<PAGE>
1998 Annual Report
.Pacific Select Fund
[LOGO OF PACIFIC SELECT FUND
APPEARS HERE]
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
<S> <C>
Chairman's Letter..................................................... A-1
Performance Discussion................................................ A-2
Independent Auditors' Report.......................................... B-1
Financial Statements:
Statements of Assets and Liabilities................................ B-2
Statements of Operations............................................ B-4
Statements of Changes in Net Assets................................. B-6
Financial Highlights.................................................. B-10
Schedules of Investments and Notes.................................... B-13
Notes to Financial Statements......................................... B-58
</TABLE>
<PAGE>
PACIFIC SELECT FUND
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the "Fund") Annual
Report dated December 31, 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"), manages two of the
Portfolios of the Fund and has 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 December 31, 1998 and the anticipated outlook
for 1999.
Pacific Life serves as Portfolio Manager for the Money Market Portfolio and
the High Yield Bond Portfolio. 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 1999 and beyond.
Sincerely,
/s/ THOMAS C. SUTTON
Thomas C. Sutton
Chairman and President
Pacific Select Fund
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
Money Market Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: The Money Market Portfolio continued to outperform the IBC Money Fund Index
("IBC Index") during the second half of 1998. The Portfolio's total return for
the year ended December 31, 1998 was 5.29%**, which exceeded the IBC Index's
return of 5.04%* for the same period. The yield, measured during the seven day
period ending December 31, 1998 was 4.81%**.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: Two main factors contributed to the Portfolio's outperformance of the IBC
Index. Pacific Life's interest rate outlook of neutral to falling interest
rates resulted in Portfolio holdings with a longer average maturity than the
IBC Index, benefiting the Portfolio when three interest rate cuts were made to
the Federal Fund's target interest rate. Also contributing to the Portfolio's
performance were higher allocations to asset-backed commercial paper and
corporate bonds. These securities not only offer a higher yield, but their
longer maturities played well into the Portfolio's longer duration stance.
The Portfolio experienced two challenging events in 1998. Precipitated by the
Russian debt crisis at the end of August, market liquidity substantially
decreased leading to a significant re-pricing of the yield curve. This
resulted in the Portfolio holding a larger portion of very liquid, lower
yielding commercial paper. Secondly, fund share redemptions increased
liquidity needs and tempered our intention of increasing asset-backed
securities and corporate bond holdings. However, during the fourth quarter,
share fluctuations decreased sufficiently which allowed an increase in
holdings of asset-backed commercial paper and corporate bonds.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: During the year, the Portfolio's holdings included firms such as Edison
International and Pacific Gas & Electric, both in the electrical services
industry, which continues to be a very solid and liquid sector. Additionally,
many of the financial service companies, such as General Electric Capital
Corporation, General Motors Acceptance Corporation, and the Associates
Corporation provided excellent opportunities to improve liquidity and yield.
Some firms were placed on credit watch and/or experienced rating downgrades
during the year as a result of weakened financial conditions due to an
increased leverage position, or acquisition, or merger related attention.
Activity of this nature results in fewer commercial paper issues in which the
Portfolio may invest.
Q: What is your outlook for 1999?
A: We expect the first part of 1999 to exhibit greater interest rate stability
with yields remaining at or near current levels. This environment should
support our efforts to extend investment maturities. We share the consensus
that U.S. growth will somewhat slow in 1999 and also plan to closely monitor
uncertainty in the Brazilian economy and how it effects the U.S. markets.
During the last half of 1998, the Portfolio's holdings of corporate bonds and
asset-backed commercial paper were increased and we expect to continue to
pursue this yield enhancing strategy during 1999.
High Yield Bond Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: After underperforming the CS First Boston High Yield Bond Index ("CS First
Boston Index") in the first half of 1998, the Portfolio rebounded strongly
with a 2.46%** total return for the year ended December 31, 1998,
significantly outperforming the 0.58%* return of the CS First Boston Index and
underperforming the 9.47%* return of the Lehman Brothers Government/ Corporate
Bond Index.
Performance Comparison
___ High Yield Bond Portfolio
--- CS First Boston Index
___ Lehman Brothers Government/Corporate Bond Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 10,415 10,454 13,024 15,462 18,247 18,322 21,782 24,241 26,531 27,184
- -----------------------------------------------------------------------------------------------------------
10,000 10,040 9,400 13,513 15,766 18,747 18,566 21,797 24,503 27,597 27,758
- -----------------------------------------------------------------------------------------------------------
10,000 11,422 12,368 14,363 15,453 17,158 16,556 19,740 20,314 22,297 24,410
- -----------------------------------------------------------------------------------------------------------
<CAPTION>
Average Annual Returns for Periods Ended December 31, 1998
1 year 5 years 10 years
------ ------- --------
<S> <C> <C> <C>
High Yield Bond Portfolio** 2.46% 8.30% 10.52%
CS First Boston Index* 0.58% 8.16% 10.74%
Lehman Brothers Index* 9.47% 7.30% 9.34%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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-2
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The Portfolio had a higher weighting in the upper-tier segment of the high
yield bond market as compared with the CS First Boston Index, and issues of
higher quality outperformed lower quality issues for the year. Also, the
Portfolio was overweight in three of the top performing sectors--aerospace,
hotel/lodging, and media. In addition, the Portfolio had a lower weighting in
the chemicals, packaging and metals sectors versus the CS First Boston Index,
all of which were negatively affected during the year by weak commodity prices.
Two factors that negatively affected performance of the Portfolio versus the
CS First Boston Index during the first half of the year were its higher
exposure to Southeast Asia, and strong performance of the lower tier of the
high yield bond market (in which the Portfolio was underweighted).
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Jacor and Vanguard Cellular bonds benefited from acquisitions during the
year. Jacor, a radio broadcaster, was acquired by Clear Channel Communications,
an investment grade company. Vanguard Cellular was acquired by American
Telephone & Telegraph ("AT&T") and the bonds were tendered at a spread of 75
basis points. Consolidation in the United Kingdom cable and telecommunication
markets helped another holding, Telewest.
On the other hand, lower commodity prices took their toll on the performance
of many companies in several sectors of the high yield bond market. The energy
sector was particularly hard hit with lower oil and gas prices. As a result,
Portfolio holdings Forcenergy and Grey Wolf reported disappointing results for
the year.
Q: What is your outlook for 1999?
A: Pacific Life's outlook for high yield bonds is favorable. A disruption in
emerging markets or a decline in equity markets could cause us to change our
view, however, our stance is based on the high yield bond market trading at a
very attractive spread to Treasury securities. Also, we believe that economic
conditions will remain favorable even with an expected slowdown in gross
domestic product. Currently inflation is low, unemployment fell to a 28 year
low of 4.3% in December 1998, and interest rates are low. In addition, mutual
funds and collateralized bond obligations should continue to have a strong
demand for high yield bonds.
Managed Bond and Government Securities Portfolios
Q: How did the Portfolios perform over the year ended December 31, 1998?
A: The total return for the Managed Bond Portfolio for the year ended December
31, 1998 was 9.20%** versus 9.47%* for the Lehman Brothers Government/Corporate
Bond Index. The total return for the Government Securities Portfolio for the
year ended December 31, 1998 was 9.24%** versus 9.85%* for the Lehman Brothers
Government Bond Index.
Performance Comparison
___ Managed Bond Portfolio
- --- Lehman Brothers Government/Corporate Bond Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 11,472 12,449 14,571 15,835 17,677 16,907 20,126 20,984 23,067 25,189
- ---------------------------------------------------------------------------------------------------------------------
10,000 11,422 12,368 14,363 15,453 17,158 16,556 19,740 20,314 22,297 24,410
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Managed Bond Portfolio** 9.20% 7.34% 9.68%
Lehman Brothers Index* 9.47% 7.30% 9.34%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Performance Comparison
___ Government Securities Portfolio
--- Lehman Brothers Government Bond Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 11,458 12,375 14,437 15,522 17,198 16,323 19,393 19,965 21,858 23,877
- ---------------------------------------------------------------------------------------------------------------------
10,000 11,423 12,420 14,322 15,357 16,994 16,420 19,432 19,972 21,885 24,041
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Government Securities Portfolio** 9.24% 6.78% 9.09%
Lehman Brothers Index* 9.85% 7.18% 9.17%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the year?
A: Interest rates fell by more than one percent for two, five and ten year
Treasury bonds in 1998 as low inflation and global financial turmoil boosted
demand for U.S. Treasury securities. The yield on the benchmark 30-year
Treasury bond fell during the year to close at 5.09% on December 31, 1998.
Portfolios with above-benchmark duration, or sensitivity to interest rate
changes, strongly benefited from the fall in interest rates.
Following Russia's currency devaluation in August, concern about further
currency devaluations and weak Asian economies caused investors to be wary of
investments which had credit risk. The heightened caution substantially
reduced liquidity in most bond markets and also reduced returns on non-
Treasury bonds. Interest rate cuts by the Federal Reserve and other central
banks beginning in late September stabilized the markets and restored
liquidity. However, by year-end investors expected increased returns as
compensation for holding corporate and emerging markets debt in the face of
lingering financial market uncertainty.
In this environment, a higher-than-index duration, or sensitivity to interest
rates, added to returns for both the Managed Bond Portfolio and the Government
Securities Portfolio. Holdings of high-yielding pass-through and
collateralized mortgage-backed securities also proved to be beneficial for
both Portfolios during 1998. However, a small position in high-quality
emerging market bonds proved to be detrimental to the Managed Bond Portfolio's
returns as this sector fared poorly in 1998 amid global financial turmoil.
Q: Can you discuss some of the types of securities which performed well and
those which reported disappointing results?
A: Relatively modest holdings of corporate bonds in both the Managed Bond
Portfolio and Government Securities Portfolio helped returns during 1998 as
investment-grade corporate bonds generally underperformed Treasury securities.
Small holdings of non-investment grade debt in the Managed Bond Portfolio
proved to be a modest negative as they also underperformed Treasury securities
during the year.
Q: What is your outlook for 1999?
A: Looking ahead, PIMCO expects the U.S. economy to slow sharply over the next
six to nine months, with growth averaging less than one percent on an
annualized basis, as consumers spend less amid slower employment growth and
potential weakness in the stock market. Currently, the Federal Reserve has
room to ease interest rates further and will probably do so. Inflation is
expected to trend lower, averaging about one percent, as wage growth slows and
the effects of low commodity prices work their way through the economy. In
this environment we expect to keep a large portion of each of the Managed Bond
and Government Securities Portfolios assets invested in Treasury bonds, with a
focus on short and intermediate maturities. In addition, continuing emphasis
will be placed on mortgage-backed bonds as a prudent way to enhance yield,
while also looking for select opportunities in corporate debt and non-U.S.
markets, as appropriate.
Growth Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: The Growth Portfolio's total return for the year ended December 31, 1998
was 2.69%** versus -2.55%* for the Russell 2000 Small Stock Index ("Russell
2000 Index") and 28.58%* for the Standard & Poor's 500 Total Return Index
("S&P 500 Index") for the same period.
Performance Comparison
___ Growth Portfolio
--- Russell 2000 Index
___ S&P 500 Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 13,495 11,161 15,531 18,719 22,820 20,426 25,687 31,752 41,366 42,479
- -----------------------------------------------------------------------------------------------------------
10,000 11,624 9,357 13,666 16,183 19,240 18,889 24,262 28,262 34,584 33,703
- -----------------------------------------------------------------------------------------------------------
10,000 13,170 12,761 16,640 17,907 19,699 19,950 27,469 33,775 45,043 57,914
- -----------------------------------------------------------------------------------------------------------
Average Annual Returns for Periods Ended December 31, 1998
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Growth Portfolio** 2.69% 13.23% 15.56%
Russell Index* -2.55% 11.86% 12.92%
S&P Index* 28.58% 24.06% 19.19%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The dominant event for the stock market in 1998 actually occurred in
October of 1997--the Asian financial crisis, which set in motion two related
series of events
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** The return for each Portfolio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-4
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
that carried over into 1998. The first chain of events started with the drop
in Asian economic activity that followed the Asian financial crisis. With
financing scarce following the crisis, the economies of Asia went into a
significant recession. This cut demand for globally traded commodities enough
to tip most commodities from a tight supply/demand situation to a position of
significant oversupply. The price of almost all commodities then dropped
significantly. This broad collapse in commodity pricing was calamitous for
sellers of commodities and for economies/countries that are dependent upon
commodity sales. Thus, in 1998, the currencies and stock markets of Australia,
New Zealand, Canada, Norway and Russia struggled. Russia, which depended upon
the export of oil and metals for essentially all of its hard currency
earnings, was especially hard hit. By March of 1998, Russia was searching for
financial aid from the world's institutions; by July it wasn't making payments
on its foreign debts; and in August, Russia defaulted.
The second and related chain of events set in motion by the Asian financial
crisis was a loss of tolerance for risk by the world's financial markets--in
the wake of losses in Asia suddenly no one was willing to accept uncertainty.
Investors seemingly decided that they would restrict themselves to owning only
the biggest and most liquid stocks. Thus, the performance of the largest and
most liquid stocks far exceeded that of smaller and less liquid stocks. The
result was negative returns for small capitalization stocks for the first 9
months of 1998. Many hedge funds, led by Long Term Capital Management
("LTCM"), noted that the risk premiums implied by market valuations were
extraordinarily high and positioned their portfolios to bet that risk premiums
would return, sooner or later, to normal levels. Unfortunately for these hedge
funds, the Russian default in August sent risk premiums even higher, causing
many hedge funds to sustain heavy losses, at least on paper. LTCM realized in
late August that it was, on paper, near bankruptcy and approached its bankers
to secure additional financing. As word spread through September that LTCM,
and perhaps other hedge funds, were near bankruptcy, the financial markets
began to panic at the thought of the hedge funds facing a forced liquidation.
By the first week of October, the broad equity indices had all corrected at
least 20% from their July (pre Russia default, pre-LTCM threat) levels, and
small capitalization stock indices were down over 30%. Fortunately, the
creditors of LTCM, encouraged by the Federal Reserve, were able to agree on an
orderly takeover of LTCM that avoided the need to liquidate its portfolio,
thus averting a financial market meltdown. This set the stage for a strong
market recovery through the fourth quarter of 1998.
The poor performance of U.S. small capitalization stocks compared to U.S
large capitalization stocks in 1998 was noteworthy in two respects: it was the
worst year of relative performance since the Russell 2000 Index was first
published in 1979, and it was the fifth consecutive year of underperformance.
Some investors seem to believe that, by definition, good companies are found
in the S&P 500 Index, and the Russell 2000 Index consists of also-rans.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The rebound in small cap stocks in the fourth quarter was led by technology
stocks, a sector which continues to be dominated by smaller, faster growing
companies. The proliferation of lower cost computers for consumers and
electronic equipment upgrades for businesses led the data processing and
reproduction and electronic components segments of the technology sector
higher. Companies such as Macromedia, Inc., which develops Internet
and multimedia authoring tools, and Novellus and Security Dynamics, both
electronic hardware companies, benefited from the strong performance of
technology stocks and had a positive impact on portfolio returns.
Telecommunications holdings showed mixed results, with companies such as
Viatel performing well, while other holdings such as Aspect Telecommunications
underperformed. Pharmaceutical stocks such as Gilead Sciences, which produce
drugs used to treat viral diseases such as AIDS and hepatitis, were also
strong performers.
Sectors that underperformed during the quarter included commodity-related raw
materials industries, such as oil and chemicals. Holdings in the portfolio
such as KN Energy and Dynegy, both natural gas companies, underperformed as a
result.
Investors punished financial institutions in 1998 over concerns of banks'
exposure to developing markets and the effects an economic slowdown would have
on their earnings. Bank United Corp, Community First Bankshares and Harbor
Florida Bancshares all underperformed in the portfolio.
Q: What is your outlook for 1999?
A: Looking forward we are more optimistic. Much of the superior performance of
large capitalization stocks in the past five years has been driven by superior
relative earnings. We think that will change in 1999, principally because
larger companies are more exposed to economic weakness abroad. Many S&P 500
Index heavyweights announced earnings disappointments in the past several
weeks and we expect that to continue in 1999. It may be that the Russell 2000
Index earnings next year will be less disappointing rather than robust,
relative to the S&P 500 Index earnings. In spite of this, we believe since the
valuation gap is so wide today, that should be sufficient for substantial
outperformance.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** The return for each Portfolio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-5
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
As bottom-up managers, Capital Guardian invests where we see value in
individual issues. Though investors generally seem intent on avoiding, even
punishing, small capitalization stocks, we are positive about the immediate
future and have taken advantage of recent opportunities to purchase at
favorable prices those companies in which we have high degrees of conviction.
Aggressive Equity Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: For the year ended December 31, 1998, the portfolio returned 13.22%**
compared with a -2.55%* return for the Russell 2000 Index, a 28.58%* return
for the S&P 500 Index, and a 0.38%* return for the Russell 2500 Index.
Alliance Capital assumed investment management responsibilities for the
Portfolio on May 1, 1998.
Performance Comparison
___ Aggressive Equity Portfolio
--- Russell 2000 Index
___ S&P 500 Index
--- Russell 2500 Index
<TABLE>
<CAPTION>
[PERFORMANCE GRAPH APPEARS HERE]
<S> <C> <C> <C>
4/30/96 12/31/96 12/31/97 12/31/98
-------------------------------------------------
10,000 10,786 11,194 12,673
-------------------------------------------------
10,000 11,084 13,563 13,217
-------------------------------------------------
10,000 11,670 15,564 20,011
-------------------------------------------------
10,000 11,245 13,983 14,037
-------------------------------------------------
</TABLE>
Average Annual Returns for the Period Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year
------
<S> <C>
Aggressive Equity Portfolio** 13.22%
Russell 2000 Index* -2.55%
S&P Index* 28.58%
Russell 2500 Index* 0.38%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: During 1998, the market experienced very strong performance from a select
group of large capitalization growth stocks. First, the earnings of the top
twenty growth stocks rose, in aggregate, 15% in 1998 while those of the
remaining 480 S&P 500 Index stocks declined 6%. Second, a return on equity
proxy underlying the earnings of those large growth companies expanded to a
premium to the other 480 companies of three times the thirty year average. We
believe that the Portfolio's performance is suggestive of a Portfolio well
positioned for a turning of the tide for smaller capitalization stocks.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Strong performers for the twelve months ending December 31, 1998 included
companies within the cable and broadcasting industry such as Cablevision and
TCI Ventures, which benefited strongly from recognition of the potential of
the cable television infrastructure for delivery of the Internet; technology
companies such as Ceridian which continued, especially in its payroll
business, to deliver accelerating revenue and expanding margins; Novell, which
is early on in a powerful turnaround with better than expected demand for its
network operating software becoming evident; and Steris, a healthcare
technology company which continues to dominate the market for hospital and
non-hospital medical sterilization and has effectively integrated one large
and a few smaller acquisitions.
Disappointing performers included Sola International, whose demand for their
vision products failed to meet their plan, resulting in an earnings shortfall;
and in general, companies within the basic industry and energy categories such
as Georgia Gulf.
Q: What is your outlook for 1999?
A: Alliance Capital's economic forecast foresees continued expansion of U.S.
gross domestic product at greater than 2% with stable inflation and interest
rates. We see moderate improvement in Asian economic performance and continued
European expansion. In our opinion, virtually all the current Portfolio
holdings represent a compelling combination of growth and price and/or
emerging positive business dynamics, most often largely independent of the
current difficult earnings climate. In combination with a growing economy, a
significant valuation gap with the large growth companies and time and
patience, stock market recognition in the form of price performance should
come to the Portfolio.
Growth LT Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: For the year ended December 31, 1998, the total return for the Growth LT
Portfolio was 58.29%** versus a return of 28.58%* for the S&P 500 Index and a
0.38%* return for the Russell 2500 Index.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** The return for each Portfolio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-6
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Performance Comparison
___ Growth LT Portfolio
- --- S&P 500 Index
___ Russell 2500 Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/94 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
10,000 11,326 15,489 18,254 20,255 32,060
------------------------------------------------------------------------
10,000 10,127 13,944 17,145 22,865 29,399
------------------------------------------------------------------------
10,000 9,894 13,030 15,512 19,290 19,364
------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year 3 Years
------ -------
<S> <C> <C>
Growth LT Portfolio** 58.29% 27.45%
S&P Index* 28.58% 28.27%
Russell Index* 0.38% 14.11%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: During the first half of 1998 strong corporate earnings and benign
inflation propelled equity securities to new records. Although the Portfolio
remained widely diversified across a variety of industries, its holdings in
select technology names, such as Dell Computer and Microsoft, led to the
Portfolio's superior performance. In late summer, disparaging events in
emerging markets, such as Russia and Brazil, and continued economic apathy
along the Pacific Rim, prompted a substantial market correction. The resulting
"flight-to-quality" caused a credit crunch, which forced the Federal Reserve
to cut interest rates three times by year end. This added liquidity allayed
fears of a global recession and stocks rallied for the remainder of the year.
In December, the rally narrowed significantly as the market embraced
technology stocks, benefiting the Portfolio, which finished the year well
ahead of its two benchmark indices.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Janus believes in the quality of the Portfolio's holdings, particularly
those in the cable and telecommunications industries such as Time Warner,
Comcast, and Nokia--all of which performed exceptionally well throughout the
year. Additionally, we have found many compelling investment opportunities in
the Internet sector, such as Amazon.com and America Online. As reports
confirmed the robust growth of Internet traffic and shopping during the latter
part of the year, Internet stocks continued to post spectacular results. While
we were generally pleased with the overall performance of the Portfolio, its
biggest disappointment of the year came in July when Parametric Technology
announced surprisingly weak earnings as a result of slower than expected sales
from a new product launch. Consequently, the position has been liquidated.
Q: What is your outlook for 1999?
A: Looking ahead to 1999, we believe that the possibility of slower domestic
growth is very real. As such, many businesses might find the prevailing
economic climate somewhat inhospitable resulting in flat to negative earnings
growth for many companies. Because of this, we believe that the Portfolio may
need to pay substantial premiums in 1999 to gain access to the companies that
Janus pursues as holdings: companies with solid earnings prospects and
positive fundamentals.
Equity Income and Multi-Strategy Portfolios
Q: How did the Portfolios perform over the year ended December 31, 1998?
A: The total return for the Equity Income Portfolio for the year ended
December 31, 1998 was 24.18%** versus the S&P 500 Index return of 28.58%*. The
Multi-Strategy Portfolio's total return was 18.17%** for the year ended
December 31, 1998, compared to the S&P 500 Index 28.58%* return and the Lehman
Brothers Aggregate Bond Index 8.67%* return.
Performance Comparison
___ Equity Income Portfolio
- --- S&P 500 Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 12,923 11,948 15,704 16,544 17,916 17,865 23,520 28,090 36,126 44,864
- ---------------------------------------------------------------------------------------------------------------------
10,000 13,170 12,761 16,640 17,907 19,699 19,950 27,469 33,775 45,043 57,914
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Equity Income Portfolio** 24.18% 20.15% 16.19%
S&P Index* 28.58% 24.06% 19.19%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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)
Performance Comparison
___ Multi-Strategy Portfolio
- --- S&P 500 Index
___ Lehman Brothers Aggregate Bond Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 12,341 12,160 15,082 15,921 17,393 17,132 21,460 24,157 28,898 34,149
- ---------------------------------------------------------------------------------------------------------------------
10,000 13,170 12,761 16,640 17,907 19,699 19,950 27,469 33,775 45,043 57,914
- ---------------------------------------------------------------------------------------------------------------------
10,000 11,472 12,499 14,500 15,575 17,095 16,596 19,662 20,373 22,342 24,286
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Multi-Strategy Portfolio** 18.17% 14.44% 13.07%
S&P Index* 28.58% 24.06% 19.19%
Lehman Brothers Index* 8.67% 7.27% 9.26%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the year?
A: U.S. stock markets staged an impressive rise during the fourth quarter of
1998, driving results for the full year and extending the S&P 500 Index's
streak of 20% plus returns to an unprecedented four years. Liquidity flooded
financial markets as the Federal Reserve cut interest rates three times in the
space of six weeks in September, October, and November. As such, early fourth
quarter stock market advances were fairly broad based. However, gains that
elevated the S&P 500 Index to a record 1241 became increasingly more narrow as
analysts lowered earnings expectations and as interest rates stagnated.
The equity market ended a very volatile year in a rally driven by size and
growth. The largest 50 stocks in the S&P 500 Index outperformed the rest of the
market, gaining 40% versus the 17% for the other 450 stocks in the index. The
top market-capitalization quintile (above $18 billion) was the only market-
capitalization segment within the S&P 500 Index to outperform during the year.
Moreover, relative performance deteriorated steadily with declining market
capitalization, with the mid- to small-tiers lagging the S&P 500 Index in
excess of 20%. So while the Index closed the year near its all-time high, the
average stock in the Index finished 19% below its 52-week high. Following
another well-established trend, growth stocks beat value stocks by a wide
margin in 1998: the Standard & Poor's Growth Index was up 42%, well ahead of a
15% gain in the Standard & Poor's Value Index.
The persistence of these patterns has led to a very narrow market--a
challenging environment for active managers, particularly those relying on
valuation-driven stock selection techniques. Against this backdrop, the Equity
Income Portfolio and Multi-Strategy Portfolio delivered very solid results.
Although stocks were viewed overvalued relative to bonds in the first half of
the year, the Multi-Strategy Portfolio closed the fourth quarter with an
allocation of 63% stocks, 33% fixed income, and 4% cash, keeping close to the
normal allocation of 60% stocks and 40% bonds. The Portfolio's performance
benefited from adding to corporate debt and mortgage-backed securities holdings
during the year. In addition, our decision to maintain the Portfolio's longer
than average duration position also contributed positively to performance. The
Portfolio's allocation to U.S. Treasury securities in the third quarter
enhanced returns as investors fled to quality' from the continued Asian
contagion. As corporate debt and mortgage-backed securities performed
particularly well toward the end of the year, J.P. Morgan modestly reduced the
Portfolio's exposure. We actively traded residential mortgages as they offered
tactical opportunities at year end.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Stock selection in the technology sector proved favorable in 1998. Within
the S&P 500 Index, technology was one of only four sectors to outperform for
the year. Prospects for growth appeared better, particularly as the personal
computer industry worked its way through an inventory correction. The belief
that the year 2000 would be a net boost to technology spending, at least for
the first half of 1999, also emboldened investors. Meanwhile, the price of
Internet stocks scaled new heights amid frenzied trading, and offered a new
rationale for multiple expansion among some of the larger, more established
technology companies including EMC Corporation, Sun Microsystems, Compaq
Computer, and IBM--all overweight positions versus the S&P 500 Index in both
Portfolios.
Holdings in the consumer stable sector also boosted performance. Anheuser
Busch shares rallied on news of volume and pricing gains; and Philip Morris
stock rose with the announcement of a tobacco settlement.
Energy stocks were among the weaker constituents of the S&P 500 Index as well
as of the Portfolios. Late-breaking potential catalysts in 1998, including
Exxon's $75 billion acquisition of Mobil, as well as the attack on Iraq, failed
to reinvigorate interest in the sector as oil prices remained depressed. Both
Portfolios' holdings skewed towards refining (Tosco and Valero Energy), and oil
service stocks (Input/Output) detracted from
- ---------------
* All indices are unmanaged. Sources for indices: Ibbostson Associates,
Chicago, Illinois.
** 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 as shares of large, integrated oil companies fared better in this
environment.
Q: What is your outlook for 1999?
A: For 1999, J.P. Morgan expects moderation with respect to earnings, economic
growth, and share price appreciation. Positive seasonal trends and monetary
conditions should support the market as we enter the new year. However, any one
of a host of macro uncertainties has the potential to deflect stocks from
extending their recent gains: the impeachment of the President, the impact of
the Euro, the year 2000 issue, or further international financial turmoil or
international hostilities.
Equity Portfolio
- ----------------
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: The Equity Portfolio's total return for the year ended December 31, 1998 was
30.28%**, outpacing the S&P 500 Index return of 28.58%*, while underperforming
the Russell 1000 Growth Index return of 38.71%*. Goldman Sachs assumed
management responsibilities for the Portfolio on May 1, 1998.
Performance Comparison
----------------------
___ Equity Portfolio
- --- S&P 500 Index
___ Russell 1000 Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 13,013 12,682 16,453 17,494 20,303 19,720 24,413 31,256 36,941 48,134
- -----------------------------------------------------------------------------------------------------------
10,000 13,170 12,761 16,640 17,907 19,699 19,950 27,469 33,775 45,043 57,914
- -----------------------------------------------------------------------------------------------------------
10,000 13,594 13,558 19,139 20,097 20,680 21,229 29,122 35,854 46,788 64,902
- -----------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31,1998
---------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Equity Portfolio** 30.28% 18.84% 17.00%
S&P Index* 28.58% 24.06% 19.19%
Russell Index* 38.71% 25.70% 20.57%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The positive momentum of the U.S. equity markets was inspired largely by the
Federal Reserve Board's successive interest rate cuts, which eased the credit
crunch in capital markets and relieved concerns about global financial
conditions. Gains for the year ended December 31, 1998 were primarily
attributable to a narrow segment of the equity market. For the year, the top
five stocks in the S&P 500 Index created 24% of the Portfolio's total return,
and the top fifty stocks in the Index accounted for 82% of the Portfolio's
total return. Because the Portfolio seeks sector weightings and distribution
among size categories close to those of the Russell 1000 Growth Index, the
Portfolio benefited from its large capitalization tilt.
Since assuming management responsibilities for the Portfolio, Goldman Sachs
has employed an investment strategy which considers three investment themes:
value, momentum, and low risk. As witnessed for most of 1998, the markets
favored mega-capitalization, growth companies. Consequently, the Portfolio's
tilt toward value-oriented stocks diminished the Portfolio's returns relative
to the Russell 1000 Growth Index.
Goldman Sachs' quantitative stock selection process seeks out stocks with
positive momentum that also appear to be good values ("CORE strategy"). Based
on rigorous testing of variables which have led to excess returns in the past,
Goldman Sachs' CORE strategy prefers stocks with positive momentum, lower-than-
average risk, attractive valuations, and favorable analyst opinions. However,
in September and October, the strongest performing stocks were those with high
valuations, poor momentum, and poor analyst ratings. These characteristics are
opposite from what we would normally seek, thus adversely affecting the
Portfolio's performance. As expected, conventional wisdom prevailed with time
and stocks with positive momentum came back in November and were strong in
December. Only our lower-than-average risk strategy produced disappointing
returns.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The sectors that drove the Russell 1000 Growth Index returns included
consumer staples, commercial services, technology, telecommunications and
transportation. Technology's high weighting in the Russell 1000 Growth Index
(more than 24%) combined with strong returns made it the biggest contributor.
The only sector within the Russell 1000 Growth Index to post a negative return
was
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** The return for each Portfolio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-9
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
energy. Goldman Sachs' management team does not take size or sector bets, thus
enabling participation in market-wide moves. We seek to add value to the
Portfolio versus its benchmark indices by individual stock selection.
At the individual stock level, the Portfolio benefited from positive
performance of many of its top holdings and from a wide range of sectors.
Notable outperformers in the technology sector include Lucent Technologies,
Cisco Systems and Intel Corporation. In the consumer staples group,
multinational companies offering the benefit of global opportunities also did
well, including Pepsico, Incorporated and Procter & Gamble Corporation. At year
end, the Portfolio was overweighted versus the Russell 1000 Growth Index in
commercial services, where companies such as America Online, a top Internet
service provider, which benefits from a recurring revenue stream and strong
market dominance, offers good investment potential for the long-term growth
investor. The Portfolio was also overweighted versus the Russell 1000 Growth
Index in pharmaceutical stocks, which ended the year underperforming the
market, as there was a rotation out of this sector and into the technology
sector. However, companies such as Pfizer have exhibited strong performance for
1998 and we have confidence in their long-term profitability.
Q: What is your outlook for 1999?
A: Although Goldman Sachs does not make market predictions, our third quarter
projection that poor performance is usually followed by better-than-average
performance proved to be correct in the fourth quarter of 1998. Looking ahead,
we anticipate that 1999 will predominantly be a year of transition, with growth
slowing as the year progresses, and interest rates dropping after the first
half of the year. We intend to maintain our disciplined, long-term approach to
equity investing in the Portfolio. Despite possible continued volatility in the
U.S. equity markets throughout 1999, we believe in our strategy of selecting
stocks with positive momentum, lower-than-average risk, attractive valuations
and favorable analyst opinions.
Bond and Income Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: For the year ended December 31, 1998, the Bond and Income Portfolio total
return was 8.97%**, underperforming the Lehman Brothers Long-Term
Government/Corporate Bond Index return of 11.76%*, while outperforming the
Lehman Brothers Aggregate Bond Index return of 8.67%*. Goldman Sachs assumed
management responsibilities for the Portfolio on May 1, 1998.
Performance Comparison
___ Bond and Income Portfolio
--- Lehman Brothers Government/Corporate LT Index
___ Lehman Brothers Aggregate Bond Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 11,704 12,087 15,027 16,242 19,391 17,769 23,758 23,566 27,412 29,872
- -----------------------------------------------------------------------------------------------------------
10,000 11,754 12,511 14,953 16,230 18,853 17,517 22,763 22,626 25,910 28,961
- -----------------------------------------------------------------------------------------------------------
10,000 11,472 12,499 14,500 15,575 17,095 16,596 19,662 20,373 22,342 24,286
- -----------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31,1998
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Bond and Income Portfolio** 8.97% 9.03% 11.57%
Lehman Brothers G/C LT Index* 11.76% 9.12% 11.30%
Lehman Brothers Aggregate Index* 8.67% 7.27% 9.26%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: In the U.S. fixed income markets, 1998 will be remembered as a year of
market volatility. After setting a record pace during the first half of the
year, recovering from the emerging markets meltdown of late 1997, the markets
were roiled again during the third quarter by another round of emerging market
induced instability in the global financial markets. One of the most notable
changes in the market since Goldman Sachs assumed management of the Portfolio
is the degree to which U.S. interest rate expectations have become more
vulnerable to outside influences. As investors sought the relative safety and
liquidity of Treasury securities, following the devaluation of the Russian
ruble, non-Treasury spreads widened significantly in the second and third
quarters of 1998.
Q: Can you discuss some of the types of securities/sectors which performed well
and those which reported disappointing results?
A: Our general investment strategy for the Portfolio de-emphasizes Treasury
securities in favor of higher yielding
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** The return for each Portfolio of the Fund includes reinvestment of all
dividends and capital gain distributions, if any. The returns do not
include deductions at the separate account or contract level for cost of
insurance charges, premium load, administrative charges, maintenance fees,
premium tax charges, mortality and expense risk charges, or other charges
that may be incurred under a contract. Past performance is not predictive
of future performance.
A-10
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
fixed income alternatives with enhanced total potential return. As such, over
the course of 1998 Treasury and Agency securities in the Portfolio were
overweighted relative to the Lehman Brothers Long Term Government/Corporate
Bond Index and mortgage, corporate, asset-backed and emerging market debt
securities were underweighted.
In the mortgage-backed sector, Goldman Sachs maintains a bias toward
strategically overweighting the sector should further cheapening materialize.
Mortgage pass-throughs continued tightening from their widest levels by the end
of 1998, offering attractive spreads versus both Treasury securities and swaps.
With regard to the corporate sector, despite year-end lethargy and heavy new
issuance ($25 billion), liquidity continued to improve and investor demand
remained strong. At year end, the Portfolio was close to a neutral position
relative to the corporate sector of the Lehman Brothers Long Term
Government/Corporate Bond Index. We have also found value in the asset-backed
securities market. The sector remains generally well insulated from global
credit concerns, given its inherent cash flow stability and strong structural
credit protection.
At year end 1998, we maintained a slight position in emerging market debt in
the Portfolio. The outlook for emerging market debt depends largely on Brazil's
ability to implement the announced policy measures and reduce interest rates,
which in turn will require a fairly benign global financial landscape. The
continued strength of the Japanese yen has enabled other Asian countries to
dramatically lower interest rates without additional currency weakness, and has
thereby improved the outlook for economic growth in the region. However, it
bodes poorly for Japan's economy and prospects for escaping a deflationary
spiral.
Q: What is your outlook for 1999?
A: Goldman Sachs' outlook for 1999 bond markets is one of slowing economic
growth and subdued inflation, creating a favorable market for bonds globally.
In the short-run, we anticipate that monetary policy will remain on hold, and
short-term interest rates and Treasury bond rates will raise slightly. Longer
term, assuming that growth does slow, we believe the Federal Reserve may ease
further and interest rates are likely to move lower.
Equity Index Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: For the year ended December 31, 1998, the total return for the Equity Index
Portfolio was 28.45%** versus 28.58%* for the S&P 500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The Equity Index Portfolio is an index portfolio that seeks to replicate the
risk and return characteristics of the S&P 500 Index. Therefore, Bankers
Trust's commentary is structured around what happened in the S&P 500 Index.
Fourth quarter 1998 returns, the strongest in some 20 years, for most major
large capitalization domestic equity indices marked an explosive finish to a
volatile year. Despite volatility throughout the year in Asia, Latin America
and Russia, the U.S. equity market continued to push on. The S&P 500 Index
outperformed the Dow Jones Industrial Average, which returned 18.17%* for the
year, but underperformed the NASDAQ Composite, which returned 39.63%* for the
year. The technology sector, led by Internet-related stocks, posted staggering
returns for the fourth quarter. There were 43 changes to the S&P 500 Index,
over 75% of which were due to mergers and acquisitions. These additions and
deletions represent a 28.71% turnover for the year. Growth stocks across all
major indices outperformed value stocks for the year.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Top performing sectors for the year included technology (72.98%),
communication services (52.33%) and health care (44.22%). Weaker performing
sectors included energy (4.41%), transportation (-1.94%) and basic materials (-
6.12%).
Q: What is your outlook for 1999?
A: In the U.S., there seems to be no end in sight to the pattern of weakness in
the industrial sector--which is directly affected by adverse developments
abroad--and strength in the rest of the economy supported by low interest
rates. With consumer fundamentals remaining extremely favorable, we expect to
see gross domestic product growth of around 2.5% in 1999. The Federal Reserve's
policy is almost certainly on hold in the face of solid economic growth,
healthy financial markets, and the recent softening in the dollar. Growth in
the monetary aggregates has also remained very strong. Fixed-income markets
should be largely range-bound in this context. U.S. equity markets should
continue to benefit from
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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-11
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
steady growth and low inflation, though the prospects for profits remain
problematic given that rising labor costs are squeezing margins.
International Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: The International Portfolio's total return for the year ended December 31,
1998 was 5.60%** versus 20.33%* for the Morgan Stanley Capital International
Europe, Austria and Far East Index ("EAFE Index").
Performance Comparison
___ International Portfolio
--- EAFE Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
1/31/89 12/31/89 12/31/90 12/31/91 12/31/92 12/31/93 12/31/94 12/31/95 12/31/96 12/31/97 12/31/98
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000 12,045 10,422 11,560 10,430 13,562 13,971 15,447 18,827 20,573 21,723
- -----------------------------------------------------------------------------------------------------------
10,000 11,054 8,461 9,484 8,321 11,036 11,897 13,240 14,041 14,290 17,172
- -----------------------------------------------------------------------------------------------------------
</TABLE>
Average Annual Returns for Periods Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
International Portfolio** 5.60% 9.88% 8.07%
EAFE Index* 20.33% 9.50% 5.86%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
1998 was a challenging year for the international markets and for the
International Portfolio. Although the benchmark index ended the year up 20%,
most of the index gains were attributable to strong performance in Europe,
which comprises over 70% of the EAFE Index. After rallying early in the year,
global markets corrected sharply in August and September, sparked by the
Russian debt default and near collapse of a U.S. hedge fund. The markets then
settled down in the final quarter of the year, posting a recovery helped by
interest rate cuts and ample liquidity. Against this backdrop, the
International Portfolio underperformed its benchmark index, due primarily to
Morgan Stanley's stock selection in Europe, where value and small and mid
capitalization stocks lagged behind large and mega capitalization growth
stocks. On the positive side, stock selection in Japan and Asia contributed
positively to performance in the Portfolio, as did our regional allocation
policy, which caused the Portfolio to be overweight or neutral in Europe and
underweight in Japan and Asia virtually all year.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The Portfolio's European holdings underperformed the Morgan Stanley Capital
International Europe Index for the second half of 1998, and for the year,
after a strong performance in the first half. The Portfolio also suffered as
large and mega capitalization growth stocks were unstoppable, making 1998 one
of the worst years on record for value investors. Furthermore, the valuation
gap between small/mid-sized companies and their larger peers reached the
widest point in over thirteen years. Attracted by their quality franchises and
cheap multiples, we have increased the Portfolio's exposure over the last
18 months to small/mid capitalization companies. In the recent flight to
liquidity, however, these small/mid capitalization names were shunned by
investors, often for reasons unrelated to the company's fundamentals. This has
been the principal cause for the Portfolio's recent underperformance.
Turning to the Portfolio's Asian holdings, a defensive portfolio was
maintained during the year. Although the Portfolio's Asian holdings
outperformed relative to the region, most positions were still down for the
year. The Portfolio was helped by the fact that its Asian holdings were a
small (less than 5%) portion in absolute terms, and underweighted versus the
EAFE Index on a relative basis. The only bright spot in the region was
Australia, which rose 6% for the year as the domestic economy exhibited strong
economic fundamentals--low inflation, sound monetary policy, a budget surplus
and a healthy banking system. Additionally, many Australian companies are well
managed with an eye toward increasing profitability. Australian holdings such
as Telstra, a telecom company, Fosters, a beer manufacturer, and National
Australia Bank were all strong performers for the year.
Finally, in Japan, Morgan Stanley's strategy focused on blue chip exporters
(e.g., Sony, Nintendo) and avoided banks and more domestically oriented
stocks. This strategy contributed to relative outperformance of the
Portfolio's Japanese stocks versus the EAFE Index, although as in Asia, the
market was down for the year. Japanese equities hit a 12 year low in 1998 as
sentiment became increasingly negative on the future of the Japanese economy.
As a result, the Portfolio held a smaller position
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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-12
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
in Japan than the EAFE Index. The Portfolio was also actively hedged to its
yen exposure during the year, which was helpful as the yen fell to 147 yen to
the U.S. dollar during the first half of the year, but hurt performance as the
yen strengthened during the last quarter. The yen hedge was removed at a loss
around year end as we no longer expect the yen to strengthen significantly
near-term.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: European Telecommunications stocks were among the Portfolio's largest
positions and strongest performers for 1998. Telecom Italia, British Telecom,
France Telecom, and Telefonica (of Spain), all had impressive returns and
contributed substantially to the Portfolio's performance. The stocks benefited
from the relative outperformance of large capitalization stocks, as well as
from investors' increasing focus on growth in the cellular phone business and
data transmissions businesses. Cellular phone usage has been increasing
dramatically across the globe, while land line usage should continue to climb,
spurred by the popularity of the Internet. These businesses have therefore
changed from stodgy utilities into dynamic companies with exciting growth
opportunities. Consumer staples were also strong performers for the year due
to their defensive qualities. Performance of food company stocks, such as
Danone and Nestle were especially strong as were performance of tobacco
company stocks, including the British firm Imperial Tobacco and the Swiss
tobacco and luxury goods manufacturer Richemont.
Capital goods and engineering companies, especially those in the United
Kingdom ("U.K."), had a dismal year as they were hurt not only by the slump in
Asia but also due to the strength of the pound sterling. Despite negative
results for 1998, Charter is a small capitalization U.K. engineering
conglomerate, with strong management and global franchises with good levels of
profitability. Premier Oil was another disappointment; the U.K. oil company
was hit by a dismal combination of a strong currency, declining U.K. economic
growth and low oil prices. We have been reviewing these disappointing
securities and have been pruning the Portfolio selectively.
Q: What is your outlook for 1999?
A: We remain cautiously optimistic about the outlook for Europe in 1999, as we
expect demand for equity securities to continue to rise and merger and
restructuring activity to remain brisk. However, risks include the new Euro
currency, which has shown signs of possible strengthening versus the U.S.
dollar, and could hurt the exporters who have led the European recovery.
Furthermore, there are signs of a more dramatic than expected economic slowing
in Europe, which could put further pressure on already high unemployment
rates. Finally, valuations, particularly in the largest companies, are at
stratospheric levels, making them extremely vulnerable to earnings
disappointments should the economic backdrop worsen. Experience tells us that
owning a portfolio of cheap companies (i.e. low price/cash flow) builds in a
margin of safety for those periods when markets fall on tough times. While
European results in 1998 were disappointing, Morgan Stanley believes that with
valuation gaps so extreme and earnings expectations still very rosy, the
Portfolio's European stocks are well positioned for the new year.
In Asia, exclusive of Japan, the turnaround in several key countries in the
region such as Thailand and South Korea has contributed to increasing
stability and should benefit the region as a whole in the new year. We believe
Singapore and New Zealand should benefit more than the more insulated
Australian economy or Hong Kong. Several risk factors to monitor in 1999
include the performance of the Japanese economy (as it is a major trading
partner with most Asian nations), the large supply of new offerings and
capital raisings we expect to see in Asia, and growth in the developed
economies that are the primary markets for Asian exports. We also remain
cautious about the outlook for China and Hong Kong.
1999 should be another difficult year for Japan, with gross domestic product
growth flat to negative. Further bank failures are likely and the credit
crunch should continue as a result. Japan also remains vulnerable to any
global economic slowdown as well as a stronger yen and higher domestic
interest rates. We will remain highly selective in our stock selection,
favoring personal computers, semiconductor, service, pharmaceutical and select
domestic sectors, such as housing and housing-related securities. After 10
years of economic stagnation, we believe Japan has entered the final phase for
real changes, and remain hopeful that its markets will improve.
In conclusion, we believe that 1999 will be an interesting year in the
international equity markets overall. The Portfolio has remained close to
market weight in Europe and underweight in Japan and Asia relative to the EAFE
Index for much of the past year, and has maintained a small cash position.
Overall, we will remain vigilant to find the best opportunities to put money
to work, and adjust the Portfolio's holdings accordingly.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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-13
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Emerging Markets Portfolio
Q: How did the Portfolio perform over the year ended December 31, 1998?
A: For the year ended December 31, 1998, the Emerging Markets Portfolio total
return was -26.83%** versus the -25.34%* return of the Morgan Stanley Capital
International Emerging Markets Free Index ("MSCI EMF Index").
Performance Comparison
___ Emerging Markets Portfolio
- --- MSCI EMF Index
[PERFORMANCE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
4/30/96 12/31/96 12/31/97 12/31/98
----------------------------------------------
<S> <C> <C> <C>
10,000 9,677 9,513 6,961
----------------------------------------------
10,000 9,980 8,822 6,586
----------------------------------------------
</TABLE>
Average Annual Returns for the Period Ended December 31, 1998
<TABLE>
<CAPTION>
1 Year
------
<S> <C>
Emerging Markets Portfolio** -26.83%
MSCI EMF Index * -25.34%
</TABLE>
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: For most investors in developing stock markets, 1998 was a year to forget.
A new buzzword entered the lexicon of the financial markets--contagion. Fear
and risk aversion swept from Asia to Russia to Latin America and short-term
volatility reached new highs. It was a disappointing year for the Portfolio
insofar as a successful first half was erased by a poor second half when the
Asia market soured. Blairlogie has previous experience of our allocation model
limitations being exposed during "crisis" periods when investment fundamentals
are ignored temporarily, but remains confident that it is a powerful
investment tool.
We carried our bearish views on the Asian markets into 1998 and the Portfolio
was underweight in the region versus the MSCI EMF Index. In February this
backfired when the bear squeeze on equities and currencies caused a sharp
recovery in prices. However, virtually all the Portfolio gains made in Asia in
the first quarter were given back with a vengeance during the second quarter.
We remained skeptical and under-invested in the region, because of the belief
that market and economic fundamentals still carried more risk than reward
potential. Also during the second quarter the Russian market fell 53.1% on the
back of political fears and a competitive devaluation in the ruble. In fact
May and June were disastrous months for most emerging stock markets, as well.
Global turbulence in August resulted in a dramatic destruction of capital in
emerging markets. The selling frenzy was sparked by Russia's ruble devaluation
and effective debt default. A distaste for risk became overpowering,
particularly in Europe/Middle East and Latin America, where the Portfolio was
overweighted versus its benchmark index.
Despite some weakness in December, the final quarter of 1998 saw a recovery
in emerging markets. The Portfolio gained 12.22%**, although the MSCI EMF
Index was higher, with a return of 17.99%*. This performance was due to
Blairlogie's top-down style of investing. The Portfolio's underweightings in
Korea, Indonesia, the Philippines and Thailand accounted for the bulk of the
shortfall. On a brighter note, stock selection was positive in Turkey and
Chile.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Blairlogie's investment style of top-down allocation followed by bottom-up
stock selection places more importance and relevance on country allocation
than individual stock selection.
Companies in the Portfolio that did exceptionally well in 1998 included
Brisa, which operates toll roads; Mundial, a financial holding company in
Portugal; and Blue Square, a retailing group that performed well when the
Israeli index fell 5.1%. The Portuguese market rose 27.9% in 1998, and the
Portfolio benefited from good stock selection in a strong market. Companies in
the Portfolio that underperformed in 1998 included Gideon Richter, a Hungarian
pharmaceutical company that was hit when barter trade with Russia dried up.
Tata Engineering in India also fell when India's market fell 21.2%. The
company makes commercial vehicles and was disproportionately affected by a
downturn in demand.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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-14
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: What is your outlook for 1999?
A: We believe that global economic growth will remain subdued in 1999. As a
result, above-average profits growth should continue to command a premium. Of
the 48 markets monitored by Blairlogie, 46 saw their mean estimates fall
during the past two months while 42 saw more downgrades than upgrades to 12
month earnings per share estimates. We believe that further disappointments to
brokers' forecasts will be seen in the U.S. and Europe where bottom-up numbers
look unrealistic but, as stated above, Europe's growth should still be
respectable. In Asia we expect stability during the first half of 1999 with
recovery beginning later in the year.
How much of a safety net is provided by present valuations? In developed
markets we see mixed signals. Cheapness is only apparent when measured
historically against cash and bond yields, otherwise market multiples vary
widely. The only distinct message (and one which concerns us) is that the U.S.
market as defined by Morgan Stanley Capital International looks overvalued by
49% against book value, by 47% against cash flow and by 41% against earnings.
Moreover, it is one of the few markets which seems stretched when placed
against long bonds and cash rates. It is only fair to point out that these are
statistical averages based upon a large capitalization index and that many
U.S. subsectors have experienced much less gains in stock prices. In emerging
markets there is a clear pattern of cheapness at least outside Asia. The main
obstacle to a sudden upward reversion in smaller markets would be the apparent
need for correction or consolidation in important developed markets such as
the U.S. It is difficult to imagine emerging markets booming if large markets
fall and, in any event, it would be reckless to assume that the global
investor's aversion to emerging market risk has evaporated.
The brightest aspect in our view is the likelihood of easy money policies
continuing. Globally we are aware of an absence of inflation and in certain
Asian countries we have witnessed successive months of outright deflation. We
expect more interest rate cuts from banks in the seven largest industrial
countries and this extra liquidity could at least help cushion the
sluggishness in the real economy, which we highlighted above.
-------------------
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson Associates,
Chicago, Illinois.
** 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-15
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders
Pacific Select Fund
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Pacific Select Fund (the "Fund")
comprised of the Money Market, High Yield Bond, Managed Bond, Government
Securities, Growth, Aggressive Equity, Growth LT, Equity Income, Multi-
Strategy, Equity, Bond and Income, Equity Index, International, and Emerging
Markets Portfolios as of December 31, 1998 and the related statements of
operations for the year then ended, the statements of changes in net assets
for each of the two years in the period then ended, and the financial
highlights for each of the five periods then ended (as to the Aggressive
Equity Portfolio, the Growth LT Portfolio and the Emerging Markets Portfolio,
for each of the periods from commencement of operations through December 31,
1998). These financial statements and financial highlights are the
responsibility of the Fund's management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned at December 31, 1998 by correspondence with
the custodians and brokers; where replies were not received from brokers, we
performed other auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement and financial highlights
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
respective Portfolios constituting Pacific Select Fund as of December 31, 1998
and the results of their operations, the changes in their net assets, and the
related financial highlights for the respective stated periods, in conformity
with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Costa Mesa, California
February 5, 1999
B-1
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1998
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Aggressive Growth
Market Bond Bond Securities Growth Equity LT
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value.... $475,939 $380,917 $849,452 $210,719 $269,070 $217,730 $1,278,460
Cash.................... 1 1 600 153 1 19
Receivables:
Dividends and interest. 610 7,854 8,474 1,220 198 78 143
Fund shares sold....... 3,137 2,388 2,616 422 289 402 233
Securities sold........ 1,767 492 1,181 33,718
Other receivables...... 22
Forward foreign currency
contracts appreciation.. 169
Organization costs...... 12
----------------------------------------------------------------------------
TOTAL ASSETS............ 479,687 391,160 861,164 214,281 270,050 219,403 1,312,742
----------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 347 1 70 14 3,590
Securities purchased... 1,500 94,558 23,688 1,817 432 28,499
Accrued advisory fees.. 140 198 382 98 138 137 739
Accrued custodian fees
and recordkeeping fees. 46 45 116 32 42 38 81
Accrued other.......... 33 32 62 14 25 70 74
Outstanding options
written, at value....... 31 8
Variation margin........ 26 12
----------------------------------------------------------------------------
TOTAL LIABILITIES....... 566 1,775 95,175 23,853 2,092 691 32,983
----------------------------------------------------------------------------
NET ASSETS.............. $479,121 $389,385 $765,989 $190,428 $267,958 $218,712 $1,279,759
----------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $479,147 $405,189 $736,119 $183,991 $215,562 $192,996 $784,750
Accumulated
undistributed net
investment income
(loss).................. (26) (19) 482 221 (21) (127) (2,898)
Accumulated
undistributed net
realized gain (loss).... (10,515) 25,158 4,748 32,135 18,911 145,634
Net unrealized
appreciation
(depreciation) on
investments and assets
and liabilities
in foreign currencies.. (5,270) 4,230 1,468 20,282 6,932 352,273
----------------------------------------------------------------------------
NET ASSETS.............. $479,121 $389,385 $765,989 $190,428 $267,958 $218,712 $1,279,759
----------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 47,652 41,704 67,320 17,346 11,690 17,280 48,842
----------------------------------------------------------------------------
NET ASSETS PER SHARE.... $10.054 $9.337 $11.378 $10.978 $22.922 $12.657 $26.202
----------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-2
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
DECEMBER 31, 1998
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Equity Multi- Bond and Equity Inter- Emerging
Income Strategy Equity Income Index national Markets
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value.... $1,263,524 $593,488 $503,390 $183,061 $1,506,093 $986,021 $106,227
Cash.................... 5 1 1 18
Receivables:
Dividends and interest. 1,745 2,793 405 1,697 1,531 3,466 228
Fund shares sold....... 169 2,600 11 557 272 1,802 11
Securities sold........ 1,189 327 8,305 559
Other receivables...... 23
Forward foreign currency
contracts appreciation.. 94 201 1
Variation margin........ 15 31 5,810
Organization costs...... 12
----------------------------------------------------------------------------
TOTAL ASSETS............ 1,266,627 599,330 503,822 185,316 1,516,250 997,300 107,038
----------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 1,855 6 787 13 1,335 1 249
Securities purchased... 1,771 22,478 546 18,070
Accrued advisory fees.. 666 305 262 92 195 711 96
Accrued custodian fees
and recordkeeping fees. 113 78 66 37 114 316 72
Accrued other.......... 79 38 78 59 79 57 51
Variation margin........ 1 31
----------------------------------------------------------------------------
TOTAL LIABILITIES....... 4,484 22,906 1,193 778 19,793 1,085 468
----------------------------------------------------------------------------
NET ASSETS ............. $1,262,143 $576,424 $502,629 $184,538 $1,496,457 $996,215 $106,570
----------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $981,553 $489,321 $342,454 $171,320 $1,028,394 $938,977 $146,106
Accumulated
undistributed net
investment income
(loss).................. (17) (3) (96) 15 (16) (487) 143
Accumulated
undistributed net
realized gain (loss).... 116,023 37,952 46,801 8,547 7,743 41,618 (16,194)
Net unrealized
appreciation
(depreciation) on
investments and assets
and liabilities
in foreign currencies.. 164,584 49,154 113,470 4,656 460,336 16,107 (23,485)
----------------------------------------------------------------------------
NET ASSETS ............. $1,262,143 $576,424 $502,629 $184,538 $1,496,457 $996,215 $106,570
----------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 46,934 33,279 17,172 13,875 46,288 63,043 15,562
----------------------------------------------------------------------------
NET ASSETS PER SHARE.... $26.892 $17.321 $29.271 $13.300 $32.329 $15.802 $6.848
----------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-3
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1998
(In thousands)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Aggressive Growth
Market Bond Bond Securities Growth Equity LT
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-----------------------------------------------------------------------
INVESTMENT INCOME
<S> <C> <C> <C> <C> <C> <C> <C>
Dividends, net of
foreign taxes withheld.. $279 $1,653 $998 $3,228
Interest................ $26,950 30,630 $36,943 $8,818 410 468 3,283
Other................... 388 299 78 5 4
-----------------------------------------------------------------------
Total Investment Income. 26,950 31,297 37,242 8,896 2,068 1,466 6,515
-----------------------------------------------------------------------
<CAPTION>
EXPENSES
<S> <C> <C> <C> <C> <C> <C> <C>
Advisory fees........... 1,803 2,126 3,687 916 1,647 1,302 6,762
Custodian fees and
expenses................ 50 38 102 26 34 25 136
Recordkeeping fees...... 100 89 141 39 51 31 179
Trustees fees........... 10 7 12 3 5 3 17
Legal fees.............. 19 10 15 4 6 20 20
Printing expenses ...... 22 16 26 6 11 25 39
Insurance expenses ..... 6 5 8 2 4 2 12
Other................... 43 32 54 13 23 47 82
-----------------------------------------------------------------------
Total Expenses.......... 2,053 2,323 4,045 1,009 1,781 1,455 7,247
Custodian Credits....... (9) (28) (9) (2) (2) (3) (4)
-----------------------------------------------------------------------
Net Expenses............ 2,044 2,295 4,036 1,007 1,779 1,452 7,243
-----------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS).................. 24,906 29,002 33,206 7,889 289 14 (728)
-----------------------------------------------------------------------
<CAPTION>
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
<S> <C> <C> <C> <C> <C> <C> <C>
Net realized gain (loss)
from security
transactions ........... (10,509) 12,449 2,763 32,221 22,009 145,947
Net realized gain from
futures contracts....... 13,322 2,101
Net realized foreign
exchange gain (loss).... (527) 19 (1,639)
-----------------------------------------------------------------------
Net Realized Gain (Loss)
on Investments and
Foreign Currency
Transactions............ (10,509) 25,244 4,883 32,221 22,009 144,308
-----------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments............. (9,458) (2,776) 1,027 (24,053) (728) 294,048
Net unrealized
depreciation on futures
contracts............... (1,993) (696)
Net unrealized foreign
exchange gain (loss).... (362) (122) 218
-----------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions............ (9,458) (5,131) 209 (24,053) (728) 294,266
-----------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS... (19,967) 20,113 5,092 8,168 21,281 438,574
-----------------------------------------------------------------------
NET INCREASE IN NET
ASSETS RESULTING FROM
OPERATIONS ............. $24,906 $9,035 $53,319 $12,981 $8,457 $21,295 $437,846
-----------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-4
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1998 (In thousands)
<TABLE>
<CAPTION>
Equity Multi- Bond and Equity Inter- Emerging
Income Strategy Equity Income Index national Markets
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------------------------------------------------------------------
INVESTMENT INCOME
<S> <C> <C> <C> <C> <C> <C> <C>
Dividends, net of
foreign taxes withheld.. $14,561 $3,976 $3,208 $16,935 $17,787 $2,493
Interest................ 1,021 12,178 970 $9,287 926 3,975 487
Other................... 7 14 30 7 2 1
------------------------------------------------------------------------
Total Investment Income. 15,589 16,168 4,208 9,294 17,863 21,763 2,980
------------------------------------------------------------------------
EXPENSES
Advisory fees........... 6,578 2,987 2,577 867 1,888 7,821 1,135
Custodian fees and
expenses................ 86 83 40 29 91 1,000 264
Recordkeeping fees...... 197 100 77 37 227 213 39
Trustees fees........... 19 9 8 3 22 18 2
Legal fees.............. 23 10 24 17 27 23 4
Printing expenses ...... 45 20 37 25 51 42 6
Insurance expenses ..... 13 6 5 2 15 12 1
Other................... 90 41 62 40 103 84 59
------------------------------------------------------------------------
Total Expenses.......... 7,051 3,256 2,830 1,020 2,424 9,213 1,510
Custodian Credits....... (9) (14) (2) (12) (2) (1) (1)
------------------------------------------------------------------------
Net Expenses............ 7,042 3,242 2,828 1,008 2,422 9,212 1,509
------------------------------------------------------------------------
NET INVESTMENT INCOME... 8,547 12,926 1,380 8,286 15,441 12,551 1,471
------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS
Net realized gain (loss)
from security
transactions............ 116,567 37,624 48,281 7,262 5,919 37,942 (6,183)
Net realized gain (loss)
from futures contracts.. 679 (1,361) 1,629 2,130 2,710
Net realized foreign
exchange gain (loss) ... 12 15 (591) (35)
------------------------------------------------------------------------
Net Realized Gain (Loss)
on Investments and
Foreign Currency
Transactions............ 116,567 38,315 46,920 8,906 8,049 40,061 (6,218)
------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments ............ 97,502 27,159 56,348 (4,266) 266,916 (3,513) (26,820)
Net unrealized
appreciation
(depreciation) on
futures contracts....... (282) 77 (563) 116 3,882
Net unrealized foreign
exchange gain (loss).... 94 (5,366) (1)
------------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions............ 97,502 26,971 56,425 (4,829) 267,032 (4,997) (26,821)
------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND FOREIGN
CURRENCY TRANSACTIONS... 214,069 65,286 103,345 4,077 275,081 35,064 (33,039)
------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS.............. $222,616 $78,212 $104,725 $12,363 $290,522 $47,615 $(31,568)
------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-5
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
(In thousands)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Aggressive Growth
Market Bond Bond Securities Growth Equity LT
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income
(loss).................. $24,906 $29,002 $33,206 $7,889 $289 $14 $(728)
Net realized gain (loss)
on investments and
foreign currency
transactions............ (10,509) 25,244 4,883 32,221 22,009 144,308
Net unrealized gain
(loss) on investments
and foreign currency
transactions............ (9,458) (5,131) 209 (24,053) (728) 294,266
------------------------------------------------------------------------------
Net Increase in Net
Assets Resulting from
Operations ............. 24,906 9,035 53,319 12,981 8,457 21,295 437,846
------------------------------------------------------------------------------
Net Equalization
Credits................. 194 1,756 7,090 665 74 1 154
------------------------------------------------------------------------------
DISTRIBUTIONS TO SHARE-
HOLDERS
Net investment income... (24,906) (29,002) (32,494) (7,743) (290) (1,663)
Capital gains........... (3,161) (7,425) (2,574) (27,273) (61) (37,027)
------------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions to
Shareholders............ (24,906) (32,163) (39,919) (10,317) (27,563) (61) (38,690)
------------------------------------------------------------------------------
CAPITAL SHARE TRANSAC-
TIONS
Proceeds from sale of
shares.................. 1,609,674 149,046 278,432 100,543 91,962 120,515 290,586
Dividend reinvestments.. 24,709 31,658 38,009 10,211 27,346 61 38,673
Cost of shares
repurchased............. (1,606,961) (81,072) (39,517) (53,555) (78,873) (45,851) (125,957)
------------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 27,422 99,632 276,924 57,199 40,435 74,725 203,302
------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 27,616 78,260 297,414 60,528 21,403 95,960 602,612
------------------------------------------------------------------------------
NET ASSETS
Beginning of Year....... 451,505 311,125 468,575 129,900 246,555 122,752 677,147
------------------------------------------------------------------------------
End of Year............. $479,121 $389,385 $765,989 $190,428 $267,958 $218,712 $1,279,759
------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-6
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1998
(In thousands)
<TABLE>
<CAPTION>
Equity Multi- Bond and Equity Inter- Emerging
Income Strategy Equity Income Index national Markets
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income... $8,547 $12,926 $1,380 $8,286 $15,441 $12,551 $1,471
Net realized gain (loss)
on investments and
foreign currency
transactions ........... 116,567 38,315 46,920 8,906 8,049 40,061 (6,218)
Net unrealized gain
(loss) on investments
and foreign currency
transactions ........... 97,502 26,971 56,425 (4,829) 267,032 (4,997) (26,821)
-----------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations......... 222,616 78,212 104,725 12,363 290,522 47,615 (31,568)
-----------------------------------------------------------------------------
Net Equalization
Credits................. 906 1,198 129 339 1,064 4,266 505
-----------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (8,547) (12,931) (1,381) (8,586) (15,445) (9,237) (1,248)
Capital gains........... (109,897) (30,371) (22,468) (235) (8,460) (64,358)
-----------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions to
Shareholders............ (118,444) (43,302) (23,849) (8,821) (23,905) (73,595) (1,248)
-----------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 329,063 174,831 146,441 84,983 473,473 1,173,060 51,722
Dividend reinvestments.. 118,158 43,041 23,823 8,797 23,844 72,693 1,234
Cost of shares
repurchased............. (96,268) (44,684) (66,783) (25,630) (142,677) (991,860) (13,500)
-----------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 350,953 173,188 103,481 68,150 354,640 253,893 39,456
-----------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 456,031 209,296 184,486 72,031 622,321 232,179 7,145
-----------------------------------------------------------------------------
NET ASSETS
Beginning of Year....... 806,112 367,128 318,143 112,507 874,136 764,036 99,425
-----------------------------------------------------------------------------
End of Year............. $1,262,143 $576,424 $502,629 $184,538 $1,496,457 $996,215 $106,570
-----------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-7
<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 Aggressive Growth
Market Bond Bond Securities Growth Equity LT
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
---------------------------------------------------------------------------
OPERATIONS
<S> <C> <C> <C> <C> <C> <C> <C>
Net investment income
(loss).................. $20,660 $19,302 $19,642 $5,802 $451 $(110) $2,890
Net realized gain (loss)
on investments and
foreign currency
transactions............ 3,142 6,755 3,111 27,222 (1,437) 38,758
Net unrealized gain
(loss) on investments
and foreign currency
transactions............ (924) 8,282 1,172 23,329 5,339 14,893
---------------------------------------------------------------------------
Net Increase in Net
Assets Resulting from
Operations ............. 20,660 21,520 34,679 10,085 51,002 3,792 56,541
---------------------------------------------------------------------------
Net Equalization
Credits................. 1,437 2,059 4,541 317 90 76
---------------------------------------------------------------------------
<CAPTION>
DISTRIBUTIONS TO
SHAREHOLDERS
<S> <C> <C> <C> <C> <C> <C> <C>
Net investment income... (20,660) (19,302) (19,640) (5,801) (452) (2,942)
Capital gains........... (1,910) (954) (19,532) (22,869)
---------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions to
Shareholders............ (20,660) (21,212) (20,594) (5,801) (19,984) (25,811)
---------------------------------------------------------------------------
<CAPTION>
CAPITAL SHARE
TRANSACTIONS
<S> <C> <C> <C> <C> <C> <C> <C>
Proceeds from sale of
shares.................. 690,898 162,156 195,944 45,249 69,253 110,504 235,290
Dividend reinvestments.. 20,507 20,906 20,178 5,754 19,942 25,808
Cost of shares
repurchased............. (583,530) (59,048) (26,443) (23,246) (41,083) (41,393) (52,911)
---------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 127,875 124,014 189,679 27,757 48,112 69,111 208,187
---------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 129,312 126,381 208,305 32,358 79,220 72,903 238,993
---------------------------------------------------------------------------
<CAPTION>
NET ASSETS
<S> <C> <C> <C> <C> <C> <C> <C>
Beginning of Year....... 322,193 184,744 260,270 97,542 167,335 49,849 438,154
---------------------------------------------------------------------------
End of Year............. $451,505 $311,125 $468,575 $129,900 $246,555 $122,752 $677,147
---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-8
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1997
(In thousands)
<TABLE>
<CAPTION>
Equity Multi- Bond and Equity Inter- Emerging
Income Strategy Equity Income Index national Markets
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
---------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income... $5,676 $9,353 $1,662 $6,276 $10,037 $11,618 $631
Net realized gain (loss)
on investments and
foreign currency
transactions ........... 109,959 30,503 22,274 245 8,162 63,523 (9,538)
Net unrealized gain
(loss) on investments
and foreign currency
transactions ........... 28,343 10,143 18,430 8,892 144,005 (32,658) 3,429
---------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations......... 143,978 49,999 42,366 15,413 162,204 42,483 (5,478)
---------------------------------------------------------------------------
Net Equalization
Credits................. 568 798 51 67 1,230 5,783 347
---------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (5,679) (9,350) (1,662) (5,976) (10,035) (13,090) (485)
Capital gains........... (32,179) (13,352) (8,550) (1,251) (18,953) (10,845)
---------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions to
Shareholders............ (37,858) (22,702) (10,212) (7,227) (28,988) (23,935) (485)
---------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 278,009 109,696 120,828 36,207 411,759 397,019 121,955
Dividend reinvestments.. 37,734 22,563 10,208 7,213 28,899 23,584 483
Cost of shares
repurchased............. (45,581) (18,845) (52,995) (20,976) (94,380) (134,917) (61,480)
---------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 270,162 113,414 78,041 22,444 346,278 285,686 60,958
---------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 376,850 141,509 110,246 30,697 480,724 310,017 55,342
---------------------------------------------------------------------------
NET ASSETS
Beginning of Year....... 429,262 225,619 207,897 81,810 393,412 454,019 44,083
---------------------------------------------------------------------------
End of Year............. $806,112 $367,128 $318,143 $112,507 $874,136 $764,036 $99,425
---------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-9
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Investment Activities Distributions
---------------------------------------- ------------------------------------------
Net Asset Net Net Realized Dividends
Value, Investment and Unrealized Total from (from Net Distributions
For the Year Ended Beginning Income Gain (Loss) Investment Investment (from Capital Total
December 31, of Year (Loss) on Securities Operations Income) Gains) Distributions
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market Portfolio
- ----------------------
1998 $10.06 $0.52 - $0.52 $(0.53) - $(0.53)
1997 10.04 0.51 $0.01 0.52 (0.50) - (0.50)
1996 10.02 0.47 0.02 0.49 (0.47) - (0.47)
1995 10.03 0.54 - 0.54 (0.55) - (0.55)
1994 9.99 0.33 0.04 0.37 (0.33) - (0.33)
- ------------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Portfolio
- -------------------------
1998 $9.98 $0.78 $(0.55) $0.23 $(0.78) $(0.09) $(0.87)
1997 9.94 0.78 0.12 0.90 (0.77) (0.09) (0.86)
1996 9.79 0.79 0.25 1.04 (0.79) (0.10) (0.89)
1995 8.91 0.76 0.88 1.64 (0.76) - (0.76)
1994 9.67 0.73 (0.70) 0.03 (0.73) (0.06) (0.79)
- ------------------------------------------------------------------------------------------------------------------------------------
Managed Bond Portfolio
- ----------------------
1998 $11.14 $0.57 $0.40 $0.97 $(0.58) $(0.15) $(0.73)
1997 10.75 0.59 0.44 1.03 (0.60) (0.04) (0.64)
1996 11.10 0.59 (0.15) 0.44 (0.57) (0.22) (0.79)
1995 9.90 0.65 1.19 1.84 (0.64) - (0.64)
1994 10.89 0.50 (0.98) (0.48) (0.50) (0.01) (0.51)
- ------------------------------------------------------------------------------------------------------------------------------------
Government Securities Portfolio
- -------------------------------
1998 $10.78 $0.54 $0.42 $0.96 $(0.55) $(0.21) $(0.76)
1997 10.38 0.53 0.42 0.95 (0.55) - (0.55)
1996 10.84 0.56 (0.27) 0.29 (0.53) (0.22) (0.75)
1995 9.64 0.58 1.19 1.77 (0.57) - (0.57)
1994 10.64 0.44 (0.99) (0.55) (0.44) (0.01) (0.45)
- ------------------------------------------------------------------------------------------------------------------------------------
Growth Portfolio
- ----------------
1998 $24.61 $0.02 $0.90 $0.92 $(0.02) $(2.59) $(2.61)
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)
- ------------------------------------------------------------------------------------------------------------------------------------
Aggressive Equity Portfolio
- ---------------------------
1998 $11.18 $0.01 $1.47 $1.48 - - -
1997 10.78 (0.01) 0.41 0.40 - - -
1996(1) 10.00 0.01 0.78 0.79 $(0.01) - $(0.01)
- ------------------------------------------------------------------------------------------------------------------------------------
Growth LT Portfolio
- -------------------
1998 $17.31 $(0.04) $9.86 $9.82 $(0.05) $(0.88) $(0.93)
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(2) 10.00 0.10 1.21 1.31 (0.12) (0.08) (0.20)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
-------------------------------------------------------------------------------
Net Asset Net Assets, Ratio of Ratio of Net
Value, End of Expenses Investment Income Portfolio
For the Year Ended End of Total Year (in to Average (Loss) to Average Turnover
December 31, Year Return thousands) Net Assets (3) Net Assets (4) Rate
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Money Market Portfolio
- ----------------------
<S>
1998 $10.05 5.29% $479,121 0.42% 5.17% N/A
1997 10.06 5.28% 451,505 0.44% 5.17% N/A
1996 10.04 5.07% 322,193 0.50% 4.93% N/A
1995 10.02 5.54% 95,949 0.53% 5.41% N/A
1994 10.03 3.76% 94,150 0.64% 3.94% N/A
- ------------------------------------------------------------------------------------------------------------------
High Yield Bond Portfolio
- -------------------------
1998 $9.34 2.46% $389,385 0.65% 8.18% 75.27%
1997 9.98 9.44% 311,125 0.65% 7.89% 103.19%
1996 9.94 11.31% 184,744 0.71% 8.28% 120.06%
1995 9.79 18.87% 84,425 0.77% 8.51% 127.31%
1994 8.91 0.42% 25,338 0.88% 8.13% 141.86%
- ------------------------------------------------------------------------------------------------------------------
Managed Bond Portfolio
- ----------------------
1998 $11.38 9.20% $765,989 0.66% 5.40% 230.99%
1997 11.14 9.92% 468,575 0.66% 5.72% 230.87%
1996 10.75 4.25% 260,270 0.71% 5.71% 386.16%
1995 11.10 19.04% 126,992 0.76% 6.04% 191.39%
1994 9.90 (4.36)% 53,219 0.84% 5.04% 127.95%
- ------------------------------------------------------------------------------------------------------------------
Government Securities Portfolio
- -------------------------------
1998 $10.98 9.24% $190,428 0.66% 5.16% 266.83%
1997 10.78 9.48% 129,900 0.66% 5.39% 203.01%
1996 10.38 2.94% 97,542 0.72% 5.33% 307.13%
1995 10.84 18.81% 59,767 0.82% 5.58% 298.81%
1994 9.64 (5.10)% 21,489 0.88% 4.29% 232.99%
- ------------------------------------------------------------------------------------------------------------------
Growth Portfolio
- ----------------
1998 $22.92 2.69% $267,958 0.70% 0.11% 48.48%
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%
- ------------------------------------------------------------------------------------------------------------------
Aggressive Equity Portfolio
- ---------------------------
1998 $12.66 13.22% $218,712 0.89% 0.01% 184.42%
1997 11.18 3.78% 122,752 0.86% (0.13)% 189.21%
1996(1) 10.78 7.86% 49,849 1.02% (0.11)% 79.86%
- ------------------------------------------------------------------------------------------------------------------
Growth LT Portfolio
- -------------------
1998 $26.20 58.29% $1,279,759 0.80% (0.08)% 116.96%
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(2) 11.11 13.25% 49,374 1.08% 1.32% 257.20%
- ------------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements See explanation of references on B-12
</TABLE>
B-10
<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 Asset Net Realized Dividends
Value, Net and Unrealized Total From (from Net Distributions
For the Year Ended Beginning Investment Gain (Loss) Investment Investment (from Capital Return of Total
December 31, of Year Income on Securities Operations Income) Gains) Capital Distributions
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Equity Income Portfolio
- ------------------------
1998 $24.47 $0.20 $5.44 $5.64 $(0.20) $(3.02) - $(3.22)
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)
- ------------------------------------------------------------------------------------------------------------------------------------
Multi-Strategy Portfolio
- ------------------------
1998 $16.18 $0.46 $2.34 $2.80 $(0.46) $(1.20) - $(1.66)
1997 14.75 0.50 2.23 2.73 (0.50) (0.80) - (1.30)
1996 14.20 0.48 1.20 1.68 (0.48) (0.65) - (1.13)
1995 11.73 0.45 2.47 2.92 (0.45) - - (0.45)
1994 12.66 0.32 (0.51) (0.19) (0.32) (0.42) - (0.74)
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Portfolio
- ----------------
1998 $23.89 $0.09 $7.01 $7.10 $(0.09) $(1.63) - $(1.72)
1997 21.07 0.14 3.58 3.72 (0.13) (0.77) - (0.90)
1996 17.52 0.02 4.71 4.73 (0.02) (1.16) - (1.18)
1995 14.20 0.05 3.33 3.38 (0.06) - - (0.06)
1994 14.94 0.32 (0.74) (0.42) (0.32) - - (0.32)
- ------------------------------------------------------------------------------------------------------------------------------------
Bond and Income Portfolio
- -------------------------
1998 $12.97 $0.74 $0.39 $1.13 $(0.78) $(0.02) - $(0.80)
1997 12.05 0.80 1.05 1.85 (0.76) (0.17) - (0.93)
1996 13.02 0.79 (0.94) (0.15) (0.79) (0.03) - (0.82)
1995 10.42 0.82 2.59 3.41 (0.81) - - (0.81)
1994 13.05 0.83 (1.87) (1.04) (0.83) (0.53) $(0.23) (1.59)
- ------------------------------------------------------------------------------------------------------------------------------------
Equity Index Portfolio
- ----------------------
1998 $25.71 $0.38 $6.83 $7.21 $(0.37) $(0.22) - $(0.59)
1997 20.42 0.37 6.13 6.50 (0.37) (0.84) - (1.21)
1996 17.45 0.37 3.42 3.79 (0.37) (0.45) - (0.82)
1995 13.02 0.34 4.43 4.77 (0.34) - - (0.34)
1994 13.24 0.30 (0.18) 0.12 (0.30) (0.04) - (0.34)
- ------------------------------------------------------------------------------------------------------------------------------------
International Portfolio
- -----------------------
1998 $16.21 $0.11 $0.90 $1.01 $(0.17) $(1.25) - $(1.42)
1997 15.40 0.41 1.00 1.41 (0.29) (0.31) - (0.60)
1996 12.93 0.28 2.54 2.82 (0.23) (0.12) - (0.35)
1995 11.94 0.33 0.91 1.24 (0.25) - - (0.25)
1994 12.09 0.07 0.30 0.37 (0.07) (0.45) - (0.52)
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
-------------------------------------------------------------------------------
Net Asset Net Assets, Ratio of Ratio of Net
Value, End of Expenses Investment Income Portfolio
For the Year Ended End of Total Year (in to Average to Average Turnover
December 31, Year Return thousands) Net Assets (3) Net Assets (4) Rate
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Equity Income Portfolio
- ------------------------
1998 $26.89 24.18% $1,262,143 0.69% 0.84% 80.78%
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%
- ------------------------------------------------------------------------------------------------------------
Multi-Strategy Portfolio
- ------------------------
1998 $17.32 18.17% $576,424 0.70% 2.81% 102.38%
1997 16.18 19.62% 367,128 0.71% 3.25% 71.89%
1996 14.75 12.56% 225,619 0.78% 3.37% 132.94%
1995 14.20 25.25% 134,501 0.84% 3.49% 176.45%
1994 11.73 (1.50)% 79,147 0.94% 2.78% 187.40%
- ------------------------------------------------------------------------------------------------------------
Equity Portfolio
- ----------------
1998 $29.27 30.28% $502,629 0.71% 0.35% 130.51%
1997 23.89 18.18% 318,143 0.70% 0.59% 159.88%
1996 21.07 28.03% 207,897 0.74% 0.05% 90.98%
1995 17.52 23.80% 108,136 0.80% 0.27% 226.45%
1994 14.20 (2.87)% 73,125 0.96% 2.19% 178.63%
- ------------------------------------------------------------------------------------------------------------
Bond and Income Portfolio
- -------------------------
1998 $13.30 8.97% $184,538 0.70% 5.73% 147.00%
1997 12.97 16.32% 112,507 0.66% 6.62% 15.32%
1996 12.05 (0.80)% 81,810 0.71% 6.74% 26.50%
1995 13.02 33.71% 56,853 0.80% 6.93% 51.84%
1994 10.42 (8.36)% 34,078 0.93% 7.25% 31.97%
- ------------------------------------------------------------------------------------------------------------
Equity Index Portfolio
- ----------------------
1998 $32.33 28.45% $1,496,457 0.21% 1.33% 2.48%
1997 25.71 32.96% 874,136 0.23% 1.61% 2.58%
1996 20.42 22.36% 393,412 0.31% 2.05% 20.28%
1995 17.45 36.92% 137,519 0.42% 2.26% 7.52%
1994 13.02 1.05% 40,612 0.51% 2.37% 2.02%
- ------------------------------------------------------------------------------------------------------------
International Portfolio
- -----------------------
1998 $15.80 5.60% $996,215 1.00% 1.36% 45.61%
1997 16.21 9.28% 764,036 1.02% 1.81% 84.34%
1996 15.40 21.89% 454,019 1.07% 2.28% 20.87%
1995 12.93 10.56% 182,199 1.12% 1.87% 16.07%
1994 11.94 3.01% 75,971 1.22% 1.28% 52.22%
- ------------------------------------------------------------------------------------------------------------
See Notes to Financial Statements See explanation of references on B-12
</TABLE>
B-11
<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 Asset Net Net Realized Dividends
Value, Investment and Unrealized Total From (from Net Distributions
For the Year Ended Beginning Income Loss on Investment Investment (from Capital Total
December 31, of Year (Loss) Securities Operations Income) Gains) Distributions
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Emerging Markets Portfolio
- --------------------------
1998 $9.47 $0.10 $(2.64) $(2.54) $(0.08) - $(0.08)
1997 9.68 0.06 (0.22) (0.16) (0.05) - (0.05)
1996(1) 10.00 (0.02) (0.30) (0.32) - - -
- -------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
-----------------------------------------------------------------------------
Net Asset Net Assets, Ratio of Ratio of Net
Value, End of Expenses to Investment Income Portfolio
For the Year Ended End of Total Year (in Average Net (Loss) to Average Turnover
December 31, Year Return thousands) Assets (3) Net Assets (4) Rate
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
- --------------------------
1998 $6.85 (26.83)% $106,570 1.46% 1.42% 29.82%
1997 9.47 (1.69)% 99,425 1.46% 0.80% 69.60%
1996(1) 9.68 (3.23)% 44,083 2.18% (0.11)% 47.63%
- ----------------------------------------------------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
(1) Information is for the period from April 1, 1996 (commencement of
operations) to December 31, 1996. The ratios of expenses to average net
assets and the ratios of net investment income (loss) to average net
assets are annualized.
(2) 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 (loss) to average net
assets are annualized.
(3) Without the adviser's reimbursements and custodian credits as discussed
in Notes 6 and 7 to the Financial Statements, the ratios of expenses to
average net assets would have been 0.43% (1998) for the Money Market
Portfolio; 0.66% (1998), 0.66% (1997) and 0.97% (1994) for the High Yield
Bond Portfolio; 0.67% (1997) and 0.95% (1994) for the Government
Securities Portfolio; 0.87% (1997) and 1.03% (1996) for the Aggressive
Equity Portfolio; 1.23% (1994) for the Growth LT Portfolio; 0.70% (1998)
and 1.00% (1994) for the Equity Income Portfolio; 0.71% (1998) for the
Multi-Strategy Portfolio; 0.53% (1994) for the Equity Index Portfolio;
1.03% (1997) for the International Portfolio; and 1.47% (1997) and 2.22%
(1996) for the Emerging Markets Portfolio.
(4) Without the adviser's reimbursements and custodian credits, the ratios of
net investment income/loss to average daily net assets would have been
5.16% (1998) for the Money Market Portfolio; 8.17% (1998) and 8.04%
(1994) for the High Yield Bond Portfolio; 5.38% (1997) and 4.22% (1994)
for the Government Securities Portfolio; 0.21% (1997) and 0.43% (1996)
for the Growth Portfolio; -0.12% (1996) for the Aggressive Equity
Portfolio; 1.17% (1994) for the Growth LT Portfolio; 1.34% (1994) for the
Equity Income Portfolio; 2.77% (1994) for the Multi-Strategy Portfolio;
5.72% (1998) for the Bond and Income Portfolio; 2.04% (1996) and 2.35%
(1994) for the Equity Index Portfolio; 1.79% (1997) for the International
Portfolio; and 0.79% (1997) and -0.14% (1996) for the Emerging Markets
Portfolio.
See Notes to Financial Statements
B-12
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENTS - 100.00%
COMMERCIAL PAPER - 100.00%
<S> <C> <C>
Aluminum Company of America
5.237% due 02/08/99 $10,000,000 $9,945,111
5.253% due 01/15/99 8,000,000 7,983,822
American General Finance
5.117% due 01/14/99 12,100,000 12,077,891
Associated Corp of North America
6.680% due 09/17/99 1,500,000 1,511,791
Avnet Inc
5.400% due 01/15/99 5,000,000 4,989,597
Baker Hughes Inc
5.169% due 03/08/99 ~ 10,000,000 9,906,500
Baltimore Gas & Electric
5.199% due 03/15/99 5,000,000 5,000,297
Bemis Co Inc
5.251% due 01/22/99 8,000,000 7,975,640
Carolina Power & Light
5.292% due 02/08/99 12,000,000 11,933,500
Case Equipment Trust
5.420% due 12/15/99 " 16,519,539 16,519,539
Chrysler Financial Corp
5.516% due 03/12/99 2,500,000 2,499,837
6.280% due 06/21/99 2,500,000 2,505,556
CIT Group Holdings
6.250% due 09/30/99 10,000,000 10,051,020
Commercial Credit Co
5.267% due 01/07/99 10,000,000 9,991,250
Contimortgage
5.648% due 06/15/99 " 618,850 618,850
DVI Rec Corp
5.690% due 03/10/99 " 99,959 99,955
Edison International
5.326% due 01/06/99 ~ 10,000,000 9,992,639
5.531% due 02/04/99 ~ 10,000,000 9,948,055
Equitable Resources
5.250% due 01/21/99 ~ 5,000,000 4,985,417
First Security Auto Owner Trust
5.248% due 11/15/99 " 11,659,808 11,659,808
Fluor Corp
5.271% due 01/21/99 ~ 8,000,000 7,976,711
5.285% due 01/29/99 ~ 5,000,000 4,979,622
5.489% due 01/05/99 ~ 5,000,000 4,996,967
Ford Motor Credit
5.105% due 01/07/99 7,425,000 7,418,689
5.427% due 01/04/99 10,000,000 9,995,500
5.985% due 01/05/99 370,000 369,754
Fortune Brands
5.280% due 01/05/99 3,950,000 3,947,683
6.156% due 01/05/99 450,000 449,693
General Electric Capital Corp
5.547% due 01/08/99 13,000,000 12,986,021
Georgia Power Co
5.180% due 02/19/99 8,000,000 7,943,596
GMAC
6.116% due 01/04/99 13,215,000 13,208,271
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
Greentree Rec, Equip, & Consumer Trust
5.553% due 08/15/99 " $8,015,740 $8,015,740
IPALCO Enterprises
5.151% due 01/26/99 ~ 12,000,000 11,957,667
5.398% due 01/13/99 ~ 8,000,000 7,985,733
John Deere Capital Corp
5.509% due 09/22/99 20,000,000 19,991,321
Motiva Enterprises
5.187% due 02/19/99 10,000,000 9,930,311
5.271% due 01/29/99 6,500,000 6,473,610
New York Times Co
5.201% due 01/05/99 7,900,000 7,895,479
Pacific Gas & Electric Co
5.526% due 01/29/99 8,000,000 7,965,778
Pacificorp
7.450% due 02/04/99 2,000,000 2,003,080
Parker Hannifin
5.574% due 01/26/99 ~ 11,108,000 11,065,188
PG&E Corp
5.500% due 01/12/99 ~ 10,000,000 9,983,194
5.560% due 01/04/99 ~ 2,000,000 1,999,075
Short-Term Repackage Asset Trust
5.569% due 08/18/99 " 20,000,000 20,000,000
5.624% due 07/26/99 " 20,000,000 20,000,000
Southern California Edison Co
5.138% due 01/12/99 13,000,000 12,979,742
5.188% due 01/14/99 3,100,000 3,094,235
Southern Co
5.250% due 02/05/99 ~ 12,000,000 11,938,750
Times Mirror Co
5.212% due 01/21/99 ~ 15,000,000 14,956,832
TRW Inc
5.052% due 01/04/99 ~ 10,810,000 10,805,451
Washington Post
5.102% due 01/04/99 ~ 5,787,000 5,784,541
5.204% due 01/11/99 ~ 10,000,000 9,985,611
Westvaco Corp
5.150% due 02/18/99 15,000,000 14,897,000
Weyerhaeuser Co
5.246% due 01/28/99 5,750,000 5,727,575
WFS Financial Auto Trust
5.658% due 07/20/99 " 8,024,382 8,024,382
World Omni Auto
5.655% due 04/14/99 " 8,000,000 8,000,000
-----------
Total Commercial Paper 475,928,877
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-13
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $10,004; collateralized by U.S.
Treasury Bonds--market value
$13,438 and due 11/15/21) $10,000 $10,000
------------
Total Securities Held Under Repurchase Agreement 10,000
------------
Total Short-Term Investments
(Cost $475,938,877) 475,938,877
------------
TOTAL MONEY MARKET PORTFOLIO
(COST $475,938,877) $475,938,877
------------
</TABLE>
See Notes to Financial Statements
B-14
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
PREFERRED STOCKS - 1.18%
Consumer Discretionary - 1.18%
CSC Holdings Inc 10,002 $1,117,724
Global Crossing Holdings Ltd ~ 10,000 982,500
Primedia Inc `H' 25,000 2,412,500
----------
Total Preferred Stocks
(Cost $4,244,940) 4,512,724
----------
COMMON STOCKS - 0.03%
Consumer Discretionary - 0.03%
Globalstar Telecommunications Ltd Warrants * 1,250 74,375
Splitrock Service Warrants * 2,500 27,500
----------
Total Common Stocks
(Cost $5) 101,875
----------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
CORPORATE BONDS & NOTES - 75.60%
Capital Goods - 6.46%
Ball Corp
8.250% due 08/01/08 ~ $2,000,000 2,090,000
BE Aerospace
8.000% due 03/01/08 4,000,000 3,980,000
9.875% due 02/01/06 3,500,000 3,648,750
Furon Co
8.125% due 03/01/08 2,000,000 1,990,000
Graham Packaging Co Firsts FRN
9.375% due 01/15/08 2,500,000 2,462,500
Imperial Holly Corp
9.750% due 12/15/07 1,500,000 1,492,500
International Comfort Products
8.625% due 05/15/08 3,000,000 3,045,000
Paragon Corp
9.625% due 04/01/08 1,500,000 1,278,750
United Defense Industries
8.750% due 11/15/07 4,000,000 4,070,000
Westinghouse Air Brake
9.375% due 06/15/05 500,000 512,500
----------
24,570,000
----------
Consumer Discretionary - 32.59%
Adelphia Communications
8.375% due 02/01/08 ~ 3,000,000 3,105,000
10.250% due 07/15/00 1,000,000 1,045,000
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Advanstar Communications
9.250% due 05/01/08 $2,000,000 $2,020,000
Ameriserve Food Distribution
8.875% due 10/15/06 2,000,000 1,860,000
10.125% due 07/15/07 1,000,000 870,000
Big Flower Press
8.625% due 12/01/08 ~ 500,000 507,500
Capstar Hotel
8.750% due 08/15/07 1,500,000 1,470,000
Chancellor Media
9.000% due 10/01/08 ~ 3,000,000 3,180,000
10.500% due 01/15/07 1,500,000 1,650,000
Classic Cable
9.875% due 08/01/08 ~ 3,000,000 3,135,000
Comcast Corp
9.125% due 10/15/06 1,500,000 1,605,000
CSC Holdings Inc
7.875% due 12/15/07 3,000,000 3,162,000
9.250% due 11/01/05 2,000,000 2,150,000
Eagle Family Foods
8.750% due 01/15/08 2,000,000 1,900,000
Ferrellgas Partners LP SEC `B'
9.375% due 06/15/06 3,000,000 3,015,000
Finlay Fine Jewelry
8.375% due 05/01/08 1,500,000 1,387,500
Foodmaker Inc
8.375% due 04/15/08 2,500,000 2,512,500
Garden State Newspapers
8.750% due 10/01/09 2,000,000 2,010,000
Globalstar LP/Capital
10.750% due 11/01/04 1,500,000 1,080,000
11.375% due 02/15/04 2,250,000 1,710,000
Granite Broadcasting
8.875% due 05/15/08 1,500,000 1,436,248
Gray Communications System
10.625% due 10/01/06 1,000,000 1,070,000
Hammons Hotels (John Q.)
8.875% due 02/15/04 500,000 465,000
9.750% due 10/01/05 3,000,000 2,820,000
Harrahs Oper Inc
7.875% due 12/15/05 2,000,000 2,024,834
HMH Properties
7.875% due 08/01/08 2,000,000 1,940,000
Holmes Products
9.875% due 11/15/07 1,000,000 950,000
Intermedia Communications
8.500% due 01/15/08 3,000,000 2,865,000
8.600% due 06/01/08 3,500,000 3,342,500
8.875% due 11/01/07 4,000,000 3,880,000
Iron Mountain Inc
8.750% due 09/30/09 1,000,000 1,035,000
10.125% due 10/01/06 2,000,000 2,160,000
Jacor Communications
8.000% due 02/15/10 500,000 530,000
8.750% due 06/15/07 1,000,000 1,082,500
Jones Intercable Inc
7.625% due 04/15/08 3,000,000 3,135,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-15
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
K-III Communication
8.500% due 02/01/06 $2,500,000 $2,587,500
L-3 Communications
8.000% due 08/01/08 ~ 1,500,000 1,511,250
8.500% due 05/15/08 3,500,000 3,622,500
Lenfest Communications Inc
8.250% due 02/15/08 2,000,000 2,095,000
8.375% due 11/01/05 1,500,000 1,620,000
Level 3 Communications
9.125% due 05/01/08 3,000,000 2,977,500
Loews Cineplex
8.875% due 08/01/08 2,000,000 2,055,000
Optel Inc
13.000% due 02/15/05 2,500,000 2,487,500
Pegasus Communications `A'
9.625% due 10/15/05 2,000,000 2,015,000
9.750% due 12/01/06 ~ 1,000,000 1,007,500
Premier Parks Oper Inc
7.630% due 03/31/06 1,131,791 1,120,473
9.250% due 04/01/06 1,000,000 1,038,750
Prime Hospitality
9.750% due 04/01/07 3,000,000 3,075,000
Purina Mills Co
9.000% due 03/15/10 1,500,000 1,537,500
Renters Choice
11.000% due 08/15/08 ~ 3,250,000 3,315,000
Rose Hills Acquisition Corp
9.500% due 11/15/04 3,500,000 3,412,500
RSL Communications
9.125% due 03/01/08 1,000,000 925,000
Scotsman Group
8.625% due 12/15/07 1,500,000 1,545,000
SFX Entertainment Inc
9.125% due 02/01/08 3,500,000 3,482,500
Sinclair Broadcasting
8.750% due 12/15/07 1,000,000 1,015,000
9.000% due 07/15/07 3,000,000 3,075,000
Six Flags Theme Parks Inc
8.130% due 11/30/04 3,368,209 3,359,789
Splitrock Services
11.750% due 07/15/08 ~ 2,500,000 2,175,000
Station Casino
9.625% due 06/01/03 2,000,000 2,082,800
T/SF Communications Corp
10.375% due 11/01/07 1,000,000 1,012,500
World Color Press
8.375% due 11/15/08 ~ 1,000,000 1,005,000
Young America Corp
11.625% due 02/15/06 2,000,000 870,000
-----------
124,136,144
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
Consumer Staples -
5.56%
AES Corp
<S> <C> <C>
8.000% due 12/31/08 $1,000,000 $990,570
8.375% due 08/15/07 1,500,000 1,518,750
8.500% due 11/01/07 3,000,000 3,052,500
10.250% due 07/15/06 4,000,000 4,340,000
Auroa Foods
9.875% due 02/15/07 2,900,000 3,175,500
B&G Foods Inc
9.625% due 08/01/07 1,000,000 980,000
Carrols Corp
9.500% due 12/01/08 ~ 2,500,000 2,531,250
Chiquita Brands
Internationals Inc
9.125% due 03/01/04 500,000 511,250
10.250% due 11/01/06 1,500,000 1,565,625
Southland Corp
5.000% due 12/15/03 2,850,000 2,508,000
----------
21,173,445
----------
Energy - 5.79%
CalEnergy Co Inc
7.520% due 09/15/08 2,000,000 2,138,492
California Energy Inc
9.875% due 06/30/03 1,500,000 1,629,375
Calpine Corp
8.750% due 07/15/07 1,000,000 1,030,000
10.500% due 05/15/06 1,500,000 1,608,750
Clark R&M Inc
8.438% due 11/15/04 1,500,000 1,455,000
8.875% due 11/15/07 1,500,000 1,342,500
Cross Timbers Oil Co
8.750% due 11/01/09 1,500,000 1,342,500
9.250% due 04/01/07 500,000 467,500
DI Industries
8.875% due 07/01/07 1,750,000 1,277,500
Forcenergy Inc
8.500% due 02/15/07 3,000,000 2,235,000
Giant Industries
9.750% due 11/15/03 2,000,000 1,980,000
HS Resources Inc
9.250% due 11/15/06 2,000,000 1,890,000
Ocean Energy
8.875% due 07/15/07 2,000,000 1,950,000
Tesoro Petroleum Corp
9.000% due 07/01/08 ~ 1,750,000 1,706,250
----------
22,052,867
----------
Financial & Business
Services - 2.25%
Allied Waste
7.875% due 01/01/09 ~ 2,500,000 2,543,750
Bank United Corp
8.875% due 05/01/07 2,000,000 2,220,000
Nebraska Book Co
8.750% due 02/15/08 4,000,000 3,830,000
----------
8,593,750
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-16
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
Health Care - 4.51%
<S> <C> <C>
Dade International Inc
11.125% due 05/01/06 $1,500,000 $1,672,500
Genesis Health Care Ventures Inc
9.750% due 06/15/05 500,000 487,500
9.875% due 01/15/09 ~ 500,000 483,750
Hudson Respiratory Care
9.125% due 04/15/08 1,000,000 825,000
Integrated Health
9.500% due 09/15/07 2,000,000 1,910,000
10.250% due 04/30/06 3,000,000 2,955,000
Mariner Post-Acute Network
9.500% due 11/01/07 2,000,000 1,570,000
Tenet Healthcare Corp
8.125% due 12/01/08 ~ 4,000,000 4,120,000
8.625% due 01/15/07 3,000,000 3,150,000
----------
17,173,750
----------
<CAPTION>
Materials & Processing - 6.98%
<S> <C> <C>
AK Steel Corp
9.125% due 12/15/06 2,000,000 2,095,000
Columbus McKinnon Corp
8.500% due 04/01/08 3,500,000 3,325,000
Ispat Inland LP Senior Security Credit
7.314% due 07/14/05 2,493,750 2,369,063
7.814% due 07/14/06 2,493,750 2,369,063
Nortek
8.875% due 08/01/08 ~ 3,375,000 3,459,375
P&L Coal Holdings
8.875% due 05/15/08 3,000,000 3,075,000
Polymer Group Inc
9.000% due 07/01/07 3,000,000 2,985,000
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,076,250
Wesco Distributor
9.125% due 06/01/08 3,000,000 3,015,000
Wheeling Pittsburgh
9.250% due 11/15/07 3,000,000 2,820,000
----------
26,588,751
----------
<CAPTION>
Technology - 2.82%
<S> <C> <C>
Dialogic Corp
11.000% due 11/15/07 3,000,000 3,000,000
PSINet
10.000% due 02/15/05 3,000,000 2,985,000
11.500% due 11/01/08 ~ 1,000,000 1,052,500
Viasystems
9.750% due 06/01/07 4,000,000 3,720,000
----------
10,757,500
----------
<CAPTION>
Transportation - 6.68%
<S> <C> <C>
Accuride Corp
9.250% due 02/01/08 1,500,000 1,507,500
American Commercial Lines
10.250% due 06/30/08 ~ 1,500,000 1,530,000
Amtran Inc
9.625% due 12/15/05 2,000,000 2,010,000
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Atlas Air Inc
9.375% due 11/15/06 ~ $1,000,000 $1,025,000
Coach USA
9.375% due 07/01/07 1,500,000 1,537,500
Delco Remy International
10.625% due 08/01/06 2,000,000 2,130,000
Federal-Mogul Corp
7.750% due 07/01/06 4,000,000 4,090,000
Hayes Lemmerz International
8.250% due 12/15/08 ~ 2,500,000 2,500,000
Hayes Wheels International
9.125% due 07/15/07 1,500,000 1,563,750
Holt Group
9.750% due 01/15/06 ~ 700,000 486,500
Kitty Hawk Inc
9.950% due 11/15/04 1,000,000 995,000
Navistar International
8.000% due 02/01/08 2,000,000 2,045,000
Safety-Kleen Services Inc
9.250% due 06/01/08 2,000,000 2,070,000
Titan Wheel International
8.750% due 04/01/07 2,000,000 1,970,000
-----------
25,460,250
-----------
<CAPTION>
Utilities - 1.96%
<S> <C> <C>
Nextlink Communications
10.750% due 11/15/08 ~ 3,000,000 3,067,500
Niagara Mohawk Power
0.000% due 07/01/03 3,000,000 2,338,164
Qwest Communications
7.250% due 11/01/08 ~ 2,000,000 2,050,000
-----------
7,455,664
-----------
Total Corporate Bonds & Notes
(Cost $290,361,635) 287,962,121
-----------
<CAPTION>
CONVERTIBLE BONDS - 0.45%
Consumer Staples - 0.33%
<S> <C> <C>
Chiquita Brands International Inc
7.000% due 03/28/01 1,360,000 1,258,000
-----------
1,258,000
-----------
<CAPTION>
Financial & Business Services-
0.12%
<S> <C> <C>
FMC Corp
6.750% due 01/16/05 500,000 455,000
-----------
455,000
-----------
Total Convertible Bonds
(Cost $1,732,000) 1,713,000
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-17
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
FOREIGN BONDS - 18.38%
Argentina - 1.00%
<S> <C> <C>
CEI Citicorp Holdings
9.750% due 02/14/07 $1,500,000 $1,312,500
Impsat Corp
12.375% due 06/15/08 3,000,000 2,490,000
----------
3,802,500
----------
Australia - 0.78%
Fox Family Worldwide
9.250% due 11/01/07 3,000,000 2,985,000
----------
2,985,000
----------
Bahamas - 1.02%
Sun International Hotels Ltd
8.625% due 12/15/07 1,000,000 1,025,000
9.000% due 03/15/07 2,750,000 2,873,750
----------
3,898,750
----------
Belgium - 0.40%
Hermes Europe Railtel
10.375% due 01/15/09 ~ 1,500,000 1,522,500
----------
1,522,500
----------
Bermuda - 0.56%
Global Crossing
9.625% due 05/15/08 2,000,000 2,120,000
----------
2,120,000
----------
Brazil - 0.43%
Globo Communicacoens E Part SA
10.500% due 12/20/06 ~ 1,500,000 975,000
Globo Communicacoens PT `B'
10.500% due 12/20/06 1,000,000 650,000
----------
1,625,000
----------
Canada - 5.74%
Call-Net Enterprises
0.000% due 08/15/03 5,000,000 2,975,000
Doman Industries
9.250% due 11/15/07 1,000,000 745,000
Hollinger Inc
0.000% due 10/05/13 4,000,000 1,670,000
8.625% due 03/15/05 2,000,000 2,120,000
9.250% due 02/01/06 500,000 530,000
Loewen Group International
8.250% due 10/15/03 2,000,000 1,730,000
MDC Communications
10.500% due 12/01/06 1,500,000 1,537,500
Metronet Commercials
0.000% due 06/15/03 4,000,000 2,470,000
Rogers Cablesystem
9.625% due 08/01/02 500,000 537,500
10.000% due 03/15/05 ~ 1,500,000 1,680,000
10.000% due 12/01/07 1,000,000 1,125,000
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Rogers Cantel
8.300% due 10/01/07 $3,000,000 $3,030,000
9.375% due 06/01/08 1,000,000 1,060,000
Rogers Communications Inc
2.000% due 11/26/05 1,000,000 653,750
----------
21,863,750
----------
Cayman Islands - 0.26%
AC International Fin Co
0.500% due 07/30/02 1,000,000 985,000
----------
985,000
----------
Germany - 0.41%
Fresensius Med Care Cap
9.000% due 12/01/06 1,500,000 1,578,750
----------
1,578,750
----------
Kazakhstan - 0.49%
Republic of Kazakhstan
8.375% due 10/02/02 ~ 2,250,000 1,850,625
----------
1,850,625
----------
Mexico - 1.53%
Monterrey Power SA
9.625% due 11/15/09 ~ 2,500,000 1,956,250
Petroleos Mexicano ~
9.375% due 12/02/08 2,000,000 1,990,000
Petroleos Mexicanos Pemex Global
8.850% due 09/15/07 1,000,000 910,000
United Mexican States Global
9.875% due 01/15/07 1,000,000 985,000
----------
5,841,250
----------
Netherlands - 0.45%
Netia Holdings Bv
10.250% due 11/01/07 2,000,000 1,705,000
----------
1,705,000
----------
Philippines - 1.51%
Philippines Long Distance
8.350% due 03/06/17 1,000,000 784,000
9.250% due 06/30/06 3,000,000 2,877,243
Universal Robina
8.375% due 12/19/06 ~ 3,000,000 2,100,000
----------
5,761,243
----------
United Kingdom - 3.80%
Falcon Holding Group
8.375% due 04/15/10 1,000,000 1,040,000
Newsquest Capital PLC
11.000% due 05/01/06 1,500,000 1,657,500
Orange PLC
8.000% due 08/01/08 3,000,000 3,022,500
Regional Independent Media
10.500% due 07/01/08 ~ 1,500,000 1,522,500
RSL Communications
10.500% due 11/15/08 ~ 2,000,000 1,955,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-18
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------------
<S> <C> <C>
Swiss Life Finance Ltd
2.000% due 05/20/03 ~ $500,000 $567,500
Telewest PLC
9.625% due 10/01/06 4,000,000 4,140,000
11.250% due 11/01/08 ~ 500,000 562,500
------------
14,467,500
------------
Total Foreign Bonds
(Cost $73,435,874) 70,006,868
------------
U.S. TREASURY NOTES - 1.90%
5.875% due 11/30/01 7,000,000 7,234,066
------------
Total U.S. Treasury Notes
(Cost $7,025,674) 7,234,066
------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 2.46%
COMMERCIAL PAPER - 2.45%
Edison International
5.440% due 01/04/99 ~ 1,850,000 1,849,161
Ford Motor Credit
5.520% due 01/05/99 2,700,000 2,698,344
PG&E Capital Corp
5.500% due 01/12/99 ~ 2,000,000 1,996,639
TRW Inc
5.052% due 01/04/99 ~ 2,799,000 2,797,822
------------
Total Commercial Paper 9,341,966
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $44,017; collateralized by U.S.
Treasury Bonds--market value
$47,031 and due 11/15/21) 44,000 44,000
------------
Total Securities Held Under Repurchase Agreement 44,000
------------
Total Short-Term Investments
(Cost $9,385,966) 9,385,966
------------
TOTAL HIGH YIELD BOND PORTFOLIO (COST $386,186,094) $380,916,620
------------
</TABLE>
Notes to Schedule of Investments
(a) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $386,186,094
------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $8,251,966
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (13,521,440)
------------
Net unrealized depreciation $(5,269,474)
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-19
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
CORPORATE BONDS & NOTES - 29.04%
Consumer Discretionary - 0.08%
<S> <C> <C>
Time Warner
6.100% due 12/30/01 ~ $650,000 $660,472
----------
660,472
----------
Consumer Staples - 2.41%
Nabisco Inc
6.125% due 02/01/33 13,800,000 13,616,722
RJR Holdings Capital Corp
8.000% due 07/15/01 3,000,000 3,005,061
RJR Nabisco Inc Mtn
7.625% due 09/01/00 1,200,000 1,196,760
8.625% due 12/01/02 2,600,000 2,641,496
----------
20,460,039
----------
Energy - 1.74%
R&B Falcon Corp
6.500% due 04/15/03 3,000,000 2,782,800
9.125% due 12/15/03 ~ 12,000,000 12,000,000
----------
14,782,800
----------
Financial & Business Services - 13.24%
Associates First Capital Corp
6.450% due 09/15/00 ~ 4,800,000 4,869,120
Capital One Bank
6.420% due 11/12/99 1,100,000 1,097,184
6.825% due 07/26/99 3,800,000 3,814,056
6.830% due 08/16/99 1,900,000 1,907,163
7.200% due 07/19/99 3,300,000 3,318,572
Cedent Mortgage
6.918% due 11/18/28 + ~ 11,984,083 11,914,739
Chrysler Financial Corp
5.657% due 01/30/02 9,700,000 9,671,220
Donaldson, Lufkin, & Jenrette
6.000% due 12/01/01 2,200,000 2,192,268
Goldman Sachs FRN
5.521% due 12/07/01 ~ 8,000,000 7,973,368
Heller Financial
5.687% due 04/01/99 10,000,000 10,003,470
5.908% due 07/07/00 5,000,000 4,988,765
6.250% due 01/15/99 3,400,000 3,400,143
9.125% due 08/01/99 3,400,000 3,463,410
Household Financial Corp FRN
5.369% due 08/01/01 15,100,000 15,025,451
Lehman Brothers Holding FRN Mtn
5.801% due 01/18/00 9,600,000 9,501,418
MBNA America Bank NA
5.888% due 08/07/01 500,000 488,239
5.938% due 04/25/02 7,600,000 7,548,559
MBNA Corp
6.088% due 12/01/99 2,800,000 2,798,950
6.875% due 10/01/99 1,000,000 1,011,690
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Paine Webber Group Inc
5.820% due 11/27/00 $1,700,000 $1,703,321
Salomon Inc
7.125% due 08/01/99 1,000,000 1,010,690
Union Planters
6.800% due 01/25/28 4,500,000 4,727,633
-----------
112,429,429
-----------
Health Care - 0.85%
Columbia/HCA Healthcare Mtn
6.875% due 07/15/01 3,100,000 3,077,820
8.130% due 08/04/03 4,000,000 4,129,716
-----------
7,207,536
-----------
Technology - 1.14%
TCI Communication Inc
5.990% due 02/02/00 5,700,000 5,674,840
7.250% due 06/15/99 4,000,000 4,033,200
-----------
9,708,040
-----------
Transportation - 3.72%
Continental Airline
9.500% due 12/15/01 8,325,000 8,741,250
GMAC
6.700% due 03/15/08 2,200,000 2,308,581
7.625% due 05/05/03 2,500,000 2,696,735
Northwest Airlines
10.530% due 01/15/09 ~ 4,608,741 5,841,902
UAL Equipment Trust
9.210% due 01/21/17 800,000 907,936
9.560% due 10/19/18 1,650,000 1,937,892
10.850% due 02/19/15 1,000,000 1,309,170
Union Pacific Corp FRN Mtn
5.945% due 05/22/00 + ~ 7,900,000 7,895,063
-----------
31,638,529
-----------
Utilities - 5.86%
California Energy
10.250% due 01/15/04 9,000,000 9,468,720
Cleveland Electric
7.670% due 07/01/04 2,200,000 2,318,910
9.200% due 06/01/01 3,000,000 3,217,221
Consolidated Light & Power
5.500% due 02/01/99 6,000,000 5,997,762
El Paso Electric
7.250% due 02/01/99 800,000 800,648
Long Island Lighting
7.300% due 07/15/99 1,250,000 1,264,213
Long Island Power Authority
5.250% due 12/01/26 1,500,000 1,511,469
Ohio Edison Co
8.330% due 12/01/07 3,100,000 3,398,437
Texas Utilities Co
5.940% due 10/15/01 10,000,000 9,986,310
Texas-New Mexico Power
12.500% due 01/15/99 2,000,000 2,003,260
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-20
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Toledo Edison
7.460% due 04/03/00 $100,000 $102,105
Williams Cos
5.999% due 01/30/00 9,700,000 9,688,651
-----------
49,757,706
-----------
Total Corporate Bonds & Notes
(Cost $244,890,236) 246,644,551
-----------
MORTGAGE-BACKED SECURITIES - 39.90%
Collateralized Mortgage Obligations - 1.16%
Citibank 1988-2
8.000% due 07/25/18 + " 22,320 22,739
Countrywide
6.500% due 09/25/13 " 2,951,487 2,987,780
6.750% due 05/25/24 " 1,000,000 1,008,553
8.236% due 11/25/24 " 111,795 114,423
Norwest Asset Securities
7.500% due 03/25/27 " 885,179 909,382
Residential Accredited Loans Inc
7.500% due 03/25/27 " 1,000,000 1,033,837
Residential Funding Corp
5.342% due 10/25/27 " 550,947 533,094
Resolution Trust Corp
8.000% due 04/25/25 + " 423,930 430,880
Salomon Brothers Mortgage Securities
5.855% due 02/25/27 + " 2,811,476 2,829,926
-----------
9,870,614
-----------
Federal Home Loan Mortgage Corporation - 24.54%
6.000% due 04/01/28 " 2,928,597 2,896,266
6.000% due 06/01/28 " 117,125,509 115,832,444
6.000% due 07/01/28 " 3,929,082 3,885,721
6.000% due 08/01/28 " 985,896 975,016
6.000% due 01/14/29 # " 66,000,000 65,175,000
6.500% due 09/15/22 " 9,161,000 9,138,268
6.500% due 11/25/23 " 695,154 654,520
7.500% due 09/20/26 " 2,366,405 2,453,655
7.500% due 01/15/27 " 7,226,259 7,476,866
-----------
208,487,756
-----------
Federal Housing Authority - 2.86%
6.650% due 10/15/40 " 13,161,300 13,309,891
7.430% due 08/01/21 " 258,179 267,616
7.430% due 02/01/23 " 358,705 372,153
7.430% due 10/01/23 + " 9,926,823 10,299,054
-----------
24,248,714
-----------
Federal National Mortgage Association - 3.99%
5.850% due 01/25/17 " 7,513,396 7,521,270
6.134% due 08/01/31 " 4,999,142 5,042,684
6.155% due 05/01/36 " 9,822,434 9,896,200
6.227% due 04/01/27 " 3,575,365 3,617,257
6.670% due 01/01/25 " 680,183 689,975
7.119% due 06/01/27 " 3,217,609 3,311,229
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
7.188% due 12/01/22 " $700,861 $721,800
7.295% due 11/01/23 " 107,788 110,199
7.466% due 01/01/23 " 2,678,265 2,727,709
7.534% due 05/01/23 " 244,090 247,871
-----------
33,886,194
-----------
Government National Mortgage Association - 5.73%
6.000% due 01/21/29 # " 12,000,000 11,891,250
6.500% due 01/21/29 # " 6,180,000 6,243,731
6.500% due 10/01/33 " 3,174,728 3,202,507
6.625% due 07/20/25 " 1,710,154 1,736,372
6.625% due 07/20/26 " 5,885,434 5,972,299
6.875% due 03/20/24 " 1,363,334 1,384,295
6.875% due 02/20/27 " 1,594,092 1,617,031
7.000% due 11/20/23 " 5,843,074 5,911,884
7.000% due 10/20/24 " 1,359,412 1,378,756
7.000% due 11/20/26 " 8,078,736 8,171,715
7.000% due 12/20/26 " 970,981 982,267
9.000% due 02/15/17 " 73,669 78,618
9.500% due 08/15/17 " 21,995 23,626
9.500% due 04/15/18 " 4,237 4,550
9.500% due 09/15/18 " 64,056 68,788
10.000% due 05/15/19 " 14,280 15,481
-----------
48,683,170
-----------
Student Loan Mortgage Association - 1.62%
5.108% due 04/25/07 " 4,736,455 4,687,172
5.327% due 04/25/04 " 1,676,741 1,659,974
5.684% due 06/30/00 " 7,400,000 7,403,996
-----------
13,751,142
-----------
Total Mortgage-Backed Securities
(Cost $334,917,390) 338,927,590
-----------
OTHER ASSET-BACKED SECURITIES - 1.55%
Financial Asset Securities Corp
6.500% due 04/16/03 ~ + " 381,547 381,786
Fleet Credit Card
5.571% due 03/19/99 " 2,000,000 1,987,769
Ford Credit Auto Owner Trust
6.100% due 03/15/00 " 555,813 557,461
Greenwich Capital Mortgage
7.600% due 01/25/22 " 29,214 29,609
Imperial Savings & Loans
9.900% due 02/25/18 + " 52,077 53,615
News Corp Ltd
0.000% due 06/15/99 * " 10,100,000 9,481,375
Ryland Mortgage
14.000% due 11/25/31 " 51,715 55,854
Securities Assets Sales Inc
6.500% due 11/25/25 " 611,621 612,566
-----------
Total Other Asset-Backed Securities
(Cost $13,509,672) 13,160,035
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-21
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
U.S. TREASURY BONDS - 15.54%
6.000% due 02/15/26 $35,000,000 $38,204,705
8.000% due 11/15/21 1,100,000 1,474,000
8.125% due 08/15/19 27,900,000 37,316,250
8.750% due 05/15/17 10,000,000 13,910,900
8.875% due 08/15/17 19,100,000 26,904,069
9.250% due 02/15/16 9,900,000 14,203,431
-----------
Total U.S. Treasury Bonds
(Cost $129,227,356) 132,013,355
-----------
U.S. TREASURY INFLATION
INDEX BONDS - 3.82%
3.625% due 07/15/02 30,805,696 30,603,549
3.625% due 04/15/28 1,925,488 1,876,750
-----------
Total U.S. Treasury Inflation Index Bonds
(Cost $32,490,293) 32,480,299
-----------
FOREIGN BONDS - 2.08%
Mexico - 0.92%
Banamex
9.125% due 04/06/00 2,000,000 2,006,250
Petro Mexicanos FRN
9.574% due 07/15/05 ~ 6,200,000 5,750,500
-----------
7,756,750
-----------
Poland - 0.04%
Poland Par Step-Up Brady Bond
3.000% due 10/27/99 500,000 332,993
-----------
332,993
-----------
United Kingdom - 1.12%
Lehman Brothers Holdings PLC
5.577% due 09/03/02 9,900,000 9,539,640
-----------
9,539,640
-----------
Total Foreign Bonds
(Cost $18,371,302) 17,629,383
-----------
CALL OPTIONS - 0.69%
U.S. Treasury Notes
Expiring 1/13/99 @$97 5,905,360
-----------
Total Call Options
(Cost $7,623,593) 5,905,360
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 7.38%
COMMERCIAL PAPER - 6.11%
American Express Credit
5.610% due 01/19/99 $1,600,000 $1,595,511
5.840% due 01/07/99 200,000 199,805
Ameritech Corp
5.670% due 01/15/99 2,900,000 2,893,606
duPont (EI) deNemours
5.380% due 01/19/99 16,700,000 16,655,077
General Electric Capital Corp
5.140% due 01/12/99 2,100,000 2,096,702
5.510% due 01/26/99 9,700,000 9,662,884
Racers FRN
6.156% due 01/11/99 + ~ 18,900,000 18,787,781
------------
Total Commercial Paper 51,891,366
------------
U.S. TREASURY BILLS - 0.33%
3.830% due 03/04/99 ** 100,000 99,256
4.020% due 03/04/99 ** 900,000 893,598
4.300% due 05/13/99 ** 350,000 344,557
4.310% due 02/04/99 ** 315,000 313,796
4.310% due 04/29/99 ** 460,000 453,623
4.310% due 05/27/99 ** 710,000 697,732
------------
Total U.S. Treasury Bills 2,802,562
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.94%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $8,000,110; collateralized by U.S.
Treasury Bonds--market value
$8,163,281 and due 11/15/21) 7,997,000 7,997,000
------------
Total Securities Held Under Repurchase
Agreement 7,997,000
------------
Total Short-Term Investments
(Cost $62,803,023) 62,690,928
------------
TOTAL MANAGED BOND PORTFOLIO
(COST $843,832,865) $849,451,501
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-22
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $2,802,562 have
been segregated with the custodian to cover margin requirement for the
following open interest rate futures contracts at December 31, 1998:
<TABLE>
<S> <C> <C>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- ------------------------------------------------------------------------
90-Day LIBOR Futures (3/00) 133 $51,182
90-Day Eurodollar Futures (3/01) 76 21,850
90-Day Eurodollar Futures (3/02) 13 15,113
90-Day Eurodollar Futures (6/01) 76 25,663
90-Day Eurodollar Futures (6/02) 13 15,113
90-Day Eurodollar Futures (9/01) 36 (14,625)
90-Day Eurodollar Futures (12/00) 76 10,638
90-Day Eurodollar Futures (12/01) 13 13,163
U.S. Treasury 5 year Notes (3/99) 1,803 (1,519,432)
U.S. Treasury 10 year Bonds (3/99) 1 117
--------------
$(1,381,218)
--------------
(b) Transactions in options for the year ended December 31, 1998 were as
follows:
Number of
Contracts Premium
----------------------------------------------------
Outstanding, December 31, 1997 0 $0
Options Written 872 275,798
Options Expired (689) (241,984)
----------------------------------------------------
Outstanding, December 31, 1998 183 $33,814
----------------------------------------------------
</TABLE>
(c) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $843,832,865
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $10,401,163
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (4,782,527)
------------
Net unrealized appreciation $5,618,636
------------
</TABLE>
See Notes to Financial Statements
B-23
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 7.03%
Financial & Business Services - 7.03%
Asian Development Bank
5.820% due 06/16/28 $2,050,000 $2,057,975
Associates Corp North America
6.780% due 04/23/01 1,100,000 1,132,350
CIT Group Holdings
5.875% due 06/18/01 4,100,000 4,133,718
Key Bank North America
6.052% due 04/24/03 4,500,000 4,592,385
Merrill Lynch & Co FRN
5.300% due 09/25/00 2,900,000 2,889,814
----------
14,806,242
----------
Total Corporate Bonds & Notes
(Cost $14,672,701) 14,806,242
----------
MORTGAGE-BACKED SECURITIES - 49.63%
Collateralized Mortgage Obligations - 4.81%
Bear Stearns Mortgage Securities Inc
7.000% due 03/25/27 " 1,000,000 1,013,775
Champion Home Loan Trust
8.006% due 05/25/28 " 1,088,650 1,113,672
Contimortgage Home Equity Loans
5.676% due 06/15/28 " 2,429,336 2,422,328
Countrywide
7.791% due 03/25/24 " 140,927 145,488
8.236% due 11/25/24 " 111,795 114,423
GE Capital Mortgage
5.500% due 02/25/09 " 693,613 690,127
Residential Accredited Loans Inc
7.500% due 03/25/27 " 3,000,000 3,101,511
Residential Funding Corp
8.107% due 03/25/25 " 111,116 115,200
Salomon Brothers Mortgage Securities
5.855% due 02/25/27 + " 1,405,739 1,414,964
----------
10,131,488
----------
Federal Home Loan Mortgage Corporation - 20.71%
6.000% due 12/15/17 " 2,316,150 2,306,526
6.000% due 04/01/28 " 2,928,597 2,896,278
6.000% due 06/01/28 " 34,776,409 35,381,592
6.000% due 01/14/29 # " 2,350,000 2,320,625
6.045% due 12/02/02 " 700,000 721,658
6.750% due 02/01/08 " 2,369 2,390
----------
43,629,069
----------
Federal Housing Authority - 6.24%
6.550% due 07/15/40 # " 12,442,000 12,526,232
7.400% due 07/25/19 + " 438,039 453,779
7.430% due 07/01/21 " 173,026 175,758
----------
13,155,769
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Federal National Mortgage Association -
4.07%
6.000% due 12/25/08 " $885,871 $882,266
6.012% due 08/01/17 " 2,060,849 2,069,238
6.130% due 02/01/17 " 520,346 523,140
6.132% due 06/01/18 " 199,304 200,378
6.132% due 03/01/24 " 187,064 188,119
6.132% due 08/01/24 " 455,766 458,337
6.132% due 07/01/26 " 171,529 172,527
6.132% due 10/01/27 " 176,574 177,616
6.132% due 11/01/27 " 722,474 726,736
6.236% due 03/01/18 " 1,874,474 1,882,104
6.500% due 02/18/04 " 305,857 305,745
6.670% due 01/01/25 " 506,611 513,904
7.188% due 12/01/22 " 461,406 475,191
-----------
8,575,301
-----------
Government National Mortgage Association - 10.49%
6.500% due 09/20/28 " 3,049,015 2,960,660
6.500% due 01/21/29 # " 3,290,000 3,323,928
6.500% due 10/01/33 " 3,659,843 3,691,866
6.625% due 09/20/22 " 2,411,141 2,450,738
6.625% due 09/20/23 " 106,306 107,984
6.625% due 07/20/25 " 2,176,560 2,209,928
6.875% due 05/20/23 " 182,167 185,386
6.875% due 02/20/25 " 963,326 975,861
6.875% due 05/20/26 " 1,152,240 1,171,162
6.875% due 01/20/27 " 1,575,628 1,595,997
7.000% due 10/20/24 " 906,275 919,171
7.000% due 11/20/26 " 1,375,885 1,391,720
7.000% due 12/20/26 " 970,981 982,267
9.000% due 01/15/17 " 137,914 147,179
-----------
22,113,847
-----------
Student Loan Mortgage Association - 3.31%
5.108% due 04/25/07 " 1,799,853 1,781,126
5.262% due 10/25/04 " 1,779,427 1,768,048
5.327% due 04/25/04 " 838,371 829,987
5.684% due 06/30/00 " 2,600,000 2,594,280
-----------
6,973,441
-----------
Total Mortgage-Backed Securities
(Cost $103,303,453) 104,578,915
-----------
OTHER ASSET-BACKED SECURITIES - 9.68%
Citibank 1988-2
8.000% due 07/25/18 + " 11,943 12,167
Financial Asset Securities Corp
6.500% due 04/16/03 + " 763,094 763,572
Ford Credit Auto Owner Trust
6.100% due 03/15/00 " 937,934 940,715
Greenwich Capital Mortgage
7.599% due 01/25/22 " 43,821 44,413
Home Savings
5.826% due 05/25/27 + " 317,297 313,728
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-24
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Imperial Savings & Loans
8.851% due 07/25/17 " $11,455 $11,429
9.900% due 02/25/18 + " 52,077 53,615
PNC Mortgage Securities
6.250% due 01/25/29 + " 5,900,000 5,776,930
Ryland Mortgage
5.000% due 11/25/31 + " 85,147 84,948
6.537% due 10/01/27 + " 1,136,388 1,137,099
Ryland Sec (First Nationwide Trust)
6.815% due 10/25/18 " 420,508 419,202
Southern Pacific Secured Assets Co
5.212% due 06/25/28 " 2,490,879 2,433,900
The Money Store Home Equity
6.205% due 03/15/12 " 2,600,000 2,604,277
TMA Mortgage
6.251% due 01/25/29 + " ~ 5,800,000 5,795,922
----------
Total Other Asset-Backed Securities
(Cost $20,462,862) 20,391,917
----------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.03%
FHLMC (Interest Only)
6.500% due 09/15/18 " 704,043 59,522
----------
Total Stripped Mortgage-Backed Securities
(Cost $69,357) 59,522
----------
U.S. TREASURY BONDS - 14.40%
6.750% due 08/15/26 1,700,000 2,037,875
8.000% due 11/15/21 3,900,000 5,226,000
8.125% due 08/15/19 7,600,000 10,165,000
8.750% due 05/15/17 6,700,000 9,320,303
9.250% due 02/15/16 2,500,000 3,586,725
----------
Total U.S. Treasury Bonds
(Cost $29,581,456) 30,335,903
----------
U.S. TREASURY INFLATION INDEX BONDS - 3.66%
3.625% due 07/15/02 7,370,545 7,322,179
3.625% due 04/15/28 405,462 395,199
----------
Total U.S. Treasury Inflation Index Bonds (Cost
$7,715,002) 7,717,378
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
CALL OPTIONS - 0.04%
U.S. Treasury Notes
Expiring 1/13/99 @$95 $91,968
------------
Total Call Options
(Cost $94,312) 91,968
------------
SHORT-TERM INVESTMENTS- 15.53%
COMMERCIAL PAPER - 13.77%
BellSouth Telecommunications
4.950% due 01/25/99 2,900,000 2,890,430
duPont (EI) deNemours
5.380% due 01/19/99 9,500,000 9,474,445
General Electric Corp
5.510% due 01/26/99 4,100,000 4,084,312
5.600% due 01/08/99 1,700,000 1,698,149
General Motors Accept Co
5.510% due 01/25/99 5,500,000 5,479,797
Goldman Sachs
5.290% due 01/19/99 5,400,000 5,385,717
------------
Total Commercial Paper 29,012,850
------------
U.S. TREASURY BILLS - 0.52%
3.830% due 03/04/99 ** 200,000 198,577
4.310% due 04/29/99 ** 100,000 98,614
4.340% due 03/04/99 ** 545,000 541,123
4.400% due 02/04/99 ** 265,000 263,963
------------
Total U.S. Treasury Bills 1,102,277
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.24%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $2,623,020; collateralized by U.S.
Treasury Bonds--market value
$2,680,781 and due 11/15/21) 2,622,000 2,622,000
------------
Total Securities Held Under Repurchase
Agreement 2,622,000
------------
Total Short-Term Investments
(Cost $32,737,165) 32,737,127
------------
TOTAL GOVERNMENT SECURITIES PORTFOLIO
(COST $208,636,308) $210,718,972
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-25
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $1,102,277 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at December 31, 1998:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- ---------------------------------------------------------------------------------------
<S> <C> <C>
90-Day LIBOR Futures (3/00) 36 $13,675
90-Day Eurodollar Futures (3/01) 20 12,100
90-Day Eurodollar Futures (3/02) 3 3,488
90-Day Eurodollar Futures (6/01) 20 12,650
90-Day Eurodollar Futures (6/02) 3 3,488
90-Day Eurodollar Futures (9/01) 11 (813)
90-Day Eurodollar Futures (12/00) 20 9,425
90-Day Eurodollar Futures (12/01) 3 3,038
U.S. Treasury 5 year Notes (9/98) 285 (259,856)
U.S. Treasury 10 year Bonds (3/99) 289 (409,242)
--------------
$(612,047)
--------------
</TABLE>
(b) Transactions in options for the year ended December 31, 1998 were as
follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
----------------------------------------------
<S> <C> <C>
Outstanding, December 31, 1997 0 $0
Options Written 211 64,375
Options Expired (165) (55,997)
----------------------------------------------
Outstanding, December 31, 1998 46 $8,378
----------------------------------------------
</TABLE>
(c) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $208,636,308
------------
</TABLE>
Aggregate gross unrealized appreciation for all investments
<TABLE>
<S> <C>
in which there was an excess of value over tax cost $2,564,560
</TABLE>
Aggregate gross unrealized depreciation for all investments
<TABLE>
<S> <C>
in which there was an excess of tax cost over value (481,896)
------------
Net unrealized appreciation $2,082,664
------------
</TABLE>
See Notes to Financial Statements
B-26
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 96.03%
Capital Goods - 5.34%
Bangag Inc 63,000 $2,516,062
Borg-Warner Automotive Inc 38,300 2,137,619
Fuller (HB) 48,000 2,310,000
GaSonics International Corp * 190,000 1,662,500
Phototronics Inc * 80,000 1,917,500
Silicon Valley Group * 93,000 1,185,750
Veeco Instruments Inc * 50,000 2,656,250
----------
14,385,681
----------
Consumer Discretionary - 25.58%
Adelphia Communications `A' * 56,500 2,584,875
Alyn Corp * 209,500 890,375
Authentic Fitness Corp 70,000 1,277,500
Banta Corp 85,500 2,340,563
BHC Communications `A' 12,200 1,488,400
Big City Radio Inc * 160,000 680,000
Citadel Communications Corp * 76,600 1,982,025
Comsat Corp 43,000 1,548,000
Globalstar Telecommunications * 104,232 2,097,669
Hollinger International `A' 29,200 406,979
Intrawest Corp 257,300 4,341,938
Ionics Inc * 65,900 1,972,881
Jones Intercable `A' 149,800 5,336,625
Libbey Inc 75,000 2,170,313
Lojack Corp * 150,000 1,781,250
Meristar Hospitality Corp 105,200 1,952,775
Midway Games Inc * 145,000 1,595,000
Novell Denim Holdings Ltd * 138,300 2,938,875
Nu Skin Asia Pacific * 86,300 2,038,838
NY Magic 28,000 581,000
Peregrine Systems Inc * 140,000 6,492,500
Pixar Inc * 35,700 1,249,500
Rayovac Corp * 10,700 285,556
Rio Hotel & Casino Inc * 113,500 1,801,812
RPM Inc 100,000 1,600,000
Ruby Tuesday Inc 70,000 1,487,500
Sizzler International Inc 183,800 413,550
Spelling Entertainment Group 60,900 456,750
Standard Products 54,500 1,110,438
Tefron Ltd * 152,000 997,500
Tele-Communications `A' * 1,130 62,502
Viatel Inc * 292,000 6,679,500
White Cap Industries * 121,900 1,858,974
Williams Sonoma * 50,000 2,015,625
Young Broadcasting Corp `A' * 38,000 1,591,250
Ziff-Davis Inc * 45,100 713,144
----------
68,821,982
----------
Consumer Staples - 5.52%
Corn Products International Inc 188,700 5,731,763
Cymer Inc * 130,200 1,904,175
Firearms Training Systems * 77,000 108,281
Fresh Del Monte Produce Inc * 162,000 3,513,375
Nature's Sunshine Products Inc 58,800 896,700
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Robert Mondavi `A' * 44,800 $1,831,200
Topps Company (The) 172,000 860,000
----------
14,845,494
----------
Energy - 3.05%
Benton Oil & Gas * 147,000 441,000
KN Energy Inc 46,200 1,680,525
Louis Dreyfus Natural Gas * 120,000 1,710,000
Midcoast Energy Resources 12,900 274,125
R&B Falcon Corp * 72,000 549,000
Ranger Oil Ltd 200,000 887,500
San Juan Basin Realty Trust 175,000 951,563
Valero Energy Corp 80,000 1,700,000
----------
8,193,713
----------
Financial & Business Services - 10.36%
Americredit Corp * 100,000 1,381,250
Banco Santander Puerto Rico * 38,500 844,594
Bank United Corp 60,000 2,355,000
CB Richard Ellis Services * 24,700 447,688
Coast Federal Lit CP RTS Trust * 51,000 337,874
Community First Bancshares 120,000 2,527,500
Community Savings Bancshares Inc 204,269 2,195,892
Credit Acceptance Corp * 151,900 1,110,768
ESG Re Ltd 46,800 947,700
Fidelity Bancshares Inc 47,000 1,069,250
Harbor Florida Bancshares 143,000 1,599,813
Harleysville Group Inc 90,000 2,323,125
Hibernia Corp `A' 67,900 1,179,763
Imperial Credit Commercial Mtg 143,000 1,340,624
Insignia Financial Group Inc `A' * 69,000 836,625
Medallion Financial Corp 50,000 715,625
Pacific Bank N.A. 12,300 536,588
Peoples Heritage Bank 96,000 1,920,000
Renaissance Worldwide * 175,000 1,071,875
Young & Rubicam Inc * 97,000 3,140,375
----------
27,881,929
----------
Health Care - 9.66%
Alternative Living Services * 87,500 2,996,875
Apria Healthcare Group * 144,400 1,290,575
Assisted Living Concepts Inc * 93,800 1,231,125
Cardiac Pathways Corp * 13,700 58,225
CORR Therapeutics * 140,000 1,855,000
Gensia Inc * 426 1,930
Gilead Sciences * 80,000 3,285,000
Heska Corp * 125,000 554,688
Millennium Pharmaceuticals * 152,400 3,943,350
Natrol Inc * 110,000 1,210,000
Novoste Corp * 65,000 1,844,375
Ocular Science Inc * 95,000 2,541,250
Protein Design Laboratories Inc * 40,000 930,000
Quintiles Transnational Corp * 38,000 2,028,250
Wesley Jessen Visioncare * 80,000 2,220,000
----------
25,990,643
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-27
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Materials & Processing - 4.23%
Holophane * 87,850 $2,256,647
Ivex Packaging Corp * 120,500 2,801,625
OM Group Inc 42,000 1,533,000
Optical Coating Laboratory 70,000 1,820,000
Pentair Inc 74,700 2,973,993
----------
11,385,265
----------
Technology - 19.41%
Acclaim Entertainment Inc * 130,400 1,597,400
Applied Graphics Technologies Inc * 52,000 858,000
BE Semiconductor * 52,500 295,313
Brightstar Information Technology * 100,000 787,500
Caraustar Industries Inc 55,900 1,596,643
Carrier Access Corp * 70,000 2,410,625
CNET Inc * 30,000 1,644,375
Comverse Technology * 540 38,340
Credence Systems Corp * 110,000 2,035,000
Data General Corp * 85,000 1,397,187
Eastern Environmental Services * 50,000 1,481,250
Etec Systems Inc * 100,700 4,028,000
Harmon International 23,800 907,375
Indus International Inc * 114,000 798,000
Integrated Process Equipment Corp * 70,000 752,500
Kulicke & Soffa Industries * 145,000 2,573,750
Lam Research * 125,000 2,226,563
Macromedia Inc * 221,100 7,448,306
Novellus Systems * 100,000 4,950,000
Remedy Corp * 132,000 1,839,750
Sapient Corp * 31,500 1,764,000
Security Dynamics Technologies * 201,000 4,623,000
Sensormatic Electric 106,600 739,538
Structural Dynamics Research Corp * 63,047 1,253,059
Teleflex 54,800 2,500,250
Tier Technologies Inc `B' * 90,000 1,552,500
Vantive Corp * 16,400 131,200
----------
52,229,424
----------
Transportation - 8.98%
America West Holdings Corp `B' * 161,300 2,742,100
ARCTIC Cat Inc 132,000 1,344,750
Dollar Thrifty Group * 175,000 2,253,125
Hayes Lemmerz International Inc * 45,000 1,358,438
Hub Group Inc `A' * 62,000 1,201,250
Jevic Transportation * 155,000 1,220,625
Landstar System Inc * 66,500 2,709,875
M.S. Carriers Inc * 64,000 2,108,000
Midway Airlines Corp * 86,100 1,033,222
Pep Boys Manny Moe & Jack 30,900 484,744
Polaris Industries 107,500 4,212,656
U.S. Freightways Corp 120,000 3,495,000
----------
24,163,785
----------
Utilities - 3.90%
Aspect Telecommunications * 102,000 1,759,500
Dynergy Inc 233,000 2,548,438
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
ICG Communications * 273,000 $5,869,500
SmarTalk TeleServices * 120,000 318,750
------------
10,496,188
------------
Total Common Stocks (Cost $238,112,171) 258,394,104
------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS- 3.97%
COMMERCIAL PAPER - 1.12%
Commerzbank
5.470% due 01/06/99 $3,000,000 2,997,721
------------
Total Commercial Paper 2,997,721
------------
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 2.85%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $7,680,986; collateralized by U.S.
Treasury Bonds--market value
$7,834,061 and due 11/15/21) 7,678,000 7,678,000
------------
Total Securities Held Under Repurchase Agreement 7,678,000
------------
Total Short-Term Investments
(Cost $10,675,721) 10,675,721
------------
TOTAL GROWTH PORTFOLIO
(COST $248,787,892) $269,069,825
------------
</TABLE>
Notes to Schedule of Investments
(a) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C> <C>
Tax cost basis $248,787,892
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $55,422,014
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (35,140,081)
------------
Net unrealized appreciation $20,281,933
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-28
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 96.33%
Consumer Discretionary - 23.21%
Brass Eagle Inc * 232,000 $3,567,000
Cablevision Systems Corp `A' * 130,000 6,524,374
CYRK Inc * 160,000 1,200,000
Global Telesystems Group Inc * 40,000 2,230,000
Hearst-Argyle Television Inc * 145,000 4,785,000
Limited Inc 175,000 5,096,875
Metro Networks Inc * 50,000 2,131,250
MGM Grand * 163,100 4,424,087
National Inc * 97,600 5,508,300
Nielsen Media Research 225,500 4,059,000
R.H. Donnelley Corp 125,000 1,820,313
Sun International Hotels Ltd * 92,000 4,180,250
Unifi Inc 130,000 2,543,124
USA Networks Inc * 15,800 523,375
Winstar Communications * 50,000 1,950,000
----------
50,542,948
----------
Consumer Staples - 3.02%
Food Lion Inc `B' 390,800 4,152,250
Genesis Direst Inc * 189,500 1,480,469
Lunar Corp * 100,000 950,000
----------
6,582,719
----------
Energy - 3.49%
Brown (Tom) Inc * 150,000 1,504,688
Diamond Offshore Drilling 100 2,369
Louis Dreyfus Natural Gas * 180,000 2,565,000
Vastar Resources Inc 75,000 3,239,062
Willbros Group Inc * 50,000 278,125
----------
7,589,244
----------
Financial & Business Services - 15.53%
Berkley (W.R.) Corp 65,000 2,214,063
CMAC Investment Corp 111,500 5,122,031
Everest Reinsurance Holdings 75,000 2,920,312
Gallagher (Arthur J) & Co 80,000 3,530,000
Legg Mason Inc 140,000 4,418,750
Price (T Rowe) Associates 91,600 3,137,300
Providian Corp 78,900 5,917,500
ReliaStar Financial Corp 65,000 2,998,124
Sovereign Bancorp Inc 250,000 3,562,500
----------
33,820,580
----------
Health Care - 11.49%
Algos Pharmaceuticals Corp * 100,000 2,600,000
Barr Laboratories * 55,000 2,640,000
Datascope Corp * 75,000 1,725,000
Dura Pharmaceuticals Inc * 150,000 2,278,124
Forest Laboratories * 70,000 3,723,125
Hooper Holmes 53,700 1,557,300
Mylan Laboratories 75,000 2,362,500
Sola International * 100,000 1,725,000
STERIS Corp * 225,000 6,398,438
----------
25,009,487
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Materials & Processing - 11.03%
Georgia Gulf Corp 120,000 $1,927,500
Great Lakes Chemical 63,400 2,536,000
Louisiana Pacific Corp 185,000 3,387,813
Martin Marietta Materials 130,000 8,084,375
Newhall Land & Farming 80,300 2,087,800
Pall Corp 50,000 1,265,625
Solutia Inc 120,000 2,685,000
Stillwater Mining * 50,000 2,050,000
-----------
24,024,113
-----------
Technology - 23.06%
Ceridian Corp * 143,100 9,990,169
FORE Systems * 68,000 1,245,250
Frontier Corp 126,500 4,301,000
Intuit Inc * 40,000 2,900,000
Loral Space & Communications * 125,000 2,226,563
Novell Inc * 559,600 10,142,750
Policy Management Systems * 170,000 8,585,000
Sterling Commerce * 70,000 3,150,000
Sterling Software Inc * 100,000 2,706,250
TCI Ventures Group `A' * 210,000 4,948,125
-----------
50,195,107
-----------
Transportation - 2.34%
Knightsbridge Tankers Ltd 75,000 1,560,938
OMI Corp * 375,000 1,218,750
Teekay Shipping 123,000 2,313,938
-----------
5,093,626
-----------
Utilities - 3.16%
Hyperion Telecomm Inc `A' * 259,700 3,927,963
NEXTEL Communications Inc 125,000 2,953,125
-----------
6,881,088
-----------
Total Common Stocks
(Cost $199,264,509) 209,738,912
-----------
FOREIGN COMMON STOCKS- 1.84%
Canada - 0.75%
Clearnest Communications `A' * 200,000 1,625,000
-----------
1,625,000
-----------
France - 0.59%
Coflexip Sponsored ADR 40,000 1,285,000
-----------
1,285,000
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-29
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Norway - 0.50%
Stolt Comex Seaway SA * 5,000 $33,750
Stolt Comex Seaway SA ADR * 188,950 1,062,844
------------
1,096,594
------------
Total Foreign Common Stocks
(Cost $7,548,913) 4,006,594
------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 1.83%
State Street Bank Cayman Islands
4.000% due 01/04/99 $3,984,000 3,984,000
------------
Total Short-Term Investment
(Cost $3,984,000) 3,984,000
------------
TOTAL AGGRESSIVE EQUITY PORTFOLIO
(COST $210,797,422) $217,729,506
------------
</TABLE>
Notes to Schedule of Investments
(a) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $210,797,422
------------
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost $29,071,363
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value (22,139,279)
------------
Net unrealized appreciation $6,932,084
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-30
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 79.22%
Capital Goods - 0.52%
Orbital Sciences Corp * 149,470 $6,614,048
-----------
6,614,048
-----------
Consumer Discretionary - 32.46%
Amazon.Com Inc * 141,410 45,427,962
Cablevision Systems Corp `A' * 226,540 11,369,476
Chancellor Media Corp * 260,380 12,465,693
Comcast Corp `A' Specialty 1,021,365 59,941,358
Costco Cos * 143,160 10,334,363
Cox Communications 246,610 17,046,916
Dollar Tree Stores * 20,865 911,540
Mediaone Group Inc * 701,400 32,965,800
Nike Inc `B' 278,065 11,279,012
Penton Media 257,112 5,206,518
Staples Inc * 252,725 11,040,923
Tele-Communications `A' * 796,915 44,079,361
Tele-Communications Liberty `A' * 270,670 12,467,737
Time Warner Inc 1,086,807 67,449,959
Tyco International Ltd 459,493 34,663,003
United International Holdings `A' * 481,890 9,276,383
USA Networks Inc * 346,245 11,469,366
Warner Lambert Co 234,930 17,663,799
-----------
415,059,169
-----------
Energy - 0.33%
Schlumberger Ltd 90,380 4,168,778
-----------
4,168,778
-----------
Financial & Business Services - 10.04%
Bank of New York Co Inc 932,145 37,518,836
Finova Group Inc 42,050 2,268,072
Firstar Corp 135,089 12,597,049
Household International Inc 117,445 4,653,758
Lamar Advertising Co * 312,975 11,658,319
Outdoor Systems Inc * 368,507 11,055,210
TCI Ventures Group `A' * 1,947,980 45,899,279
UNUM Corp 46,110 2,691,671
-----------
128,342,194
-----------
Health Care - 10.51%
Alza Corp * 373,920 19,537,320
Arterial Vascular Engineer * 213,575 11,212,688
Centocor Inc * 155,945 7,037,018
Lilly (Eli) & Co 227,700 20,236,837
Medtronic Inc 23,070 1,712,948
MiniMed Inc * 39,105 4,096,249
Pfizer Inc 285,570 35,821,187
Pharmacia & Upjohn Inc 212,810 12,050,366
Sofamor Danek Group * 186,460 22,701,505
-----------
134,406,118
-----------
Materials & Processing - 1.36%
Monsanto Co 365,070 17,340,825
-----------
17,340,825
-----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Technology - 21.86%
America Online Inc * 283,343 $41,013,899
At Home Corp `A' * 176,445 13,101,041
CDW Computer Centers * 7,340 704,181
Cisco Systems Inc * 616,982 57,263,642
Doubleclick Inc * 220,435 10,043,570
EMC Corp * 64,595 5,490,575
General Instrument Corp * 140,745 4,776,533
IMS Health Inc 339,130 25,583,119
Intuit Inc * 179,610 13,021,725
Maxim Integrated Products * 244,475 10,680,502
Microsoft Corp * 289,320 40,125,068
Pittway Corp `A' 526,804 17,417,457
Sapient Corp * 321,100 17,981,600
Technology Solutions * 187,220 2,006,764
Vitesse Semiconductor Corp * 291,920 13,318,850
Wind River Systems * 148,767 6,992,049
-------------
279,520,575
-------------
Transportation - 1.20%
Federal-Mogul Corp 97,990 5,830,405
Southwest Airlines 426,225 9,563,423
-------------
15,393,828
-------------
Utilities - 0.94%
Global Crossing Ltd * 26,520 1,196,715
Inktomi Corp * 11,520 1,490,400
MCI Worldcom * 89,305 6,407,634
Qwest Communications International * 57,655 2,882,750
-------------
11,977,499
-------------
Total Common Stocks
(Cost $706,702,063) 1,012,823,034
-------------
FOREIGN COMMON STOCKS- 8.56%
Canada - 0.22%
Newcourt Credit Group Inc 79,810 2,788,362
-------------
2,788,362
-------------
Finland - 6.58%
Nokia Corp ADR Pref 640,310 77,117,336
Raisio Group PLC 643,623 7,068,688
-------------
84,186,024
-------------
Germany - 0.89%
Daimler-Chrysler AG * 117,793 11,315,490
-------------
11,315,490
-------------
Italy - 0.76%
Telecom Italia Spa 1,132,500 9,667,854
-------------
9,667,854
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-31
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Norway - 0.11%
Ocean Rig Asa * 5,355,734 $1,466,079
--------------
1,466,079
--------------
Total Foreign Common Stocks
(Cost $63,756,247) 109,423,809
--------------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
CORPORATE BOND - 0.59%
Consumer Discretionary - 0.59%
Amazon.Com Inc
0%/10% (step) due 05/01/03 $11,362,000 7,555,730
--------------
Total Corporate Bond
(Cost $7,241,206) 7,555,730
--------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS- 11.63%
COMMERCIAL PAPER - 11.62%
CIT Group Holdings Inc
5.300% due 01/04/99 54,000,000 53,976,150
FMC Discount Note
4.720% due 03/04/99 25,000,000 24,796,778
4.980% due 01/04/99 15,000,000 14,993,775
5.060% due 02/12/99 30,000,000 29,822,900
FNMA
5.110% due 01/15/99 25,000,000 24,950,319
--------------
Total Commercial Paper 148,539,922
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $118,046; collateralized by U.S.
Treasury Bonds--market value $120,938 and due
11/15/21) 118,000 118,000
--------------
Total Securities Held Under Repurchase
Agreement 118,000
--------------
Total Short-Term Investments
(Cost $148,657,922) 148,657,922
--------------
TOTAL GROWTH LT PORTFOLIO (COST $926,357,438) $1,278,460,495
--------------
</TABLE>
Notes to Schedule of Investments
(a) Forward foreign currency contracts outstanding at December 31, 1998 were
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount
To Buy or Expiration Covered By Unrealized
Type To Sell Month Contract Appreciation
- ---------------------------------------------------
<S> <C> <C> <C> <C>
FM Sell 1/99 $38,326,681 $55,768
IL Sell 1/99 7,895,916 69,610
----------
$125,378
----------
</TABLE>
Principal amount denoted in the indicated currency:
FM - Finnish Markka
IL - Italian Lira
(b) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $926,357,438
------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $359,832,089
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (7,729,032)
------------
Net unrealized appreciation $352,103,057
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-32
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 98.40%
Capital Goods - 1.97%
AlliedSignal Inc 261,300 $11,578,856
Boeing 264,900 8,642,363
Cooper Industries Inc 97,100 4,630,456
-----------
24,851,675
-----------
Consumer Discretionary - 21.44%
American Home Products 299,600 16,871,225
American Stores Co 302,100 11,158,818
Bristol Myers Squibb 239,600 32,061,474
Cendant Corp * 1,236,400 23,568,875
Circuit City Stores 550,700 27,500,581
Federated Department Stores * 195,100 8,499,044
Fox Entertainment * 93,400 2,352,512
General Mills Inc 141,100 10,970,525
Hasbro Inc 351,200 12,687,100
International Game Technology 576,900 14,025,881
Kimberly Clark Corp 229,300 12,496,850
Mirage Resorts Inc * 508,200 7,591,238
Procter & Gamble 259,000 23,649,938
Service Corp International 313,900 11,947,819
Toys R Us * 364,900 6,157,688
Tyco International Ltd 420,100 31,691,294
Wal-Mart Stores Inc 123,000 10,016,813
Warner Lambert Co 101,400 7,624,013
-----------
270,871,688
-----------
Consumer Staples - 7.26%
Agribrands International Inc * 10,440 313,200
Anheuser Busch 139,800 9,174,375
Commscope Inc * 469,333 7,890,661
PepsiCo 614,300 25,147,906
Philip Morris Co Inc 497,000 26,589,500
Ralston-Purina Group 325,400 10,534,825
Seagrams Ltd 317,800 12,076,400
-----------
91,726,867
-----------
Energy - 7.11%
Atlantic Richfield 429,300 28,011,825
British Petroleum PLC ADR * 490 43,916
Cooper Cameron Corp * 131,600 3,224,200
Mobil Corp 175,200 15,264,300
Phillips Petroleum Co 242,900 10,353,612
Royal Dutch Petroleum Guilder 273,900 13,112,963
Tosco Corp 766,000 19,820,250
-----------
89,831,066
-----------
Financial & Business Services - 16.06%
Ambac Financial Group Inc 98,200 5,910,413
American Express Co 64,900 6,636,025
American International Group Inc 68,600 6,628,475
Astoria Financial Corp 236,590 10,823,993
BankAmerica Corp 551,228 33,142,583
Bankers Trust NY Corp 197,900 16,908,081
CIT Group Inc 377,900 12,021,944
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
CitiGroup Inc 530,850 $26,277,075
FNMA 125,100 9,257,400
Marsh & McLennan Cos 196,400 11,477,125
MBIA Inc 76,500 5,015,531
Starwood Hotels & Resorts Trust * 483,500 10,969,405
UNUM Corp 357,200 20,851,550
Washington Mutual Inc 443,500 16,936,156
Wells Fargo & Co 252,400 10,080,225
-----------
202,935,981
-----------
Health Care - 5.30%
Alza Corp * 331,200 17,305,200
Crescendo Pharmaceuticals Corp * 14,525 197,903
Forest Laboratories * 122,500 6,515,469
Genzyme Corp * 142,200 7,074,450
Healthsouth Corp * 634,800 9,799,725
Humana Inc 616,000 10,972,500
Perkin Elmer Corp 154,800 15,102,675
-----------
66,967,922
-----------
Materials & Processing - 8.52%
Allegheny Teledyne Inc 675,000 13,795,313
Monsanto Co 768,400 36,499,000
Rohm & Haas Co 426,700 12,854,338
Temple Inland Inc 266,200 15,788,987
Union Carbide Corp 126,100 5,359,250
Waste Management Inc 501,602 23,387,193
-----------
107,684,081
-----------
Technology - 15.40%
Cisco Systems Inc * 206,900 19,202,906
Compaq Computer Corp 343,300 14,397,144
Eaton Corp 80,000 5,655,000
EMC Corp * 336,500 28,602,500
General Semiconductor Inc * 63,200 517,450
IBM Corp 185,600 34,289,600
Intel Corp 58,900 6,983,331
Lucent Technologies Inc 171,200 18,832,000
Microsoft Corp * 231,100 32,050,681
Oracle Systems Corp * 127,800 5,511,375
Sensormatic Electric 58,800 407,925
Sun Microsystems * 240,800 20,618,500
Texas Instruments Inc 88,200 7,546,613
-----------
194,615,025
-----------
Transportation - 3.87%
Georgia-Pacific Corp 317,400 18,587,738
Union Pacific Corp 672,400 30,300,025
-----------
48,887,763
-----------
Utilities - 11.47%
AT&T Corp 323,700 24,358,425
Bell Atlantic Corp 164,000 9,317,250
Central & South West 173,200 4,752,175
Columbia Energy Group 99,650 5,754,788
GTE Corp 382,300 25,781,356
MCI Worldcom * 312,600 22,429,050
Northern States Power Co 414,900 11,513,475
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-33
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
PP&L Resources Inc 601,400 $16,764,024
SBC Communications 249,100 13,357,988
Texas Utilities Co 233,400 10,896,863
--------------
144,925,394
--------------
Total Common Stocks
(Cost $1,078,713,249) 1,243,297,462
--------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 1.60%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.60%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $20,234,309; collateralized by U.S.
Treasury Bonds--market value
$20,633,281 and due 11/15/21) $20,226,443 20,226,443
--------------
Total Securities Held Under Repurchase
Agreement 20,226,443
--------------
Total Short-Term Investment
(Cost $20,226,443) 20,226,443
--------------
TOTAL EQUITY INCOME PORTFOLIO
(COST $1,098,939,692) $1,263,523,905
--------------
</TABLE>
Notes to Schedule of Investments
(a) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $1,098,939,692
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $218,786,038
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (54,201,825)
--------------
Net unrealized appreciation $164,584,213
--------------
</TABLE>
See Notes to Financial Statements
B-34
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
CONVERTIBLE PREFERRED STOCK - 0.29%
Consumer Discretionary - 0.29%
<S> <C> <C>
Home Ownership Funding 1,830 $1,731,348
----------
Total Convertible Preferred Stock
(Cost $1,831,903) 1,731,348
----------
COMMON STOCKS - 60.70%
Capital Goods - 1.21%
AlliedSignal Inc 76,100 3,372,181
Boeing 77,400 2,525,175
Cooper Industries Inc 27,100 1,292,331
----------
7,189,687
----------
Consumer Discretionary - 13.44%
American Home Products 86,500 4,871,031
American Stores Co 88,600 3,272,663
Bristol Myers Squibb 69,900 9,353,494
Cendant Corp * 359,400 6,851,063
Circuit City Stores 162,100 8,094,869
Federated Department Stores * 58,300 2,539,694
Fox Entertainment * 26,300 662,431
General Mills Inc 45,900 3,568,724
Hasbro Inc 103,500 3,738,938
International Game Technology 161,300 3,921,606
Kimberly Clark Corp 66,600 3,629,700
Mirage Resorts Inc * 145,200 2,168,925
Procter & Gamble Co 76,400 6,976,275
Service Corp International 91,900 3,497,944
Toys R Us * 107,600 1,815,750
Tyco International Ltd 127,258 9,600,025
Wal-Mart Stores Inc 36,300 2,956,181
Warner-Lambert Co 29,600 2,225,550
----------
79,744,863
----------
Consumer Staples - 4.53%
Agribrands International Inc * 3,090 92,700
Anheuser Busch 40,900 2,684,063
Commscope Inc * 137,133 2,305,549
PepsiCo 181,300 7,421,969
Philip Morris Co Inc 144,400 7,725,400
Ralston-Purina Group 97,100 3,143,613
Seagrams Ltd 92,800 3,526,400
----------
26,899,694
----------
Energy - 4.36%
Atlantic Richfield 125,600 8,195,400
Cooper Cameron Corp * 39,400 965,300
Mobil Corp 51,000 4,443,375
Phillips Petroleum Co 71,200 3,034,900
Royal Dutch Petroleum Guilder 81,600 3,906,600
Tosco Corp 205,600 5,319,900
----------
25,865,475
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Financial & Business Services - 9.45%
Ambac Financial Group Inc 28,000 $1,685,250
American Express Co 19,000 1,942,750
American International Group Inc 20,100 1,942,163
Astoria Financial Corp 66,735 3,053,126
BankAmerica Corp 161,570 9,714,394
Bankers Trust NY Corp 57,700 4,929,744
CIT Group Inc 110,000 3,499,375
CitiGroup Inc 155,000 7,672,500
Marsh & McLennan Cos 52,950 3,094,266
MBIA Inc 22,700 1,488,269
Starwood Hotels & Resorts Trust * 142,400 3,230,700
UNUM Corp 100,800 5,884,200
Washington Mutual Inc 131,000 5,002,563
Wells Fargo & Co 73,300 2,927,419
----------
56,066,719
----------
Health Care - 3.28%
Alza Corp * 96,700 5,052,575
Crescendo Pharmaceuticals Corp * 4,850 66,081
Forest Laboratories * 36,000 1,914,750
Genzyme Corp * 41,300 2,054,675
Healthsouth Corp * 178,400 2,754,050
Humana Inc 180,100 3,208,031
Perkin Elmer Corp 45,500 4,439,094
----------
19,489,256
----------
Materials & Processing - 5.32%
Allegheny Teledyne Inc 198,400 4,054,800
Monsanto Co 223,300 10,606,750
Rohm & Haas Co 124,200 3,741,525
Temple Inland Inc 80,800 4,792,450
Union Carbide Corp 36,700 1,559,750
Waste Management Inc 146,917 6,850,005
----------
31,605,280
----------
Technology - 9.53%
Cisco Systems Inc * 60,425 5,608,195
Compaq Computer Corp 98,800 4,143,425
Eaton Corp 21,700 1,533,919
EMC Corp * 98,400 8,364,000
General Semiconductor Inc * 18,600 152,286
IBM Corp 54,200 10,013,450
Intel Corp 17,200 2,039,275
Lucent Technologies Inc 49,800 5,478,000
Microsoft Corp * 67,100 9,305,931
Oracle Systems Corp * 37,100 1,599,938
Sensormatic Electric 16,200 112,388
Sun Microsystems * 70,000 5,993,750
Texas Instruments Inc 25,800 2,207,513
----------
56,552,070
----------
Transportation - 2.41%
Georgia-Pacific Corp 93,700 5,487,306
Union Pacific Corp 195,300 8,800,706
----------
14,288,012
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-35
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Utilities - 7.17%
AT&T Corp 94,100 $7,081,025
Bell Atlantic Corp 48,000 2,727,000
Central & South West 51,100 1,402,056
Columbia Energy Group 29,550 1,706,513
GTE Corp 112,500 7,586,719
MCI Worldcom * 92,200 6,615,350
Northern States Power Co 122,200 3,391,050
PP&L Resources 176,100 4,908,788
SBC Communications 72,800 3,903,900
Texas Utilities Co 68,800 3,212,100
-----------
42,534,501
-----------
Total Common Stocks
(Cost $315,755,438) 360,235,557
-----------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
CORPORATE BONDS & NOTES - 7.89%
Capital Goods - 0.44%
Lockheed Martin
6.550% due 05/15/99 $1,500,000 1,505,504
Northrop-Grumman
9.375% due 10/15/24 1,000,000 1,115,888
-----------
2,621,392
-----------
Consumer Discretionary - 0.56%
COX Communication Inc
6.690% due 09/20/04 1,500,000 1,578,921
Tele-Communications Inc
7.875% due 08/01/13 1,500,000 1,755,372
-----------
3,334,293
-----------
Energy - 1.66%
Columbia Gas System
6.610% due 11/28/02 1,000,000 1,032,400
Enron Corp
6.625% due 10/15/03 1,500,000 1,533,885
LASMO
7.300% due 11/15/27 3,000,000 2,660,250
Noble Affiliates Inc
8.000% due 04/01/27 880,000 930,363
Standard Oil Co
9.000% due 06/01/19 1,000,000 1,015,140
Statoil
6.500% due 12/01/28 2,700,000 2,647,485
-----------
9,819,523
-----------
Financial & Business Services - 3.42%
First Union Corp
6.550% due 10/15/35 1,700,000 1,790,763
Interamerican Dev Bank
5.375% due 11/18/08 1,600,000 1,602,398
Keystone Financial Midatlantic
6.500% due 05/31/08 500,000 528,125
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Montell American Financial
7.400% due 03/15/04 $1,500,000 $1,575,960
Norwest Financial Inc
6.375% due 09/15/02 2,750,000 2,828,362
PECO Energy Capital Trust III
7.380% due 04/06/28 2,600,000 2,624,565
Safeco Capital trust
8.072% due 07/15/37 2,000,000 2,135,540
Toyota Motor Credit Trust
5.625% due 11/13/03 6,000,000 6,035,298
U.S. Bancorp Capital I
8.270% due 12/15/26 " 1,025,000 1,164,021
----------
20,285,032
----------
Materials & Processing - 0.40%
Armstrong World
6.350% due 08/15/03 1,000,000 1,015,736
Cytec Industries
6.846% due 05/11/05 1,325,000 1,358,053
----------
2,373,789
----------
Transportation - 0.57%
ERAC USA Finance
6.375% due 05/15/03 1,400,000 1,391,373
Union Pacific Corp
5.780% due 10/15/01 2,000,000 2,002,118
----------
3,393,491
----------
Utilities - 0.84%
Aerial Communications
0.000% due 02/01/08 4,000,000 1,846,076
Southwestern Bell
7.375% due 07/15/27 1,500,000 1,656,810
Texas Utilities Co
5.940% due 10/15/01 1,500,000 1,497,947
----------
5,000,833
----------
Total Corporate Bonds & Notes
(Cost $46,514,762) 46,828,353
----------
MORTGAGE-BACKED SECURITIES - 11.02%
Collateralized Mortgage Obligation - 0.70%
Bear Stearns Structured Securities
7.000% due 08/25/36 " 1,000,000 1,006,719
Deutsche Mortgage & Asset Receiving
6.220% due 09/15/07 " 720,125 732,479
Donaldson, Lufkin, & Jenrette
8.513% due 11/25/24 " 79,679 79,654
Morgan Stanley Mortgage Trust
8.950% due 05/01/17 " 182,583 185,634
Ocwen Residential MBS Corp
4.000% due 10/25/40 " 800,674 801,549
Weeks Realty LP
6.875% due 03/15/05 " 1,400,000 1,332,835
----------
4,138,870
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-36
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Federal Home Loan Mortgage Corporation - 0.77%
6.500% due 02/15/19 " $1,300,000 $1,309,653
7.000% due 02/01/28 " 1,903,445 1,943,281
8.000% due 11/01/26 " 907,342 940,586
8.500% due 07/01/02 " 366,669 379,167
----------
4,572,687
----------
Federal National Mortgage Association - 8.63%
6.000% due 03/18/08 " 4,204,560 3,855,317
6.000% due 01/01/29 " 5,500,000 5,494,844
6.300% due 12/25/15 " 1,568,281 1,577,348
6.500% due 01/25/23 " 6,220,000 6,339,096
6.500% due 01/01/28 " 2,960,348 2,984,428
6.500% due 03/01/28 " 3,799,244 3,825,361
6.500% due 05/01/28 " 13,385,903 13,494,783
7.000% due 03/01/28 " 2,722,439 2,778,589
7.000% due 04/01/28 " 4,387,362 4,479,260
7.000% due 08/01/28 " 4,933,146 5,039,784
8.000% due 11/01/26 " 1,320,597 1,369,065
----------
51,237,875
----------
Government National Mortgage Association - 0.92%
6.875% due 06/20/21 " 158,445 161,567
6.875% due 06/20/23 " 94,800 96,401
7.000% due 12/15/27 " 67,623 69,267
7.000% due 01/15/28 " 2,311,119 2,367,473
7.000% due 05/15/28 " 2,682,531 2,747,941
----------
5,442,649
----------
Total Mortgage-Backed Securities
(Cost $64,393,579) 65,392,081
----------
OTHER ASSET-BACKED SECURITIES - 4.09%
Alaska Trade Co
6.790% due 10/01/05 " 2,500,000 2,609,275
Chase Manhattan Auto Owner Trust
5.700% due 09/17/01 " 1,500,000 1,507,808
Countrywide Home Loans
6.750% due 05/25/28 " 943,159 950,700
CS First Boston Mortgage Security Corp
6.400% due 02/17/04 " 1,268,738 1,298,547
Discover Card Master Trust
5.600% due 05/15/06 " 1,050,000 1,052,251
Fleetwood Credit Corp Grantor Trust
6.900% due 03/15/12 " 1,028,149 1,043,052
Ford Credit Auto Owner Trust
5.850% due 10/15/01 " 1,300,000 1,312,123
Greentree Financial
6.700% due 10/15/17 " 467,492 469,794
Greentree Home Improvement Loan Trust
6.390% due 01/15/29 " 2,000,000 2,014,430
Greentree Rec, Equip, & Construction
5.550% due 02/15/18 " 226,021 226,506
Illinois Power Special Purpose Trust
5.340% due 06/25/05 " 4,000,000 3,971,875
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Morgan Stanley Capital I
6.250% due 07/15/07 " $783,050 $800,947
Premier Auto Trust
5.960% due 10/08/02 " 1,500,000 1,520,145
Sears Credit Account Master Trust
6.450% due 10/16/06 " 1,450,000 1,483,734
Sears Credit Trust
6.200% due 02/16/06 " 1,500,000 1,530,068
The Home Equity Trust
7.360% due 03/15/24 " 1,250,000 1,301,920
The Money Store Home Equity
6.440% due 09/15/24 " 500,000 506,473
World Omni Auto Lease
6.300% due 06/25/02 " 60,364 60,439
6.750% due 06/25/03 " 597,425 600,045
----------
Total Other Asset-Backed Securities
(Cost $23,984,264) 24,260,132
----------
STRIPPED MORTGAGE-BACKED SECURITIES - 0.00%
FNMA (Interest Only)
6.000% due 12/25/07 " 260,518 21,249
----------
Total Stripped Mortgage-Backed Securities
(Cost $26,160) 21,249
----------
U.S. TREASURY BONDS - 5.04%
6.750% due 08/15/26 ** 5,585,000 6,695,019
8.500% due 02/15/20 ** 16,694,000 23,183,793
----------
Total U.S. Treasury Bonds
(Cost $27,338,084) 29,878,812
----------
U.S. TREASURY NOTES - 5.08%
5.250% due 08/15/03 10,760,000 11,032,368
5.375% due 06/30/03 ** 3,690,000 3,796,088
6.875% due 05/15/06 1,425,000 1,611,141
7.250% due 05/15/04 11,220,000 12,576,924
7.875% due 11/15/04 ** 1,000,000 1,158,750
----------
Total U.S. Treasury Notes
(Cost $29,560,788) 30,175,271
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-37
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Market Value
--------- ------------
<S> <C> <C>
FOREIGN BONDS - 1.12%
Canada - 0.42%
Hydro Quebec
8.500% due 12/01/29 $2,000,000 $2,510,780
------------
2,510,780
------------
France - 0.10%
Legrand
8.500% due 02/15/25 500,000 576,495
------------
576,495
------------
United Kingdom - 0.60%
CSX Corp
7.050% due 05/01/02 1,500,000 1,567,293
United Utilities PLC
6.250% due 08/15/05 2,000,000 2,018,634
------------
3,585,927
------------
Total Foreign Bonds
(Cost $6,489,197) 6,673,202
------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENT - 4.77%
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 4.77%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchase price
of $28,302,834; collateralized by U.S.
Treasury Bonds--market value
$28,863,750 and due 11/15/21) 28,291,832 28,291,832
------------
Total Securities Held Under Repurchase Agreement 28,291,832
------------
Total Short-Term Investment
(Cost $28,291,832) 28,291,832
------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $544,186,007) $593,487,837
------------
</TABLE>
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $26,386,669 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at December 31, 1998:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- ------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasury 5 year Notes (3/99) 211 $(180,438)
U.S. Treasury 10 year Notes (3/99) 28 4,375
U.S. Treasury 30 year Bonds (3/99) 37 (65,031)
------------
$(241,094)
------------
(b) Forward foreign currency contracts outstanding at December 31, 1998, were
summarized as follows:
<CAPTION>
Principal
Contracts Amount Unrealized
To Buy or Expiration Covered By Appreciation
Type To Sell Month Contract (Depreciation)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DM Buy 2/99 $4,059,826 $(48,157)
Sell 2/99 4,094,149 82,480
FF Sell 2/99 8,286,488 60,055
------------
$94,378
------------
Principal amount denoted in the indicated currency:
DM - German Mark
FF - French Franc
(c) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $544,186,007
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $63,301,083
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (13,999,253)
------------
Net unrealized appreciation $49,301,830
------------
</TABLE>
See Notes to Financial Statements
B-38
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
COMMON STOCKS - 98.88%
Capital Goods - 1.35%
<S> <C> <C>
AptarGroup Inc 17,000 $477,063
Caterpillar Inc 16,600 763,600
Emerson Electric Co 47,700 2,984,231
Ingersoll-Rand Co 20,100 943,444
United Technologies 14,800 1,609,500
-----------
6,777,838
-----------
Consumer Discretionary - 25.49%
Abercrombie & Fitch Co `A' * 8,300 587,225
American Greetings `A' 10,800 443,475
American Home Products 67,900 3,823,619
AnnTaylor Stores Corp * 78,000 3,076,125
Avery Dennison Corp 11,900 536,244
Avery International Corp 600 27,038
Best Buy Co Inc * 87,600 5,376,450
Brinker International * 19,800 571,725
Bristol Myers Squibb 74,100 9,915,506
Burlington Industries * 52,200 574,200
Carnival Corp `A' 40,000 1,920,000
Dayton Hudson Corp 42,400 2,300,200
Eastman Kodak 164,400 11,836,800
Federated Department Stores * 11,800 514,038
Gannett Inc 35,400 2,343,037
General Electric 229,700 23,443,756
Home Depot Inc 130,300 7,972,731
Kroger Co * 61,100 3,696,550
Marriott International Inc `A' 84,000 2,436,000
Mattel Inc 24,900 568,031
Office Depot Inc * 35,500 1,311,281
Omnicom Group Inc 81,600 4,732,800
PPG Industries Inc 7,900 460,175
Procter & Gamble 129,200 11,797,575
Tyco International Ltd 13,200 995,775
Viacom International Inc 69,600 5,150,400
Wal-Mart Stores Inc 168,600 13,730,362
Warner Lambert Co 108,600 8,165,362
-----------
128,306,480
-----------
Consumer Staples - 8.84%
Albertson's Inc 68,000 4,330,750
Anheuser Busch 46,600 3,058,125
Brown Forman Inc `B' 5,600 423,850
Coca-Cola 184,100 12,311,687
Coca-Cola Enterprises 29,900 1,068,925
Food Lion Inc `B' 91,800 923,738
Fortune Brands Inc 26,700 844,387
IBP Inc 49,600 1,444,600
PepsiCo 104,400 4,273,875
Philip Morris Co Inc 182,100 9,742,350
Safeway Inc * 75,700 4,612,969
Sara Lee Corp 600 16,913
Smuckers `A' 14,800 366,300
Universal Corp 31,200 1,095,900
-----------
44,514,369
-----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Energy - 1.15%
Exxon Corp 54,300 $3,970,687
Halliburton 3,400 100,725
Minnesota Mining & Mfg Co 24,500 1,742,563
----------
5,813,975
----------
Financial & Business Services - 7.42%
AFLAC Inc 58,600 2,578,400
Allstate Corp 35,300 1,363,463
American International Group Inc 5,150 497,619
Banc One Corp 10,700 546,369
CIT Group Inc 22,300 709,419
Chase Manhattan Corp 27,900 1,898,944
Countrywide Credit Industries Inc 9,900 496,856
Dime Bancorp Inc 79,100 2,091,206
Equitable Cos 42,300 2,448,112
Hartford Life Inc 14,700 856,275
Lehman Brothers Holding Inc 30,200 1,330,687
Merrill Lynch Co 23,800 1,588,650
MGIC Investment Corp 24,000 955,500
Morgan Stanley Dean Witter & Co 93,900 6,666,900
Providian Corp 141,150 10,586,250
Travelers/Aetna Property Casualty 87,900 2,724,900
----------
37,339,550
----------
Health Care - 17.21%
Allegiance Corp 74,800 3,487,550
Allergan Inc 28,600 1,851,850
Amgen Inc * 57,900 6,054,169
Bergen Brunswig Corp 110,600 3,857,175
Beverly Enterprises * 147,900 998,325
Biogen Inc * 28,100 2,332,300
Biomet Inc 43,500 1,750,875
Cardinal Health Inc 47,250 3,585,094
Guidant Corp 40,300 4,443,075
Johnson & Johnson 177,700 14,904,587
Lilly (Eli) & Co 43,000 3,821,625
Merck & Co Inc 88,300 13,040,806
PacifiCare Health Systems `B' * 11,800 938,100
Pfizer Inc 116,300 14,588,381
Schering-Plough 143,000 7,900,750
Tenet Healthcare Corp * 17,800 467,250
Wellpoint Health Networks * 29,800 2,592,600
----------
86,614,512
----------
Materials & Processing - 2.81%
Clorox Co 42,400 4,952,850
Dow Chemical 54,400 4,947,000
International Paper 14,000 627,375
Lowe's Co 47,400 2,426,287
Pentair Inc 17,800 708,663
Solutia Inc 21,000 469,875
----------
14,132,050
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-39
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
Technology - 29.33%
<S> <C> <C>
America Online Inc * 67,400 $9,756,150
Apple Computer 26,400 1,080,750
Automatic Data Processing 10,100 809,894
BMC Software Inc * 20,800 926,900
Ceridian Corp * 31,700 2,213,056
Cisco Systems Inc * 158,650 14,724,703
Compaq Computer Corp 31,500 1,321,031
Computer Sciences * 24,800 1,598,050
Compuware Corp * 24,900 1,945,313
Dell Computer Corp * 104,200 7,626,137
EMC Corp * 60,200 5,117,000
General Instrument Corp * 106,500 3,614,344
General Motors Corp `H' * 84,400 3,349,625
General Motors Series `H' 3,300 130,969
Hewlett Packard Co 7,000 478,187
Honeywell Inc 26,100 1,965,656
IBM Corp 46,600 8,609,350
Ingram Micro Inc `A' * 92,400 3,222,450
Intel Corp 181,800 21,554,662
Lexmark International Group `A' * 29,900 3,004,950
Lucent Technologies Inc 86,200 9,482,000
Microsoft Corp * 189,700 26,309,019
Sun Microsystems * 80,400 6,884,250
Teleflex 10,500 479,063
Unisys Corp * 190,600 6,563,788
Xerox Corp 24,100 2,843,800
Yahoo Inc * 8,700 2,045,044
-----------
147,656,141
-----------
<CAPTION>
Transportation - 2.16%
<S> <C> <C>
Dana Corp 29,100 1,189,463
Ford Motor Co 77,200 4,530,675
GATX Corp 12,400 469,650
Hertz Corp `A' 75,200 3,431,000
Johnson Controls Inc 21,400 1,262,600
-----------
10,883,388
-----------
<CAPTION>
Utilities - 3.12%
<S> <C> <C>
AT&T Corp 100,200 7,540,050
Bell South Corp 10,800 538,650
Century Tel Enterprise 11,300 762,750
Energy East Corp 17,300 977,450
MCI Worldcom * 82,300 5,905,025
-----------
15,723,925
-----------
Total Common Stocks
(Cost $384,370,025) 497,762,228
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS- 1.12%
U.S. TREASURY BILLS - 0.04%
4.400% due 02/04/99 ** $200,000 $199,261
------------
Total U.S. Treasury Bills 199,261
------------
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 1.08%
State Street Bank and Trust
4.000% due 01/04/99
(Dated 12/31/98, repurchase price
of $5,431,320; collateralized by U.S. Treasury
Bonds--market value
$5,537,874 and due 11/15/21) 5,428,905 5,428,905
------------
Total Securities Held Under Repurchase
Agreement 5,428,905
------------
Total Short-Term Investments
(Cost $5,628,075) 5,628,166
------------
TOTAL EQUITY PORTFOLIO
(COST $389,998,100) $503,390,394
------------
</TABLE>
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $199,261 have been
segregated with the custodian to cover margin requirements for the following
open interest rate futures contracts at December 31, 1998:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- -------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 (3/99) 18 $77,231
(b) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $389,998,100
------------
Aggregate gross unrealized appreciation
for all investments in which there was
an excess of value over tax cost $123,305,891
Aggregate gross unrealized depreciation
for all investments in which there was
an excess of tax cost over value (9,913,597)
------------
Net unrealized appreciation $113,392,294
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-40
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
CORPORATE BONDS & NOTES - 41.97%
Capital Goods - 1.01%
<S> <C> <C>
Tyco International Group
5.875% due 11/01/04 $600,000 $597,172
6.375% due 06/15/05 750,000 767,620
United Rentals Inc
8.800% due 08/15/08 500,000 492,500
----------
1,857,292
----------
<CAPTION>
Consumer Discretionary - 11.53%
<S> <C> <C>
360 Communications
7.125% due 03/01/03 750,000 792,202
Adelphia Communications Corp
10.250% due 07/15/00 175,000 182,875
Cable & Wire Communications
6.375% due 03/06/03 255,000 255,873
6.625% due 03/06/05 1,000,000 1,010,803
Chancellor Media Corp
8.000% due 11/01/08 250,000 256,875
8.125% due 12/15/07 250,000 250,625
Choice Hotels
7.125% due 05/01/08 450,000 466,122
Domino's Pizza
10.375% due 01/15/09 500,000 503,750
Intermedia Communications
8.600% due 06/01/08 250,000 238,750
ITT Corp (New)
6.250% due 11/15/00 700,000 682,557
Kmart Corp
7.960% due 11/15/99 800,000 803,590
News America Holdings
7.750% due 12/01/45 2,100,000 2,236,500
Owens-Corning
7.500% due 05/01/05 1,170,000 1,204,438
Panamsat Corp
6.125% due 01/15/05 1,680,000 1,663,655
Sears Roebuck
6.630% due 07/09/02 1,866,000 1,919,011
TCI Communications Inc
8.000% due 08/01/05 1,600,000 1,811,094
Tele-Communications
8.250% due 01/15/03 570,000 626,176
Telewest PLC
0.000% due 10/01/00 250,000 210,000
Time Warner Entertainment
8.375% due 07/15/33 2,000,000 2,490,000
TKR Cable I Inc
10.500% due 10/30/07 1,690,000 1,840,065
Viacom Inc
6.750% due 01/15/03 1,610,000 1,658,939
----------
21,103,900
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
Consumer Staples - 2.59%
<S> <C> <C>
International Home Foods
10.375% due 11/01/06 $500,000 $543,750
J Seagram & Sons
6.250% due 12/15/01 450,000 449,611
Keebler Corp
10.750% due 07/01/06 375,000 420,000
Philip Morris Co Inc
7.000% due 07/15/05 340,000 362,893
7.125% due 08/15/02 1,300,000 1,364,121
7.625% due 05/15/02 200,000 212,267
7.750% due 01/15/27 500,000 569,160
Safeway Inc
6.050% due 11/15/03 805,000 813,274
---------
4,735,076
---------
<CAPTION>
Energy - 1.52%
<S> <C> <C>
Gulf Canada Resources
9.250% due 01/15/04 455,000 466,229
Oryx Energy Co
9.500% due 11/01/99 545,000 559,226
R&B Falcon Corp
6.750% due 04/15/05 600,000 547,580
Williams Cos
6.125% due 02/15/02 1,200,000 1,210,520
---------
2,783,555
---------
<CAPTION>
Financial & Business Services - 13.17%
<S> <C> <C>
Allied Waste NA
7.625% due 01/01/06 500,000 505,000
American General
7.500% due 07/15/25 1,500,000 1,642,500
BankAmerica Corp
7.200% due 09/15/02 1,000,000 1,058,132
7.500% due 10/15/02 500,000 534,654
7.875% due 12/01/02 2,500,000 2,710,848
Beneficial Corp
6.250% due 02/18/13 1,240,000 1,262,331
Capital One Bank
6.150% due 06/01/01 3,000,000 2,953,422
Cincinnati Financial Corp
6.900% due 05/15/28 480,000 478,581
Conseco Inc
7.875% due 12/15/00 500,000 496,071
Countrywide Credit Industries Inc
8.050% due 06/15/27 775,000 859,269
Countrywide Funding Corp
6.970% due 03/28/03 1,500,000 1,546,320
GMAC
7.400% due 09/01/25 1,000,000 1,118,750
Household International Inc
6.200% due 12/01/03 1,300,000 1,309,715
Loewen Group International
8.250% due 10/15/03 650,000 562,250
Long Island Savings Bank
6.200% due 04/02/01 1,900,000 1,918,331
7.000% due 06/13/02 875,000 907,218
</TABLE>
See Notes to Financial Statements
B-41
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Meditrust Corp
7.375% due 07/15/00 $600,000 $584,447
MIC Financing Trust
8.375% due 02/01/27 500,000 522,496
NationsBank Corp
6.375% due 05/15/05 925,000 958,998
Simon DeBartolo Group
6.625% due 06/15/03 1,065,000 1,054,019
6.750% due 07/15/04 600,000 595,748
UCAR Global Enterprise
12.000% due 01/15/05 500,000 527,500
----------
24,106,600
----------
Health Care - 0.19%
Tenet Healthcare
8.000% due 01/15/05 260,000 269,400
8.625% due 12/01/03 80,000 83,800
----------
353,200
----------
Materials & Processing - 0.28%
Nortek Inc
8.875% due 08/01/08 ~ 250,000 256,250
Wesco Distributor
9.125% due 06/01/08 250,000 251,250
----------
507,500
----------
Technology - 0.91%
Raytheon Co
6.450% due 08/15/02 1,110,000 1,143,139
7.000% due 11/01/28 500,000 531,919
----------
1,675,058
----------
Transportation - 7.20%
AMR Corp
9.000% due 09/15/16 4,500,000 5,214,375
Chrysler Corp
7.450% due 02/01/97 2,000,000 2,274,480
Ford Motor Co
7.700% due 05/15/97 2,000,000 2,315,026
Hayes Lemmerz International Inc
8.250% due 12/15/08 500,000 500,000
Lear Corp
9.500% due 07/15/06 500,000 552,500
Norfolk Southern
7.900% due 05/15/97 2,000,000 2,322,500
----------
13,178,881
----------
Utilities - 3.57%
CMS Energy Corp
7.375% due 11/15/00 750,000 752,275
MCI Worldcom
7.750% due 04/01/27 750,000 859,734
Niagara Mohawk Power
6.875% due 04/01/03 550,000 573,878
7.000% due 10/01/00 675,000 687,319
8.000% due 06/01/04 500,000 554,322
Orange PLC
8.000% due 08/01/08 500,000 507,500
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
WorldCom Corp
6.400% due 08/15/05 $2,500,000 $2,594,598
----------
6,529,626
----------
Total Corporate Bonds & Notes
(Cost $73,817,120) 76,830,688
----------
MORTGAGE-BACKED SECURITIES - 12.64%
Collateralized Mortgage Obligations - 8.62%
Bear Stearns Commercial Mortgage
6.440% due 06/16/08 " 2,500,000 2,594,888
Citicorp Mortgage Securities
6.750% due 04/25/28 " 3,900,000 3,959,795
First Union-Lehman Brothers
6.560% due 11/18/08 " 2,600,000 2,692,339
IMC Home Equity Loan Trust
6.340% due 08/20/29 " 2,500,000 2,520,112
Norwest Asset Securities Corp
7.000% due 08/25/27 " 3,952,346 4,006,892
----------
15,774,026
----------
Federal Home Loan Mortgage Corporation - 1.91%
5.000% due 06/15/09 " 3,724,000 3,498,214
----------
3,498,214
----------
Federal National Mortgage Association - 2.11%
6.000% due 05/18/28 " 4,000,000 3,861,660
----------
3,861,660
----------
Total Mortgage-Backed Securities (Cost $22,777,582) 23,133,900
----------
OTHER ASSET-BACKED SECURITIES - 9.56%
Aesop Funding II LLC
6.140% due 05/20/06 " 2,500,000 2,501,238
Commercial Mortgage Acceptance Corp
6.490% due 05/15/08 " 2,500,000 2,562,500
GE Capital Mortgage
6.210% due 12/25/23 " 3,214,900 3,038,884
Greentree Financial
6.630% due 06/01/30 " 2,700,000 2,640,398
JP Morgan Comm Mtg Fin Corp
7.323% due 12/26/28 " 555,000 598,925
MBNA Master Credit Card Trust
6.450% due 02/15/08 " 2,500,000 2,618,620
WMC Mortgage Loan
5.730% due 06/20/28 " 3,558,553 3,542,308
----------
Total Other Asset-Backed Securities
(Cost $17,231,972) 17,502,873
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-42
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
STRIPPED COUPON - 2.94%
0.000% due 03/07/13 $12,000,000 $5,385,600
----------
Total Stripped Coupon
(Cost $5,028,332) 5,385,600
----------
U.S. TREASURY STRIPPED - 26.37%
0.000% due 05/15/11 26,900,000 14,107,194
0.000% due 05/15/12 9,700,000 4,778,123
0.000% due 11/15/18 18,800,000 6,264,780
0.000% due 02/15/19 ** 19,800,000 6,493,806
0.000% due 05/15/20 38,000,000 11,654,448
0.000% due 11/15/26 22,000,000 4,985,046
----------
Total U.S. Treasury Stripped
(Cost $47,279,729) 48,283,397
----------
FOREIGN BONDS - 2.16%
Canada - 0.71%
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,297,540
----------
1,297,540
----------
Korea - 0.14%
Korea-Global Bond
6.500% due 11/15/02 280,000 250,522
----------
250,522
----------
Mexico - 0.64%
Petro Mexicanos ~
9.574% due 07/15/05 1,260,000 1,168,650
----------
1,168,650
----------
Philippines - 0.33%
National Power
7.625% due 11/15/00 500,000 490,531
7.875% due 12/15/06 140,000 122,970
----------
613,501
----------
United Kingdom - 0.34%
Ce Electric UK Fund
6.853% due 12/30/04 600,000 621,535
----------
621,535
----------
Total Foreign Bonds
(Cost $3,726,152) 3,951,748
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
FOREIGN GOVERNMENTS - 2.55%
Argentina - 0.18%
Province of Tucuman
9.450% due 08/01/04 $402,501 $323,007
---------
323,007
---------
Colombia - 0.25%
Republic of Colombia
7.625% due 02/15/07 560,000 463,594
---------
463,594
---------
Korea - 0.67%
Korea Dev Bank
7.125% due 09/17/01 220,000 207,678
Republic of Korea
8.750% due 04/15/03 1,000,000 1,021,080
---------
1,228,758
---------
Mexico - 0.34%
Mexico-PAR
6.250% due 12/31/19 790,000 613,512
---------
613,512
---------
Panama - 0.63%
Panama-IRB
4.000% due 07/17/14 330,000 246,367
Republic of Panama
6.191% due 05/10/02 1,006,938 915,415
---------
1,161,782
---------
Poland - 0.48%
Poland Reg'd PAR
3.000% due 10/27/24 450,000 299,694
Poland Reg'd PDI
5.000% due 10/27/14 470,000 438,538
Poland Reg'd Rsta
4.000% due 10/27/24 190,000 135,347
---------
873,579
---------
Total Foreign Governments
(Cost $4,672,263) 4,664,232
---------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-43
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS- 1.81%
COMMERCIAL PAPER - 0.18%
Argentina Treasury Bill
0.000% due 04/16/99 $340,000 $329,120
------------
Total Commercial Paper 329,120
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 1.63%
Goldman Sachs
4.890% due 01/04/99
(Dated 12/31/98, repurchase price
of $2,901,576; collateralized by
Ginnie Mae--market value
$3,014,736 and due 05/15/24) 2,900,000 2,900,000
------------
2,900,000
------------
State Street Bank and Trust
4.000% due 01/04/99
(Dated 12/31/98, repurchase price
of $79,035; collateralized by U.S.
Treasury Bonds--market value
$80,625 and due 11/15/21) 79,000 79,000
------------
79,000
------------
Total Securities Held Under Repurchase Agreements 2,979,000
------------
Total Short-Term Investments
(Cost $3,309,971) 3,308,120
------------
TOTAL BOND AND INCOME PORTFOLIO
(COST $177,843,121) $183,060,558
------------
</TABLE>
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $655,940 have been
segregated with the custodian to cover margin requirements for the following
open interest rate futures contracts at December 31, 1998:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C>
90-Day Eurodollar Futures (9/01) 1 $1,125
U.S. Treasury 5 year Notes (3/99) 134 (8,938)
U.S. Treasury 30 year Bonds (9/98) 272 (552,695)
------------
$(560,508)
------------
(b) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $177,810,136
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over
tax cost $5,974,223
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost
over value (723,801)
------------
Net unrealized appreciation $5,250,422
------------
</TABLE>
See Notes to Financial Statements
B-44
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 97.52%
Capital Goods - 2.75%
Aeroquip-Vickers Inc 4,700 $140,706
AlliedSignal Inc 81,600 3,615,900
AMP Inc 34,333 1,787,462
Armstrong World Industries 5,900 355,844
ASARCO Inc 7,000 105,438
Ball Corp 3,900 178,425
Black & Decker Corp 13,500 756,844
Boeing 148,410 4,841,876
Briggs & Stratton Co 3,300 164,588
Browning Ferris 26,600 756,438
Case Corp 10,300 224,669
Caterpillar Inc 54,200 2,493,200
Cooper Industries Inc 18,600 886,988
Cummins Engine Inc 5,800 205,900
Danaher Corp 19,200 1,042,800
Emerson Electric Co 67,700 4,235,481
Foster Wheeler Corp 7,900 104,181
General Dynamics Corp 18,740 1,098,633
Grainger (W.W.) Inc 13,800 574,425
Illinois Tool Works 36,000 2,088,000
Ingersoll Rand Co 24,250 1,138,233
John Deere & Co 38,700 1,281,938
Lockheed Martin Corp 28,871 2,446,817
Masco Corp 49,600 1,426,000
Milacron 4,500 86,624
NACCO Industries Inc 1,000 92,000
National Semiconductor * 23,100 311,850
Navistar International Corp * 8,960 255,360
Northrop Grumman Corp 10,400 760,500
Parker Hannifin Corp 15,175 496,981
Sealed Air Corp * 12,060 615,813
Textron Inc 22,800 1,731,375
Thomas & Betts Corp 7,900 342,169
TRW Inc 19,400 1,090,038
United Technologies 33,800 3,675,750
----------
41,409,246
----------
Consumer Discretionary - 22.35%
Abercrombie & Fitch Co `A' * 2 142
Alberto-Culver Co 5,500 146,781
Alcan Aluminum Ltd 34,000 920,125
Alltel Corp 40,900 2,446,331
American General Corp 37,265 2,906,670
American Greetings `A' 10,060 413,089
American Home Products 197,300 11,110,456
American Stores Co 39,000 1,440,563
Autozone Inc * 20,900 688,393
Avery Dennison Corp 17,000 766,063
Avon Products Inc 42,100 1,862,925
Bausch & Lomb Inc 8,300 498,000
Bristol Myers Squibb 148,400 19,857,774
Carnival Corp `A' 83,500 4,008,000
CBS Corp 107,400 3,517,350
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Cendant Corp * 129,466 $2,467,946
Circuit City Stores 13,900 694,131
Clear Channel Communications * 36,100 1,967,450
Coastal Corp 29,800 1,041,138
Comcast `A' 47,735 2,801,448
ConAgra 71,200 2,242,800
Consolidated Stores * 15,500 312,906
Corning Inc 34,300 1,543,500
Costco Cos * 31,322 2,261,057
Crane Co 9,150 276,216
CVS Corp 56,000 3,080,000
Darden Restaurants 20,300 365,400
Dayton Hudson Corp 64,900 3,520,825
Deluxe Corp 12,800 468,000
Dillard Department Stores 14,600 414,275
Dollar General 31,900 753,638
Donnelley (RR) & Sons 19,800 867,488
E G & G Corp 6,400 178,000
Eastern Enterprises 2,800 122,500
Eastman Kodak 49,800 3,585,600
Ecolab Inc 18,840 681,772
Federal Express Corp * 21,344 1,899,616
Federated Department Stores * 29,100 1,267,669
Fleetwood Enterprise 5,100 177,225
Fluor Corp Del 11,100 472,444
Fort James Corp 32,800 1,312,000
Fruit of the Loom * 10,200 140,887
Gap Stores Inc 84,600 4,758,750
General Electric 482,000 49,194,125
General Mills Inc 23,900 1,858,225
Gillette Co 166,700 8,053,693
Great Atlantic & Pacific 6,800 201,450
H & R Block 15,300 688,500
Harcourt General Inc 7,542 401,140
Harrah's Entertainment Inc * 13,650 214,134
Hasbro Inc 19,350 699,019
Hilton Hotels Corp 35,900 686,588
Home Depot Inc 214,700 13,136,956
Ikon Office Solutions Inc 20,000 171,250
International Flavors/Fragrances 15,900 702,581
Interpublic Group 19,650 1,567,088
Jostens Inc 4,548 119,101
Kimberly Clark Corp 80,452 4,384,633
King World Productions * 10,500 309,094
Kmart Corp 70,000 1,071,875
Knight-Ridder Inc 11,800 603,275
Kohl's Corp * 23,800 1,462,213
Kroger Co * 36,800 2,226,400
Limited Inc 32,142 936,136
Liz Claiborne Inc 9,760 308,050
Longs Drug Stores 5,300 198,750
Marriott International Inc `A' 37,700 1,093,300
Mattel Inc 44,050 1,004,891
May Department Stores Co 33,200 2,004,450
Maytag Corp 13,600 846,600
McDonalds Corp 101,800 7,800,425
McGraw Hill Inc 14,600 1,487,374
Mediaone Group Inc * 88,800 4,173,600
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-45
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Meredith Corp 5,600 $212,100
Mirage Resorts Inc * 26,700 398,831
Motorola 89,000 5,434,562
National Services Industries 6,100 231,800
New York Times Co 26,800 929,625
Newell Co 23,700 977,625
Nike Inc 27,400 1,111,413
Nordstrom Inc 23,320 808,913
Omnicom Group Inc 24,700 1,432,600
Penny (J.C.) Inc 40,300 1,889,063
PPG Industries Inc 26,100 1,520,325
Procter & Gamble 194,100 17,723,756
Reebok International Ltd 8,780 130,603
Rite Aid Corp 41,200 2,041,974
Rubbermaid Inc 24,400 767,075
Russell Corp 5,700 115,781
Safeway Inc * 74,500 4,539,844
Sears Roebuck 58,400 2,482,000
Service Corp International 37,900 1,442,568
Sigma Aldrich Corp 14,600 428,875
Springs Industries Inc 1,900 78,731
Staples Inc * 45,300 1,979,043
Sysco Corp 49,300 1,352,669
Tandy Corp 13,972 575,472
Tele-Communications `A' * 68,810 3,806,052
Tellabs Inc * 29,600 2,029,450
The Walt Disney Co 307,106 9,213,180
Time Warner Inc 161,640 10,031,783
Times Mirror `A' 8,688 486,528
TJX Cos Inc 45,600 1,322,400
Toys R Us * 41,700 703,688
Tribune Co 17,800 1,174,800
Tricon Global Restaurants * 22,370 1,121,296
Tupperware Corp 8,400 138,075
Tyco International Ltd 96,414 7,273,231
U.S. West Inc 77,136 4,984,914
Unicom Corp 32,200 1,241,712
VF Corp 17,900 839,063
Viacom International Inc 41,838 3,096,012
Walgreen Co 71,800 4,204,788
Wal-Mart Stores Inc 334,700 27,257,131
Warner Lambert Co 123,000 9,248,063
Wendys International Inc 18,600 405,713
Whirlpool Corp 11,100 614,663
Winn Dixie Stores 21,300 955,838
-----------
336,615,887
-----------
Consumer Staples - 6.84%
Albertson's Inc 38,500 2,451,969
Anheuser Busch 70,900 4,652,813
Archer-Daniel Midland 80,969 1,391,655
Bestfoods 42,400 2,257,800
Brown Forman Inc `B' 5,461 413,329
Campbell Soup Co 64,100 3,525,500
Coca-Cola 364,500 24,375,938
Coca-Cola Enterprises 59,800 2,137,850
Colgate Palmolive 43,100 4,002,913
Coors Adolph 4,890 275,979
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Fortune Brands Inc 25,000 $790,625
Fred Meyer Inc * 23,700 1,427,925
Heinz (H.J.) Co 56,350 3,190,818
Hershey Foods Corp 15,800 982,562
Kellogg Co 58,200 1,986,075
PepsiCo 212,300 8,691,030
Philip Morris Co Inc 358,400 19,174,400
Pioneer Hi-Bred Inc 33,140 894,780
Polaroid Corp 6,500 121,469
Quaker Oats Co 19,500 1,160,250
Ralston-Purina Group 45,400 1,469,825
RJR Nabisco Holdings 52,400 1,555,625
Sara Lee Corp 132,200 3,726,387
Seagrams Ltd 53,200 2,021,600
Supervalue Inc 17,200 481,600
Unilever N.V. 92,600 7,680,013
UST Inc 27,100 945,113
Wrigley (W.M. Jr.) Co 13,100 1,173,269
-----------
102,959,112
-----------
Energy - 7.71%
AES Corp * 27,100 1,283,863
Amerada Hess Corp 13,600 676,600
Amoco Corp 3,300 199,237
Anadarko Petroleum 17,400 537,225
Apache Corp 14,300 361,969
Ashland Oil Inc 10,400 503,100
Atlantic Richfield 49,100 3,203,775
Baker Hughes Inc 48,100 850,769
Carolina Power & Light 20,500 964,781
Central & South West 33,000 905,438
Chevron Corp 96,100 7,970,294
Columbia Energy Group 11,800 681,450
Consolidated Edison Inc 33,500 1,771,313
Consolidated Natural Gas 13,600 734,400
CSX Corp 33,600 1,394,400
Cyprus Minerals Co 12,600 126,000
Duke Power 56,726 3,634,009
duPont (EI) deNemours 166,900 8,856,131
Enron Corp 48,600 2,773,238
Exxon Corp 357,300 26,127,563
Firstenergy Corp 32,200 1,048,513
FMC Corp * 4,800 268,800
Halliburton 64,200 1,901,925
Helmerich & Payne 8,000 155,000
Homestake Mining Co 29,100 267,356
Inco Ltd 21,700 229,205
Kerr McGee Corp 8,200 313,650
McDermott International Inc 7,900 195,031
Minnesota Mining & Mfg Co 60,300 4,288,838
Mobil Corp 115,900 10,097,788
Newmont Mining Corp 25,722 464,603
Occidental Petroleum Corp 52,500 885,938
ONEOK Inc 3,200 115,600
Paccar Inc 10,966 450,977
Peoples Energy Corp 5,500 219,313
Phillips Petroleum Co 37,500 1,598,437
Rowan Cos Inc * 13,500 135,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-46
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Royal Dutch Petroleum Guilder 320,000 $15,320,000
Schlumberger Ltd 81,900 3,777,637
Sonat Inc 15,900 430,293
Sunoco Inc 12,657 456,443
Tenneco Inc * 25,200 858,375
Texaco Inc 82,500 4,362,188
Union Pacific Resources 36,726 332,828
Unocal Corp 35,800 1,044,913
USX-Marathon Group 43,700 1,316,463
Williams Cos 65,200 2,033,424
-----------
116,124,093
-----------
Financial & Business Services - 15.86%
Aetna Life & Casualty Co 22,239 1,748,541
Allstate Corp 121,878 4,707,538
American Express Co 66,300 6,779,175
American International Group Inc 153,425 14,824,691
Aon Corp 25,150 1,392,681
Associates First Capital Corp 100,690 4,266,739
Banc One Corp 176,154 8,994,864
Bank of New York Co Inc 110,600 4,451,650
BankAmerica Corp 258,308 15,530,769
BankBoston Corp 47,000 1,830,062
BB&T Corp 41,800 1,685,063
Bear Stearns 18,000 672,750
Capital One Finance 9,600 1,104,000
Chase Manhattan Corp 127,180 8,656,188
Chubb Corp 25,200 1,634,850
CIGNA Corp 30,900 2,388,956
Cincinnati Financial Corp 23,100 846,038
Cinergy Corp 21,113 725,759
CitiGroup Inc 336,909 16,676,996
Comerica Inc 22,750 1,551,266
Conseco Inc 46,513 1,421,554
Countrywide Credit Industries Inc 16,400 823,075
Dow Jones & Co Inc 10,200 490,875
Dun & Bradstreet 24,000 757,500
Equifax Inc 21,300 728,194
FHLMC 98,600 6,353,538
Fifth Third Bancorp 39,575 2,822,192
First Data Corp 64,600 2,047,013
First Union Corp 149,510 9,092,077
Firstar Corp 24,700 2,297,100
Fleet Financial Group Inc 87,130 3,893,622
FNMA 152,100 11,255,400
Franklin Resources Inc 38,300 1,225,600
Gannett Inc 42,800 2,832,825
Golden West Financial Corp 8,700 797,681
Hartford Financial Services Group 35,200 1,931,600
Household International Inc 72,992 2,892,308
Huntington Bancshares 31,100 934,944
IMS Health Inc 24,100 1,818,044
ITT Industries Inc 15,900 632,025
Jefferson Pilot Corp 15,400 1,155,000
Keycorp 64,200 2,054,400
Laidlaw Inc `B' 44,000 442,750
Lehman Brothers Holding Inc 18,300 806,344
Lincoln National Corp 15,900 1,300,819
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Marsh & McLennan Cos 38,050 $2,223,547
MBIA Inc 14,000 917,874
MBNA Corp 109,237 2,724,098
Mellon Bank Corp 38,700 2,660,625
Mercantile Bancorp 22,700 1,047,038
Merrill Lynch Co 50,600 3,377,550
MGIC Investment Corp 17,500 696,718
Morgan (J.P.) and Co Inc 27,400 2,878,713
Morgan Stanley Dean Witter & Co 86,774 6,160,954
National City Corp 48,200 3,494,500
Northern Trust Corp 17,000 1,484,313
Paychex Inc 24,900 1,280,793
PNC Bank Corp 44,500 2,408,563
Progressive Corp 11,100 1,880,063
Provident Cos 18,300 759,450
Providian Corp 21,300 1,597,500
Pulte Corp 8,900 247,530
Regions Financial 31,500 1,269,844
Republic New York Corp 17,700 806,455
Safeco Corp 22,440 963,518
Schwab (Charles) Corp 58,200 3,270,113
SLM Holding Corp 24,600 1,180,800
St. Paul Cos Inc 34,998 1,216,180
State Street Corp 23,600 1,641,675
Summit Bancorp 27,200 1,188,300
SunAmerica Inc 27,700 2,247,162
Suntrust Banks Inc 46,400 3,549,600
Synovus Financial Corp 38,650 942,094
Torchmark Corp 20,400 720,374
Transamerica Corp 9,070 1,047,585
U.S. Bancorp 108,837 3,863,713
Union Planters 19,200 870,000
UNUM Corp 23,100 1,348,463
Wachovia Corp 30,100 2,631,869
Washington Mutual Inc 86,892 3,318,187
Wells Fargo & Co 243,700 9,732,769
-----------
238,923,586
-----------
Health Care - 9.24%
Abbott Laboratories 222,500 10,902,500
Allergan Inc 10,600 686,350
Alza Corp * 13,100 684,475
Amgen Inc * 36,500 3,816,531
Bard (C.R.) Inc 8,400 415,800
Baxter International Inc 42,400 2,726,850
Becton Dickinson 36,200 1,545,288
Biomet Inc 17,940 722,085
Boston Scientific Corp * 57,600 1,544,400
Cardinal Health Inc 29,450 2,234,519
Columbia/HCA Healthcare 91,884 2,274,129
Guidant Corp 22,000 2,425,500
HBO & Co 74,700 2,142,956
HCR Manor Care * 16,100 472,938
Healthsouth Corp * 64,900 1,001,894
Humana Inc 24,800 441,750
Johnson & Johnson 196,400 16,473,050
Lilly (Eli) & Co 162,500 14,442,188
Mallinckrodt Group Inc 10,900 335,856
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-47
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Medtronic Inc 68,300 $5,071,275
Merck & Co Inc 175,800 25,963,463
Pfizer Inc 190,400 23,883,300
Pharmicia & Upjohn Inc 77,435 4,384,756
Schering-Plough 214,400 11,845,600
St. Jude Medical 12,556 347,643
Tenet Healthcare Corp * 45,400 1,191,750
United Healthcare Corp 28,700 1,235,894
-----------
139,212,740
-----------
<CAPTION>
Materials & Processing -
3.18%
<S> <C> <C>
Allegheny Teledyne Inc 25,505 521,258
Aluminum Company of America 27,200 2,028,100
Applied Materials * 56,400 2,407,575
Barrick Gold Corp 54,600 1,064,700
Battle Mountain Gold `A' 18,000 74,250
Bemis Inc 7,300 276,944
Bethlehem Steel Corp 17,700 148,238
Boise Cascade Corp 7,800 241,800
Burlington Northern Santa Fe 68,610 2,315,588
Burlington Resources Inc 28,547 1,022,339
Clorox Co 15,100 1,763,869
Crown Cork & Seal 20,700 637,819
Dover Corp 31,700 1,161,012
Dow Chemical 33,400 3,037,313
Eastman Chemical Co 11,525 515,744
Engelhard Corp 20,912 407,784
Freeport McMoran Copper `B' 18,100 188,918
Georgia-Pacific Corp 14,300 837,444
Grace (W.R.) & Co * 10,800 169,424
Great Lakes Chemical 8,500 340,000
Harnischfeger Industries Inc 6,500 66,219
Hercules Inc 14,900 407,887
International Paper 46,323 2,075,849
Johnson Controls Inc 12,000 708,000
Kaufman & Broad Home 5,900 169,624
Loew's Corp 16,200 1,591,650
Louisiana Pacific Corp 19,700 360,756
Lowe's Co 50,500 2,584,969
Martin Marietta Materials 1 62
Mead Corp 15,200 445,550
Monsanto Co 88,700 4,213,250
Moore Ltd 11,300 124,300
Morton International Inc 21,200 519,400
Nalco Chemical Co 9,600 297,600
Nucor Corp 12,100 523,325
Owens Corning Fiberglass 8,000 283,500
Owens-Illinois Inc * 22,900 701,313
Pall Corp 16,866 426,921
Phelps Dodge Corp 8,200 417,175
Placer Dome Inc 32,100 369,150
Potlatch Corp 3,900 143,813
Praxair Inc 23,300 821,325
Reynolds Metals Co 11,100 584,831
Rohm & Haas Co 25,900 780,238
Sherwin Williams Co 25,500 749,063
Stanley Works 12,100 335,775
Temple Inland Inc 7,600 450,775
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Timken Co 6,900 $130,238
Union Camp Corp 10,200 688,500
Union Carbide Corp 20,600 875,500
USX-US Steel Group 16,560 380,880
Waste Management Inc * 84,060 3,919,298
Westvaco Corp 14,300 383,418
Weyerhaeuser Co 28,700 1,458,319
Willamette Industries 15,800 529,300
Worthington Industries Inc 13,455 168,187
----------
47,846,079
----------
<CAPTION>
Technology - 18.15%
<S> <C> <C>
3 Com Corp * 52,200 2,339,213
Adobe Systems Inc 9,800 458,150
Advanced Micro Devices * 20,300 587,431
America Online Inc * 68,000 9,843,000
Apple Computer 22,150 906,766
Ascend Communications Inc * 31,400 2,064,550
Autodesk Inc 8,760 373,943
Automatic Data Processing 44,000 3,528,250
BMC Software Inc * 32,300 1,439,369
Cabletron Systems * 25,100 210,213
Ceridian Corp * 10,400 726,050
Cisco Systems Inc * 230,750 21,416,484
Compaq Computer Corp 252,042 10,570,011
Computer Association International 81,400 3,469,675
Computer Sciences * 22,800 1,469,175
Compuware Corp * 27,200 2,125,000
Data General Corp * 7,300 119,994
Dell Computer Corp * 189,400 13,861,713
Eaton Corp 10,600 749,288
Electronic Data Systems 71,400 3,587,850
EMC Corp * 75,400 6,409,000
Frontier Corp 25,400 863,600
Gateway 2000 Inc * 22,700 1,161,956
General Instrument Corp * 23,600 800,925
Harris Corp 11,300 413,863
Hewlett Packard Co 153,000 10,451,813
Honeywell Inc 18,200 1,370,688
IBM Corp 135,700 25,070,575
Intel Corp 245,180 29,069,154
KLA-Tencor Corp * 13,200 572,550
LSI Logic * 19,600 316,050
Lucent Technologies Inc 195,628 21,519,080
Micron Technology 35,500 1,794,969
Microsoft Corp * 367,500 50,967,656
Millipore Corp 5,852 166,416
Northern Telecom Ltd 98,640 4,944,330
Novell Inc * 56,600 1,025,875
Oracle Systems Corp * 141,035 6,082,133
Parametric Technology Corp * 44,500 728,687
Peoplesoft Inc * 36,300 687,431
Perkin Elmer Corp 8,000 780,500
Pitney Bowes Inc 41,100 2,715,168
Raychem Corp 11,800 381,288
Raytheon Co `B' 50,400 2,683,800
Rockwell International Corp 29,800 1,447,162
Scientific Atlanta 11,000 250,938
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-48
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Seagate Technology * 36,400 $1,101,100
Shared Medical Systems Corp 3,700 184,537
Silicon Graphics * 27,244 350,767
Solectron Corp * 17,800 1,654,288
Sun Microsystems * 55,500 4,752,187
Tektronix 10,550 317,159
Texas Instruments Inc 57,300 4,902,731
Thermo Electron Corp * 20,100 340,444
Unisys Corp * 36,700 1,263,855
Xerox Corp 49,800 5,876,400
-----------
273,265,200
-----------
Transportation - 2.11%
Air Products & Chemicals 33,600 1,344,000
AMR Corp Del * 27,000 1,603,125
Brunswick Corp 12,400 306,900
Champion International Corp 14,200 575,100
Cooper Tire & Rubber Corp 13,200 269,775
Dana Corp 24,828 1,014,845
Delta Air Lines 21,400 1,112,800
Ford Motor Co 169,200 9,929,925
General Motors Corp 98,900 7,077,531
General Re Corp 500 100,109
Genuine Parts Co 26,175 875,227
Goodrich (B.F.) Co 11,400 408,975
Goodyear Tire & Rubber 23,300 1,175,194
Norfolk Southern 54,000 1,711,125
Pep Boys Manny Moe & Jack 8,200 128,638
Ryder Systems Inc 10,300 267,800
Snap On Inc 11,150 388,159
Southwest Airlines 50,025 1,122,435
U.S. Airways Group Inc * 13,500 702,000
Union Pacific Corp 36,400 1,640,275
-----------
31,753,938
-----------
Utilities - 9.33%
Airtouch Communications Inc * 82,900 5,979,163
Ameren Corp 18,300 781,181
American Electric Power Inc 26,400 1,242,450
Ameritech Corp 160,900 10,197,038
Andrew Corp * 12,525 206,663
AT&T Corp 262,100 19,723,025
Baltimore Gas & Electric 19,450 600,519
Bell Atlantic Corp 232,822 13,227,200
Bell South Corp 285,200 14,224,350
Centex Corp 8,800 396,550
Dominion Resources Inc 33,050 1,545,088
DTE Energy Co 22,100 947,538
Edison International 57,000 1,588,875
Entergy Corp 38,200 1,188,975
FPL Group Inc 26,600 1,639,225
GPU Inc 17,400 768,863
GTE Corp 145,600 9,818,900
Houston Industry Inc 40,929 1,314,844
MCI Worldcom * 260,065 18,659,664
New Century Energies Inc 15,600 760,500
NEXTEL Communications Inc 40,800 963,900
Niagara Mohawk Power 22,700 366,038
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
NICOR Inc 6,900 $291,525
Northern States Power Co 19,500 541,124
Oryx Energy Co 14,900 200,218
Pacificorp 51,100 1,076,294
Peco Energy Co 34,700 1,444,387
PG&E Corp 58,000 1,827,000
PP&L Resources 21,666 603,940
Public Services Enterprises 35,000 1,400,000
SBC Communications 285,248 15,296,423
Sempra Energy 33,047 838,568
Southern Co 101,500 2,949,844
Sprint Corp (PCS Group) * 70,950 1,640,718
Sprint Corp (FON Group) 49,700 4,181,012
Texas Utilities Co 45,910 2,143,423
-------------
140,575,025
-------------
Total Common Stocks
(Cost $1,008,556,406) 1,468,684,906
-------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS- 2.48%
U.S. TREASURY BILLS - 0.10%
4.300% due 02/04/99 ** $60,000 59,756
4.310% due 02/04/99 ** 30,000 29,878
4.340% due 02/04/99 ** 185,000 184,242
4.390% due 02/04/99 ** 1,100,000 1,095,439
4.410% due 02/04/99 ** 15,000 14,938
4.480% due 02/04/99 ** 85,000 84,640
4.500% due 02/04/99 ** 80,000 79,660
-------------
Total U.S. Treasury Bills 1,548,553
-------------
TIME DEPOSIT - 2.14%
State Street Bank and Trust
3.128% due 01/04/99 32,274,000 32,274,000
-------------
Total Time Deposit 32,274,000
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-49
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
SECURITIES HELD UNDER REPURCHASE
<S> <C> <C>
AGREEMENT - 0.24%
State Street Bank and Trust
3.500% due 01/04/99
(Dated 12/31/98, repurchased price
of $3,587,395; collateralized by U.S.
Treasury Bonds--market value
$3,661,719 and due 11/15/21) $3,586,000 $3,586,000
--------------
Total Securities Held Under Repurchase
Agreement 3,586,000
--------------
Total Short-Term Investments
(Cost $37,408,553) 37,408,553
--------------
TOTAL EQUITY INDEX PORTFOLIO (COST $1,045,964,959) $1,506,093,459
--------------
</TABLE>
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $1,548,553 have
been segregated with the custodian to cover margin requirements for the
following open stock index futures contracts at December 31, 1998:
<TABLE>
<S> <C> <C>
Number of Unrealized
Type Contracts Appreciation
- -------------------------------------------------------------------------------
S&P 500 (3/99) 75 $207,175
--------------
(b) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $1,045,964,959
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $490,053,813
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (29,925,313)
--------------
Net unrealized appreciation $460,128,500
--------------
</TABLE>
See Notes to Financial Statements
B-50
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
PREFERRED STOCKS - 1.91%
Australia - 0.16%
News Corporation Ltd 240,100 $1,582,732
----------
1,582,732
----------
Germany - 1.75%
Dykerhoff AG 26,580 7,423,466
Hornbach Holdings AG 16,045 958,874
Suedzucker AG 19,640 8,906,093
----------
17,288,433
----------
Total Preferred Stocks
(Cost $22,509,485) 18,871,165
----------
COMMON STOCKS - 88.54%
Australia - 1.55%
Brambles Industries Ltd 57,600 1,400,090
Colonial Ltd 446,400 1,528,652
Commonwealth Bank Australia 101,850 1,442,621
CRA Ltd * 138,400 1,638,045
Fosters Brewing Group 590,800 1,596,832
Lend Lease Corp Ltd 65,200 877,136
National Australian Bank Ltd 112,000 1,684,805
Oil Search Ltd 511,300 515,889
Telstra Corp Ltd * 495,200 2,310,477
Westpac Banking Corp 117,600 785,283
WMC Ltd 225,300 677,833
Woolworths Ord 250,900 852,431
----------
15,310,094
----------
Belgium - 0.76%
Gib Holding Ltd 143,507 7,506,796
----------
7,506,796
----------
Brazil - 0.00%
Banco Bradesco SA 200,000 1,109
Banco Bradesco SA Rights 8,289 5
----------
1,114
----------
Denmark - 0.72%
Unidanmark AS 78,500 7,092,352
----------
7,092,352
----------
Finland - 4.93%
Huhtamaki I 72,600 2,762,216
KCI Konecranes International 92,748 4,183,614
Kone Oy `B' 59,090 6,837,310
Merita Ltd `A' 2,530,700 15,981,435
Metra Oy `B' 317,400 5,477,834
Rauma Oy Fim 430,050 6,241,226
Sampo Insurance Co `A' 179,290 6,803,874
Valmet Oy Corp 24,805 330,801
----------
48,618,310
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
France - 8.10%
Bull SA * 306,835 $2,299,993
Cie De St Gobain 76,610 10,813,595
CNP Assurances * 236,400 7,181,130
Elf Aquitaine ** 90,700 10,482,079
Group Danone ** 22,884 6,550,275
LaFarge Coppee 35,460 3,368,533
Legris Industries 153,073 7,500,639
Michelin (CGDE) B Ord Compagne 171,270 6,848,042
Rhone-Poulenc `A' 195,120 10,039,181
Seita Societe 14,300 895,389
Total SA `B' ** 71,240 7,213,532
Union Des Assurances Federal 50,529 6,707,369
----------
79,899,757
----------
Germany - 7.09%
BASF AG ** 254,900 9,729,358
Bayer 82,100 3,449,290
Bayer Hypo-Vereinsbank A ** 111,547 8,830,232
Buderus AG 20,800 7,683,113
Fresenius AG 22,010 4,626,866
Holzmann (Phillip) AG * 66,888 10,445,287
Plettac AG 51,879 4,113,053
Veba AG 120,400 7,137,439
Viag AG 7,470 4,419,322
Volkswagen AG 117,300 9,497,006
----------
69,930,966
----------
Hong Kong - 1.50%
China Light & Power 171,900 856,449
China Telecom * 380,000 657,244
Dairy Farm International Holdings * 460,000 529,000
Hong Kong & China Gas 515,600 655,522
Hong Kong Electric Holdings 200,000 606,647
Hong Kong Telecommunication 467,200 817,110
HSBC Holdings PLC 83,768 2,086,767
Hutchison Whampoa Ltd 417,000 2,946,854
Li & Fung Ltd 272,400 564,314
Smartone Telecommunication 178,000 493,966
Sun Hung Kai Properties 376,000 2,742,046
Swire Pacific Ltd `A' 252,000 1,128,674
Television Broadcasts 133,000 343,336
VTech Holdings Ltd 75,000 327,202
----------
14,755,131
----------
Ireland - 1.92%
Bank of Ireland 524,464 11,488,637
Greencore Group PLC 1,616,000 7,456,790
----------
18,945,427
----------
Italy - 5.20%
Banca Popolare Di Bergamo 189,820 4,608,495
Italgas 84,300 456,542
Magneti Marelle Spa 1,903,840 3,296,623
Marzotto (Gaetano) Spa 652,080 7,185,302
Mediaset Spa 1,241,400 10,071,388
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-51
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Sogefi 856,200 $2,327,525
Telecom Italia Spa 33,330 284,529
Telecom Italia Spa RISP 3,655,200 23,015,333
----------
51,245,737
----------
Japan - 18.83%
Aiwa Co Ltd 65,000 1,706,984
Amada Co 452,000 2,178,841
Autobacs Seven 27,000 904,164
Canon Inc 239,000 5,086,451
Casio Computer 290,000 2,131,395
Dai Nippon Printing 219,000 3,477,753
Daicel Chemical Industries 852,000 2,522,776
Daifuku 449,000 2,389,918
Daikin Industries 387,000 3,819,696
Family Mart 44,000 2,186,913
Fuji Machine Manufacturing Co 164,000 5,159,551
Fuji Photo Film 148,000 5,477,859
Fujitec Co Ltd 219,000 1,404,997
Fujitsu Ltd 461,000 6,114,166
Furukawa Electric Co Ltd 712,000 2,415,686
Hitachi Credit Corp 188,000 4,158,449
Hitachi Ltd 844,000 5,206,433
Inabata & Co 176,000 468,403
Kaneka Corp 553,000 4,127,702
Kurita Water Industries 185,000 2,703,062
Kyocera Corp 75,000 3,945,803
Kyudenko Co Ltd 149,000 1,003,181
Lintec Inc 146,000 1,352,245
Matsushita Electric 327,000 5,760,502
Minebea Co Ltd 160,000 1,824,543
Mitsubishi Chemical Corp 978,000 2,051,236
Mitsubishi Estate 271,000 2,419,238
Mitsubishi Heavy Industries 858,000 3,326,900
Mitsumi Electric Co Ltd 217,000 4,570,434
Murata Manufacturing Co 93,000 3,843,754
NEC Corp 634,000 5,810,619
NIFCO 233,000 1,870,571
Nintendo Corp Ltd 66,000 6,368,804
Nippon Telegraph & Telephone 695 5,340,736
Nissan Motor Co Ltd 1,167,000 3,558,334
Nissha Printing 120,000 729,676
NTT Data Corp 385 1,903,371
ONO Pharmaceutical Co 94,000 2,924,168
Ricoh Co 588,000 5,399,392
Rinnai Corp 91,000 1,584,631
Rohm Co 21,000 1,904,296
Ryosan Co 54,000 858,956
Sangetsu Co Ltd 74,000 1,102,093
Sankyo Co Ltd 237,000 5,158,757
Sanwa Shutter 396,000 1,723,939
Sekisui Chemical Co 313,000 2,096,321
Sekisui House Ltd 234,000 2,464,243
Shin-Etsu Polymer Co 249,000 1,294,646
Sony Corp 88,000 6,382,375
Sumitomo Marine & Fire 209,000 1,318,740
Suzuki Motor Co 251,000 2,964,001
TDK Corp 64,000 5,826,129
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Tokyo Electron Ltd 105,000 $3,969,597
Toshiba 910,000 5,397,048
Toyota Motor Corp 172,000 4,653,360
Tsubakimoto Chain 604,000 1,282,785
Yamaha Corp 219,000 2,258,030
Yamanouchi Pharmaceutica 181,000 5,806,037
-----------
185,690,690
-----------
Malaysia - 0.10%
Carlsberg Brewery 71,000 203,658
Guinness Anchor Berhad 97,000 97,510
Nestle (Malaysia) Berhad 79,000 316,000
RJ Reynolds Berhad 7,000 7,921
Rothmans Pall Mall Ord 57,000 336,000
-----------
961,089
-----------
Netherlands - 3.47%
ABN Amro Holding Nv 211,200 4,437,919
AKZO Nobel Nv 229,885 10,455,989
Ing Groep Nv 212,243 12,927,877
Philips Electronics 95,200 6,381,104
-----------
34,202,889
-----------
New Zealand - 0.05%
Telecom Corp of New Zealand - 68814 * 106,400 461,898
Telecom Corp of New Zealand - IR 26,800 58,524
-----------
520,422
-----------
Norway - 1.20%
Saga Petroleum `A' 294,900 2,697,333
Sparebanken Norway 471,169 9,177,268
-----------
11,874,601
-----------
Singapore - 0.34%
City Developments 125,000 541,339
Natsteel Electronics Ltd 206,000 524,046
Singapore Airline Ltd 76,000 556,996
Singapore Tech Engineering 257,000 239,721
United O/S Bank 161,000 1,033,677
Venture Manufacturing Singapore 119,000 454,088
-----------
3,349,867
-----------
Spain - 3.36%
Banco Bilbao Vizcaya 437,460 6,857,706
Iberdrola SA 744,700 13,930,169
Telefonica De Espana SA 125,547 5,581,439
Telefonica De Espana SA Right * 125,547 111,452
Uralita 595,500 6,629,020
-----------
33,109,786
-----------
Sweden - 4.05%
Autoliv Inc 304,300 10,898,957
BT Industries Ab 287,994 4,182,688
Nordbanken Holding Ab 1,471,400 9,417,250
Svedala Industri Ab 494,250 7,178,252
Svenska Handelsbanken `A' 195,000 8,208,253
-----------
39,885,400
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-52
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Switzerland - 9.10%
Bobst AG 2,640 $3,266,376
Forbo Holdings AG 13,230 5,777,293
Holderbank Finan Glaris 9,705 11,484,956
Nestle Sa Bearer Reg 9,930 21,608,952
Richemont (Fin) 13,398 18,936,620
Schindler Holding AG 4,800 8,174,672
Sig Schweiz Industrie Ge 5,455 3,215,830
Swisscom AG * 19,010 7,955,422
UBS AG 3,982 1,223,001
Valora Holding AG 29,740 8,041,055
-----------
89,684,177
-----------
United Kingdom - 16.27%
Aegis Group PLC 2,971,900 4,324,454
Allied Domecq PLC 147,600 1,337,601
Allied Zurich * 283,200 4,224,200
Bank of Scotland 926,344 11,029,269
BG PLC 910,079 5,730,955
British Telecomm 491,700 7,374,945
Bunzl PLC 760,400 2,969,498
Burmah Castrol 675,351 9,670,343
Capital Radio PLC 953,451 9,201,770
Charter PLC 1,183,100 6,395,714
Devro PLC 1,951,900 5,551,006
Diageo PLC 350,130 3,921,974
Great Univ Stores 806,540 8,419,216
Halma PLC 3,045,100 6,185,683
IMI PLC 599,000 2,359,068
Imperial Tobacco Group 1,073,200 11,478,639
Lonrho Africa PLC 520,525 2,762,114
Morgan Crucible Co 1,546,700 7,117,362
Premier Farnell PLC 919,800 2,417,534
Premier Oil PLC 13,369,600 3,491,797
Reckitt & Colman 956,549 12,594,407
RMC Group PLC 546,780 7,434,923
Scapa Group PLC 1,823,900 3,009,360
Scottish Media Group 130,700 1,530,137
Sun Alliance Group 990,416 7,990,068
Williams PLC 55,600 311,171
WPP Group PLC 1,918,500 11,580,125
-----------
160,413,333
-----------
Total Common Stocks
(Cost $857,459,474) 872,997,938
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENTS - 9.55%
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 9.55%
State Street Bank and Trust
4.000% due 01/04/99 **
(Dated 12/31/98, repurchase price
of $94,194,838; collateralized by
U.S.
Treasury Bonds--market value
$96,075,938 and due 11/15/21) $94,152,274 $94,152,274
------------
Total Securities Held Under Repurchase
Agreement 94,152,274
------------
Total Short-Term Investment
(Cost $94,152,274) 94,152,274
------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $974,121,233) $986,021,377
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-53
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $94,309,710 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at December 31, 1998:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------
<S> <C> <C>
CAC 40 Index Future (3/99) 154 $128,678
DAX Index Future (3/99) 80 1,851,345
FTSE 100 Index (3/99) 474 1,746,350
Topix Index Future (3/99) 56 32,343
U.S. Treasury 10 Year Inflation (3/99) 11 123,181
------------
$3,881,897
------------
</TABLE>
(b) Forward foreign currency contracts outstanding at December 31, 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>
BP Buy 1/99 $23,704,665 $(189,725)
DM Buy 1/99 22,802,964 165,416
FF Buy 1/99 14,975,810 41,111
Sell 1/99 13,746,000 (1,641)
JY Buy 1/99 158,483,185 3,428,168
Sell 1/99 55,539,133 (2,931,315)
IL Buy 1/99 7,479,554 36,480
Sell 1/99 6,418,000 (10,575)
-----------
$537,919
-----------
</TABLE>
Principal amount denoted in the indicated currency:
BP - British Pound
DM - German Mark
FF - French Franc
JY - Japanese Yen
IL - Italian Lira
(c) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $974,121,233
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $113,294,148
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (101,394,004)
------------
Net unrealized appreciation $11,900,144
------------
</TABLE>
See Notes to Financial Statements
B-54
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 91.74%
Argentina - 5.58%
Astra Argentina De 317,470 $374,965
Banco Frances SA 42,234 300,142
Banco Galicia 68,922 303,541
Dalmine Siderar SA 1,979 5,249
Dalmine Siderca SA 230,037 262,487
Inversiones Y Representaciones GDR 6,742 187,512
Molinos Rio De La Plata 27,043 63,611
Perez Compancia ADR 76,943 651,523
Renault Argentina SA 39,560 49,892
Telefonica De Argentina ADR 48,153 1,345,274
Transportadora De Gas ADS 115,189 228,288
YPF Sociedad Anonima ADR 77,300 2,159,569
---------
5,932,053
---------
Brazil - 8.18%
Aracruz Celulose SA PNB 210,000 156,457
Banco Bradesco SA 95,949,207 532,169
Banco Bradesco SA Rights 3,977,012 2,305
Banco Itau SA PN 1,504,300 734,704
Centrais Eletrobras 59,809,000 1,148,650
Cia Cervejaria Brahma 602,600 263,388
Cia Energetica Minas Ger 22,432,782 427,114
Cia Paulista De Forca E 2,339,037 168,457
Cia Siderurgica Nacional 23,710,600 529,955
Cia Souza Cruz Ind Com 52,400 338,344
Cia Vale Do Rio Doce 65,380 838,899
Petrol Brasileiros 6,517,800 739,188
Telebras ADR 30,600 2,224,237
Telecommunicacues Brasileiras ADR 8,022,100 358,604
Usinas Siderurgicas Mina 104,759 231,545
---------
8,694,016
---------
Chile - 7.02%
Banco Santander ADR 71,775 1,049,709
Compania Cervecerias Unidas ADR 18,600 358,050
Compania De Telefono Chili ADR 75,906 1,570,305
Empresa ADR 81,575 927,916
Enersis ADR 66,685 1,721,307
Gener SA ADR 41,574 665,184
Madeco SA ADR 42,085 352,462
Masisa SA ADR 49,075 312,853
Sociedad Quimica Y Minera Chile 14,690 494,869
---------
7,452,655
---------
Greece - 2.75%
Alpha Credit Bank 4,440 462,850
Ergo Bank SA 2,200 254,298
Hellenic Bottling Co SA 11,000 339,262
Hellenic Telecommun Organization SA 35,555 945,004
National Bank of Greece 3,120 701,249
Titan Cement Co 3,000 230,111
---------
2,932,774
---------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Hungary - 8.97%
Danubius Hotels RT * 12,900 $269,997
Gedeon Richter RT 24,150 1,028,291
Graboplast RT 4,700 35,880
Magyar Olaj Es Gazipare 87,300 2,392,364
Matav RT 667,000 3,810,457
Otp Bank RT 34,900 1,747,591
Pick Szeged RT 5,650 239,918
---------
9,524,498
---------
India - 2.92%
Bajai Auto GDR 14,995 234,372
BSES Ltd GDR 11,800 150,450
Eih Ltd GDR 14,200 78,100
Gujarat Ambuja GDR 18,200 120,120
Hindalco Industries GDR * 27,200 319,056
Indian Hotels Co Ltd GDR 15,070 131,863
Indian Rayon & Industries GDR 22,800 57,683
Larsen & Tourbro Ltd 16,300 125,184
Mahanagar Telephone Niga 37,300 455,060
Reliance Industries GDS 53,900 301,840
State Bank of India GDR 40,200 334,866
Tata Engineering & Loco Co GDR 80,120 320,480
Videsh Sanchar Nigam Ltd 38,300 469,175
---------
3,098,249
---------
Israel - 7.66%
Agis Industries Ltd * 52,800 279,352
Bank Leumi Le 335,000 473,715
Bezek * 208,200 650,406
Bezek Hapoalim Bm 621,100 1,124,737
Blue Square Chain Stores * 39,200 470,415
ECI Telecommunications ORD 27,800 990,375
Elite Industries * 22,980 701,857
Formula Systems 22,700 562,287
ICL Israel Chemical 458,000 452,691
Koor Industries 9,100 794,406
Super-Sol 233,400 579,823
Teva Pharmaceutical ADR 25,970 1,061,733
---------
8,141,797
---------
Kazakhstan - 0.44%
Central Asia Regional GR * 155,596 466,789
---------
466,789
---------
Mexico - 8.14%
Cemex SA 112,196 241,836
Cifra V * 576,063 697,906
Controladora Coml Mexica 273,004 192,936
Desc SA `B' 252,500 214,134
Desc SA `C' 2,505 2,352
Empresas Ica Sociedad 125,784 93,973
Empresas Moderna SA 88,700 522,976
Fomento Economico Mexica 11,884 316,412
Grupo Bimbo `A' 164,800 316,123
Grupo Carso SA De Cv 129,400 438,954
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-55
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Grupo Financiero Banamex * 274,979 $316,483
Grupo Industrial Alfa 133,600 376,319
Grupo Mexico SA 162,150 360,151
Grupo Modelo SA De Cv 481,528 1,018,477
Grupo Televisa GDS 12,450 307,359
Industrias Penoles SA 87,750 265,775
Kimberly Clark De Mexico 125,880 400,325
Telefonos De Mexico ADR 50,000 2,434,375
Tubos De Acero De Mexico 8,361 54,024
Tv Azteca SA ADR 10,600 70,887
---------
8,641,777
---------
Peru - 3.88%
Banco Wiese ADR 111,450 208,969
Cementos Lima SA 80,555 95,987
Creditcorp ADR 74,577 671,193
Enrique Ferreyros 125,206 113,084
Luz Del Sur 283,600 182,446
Minas Buenaventura `A' 48,524 292,174
Minas Buenaventura `B' 13,531 81,473
Minsur SA 55,176 86,029
Southern Peru Copper 13,623 41,014
Telefonica De Peru `B' 1,566,958 1,971,422
Union De Cervecerias Peru 1,134,595 373,944
---------
4,117,735
---------
Philippines - 2.07%
Ayala Land Inc 618,300 174,841
Manila Electric Co 88,000 282,776
Metropolitan Bank & Trust 50,200 361,337
Petron Corp * 2,152,000 235,116
Philippine Long Distance 19,400 498,715
San Miguel Corp `B' 147,700 284,768
Sm Prime Holdings Inc 1,923,800 365,967
---------
2,203,520
---------
Poland - 8.36%
Amica Wronki * 50,100 222,667
Argos Holding * 7,900 28,584
Bank Handlowy W Warszawi 57,540 709,824
Bank Przemyslowo Handlow 6,180 366,223
Bank Rozwoju Eksportu 47,585 1,098,115
Bank Slaski SA 19,840 1,028,741
Big Bank Gdanski SA 536,100 481,115
Debica 16,250 240,741
Elektrim 172,290 1,865,249
Polifarb 177,689 422,707
Softbank Sa 12,590 326,407
Stomil Olsztyn SA 34,200 174,410
Telekomunikacja Polska GDR * 215,000 1,096,500
Wielkopolski Bank 130,786 823,467
---------
8,884,750
---------
Portugal - 5.70%
Banco Commercial Portugal 15,570 477,879
Banco Espirito Santo 17,287 535,632
BPI 15,600 528,514
Brisa Auto-Estradas De Portugal 4,500 264,443
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Cimpor Cimentos De Portugal 13,802 $439,837
Electricidade De Portugal 65,100 1,430,891
Investec 6,250 214,887
Jeronimo Martins 7,395 403,867
Mundial Confianca * 8,500 269,881
Portugal Telecom 24,319 1,113,140
Sonae Industria E Investmentos 7,717 374,523
---------
6,053,494
---------
South Africa - 4.99%
Absa Group Ltd 40,260 190,697
Anglo American Platinum 26,600 364,436
Anglogold Ltd 6,330 246,311
Barlow Ltd 83,548 320,561
DeBeers Consolidated Minings ADR 50,540 643,521
Driefontein 42,000 167,565
Firstrand Ltd 221,000 240,877
Liberty Life Association of Africa 38,738 532,707
Naspers Ltd 75,550 295,004
Nedcor * ~ 28,387 496,773
Rembrandt Group 109,017 666,290
Sasol Ltd 65,100 245,911
Smith CG Ltd 110,642 250,765
South African Breweries 33,902 570,381
Woolworth GDR 15,100 68,403
---------
5,300,202
---------
South Korea - 4.97%
Hyundai Motor Co Ltd 17,300 307,747
Korea Electric Power Corp 57,400 1,421,879
Korea Fund * 110,400 1,021,200
LG Chemical 30,500 332,127
Pohang Iron & Steel ADR 21,900 377,775
Samsung Display Devices * 7,900 389,418
Samsung Electronics Co 14,700 986,110
Shinsegae Dept Store 7,700 168,978
SK Corp 19,800 271,571
---------
5,276,805
---------
Taiwan - 0.03%
President Enterprise GDS * ~ 3,456 30,672
---------
30,672
---------
Turkey - 7.27%
Adana Cimento 10,662,280 196,072
Akbank 20,306,784 412,059
Arcelik 26,196,500 755,828
Aygaz AS 4,308,000 286,836
Bagfas Bandirma Gubre 4,240,000 168,041
Brisa Bridgestone Sabanc 11,003,000 247,690
Cukurova Elektrik As 354,000 381,611
Ege Biracilik Ve Malt 5,635,000 437,722
Eregli Demir Ve Celik FA * 5,942,000 244,914
Migros Turk Tas 715,313 714,405
Netas Telekomunik * 3,926,000 72,197
Sabanci Holding 23,645,000 363,596
Turkiye Garanti Bankasi * 31,312,500 774,374
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-57
B-56
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
December 31, 1998
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Turkiye Is Bankasi `C' 75,305,500 $1,957,847
Yapi Ve Kredi Bank 61,255,432 708,884
------------
7,722,076
------------
<CAPTION>
Venezuela - 2.81%
<S> <C> <C>
Banco Provincial 378,976 412,879
Cia Anonima Telefono De Venezuela 64,550 1,149,797
Corp Venezolana De Cemen 462,950 303,439
Electricidad De Caracas 1,704,370 735,792
Mavesa SA ADR 39,550 148,313
Siderurgica Venezolana 3,593,283 232,338
------------
2,982,558
------------
Total Common Stocks
(Cost $120,930,817) 97,456,420
------------
<CAPTION>
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENT - 8.26%
<S> <C> <C>
Chase Bank London
4.875% due 01/04/99 $8,770,157 8,770,157
------------
Total Short-Term Investment
(Cost $8,770,157) 8,770,157
------------
<CAPTION>
TOTAL EMERGING MARKETS PORTFOLIO
<S> <C> <C>
(COST $129,700,974) $106,226,577
------------
</TABLE>
Notes to Schedule of Investments
(a) At December 31, 1998, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $129,700,974
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $5,926,063
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (29,400,460)
------------
Net unrealized depreciation $(23,474,397)
------------
</TABLE>
Explanation of Symbols For Schedules of Investments
~ Securities purchased in a
private placement
transaction; resale to the
public may require
registration.
# Forward buy contract.
+ Securities are valued under
procedures established by
the Board of Trustees.
* Non-income producing
securities.
** Securities have been
fully/partially segregated
with the custodian to cover
margin requirements for open
futures contracts as of
December 31, 1998.
" Pass-through security backed
by a pool of mortgages or
other loans on which
principal payments are
periodically made.
Therefore, the effective
maturity is shorter than the
stated maturity.
See Notes to Financial Statements
B-57
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4,
1987. The Fund currently consists of fourteen separate portfolios (the
"Portfolios"): the Money Market Portfolio, the High Yield Bond Portfolio, the
Managed Bond Portfolio, the Government Securities Portfolio, the Growth
Portfolio, the Aggressive Equity Portfolio, the Growth LT Portfolio, the
Equity Income Portfolio, the Multi-Strategy Portfolio, the Equity Portfolio,
the Bond and Income Portfolio, the Equity Index Portfolio, the International
Portfolio, and the Emerging Markets Portfolio. The assets of each Portfolio
are segregated and a shareholder's interest is limited to the Portfolio in
which shares are owned. The investment objective of each Portfolio is
summarized in the following table:
<TABLE>
<C> <S>
Money Market Current income consistent with preservation of capital
- -------------------------------------------------------------------------------
High Yield Bond High level of current income
- -------------------------------------------------------------------------------
Managed Bond Maximize total return consistent with prudent investment
management
- -------------------------------------------------------------------------------
Government Securities Maximize total return consistent with prudent investment
management
- -------------------------------------------------------------------------------
Growth Growth of capital
- -------------------------------------------------------------------------------
Aggressive Equity Capital appreciation
- -------------------------------------------------------------------------------
Growth LT Long-term growth of capital consistent with the
preservation of capital
- -------------------------------------------------------------------------------
Equity Income Long-term growth of capital and income
- -------------------------------------------------------------------------------
Multi-Strategy High total return
- -------------------------------------------------------------------------------
Equity Capital appreciation
- -------------------------------------------------------------------------------
Bond and Income 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 December 31, 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.
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 estimates and assumptions
that affect the reported amounts and disclosures in the financial statements.
Actual results could differ from those estimates.
A. Portfolio Valuation
The net asset value per share is calculated separately for each Portfolio.
The net asset value per share is determined by dividing the value of each
Portfolio's net assets by the number of outstanding shares of the Portfolio.
Portfolio securities are valued and the net asset value per share is
determined at or about 4:00 p.m. New York City time on each day the New York
Stock Exchange is open.
Portfolio securities for which market quotations are readily available are
stated at market value. Market value is determined on the basis of last
reported sales price, or, if no sales are reported, the mean between the
representative bid and asked quotations obtained from a quotation reporting
system or from established market makers. In other cases, securities are
valued at their fair value as determined in good faith pursuant to procedures
established by the Board of Trustees of the Fund (such valuation methods were
used for approximately 6% and
B-58
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
8% of the Managed Bond and Government Securities Portfolios' investments,
respectively, as of December 31, 1998). Money market instruments are valued at
amortized cost which approximates market value.
B. Securities Transactions and Investment Income
Securities transactions are recorded on a trade date basis. Dividend income is
recorded on the ex-dividend date or, for certain foreign dividends, as soon as
the Portfolio becomes aware of the dividends. Interest income is recorded on
the accrual basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
C. 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
reported as net realized and unrealized foreign exchange gain or loss.
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.
D. 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.
E. 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--$5,843; Aggressive Equity Portfolio--$18,679; Growth
LT Portfolio--$96,953; Equity Income Portfolio--$91,804; Multi-Strategy
Portfolio--$18,100; Equity Portfolio--$18,223; Equity Index Portfolio--
$103,757; International Portfolio--$2,149,658; Emerging Markets Portfolio--
$269,683.
F. Expense Allocation
General expenses of the Fund (including trustees, legal and audit fees, and
proxy and shareholder meeting costs) are allocated among the Portfolios in
proportion to their relative average daily net assets. Expenses which relate
exclusively to a particular Portfolio (including advisory fees, registration
fees, brokerage commissions, interest expenses and certain taxes) are borne
directly by the particular Portfolio.
G. Organization Costs
Expenses incurred by each Portfolio in connection with its organization are
being amortized over five years at the rates of 10%, 15%, and 25% in years one,
two, and three through five, respectively. At December 31, 1998, the
unamortized balance of such expenses amounted to $11,707 each for the
Aggressive Equity Portfolio and the Emerging Markets Portfolio.
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.
I. 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
B-59
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
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 and 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.
J. Options on Futures Contracts
The Managed Bond and Government Securities Portfolios wrote options on
interest rate futures contracts during the year ended December 31, 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 or 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.
K. 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 or
other currencies.
L. Repurchase Agreements
Each Portfolio in the Fund may invest in repurchase agreements. Repurchase
agreements permit the investor to maintain liquidity and earn income over
periods of time as short as overnight. Repurchase agreements held by the Fund
are fully collateralized by U.S. Government securities and such collateral is
in the possession of the Fund's custodian. The collateral is evaluated daily
to ensure its market value exceeds the current market value of the repurchase
agreements including accrued interest. In the event of default on the
obligation to repurchase, the Fund has the right to liquidate the collateral
and apply the proceeds in satisfaction of the obligation.
3. 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
B-60
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
4. CUSTODIAN AND RECORDKEEPING AGENT
Custodial and recordkeeping service costs are accrued under the Custody
Agreements on a daily basis by the Fund on a per transaction and net asset
basis for each Portfolio.
5. DISTRIBUTIONS TO SHAREHOLDERS
The Fund currently declares and pays dividends on net investment income
monthly for all the Portfolios, except the International Portfolio and the
Emerging Markets Portfolio, for which dividends are declared and paid at least
annually. All realized capital gains are distributed at least annually for all
Portfolios. Distributions to shareholders are recorded on the ex-dividend
date. All dividends are reinvested in additional shares of the related
Portfolios unless a shareholder elects to receive a dividend in cash.
The Fund declared and paid sufficient dividends on net investment income and
capital gains distributions during 1998 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 Code"). The Fund also intends to declare
and distribute sufficient dividends during 1999 to avoid Federal income and
capital gains taxes, pursuant to the Code. Net capital loss carryovers and
post-October 31 capital losses, if any, as of December 31, 1998, are available
to offset future realized capital gains and thereby reduce future taxable
gains distributions.
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.
6. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $42,096,141 of investment advisory fees and $231,976 of
support services expenses to Pacific Life for the year ended December 31, 1998
(Note 3). As of December 31, 1998, $4,159,070 and $105,465 respectively,
remained payable.
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
year ended December 31, 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.
7. CUSTODIAN CREDITS
Under an agreement between each Portfolio and the Fund's Custodian, agreed
upon Custodian Fees and Expenses are reduced by credits granted by the
Custodian from any temporarily uninvested cash. Such credits are shown under
the caption "Custodian Credits" on the Statements of Operations.
B-61
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
8. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments and the
Money Market Portfolio since it trades exclusively in short-term debt
securities) for the year ended December 31, 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 $4,048,750 $355,702,089 $245,788,488
Managed Bond Portfolio 1,488,926,527 1,202,113,787 261,673,010 118,930,269
Government Securities
Portfolio 419,560,632 337,107,676 49,367,823 10,051,805
Growth Portfolio 132,602,121 118,773,921
Aggressive Equity Portfolio 361,821,040 284,030,379
Growth LT Portfolio 1,048,352,951 992,961,336
Equity Income Portfolio 1,039,153,735 793,448,525
Multi-Strategy Portfolio 179,255,994 165,926,301 431,236,248 282,100,986
Equity Portfolio 601,343,686 495,868,998
Bond and Income Portfolio 164,562,427 122,848,670 125,603,086 100,385,277
Equity Index Portfolio 369,306,902 28,139,258
International Portfolio 540,386,856 377,642,144
Emerging Markets Portfolio 70,497,766 27,913,479
</TABLE>
B-62
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
9.SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the years ended December 31, 1998 and 1997
were as follows:
<TABLE>
<CAPTION>
High Yield Bond Managed Bond
Money Market Portfolio Portfolio 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 161,374,210 69,266,087 15,780,671 16,492,058 25,342,250 18,496,718
Distributions reinvested 2,477,219 2,055,630 3,355,168 2,132,659 3,471,301 1,899,678
Shares redeemed (161,102,188) (58,497,432) (8,621,585) (6,020,762) (3,566,392) (2,540,180)
---------------------------------------------------------------------------------
Ending Balances 47,651,670 44,902,429 41,704,121 31,189,867 67,320,096 42,072,937
---------------------------------------------------------------------------------
<CAPTION>
Aggressive Equity
Government Securities Portfolio Growth Portfolio Portfolio
1998 1997 1998 1997 1998 1997
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 12,051,232 9,394,471 10,020,064 7,800,722 10,976,802 4,626,146
Shares sold 9,301,422 4,335,056 4,068,349 2,932,756 10,212,762 10,100,063
Distributions reinvested 957,236 554,504 1,071,873 1,063,998 5,359
Shares redeemed (4,964,086) (2,232,799) (3,470,285) (1,777,412) (3,915,124) (3,749,407)
---------------------------------------------------------------------------------
Ending Balances 17,345,804 12,051,232 11,690,001 10,020,064 17,279,799 10,976,802
---------------------------------------------------------------------------------
<CAPTION>
Equity Income Multi-Strategy
Growth LT Portfolio Portfolio Portfolio
1998 1997 1998 1997 1998 1997
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 39,129,648 26,561,383 32,938,927 20,994,540 22,687,601 15,296,734
Shares sold 13,850,638 14,040,035 13,266,463 12,098,809 10,504,376 7,072,785
Distributions reinvested 1,902,343 1,725,463 4,741,512 1,821,638 2,660,280 1,534,626
Shares redeemed (6,040,388) (3,197,233) (4,012,925) (1,976,060) (2,573,665) (1,216,544)
---------------------------------------------------------------------------------
Ending Balances 48,842,241 39,129,648 46,933,977 32,938,927 33,278,592 22,687,601
---------------------------------------------------------------------------------
<CAPTION>
Bond and Income Equity Index
Equity Portfolio Portfolio Portfolio
1998 1997 1998 1997 1998 1997
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 13,315,239 9,869,194 8,674,393 6,789,034 33,994,421 19,267,562
Shares sold 5,574,261 5,203,027 6,487,680 2,986,511 16,549,343 17,509,062
Distributions reinvested 876,648 474,172 670,883 603,053 829,868 1,316,528
Shares redeemed (2,594,350) (2,231,154) (1,957,885) (1,704,205) (5,085,686) (4,098,731)
---------------------------------------------------------------------------------
Ending Balances 17,171,798 13,315,239 13,875,071 8,674,393 46,287,946 33,994,421
---------------------------------------------------------------------------------
<CAPTION>
Emerging Markets
International Portfolio Portfolio
1998 1997 1998 1997
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 47,142,608 29,479,456 10,502,506 4,554,623
Shares sold 75,839,873 24,443,338 6,655,635 11,872,367
Distributions reinvested 4,302,553 1,503,506 174,623 51,232
Shares redeemed (64,241,801) (8,283,692) (1,771,212) (5,975,716)
---------------------------------------------------------------------------------
Ending Balances 63,043,233 47,142,608 15,561,552 10,502,506
---------------------------------------------------------------------------------
</TABLE>
-----------------
B-63
<PAGE>
1998 Annual Report
.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. 15-20951-01
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
92799
ADDRESS SERVICE REQUESTED
