0.046
1996 0.045
1995 0.052
1994 (4) N/A
- --------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $0.047
1997 0.045
1996 0.048
1995 0.048
1994 N/A
1993 N/A
- --------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on A-21
A-19
<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 ASSET REALIZED AND TOTAL DIVIDENDS
VALUE, NET UNREALIZED FROM (FROM NET DISTRIBUTIONS
FOR THE YEAR ENDED BEGINNING OF INVESTMENT GAIN (LOSS) INVESTMENT INVESTMENT (FROM CAPITAL RETURN OF
DECEMBER 31, PERIOD INCOME ON SECURITIES OPERATIONS INCOME) (6) GAINS) CAPITAL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
MULTI-STRATEGY PORTFOLIO
- ------------------------
For the Period Ended
June 30, 1998 (Unaudited) $16.18 $0.25 $1.42 $1.67 $(0.24) $(1.20) -
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
- ----------------
For the Period Ended
June 30, 1998 (Unaudited) $23.89 $0.06 $5.60 $5.66 $(0.03) $(1.63) -
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)
- ------------------------------------------------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1998 (Unaudited) $12.97 $0.39 $0.23 $0.62 $(0.41) $(0.03) -
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) $(0.23)
1993 11.70 0.87 1.35 2.22 (0.87) - -
- ------------------------------------------------------------------------------------------------------------------------------------
EQUITY INDEX PORTFOLIO
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) $25.71 $0.19 $4.31 $4.50 $(0.18) $(0.22) -
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) -
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------------------------------------------------------------
DISTRIBUTION RATIOS/SUPPLEMENTAL DATA
-----------------------------------------------------------------------------------------------------
RATIO OF RATIO OF NET
NET ASSETS, EXPENSES TO INVESTMENT INCOME
FOR THE YEAR ENDED TOTAL NET ASSET VALUE, TOTAL END OF PERIOD AVERAGE NET TO AVERAGE NET
DECEMBER 31, DISTRIBUTIONS END OF PERIOD RETURN (IN THOUSANDS) ASSETS (1), (5) ASSETS (1)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
MULTI-STRATEGY PORTFOLIO
- ------------------------
For the Period Ended
June 30, 1998 (Unaudited) $(1.44) $16.41 10.43% $473,286 0.69% 2.92%
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
- ----------------
For the Period Ended
June 30, 1998 (Unaudited) $(1.66) $27.89 23.89% $423,756 0.70% 0.47%
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%
- ------------------------------------------------------------------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.44) $13.15 4.87% $146,126 0.65% 6.08%
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 (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
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.40) $29.81 17.54% $1,226,866 0.21% 1.36%
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%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- -------------------------------------------------------------------------
AVERAGE
FOR THE YEAR ENDED PORTFOLIO COMMISSIONS
DECEMBER 31, TURNOVER RATE PAID PER SHARE (2)
- --------------------------------------------------------------------------
<S> <C> <C>
MULTI-STRATEGY PORTFOLIO
- ------------------------
For the Period Ended
June 30, 1998 (Unaudited) 61.62% $0.045
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
- ----------------
For the Period Ended
June 30, 1998 (Unaudited) 98.56% $0.035
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
- --------------------------------------------------------------------------
BOND AND INCOME PORTFOLIO
- -------------------------
For the Period Ended
June 30, 1998 (Unaudited) 119.22% N/A
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
- ----------------------
For the Period Ended
June 30, 1998 (Unaudited) 1.17% $0.020
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
- --------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on A-21
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
- ------------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND TOTAL
FOR THE YEAR ENDED NET ASSET VALUE, NET UNREALIZED GAIN (LOSS) FROM INVESTMENT
DECEMBER 31, BEGINNING OF PERIOD INVESTMENT INCOME (LOSS) ON SECURITIES OPERATIONS
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $16.21 $ 0.26 $ 2.22 $ 2.48
1997 15.40 0.41 1.00 1.41
1996 12.93 0.28 2.54 2.82
1995 11.94 0.33 0.91 1.24
1994 12.09 0.07 0.30 0.37
1993 9.38 0.09 2.73 2.82
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
For the Period Ended
June 30, 1998 (Unaudited) $ 9.47 $ 0.08 $(1.31) $(1.23)
1997 9.68 0.06 (0.22) (0.16)
1996 (3) 10.00 (0.02) (0.30) (0.32)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------
DISTRIBUTIONS RATIOS / SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED Dividends (from Distributions (from Net Asset Value
DECEMBER 31, Net Investment Income (6) Capital Gains) Total Distributions End of Period Total Return
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.10) $(1.25) $(1.35) $17.34 15.39%
1997 (0.29) (0.31) (0.60) 16.21 9.28%
1996 (0.23) (0.12) (0.35) 15.40 21.89%
1995 (0.25) - (0.25) 12.93 10.56%
1994 (0.07) (0.45) (0.52) 11.94 3.01%
1993 (0.11) - (0.11) 12.09 30.02%
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
For the Period Ended
June 30, 1998 (Unaudited) $(0.01) - $(0.01) $ 8.23 (12.98)%
1997 (0.05) - (0.05) 9.47 (1.69)%
1996 (3) - - - 9.68 (3.23)%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
RATIO OF NET INVESTMENT
FOR THE YEAR ENDED NET ASSETS, END OF PERIOD RATIO OF EXPENSES TO INCOME (LOSS) TO AVERAGE PORTFOLIO
DECEMBER 31, (IN THOUSANDS) AVERAGE NET ASSETS (1), (5) NET ASSETS (1) TURNOVER RATE
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $987,316 1.00% 2.12% 21.37%
1997 764,036 1.02% 1.81% 84.34%
1996 454,019 1.07% 2.28% 20.87%
1995 182,199 1.12% 1.87% 16.07%
1994 75,971 1.22% 1.28% 52.22%
1993 30,574 1.04% 0.92% 46.48%
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
For the Period Ended
June 30, 1998 (Unaudited) $106,152 1.44% 1.78% 14.00%
1997 99,425 1.46% 0.80% 69.60%
1996 (3) 44,083 2.18% (0.11)% 47.63%
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------
RATIOS / SUPPLEMENTAL DATA
- ------------------------------------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED AVERAGE COMMISSIONS
DECEMBER 31, PAID PER SHARE (2)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C>
INTERNATIONAL PORTFOLIO
- -----------------------
For the Period Ended
June 30, 1998 (Unaudited) $0.001
1997 0.004
1996 0.001
1995 0.018
1994 N/A
1993 N/A
- ------------------------------------------------------------------------------------------------------------------------------------
EMERGING MARKETS PORTFOLIO
- --------------------------
For the Period Ended
June 30, 1998 (Unaudited) $0.002
1997 0.002
1996 (3) 0.001
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
__________________________________________________________________
(1) Ratios are annualized for the six months period ended June 30, 1998.
(2) Brokerage commissions paid on portfolio transactions increase the cost of
securities purchased or reduce the proceeds of securities sold, and are not
reflected separately in the Fund's statements of operations. Fixed-income
transactions are excluded.
(3) Information is for the period from April 1, 1996 (commencement of
operations) to December 31, 1996. The ratio of expenses to average net assets
and the ratio of net investment income to average net assets are annualized.
(4) Information is for the period from January 4, 1994 (commencement of
operations) to December 31, 1994. The ratio of expenses to average net assets
and the ratio of net investment income to average net assets are annualized.
(5) The years prior to 1994 have been restated for comparative purposes to
reflect expenses exclusive of foreign taxes on dividends for the Equity Income
Portfolio, the Multi-Strategy Portfolio, the Equity Index Portfolio and the
International Portfolio.
(6) The distributions from net investment income for 1993 for the Bond and
Income Portfolio and the International Portfolio include dividends in excess of
net investment income of $0.01 and $0.02, respectively.
See Notes to Financial Statements
A-21
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER - 100.00% Greentree Manufactured Housing
5.575% due 02/01/99 " $2,915,089 $2,915,089
American Home Product IBM Corp
5.510% due 07/29/98 ~ $17,970,000 $17,892,989 5.510% due 08/17/98 13,700,000 13,601,447
Americredit Auto IMC Home Equity
5.560% due 03/05/99 " 10,111,972 10,111,972 5.605% due 06/20/99 " 12,000,000 12,000,000
Avnet Inc Monsanto Co
5.520% due 07/17/98 5,000,000 4,987,733 5.500% due 10/28/98 9,100,000 8,934,557
5.550% due 07/10/98 7,530,000 7,519,552 New England Electric System
5.570% due 07/24/98 8,000,000 7,971,531 5.530% due 07/28/98 10,000,000 9,958,525
Baker Hughes Inc New England Power Co
5.500% due 07/07/98 ~ 10,000,000 9,990,833 5.580% due 07/31/98 10,750,000 10,700,012
5.510% due 07/13/98 ~ 5,000,000 4,990,817 PHH Co
5.530% due 07/30/98 ~ 6,000,000 5,973,272 5.636% due 07/27/98 20,000,000 20,000,133
Baltimore Gas & Electric Portland General Electric
5.667% due 03/15/99 5,000,000 5,001,047 5.690% due 08/15/98 5,000,000 4,999,163
BankAmerica Manufacture Trust III Potomac Electric Power
5.825% due 12/10/98 " 4,833,004 4,833,003 5.490% due 07/30/98 17,650,000 17,571,943
Bemis Co Inc 5.510% due 07/22/98 3,000,000 2,990,357
5.510% due 07/21/98 5,000,000 4,984,694 Rubbermaid Inc
5.530% die 07/07/98 10,000,000 9,990,783 5.510% due 07/14/98 ~ 20,000,000 19,960,206
Carolina Power & Light Sherwin-Williams Co
5.510% due 07/29/98 2,600,000 2,588,858 5.510% due 07/02/98 ~ 4,000,000 3,999,388
Chrysler Financial Corp 5.530% due 07/02/98 ~ 1,200,000 1,199,816
6.280% due 06/21/99 2,500,000 2,511,535 5.530% due 07/06/98 ~ 4,500,000 4,496,544
Cogentrix Richmond (Paribas) 5.530% due 08/10/98 5,450,000 5,416,513
5.570% due 07/10/98 11,100,000 11,084,543 5.530% due 08/14/98 5,000,000 4,966,206
Commercial Credit Co Societe Generale N.A.
5.500% due 09/09/98 10,000,000 9,893,056 5.520% due 07/07/98 6,500,000 6,494,020
Contimortgage Southern Co
5.647% due 03/15/99 " 7,654,613 7,654,613 5.530% due 07/08/98 ~ 7,800,000 7,791,613
5.649% due 06/15/99 " 5,000,000 5,000,000 Triangle Fund
Duke Energy 5.656% due 11/15/98 " 20,000,000 20,000,000
5.500% due 08/14/98 10,000,000 9,932,778 Tribune Co
DVI Rec Corp 5.490% due 07/23/98 ~ 12,600,000 12,557,727
5.690% due 03/10/99 " 10,224,846 10,223,467 5.510% due 07/29/98 8,000,000 7,965,716
Eaton Corp Westvaco Corp
5.510% due 11/25/98 10,000,000 9,775,008 5.520% due 07/15/98 10,000,000 9,978,533
Electronic Data Systems Corp 5.550% due 07/07/98 5,000,000 4,995,375
6.300% due 07/01/98 1,090,000 1,090,000 5.550% due 07/29/98 5,000,000 4,978,417
Equitable Resources WFS Financial Auto Trust
5.500% due 07/28/98 ~ 5,000,000 4,979,375 5.658% due 07/20/99 " 20,000,000 20,000,000
Florida Power Corp 5.910% due 12/20/98 " 1,349,505 1,349,776
5.520% due 07/14/98 5,000,000 4,990,033 World Omni Auto
Fluor Corp 5.655% due 04/14/99 " 8,000,000 8,000,000
-------------
5.520% due 07/07/98 13,500,000 13,487,580
5.520% due 07/31/98 6,500,000 6,470,100 Total Commercial Paper 479,160,689
-------------
Ford Credit Auto
5.748% due 10/15/98 " 782,645 782,645
Franklin Resources
5.500% due 07/13/98 ~ 6,700,000 6,687,717
5.530% due 07/20/98 ~ 7,000,000 6,979,570
5.530% due 07/22/98 ~ 6,600,000 6,578,709
5.550% due 07/20/98 1,600,000 1,595,313
GE Capital
5.510% due 10/02/98 15,000,000 14,786,487
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-22
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
4.250% due 07/01/98
(Dated 06/30/98, repurchase price
of $9,001; collateralized by U.S.
Treasury Notes - market value
$13,644 and due 02/15/20) $9,000 $9,000
------------
Total Securities Held Under Repurchase
Agreement 9,000
------------
Total Short-Term Investments
(Cost $479,169,689) 479,169,689
------------
TOTAL MONEY MARKET PORTFOLIO
(COST $479,169,689) $479,169,689
------------
See Notes to Financial Statements See explanation of symbols on A-66
A-23
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments
June 30, 1998 (Unaudited)
- -------------------------------------------------------------- -------------------------------------------------------------
MARKET PRINCIPAL MARKET
SHARES VALUE AMOUNT VALUE
------ ------ --------- ------
<S> <C> <C> <C> <C> <C>
PREFERRED STOCKS - 1.18% Portola Packaging
10.750% due 10/01/05 $1,020,000 $1,078,650
Consumer Discretionary - 1.18% Scotsman Group
8.625% due 12/15/07 1,500,000 1,533,750
CSC Holdings Inc 9,469 $1,091,302 United Defense Industries
Primedia 25,000 2,437,500 8.750% due 11/15/07 4,000,000 4,060,000
Time Warner 5,940 660,825 Westinghouse Air Brake
--------------
9.375% due 06/15/05 500,000 522,500
-------------
Total Preferred Stocks (Cost
$3,744,249) 4,189,627 25,289,275
-------------- -------------
CONSUMER DISCRETIONARY - 32.28%
CONVERTIBLE PREFERRED STOCKS - 0.27% Advanstar Communications
9.250% due 05/01/08 ~ 2,000,000 2,022,500
CONSUMER DISCRETIONARY - 0.15% Ameriserve Food Distribution
8.875% due 10/15/06 2,000,000 2,010,000
Hilton Hotels 20,000 525,000 10.125% due 07/15/07 1,000,000 1,035,000
--------------
525,000 Capstar Hotel
--------------
TECHNOLOGY - 0.12% 8.750% due 08/15/07 1,500,000 1,563,750
Chancellor Media Corp 'B'
Elsag Bailey 10,000 423,750 10.500% due 01/15/07 1,500,000 1,676,250
--------------
423,750 Comcast Corp
--------------
9.125% due 10/15/06 1,500,000 1,605,000
Total Convertible Preferred Stocks (Cost
$813,700) 948,750 CSC Holdings Inc
--------------
7.875% due 12/15/07 3,000,000 3,165,000
9.250% due 11/01/05 2,000,000 2,125,000
COMMON STOCK - 0.04% Eagle Family Foods
8.750% due 01/15/08 ~ 2,000,000 1,960,000
CONSUMER DISCRETIONARY - 0.04% Facilicom International
10.500% due 01/15/08 ~ 1,000,000 990,000
Globalstar Telecommunications Ferrellgas Partners LP SEC 'B'
Warrants 1,250 148,750 9.375% due 06/15/06 2,000,000 2,132,500
--------------
Finlay Fine Jewelry
Total Common Stock (Cost $5) 148,750 8.375% due 05/01/08 1,500,000 1,513,126
--------------
Foodmaker Inc
8.375% due 04/15/08 ~ 2,500,000 2,515,625
PRINCIPAL Fox Liberty Net
AMOUNT 8.875% due 08/15/07 3,000,000 3,067,500
------
Garden State Newspapers
CORPORATE BONDS & NOTES - 77.04% 8.750% due 10/01/09 2,000,000 2,040,000
Global Crossing Holdings Ltd
CAPITAL GOODS - 7.12% 9.625% due 05/15/08 ~ 2,000,000 2,085,000
Globalstar Telecommunications
Aviation Sales 10.750% due 11/01/04 1,500,000 1,428,750
8.125% due 02/15/08 ~ $1,000,000 980,000 11.375% due 02/15/04 2,250,000 2,193,750
BE Aerospace Granite Broadcasting Corp
8.000% due 03/01/08 4,000,000 4,010,000 8.875% due 05/15/08 ~ 1,500,000 1,526,250
9.875% due 02/01/06 3,500,000 3,723,125 Gray Communications System
Furon Co 10.625% due 10/01/06 1,000,000 1,102,500
8.125% due 03/01/08 ~ 2,000,000 2,005,000 Hammons Hotels (John Q.)
Graham Packaging Co Firsts FRN 8.875% due 02/15/04 500,000 506,250
9.281% due 01/15/08 ~ 1,500,000 1,507,500 9.750% due 10/01/05 3,000,000 3,195,000
Imperial Holly Corp HMH Properties
9.750% due 12/15/07 1,500,000 1,511,250 8.875% due 07/15/07 1,000,000 1,131,250
International Comfort Products Holmes Products
8.625% due 05/15/08 ~ 3,000,000 2,992,500 9.875% due 11/15/07 1,000,000 1,035,000
Paragon Corp Interface Inc
9.625% due 04/01/08 ~ 1,500,000 1,365,000 9.500% due 11/15/05 3,000,000 3,225,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-24
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
Intermedia Communications CONSUMER STAPLES - 4.94%
8.500% due 01/15/08 $3,000,000 $3,015,000
8.600% due 06/01/08 ~ 3,500,000 3,543,750 AES Corp
8.875% due 11/01/07 4,000,000 4,110,000 8.375% due 08/15/07 $1,500,000 $1,522,500
Iron Mountain Inc 8.500% due 11/01/07 3,000,000 3,045,000
8.750% due 09/30/09 1,000,000 1,030,000 10.250% due 07/15/06 4,000,000 4,360,000
10.125% due 10/01/06 2,000,000 2,180,000 Aurora Foods
Jacor Communications 8.750% due 07/01/08 ~ 2,000,000 2,030,000
8.000% due 02/15/10 500,000 507,500 9.875% due 02/15/07 2,000,000 2,130,000
8.750% due 06/15/07 1,000,000 1,045,000 B&G Foods Inc
Jones Intercable Inc 9.625% due 08/01/07 1,000,000 1,015,000
7.625% due 04/15/08 3,000,000 3,045,000 Chiquita Brands International Inc
K-III Communications 9.125% due 03/01/04 500,000 512,500
8.500% due 02/01/06 2,500,000 2,550,000 10.250% due 11/01/06 1,500,000 1,631,250
L-3 Communications Southland Corp
8.500% due 05/15/08 3,500,000 3,535,000 5.000% due 12/15/03 1,500,000 1,306,875
-------------
Lenfest Communications Inc 17,553,125
-------------
8.250% due 02/15/08 ~ 2,000,000 2,090,000 ENERGY - 6.88%
8.375% due 11/01/05 1,500,000 1,597,500
Level 3 Communications California Energy Inc
9.125% due 05/01/08 3,000,000 2,925,000 9.875% due 06/30/03 1,500,000 1,605,016
Nash Finch Co 10.250% due 01/15/04 1,000,000 1,066,230
8.500% due 05/01/08 ~ 2,000,000 1,995,000 Calpine Corp
Nebraska Book Co 8.750% due 07/15/07 1,000,000 1,032,500
8.750% due 02/15/08 ~ 4,000,000 3,840,000 10.500% due 05/15/06 1,500,000 1,646,250
Optel Inc Clark R&M Inc
13.000% due 02/15/05 500,000 552,500 8.875% due 11/15/07 1,500,000 1,503,750
Pegasus Communications 'A' Cross Timbers Oil Co
9.625% due 10/15/05 1,000,000 1,032,500 8.750% due 11/01/09 1,500,000 1,511,250
Premier Parks Oper Inc DI Industries
9.250% due 04/01/06 1,000,000 1,037,500 8.875% due 07/01/07 3,500,000 3,395,000
9.500% due 03/31/06 1,131,791 1,137,450 Forcenergy Inc
Prime Hospitality 8.500% due 02/15/07 5,000,000 4,787,500
9.750% due 04/01/07 3,000,000 3,202,500 Giant Industries
RCN Corp 9.750% due 11/15/03 2,000,000 2,097,500
10.000% due 10/15/07 1,000,000 1,035,000 HS Resources Inc
Rose Hills Acquisition Corp 9.250% due 11/15/06 2,000,000 2,025,000
9.500% due 11/15/04 3,500,000 3,657,500 Tesoro Petroleum Corp
RSL Communications 9.000% due 07/01/08 ~ 3,250,000 3,250,000
9.125% due 03/01/08 ~ 3,000,000 2,925,000 Vintage Petroleum
SFX Entertainment Inc 8.625% due 02/01/09 500,000 509,375
-------------
9.125% due 02/01/08 ~ 3,500,000 3,447,500 24,429,371
-------------
Sinclair Broadcasting FINANCIAL & BUSINESS SERVICES - 1.79%
8.750% due 12/15/07 1,000,000 1,035,000
9.000% due 07/15/07 3,000,000 3,135,000 AMRESCO Inc
Six Flags Theme Parks Inc 9.875% due 03/15/05 3,000,000 3,071,250
8.500% due 11/30/04 3,368,209 3,397,683 Bank United Corp
Station Casino 8.875% due 05/01/07 2,500,000 2,771,875
9.625% due 06/01/03 2,000,000 2,075,000 Bell Atlantic Financial Services
Viacom International Inc 5.750% due 04/01/03 ~ 500,000 511,875
-------------
10.250% due 09/15/01 1,000,000 1,109,920 6,355,000
-------------
Young America Corp HEALTH CARE - 8.92%
11.625% due 02/15/06 ~ 2,000,000 1,985,000
--------------
114,623,804 Dade International Inc
--------------
11.125% due 05/01/06 1,500,000 1,680,000
Genesis Health Care Ventures Inc
9.250% due 10/01/06 4,000,000 4,060,000
9.750% due 06/15/05 500,000 517,500
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-25
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
Hudson Respiratory Care Hayes Wheels International
9.125% due 04/15/08 ~ $1,000,000 $980,000 9.125% due 07/15/07 $1,500,000 $1,578,750
Integrated Health Holt Group
9.250% due 01/15/08 2,000,000 2,080,000 9.750% due 01/15/06 ~ 700,000 703,500
9.500% due 09/15/07 2,000,000 2,100,000 Hvide Marine Inc
10.250% due 04/30/06 3,000,000 3,225,000 8.375% due 02/15/08 2,500,000 2,400,000
Magellan Health Services Kitty Hawk Inc
9.000% due 02/15/08 ~ 2,000,000 1,995,000 9.950% due 11/15/04 1,000,000 1,040,000
Paragon Health Networks Les Inc (Laidlaw)
9.500% due 11/01/07 4,000,000 4,090,000 9.250% due 06/01/08 ~ 2,000,000 2,030,000
Pharmerica Inc Navistar International
8.375% due 04/01/08 ~ 3,000,000 3,022,500 8.000% due 02/01/08 2,000,000 2,020,000
Sun Health Care Group Inc Titan Wheel International
9.375% due 05/01/08 ~ 750,000 761,250 8.750% due 04/01/07 2,000,000 2,070,000
-------------
Tenet Healthcare Corp 19,616,459
-------------
8.125% due 12/01/08 ~ 4,000,000 4,045,000 UTILITIES - 2.49%
8.625% due 01/15/07 3,000,000 3,108,750
--------------
31,665,000 Niagara Mohawk Power
--------------
MATERIALS & PROCESSING - 5.94% 0.000% due 07/01/03 * 3,000,000 2,062,500
7.750% due 10/01/08 2,000,000 2,062,500
Columbus McKinnon Corp Vanguard Cellular
8.500% due 04/01/08 ~ 3,500,000 3,447,500 9.375% due 04/15/06 4,500,000 4,725,000
-------------
LTV Corp 8,850,000
-------------
8.200% due 09/15/07 4,000,000 3,880,000
Polymer Group Inc Total Corporate Bonds & Notes
9.000% due 07/01/07 3,000,000 3,048,750 (Cost $267,887,056) 273,528,284
-------------
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,081,250
Wesco Distributor CONVERTIBLE BONDS - 0.99%
9.125% due 06/01/08 ~ 3,000,000 2,973,750
Wheeling Pittsburgh CONSUMER DISCRETIONARY - 0.27%
9.250% due 11/15/07 3,000,000 3,075,000
WHX Corp The Learning Co
10.500% due 04/15/05 ~ 2,000,000 2,040,000 5.500% due 11/01/00 1,000,000 965,000
-------------
Wyman-Gordon Co 965,000
-------------
8.000% due 12/15/07 1,500,000 1,530,000 CONSUMER STAPLES - 0.36%
--------------
21,076,250
--------------
TECHNOLOGY - 1.15% Chiquita Brands International Inc
7.000% due 03/28/01 1,360,000 1,271,600
-------------
Dialogic Corp 1,271,600
-------------
11.000% due 11/15/07 1,000,000 1,092,500 FINANCIAL & BUSINESS SERVICES - 0.14%
Viasystems
9.750% due 06/01/07 3,000,000 2,977,500 FMC Corp
--------------
4,070,000 6.750% due 01/16/05 500,000 491,475
-------------- -------------
TRANSPORTATION - 5.53% 491,475
-------------
TECHNOLOGY - 0.22%
Accuride Corp
9.250% due 02/01/08 ~ 1,500,000 1,511,250 Kent Electronics Corp
American Commercial Lines 4.500% due 09/01/04 1,000,000 795,000
-------------
10.250% due 06/30/08 ~ 1,500,000 1,526,250 795,000
-------------
Coach USA
9.375% due 07/01/07 1,500,000 1,567,500 Total Convertible Bonds
Delco Remy International Inc (Cost $3,344,431) 3,523,075
-------------
10.625% due 08/01/06 2,000,000 2,160,000
Federal-Mogul Corp
7.875% due 07/01/10 1,000,000 1,009,209
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-26
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
FOREIGN BONDS - 16.84% GERMANY - 0.44%
ARGENTINA - 0.70% Fresensius Med Care Cap
9.000% due 12/01/06 $1,500,000 $1,560,000
-------------
CEI Citicorp Holdings 1,560,000
-------------
9.750% due 02/14/07 $1,500,000 $1,462,500 INDONESIA - 0.17%
Impsat Corp
12.375% due 06/15/08 ~ 1,000,000 1,015,000 Polysindo Pn
--------------
2,477,500 11.000% due 06/27/01 3,000,000 600,000
--------------
-------------
AUSTRALIA - 0.85% 600,000
-------------
KAZAKHSTAN - 0.57%
Fox Family Worldwide Inc
9.250% due 11/01/07 3,000,000 3,022,500 Republic of Kazakhstan
--------------
3,022,500 8.375% due 10/02/02 ~ 2,250,000 2,019,083
-------------- -------------
BAHAMAS - 0.88% 2,019,083
-------------
MEXICO - 1.21%
Sun International Hotels Ltd
8.625% due 12/15/07 1,000,000 1,037,500 Monterrey Power SA
9.000% due 03/15/07 2,000,000 2,100,000 9.625% due 11/15/09 ~ 2,500,000 2,268,750
--------------
3,137,500 Petro Mexicano
--------------
BRAZIL - 0.38% 8.850% due 09/15/07 1,000,000 972,500
United Mexican States
Globo Communicacoes PT 'B' 9.875% due 01/15/07 1,000,000 1,040,500
-------------
10.500% due 12/20/06 ~ 1,500,000 1,365,000 4,281,750
-------------- -------------
1,365,000 NETHERLANDS - 0.58%
--------------
CANADA - 6.02%
Netia Holdings Bv
Doman Industries 10.250% due 11/01/07 2,000,000 2,055,000
-------------
9.250% due 11/15/07 1,000,000 1,005,000 2,055,000
-------------
Hollinger Inc PHILIPPINES - 1.74%
0.000% due 10/05/13 * 4,000,000 1,690,000
8.625% due 03/15/05 2,000,000 2,100,000 Philippines Long Distance
9.250% due 02/01/06 500,000 526,250 8.350% due 03/06/17 1,000,000 854,780
Loewen Group International Inc 9.250% due 06/30/06 3,000,000 2,910,000
8.250% due 10/15/03 2,000,000 2,079,830 Universal Robina
MDC Communications 8.375% due 12/19/06 ~ 3,000,000 2,415,000
-------------
10.500% due 12/01/06 1,500,000 1,582,500 6,179,780
-------------
Metronet Commercials RUSSIA - 0.50%
0.000% due 06/15/03 ~ * 4,000,000 2,495,000
Millar Western Ministry of Finance
9.875% due 05/15/08 ~ 2,000,000 1,960,000 11.750% due 06/10/03 ~ 2,000,000 1,780,000
-------------
Rogers Cablesystem Ltd 1,780,000
-------------
9.625% due 08/01/02 500,000 536,250 UNITED KINGDOM - 2.53%
10.000% due 03/15/05 1,500,000 1,668,750
10.000% due 12/01/07 1,000,000 1,112,500 Falcon Holding Group
Rogers Cantel 8.375% due 04/15/10 ~ 1,000,000 1,005,000
8.300% due 10/01/07 3,000,000 2,925,000 Newsquest Capital PLC
9.375% due 06/01/08 1,000,000 1,037,500 11.000% due 05/01/06 1,500,000 1,698,750
Rogers Communications Inc Regional Independent Media
2.000% due 11/26/05 1,000,000 638,750 10.500% due 07/01/08 ~ 1,500,000 1,530,000
--------------
21,357,330 Swiss Life Finance Ltd
--------------
CAYMAN ISLANDS - 0.27% 2.000% due 05/20/03 ~ 500,000 523,750
Telewest PLC
AC International 9.625% due 10/01/06 4,000,000 4,235,000
-------------
0.500% due 07/30/02 1,000,000 960,000 8,992,500
-------------- -------------
960,000
--------------
Total Foreign Bonds
(Cost $62,274,075) 59,787,943
-------------
See Notes to Financial Statements See explanation of symbols on A-66
</TABLE>
A-27
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
SCHEDULE OF INVESTMENTS. (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET NOTES TO SCHEDULE OF INVESTMENTS
AMOUNT VALUE --------------------------------
------ -----
<S> <C> <C> <C>
(a) At June 30, 1998, the net unrealized appreciation
U.S. TREASURY NOTE - 3.13% (depreciation) of investments based on cost of investments for
federal income tax purposes was as follows:
5.875% due 11/30/01 $11,000,000 $11,113,479
-------------
Tax cost basis $350,848,313
=============
Total U.S. Treasury Note (Cost $10,967,571) 11,113,479 Aggregate gross unrealized appreciation for all
-------------
investments in which there was an excess of value
over tax cost $9,870,627
Aggregate gross unrealized depreciation for all
Total Investments in Securities investments in which there was an excess of tax
(Cost $349,031,082) 353,239,908 cost over value (5,661,801)
-------------- -------------
Net unrealized appreciation $4,208,826
=============
VALUE
-----
COMMERCIAL PAPER - 0.51%
Electronic Data Systems Corp
6.300% due 07/01/98 ~ 1,410,000 1,410,000
Potomac Electric Power Co
5.490% due 07/30/98 400,000 398,231
--------------
Total Commercial Paper 1,808,231
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
4.250% due 07/01/98
(Dated 06/30/98, repurchase price
of $9,001; collateralized by U.S.
Treasury Notes - market value
$11,748 and due 05/15/16) 9,000 9,000
--------------
Total Securities Held Under Repurchase
Agreement 9,000
--------------
Total Short-Term Investments
(Cost $1,817,231) 1,817,231
--------------
TOTAL HIGH YIELD BOND PORTFOLIO
(COST $350,848,313) $355,057,139
==============
See Notes to Financial Statements
See explanation of symbols on A-66
</TABLE>
A-28
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
--------- ------ --------- ------
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 28.34% HEALTH CARE - 1.03%
CONSUMER DISCRETIONARY - 1.37% Columbia/HCA Healthcare Mtn
6.875% due 07/15/01 $3,100,000 $3,028,815
News Corp Ltd 8.130% due 08/04/03 4,000,000 4,059,032
-------------
0.000% due 06/15/99 * $10,100,000 $9,481,375 7,087,847
-------------- -------------
9,481,375 TECHNOLOGY - 1.41%
--------------
CONSUMER STAPLES - 1.55%
TCI Communication Inc
Nabisco Inc 6.090% due 02/02/00 5,700,000 5,701,476
6.125% due 02/01/33 5,000,000 4,961,535 7.250% due 06/15/99 4,000,000 4,046,600
-------------
RJR Holdings Capital Corp 9,748,076
-------------
8.000% due 07/15/01 3,000,000 3,042,963 TRANSPORTATION - 2.98%
RJR Nabisco Inc Mtn
8.625% due 12/01/02 2,600,000 2,688,569 Continental Airline
--------------
10,693,067 9.500% due 12/15/01 8,325,000 8,886,938
--------------
ENERGY - 0.44% General Motors Acceptance Corp
6.700% due 03/15/08 + 2,200,000 2,276,695
R&B Falcon Corp Northwest Airlines
6.500% due 04/15/03 ~ 3,000,000 3,004,722 10.530% due 01/15/09 ~ + 4,608,741 5,041,508
--------------
3,004,722 UAL Equipment Trust
--------------
FINANCIAL & BUSINESS SERVICES - 9.210% due 01/21/17 800,000 964,960
12.47%
9.560% due 10/19/18 1,650,000 2,060,421
Advanta Corp 'C' 10.850% due 02/19/15 1,000,000 1,343,055
-------------
6.384% due 08/07/98 5,000,000 4,988,750 20,573,577
-------------
Capital One Bank UTILITIES - 7.09%
6.420% due 11/12/99 1,100,000 1,103,542
6.825% due 07/26/99 3,800,000 3,824,632 AT&T Corp
6.830% due 08/16/99 1,900,000 1,913,047 6.300% due 12/10/98 12,000,000 12,021,300
7.200% due 07/19/99 3,300,000 3,333,356 6.380% due 08/28/98 8,000,000 8,002,640
Chrysler Financial Corp California Energy
5.776% due 01/30/02 9,700,000 9,711,960 10.250% due 01/15/04 4,000,000 4,264,920
Goldman Sachs FRN Consolidated Light & Power
5.958% due 12/07/01 ~ 8,000,000 8,044,408 5.500% due 02/01/99 6,000,000 5,954,298
Heller Financial El Paso Electric
5.828% due 04/01/99 10,000,000 10,002,640 7.250% due 02/01/99 800,000 802,904
5.908% due 07/07/00 5,000,000 5,001,870 Long Island Lighting
6.250% due 01/15/99 3,400,000 3,404,695 5.250% due 12/01/26 1,500,000 1,500,000
9.125% due 08/01/99 3,400,000 3,502,510 7.300% due 07/15/99 1,250,000 1,263,425
Lehman Brothers Holding FRN Mtn 7.300% due 01/15/00 3,250,000 3,264,202
5.906% due 01/18/00 9,600,000 9,611,530 Texas-New Mexico Power
MBNA America Bank NA FRN 12.500% due 01/15/99 2,000,000 2,060,520
5.825% due 08/07/01 500,000 495,885 Toledo Edison
5.938% due 04/25/02 7,600,000 7,663,667 7.460% due 04/03/00 100,000 101,342
MBNA Corp Williams Cos
6.075% due 12/01/99 2,800,000 2,802,615 6.000% due 01/30/00 9,700,000 9,706,664
-------------
Paine Webber Group Inc 48,942,215
-------------
6.284% due 11/27/00 1,700,000 1,720,137
Salomon Inc Total Corporate Bonds & Notes
7.125% due 08/01/99 1,000,000 1,012,140 (Cost $194,096,394) 195,563,326
-------------
Union Pacific Corp FRN Mtn
5.945% due 05/22/00 ~ + 7,900,000 7,895,063
--------------
86,032,447
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-29
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ---- ------ -----
<S> <C> <C> <C> <C> <C>
MORTGAGE-BACKED SECURITIES - 38.67% GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 6.20%
COLLATERALIZED MORTGAGE OBLIGATIONS - 1.41% 6.500% due 07/21/28 # " $4,500,000 $4,490,156
6.500% due 08/19/28 # " 1,680,000 1,675,275
Citibank 1988-2 6.875% due 03/20/24 " 1,572,294 1,610,248
8.000% due 07/25/18 " + $23,566 $23,747 6.875% due 02/20/27 " 2,228,716 2,280,641
Countrywide 7.000% due 11/20/23 " 7,001,820 7,165,054
6.750% due 05/25/24 " 1,000,000 1,003,455 7.000% due 10/20/24 " 1,636,813 1,680,584
8.199% due 11/25/24 " 170,667 176,234 7.000% due 07/20/25 " 2,470,764 2,531,050
Ford Credit Auto Owner Trust 7.000% due 07/20/26 " 8,115,977 8,281,242
6.100% due 03/15/00 " 1,447,309 1,450,833 7.000% due 11/20/26 " 11,248,814 11,473,003
Paine Weber 7.000% due 12/20/26 " 1,327,111 1,353,633
6.500% due 03/25/24 " 64,033 63,772 9.000% due 02/15/17 " 86,542 92,492
Residential Accredited Loans Inc 9.500% due 08/15/17 " 22,456 24,328
7.500% due 03/25/27 " + 1,000,000 1,029,222 9.500% due 04/15/18 " 4,272 4,627
Residential Funding Corp 9.500% due 09/15/18 " 83,902 90,865
5.948% due 10/25/27 " 776,573 772,834 10.000% due 05/15/19 " 29,228 32,071
-------------
Resolution Trust Corp 42,785,269
-------------
6.888% due 06/25/23 " 76,662 76,708
7.500% due 08/25/23 " 76,440 76,703 STUDENT LOAN MORTGAGE ASSOCIATION - 2.10%
8.000% due 04/25/25 " + 1,000,000 1,011,409
Salomon Brothers Mortgage Securities 5.652% due 04/25/04 " 2,099,744 2,099,744
5.918% due 02/25/27 " + 4,003,164 4,010,670 5.873% due 04/25/07 " + 5,000,000 5,001,725
--------------
9,695,587 6.080% due 06/30/00 " 7,400,000 7,402,812
--------------
-------------
14,504,281
-------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 20.93%
Total Mortgage-Backed Securities
6.000% due 04/01/28 " 2,994,516 2,919,653 (Cost $264,239,821) 266,869,407
-------------
6.000% due 06/01/28 " 119,196,000 116,216,100
6.500% due 09/15/22 " 9,161,000 9,083,223
6.500% due 11/25/23 " 672,983 646,011 OTHER ASSET-BACKED SECURITIES - 0.56%
6.500% due 07/14/28 # " 5,900,000 5,881,563
7.500% due 01/15/27 " 7,004,611 7,278,211 Financial Asset Securities Corp
7.500% due 09/20/26 " 2,279,574 2,388,560 6.500% due 04/16/03 ~ " + 693,257 692,933
--------------
144,413,321 Fleet Credit Card
--------------
6.038% due 03/19/99 " 2,000,000 1,959,762
FEDERAL HOUSING AUTHORITY - 2.34% GE Capital Mortgage
6.500% due 04/25/24 " 111,091 110,769
6.800% due 01/25/28 " + 4,500,000 4,517,590 Greenwich Capital Mortgage
7.430% due 08/01/21 " 340,122 355,795 7.607% due 01/25/22 " 38,499 39,221
7.430% due 02/01/23 " 361,697 378,783 Imperial Savings & Loans
7.430% due 10/01/23 " + 10,110,319 10,547,880 9.900% due 02/25/18 " + 59,278 62,844
7.539% due 05/01/23 " 365,498 375,846 Ryland Mortgage
--------------
16,175,894 14.000% due 11/25/31 " + 63,768 70,713
--------------
Securities Assets Sales Inc
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.69% 6.500% due 11/25/25 " 905,287 906,839
-------------
5.850% due 01/25/17 " 8,800,000 8,770,397 Total Other Asset-Backed Securities
5.950% due 07/27/28 # " 10,700,000 10,766,875 (Cost $3,879,849) 3,843,081
-------------
6.213% due 08/01/31 " 5,500,563 5,555,184
6.234% due 04/01/27 " 4,338,020 4,341,139
7.126% due 06/01/27 " + 4,130,974 4,189,066
7.601% due 01/01/23 " 3,449,607 3,533,808
7.606% due 01/01/25 " 1,000,923 1,024,723
7.755% due 11/01/23 " 162,069 166,455
7.774% due 12/01/22 " 901,571 947,408
--------------
39,295,055
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-30
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
Principal Market Principal
Amount Value Amount Value
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
U.S. TREASURY BONDS - 13.03% COMMERCIAL PAPER - 12.58%
6.000% due 02/15/26 $27,600,000 $28,721,278 American Express Credit
6.125% due 11/15/27 57,100,000 61,203,172 5.500% due 07/29/98 $16,300,000 $16,230,272
--------------
Australian Wheat Board
Total U.S. Treasury Bonds 5.500% due 07/01/98 800,000 800,000
(Cost $89,226,503) 89,924,450 BellSouth Telecommunications
--------------
5.480% due 07/28/98 4,100,000 4,083,149
duPont (EI) deNemours
U.S. TREASURY INFLATION 5.490% due 07/08/98 5,200,000 5,194,449
INDEX BOND - 0.71% Electricite De France
5.480% due 07/15/98 2,200,000 2,195,312
3.625% due 07/15/02 4,970,221 4,918,968 General Electric Capital
--------------
5.510% due 07/28/98 10,000,000 9,958,675
Total U.S. Treasury Inflation General Motors Accept Corp
Index Bond (Cost $4,950,076) 4,918,968 5.500% due 07/15/98 16,000,000 15,965,777
--------------
5.510% due 07/29/98 2,200,000 2,190,572
KFW International Financial
U.S. TREASURY NOTE - 1.19% 5.490% due 07/14/98 10,000,000 9,980,175
5.490% due 07/16/98 900,000 897,941
5.500% due 05/31/03 8,200,000 8,202,567 5.500% due 07/07/98 7,700,000 7,692,942
--------------
5.500% due 07/14/98 6,400,000 6,387,289
Total U.S. Treasury Note National Rural Utility Corp
(Cost $8,205,705) 8,202,567 5.520% due 09/16/98 5,300,000 5,237,425
-------------- ------------
Total Commercial Paper 86,813,978
------------
FOREIGN BONDS - 1.72%
MEXICO - 0.29% U.S. TREASURY BILLS - 0.61%
Banamex 4.840% due 08/20/98 ** 15,000 14,899
9.125% due 04/06/00 2,000,000 2,033,750 4.940% due 07/23/98 ** 535,000 533,444
--------------
2,033,750 4.955% due 07/23/98 ** 765,000 762,775
--------------
UNITED KINGDOM - 1.43% 4.975% due 07/23/98 ** 845,000 842,542
4.990% due 10/15/98 ** 460,000 453,254
Lehman Brothers Holdings PLC 5.000% due 10/15/98 ** 30,000 29,558
5.980% due 09/03/02 9,900,000 9,886,140 5.015% due 10/15/98 ** 295,000 290,644
--------------
9,886,140 5.020% due 07/23/98 ** 270,000 269,215
--------------
5.045% due 10/15/98 ** 35,000 34,480
Total Foreign Bonds (Cost $11,794,373) 11,919,890 5.055% due 08/20/98 ** 950,000 943,548
-------------- ------------
Total U.S. Treasury Bills 4,174,359
------------
FOREIGN GOVERNMENT - 1.44%
Brazil - 1.44%
Republic of Brazil
6.875% due 01/01/01 10,290,000 9,955,575
--------------
Total Foreign Government (Cost $9,955,986) 9,955,575
--------------
Total Investments in Securities
(Cost $586,348,707) 591,197,264
--------------
</TABLE>
See Notes to Financial Statements
See explanation of symbols on A-66
A-31
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------ -------------------------------------------------------------
PRINCIPAL NOTES TO SCHEDULE OF INVESTMENTS
---------------------------------
AMOUNT VALUE
------ -----
<S> <C> <C> <C>
SECURITIES HELD UNDER REPURCHASE (a) Securities with an approximate aggregate market value of
AGREEMENTS - 1.15% $4,174,359 have been segregated with the custodian to cover
margin requirements for the following open interest rate
futures contracts at June 30, 1998:
Morgan Stanley Dean Witter & Co
5.650% due 07/01/98 Number of Unrealized
(Dated 06/30/98, repurchase price Type Contracts Appreciation
of $2,300,361; collateralized by U.S. ------------------------------------------------------------
Treasury Notes - market value U.S. Treasury 5 year Notes (9/98) 1,480 $687,071
$2,309,639 and due 02/29/00) $2,300,000 $2,300,000 U.S. Treasury 30 year Bonds (9/98) 493 651,405
------------- -------------
2,300,000 $1,338,476
------------- ==============
State Street Bank and Trust (b) Transactions in options for the period ended June 30,
4.250% due 07/01/98 1998 were as followed:
(Dated 06/30/98, repurchase price Number of
of $5,597,661; collateralized by U.S. Contracts Premium
Treasury Notes - market value -----------------------
$5,711,063 and due 08/15/08) 5,597,000 5,597,000 Outstanding, December 31, 1997 0 $0
------------- Options Written 176 87,055
5,597,000 ------------------------
------------- Outstanding, June 30, 1998 176 $87,055
========================
Total Securities Held Under Repurchase (c) At June 30, 1998, the net unrealized
Agreements 7,897,000 appreciation (depreciation) of investments
------------- based on cost of investments for federal
Total Short-Term Investments income tax purposes was as follows:
(Cost $98,884,830) 98,885,337
------------- Tax cost basis $685,233,537
================
TOTAL MANAGED BOND PORTFOLIO
(COST $685,233,537) $690,082,601 Aggregate gross unrealized appreciation
============= for all investments in which there was an
excess of value over tax cost $5,060,020
- ------------------------------------------------------------------
Aggregate gross unrealized depreciation
for all investments in which there was an
excess of tax cost over value (210,956)
----------------
Net unrealized appreciation $4,849,064
================
</TABLE>
See Notes to Financial Statements See explanations of symbols A-66
A-32
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------- -----------------------------------------------------------------
Principal Market Principal Market
Amount Value Amount Value
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 6.69% FEDERAL HOME LOAN MORTGAGE CORPORATION - 26.51%
FINANCIAL & BUSINESS SERVICES - 6.69% 6.000% due 12/15/17 " $2,464,754 $2,462,597
6.000% due 04/01/28 " 2,994,516 2,919,653
Asian Development Bank 6.000% due 07/01/28 " 36,382,500 35,472,938
5.820% due 06/16/28 + $2,050,000 $2,070,303 6.000% due 07/14/28 # " 1,750,000 1,706,250
Cit Group Holdings Mtn 6.750% due 02/01/08 + " 3,064 3,082
-----------
5.875% due 06/18/01 4,100,000 4,084,420 42,564,520
-----------
International American Dev Bank Federal Housing Authority - 0.40%
9.450% due 09/15/98 100,000 100,720
Key Bank North America 7.400% due 07/25/19 + " 442,031 456,950
6.052% due 04/24/03 4,500,000 4,484,115 7.430% due 07/01/21 " 174,454 176,926
----------- -----------
10,739,558 633,876
----------- -----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 7.91%
Total Corporate Bonds & Notes
(Cost $10,746,673) 10,739,558 6.000% due 12/25/08 " 1,357,947 1,352,855
-----------
6.060% due 03/25/27 " 2,154,269 2,144,407
6.160% due 02/01/17 " 590,833 597,084
GOVERNMENT BOND - 0.34% 6.167% due 08/01/17 " 2,087,874 2,096,685
6.167% due 06/01/18 " 201,680 203,826
Federal Farm Credit Bank 6.167% due 03/01/24 " 191,729 193,441
8.650% due 10/01/99 530,000 548,800 6.167% due 08/01/24 " 505,448 509,962
-----------
6.167% due 07/01/26 " 196,250 197,605
Total Government Bond (Cost $528,690) 548,800 6.167% due 10/01/27 " 197,487 198,863
-----------
6.167% due 11/01/27 " 789,573 795,076
6.312% due 03/01/18 " 1,967,051 1,975,353
MORTGAGE-BACKED SECURITIES - 55.90% 6.500% due 02/18/04 " 1,045,174 1,047,336
7.606% due 01/01/25 " 745,504 763,230
COLLATERALIZED MORTGAGE OBLIGATIONS - 7.37% 7.774% due 12/01/22 " 593,542 623,719
-----------
12,699,442
-----------
Bear Sterns Mortgage Securities Inc GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 10.25%
7.000% due 03/25/27 + " 1,000,000 1,012,990
Champion Home Loan Trust 6.500% due 08/19/28 " 3,290,000 3,280,747
7.851% due 05/25/28 + " 1,386,816 1,417,803 6.875% due 02/20/25 " 1,196,198 1,220,568
Contimortgage Home Equity Loans 6.875% due 01/20/27 " 2,134,307 2,180,447
5.796% due 06/15/28 " 2,700,000 2,700,000 7.000% due 09/20/23 " 124,341 127,355
Countrywide 7.000% due 10/20/24 " 1,091,209 1,120,389
7.767% due 03/25/24 " 199,435 205,973 7.000% due 07/20/25 " 3,144,609 3,221,336
8.199% due 11/25/24 " 170,667 176,234 7.000% due 11/20/26 " 1,915,779 1,953,960
GE Capital Mortgage 7.000% due 12/20/26 " 1,327,111 1,353,633
5.500% due 02/25/09 " 961,084 952,891 7.375% due 05/20/23 " 215,419 220,574
6.500% due 04/25/24 " 74,060 73,846 7.375% due 05/20/26 " 1,593,167 1,628,547
Residential Accredited Loans Inc 9.000% due 01/15/17 # " 140,797 150,477
-----------
7.500% due 03/25/27 + " 3,000,000 3,087,666 16,458,033
-----------
Residential Funding Corp STUDENT LOAN MORTGAGE ASSOCIATION - 3.46%
8.227% due 03/25/25 " 153,729 159,215
Resolution Trust Corp 5.652% due 04/25/04 " 1,049,872 1,049,872
7.500% due 08/25/23 " 38,221 38,352 5.873% due 04/25/07 " 1,900,000 1,900,656
Salomon Brothers Mortgage Securities 6.080% due 06/30/00 " 2,600,000 2,606,500
-----------
5.918% due 02/25/27 + " 2,001,582 2,005,335 5,557,028
----------- -----------
11,830,305
-----------
Total Mortgage-Backed Securities
(Cost $89,171,223) 89,743,204
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-33
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
OTHER ASSET-BACKED SECURITIES - 8.35% U.S. TREASURY NOTE - 0.38%
Citibank 1988-2 5.500% due 05/31/03 $600,000 $600,188
-------------
8.000% due 07/25/18 + " $12,610 $12,706
Financial Asset Securities Corp Total U.S. Treasury Note
6.500% due 04/16/03 + " 1,386,513 1,385,867 (Cost $600,278) 600,188
-------------
Firstplus Home Loan Trust
6.050% due 01/10/04 " 649,451 649,013
6.310% due 04/10/23 " 934,587 934,629 FOREIGN BOND - 1.36%
Ford Credit Auto Owner Trust
6.100% due 03/15/00 " 2,442,334 2,448,281 GERMANY - 1.36%
Greenwich Capital Mortgage
7.607% due 01/25/22 + " 57,748 58,832 Bundes Republic
Home Savings 5.625% due 01/04/28 3,800,000 2,181,637
-------------
5.894% due 05/25/27 + " 359,854 352,376
Imperial Savings & Loans Total Foreign Bond (Cost $2,193,905) 2,181,637
-------------
8.840% due 07/25/17 " 12,652 12,616
9.900% due 02/25/18 + " 59,278 62,844
Ryland Mortgage Total Investments in Securities
5.000% due 11/25/31 + " 94,691 91,066 (Cost $138,495,403) 139,176,844
-------------
6.624% due 10/01/27 + " 1,376,916 1,377,346
Ryland Sec (First Nationwide Trust)
6.874% due 10/25/18 + " 619,726 617,771 Value
-----
Southern Pacific Secured Assets Co
5.826% due 06/25/28 " 2,800,000 2,800,000 COMMERCIAL PAPER - 12.17%
The Money Store Home Equity
6.205% due 03/15/12 + " 2,600,000 2,600,975 American Express Credit
--------------
5.500% due 07/29/98 4,200,000 4,182,033
Total Other Asset-Backed Securities Bankers Trust
(Cost $13,399,472) 13,404,322 5.900% due 07/14/98 4,000,000 4,000,000
--------------
Ford Motor Credit Co
5.840% due 07/10/98 100,000 99,854
STRIPPED MORTGAGE-BACKED SECURITIES - 0.05% General Motors Accept Co
5.520% due 07/22/98 3,600,000 3,588,408
FHLMC (IO) KFW International Financial
6.500% due 09/15/18 + " 839,313 82,783 5.490% due 07/16/98 1,500,000 1,496,569
--------------
5.490% due 07/27/98 1,000,000 996,035
Total Stripped Mortgage-Backed Securities Minnesota Mining & Manufacturing
(Cost $92,080) 82,783 5.480% due 07/17/98 2,300,000 2,294,398
--------------
National Rural Utility Coop
5.490% due 09/10/98 1,100,000 1,087,823
U.S. TREASURY BONDS - 12.69% 5.510% due 08/17/98 400,000 397,123
Southwest Public Service
6.000% due 02/15/26 3,400,000 3,538,128 5.500% due 07/10/98 1,400,000 1,398,075
-------------
6.125% due 11/15/27 15,700,000 16,832,417
--------------
Total Commercial Paper 19,540,318
-------------
Total U.S. Treasury Bonds
(Cost $20,247,746) 20,370,545
--------------
U.S. TREASURY BILLS - 0.65%
U.S. TREASURY INFLATION 4.940% due 07/23/98 ** 795,000 792,581
INDEX BOND - 0.94% 4.990% due 10/15/98 ** 200,000 197,067
5.055% due 08/20/98 ** 50,000 49,649
-------------
3.625% due 07/15/02 1,521,496 1,505,807
--------------
Total U.S. Treasury Bills 1,039,297
-------------
Total U.S. Treasury Inflation
Index Bond (Cost $1,515,336) 1,505,807
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-34
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE
------ -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.48%
State Street Bank and Trust
4.250% due 07/01/98
(Dated 06/30/98, repurchase price
of $775,091; collateralized by U.S.
Treasury Notes - market value
$791,100 and due 11/15/07) $775,000 $775,000
------------
Total Securities Held Under Repurchase
Agreement 775,000
------------
Total Short-Term Investments
(Cost $21,354,849) 21,354,615
------------
TOTAL GOVERNMENT SECURITIES
PORTFOLIO (COST $159,850,252) $160,531,459
============
- -------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Securities with an approximate aggregate market value of $1,039,297 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at June 30, 1998:
Number of Unrealized
Type Contracts Appreciation
- -------------------------------------------------------------------------------
U.S. Treasury 5 year Notes (9/98) 117 $77,367
U.S. Treasury 30 year Bonds (9/98) 114 176,687
--------------
$254,054
==============
(b) Transactions in options for the period ended June 30, 1998 were as followed:
Number of
Contracts Premium
--------------------------------------------
Outstanding, December 31, 1997 0 $0
Options Written 32 15,828
--------------------------------------------
Outstanding, June 30, 1998 32 $15,828
============================================
(c) Forward foreign currency contracts outstanding at June 30, 1998, were
summarized as follows:
Principal
Contracts Amount
To Buy or Expiration Covered By Unrealized
Type To Sell Month Contract Appreciation
- -------------------------------------------------------------------------------
DM Sell 9/98 $2,278,523 $13,302
==============
Principal amount denoted in the indicated currency:
DM - German Mark
(d) At June 30, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for federal income tax purposes was as
follows:
Tax cost basis $159,869,843
==============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $762,935
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (101,319)
--------------
Net unrealized appreciation $661,616
==============
See Notes to Financial Statements
A-35
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------- --------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 96.89% Fresh Del Monte Produce Inc * 187,000 $3,541,313
Nature's Sunshine Products Inc 58,800 1,326,675
CAPITAL GOODS - 3.24% Robert Mondavi 'A' * 55,300 1,569,138
Topps Company (The) 172,000 532,125
Bangag Inc 45,000 $1,755,000 Tyson Foods Inc 'A' 65,000 1,409,687
-------------
Fuller (HB) 48,000 2,661,000 14,996,750
-------------
GaSonics International Corp * 190,000 1,330,000 ENERGY - 5.90%
Phototronics Inc * 80,000 1,765,000
Silicon Valley Group * 93,000 1,493,813 Benton Oil & Gas * 160,000 1,700,000
--------------
9,004,813 Coflexip 24,852 1,519,078
--------------
CONSUMER DISCRETIONARY - 31.26% KN Energy Inc 66,200 3,587,212
Louis Dreyfus Natural Gas * 120,000 2,272,500
Alyn Corp * 67,300 403,800 NGC Corp 233,000 2,912,500
American Disposal Services Inc * 90,000 4,218,750 R&B Falcon Corp * 72,000 1,629,000
AnnTaylor Stores Corp * 130,000 2,754,375 Ranger Oil Ltd 200,000 1,462,500
Authentic Fitness Corp 90,000 1,423,125 San Juan Basin Realty Trust 175,000 1,323,437
-------------
Banta Corp 85,500 2,639,812 16,406,227
-------------
BHC Communications 'A' 12,200 1,711,812 FINANCIAL & BUSINESS SERVICES - 11.95%
Big City Radio Inc * 206,900 1,681,063
Cablevision Systems Corp 'A' * 52,000 4,342,000 BA Merchant Services Inc 'A' * 90,000 1,816,875
CapStar Hotel * 50,200 1,405,600 Bank United Corp 60,000 2,872,500
Chris-Craft Industries Inc * 31,827 1,740,539 Coast Federal Lit CP RTS Trust * 51,000 771,375
CKS Group Inc * 73,800 1,328,400 Commerce Bancshares 25,423 1,240,960
Cole National Corp 'A' * 28,900 1,156,000 Community First Bankshares 120,000 3,142,500
Comsat Corp 43,000 1,217,438 Community Savings Bankshares Inc 1,300 42,900
Globalstar Telecommunications * 223,052 6,022,404 Credit Acceptance Corp * 151,900 1,291,150
GT Bicycles * 93,200 681,525 ESG Re Ltd 22,300 482,238
Intrawest Corp 152,300 3,036,481 Fidelity Bankshares Inc 2,000 57,250
Ionics Inc * 70,000 2,581,250 First Midwest Bancorp 17,587 773,278
Jacor Communications * 23,000 1,357,000 Hambrecht & Quist * 80,200 2,912,262
Jones Intercable 'A' 149,800 3,745,000 Harbor Florida Bancshares 100,000 1,193,750
Libbey Inc 75,000 2,873,438 Harleysville Group Inc 90,000 1,867,500
Lojack Corp * 150,000 1,865,625 Hibernia Corp 'A' 82,200 1,659,413
Nine West Group * 63,000 1,689,188 Imperial Credist Commercial 143,000 1,867,938
Nu Skin Asia Pacific * 86,300 1,682,850 Insignia Financial Group Inc 'A' * 103,500 2,535,750
NY Magic 28,000 766,500 Keystone Financial 50,000 1,850,000
Peregrine Systems Inc * 162,000 4,617,000 Pacific Bank N.A. 12,300 676,500
Picturetel Corp * 55,600 514,300 Peoples Heritage Bank 96,000 2,268,000
Pixar Inc * 70,700 4,268,513 Renaissance Worldwide * 50,000 1,087,500
Rio Hotel & Casino Inc * 73,500 1,387,313 Waste Mgmt International Inc ADR * 257,200 2,797,050
-------------
RPM Inc 132,500 2,252,500 33,206,689
-------------
Ruby Tuesday Inc 86,600 1,342,300 HEALTH CARE - 7.58%
Sizzler International Inc 183,800 505,450
Spelling Entertainment Group 60,900 570,937 1-800 Contacts * 110,700 1,688,175
Standard Products 54,500 1,532,812 Alternative Living Services * 87,500 2,362,500
Tefron Ltd * 100,000 2,200,000 Apria Healthcare Group * 144,400 965,675
Total Control Products Inc * 162,000 1,437,750 Cardiac Pathways Corp * 13,700 97,612
Viatel Inc * 292,000 4,964,000 CORR Therapeutics * 140,000 1,942,500
White Cap Industries * 120,100 2,161,800 Depuy Inc 72,000 2,034,000
Williams Sonoma * 63,000 2,004,187 Gensia Inc * 426 1,704
Young Broadcasting Corp 'A' * 40,000 2,600,000 Gilead Sciences * 80,000 2,565,000
Ziff-Davis Inc * 157,700 2,188,087 Heska Corp * 125,000 1,382,813
--------------
86,870,924 Millennium Pharmaceuticals * 32,400 457,650
--------------
CONSUMER STAPLES - 5.40% Ocular Science Inc * 95,000 3,087,500
Protein Design Laboratories Inc * 40,000 963,750
Corn Products International Inc 127,700 4,325,837 Quintiles Transnational * 48,000 2,361,000
Cymer Inc * 130,200 2,099,475 Wesley Jessen Visioncare * 50,000 1,156,250
-------------
Firearms Training Systems * 77,000 192,500 21,066,129
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-36
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Materials & Processing - 4.74% UTILITIES - 2.24%
CB Commercial Real Estate Services * 24,700 $825,906 Aspect Telecommunications * 70,000 $1,916,250
Granite Construction 54,000 1,653,750 ICG Communications * 70,000 2,559,375
Holophane * 87,850 2,240,175 SmarTalk TeleServices * 120,000 1,747,500
-------------
Ivex Packaging Corp * 120,500 2,801,625 6,223,125
-------------
Martin Marietta Materials 48,600 2,187,000
OM Group Inc 42,000 1,732,500 Total Common Stocks (Cost $224,056,384) 269,248,660
-------------
Pentair Inc 40,700 1,729,750
--------------
13,170,706 Total Investments in Securities
--------------
TECHNOLOGY - 16.15% (Cost $224,056,384) 269,248,660
-------------
Acclaim Entertainment Inc * 240,500 1,427,969 PRINCIPAL
Applied Graphics Technologies Inc * 40,000 1,830,000 AMOUNT VALUE
------ -----
BE Semiconductor * 52,500 446,250
Caraustar Industries Inc 55,500 1,602,563 SECURITIES HELD UNDER REPURCHASE
Comverse Technology * 15,340 795,762 AGREEMENT - 3.11%
Data General Corp * 85,000 1,269,687
Digital Microwave * 206,900 1,500,025 State Street Bank and Trust
Etec Systems Inc * 80,200 2,822,037 4.250% due 07/01/98
Harmon International 23,800 916,300 (Dated 06/30/98, repurchase price
Indus International Inc * 114,000 1,368,000 of $8,644,020; collateralized by U.S.
Integrated Process Equipment Corp * 70,000 787,500 Treasury Notes - market value
KLA-Tencor Corp * 36,000 996,750 $8,820,419 and due 08/15/08) $8,643,000 8,643,000
-------------
Kulicke & Soffa Industries * 145,000 2,465,000
Lam Research * 60,000 1,147,500 Total Securities Held Under Repurchase
Macromedia Inc * 313,100 5,851,056 Agreement 8,643,000
-------------
Microchip Technology Inc * 66,775 1,744,497
Novellus Systems * 145,000 5,174,688 Total Short-Term Investment
Remedy Corp * 132,000 2,244,000 (Cost $8,643,000) 8,643,000
-------------
Security Dynamics Technologies * 143,000 2,645,500
Sensormatic Electric 106,600 1,492,400
Structural Dynamics Research Corp * 63,047 1,457,962 TOTAL GROWTH PORTFOLIO
Teleflex 54,800 2,082,400 (COST $232,699,384) $277,891,660
-------------
Tier Technologies Inc 'B' * 90,000 1,603,125
Vantive Corp * 59,400 1,217,700
--------------
44,888,671
--------------
TRANSPORTATION - 8.43% NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
America West Holdings Corp 'B' * 145,300 4,150,131 (a) At June 30, 1998, the net unrealized appreciation
ARCTIC Cat Inc 132,000 1,303,500 (depreciation) of investments based on cost of investments
Dollar Thrifty Group * 175,000 2,318,750 for federal income tax purposes was as follows:
Hayes Lemmerz International Inc * 61,100 2,428,725
Hub Group Inc 'A' * 62,000 1,309,750 Tax cost basis $232,699,384
-------------
Landstar System Inc * 86,500 3,022,094
Lear Seating Corp * 29,400 1,508,588 Aggregate gross unrealized appreciation for all investments
M.S. Carriers Inc * 46,000 1,247,750 in which there was an excess of value over
tax cost $66,252,232
Polaris Industries 107,500 4,044,687
Seacor Holdings Inc * 25,900 1,587,995 Aggregate gross unrealized depreciation for all investments
U.S. Freightways Corp 15,000 492,656 in which there was an excess of tax cost
over value (21,059,956)
-------------- -------------
23,414,626
--------------
Net unrealized appreciation $45,192,276
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-37
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
=============================================================== =========================================================
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <S> <C> <C>
COMMON STOCKS - 90.02% Sola International * 75,000 $2,451,563
STERIS Corp * 75,000 4,769,531
Capital Goods - 0.11% -----------
10,833,282
Sealed Air Corp * 5,100 $187,425 -----------
--------- MATERIALS & PROCESSING - 7.98%
187,425
--------- Bethlehem Steel Corp * 120,000 1,492,500
CONSUMER DISCRETIONARY - 17.47% Cone Mills Corp * 270,000 2,328,750
Georgia Gulf Corp 120,000 2,737,500
Barnes & Noble Inc * 50,000 1,871,874 Hawk Corp * 50,000 881,250
Brass Eagle Inc * 220,000 3,382,500 Louisiana Pacific Corp 100,000 1,825,000
Cablevision Systems Corp 'A' * 60,000 4,781,220 Martin Marietta Materials 100,000 4,500,000
CYRK Inc * 160,000 1,760,000 -----------
First Brands Corp 120,000 3,075,000 13,765,000
Hearst-Argyle Television Inc * 145,000 5,800,000 -----------
Metro Networks Inc * 50,000 2,156,250
Steelcase Inc 132,500 3,445,000 TECHNOLOGY - 10.95%
Tandy Corp 10,000 530,625
TCI Satellite Entertainment 'A' * 200,000 1,175,000 Bay Networks Inc * 61,100 1,970,475
Tele-Communications 'A' * 108,000 2,170,125 Ceridian Corp * 118,100 6,938,375
---------- Policy Management Systems * 130,000 5,102,500
30,147,594 Stratus Computer * 50,000 1,265,625
---------- TCI Ventures Group 'A' * 180,000 3,611,250
CONSUMER STAPLES - 5.74% -----------
18,888,225
Delta and Pine Land 75,000 3,337,500 -----------
Food Lion Inc 'B' 320,000 3,400,000 TRANSPORTATION - 6.05%
Genesis Direst Inc 120,000 1,335,000
Lunar Corp 100,000 1,837,500 Federal-Mogul Corp 45,000 3,037,500
---------- Knightsbridge Tankers Ltd 75,000 2,006,250
9,910,000 Marine Transport Corp * 30,000 121,875
---------- OMI Corp * 375,000 3,000,000
ENERGY - 7.14% Regal Beloit Corp 80,000 2,280,000
-----------
Brown (Tom) Inc * 100,000 1,881,250 10,445,625
Ceanic Homes Inc * 79,200 1,534,500 -----------
Diamond Offshore Drilling 50,100 2,004,000 UTILITIES - 1.90%
Louis Dreyfus Natural Gas * 150,000 2,840,625
Vastar Resources Inc 75,000 3,276,563 Hyperion Telecomm Inc 'A' * 50,000 784,375
Willbros Group Inc * 50,000 781,250 NEXTEL Communications Inc 100,000 2,487,500
---------- -----------
12,318,188 3,271,875
---------- -----------
FINANCIAL & BUSINESS SERVICES - 26.40%
Total Common Stocks (Cost $157,323,578) 155,318,514
-----------
Berkley (W.R.) Corp 65,000 2,604,062
Boston Properties 50,000 1,725,000
GMAC Investment Corp 75,000 4,612,500 FOREIGN COMMON STOCKS - 6.64%
Glenborough Realty Trust Inc 100,000 2,637,500
Heller Financial Inc * 80,300 2,409,000
Legg Mason Inc 70,000 4,029,375 CANADA - 1.97%
Life Re Corp 75,000 6,150,000
Price (T Rowe) Associates 131,600 4,943,225 Clearnest Communications 'A' * 130,000 1,430,000
Providian Corp 68,600 5,389,388 Newcourt Credit Group Inc 40,000 1,967,500
ReliaStar Financial Corp 65,000 3,120,000 -----------
Sovereign Bancorp Inc 200,000 3,268,750 3,397,500
Spieker Properties 50,000 1,937,500 -----------
UICI * 100,000 2,725,000 FRANCE - 1.41%
----------
45,551,300 Coflexip Sponsored ADR
----------
HEALTH CARE - 6.28% NORWAY - 1.62% 40,000 2,445,000
-----------
Algos Pharmaceuticals Corp * 60,000 1,620,000 2,445,000
Datascope Corp * 75,000 1,992,188 -----------
Stolt Comex Seaway SA * 99,300 1,923,938
Stolt Comex Seaway SA ADR * 49,650 868,875
-----------
2,792,813
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbools on A-66
A-38
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------- -----------------------------------------------------------
MARKET NOTES TO SCHEDULE OF INVESTMENTS
SHARES VALUE ---------------------------------
------ -----
<S> <C> <C> <C>
(a) At June 30, 1998, the net unrealized appreciation
UNITED KINGDOM - 1.64% (depreciation) of investments based on cost of investments
for federal income tax purposes was as follows:
Willis Corroon Group PLC ADR 225,000 $ 2,826,562
---------------
2,826,562 Tax cost basis $175,210,488
--------------- ---------------
Total Foreign Common Stocks Aggregate gross unrealized appreciation for
all investments in which there was an excess
(Cost $12,122,910) 11,461,875 of value over tax cost $ 8,721,202
---------------
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
Total Investments in Securities cost over value (11,387,301)
---------------
(Cost $169,446,488) 166,780,389
---------------
Net unrealized depreciation $ (2,666,099)
================
PRINCIPAL
AMOUNT VALUE
------ -----
SHORT-TERM INVESTMENT - 3.34%
State Street Cayman Islands
5.250% due 07/01/98 $5,764,000 5,764,000
---------------
Total Short-Term Investment
(Cost $5,764,000) 5,764,000
---------------
TOTAL AGGRESSIVE EQUITY PORTFOLIO
(COST $175,210,488) $172,544,389
===============
</TABLE>
See Notes to Financial Statements See explanations of symbols on A-66
A-39
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------- -----------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ ------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 91.33% TECHNOLOGY - 33.01%
CONSUMER DISCRETIONARY - 32.56% America Online Inc 306,864 $ 32,527,584
Analog Devices * 94,049 2,310,079
Amazon.Com Inc * 99,560 $ 9,931,110 Aspen Technology Inc * 386,380 19,512,190
Aspect Communications * 22,325 1,688,328 At Home Corp 'A' * 262,465 12,417,875
CBS Corp 421,445 13,380,878 Cadence Design Systems Inc * 539,235 16,851,094
Chancellor Media Corp * 198,025 9,833,179 CISCO Systems Inc * 377,745 34,776,148
Comcast Corp 'A' Specialty 1,092,180 44,335,682 Dell Computer Corp * 156,945 14,566,458
Costco Cos * 160,555 10,125,000 General Instrument Corp * 219,465 5,966,704
Cox Communications 258,890 12,539,984 Intuit Inc * 190,490 11,667,513
Mediaone Group Inc * 900,005 39,543,970 JDA Software Group Inc * 173,965 7,610,969
Snyder Communications * 117,005 5,148,220 Maxim Integrated Products * 221,695 7,024,960
Tele-Communications 'A' * 1,139,015 43,780,889 Microsoft Corp * 406,380 44,041,433
Tele-Communications Liberty 'A' * 205,530 7,977,133 Orbital Sciences Corp * 84,575 3,160,991
Time Warner Inc 565,051 48,276,545 Parametric Technology Corp * 1,158,160 31,415,090
Tyco International Ltd 194,375 12,245,626 Peoplesoft Inc * 192,915 9,067,005
U.S. West Inc 1 37 Pittway Corp 'A' * 257,112 18,994,149
United International Holdings 'A' * 22,980 367,680 Sapient Corp * 116,110 6,124,803
Warner Lambert Co 712,985 49,463,334 TCI Ventures Group 'A' * 1,108,055 22,230,351
-------------
308,637,595 Western Wireless Corp 'A' * 377,220 7,520,826
-------------
CONSUMER STAPLES - 1.00% Wind River Systems * 143,562 5,150,287
------------
312,936,509
------------
Apollo Group Inc 'A' * 51,935 1,717,101 TRANSPORTATION - 1.66%
Delta and Pine Land 175,365 7,803,743
-------------
9,520,844 Federal-Mogul Corp 232,885 15,719,738
------------- ------------
FINANCIAL & BUSINESS SERVICES - 11.86% 15,719,738
------------
Ambanc Holding Co Inc 37,365 663,229 Total Common Stocks
Associates First Capital Corp 176,850 13,595,344 (Cost $667,484,042) 865,851,604
------------
Bank of New York Co Inc 139,430 8,461,658
BankAmerica Corp 206,785 17,873,979
Cognizant Corp 161,230 10,157,490 FOREIGN COMMON STOCKS - 5.84%
First Defiance Financial Corp 58,245 815,430
Household International Inc 185,175 9,212,455 FINLAND - 4.63%
Lamar Advertising Co * 193,755 6,950,961
Outdoor Systems Inc * 299,892 8,396,976 Nokia Corp ADR Pref 396,115 28,743,095
Provident Financial Holdings * 34,555 717,016 Raisio Group PLC 840,870 15,145,573
------------
43,888,668
------------
Star Banc Corp 95,797 6,119,033
U.S. Bancorp 207,210 8,910,030 ITALY - 0.88%
UNUM Corp 370,914 20,585,726
-------------
112,459,327 Telecom Italia Spa 1,132,500 8,321,641
------------- ------------
8,321,641
------------
HEALTH CARE - 8.76%
NORWAY - 0.33%
Alza Corp * 273,380 11,823,685
Centocor Inc * 120,810 4,379,363 Ocean Rig Asa * 4,258,187 3,166,145
------------
3,166,145
------------
HBO & Co 246,985 8,706,221
Lilly (Eli) & Co 276,340 18,255,711
Omnicare Inc 254,807 9,714,517 Total Foreign Common Stocks
Pfizer Inc 160,065 17,397,065 (Cost $41,133,805) 55,376,454
------------
Sofamor Danek Group * 144,220 12,484,044
U.S. Surgical Corp 6,940 316,638 Total Investments in Securities
-------------
83,077,244 (Cost $708,617,847) 921,228,058
------------- ------------
MATERIALS & PROCESSING - 2.48%
Monsanto Co 286,795 16,024,671
Solutia inc 260,590 7,475,676
-------------
23,500,347
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-40
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
AMOUNT VALUE
--------- -----
<S> <C> <C> <C>
(a) Forward foreign currency contracts outstanding at June
COMMERCIAL PAPER - 2.82% 30, 1998 were summarized as follows:
PRINCIPAL
Cit Group Holdings Inc Contracts AMOUNT UNREALIZED
6.100% due 07/01/98 $26,700,000 $26,700,000 To Buy or EXPIRATION COVERED BY APPRECIATION
------------
Type To Sell MONTH CONTRACT (DEPRECIATION)
-------------------------------------------------------------
Total Commercial Paper 26,700,000 BP Buy 8/98 $ 4,087,354 $ 56,229
------------
Buy 10/98 1,977,970 22,708
Sell 8/98 4,075,456 (68,137)
SECURITIES HELD UNDER REPURCHASE Sell 10/98 1,989,600 (6,840)
AGREEMENT - 0.01% DG Buy 7/98 10,120,696 (58,678)
Sell 7/98 11,066,080 22,081
State Street Bank and Trust FM Buy 7/98 14,470,871 (75,452)
4.250% due 07/01/98 Buy 11/98 96,242 328
(Dated 06/30/98, repurchase price Sell 7/98 27,871,712 (14,598)
of $70,008; collateralized by U.S. Sell 8/98 1,801,575 (22,344)
Treasury Notes - market value Sell 11/98 99,434 2,864
$76,365 and due 05/15/16) 70,000 70,000 IL Buy 7/98 5,920,186 2,454
------------
Buy 8/98 1,625,730 (25,056)
Buy 11/98 1,431,066 (23,725)
Total Securities Held Under Repurchase Sell 7/98 5,926,300 3,660
Agreement 70,000 Sell 8/98 4,051,506 (48,466)
------------
Sell 11/98 5,012,176 30,190
Total Short-Term Investments SK Buy 7/98 1,562,524 1,286
(Cost $26,770,000) 26,770,000 Buy 8/98 338,226 (118)
------------
Sell 7/98 1,565,631 1,822
Sell 8/98 337,381 (726)
-----------
$ (200,518)
===========
TOTAL GROWTH LT PORTFOLIO
(COST $735,387,847) $947,998,058
============
Principal amount denoted in the indicated currency:
BP - British Pound
DG - Dutch Guilder
FM - Finnish Markka
IL - Italian Lira
SK - Swedish Krona
(b) At June 30, 1998, the net unrealized appreciation
(depreciation) of investments based on cost of investments
for federal income tax purposes was as follows:
Tax cost basis $ 735,387,847
=============
Aggregate gross unrealized appreciation
for all investments in which there was
an excess of value over tax cost $ 219,607,298
Aggregate gross unrealized depreciation
for all investments in which there was an
excess of tax cost over value (6,997,087)
-------------
Net unrealized appreciation $ 212,610,211
=============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-41
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------- -------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 97.10% FNMA 331,300 $20,126,475
First Union Corp 455,000 26,503,750
CAPITAL GOODS - 4.44% Long Island Bancorp Inc 66,400 4,033,800
Marsh & McLennan Cos 175,200 10,588,650
AlliedSignal Inc 411,600 $18,264,750 MBIA Inc 68,300 5,113,963
Boeing 373,000 16,621,812 NationsBank Corp 214,000 16,371,000
Cooper Industries Inc 227,700 12,509,269 Norwest Corp 105,200 3,931,850
---------------
47,395,831 Travelers Inc 173,600 10,524,500
---------------
CONSUMER DISCRETIONARY - 23.78% UNUM Corp 169,300 9,396,150
Washington Mutual Inc 141,600 6,150,750
American Home Products 459,100 23,758,425 Wells Fargo & Co 14,500 5,350,500
------------
Bristol Myers Squibb 258,100 29,665,369 160,381,650
------------
Circuit City Stores 395,300 18,529,687 HEALTH CARE - 4.69%
Comcast Corp 'A' Specialty 264,600 10,741,106
Federated Department Stores * 174,200 9,374,138 Alza Corp * 247,400 10,700,050
Gap Stores Inc 181,000 11,154,125 Crescendo Pharmaceuticals Corp * 13,025 165,255
General Mills Inc 149,000 10,187,875 Humana Inc 689,600 21,506,900
Hasbro Inc 199,200 7,831,050 United Healthcare Corp 279,700 17,760,950
------------
International Game Technology 528,200 12,808,850 50,133,155
------------
Kmart Corp 619,900 11,933,075 MATERIALS & PROCESSING - 9.49%
Mirage Resorts Inc * 244,300 5,206,644
Procter & Gamble 231,200 21,053,650 Albemarle Corp 337,100 7,437,269
Starwood Hotels & Resorts 431,600 20,851,675 Allegheny Teledyne Inc 602,400 13,779,900
Toys R Us * 325,600 7,671,950 duPont (EI) deNemours 241,000 17,984,625
Tyco International Ltd 375,000 23,625,000 Georgia-Pacific Corp 44,800 2,640,387
Wal-Mart Stores Inc 109,800 6,670,350 Monsanto Co 183,600 10,258,650
Warner Lambert Co 329,400 22,852,125 Rohm & Haas Co 141,100 14,665,581
---------------
253,915,094 Temple Inland Inc 237,600 12,800,700
---------------
CONSUMER STAPLES - 9.26% Union Carbide Corp 74,800 3,992,450
Waste Management Inc 506,900 17,741,500
------------
Agribrands International Inc * 9,640 291,610 101,301,062
------------
Anheuser Busch 343,800 16,223,062 TECHNOLOGY - 12.31%
Commscope Inc * 182,933 2,961,228
PepsiCo 359,300 14,798,669 Autodesk Inc 159,900 6,176,137
Philip Morris Co Inc 606,400 23,877,000 Bay Networks Inc * 329,000 10,610,250
Ralston-Purina Group 96,800 11,307,450 CISCO Systems Inc * 58,800 5,413,275
Seagrams Ltd 395,500 16,190,781 Computer Association International 165,900 9,217,819
Unilever N.V. 167,800 13,245,713 EMC Corp * 414,000 18,552,375
---------------
98,895,513 General Semiconductor Inc * 56,500 557,938
---------------
ENERGY - 10.47% IBM Corp 243,400 27,945,332
Oracle Systems Corp * 378,950 9,307,959
Atlantic Richfield 250,600 19,578,125 Perkin Elmer Corp 238,300 14,819,281
British Petroleum PLC ADR 86,897 7,668,660 Sensormatic Electric 520,000 7,280,000
Central & South West 383,700 10,311,937 Sun Microsystems * 437,800 19,016,938
Columbia Energy Group 88,950 4,947,844 Texas Instruments Inc 43,900 2,559,919
------------
Cooper Cameron Corp * 117,400 5,987,400 131,457,223
------------
Exxon Corp 250,200 17,842,388 TRANSPORTATION - 2.37%
Mobil Corp 195,900 15,010,838
Phillips Petroleum Co 216,300 10,422,956 Union Pacific Corp 572,500 25,261,563
------------
Tosco Corp 683,700 20,083,687 25,261,563
--------------- ------------
111,853,835
---------------
FINANCIAL & BUSINESS SERVICES - 15.02%
Ambac Financial Group Inc 185,800 10,869,300
American International Group Inc 40,800 5,956,800
Associates First Capital Corp 136,100 10,462,687
Astoria Financial Corp 85,400 4,568,900
Citicorp 69,900 10,432,575
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-42
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------- -------------------------------------------------------------
MARKET NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
SHARES VALUE
------ ------
<S> <C> <C> <C>
(a) At June 30, 1998, the net unrealized appreciation
UTILITIES - 5.27% (depreciation) of investments based on cost of investments
for federal income tax purposes was as follows:
GTE Corp 341,300 $18,984,812
Northern States Power Co 181,200 5,186,850 Tax cost basis $ 960,445,409
SBC Communications 379,800 15,192,000 -------------
Texas Utilities Co 131,400 5,469,525 Aggregate gross unrealized appreciation
WorldCom Corp * 235,200 11,392,500 for all investments in which there was
--------------
56,225,687 an excess of value over tax cost $ 137,326,794
--------------
Aggregate gross unrealized depreciation
for all investments in which there was
Total Common Stocks (Cost $929,511,891) 1,036,820,613 an excess of tax cost over value (30,018,072)
-------------- -------------
Total Investments in Securities Net unrealized appreciation $ 107,308,722
=============
(Cost $929,511,891) 1,036,820,613
--------------
PRINCIPAL
AMOUNT VALUE
--------- -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 2.90%
State Street Bank and Trust
4.250% due 07/01/98
(Dated 06/30/98, repurchase price
of $31,019,188; collateralized by U.S.
Treasury Notes - market value
$31,641,594 and due 08/15/08) $30,933,518 30,933,518
--------------
Total Securities Held Under Repurchase
Agreement 30,933,518
--------------
Total Short-Term Investment
(Cost $30,933,518) 30,933,518
--------------
TOTAL GROWTH PORTFOLIO
(COST $960,445,409) $1,067,754,131
==============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-43
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- ------------------------------------------------------------ ----------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
CONVERTIBLE PREFERRED STOCK - 0.37% Mobil Corp 47,200 $3,616,700
Phillips Petroleum Co 53,100 2,558,756
CONSUMER DISCRETIONARY - 0.37% Tosco Corp 153,300 4,503,188
-----------
Home Ownership Funding 1,830 $1,744,535 FINANCIAL & BUSINESS SERVICES - 8.32% 27,458,480
----------- -----------
Total Convertible Preferred Stock Ambac Financial Group Inc 44,400 2,597,400
(Cost $1,831,903) 1,744,535 American International Group Inc 10,000 1,460,000
-----------
Associates First Capital Corp 33,400 2,567,625
Astoria Financial Corp 21,000 1,123,500
COMMON STOCKS - 53.97% Citicorp 17,200 2,567,100
FNMA 82,700 5,024,025
CAPITAL GOODS - 2.49% First Union Corp 112,400 6,547,300
Long Island Bancorp Inc 16,100 978,075
AlliedSignal Inc 105,700 4,690,438 Marsh & McLennan Cos 43,050 2,601,834
Boeing 89,900 4,006,169 MBIA Inc 17,000 1,272,875
Cooper Industries Inc 55,800 3,065,513 NationsBank Corp 51,400 3,932,100
-----------
11,762,120 Norwest Corp 25,900 968,013
-----------
CONSUMER DISCRETIONARY - 13.25% Travelers Inc 42,800 2,594,750
UNUM Corp 41,600 2,308,800
American Home Products 112,800 5,837,400 Washington Mutual Inc 34,800 1,511,625
Bristol Myers Squibb 63,600 7,310,025 Wells Fargo & Co 3,600 1,328,400
-----------
Circuit City Stores 97,500 4,570,313 39,383,422
-----------
Comcast Corp 'A' Specialty 71,700 2,910,572 HEALTH CARE - 2.61%
Federated Department Stores * 43,500 2,340,844
Gap Stores Inc 44,600 2,748,475 Alza Corp * 54,200 2,344,150
General Mills Inc 34,200 2,338,425 Crescendo Pharmaceuticals Corp * 3,550 45,041
Hasbro Inc 49,700 1,953,831 Humana Inc 186,600 5,819,588
International Game Technology 131,600 3,191,300 United Healthcare Corp 64,900 4,121,150
-----------
Kmart Corp 144,800 2,787,400 12,329,929
-----------
Mirage Resorts Inc * 60,200 1,283,013 MATERIALS & PROCESSING - 5.27%
Procter & Gamble 57,000 5,190,563
Starwood Hotels & Resorts 106,300 5,135,619 Albemarle Corp 76,900 1,696,606
Toys R Us * 80,200 1,889,713 Allegheny Teledyne Inc 148,000 3,385,500
Tyco International Ltd 95,058 5,988,654 duPont (EI) deNemours 59,400 4,432,725
Wal-Mart Stores Inc 27,100 1,646,325 Georgia-Pacific Corp 11,000 648,309
Warner Lambert Co 81,000 5,619,375 Monsanto Co 45,300 2,531,138
-----------
62,741,847 Rohm & Haas Co 33,700 3,502,694
-----------
CONSUMER STAPLES - 5.19% Temple Inland Inc 60,300 3,248,663
Union Carbide Corp 18,400 982,100
Agribrands International Inc * 2,390 72,298 Waste Management Inc 128,300 4,490,500
-----------
Anheuser Busch 85,900 4,053,406 24,918,235
-----------
Commscope Inc * 45,333 733,828 TECHNOLOGY - 6.79%
PepsiCo 88,300 3,636,856
Philip Morris Co Inc 148,700 5,855,063 Autodesk Inc 37,600 1,452,300
Ralston-Purina Group 24,100 2,815,181 Bay Networks Inc * 81,100 2,615,475
Seagrams Ltd 102,800 4,208,375 CISCO Systems Inc * 14,550 1,339,509
Unilever N.V. 40,100 3,165,394 Computer Association International 39,800 2,211,388
-----------
24,540,401 EMC Corp * 103,200 4,624,650
-----------
ENERGY - 5.80% General Semiconductor Inc * 13,900 137,263
IBM Corp 60,000 6,888,742
Atlantic Richfield 61,800 4,828,125 Oracle Systems Corp * 93,500 2,296,594
British Petroleum PLC ADR 26,297 2,320,669 Perkin Elmer Corp 55,200 3,432,750
Central & South West 94,200 2,531,624 Sensormatic Electric 127,500 1,785,000
Columbia Energy Group 22,050 1,226,530 Sun Microsystems * 108,500 4,712,969
Cooper Cameron Corp * 29,300 1,494,300 Texas Instruments Inc 10,800 629,775
-----------
Exxon Corp 61,400 4,378,588 32,126,415
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-44
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- --------------------------------------------------------------
MARKET PRINCIPAL MARKET
SHARES VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
TRANSPORTATION - 1.31% Keystone Financial Midatlantic
6.500% due 05/31/08 $500,000 $503,125
Union Pacific Corp 141,100 $6,226,038 Montell American Financial
--------------
6,226,038 7.400% due 03/15/04 1,500,000 1,582,092
--------------
UTILITIES - 2.94% Norwest Financial Inc
6.375% due 09/15/02 2,750,000 2,795,922
GTE Corp 83,800 4,661,374 Safeco Capital Trust
Northern States Power Co 44,400 1,270,950 8.072% due 07/15/37 2,000,000 2,146,520
SBC Communications 95,300 3,812,000 U.S. Bancorp Capital I
Texas Utilities Co 32,300 1,344,487 8.270% due 12/15/26 1,025,000 1,143,429
WorldCom Corp * 57,900 2,804,530 Weeks Realty LP
--------------
13,893,341 6.875% due 03/15/05 1,400,000 1,405,554
-------------- --------------
11,774,582
--------------
Total Common Stocks (Cost $231,712,211) 255,380,228 MATERIALS & PROCESSING - 0.29%
--------------
Cytec Industries
6.846% due 05/11/05 1,325,000 1,349,130
PRINCIPAL --------------
AMOUNT 1,349,130
--------------
TRANSPORTATION - 0.62%
CORPORATE BONDS & NOTES - 7.89%
ERAC USA Finance
CAPITAL GOODS - 0.57% 6.375% due 05/15/03 1,400,000 1,396,118
Norfolk Southern
Lockheed Martin 6.950% due 05/01/02 1,500,000 1,546,619
--------------
6.550% due 05/15/99 $1,500,000 1,504,856 2,942,737
--------------
Northrop-Grumman UTILITIES - 1.17%
9.375% due 10/15/24 1,000,000 1,204,673
--------------
2,709,529 Aerial Communications
--------------
CONSUMER DISCRETIONARY - 0.60% 0.000% due 02/01/08 * 4,000,000 1,912,744
Pacificorp
COX Communication Inc 6.750% due 07/15/04 1,000,000 1,031,250
6.690% due 09/20/04 1,500,000 1,543,427 Southwestern Bell
U.S. West Cap Fund 7.375% due 07/15/27 1,500,000 1,562,940
6.250% due 07/15/05 1,300,000 1,306,790 Western Resources Inc
--------------
2,850,217 7.250% due 07/01/99 1,000,000 1,010,641
--------------
--------------
ENERGY - 2.15% 5,517,575
--------------
Columbia Gas System Total Corporate Bonds & Notes
6.610% due 11/28/02 1,000,000 1,012,305 (Cost $36,707,510) 37,336,272
--------------
Enron Corp
6.625% due 10/15/03 1,500,000 1,519,222
LASMO MORTGAGE-BACKED SECURITIES - 11.66%
7.300% due 11/15/27 3,000,000 2,991,030
Noble Affiliates Inc COLLATERALIZED MORTGAGE OBLIGATION - 0.64%
8.000% due 04/01/27 880,000 1,010,744
Pico Energy Capital Trust III Bear Stearns Structured Securities
7.380% due 04/06/28 2,600,000 2,634,211 7.000% due 08/25/36 " 1,000,000 993,750
Standard Oil Co Countrywide Home Loans
9.000% due 06/01/19 1,000,000 1,024,990 6.750% due 05/25/28 " 1,074,939 1,079,577
--------------
10,192,502 Donaldson, Lufkin, & Jenrette
--------------
FINANCIAL & BUSINESS SERVICES - 2.49% 8.448% due 11/25/24 " 100,948 99,213
Ocwen Residential MBS Corp
Associates Corp North America 4.000% due 10/25/40 " 835,321 825,924
--------------
5.960% due 05/15/37 460,000 465,640 2,998,464
--------------
First Union Corp
6.550% due 10/15/35 1,700,000 1,732,300
</TABLE>
See Notes to Financial Statements See explanation for symbols on A-66
A-45
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- --------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C>
FEDERAL HOME LOAN MORTGAGE CORPORATION - 1.17% Premier Auto Trust
4.650% due 11/02/99 " $85,669 $85,347
6.500% due 05/01/11 " $625,475 $624,888 5.960% due 10/08/02 " 1,500,000 1,500,930
6.500% due 02/15/19 " 1,300,000 1,304,401 Sears Credit Account Master Trust
7.000% due 02/01/28 " 2,010,433 2,043,565 6.200% due 02/16/06 " 1,500,000 1,517,828
8.000% due 11/01/26 " 1,060,452 1,097,462 The Money Store Home Equity
8.500% due 07/01/02 " 460,155 475,404 6.440% due 09/15/24 " 500,000 504,373
--------------
5,545,720 World Omni Auto Lease
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 8.69% 6.300% due 06/25/02 " 169,081 169,270
6.750% due 06/25/03 " 599,690 602,793
--------------
6.000% due 03/18/08 " 4,080,602 3,726,096
6.300% due 12/25/15 " 1,623,439 1,635,361 Total Other Asset-Backed Securities
6.500% due 01/25/23 " 6,220,000 6,306,651 (Cost $17,393,138) 17,538,724
--------------
6.500% due 01/01/28 " 2,991,915 2,982,789
6.500% due 03/01/28 " 3,845,818 3,833,773 STRIPPED MORTGAGE-BACKED SECURITIES - 0.01%
6.500% due 05/01/28 " 13,562,697 13,521,330
7.000% due 03/01/28 " 2,832,987 2,876,346 FNMA (IO)
7.000% due 04/01/28 " 4,603,152 4,673,893 6.000% due 12/25/07 " 324,987 29,452
--------------
8.000% due 11/01/26 " 1,515,583 1,570,705
--------------
41,126,944 Total Stripped Mortgage-Backed Securities
--------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.16% (Cost $34,993) 29,452
--------------
7.000% due 12/15/27 " 67,992 69,178 U.S. TREASURY BONDS - 12.37%
7.000% due 01/15/28 " 2,358,984 2,399,724
7.000% due 05/15/28 " 2,698,112 2,744,708 6.750% due 08/15/26 5,425,000 6,213,323
7.375% due 06/20/21 " 174,569 179,019 8.500% due 02/15/20 ** 39,014,000 52,315,355
--------------
7.375% due 06/20/23 " 110,156 112,810
--------------
5,505,439 Total U.S. Treasury Bonds (Cost $53,017,845) 58,528,678
-------------- --------------
Total Mortgage-Backed Securities U.S. TREASURY NOTES - 0.36%
(Cost $54,552,386) 55,176,567
--------------
6.875% due 05/15/06 530,000 574,222
7.875% due 11/15/04 1,000,000 1,123,438
--------------
OTHER ASSET-BACKED SECURITIES - 3.71%
Total U.S. Treasury Notes
Alaska Trade Co (Cost $1,692,467) 1,697,660
--------------
6.790% due 10/01/05 " 2,500,000 2,559,000
Chase Manhattan Auto Owner Trust FOREIGN BONDS - 3.15%
5.700% due 09/17/01 " 1,500,000 1,498,328
CS First Boston Mortgage Security Corp CANADA - 0.86%
6.400% due 02/17/04 " 1,335,739 1,353,925
Deutsche Mortgage & Asset Receiving Hydro Quebec
6.220% due 09/15/07 " 750,000 754,549 8.500% due 12/01/29 2,000,000 2,526,160
6.538% due 02/15/08 " 750,000 767,464 McKesson Financial Canada
Fleetwood Credit Corp Grantor Trust 6.550% due 11/01/02 1,500,000 1,538,259
--------------
6.900% due 03/15/12 " 1,240,035 1,257,606 4,064,419
--------------
Greentree Financial FRANCE - 0.13%
6.700% due 10/15/17 " 881,754 887,525
Greentree Home Improvement Loan Trust Legrand
6.390% due 01/15/29 " 2,000,000 2,019,210 8.500% due 02/15/25 500,000 605,223
--------------
Greentree Rec, Equip, & Consumer Trust 605,223
--------------
5.550% due 02/15/18 " 302,996 301,979 GERMANY - 1.55%
Morgan Stanley Capital I
6.250% due 07/15/07 " 1,454,232 1,471,618 German Unity Fund
Morgan Stanley Mortgage Trust 8.500% due 02/20/01 12,000,000 7,344,023
--------------
8.950% due 05/01/17 " 281,136 286,979 7,344,023
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-46
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------- ----------------------------------------------------------------
Principal Market NOTES TO SCHEDULE OF INVESTMENTS
Amount Value --------------------------------
------ -----
<S> <C> <C> <C>
UNITED KINGDOM - 0.55% (a) Securities with an approximate aggregate market value of
$50,372,768 have been segregated with the custodian to cover
CSX Corp margin requirements for the following open interest rate futures
7.050% due 05/01/02 $1,500,000 $1,540,985 contracts at June 30, 1998:
Midland Bank PLC Number of Unrealized
7.625% due 06/15/06 1,000,000 1,075,058 Type Contracts Depreciation
------------ ----------------------------------------------------------------
2,616,043 U.S. Treasury 5 year Notes (9/98) 41 $(17,078)
------------
MALAYSIA - 0.06% U.S. Treasury 10 year Notes (9/98) 8 (11,205)
U.S. Treasury 30 year Bonds (9/98) 60 (5,031)
--------
Etroliam Nasional Berhd $(33,359)
--------
7.750% due 08/15/15 375,000 305,673
------------
305,673 (b) Forward foreign currency contracts outstanding at June 30,
------------
Total Foreign Bonds 1998, were summarized as follows:
(Cost $14,877,728) 14,935,381 Principal
------------
Contracts Amount Unrealized
To Buy or Expiration Covered By Appreciation
FOREIGN GOVERNMENT - 1.58% Type To Sell Month Contract (Depreciation)
---------------------------------------------------------------
DM Buy 7/98 $5,234,059 $(12,763)
FRANCE - 1.58% Sell 7/98 12,054,714 217,407
FF Sell 7/98 6,178,418 127,332
------------
French Treasury Bill $331,976
============
4.750% due 03/12/02 7,373,000 7,485,028
------------
Principal amount denoted in the indicated currency:
Total Foreign Government DM - German Mark
(Cost $7,576,863) 7,485,028 FF - French Franc
------------
Total Investments in Securities (c) At June 30, 1998, the net unrealized appreciation
(Cost $419,397,044) 449,852,525 (depreciation) of investments based on cost of investments for
------------
federal income tax purposes was as follows:
Value Tax cost basis $442,739,814
----- ------------
SECURITIES HELD UNDER REPURCHASE Aggregate gross unrealized appreciation for all investments
AGREEMENT - 4.93% in which there was an excess of value over tax
cost $38,022,691
State Street Bank and Trust Aggregate gross unrealized depreciation for all investments
4.250% due 07/01/98 in which there was an excess of tax cost over
value (7,567,210)
------------
(Dated 06/30/98, repurchase price
of $23,345,526; collateralized by U.S. Net unrealized appreciation $30,455,481
============
Treasury Notes - market value
$23,813,400 and due 08/15/08) 23,342,770 23,342,770
------------
Total Securities Held Under Repurchase
Agreement 23,342,770
------------
Total Short-Term Investment
(Cost $23,342,770) 23,342,770
------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $442,739,814) $473,195,295
============
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-47
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 97.27% CONSUMER STAPLES - 6.93%
CAPITAL GOODS - 2.66% Albertson's Inc 68,000 $3,523,250
Coca-Cola 166,800 14,261,400
AK Steel Holding Corp 38,600 $689,975 Fred Meyer Inc * 33,000 1,402,500
AptarGroup Inc 23,600 1,467,625 International Specialty Products * 10,500 195,563
Black & Decker Corp 10,900 664,900 Interstate Bakeries Corp 22,700 753,356
Coltec Industries * 131,900 2,621,512 PepsiCo 70,400 2,899,600
Crompton & Knowles 9,100 229,206 Philip Morris Co Inc 91,200 3,591,000
Navistar International Corp * 121,700 3,514,088 Sara Lee Corp 300 16,781
Precision Castparts 13,200 704,550 Smuckers 14,800 367,225
United Technologies 14,800 1,369,000 Universal Corp 62,800 2,347,150
-------------- -------------
11,260,856 29,357,825
-------------- -------------
CONSUMER DISCRETIONARY - 25.34% ENERGY - 1.43%
American Greetings 'A' 10,800 550,125 BJ Services Co * 32,000 130,231
Avon Products Inc 5,800 449,500 Ensco International Inc 61,700 164,881
Best Buy Company Inc 82,000 2,962,250 FMC Corp * 23,800 375,619
Brinker International * 77,600 1,493,800 Global Marine Inc * 20,100 410,119
Bristol Myers Squibb 53,100 6,103,181 Halliburton 3,700 930,000
Burlington Industries * 144,400 2,030,625 Rowan Cos Inc * 6,700 1,072,037
Carnival Corp 'A' 40,000 1,585,000 Schlumberger Ltd 19,500 1,332,094
Dayton Hudson Corp 42,400 2,056,400 Varco International Inc 20,700 1,622,862
-------------
Ethan Allen Interiors 78,300 3,910,106 6,037,843
-------------
Family Dollar Stores 9,600 177,600 FINANCIAL & BUSINESS SERVICES - 17.93%
Federated Department Stores * 133,800 7,200,112
Fingerhut Companies 45,900 1,514,700 AFLAC Inc 58,600 1,776,312
Fleetwood Enterprise 10,700 428,000 Allstate Corp 43,400 3,973,812
Fleming Cos Inc 63,600 1,116,975 American International Group Inc 48,700 7,110,200
Food Lion Inc 'B' 174,400 1,754,900 Associates First Capital Corp 14,000 1,076,250
Footstar Inc * 25,200 1,209,600 Banc One Corp 18,500 1,032,531
Gap Stores Inc 34,700 2,138,387 C.I.T. Group Inc 104,100 3,903,750
General Electric 208,500 18,973,500 Chase Manhattan Corp 37,200 2,808,600
Gillette Co 23,200 1,315,150 Countrywide Credit Industries Inc 25,200 1,278,900
Interpublic Group 11,200 679,700 Dime Bancorp Inc 121,500 3,637,406
Intimate Brands 'A' 27,500 757,969 Donaldson, Lufkin, & Jenrette 32,200 1,636,163
Kroger Co * 61,100 2,619,663 Equitable Cos 20,400 1,528,725
Marriott International Inc 132,700 4,296,163 FHLMC 109,800 5,167,463
Mattel Inc 11,700 495,056 FNMA 141,400 8,590,050
Miller (Herman) 63,600 1,546,275 Interim Services Inc * 71,000 2,280,875
Neiman-Marcus Group 35,300 1,533,344 Lehman Brothers Holding Inc 8,200 636,013
Office Depot Inc * 35,500 1,120,469 MBIA Inc 1,900 142,263
Omnicom Group Inc 81,600 4,069,800 MGIC Investment Corp 24,000 1,369,500
Procter & Gamble 129,200 11,765,275 Morgan Stanley Dean Witter & Co 93,900 8,580,113
Proffitts Inc 15,500 625,812 Providian Corp 57,800 4,540,912
Safeway Inc * 75,700 3,080,044 Travelers Inc 184,400 11,179,250
Tele-Communications 'A' * 3,700 142,219 Travelers/Aetna Property Casualty 87,900 3,768,712
-------------
Viacom International Inc 74,200 4,322,150 76,017,800
-------------
Wal-Mart Stores Inc 57,000 3,462,750 HEALTH CARE - 13.71%
Walt Disney Productions 51,300 5,389,706
Warner Lambert Co 24,000 1,665,000 Allegiance Corp 5,300 271,625
Williams Sonoma * 24,600 782,587 Bergen Brunswig Corp 55,300 2,564,537
Zale Corp * 65,500 2,083,719 Beverly Enterprises * 243,400 3,361,962
--------------
107,407,612 Biomet Inc 43,500 1,438,219
--------------
Cardinal Health Inc 31,500 2,953,125
Guidant Corp 40,300 2,873,894
Integrated Health Services 150,900 5,658,750
Johnson & Johnson 147,900 10,907,625
</TABLE>
See Notes to Financial Statements
See explanation of symbols on A-66
A-48
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1998 (Unaudited)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- ---------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
Lilly (Eli) & Co 8,700 $574,744 Utilities - 2.29%
Merck & Co Inc 75,700 10,124,875
Pfizer Inc 105,900 11,510,006 AT&T Corp 87,700 $5,009,862
Schering-Plough 42,700 3,912,388 Century Tel Enterprise 11,300 518,388
Sybron International 56,200 1,419,050 Energy East Corp 100,600 4,187,475
---------------
Tenet Healthcare Corp * 17,800 556,250 9,715,725
-------------- ---------------
58,127,050
--------------
MATERIALS & PROCESSING - 1.16% Total Common Stocks (Cost $372,076,821) 412,317,956
---------------
Lowe's Co 37,400 1,517,038 Total Investments in Securities
Owens-Illinois Inc * 33,500 1,499,125 (Cost $372,076,821) 412,317,956
---------------
Pentair Inc 39,200 1,666,000
USG Corp 4,600 248,975
-------------- PRINCIPAL
4,931,138 AMOUNT VALUE
-------------- ------ -----
TECHNOLOGY - 15.81%
U.S. TREASURY BILLS - 0.11%
Cadence Design Systems Inc * 30,600 956,250
Ceridian Corp * 96,600 5,675,250 4.984% due 09/17/98 ** $250,000 247,346
CISCO Systems Inc * 46,900 4,317,731 5.000% due 07/01/98 ** 200,000 197,876
---------------
Comdisco Inc 35,800 680,200
Electronic Data Systems 58,800 2,352,000 Total U.S. Treasury Bills 445,222
---------------
EMC Corp * 19,800 887,287
Hewlett Packard Co 62,500 3,742,187
IBM Corp 47,200 5,419,150 SECURITIES HELD UNDER REPURCHASE
Ingram Micro Inc 'A' * 52,600 2,327,550 AGREEMENT - 2.62%
Intel Corp 119,700 8,872,763
Learning Co Inc * 171,100 5,068,838 State Street Bank and Trust
Lexmark International Group 'A' * 45,100 2,751,100 5.000% due 07/01/98
Microsoft Corp * 61,900 6,708,413 (Dated 06/30/98, repurchase price
Raychem Corp 58,100 1,717,581 of $11,114,543; collateralized by U.S.
Raytheon Co 'B' 30,800 1,821,050 Treasury Notes - market value
Sterling Software Inc * 7,600 224,675 $11,335,594 and due 08/15/08)
Stratus Computer * 6,100 154,406 11,113,000 11,113,000
---------------
Sun Microsystems * 80,400 3,492,375
Symantec Corp * 41,100 1,073,738 Total Securities Held Under Repurchase
Tech Data Corp * 2,300 98,613 Agreement 11,113,000
---------------
Teleflex 19,800 752,400
Unisys Corp * 206,600 5,836,450 Total Short-Term Investments
Xerox Corp 20,500 2,083,312 (Cost $11,558,170) 11,558,222
-------------- ---------------
67,013,319
--------------
TRANSPORTATION - 10.01%
TOTAL EQUITY PORTFOLIO
Airborne Freight 48,100 1,680,494 (COST $383,634,991) $423,876,178
---------------
Alaska Air Group 50,300 2,744,494
America West Holdings Corp 'B' * 85,700 2,447,806
AMR Corp Del * 146,000 12,154,500
Continental Airlines 'B' 25,700 1,564,488
Dana Corp 29,100 1,556,850
Ford Motor Co 201,600 11,894,400
GATX Corp 51,600 2,263,950
Hertz Corp 'A' 79,300 3,513,981
Northwest Airlines Corp 'A' * 21,400 825,237
Seacor Holdings Inc * 29,400 1,802,588
--------------
42,448,788
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-49
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
- --------------------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Securities with an approximate aggregate market value of $445,222 have been
segregated with the custodian to cover margin requirements for the following
open stock index futures contracts at June 30, 1998:
Number of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
S&P 500 (9/98) 39 $ 68,797
==============
(b) At June 30, 1998, the net unrealized appreciation
(depreciation) of investments based on cost of
investments for federal income tax purposes was as
follows:
Tax cost basis $ 383,634,991
==============
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 49,776,915
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (9,535,728)
-------------
Net unrealized appreciation $ 40,241,187
==============
See Notes to Financial Statements See explanation of symbols on A-66
A-50
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
- ------------------------------------------------------------ ------------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
CORPORATE BONDS & NOTES - 35.52% FINANCIAL & BUSINESS SERVICES - 11.96%
CAPITAL GOODS - 0.52% American General Corp
7.500% due 07/15/25 $1,500,000 $ 1,668,750
Thermadyne Manufacturing Bank One Corp
9.875% due 06/01/08 $ 125,000 $ 125,938 8.000% due 04/29/27 3,000,000 3,555,000
Tyco International Group BankAmerica Corp
6.375% due 06/15/05 500,000 501,779 7.875% due 12/01/02 2,500,000 2,676,750
Wesco Distributor Beneficial Corp
9.125% due 06/01/08 125,000 123,906 6.250% due 05/18/03 1,240,000 1,245,612
-----------
751,623 Capital One Bank
-----------
CONSUMER DISCRETIONARY - 9.55% 6.150% due 06/01/01 3,000,000 2,996,742
Conseco Inc
360 Communications 6.400% due 02/10/03 115,000 114,408
7.125% due 03/01/03 750,000 779,759 Countrywide Funding Corp
Cable & Wire Communications 6.970% due 03/28/03 1,500,000 1,543,050
6.625% due 03/06/05 1,000,000 1,019,179 General Motors Acceptance Corp
Choice Hotels 7.400% due 09/01/25 1,000,000 1,091,250
7.125% due 05/01/08 450,000 458,053 Long Island Savings Bank
Intermedia Communication 6.200% due 04/02/01 1,900,000 1,903,781
8.600% due 06/01/08 250,000 253,125 MIC Financing Trust
ITT Corp (New) 8.375% due 02/01/27 500,000 535,188
-----------
6.250% due 11/15/00 700,000 684,223 17,330,531
-----------
News America Holdings
7.750% due 12/01/45 2,100,000 2,236,500 HEALTH CARE - 0.87%
Owens-Corning
7.500% due 05/01/05 900,000 918,721 ICN Pharmaceuticals
Panamsat Corp 9.250% due 08/15/05 300,000 317,250
6.125% due 01/15/05 1,000,000 991,036 Loewen Group International
Sears Roebuck 8.250% due 10/15/03 650,000 675,945
6.630% due 07/09/02 1,866,000 1,900,362 Tenet Healthcare
Simon Debartolo Group 8.000% due 01/15/05 260,000 268,172
-----------
6.750% due 07/15/04 600,000 600,837 1,261,367
-----------
TCI Communications Inc
8.000% due 08/01/05 1,000,000 1,098,083 MATERIALS & PROCESSING - 0.19%
Time Warner Entertainment
8.375% due 07/15/33 2,000,000 2,405,000 Allied Waste NA
Westpoint Stevenn 10.250% due 12/01/06 250,000 275,000
-----------
7.875% due 06/15/05 500,000 501,250 275,000
-----------
-----------
13,846,128
-----------
CONSUMER STAPLES - 0.92% TRANSPORTATION - 8.71%
Philip Morris AMR Corp
7.125% due 08/15/02 1,300,000 1,338,232 9.000% due 09/15/16 4,500,000 5,506,875
-----------
1,338,232 Chrysler Corp
-----------
ENERGY - 1.96% 7.450% due 02/01/97 2,000,000 2,222,790
Ford Motor Co
Gulf Canada Resources Ltd 7.700% due 05/15/97 2,000,000 2,287,500
9.250% due 01/15/04 455,000 475,659 Hayes Wheels International
Oryx Energy Co 9.125% due 07/15/07 250,000 261,875
9.500% due 11/01/99 545,000 565,963 Norfolk Southern
R&B Falcon Corp 7.900% due 05/15/97 2,000,000 2,347,500
-----------
6.750% due 04/15/05 600,000 604,354 12,626,540
-----------
Williams Cos
6.125% due 02/15/02 1,200,000 1,201,632
-----------
2,847,608
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-51
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL MARKET
AMOUNT VALUE AMOUNT VALUE
--------- ------ -------- ------
<S> <C> <C> <C> <C> <C>
UTILITIES - 0.84% STRIPPED COUPON - 3.48%
Niagara Mohawk Power 0.000% due 03/07/13 * $12,000,000 $5,048,699
-------------
7.000% due 10/01/00 $675,000 $674,204
8.000% due 06/01/04 500,000 540,472 Total Stripped Coupon
--------------
1,214,676 (Cost $4,874,927) 5,048,699
-------------- -------------
Total Corporate Bonds & Notes
(Cost $47,933,672) 51,491,705 U.S. TREASURY BOND - 0.70%
--------------
7.875% due 02/15/21 ** 800,000 1,015,378
-------------
MORTGAGE-BACKED SECURITIES - 15.76%
Total U.S. Treasury Bond
COLLATERALIZED MORTGAGE OBLIGATIONS - 10.80% (Cost $976,699) 1,015,378
-------------
Bear Stearns Commercial Mortgage
6.440% due 06/16/08 " 2,500,000 2,551,563 U.S. TREASURY STRIPPED - 18.06%
Citicorp Mortgage Securities
6.750% due 04/25/28 " 3,900,000 3,898,733 0.000% due 11/15/18 * 19,400,000 6,076,662
First Union-Lehman Brothers 0.000% due 02/15/19 * 20,500,000 6,329,539
6.560% due 11/18/08 " 2,600,000 2,663,245 0.000% due 05/15/20 * 37,900,000 10,898,941
IMC Home Equity Loan Trust 0.000% due 08/15/21 * 800,000 214,217
6.340% due 07/20/29 " 2,500,000 2,514,844 0.000% due 08/15/25 * 12,200,000 2,649,376
-------------
Norwest Asset Securities Corp
7.000% due 08/25/27 " 3,969,999 4,024,475 Total U.S. Treasury Stripped
--------------
15,652,860 (Cost $25,283,810) 26,168,735
-------------- -------------
FEDERAL HOME LOAN MORTGAGE CORPORATION - 2.32%
5.000% due 06/15/09 " 3,724,000 3,362,064 FOREIGN BONDS - 6.27%
--------------
3,362,064
--------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.64% BRAZIL - 0.20%
6.000% due 05/18/28 " 4,000,000 3,832,980 Voto-Votorantim
--------------
3,832,980 8.500% due 06/27/05 320,000 285,599
-------------- -------------
285,599
-------------
Total Mortgage-Backed Securities CANADA - 0.88%
(Cost $20,279,657) 22,847,904
--------------
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,273,750
-------------
OTHER ASSET-BACKED SECURITIES - 10.47% 1,273,750
-------------
COLUMBIA - 0.59%
Aesop Funding II LLC
6.140% due 05/20/06 " 2,500,000 2,500,781 Columbia-Global Bd
GE Capital Mortgage 7.625% due 02/15/07 560,000 503,344
6.208% due 12/25/23 " 3,214,900 3,003,263 Instituto Fomento Industrial
Greentree Financial 8.375% due 07/29/01 350,000 354,143
-------------
6.830% due 03/01/28 " 2,600,000 2,599,467 857,487
-------------
JP Morgan Comm Mtg Fin Corp GERMANY - 2.65%
7.323% due 12/26/28 " 555,000 589,774
MBNA Master Credit Card Trust Bundes Republik
6.450% due 02/15/08 " 2,500,000 2,581,850 6.000% due 01/04/07 3,539,000 3,839,292
-------------
WMC Mortgage Loan 3,839,292
-------------
5.826% due 6/20/28 " 3,900,000 3,898,172 HONG KONG - 0.10%
--------------
Total Other Asset-Backed Securities Wharf Capital International Ltd
(Cost $17,419,878) 15,173,307 8.875% due 11/01/04 160,000 142,761
--------------
-------------
142,761
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-52
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -------------------------------------------------------------
PRINCIPAL MARKET PRINCIPAL
AMOUNT VALUE AMOUNT VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
MEXICO - 1.10% SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 6.39%
Banco Nacional Com
7.500% due 07/01/00 $600,000 $597,750 Goldman Sachs
Cemex SA 5.832% due 07/01/98
10.000% due 11/05/99 220,000 225,500 (Dated 06/30/98, repurchase price
10.750% due 7/15/00 190,000 198,438 of $9,201,470; collateralized by U.S.
Grupo Industrial Durango Treasury Notes - market value
12.000% due 7/15/01 350,000 365,750 $10,314,374 and due 01/01/12) $9,200,000 $9,200,000
-------------
Grupo Televisa SA 9,200,000
-------------
0.000% due 05/15/01 * 250,000 202,500 State Street Bank and Trust
--------------
1,589,938 5.000% due 07/01/98
--------------
PHILIPPINES - 0.33% (Dated 06/30/98, repurchase price
of $64,009; collateralized by U.S.
National Power Treasury Notes - market value
7.625% due 11/15/00 500,000 483,316 $69,283 and due 11/15/09) 64,000 64,000
-------------- -------------
483,316 64,000
-------------- -------------
UNITED KINGDOM - 0.42%
Ce Electric UK Fund Total Securities Held Under Repurchase 9,264,000
-------------
6.853% due 12/30/04 600,000 614,566 Agreements
--------------
614,566
--------------
Total Short-Term Investments 9,264,000
-------------
Total Foreign Bonds (Cost $8,939,134) 9,086,709 (Cost $9,264,000)
--------------
FOREIGN GOVERNMENTS - 3.35% TOTAL BOND AND INCOME PORTFOLIO $144,954,361
-------------
(COST $139,961,558)
ARGENTINA - 1.43%
Republic of Argentina NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
5.635% due 04/01/01 1,901,674 1,787,691
8.750% due 05/09/02 300,000 290,324 (a) Securities with an approximate aggregate market value of
--------------
2,078,015 $507,688 have been segregated with the custodian to cover
--------------
BRAZIL - 0.47% margin requirements for the following open interest rate futures
contracts at June 30, 1998:
Republic of Brazil Number of Unrealized
6.875% due 01/01/01 700,000 677,250 Type Contracts Appreciation
-------------- -------------------------------------------------------------
677,250 U.S. Treasury 10 year Notes (9/98) 53 $52,250
--------------
KOREA - 0.82% U.S. Treasury 30 year Bonds (9/98) 142 294,109
-------------
$346,359
-------------
Republic of Korea
8.750% due 04/15/03 1,270,000 1,193,682 (b) At June 30, 1998, the net unrealized appreciation
--------------
(depreciation)
1,193,682 of investments based on cost of investments for federal income
--------------
PANAMA - 0.63% tax purposes was as follows:
Republic of Panama Tax cost basis $139,927,634
-------------
6.750% due 05/10/02 923,085 908,977
--------------
908,977 Aggregate gross unrealized appreciation for all investments
--------------
Total Foreign Governments in which there was an excess of value over tax cost $5,372,734
(Cost $4,989,781) 4,857,924
--------------
Aggregate gross unrealized depreciation for all investments
Total Investments in Securities in which there was an excess of tax cost over value (346,007)
-------------
(Cost $130,697,558) 135,690,361
--------------
Net unrealized appreciation $5,026,727
-------------
See Notes to Financial Statements See explanation of symbols on A-66
</TABLE>
A-53
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ----------------------------------------------------- -----------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 96.59% Coastal Corp 14,300 $998,319
Comcast Corp 'A' Specialty 44,935 1,824,081
CAPITAL GOODS - 3.64% ConAgra 64,100 2,031,167
Consolidated Stores * 15,500 561,875
Aeroquip-Vickers Inc 3,800 $221,826 Corning Inc 30,700 1,066,824
AlliedSignal Inc 76,600 3,399,125 Costco Cos * 29,422 1,855,425
AMP Inc 31,300 1,075,935 Crane Co 6,100 296,232
Armstrong World Industries 5,400 363,825 CVS Corp 52,100 2,028,644
ASARCO Inc 7,000 155,750 Darden Restaurants 19,400 307,975
Ball Corp 2,400 96,451 Dayton Hudson Corp 59,300 2,876,050
Black & Decker Corp 12,600 768,600 Deluxe Corp 12,800 458,400
Boeing 136,110 6,065,402 Dillard Department Stores 14,600 604,988
Briggs & Stratton Co 3,300 123,545 Donnelley (RR) & Sons 18,700 855,525
Browning Ferris 25,800 896,550 DSC Communications * 16,320 489,600
Case Corp 10,300 496,975 E G & G Corp 6,200 186,000
Caterpillar Inc 49,800 2,633,175 Eastern Enterprises 2,800 120,050
Cooper Industries Inc 16,400 900,975 Eastman Kodak 43,600 3,185,524
Cummins Engine Inc 5,800 297,250 Ecolab Inc 14,040 435,240
Deere & Co 34,200 1,808,323 Federal Express Corp * 19,844 1,245,210
Emerson Electric Co 60,600 3,658,725 Federated Department Stores * 28,500 1,533,658
Foster Wheeler Corp 7,900 169,357 Fleetwood Enterprise 2,900 116,000
General Dynamics Corp 17,340 806,310 Fluor Corp Del 10,700 545,700
General Signal Corp 6,000 216,000 Fort James Corp 30,000 1,335,000
Grainger (W.W.) Inc 12,700 632,619 Fruit of the Loom * 8,900 295,369
Illinois Tool Works 33,800 2,254,035 Gap Stores Inc 53,100 3,272,288
Ingersoll Rand Co 22,450 989,203 General Electric 440,200 40,058,198
Lockheed Martin Corp 26,671 2,823,792 General Mills Inc 21,200 1,449,550
Masco Corp 23,000 1,391,500 Gillette Co 151,900 8,610,832
National Semiconductor * 22,900 301,994 Great Atlantic & Pacific 6,800 224,826
Navistar International Corp * 7,160 206,745 H & R Block 15,300 644,513
Northrop Grumman Corp 9,200 948,750 Harcourt General Inc 6,842 407,099
Parker Hannifin Corp 15,175 578,547 Harrah's Entertainment Inc * 13,650 317,363
Sealed Air Corp * 12,060 443,205 Hasbro Inc 19,350 760,697
Textron Inc 22,200 1,591,463 Hilton Hotels Corp 34,400 980,400
Thomas & Betts Corp 6,800 334,900 Home Depot Inc 99,200 8,239,800
TRW Inc 16,600 906,775 Ikon Office Solutions Inc 18,300 266,494
Tyco Laboratories 79,000 4,977,000 International Flavors/Fragrances 15,900 690,656
United Technologies 31,000 2,867,500 Interpublic Group 16,150 980,103
-----------
45,402,127 Jostens Inc 1,748 42,171
-----------
CONSUMER DISCRETIONARY - 21.64% Kimberly Clark Corp 75,252 3,452,186
King World Productions 10,400 265,200
Abercrombie & Fitch Co 'A' * 1,493 65,692 Kmart Corp 66,100 1,272,424
Alberto Culver Co 2,900 84,100 Knight-Ridder Inc 11,800 649,738
Alcan Aluminum Ltd 27,500 759,688 Kroger Co * 34,600 1,483,476
Alltel Corp 31,200 1,450,800 Limited Inc 31,042 1,028,266
American General Corp 34,265 2,439,240 Liz Claiborne Inc 9,660 504,735
American Greetings 'A' 10,060 512,431 Longs Drug Stores 5,300 153,038
American Home Products 177,300 9,175,275 Marriott International Inc 33,200 1,074,850
American Stores Co 36,600 885,264 Mattel Inc 39,750 1,681,923
Autozone Inc * 20,900 667,494 May Department Stores Co 31,700 2,076,350
Avery Dennison Corp 14,100 757,873 Maytag Corp 13,600 671,500
Avon Products Inc 18,200 1,410,500 McDonalds Corp 92,800 6,403,200
Bausch & Lomb Inc 6,300 315,788 McGraw Hill Inc 14,400 1,174,500
Bristol Myers Squibb 134,400 15,447,596 MCI Communications Corp 89,980 5,230,086
CBS Corp 97,000 3,079,750 Mediaone Group Inc * 81,900 3,598,480
Cendant Corp * 113,166 2,362,341 Mercantile Stores 6,200 489,413
Circuit City Stores 13,400 628,126 Meredith Corp 5,600 262,850
Clear Channel Communications * 15,400 1,680,525 Mirage Resorts Inc * 24,300 517,894
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-54
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------- -----------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
Motorola 81,400 $ 4,278,588 PepsiCo 201,500 $ 8,299,281
National Services Industries 5,800 295,075 Philip Morris Co Inc 328,300 12,926,813
New York Times Co 12,900 1,022,325 Pioneer Hi-Bred Inc 33,140 1,371,167
Newell Co 21,900 1,090,894 Polaroid Corp 6,500 231,156
Nike Inc 26,200 1,275,613 Quaker Oats Co 19,500 1,071,280
Nordstrom Inc 10,460 808,036 Ralston-Purina Group 14,700 1,717,143
Omnicom Group Inc 23,200 1,157,100 Sara Lee Corp 63,900 3,574,406
Penny (J.C.) Inc 34,000 2,458,625 Seagrams Ltd 46,100 1,887,218
PPG Industries Inc 24,100 1,676,455 Supervalue Inc 8,600 381,626
Procter & Gamble 181,200 16,500,522 Unilever N.V. 85,500 6,749,156
R.H. Donnelley Corp 23,900 863,388 UST Inc 26,300 710,100
Reebok International Limited 7,580 209,871 Wrigley (W.M. Jr.) Co 12,700 1,244,600
---------------
Rite Aid Corp 34,700 1,303,419 91,677,501
---------------
Rubbermaid Inc 20,400 677,025 ENERGY - 8.71%
Russell Corp 5,100 153,956
Sears Roebuck 53,700 3,279,056 Amerada Hess Corp 13,600 738,650
Service Corp International 34,600 1,483,475 Amoco Corp 129,800 5,402,925
Sigma Aldrich Corp 13,800 484,725 Anadarko Petroleum 8,100 544,219
Springs Industries Inc 1,700 78,412 Apache Corp 13,500 425,250
Sysco Corp 47,400 1,214,625 Armco Inc 17,500 111,563
Tandy Corp 13,672 725,470 Ashland Oil Inc 10,400 536,900
Tele-Communications 'A' * 63,810 2,452,697 Atlantic Richfield 43,300 3,382,813
Tellabs Inc * 25,800 1,847,925 Baker Hughes Inc 23,800 822,587
The Walt Disney Co 91,802 9,644,948 Carolina Power & Light 16,400 711,350
Time Warner Inc 72,220 6,170,294 Central & South West 33,000 886,875
Times Mirror 'A' 8,688 546,258 Chevron Corp 88,300 7,334,417
TJX Cos Inc 45,600 1,100,100 Columbia Energy Group 11,800 656,375
Toys R Us * 37,300 878,882 Consolidated Edison Inc 33,500 1,543,094
Tribune Co 16,100 1,107,881 Consolidated Natural Gas 13,600 800,700
Tricon Global Restaurants * 20,770 658,149 CSX Corp 29,600 1,346,799
Tupperware Corp 8,100 227,813 Cyprus Minerals Co 12,600 166,950
U.S. West Inc 67,337 3,164,824 Dresser Industries Inc 23,900 1,053,094
Unicom Corp 30,700 1,076,419 Duke Power 48,626 2,881,090
VF Corp 16,700 860,050 Enron Corp 42,200 2,281,438
Viacom International Inc 38,938 2,268,139 Exxon Corp 330,600 23,575,913
Walgreen Co 66,000 2,726,626 Firstenergy Corp 29,700 913,275
Wal-Mart Stores Inc 302,200 18,358,648 FMC Corp * 4,700 320,481
Warner Lambert Co 110,700 7,679,811 Halliburto n 36,000 1,604,250
Wendys International Inc 18,200 427,700 Helmerich & Payne 7,600 169,100
Whirlpool Corp 10,400 715,000 Homestake Mining Co 29,100 301,913
Winn Dixie Stores 21,300 1,090,294 Inco Ltd 21,700 295,663
----------------
269,949,551 Kerr McGee Corp 6,500 376,188
----------------
CONSUMER STAPLES - 7.35% McDermott International Inc 7,900 272,057
Minnesota Mining & Mfg Co 54,900 4,512,094
Albertson's Inc 33,500 1,735,719 Mobil Corp 106,200 8,137,575
Anheuser Busch 66,500 3,137,968 Newmont Mining Corp 22,722 536,807
Archer-Daniel Midland 77,114 1,494,084 Occidental Petroleum Corp 49,400 1,333,799
Bestfoods 39,100 2,270,245 Paccar Inc 10,766 562,524
Brown Forman Inc 'B' 5,461 350,869 Pennzoil Co 6,600 334,125
Campbell Soup Co 61,400 3,261,875 Peoples Energy Corp 5,500 212,438
Coca-Cola 333,900 28,548,449 Phillips Petroleum Co 34,200 1,648,013
Colgate Palmolive 40,200 3,537,600 Rowan Cos Inc * 12,100 235,194
Coors Adolph 4,890 166,260 Royal Dutch Petroleum Guild 286,900 15,725,705
Fortune Brands Inc 22,000 845,625 Schlumberger Ltd 66,200 4,522,288
Giant Foods Inc 9,000 387,563 Sonat Inc 14,900 575,513
Heinz (H.J.) Co 50,050 2,809,054 Sun Company Inc 12,257 475,725
Hershey Foods Corp 15,200 1,048,800 Tenneco Inc 22,900 871,631
Kellogg Co 51,100 1,919,444 Texaco Inc 73,400 4,381,063
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-55
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------- -----------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
Union Pacific Resources 36,726 $ 645,000 Merrill Lynch Co 46,700 $ 4,308,075
Unocal Corp 32,800 1,172,600 MGIC Investment Corp 15,600 890,175
USX-Marathon Group 40,400 1,386,225 Morgan (J.P.) and Co Inc 24,100 2,822,713
Williams Cos 57,300 1,933,875 Morgan Stanley Dean Witter & Co 81,274 7,426,412
--------------
108,658,123 National City Corp 46,800 3,322,800
---------------
FINANCIAL & BUSINESS SERVICES - 17.64% NationsBank Corp 130,069 9,950,279
Northern Trust Corp 16,200 1,235,250
Aetna Life & Casualty Co 19,639 1,495,019 Norwest Corp 105,300 3,935,588
Ahmanson (H.F.) & Co 14,900 1,057,900 PNC Bank Corp 43,100 2,319,319
Allstate Corp 57,089 5,227,212 Progressive Corp 9,800 1,381,800
American Express 61,600 7,022,400 Providian Corp 13,000 1,021,313
American International Group Inc 93,350 13,629,100 Pulte Corp 5,800 173,275
Aon Corp 22,750 1,598,188 Republic New York Corp 17,700 1,113,994
Associates First Capital Corp 47,445 3,647,334 Safeco Corp 19,240 874,218
Banc One Corp 97,294 5,430,221 Schwab (Charles) Corp 33,200 1,079,000
Bank of New York Co Inc 52,200 3,167,888 SLM Holding Corp 13,500 661,500
BankAmerica Corp 92,784 8,020,017 St. Paul Cos Inc 31,698 1,333,297
BankBoston Corp 40,800 2,269,500 State Street Corp 21,500 1,494,250
BB&T Corp 17,100 1,156,388 Summit Bancorp 25,600 1,216,000
Bear Stearns 3,800 216,125 SunAmerica Inc 24,400 1,401,475
Beneficial Corp 7,400 1,133,588 Suntrust Banks Inc 29,600 2,406,850
Capital One Finance 5,200 645,775 Synovus Financial Corp 32,550 773,063
Chase Manhattan Corp 115,980 8,756,490 Torchmark Corp 18,800 860,100
Chubb Corp 23,700 1,904,888 Transamerica Corp 8,670 998,134
CIGNA Corp 29,100 2,007,900 Travelers Inc 155,559 9,430,765
Cincinnati Financial Corp 22,500 863,438 U.S. Bancorp 101,537 4,366,091
Cinergy Corp 20,513 717,955 UNUM Corp 18,700 1,037,850
Citicorp 61,100 9,119,176 Venator Group Inc * 18,600 355,725
Cognizant Corp 22,300 1,404,900 Wachovia Corp 29,700 2,509,650
Comerica Inc 21,450 1,421,063 Washington Mutual Inc 55,560 2,413,387
Conseco Inc 42,814 2,001,531 Wells Fargo & Co 11,600 4,280,400
--------------
Countrywide Credit Industries Inc 15,000 761,250 220,047,246
--------------
Dow Jones & Co Inc 10,100 563,075 HEALTH CARE - 9.02%
Equifax Inc 17,300 628,206
FHLMC 91,900 4,325,044 Abbott Laboratories 208,800 8,534,700
FNMA 141,200 8,577,900 Allergan Inc 8,300 384,912
Fifth Third Bancorp 31,475 1,982,925 Alza Corp * 13,100 566,575
First Chicago NBD Corp 40,087 3,552,710 Amgen Inc * 35,200 2,301,200
First Data Corp 60,400 2,012,075 Bard (C.R.) Inc 7,700 293,081
First Union Corp 130,710 7,613,858 Baxter International Inc 38,600 2,077,163
Fleet Financial Group Inc 39,565 3,303,678 Becton Dickinson 16,600 1,288,575
Franklin Resources Inc 34,200 1,846,800 Biomet Inc 15,940 527,016
Gannett Inc 38,700 2,750,119 Boston Scientific Corp * 26,400 1,890,900
Golden West Financial Corp 6,200 659,138 Cardinal Health Inc 14,900 1,396,875
Hartford Financial Services Group 16,100 1,841,438 Columbia/HCA Healthcare 84,184 2,451,859
Household International Inc 43,700 2,174,075 Guidant Corp 20,800 1,483,300
Huntington Bancshares 23,000 770,500 HBO & Co 60,700 2,139,675
ITT Industries Inc 15,900 594,263 Healthsouth Corp * 54,400 1,451,800
Jefferson Pilot Corp 15,000 869,063 Humana Inc 23,500 732,906
Keycorp 61,400 2,187,375 Johnson & Johnson 181,700 13,400,375
Laidlaw Inc 'B' 37,200 453,375 Lilly (Eli) & Co 149,600 9,882,950
Lehman Brothers Holding Inc 16,100 1,248,756 Mallinckrodt Group Inc 9,900 293,906
Lincoln National Corp 13,600 1,242,700 Manor Care Inc 7,450 286,359
Marsh & McLennan Cos 34,950 2,112,291 Medtronic Inc 64,700 4,124,625
MBIA Inc 13,200 988,350 Merck & Co Inc 161,500 21,600,623
MBNA Corp 68,525 2,261,325 Pfizer Inc 176,400 19,172,475
Mellon Bank Corp 36,100 2,513,463 Pharmicia & Upjohn Inc 71,035 3,276,489
Mercantile Bancorp 18,000 906,750 Schering-Plough 99,100 9,080,038
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-56
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------- ------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
St. Jude Medical 10,256 $ 377,549 Union Camp Corp 9,600 $ 476,400
Tenet Healthcare Corp * 41,500 1,296,876 Union Carbide Corp 19,200 1,024,800
U.S. Surgical Corp 10,400 474,500 USX-US Steel Group 12,160 401,280
United Healthcare Corp 26,800 1,701,800 Waste Management Inc 61,600 2,156,000
-------------
112,489,102 Westvaco Corp 12,200 344,650
-------------
MATERIALS & PROCESSING - 4.42% Weyerhaeuser Co 27,000 1,247,063
Willamette Industries 13,100 419,200
Allegheny Teledyne Inc 23,805 544,539 Worthington Industries Inc 13,455 202,665
-----------
Aluminum Company of America 21,400 1,411,063 55,240,130
-----------
Applied Materials * 49,500 1,460,250 TECHNOLOGY - 13.74%
Barrick Gold Corp 50,500 968,969
Battle Mountain Gold 'A' 18,000 106,875 3 Com Corp * 46,900 1,439,244
Bemis Inc 7,300 298,388 Adobe Systems Inc 9,800 415,888
Bethlehem Steel Corp 17,700 220,144 Advanced Micro Devices * 16,700 284,944
Boise Cascade Corp 6,700 219,425 Apple Computer 18,150 520,678
Burlington Northern Santa Fe 21,970 2,157,180 Ascend Communications Inc * 24,700 1,224,194
Burlington Resources Inc 25,247 1,087,199 Autodesk Inc 6,760 261,105
Clorox Co 14,200 1,354,325 Automatic Data Processing 40,800 2,973,300
Crown Cork & Seal 17,900 850,250 Bay Networks Inc * 28,500 919,125
Dover Corp 30,100 1,030,925 Cabletron Systems * 22,400 301,000
Dow Chemical 30,900 2,987,644 Ceridian Corp * 9,400 552,250
duPont (EI) deNemours 52,500 11,380,314 Cincinnati Milacron 4,500 109,406
Eastman Chemical Co 10,825 673,856 CISCO Systems Inc * 41,200 2,999,223
Engelhard Corp 19,012 384,993 Compaq Computer Corp 23,543 6,343,019
Freeport McMoran Copper 'B' 18,100 274,894 Computer Association International 73,900 4,106,069
Georgia-Pacific Corp 12,900 760,294 Computer Sciences 21,500 1,376,000
Grace (W.R.) & Co * 10,200 174,038 Data General Corp * 6,400 95,600
Great Lakes Chemical 8,100 319,444 Dell Computer Corp * 86,000 7,981,875
Harnischfeger Industries Inc 6,500 184,031 Eaton Corp 9,600 746,400
Hercules Inc 13,300 546,963 EMC Corp * 67,600 3,029,325
Inland Steel Industries Inc 1,100 31,006 Frontier Corp 23,700 746,550
International Paper 41,723 1,794,089 Gateway 2000 Inc * 20,700 1,047,938
Johnson Controls Inc 11,600 663,375 General Instrument Corp * 20,600 560,063
Kaufman & Broad Home 5,300 168,275 Harris Corp 11,000 491,563
Loew's Corp 14,900 1,298,163 Hewlett Packard Co 138,800 8,310,650
Louisiana Pacific Corp 13,300 242,725 Honeywell Inc 17,200 1,437,275
Lowe's Co 47,600 1,930,775 IBM Corp 127,400 14,627,113
Martin Marietta Materials 1 45 Intel Corp 227,980 16,899,017
Mead Corp 14,500 460,375 KLA-Tencor Corp * 13,200 365,475
Monsanto Co 81,900 4,576,162 LSI Logic * 17,800 410,513
Moore Ltd 8,200 108,650 Lucent Technologies Inc 177,228 14,743,152
Morton International Inc 17,600 440,000 Micron Technology 27,600 684,825
Nalco Chemical Co 6,900 242,363 Microsoft Corp * 331,700 35,947,985
Nucor Corp 12,100 556,600 Millipore Corp 5,852 159,467
Owens Corning Fiberglass 7,100 289,769 Northern Telecom Ltd 70,500 4,000,875
Owens-Illinois Inc * 20,200 903,950 Novell Inc * 49,700 633,675
Pall Corp 16,866 345,753 Oracle Systems Corp * 131,535 3,230,828
Phelps Dodge Corp 8,200 468,938 Parametric Technology Corp * 39,100 1,060,588
Placer Dome Inc 27,900 327,825 Perkin Elmer Corp 6,900 429,094
Potlatch Corp 3,900 163,800 Pitney Bowes Inc 37,800 1,819,125
Praxair Inc 21,500 1,006,469 Raychem Corp 11,800 348,838
Reynolds Metals Co 11,100 620,906 Raytheon Co 'B' 42,500 2,512,813
Rohm & Haas Co 8,300 862,681 Rockwell International Corp 28,400 1,364,975
Sherwin Williams Co 23,500 778,438 Scientific Atlanta 11,000 279,125
Stanley Works 12,100 502,906 Seagate Technology * 33,000 785,813
Stone Container Corp 11,312 176,750 Shared Medical Systems Corp 3,200 235,000
Temple Inland Inc 7,400 398,675 Silicon Graphics * 23,344 283,046
Timken Co 6,900 212,606 Sun Microsystems * 51,200 2,224,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-57
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------- -------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------- ------ ------
<S> <C> <C> <C> <C> <C>
Tektronix 6,750 $ 238,781 Peco Energy Co 31,800 $ 928,162
Texas Instruments Inc 51,800 3,020,588 PP&L Resources 16,600 376,613
Thermo Electron Corp * 20,100 687,169 Public Services Enterprises 35,000 1,205,312
Unisys Corp * 34,100 963,325 SBC Communications 248,648 9,945,918
Western Atlas Inc * 8,000 679,000 Sempra Energy * 27,747 769,982
Xerox Corp 44,900 4,562,963 Southern Co 93,900 2,599,856
-------------
171,469,852 Sprint Corp 46,800 3,299,400
-------------
TRANSPORTATION - 3.03% Texas Utilities Co 33,110 1,378,203
WorldCom Corp * 139,600 6,761,876
--------------
Air Products & Chemicals 28,200 1,128,000 92,363,823
--------------
AMR Corp Del * 24,600 2,047,950
Brunswick Corp 11,400 282,150 Total Common Stocks
Champion International Corp 12,400 609,925 (Cost $857,034,990) 1,205,114,578
-------------
Chrysler Corp 87,444 4,929,655
Cooper Tire & Rubber Corp 10,600 218,626 Total Investments in Securities
Dana Corp 23,328 1,248,067 (Cost $857,034,990) 1,205,114,578
-------------
Delta Air Lines 10,300 1,331,275
Ford Motor Co 154,300 9,103,700
General Motors Corp 90,300 6,033,169 PRINCIPAL
General Re Corp 10,300 2,611,050 AMOUNT VALUE
---------- ------
Genuine Parts Co 22,675 783,705
Goodrich (B.F.) Co 10,000 496,250 U.S. TREASURY BILLS - 0.11%
Goodyear Tire & Rubber 22,500 1,449,844
Norfolk Southern 51,300 1,529,381 4.750% due 08/20/98 ** $ 90,000 89,406
Pep Boys 8,200 155,288 4.779% due 08/20/98 ** 15,000 14,900
Ryder Systems Inc 6,500 205,156 4.810% due 08/20/98 ** 25,000 24,833
Snap On Inc 8,150 295,438 4.830% due 08/20/98 ** 175,000 173,827
Southwest Airlines 30,150 893,194 4.880% due 08/20/98 ** 80,000 79,457
U.S. Airways Group Inc * 12,400 982,700 4.910% due 08/20/98 ** 75,000 74,489
Union Pacific Corp 33,600 1,482,600 4.920% due 08/20/98 ** 70,000 69,522
-------------
37,817,123 4.930% due 08/20/98 ** 50,000 49,658
-------------
UTILITIES - 7.40% 4.940% due 08/20/98 ** 125,000 124,142
4.970% due 08/20/98 ** 260,000 258,205
Airtouch Communications Inc * 75,900 4,435,406 4.990% due 08/20/98 ** 245,000 243,302
Ameren Corp 18,200 723,450 5.010% due 08/20/98 ** 65,000 64,548
American Electric Power Inc 25,700 1,166,137 5.020% due 08/20/98 ** 80,000 79,442
Ameritech Corp 148,800 6,677,400 5.080% due 08/20/98 ** 15,000 14,894
--------------
Andrew Corp * 12,525 226,233
AT&T Corp 219,500 12,538,935 Total U.S. Treasury Bills 1,360,625
--------------
Baltimore Gas & Electric 18,250 566,890
Bell Atlantic Corp 209,722 9,568,566
Bell South Corp 134,500 9,028,313
Centex Corp 8,100 305,775
Dominion Resources Inc 28,350 1,155,263
DTE Energy Co 22,100 892,288
Edison International 48,900 1,445,606
Entergy Corp 38,200 1,098,250
FPL Group Inc 25,300 1,593,900
GPU Inc 17,400 657,938
GTE Corp 130,000 7,231,248
Houston Industry Inc 36,929 1,140,182
NEXTEL Communications Inc 34,600 860,676
Niagara Mohawk Power 16,600 247,963
NICOR Inc 6,600 264,825
Northern States Power Co 13,800 395,025
Oryx Energy Co 14,900 329,663
Pacific Gas & Electric 51,500 1,625,469
Pacificorp 40,800 923,100
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-58
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------- ----------------------------------------------------------
PRINCIPAL NOTES TO SCHEDULE OF INVESTMENTS
-------------------------------------
AMOUNT VALUE
--------- -----
<S> <C> <C> <C>
(a) Securities with an approximate aggregate market value
SECURITIES HELD UNDER REPURCHASE of $1,360,625 have been segregated with the custodian to
AGREEMENT - 3.30% cover margin requirements for the following open stock
index futures contracts at June 30, 1998:
State Street Bank and Trust
4.250% due 07/01/98 Number of Unrealized
(Dated 06/30/98, repurchase price Type Contracts Appreciation
----------------------------------------------------------
of $41,149,857; collateralized by U.S. S&P 500 (9/98) 73 $ 225,638
--------------------
Treasury Notes - market value
$41,973,425 and due 08/15/08) $41,145,000 $ 41,145,000 (b) At June 30, 1998, the net unrealized appreciation
--------------
(depreciation) of investments based on cost of
Total Securities Held Under Repurchase investments for federal income tax purposes was as
Agreement 41,145,000 follows:
--------------
Tax cost basis $ 899,540,615
--------------------
Total Short-Term Investments
(Cost $42,505,625) 42,505,625 Aggregate gross unrealized appreciation for all
---------------
investments in which there was an excess
of value over tax cost $ 361,497,625
TOTAL EQUITY INDEX PORTFOLIO Aggregate gross unrealized depreciation for all
(COST $899,540,615) $1,247,620,203 investments in which there was an excess
--------------
of tax cost over value (13,418,037)
--------------------
Net unrealized appreciation $ 348,079,588
--------------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-59
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------- ---------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
PREFERRED STOCKS - 2.82% FRANCE - 8.90%
AUSTRALIA - 0.32% Alcatel Alsthom 18,655 $ 3,788,927
Bongrain 250 125,229
News Corporation Ltd 444,007 $ 3,144,173 Cie De St Gobain 42,400 7,842,136
-----------
3,144,173 Elf Aquitaine 90,200 12,649,936
-----------
GERMANY - 2.50% France Telecom SA 84,300 5,799,980
Group Danone 32,700 8,993,862
Dykerhoff AG 26,500 10,523,783 LaFarge Coppee 78,300 8,074,296
Hornbach Holdings AG 44,000 4,027,655 Laforge Rights * 7,191 255,088
Suedzucker AG 16,800 10,193,363 Legris Industries 163,000 7,610,916
-----------
24,744,801 Michelin (CGDE) B Ord Compagne 62,490 3,598,312
-----------
Rhone-Poulenc 'A' 73,100 4,112,772
Total Preferred Stocks (Cost $23,743,925) 27,888,974 Scor 43,551 2,755,665
-----------
ST Microelectronics * 71,200 5,033,774
Total SA 'B' 84,980 11,020,522
COMMON STOCKS - 88.51% Union Des Assurances Federal 26,318 4,138,173
Usinor Sacilor 139,771 2,153,906
------------
AUSTRALIA - 1.40% 87,953,494
------------
GERMANY - 9.02%
Australia & New Zealand Banking 300,700 2,073,525
Brambles Industries 66,250 1,299,567 BASF AG 253,600 11,992,699
Commonwealth Bank Australia 220,100 2,566,798 Bayer 157,600 8,115,354
Lend Lease Corp Ltd 57,900 1,170,179 Bayerische Vereinsbank AG 63,000 5,348,728
National Australian Bank Ltd 126,600 1,669,183 Buderus AG 20,700 10,304,204
Qantas Airways Ltd ADR ~ 116,900 1,759,076 Gerresheimer Glas 214,600 3,216,626
Seven Network Ltd 195,600 588,431 Holzmann (Phillip) AG * 27,382 6,542,602
Telstra Corp Instalment 1,037,300 2,658,247 Metro AG 76,000 4,602,876
-----------
13,785,006 Metro AG Bezugsrecht Rights * 76,000 2,942
-----------
AUSTRIA - 0.43% Plettac AG 53,700 7,484,734
Veba AG 119,700 8,143,307
Bohler Uddeholm 64,200 4,235,075 Viag AG 16,500 11,133,850
-----------
4,235,075 Volkswagen AG 12,800 12,283,186
-----------
------------
BELGIUM - 0.71% 89,171,108
------------
HONG KONG - 0.91%
Gib Holding Ltd 124,377 7,004,712
-----------
7,004,712 China Light & Power 273,400 1,245,775
-----------
BRAZIL - 0.00% Hong Kong & China Gas 1,322,600 1,502,373
Hong Kong Electric Holdings 473,000 1,465,341
Banco Bradesco SA 200,000 1,660 Hong Kong Telecommunication 641,200 1,204,267
-----------
1,660 Hong Kong Warrants * 42,300 546
-----------
DENMARK - 1.38% HSBC Holdings PLC 51,068 1,249,179
Hutchison Whampoa Ltd 218,000 1,150,923
BG Bank 107,400 6,642,690 Li & Fung Ltd 379,400 612,172
Unidanmark AS 78,100 7,008,756 Television Broadcasts 194,000 513,360
----------- ------------
13,651,446 8,943,936
----------- ------------
FINLAND - 6.13% IRELAND - 0.93%
Huhtamaki I 42,800 2,445,091 Bank of Ireland 448,419 9,219,065
------------
Kone Oy 'B' 54,055 7,572,657 9,219,065
------------
Merita Ltd 'A' 2,525,300 16,631,952 ITALY - 3.40%
Metra Oy 'B' 311,500 10,201,223
Partek Finnish Ord Fim10 157,850 2,728,286 Magneti Marelle Spa 2,165,940 4,743,600
Rauma Oy Fim 310,450 6,354,273 Marzotto (Gaetano) Spa 75,950 1,155,831
Rautaruukki Oy 679,400 5,191,543 Mediaset Spa 1,099,900 7,007,365
Sampo Insurance Co Ltd Fim5 85,350 4,037,370
Valmet Oy Corp 316,730 5,451,324
-----------
60,613,719
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-60
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------- -----------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
Sogefi 849,900 $2,839,761 TDK Corp 59,000 $ 4,345,873
Telecom Italia Spa 33,330 244,910 Tokyo Electron Ltd 117,000 3,573,353
Telecom Italia Spa RISP 3,639,100 17,584,981 Toshiba 1,070,000 4,359,815
----------
33,576,448 Toyota Motor Corp 172,000 4,437,354
----------
JAPAN - 14.55% Tsubakimoto Chain 604,000 2,018,325
Yamaha Corp 159,000 1,542,525
Amada Co 452,000 2,192,519 Yamanouchi Pharmaceutica 199,000 4,132,873
------------
Autobacs Seven 27,000 770,292 143,774,022
------------
Canon Inc 218,000 4,934,785 MALAYSIA - 0.14%
Casio Computer 260,000 2,408,394
Dai Nippon Printing 184,000 2,928,820 Carlsberg Brewery 48,000 146,228
Daicel Chemical Industries 862,000 1,821,192 Guinness Anchor 230,000 244,681
Daifuku 449,000 1,668,161 Nestle Malaysia Berhad 115,000 522,727
Daikin Industries 425,000 2,730,409 Rothmans of Pall Mall 71,000 493,533
------------
Family Mart 44,000 1,669,505 1,407,169
------------
Fuji Machine Manufacturing Co 160,000 4,231,253 NETHERLANDS - 4.50%
Fuji Photo Film 123,000 4,269,268
Fujitec Co Ltd 219,000 1,321,979 ABN Amro Holding Nv 209,700 4,897,201
Fujitsu Ltd 436,000 4,574,467 AKZO Nobel NV 49,200 10,915,364
Furukawa Electric Co Ltd 652,000 2,188,092 Ing Groep Nv 240,543 15,719,528
Hitachi Credit Corp 138,000 2,315,619 Koninklijke Bijenkorf Beheer 22,050 1,541,580
Hitachi Ltd 644,000 4,188,279 Koninklijke KNP Bt 185,100 4,767,693
Inabata & Co 176,000 541,324 Philips Electronics 79,400 6,661,302
------------
Kaneka Corp 478,000 2,507,563 44,502,668
------------
Kurita Water Industries 150,000 1,767,813 NEW ZEALAND - 0.07%
Kyocera Corp 75,000 3,654,199
Kyudenko Co Ltd 149,000 972,240 AMP Nz Office Trust 524,000 244,124
Lintec Inc 101,000 878,229 Telecom Corp of New Zealand - IR 40,000 85,309
Matsushita Electric 327,000 5,240,272 Telecom Corp of New Zealand - 68814 75,100 308,671
------------
Mitsubishi Chemical Corp 818,000 1,475,463 638,104
------------
Mitsubishi Estate 271,000 2,375,912 NORWAY - 1.03%
Mitsubishi Heavy Industries 758,000 2,854,314
Mitsumi Electric Co Ltd 202,000 3,556,466 Saga Petroleum 'B' 468,000 6,623,793
Murata Manufacturing Co 93,000 3,007,438 Sparebanken Norway 124,705 3,578,803
------------
NEC Corp 433,000 4,023,348 10,202,596
------------
NIFCO 121,000 956,487 PORTUGAL - 0.40%
Nintendo Corp Ltd 53,000 4,894,183
Nippon Telegraph & Telephone 510 3,848,227 Electricidade De Portugal 170,400 3,953,199
------------
Nissan Motor Co Ltd 867,000 2,722,712 3,953,199
------------
Nissha Printing 120,000 732,996 SINGAPORE - 0.23%
ONO Pharmaceutical 94,000 2,242,679
Ricoh Co 427,000 4,483,109 Creative Technology * 52,150 633,151
Rinnai Corp 91,000 1,373,289 Natsteel Electronics Ltd 306,000 512,870
Sangetsu Co Ltd 74,000 951,888 United O/S Bank 235,000 730,678
Sankyo Co Ltd 190,000 4,314,613 Venture Manufacturing Singapore 210,000 397,986
------------
Sanwa Shutter 273,000 1,196,723 2,274,685
------------
Sekisui Chemical Co 278,000 1,418,418 SPAIN - 3.02%
Sekisui House Ltd 234,000 1,807,696
Shimanura Co Ltd 54,000 1,455,212 Banco Bilbao Vizcaya 197,800 10,142,598
Shin-Etsu Polymer Co 199,000 800,834 Iberdrola SA 523,300 8,489,816
Sony Corp 64,000 5,496,030 Telefonica De Espana SA 124,947 5,771,920
Sumitomo Marine & Fire 209,000 1,165,492 Uralita 382,700 5,448,264
------------
Suzuki Motor Co 269,000 2,435,701 29,852,598
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-61
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- -----------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
----- ----- ------ -----
<S> <C> <C> <C> <C> <C>
SWEDEN - 6.01% Sun Alliance Group 861,691 $ 8,785,932
Tate & Lyle 165,000 1,308,888
Autoliv Inc SDR 227,200 $ 7,244,717 Unilever PLC 285,300 3,061,189
BT Industries Ab 176,700 3,557,422 Westminster Health 353,600 1,860,165
Esselte Ab B-F 358,400 8,291,109 WPP Group PLC 1,799,000 11,833,629
------------
Fastignets Ab Balder * 19,410 20,631 182,018,326
------------
Nordbanken Holding Ab 1,464,000 10,709,516
Pharmacia & Upjohn 151,300 6,943,491 Total Common Stocks (Cost $788,271,667) 874,849,908
------------
PLM Ab Sek Ords 211,800 3,337,101
Skf Ab 'B' 71,680 1,299,687
Spectra-Physics Ab 'A' Shr 192,500 3,069,120 PRINCIPAL
Svedala Industries Ab 259,300 5,998,562 AMOUNT
------
Svenska Handelsbanken 'A' 194,100 8,980,493
-----------
59,451,849 CONVERTIBLE CORPORATE BOND - 0.02%
-----------
SWITZERLAND - 6.94%
NEW ZEALAND - 0.02%
Ascom Holdings AG 195 359,329
Bobst AG 2,640 4,847,384 AMP Nz Office Trust Conversion
Forbo Holdings AG 13,150 6,681,013 7.500% due 06/30/03 $ 272,000 244,124
------------
Holderbank Finan Glaris 9,670 12,282,396
Nestle Sa Bearer Reg 8,450 18,051,135 Total Convertible Corporate Bond
Richemont (Fin) 4,873 6,365,847 (Cost $309,710) 244,124
------------
Schindler Holding AG 4,770 7,377,098
Sig Schweiz Industrie Ge 5,400 4,388,944
Valora Holding AG 31,400 8,265,877 Total Investments in Securities
-----------
68,619,023 (Cost $812,325,302) 902,983,006
----------- ------------
UNITED KINGDOM - 18.41%
Aegis Group PLC 2,699,000 4,342,802 VALUE
-----
Bank of Scotland 331,786 3,709,340
BG PLC 2,939,341 17,006,669 SECURITIES HELD UNDER REPURCHASE
British Telecomm 711,900 8,754,288 AGREEMENT - 8.65%
BTR PLC * 1,123,504 3,189,345
Bunzl PLC 756,300 3,556,174 State Street Bank and Trust
Burmah Castrol 538,300 9,630,834 5.000% due 07/01/98 (Dated
Capital Radio PLC 282,251 3,334,380 06/30/98, repurchase price of
CGU PLC 223,075 4,162,179 $85,539,045; collateralized by
Charter PLC 929,400 9,724,252 U.S. Treasury Notes - market value
Danka Business Systems 49,500 155,994 $86,513,944 and due 08/15/08) 85,527,265 85,527,265
------------
Diageo PLC 347,430 4,133,344
Glynwed International 715,500 2,928,876 Total Securities Held Under
Great Univ Stores 537,500 7,084,678 Repurchase Agreement 85,527,265
------------
Imperial Tobacco Group 1,173,100 8,616,299
Lonrho Africa PLC 517,825 634,615 Total Short-Term Investment
Lonrho PLC * 517,825 2,434,848 (Cost $85,527,265) 85,527,265
------------
Medeva PLC 2,340,500 6,673,360
National Westminster Bank 541,461 9,687,388
Peninsular & Orient Stea 237,700 3,426,368 TOTAL INTERNATIONAL PORTFOLIO
Premier Farnell PLC 916,000 4,658,382 (COST $897,852,567) $988,510,271
============
Premier Oil PLC 10,528,000 7,504,500
Reckitt & Colman 430,700 8,215,627
RMC Group PLC 126,400 2,194,005
Scapa Group PLC 2,753,900 8,793,398
SIG PLC 926,200 3,490,222
Stolt Nielsen SA ADR 410,150 7,126,356
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-62
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
- ---------------------------------------------------------------------
NOTES TO SCHEDULE OF INVESTMENTS
- --------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 1998,
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>
DM Sell 7/98 $ 7,373,473 $ (47,766)
Sell 8/98 7,601,009 165,908
Sell 9/98 1,447,996 (1,770)
JY Buy 7/98 28,009,811 (204,567)
Sell 7/98 33,256,193 2,454,279
Sell 8/98 10,151,000 429,171
Sell 9/98 48,773,005 353,264
Sell 10/98 32,902,000 (1,111,853)
S$ Buy 7/98 2,749,765 28,106
Sell 7/98 2,650,000 (127,870)
SF Sell 7/98 6,792,083 162,559
-----------
$ 2,099,461
===========
</TABLE>
Principal amount denoted in the indicated currency:
DM - German Mark
JY - Japanese Yen
S$ - Singapore Dollar
SF - Swiss Franc
(b) At June 30, 1998, the net unrealized appreciation (depreciation)
of investments based on cost of investments for federal income tax
purposes was as follows:
Tax cost basis $897,852,567
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $159,318,769
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value (68,661,065)
------------
Net unrealized appreciation $ 90,657,704
============
See Notes to Financial Statements See explanation of symbols on A-66
A-63
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- ------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ----- ------ -----
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - 90.57% HUNGARY - 6.95%
ARGENTINA - 7.56% Danubius Hotels RT * 11,100 $222,983
Gedeon Richter RT 11,150 895,950
Astra Argentina De 305,870 $ 492,522 Graboplast RT 4,700 118,879
Banco Frances Del Rio 74,634 564,315 Magyar Olaj Es Gazipare 70,300 1,893,668
Banco Galicia 124,632 560,925 Matav RT 477,000 2,765,785
Dalmine Siderar SA 1,979 7,521 Otp Bank RT 24,900 1,222,093
Dalmine Siderca SA 313,537 533,090 Pick Szeged RT 5,650 329,925
----------
Inversiones Y Representaciones GDR 8,025 233,728 7,449,283
----------
Molinos Rio De La Plata 54,993 120,453 INDIA - 2.33%
Perez Compancia ADR 121,243 1,215,000
Renault Argentina SA 39,560 78,736 Bajai Auto GDR 19,395 262,802
Telefonica De Argentina ADR 56,853 1,844,169 BSES Ltd GDR * 7,100 73,308
YPF Sociedad Anonima ADR 81,400 2,447,088 Eih Ltd GDR 14,200 75,686
----------
8,097,547 Gujarat Ambuja GDR 18,200 86,086
----------
BRAZIL - 9.30% Hindalco Industries GDR * 14,800 207,200
Indian Hotels Co Ltd GDR 18,970 149,484
Aracruz Celulose SA ADR 9,400 107,513 Indian Rayon & Industries GDR 22,800 71,820
Aracruz Celulose SA PNB 138,600 155,798 Larsen & Tourbro Ltd 27,300 247,884
Banco Bradesco SA 79,072,207 659,790 State Bank of India GDR 19,800 234,630
Banco Itau SA PN 1,300,300 742,065 Steel Authority of India GDR 18,400 45,723
Centrais Eletrobras 55,924,000 1,682,796 Tata Engineering & Loco Co GDR * 40,920 119,896
Cia Cervejaria Brahma 545,600 339,673 The India Public Sector Fund Ltd ~ 63,000 504,000
Cia Energetica Minas Ger 16,692,782 519,620 Videsh Sanchar Nigam Ltd * 39,400 421,580
----------
Cia Paulista De Forca E 2,333,333 238,095 2,500,099
----------
Cia Siderurgica Nacional 15,472,600 387,718 ISRAEL - 9.55%
Cia Souza Cruz Ind Com 39,900 296,706
Cia Vale Do Rio Doce * 34,380 683,735 Agis Industries Ltd * 52,800 356,509
Gerasul * 55,924 80,755 Bank Hapoalim Bm * 441,800 1,335,161
Petrol Brasileiros 3,853,800 716,444 Bank Leumi Le * 335,000 667,638
Telebras ADR 19,100 2,085,480 Bezek Hapoalim Bm 208,200 664,911
Telecommunicacues Brasileiras ADR 9,557,400 760,295 Blue Square Chain Stores * 39,200 482,402
Usinas Siderurgicas Mina 68,159 347,720 ECI Telecommunications ORD 27,800 1,052,925
White Martins SA 170,467 157,717 Elite Industries * 22,980 750,786
----------
9,961,920 Formula Systems * 22,700 793,553
----------
CHILE - 7.59% ICL Israel Chemical 458,000 584,822
Industrial Buildings 471,500 789,481
Banco Santander ADR 78,075 1,005,215 Koor Industries 9,100 1,050,491
Compania Cervecerias Unidas ADR 21,000 443,625 Super-Sol 233,400 768,267
Compania De Telefono Chili ADR 85,506 1,736,841 Teva Pharmaceutical ADR 25,970 931,907
----------
Empresa ADR 81,575 1,162,444 10,228,853
----------
Enersis ADR 66,685 1,629,614 KAZAKHSTAN - 1.09%
Gener SA ADR 44,874 818,951
Madeco SA ADR 32,385 285,393 Central Asia Regional Growth Fund * 155,596 1,166,972
----------
Maderas Y Sinteticos Sociedad ADR 56,475 458,859 1,166,972
----------
Sociedad Quimica Y Minera Chile ADR 17,690 592,615 MEXICO - 9.37%
----------
8,133,557
----------
GREECE - 2.21% Cemex SA 112,197 422,240
Cifra V 576,063 867,178
Alpha Credit Bank 4,000 323,815 Controladora Coml Mexica 273,004 227,097
Alpha Credit Bank Rights 4,000 7,089 Desc SA 'B' 50,500 257,906
Ergo Bank SA 2,200 187,774 Desc SA 'C' 501 2,458
Hellenic Bottling Co SA 11,000 339,372 Empresas Ica Sociedad * 125,784 201,692
Hellenic Telecommun Org 35,555 910,230 Empresas Moderna SA * 88,700 516,296
National Bank of Greece 3,120 399,267 Fomento Economico Mexica 11,884 374,346
Titan Cement Co 3,000 195,994 Grupo Bimbo 'A' 164,800 334,451
----------
2,363,541
----------
</TABLE>
See Notes to Financial Statements See explantion of symbols on A-66
A-64
<PAGE>
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
- -------------------------------------------------------------- ------------------------------------------------------------
MARKET MARKET
SHARES VALUE SHARES VALUE
------ ------ ------ ------
<S> <C> <C> <C> <C> <C>
Grupo Carso SA De Cv 129,400 $545,419 RUSSIA - 1.60%
Grupo Financiero Banamex * 274,979 453,801
Grupo Industrial Alfa 133,600 555,674 Gazprom ADR 9,500 $105,260
Grupo Mexico SA 162,150 445,696 Lukoil Holding ADR 13,750 460,625
Grupo Modelo SA De Cv 120,382 1,024,213 Mosenergo ADR 41,850 209,250
Grupo Televisa 12,450 468,431 Rostelecom ADR 13,300 177,888
Industrias Penoles SA 87,750 278,867 Surgutneftegaz ADR 34,500 139,835
Kimberly Clark De Mexico 125,880 445,661 Tatneft ADR 21,500 166,625
Telefonos De Mexico ADR 50,000 2,403,125 Unified Energy * 33,900 453,582
-------------
Tubos De Acero De Mexico 8,361 107,216 1,713,065
-------------
Tv Azteca SA ADR 10,600 114,613 SOUTH AFRICA - 4.67%
-------------
10,046,380
-------------
PERU - 4.56% Absa Group Ltd ADR * ~ 20,584 247,008
Absa Group Ltd 34,260 210,394
Banco Wiese ADR 57,250 196,797 Anglo American Platinum 10,100 108,124
Cementos Lima SA 80,555 151,161 Barlow Ltd 58,548 303,672
Creditcorp ADR 54,777 804,543 De Beers Centenary 32,540 562,766
Enrique Ferreyros 105,420 142,430 Driefontein 48,000 244,582
Luz Del Sur 238,500 176,576 Firstrand Ltd 79,000 119,320
Minas Buenaventura 'A' 14,024 93,780 Liberty Life Association of Africa 26,738 513,015
Minas Buenaventura 'B' 13,531 88,868 Metro Cash 205,595 128,646
Minsur SA 55,173 109,179 Nasionale Pers 55,850 361,519
Southern Peru Copper 13,623 48,339 Nedcor * ~ 26,387 554,127
Telefonica De Peru 'B' 1,279,658 2,641,396 Rembrandt Group 75,017 460,685
Union De Cervecerias Peru 854,995 437,561 Sasol Ltd 45,100 257,126
-------------
4,890,630 Smith CG Ltd 109,742 296,895
-------------
POLAND - 4.06% South African Breweries 25,202 510,314
Woolworth GDR * 15,100 120,800
-------------
Amica Wronki * 16,500 163,722 4,998,993
-------------
Argos Holding 7,900 115,543 TAIWAN - 0.02%
Bank Przemyslowo Handlow 3,080 220,820
Bank Rozwoju Eksportu 19,600 531,173 President Enterprise GDS * ~ 2,880 25,920
-------------
Bank Rozwoju Eksportu Right * 19,600 5,622 25,920
-------------
Bank Slaski SA 10,340 693,880 TURKEY - 11.09%
Big Bank Gdanski SA 377,200 503,005
Debica * 6,750 135,503 Adana Cimento 10,662,280 396,293
Elektrim * 101,090 1,232,098 Akbank 15,433,156 498,292
Polifarb 62,089 160,253 Akbank Bonus Shares 4,873,628 157,355
Stomil Olsztyn SA * 26,300 179,507 Arcelik 26,196,500 1,229,374
Wielkopolski Bank 53,500 414,253 Aygaz AS 2,154,000 323,472
-------------
4,355,379 Bagfas Bandirma Gubre 4,240,000 652,651
-------------
PORTUGAL - 5.45% Brisa Bridgestone Sabanc 11,003,000 526,687
Ege Biracilik Ve Malt 5,635,000 666,401
Banco Commercial Portugal 15,570 441,216 Eregli Demir Ve Celik FA 5,942,000 925,788
Banco Espirito Santo * 17,288 518,108 Ford Otomotive Sanayii 'A' 671,000 358,978
BPI 15,600 502,413 Migros Turk Tas 715,313 698,233
Brisa Auto-Estradas De Portugal 4,500 192,069 Netas Telekomunik * 755,000 201,250
Cimpor Cimentos De Portugal 14,002 490,966 Sabanci Holding 9,458,000 585,888
Electricidade De Portugal 37,800 876,942 Turk Sise Ve Cam Fabrika 11,120,340 367,394
Investec 6,250 286,989 Turkiye Garanti Bankasi * 25,050,000 1,152,059
Jeronimo Martins 7,395 354,548 Turkiye Is Bankasi 'C' 46,632,500 1,882,037
Mundial Confianca * 17,700 469,539 Yapi Ve Kredi Bank 49,399,543 1,261,139
-------------
Portugal Telecom 24,319 1,286,309 11,883,291
-------------
Sonae Industria E Investmentos 7,717 420,643
-------------
5,839,742
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-65
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
SCHEDULE OF INVESTMENTS (CONTINUED)
JUNE 30, 1998 (UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------- ------------------------------------------------------------
MARKET NOTES TO SCHEDULE OF INVESTMENTS
--------------------------------
SHARES VALUE
------ -----
<S> <C> <C> <C>
(a) At June 30, 1998, the net unrealized appreciation
Venezuela - 3.17% (depreciation) of investments based on cost of investments
for federal income tax purposes was as follows:
Banco Provincial 387,376 $ 462,329
Cia Anonima Telefono De Venezuela 55,950 1,398,750 Tax cost basis $122,272,436
============
Corp Venezolana De Cemen 405,300 403,101
Electricidad De Caracas 1,840,748 831,333 Aggregate gross unrealized appreciation for all
Mavesa SA ADR 42,250 134,672 investments in which there was an excess of
Siderurgica Venezolana 1,863,283 163,416 value over tax cost $ 8,186,900
------------
3,393,601 Aggregate gross unrealized depreciation for all
------------
investments in which there was an excess of tax
cost over value (23,303,496)
------------
Total Common Stocks (Cost $112,165,369) 97,048,773
------------
Net unrealized depreciation $(15,116,596)
============
Total Investments in Securities
(Cost $112,165,369) 97,048,773 --------------------------------------------------------------
------------
EXPLANATION OF SYMBOLS FOR SCHEDULES OF INVESTMENTS
---------------------------------------------------
PRINCIPAL ~ Securities purchased in a private placement transaction;
AMOUNT VALUE resale to the public may require registration.
--------- -----
# Forward buy contract.
SHORT-TERM INVESTMENT - 9.43% + Securities are valued under procedures established by
the Board of Trustees.
Chase Bank London * Non-income producing securities.
6.000% due 07/01/98 $10,107,067 10,107,067 ** Securities have been fully/partially segregated with the
------------
custodian to cover margin requirements for open futures
Total Short-Term Investment contracts as of June 30, 1998.
(Cost $10,107,067) 10,107,067 " 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
TOTAL EMERGING MARKETS PORTFOLIO the stated maturity.
(COST $122,272,436) $107,155,840
============ -------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on A-66
A-66
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
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:
<TABLE>
- -----------------------------------------------------------------------
<S> <C>
Money Market Current income consistent with preservation
of capital
- -----------------------------------------------------------------------
High Yield Bond High level of current income
- -----------------------------------------------------------------------
Managed Bond Maximize total return consistent with prudent
investment management
- -----------------------------------------------------------------------
Government Maximize total return consistent with prudent
Securities investment management
- -----------------------------------------------------------------------
Growth Growth of capital
- -----------------------------------------------------------------------
Aggressive Equity Capital appreciation
- -----------------------------------------------------------------------
Growth LT Long-term growth of capital consistent with
the preservation of capital
- -----------------------------------------------------------------------
Equity Income Long-term growth of capital and income
- -----------------------------------------------------------------------
Multi-Strategy High total return
- -----------------------------------------------------------------------
Equity Capital appreciation
- -----------------------------------------------------------------------
Bond and Income Provide total return and income consistent
with prudent investment management
- -----------------------------------------------------------------------
Equity Index Provide investment results that correspond to
the total return performance of common
stocks publicly traded in the U.S.
- -----------------------------------------------------------------------
International Long-term capital appreciation
- -----------------------------------------------------------------------
Emerging Markets Long-term growth of capital
- -----------------------------------------------------------------------
</TABLE>
At June 30, 1998, 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 Insurance Department of the State of
California, Pacific Mutual Life Insurance Company ("Pacific Mutual") implemented
a plan of conversion to form a mutual holding company structure (the
"Conversion") on September 1, 1997. The Conversion created Pacific LifeCorp, an
intermediate stock holding company and Pacific Mutual Holding Company ("PMHC"),
a mutual 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. PMHC's members, as defined in the PMHC Bylaws,
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-67
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
(UNAUDITED)
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 10% of the Managed Bond and Government Securities
Portfolios' investments, respectively, as of June 30, 1998). 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 - $3,899; Growth LT Portfolio - $96,338; Equity Income
Portfolio - $50,170; Multi-Strategy Portfolio - $12,272; Equity Portfolio -
$18,223; Equity Index Portfolio - $55,185; International Portfolio - $1,495,387;
Emerging Markets Portfolio - $129,539.
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-68
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
(UNAUDITED)
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 period ended June 30, 1998. 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-69
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
(UNAUDITED)
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 $19,588,008 of investment advisory fees and $114,560 of
support services expenses to Pacific Life for the period ended June 30, 1998
(Note 4). As of June 30, 1998, $3,522,667 and $20,772 respectively, remained
payable.
A-70
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS(CONTINUED)
(UNAUDITED)
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, 1999. For the period
ended June 30, 1998, the operating expenses for each of the Portfolios were
below the .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 period ended June 30, 1998 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 $ 5,065,625 $ 220,317,093 $150,573,409
Managed Bond Portfolio 786,342,890 $650,839,736 175,776,998 86,917,569
Government Securities Portfolio 222,351,577 174,617,260 35,921,131 10,490,670
Growth Portfolio 66,845,540 49,101,834
Aggressive Equity Portfolio 226,955,838 191,773,351
Growth LT Portfolio 597,876,964 526,780,233
Equity Income Portfolio 479,638,799 355,624,952
Multi-Strategy Portfolio 124,395,286 113,553,956 199,398,855 135,044,658
Equity Portfolio 392,208,297 344,535,654
Bond and Income Portfolio 105,921,604 86,344,297 86,114,217 81,235,940
Equity Index Portfolio 204,336,007 12,180,468
International Portfolio 271,278,269 173,921,755
Emerging Markets Portfolio 38,616,100 13,570,036
---------------------------------------------------------------------------------------------------------
</TABLE>
A-71
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
(UNAUDITED)
9. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the period ended June 30, 1998 and the year
ended December 31, 1997 were as follows:
<TABLE>
<CAPTION>
MONEY MARKET PORTFOLIO HIGH YIELD BOND PORTFOLIO MANAGED BOND PORTFOLIO
1998 1997 1998 1997 1998 1997
---------------------------- --------------------------- -----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 44,902,429 32,078,144 31,189,867 18,585,912 42,072,937 24,216,721
Shares sold 46,659,711 69,266,087 7,507,422 16,492,058 11,615,594 18,496,718
Distributions reinvested 1,170,370 2,055,630 1,721,714 2,132,659 1,933,414 1,899,678
Shares redeemed (43,317,572) (58,497,432) (2,865,613) (6,020,762) (953,635) (2,540,180)
---------------------------- --------------------------- -----------------------------
Ending Balances 49,414,938 44,902,429 37,553,390 31,189,867 54,668,310 42,072,937
---------------------------- --------------------------- -----------------------------
GOVERNMENT SECURITIES PORTFOLIO GROWTH PORTFOLIO AGGRESSIVE EQUITY PORTFOLIO
1998 1997 1998 1997 1998 1997
---------------------------- --------------------------- -----------------------------
Beginning Balances 12,051,232 9,394,471 10,020,064 7,800,722 10,976,802 4,626,146
Shares sold 2,249,296 4,335,056 2,313,022 2,932,756 4,468,418 10,100,063
Distributions reinvested 577,211 554,504 1,065,801 1,063,998
Shares redeemed (1,853,471) (2,232,799) (1,625,501) (1,777,412) (1,764,490) (3,749,407)
---------------------------- --------------------------- -----------------------------
Ending Balances 13,024,268 12,051,232 11,773,386 10,020,064 13,680,730 10,976,802
---------------------------- --------------------------- -----------------------------
GROWTH LT PORTFOLIO EQUITY INCOME PORTFOLIO MULTI-STRATEGY PORTFOLIO
1998 1997 1998 1997 1998 1997
---------------------------- --------------------------- -----------------------------
Beginning Balances 39,129,648 26,561,383 32,938,927 20,994,540 22,687,601 15,296,734
Shares sold 5,704,163 14,040,035 6,248,971 12,098,809 4,892,730 7,072,785
Distributions reinvested 1,902,343 1,725,463 4,520,293 1,821,638 2,234,244 1,534,626
Shares redeemed (2,379,241) (3,197,233) (1,240,141) (1,976,060) (972,129) (1,216,544)
---------------------------- --------------------------- -----------------------------
Ending Balances 44,356,913 39,129,648 42,468,050 32,938,927 28,842,446 22,687,601
---------------------------- --------------------------- -----------------------------
EQUITY PORTFOLIO BOND AND INCOME PORTFOLIO EQUITY INDEX PORTFOLIO
1998 1997 1998 1997 1998 1997
---------------------------- --------------------------- -----------------------------
Beginning Balances 13,315,239 9,869,194 8,674,393 6,789,034 33,994,421 19,267,562
Shares sold 2,373,091 5,203,027 2,987,234 2,986,511 8,495,179 17,509,062
Distributions reinvested 841,844 474,172 327,676 603,053 539,763 1,316,528
Shares redeemed (1,337,607) (2,231,154) (879,697) (1,704,205) (1,869,202) (4,098,731)
---------------------------- --------------------------- -----------------------------
Ending Balances 15,192,567 13,315,239 11,109,606 8,674,393 41,160,161 33,994,421
---------------------------- --------------------------- -----------------------------
INTERNATIONAL PORTFOLIO EMERGING MARKETS PORTFOLIO
1998 1997 1998 1997
---------------------------- ---------------------------
Beginning Balances 47,142,608 29,479,456 10,502,506 4,554,623
Shares sold 17,905,147 24,443,338 3,024,216 11,872,367
Distributions reinvested 4,036,241 1,503,506 17,791 51,232
Shares redeemed (12,150,006) (8,283,692) (640,472) (5,975,716)
---------------------------- ---------------------------
Ending Balances 56,933,990 47,142,608 12,904,041 10,502,506
---------------------------- ---------------------------
</TABLE>
________________________
A-72
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (Unaudited)
In accordance with Rule 30d-1 under the Investment Company Act of 1940, the
Pacific Select Fund (the "Fund") is required to furnish certain information
regarding any matters submitted to a vote of the Fund's shareholders.
Shareholders of record on March 3, 1998 were notified that a Special Meeting of
Shareholders of the Aggressive Equity Portfolio, the Equity Portfolio, and the
Bond and Income Portfolio (the "Meeting") would be held at the offices of the
Fund on April 15, 1998. 100% of the outstanding shares of each Portfolio were
voted. A brief description of the matters voted upon as well as the voting
results of the aforementioned Meeting are outlined in the table below:
<TABLE>
<CAPTION>
Total
Outstanding
Proposal Votes For Votes Against Abstentions Shares
-------- --------- ------------- ----------- ------
Number Percent* Number Percent* Number Percent*
------ -------- ------ -------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C>
Approval of Portfolio Management 10,692,102 88.6% 233,001 1.9% 1,141,361 9.5% 12,066,464
Agreement with Alliance Capital
Management L.P. ("Alliance Capital")
for the Aggressive Equity Portfolio
under which Alliance Capital would
commence serving as manager of the
Aggressive Equity Portfolio on May
1, 1998.
Total
Outstanding
Proposal Votes For Votes Against Abstentions Shares
-------- --------- ------------- ----------- ------
Number Percent* Number Percent* Number Percent*
------ -------- ------ -------- ------ --------
Approval of Portfolio Management 12,490,579 91.9% 193,285 1.4% 913,643 6.7% 13,597,507
Agreement with Goldman Sachs Asset
Management ("Goldman Sachs") for the
Equity Portfolio under which Goldman
Sachs would commence serving as
Portfolio Manager of the Equity
Portfolio on May 1, 1998.
Total
Outstanding
Proposal Votes For Votes Against Abstentions Shares
-------- --------- ------------- ----------- ------
Number Percent* Number Percent* Number Percent*
------ -------- ------ -------- ------ --------
Approval of Portfolio Management 8,331,023 91.5% 150,887 1.7% 618,527 6.8% 9,100,437
Agreement with Goldman Sachs Asset
Management ("Goldman Sachs") for the
Bond and Income Portfolio under
which Goldman Sachs would commence
serving as Portfolio Manager of the
Bond and Income Portfolio on May 1,
1998.
Total
Outstanding
Proposal Votes For Votes Against Abstentions Shares
-------- --------- ------------- ----------- ------
Number Percent* Number Percent* Number Percent*
------ -------- ------ -------- ------ --------
Approval of amendment to the Bond and 8,233,183 90.5% 173,287 1.9% 693,967 7.6% 9,100,437
Income Portfolio's investment
objective.
</TABLE>
* Based on total shares outstanding
A-73
<PAGE>
SEMI-ANNUAL REPORT
AS OF JUNE 30, 1998
. PACIFIC SELECT FUND
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. 15-20803-01
357-8A
-----------------
BULK RATE
Pacific Life Insurance Company U.S. POSTAGE
700 Newport Center Drive PAID
P.O. Box 7500
Newport Beach, CA 92658-7500 PACIFIC LIFE
ADDRESS SERVICE REQUESTED 92799
-----------------
