<PAGE>
. Pacific Select Fund
June 30, 1999
Semi-Annual
Report
PACIFIC SELECT FUND
<PAGE>
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PACIFIC SELECT FUND
<S> <C>
Chairman's Letter.................................................. A-1
Performance Discussion............................................. A-2
Financial Statements:
Statements of Assets and Liabilities............................. B-1
Statements of Operations......................................... B-3
Statements of Changes in Net Assets.............................. B-5
Financial Highlights............................................... B-9
Schedules of Investments and Notes................................. B-13
Notes to Financial Statements...................................... B-80
Special Meeting of Shareholders.................................... B-86
</TABLE>
<PAGE>
PACIFIC SELECT FUND
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the Fund) Semi-
Annual Report dated June 30, 1999. 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 sixteen of the Portfolios of the
Fund, as listed below:
<TABLE>
<CAPTION>
Portfolio Manager Portfolio
- ----------------- ---------
<S> <C>
Pacific Life Money Market
High Yield Bond
Pacific Investment Management Company (PIMCO) Managed Bond
Government Securities
Capital Guardian Trust Company (Capital Guardian) Growth
Alliance Capital Management L.P. (Alliance Capital) Aggressive Equity
Janus Capital Corporation (Janus) Growth LT
J.P. Morgan Investment Management Inc. (JPMIM) Equity Income
Multi-Strategy
Salomon Brothers Asset Management Inc (Salomon) Large-Cap Value
Lazard Asset Management (Lazard) Mid-Cap Value
Goldman Sachs Asset Management (Goldman Sachs) Equity
Bond and Income
Bankers Trust Company (Bankers Trust) Equity Index
Small-Cap Index
Morgan Stanley Asset Management (Morgan Stanley) REIT
International
Blairlogie Capital Management (Blairlogie) Emerging Markets
</TABLE>
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, 1999 to June 30, 1999, and the anticipated outlook for the last six
months of 1999.
We look forward to continued growth in assets in 1999 and beyond.
Sincerely,
/s/ THOMAS C. SUTTON
Thomas C. Sutton
Chairman of the Board
Pacific Select Fund
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
Money Market Portfolio
- ----------------------
Q: How did the Portfolio perform over the first half of 1999?
A: The Portfolio outperformed the Merrill Lynch 90-day T-Bill Index (Merrill
Lynch Index) by 6 basis points during the period with a year-to-date total
return of 2.30%**. The yield measured during the 7-day period ending June 30,
1999 was 4.59%**.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Having last changed target interest rates in November 1998, the Federal Open
Market Committee (FOMC) tightened the Federal Fund's target interest rate on
June 30, 1999 from 4.75% to 5.00%. Market anticipation of the rate change
caused fluctuations in offering levels, increasing variability of the
Portfolio's short-term yields. Share fluctuations in the Portfolio moderated
our ability to purchase longer dated securities and to take advantage of rising
interest rates during the period. Our intention of increasing asset-backed
holdings in the Portfolio was tempered by a significant re-pricing of the
sector during the period.
Portfolio out-performance compared to the Merrill Lynch Index is attributed to
the Portfolio's barbell structure, which benefited from a flatter second
quarter yield curve and a longer duration than the benchmark Index. Maintaining
high Portfolio liquidity to fund redemptions remains a primary factor in
maturity selection and security type, and limited some higher yielding
investment options. The Portfolio's purchases of longer dated corporate bonds
offering higher yields also benefited from the Federal Reserve System's (Fed)
stabilizing monetary policy.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: During the first half of 1999, we saw a conservative re-pricing of the
commercial paper market relative to issuers considered very liquid and those
considered less liquid. This was somewhat expected as the market was still
feeling the effects of last year's financial crisis. Traditional names such as
General Motors Acceptance Corporation, Ford Motor Credit, and General Electric
Capital Corporation performed very well and were priced accordingly. We found
value in other top tier names such as Pacific Gas & Electric Corporation,
BellSouth Telecommunications and Sallie Mae.
Consistent with past history, issuers experiencing downgrades or placement on
ratings watch lists, traded much cheaper relative to the above issuers. Keeping
in line with our investment philosophy, we avoid investments in companies on
review for possible downgrade. Most ratings actions have been attributed to
pending merger or acquisition activity, which may offer buying opportunities in
the future.
Q: What is your outlook for the remainder of 1999?
A: We expect the second half of 1999 to exhibit a certain level of issuer
scarcity, as Portfolio needs are met and potential ramifications of the Year
2000 reduce supply. Uncertainty surrounding the FOMC's mid-third quarter
meeting may precipitate rate volatility. Given this, we expect to hold the
Portfolio's average maturity slightly longer than our benchmark Index and take
maturities beyond year-end as needed. We will continue to look for yield
enhancing securities such as longer dated corporate bonds and asset-backed
commercial paper. With the year coming to a close, potential Year 2000
complications may provide additional issuance variability. As a result, we plan
to keep a close eye on market trends and will look to identify buying
opportunities.
High Yield Bond Portfolio
- -------------------------
Q: How did the Portfolio perform over the first half of 1999?
A: For the first half of 1999, the total return for the Portfolio was 0.79%**
versus 2.82%* for the CS First Boston Global High Yield Bond Index (First
Boston Index) and -2.27%* for the Lehman Brothers Government/Corporate Bond
Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Factors that negatively affected performance of the Portfolio during the
period were a higher weighting versus the First Boston Index in the upper tier
segment of the high yield bond market and a lower weighting versus the
benchmark Index in the CCC and non-rated segments of the market, which
significantly outperformed other segments of the market. Nearly 13% of the
benchmark Index was represented by the CCC and non-rated segments of the market
versus just 1.5% for the Portfolio during the period. Additionally, the
Portfolio was underweighted versus the First Boston Index in emerging markets,
which outperformed other segments of the market.
A positive factor affecting performance of the Portfolio was that we continued
to overweight the tele-communications sector, which was the top performing
sector for the first half of 1999.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Higher oil prices contributed to the strong second quarter performance in
the energy sector in which the Portfolio was slightly overweighted compared to
the First Boston Index. Grey Wolf rose over 15 points in the first half of the
year. On June 24, Carrier Corp., a division of United Technologies, announced
that it would purchase International Comfort Product with the bonds to be
tendered at a spread of 37.5 basis points.
- ---------------
* 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)
Optel, which provides telephone, cable and Internet services to apartment
complexes postponed its Initial Public Offering (IPO) as a result of a drop in
bond prices. The healthcare sector in which the Portfolio was evenly weighted
with the First Boston Index, and especially long-term care providers,
significantly underperformed during the first half of 1999.
Q: What is your outlook for the remainder of 1999?
A: The high yield bond and equity markets responded favorably to the Fed's 25
basis point increase in rates and unexpected shift to a neutral bias. After
negative returns for the months of May and June combined, the high yield bond
market welcomed the move and started to rebound in July. With improved investor
sentiment and continued demand from collateralized bond obligations (CBO), we
believe the outlook for high yield bonds is attractive.
Managed Bond and Government Securities Portfolios
- -------------------------------------------------
Q: How did the Portfolio perform over the first half of 1999?
A: The total return for the Managed Bond Portfolio for the first half of 1999
was -2.41%** versus -2.27%* for the Lehman Brothers Government/Corporate Bond
Index. The return for the Government Securities Portfolio was -2.48%** versus
- -2.27%* for the Lehman Brothers Government Bond Index.
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the first half of the year?
A: Interest rates rose sharply during the first six months of 1999 as strong
economic growth in the U.S. and signs of recovery elsewhere in the world
sparked concern that the Fed would boost interest rates. The yield on the 30-
year Treasury bond ended the period at 5.97%, up 88 basis points, and the yield
on the 10-year Treasury climbed more than 100 basis points.
On the final day of the period, the Fed raised the Federal Funds rate by 25
basis points to 5.00% in a pre-emptive move to prevent acceleration of
inflation. At the same time, the Fed dropped its bias toward tightening.
Removal of the Fed's tightening bias came amid encouraging news about
inflation. After a surprise jump in the April consumer price index (CPI), led
by higher energy prices, the CPI was unchanged in May. A reduction in new home
sales due to higher borrowing costs suggested the economy might be slowing,
reducing inflationary pressure. Economic expansion kept labor markets tight,
with unemployment at a 29-year low, but growth in wage costs slowed. Workers
were willing to accept smaller pay increases with inflation subdued and real
incomes rising.
With goods inflation relatively benign, Fed tightening was aimed more at
potential asset bubbles in housing and stock markets, where price gains have
lifted consumer confidence to record highs and stimulated increases in
consumption that fueled economic growth.
In this environment, duration, or sensitivity to interest rates, modestly
above the benchmark Indices detracted from returns in both the Managed Bond and
Government Securities Portfolios. A focus on intermediate maturity securities
was also negative as these rates rose the most. However, our emphasis on high-
yielding pass-through and collateralized mortgage-backed securities was
beneficial for both Portfolios. Modest positions in high-quality emerging
market and below-investment grade bonds added to the Managed Bond Portfolio's
returns due to their relatively high yields.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Mortgages were emphasized more than investment-grade corporate bonds because
corporate bonds offer relatively low yields after they are risk-adjusted. As
noted, limited holdings of below-investment grade corporate bonds and emerging
market debt added to the Managed Bond Portfolio's returns during the period.
The Managed Bond Portfolio's below-investment grade holdings focused on less
cyclical bonds, which proved beneficial in an environment where investors were
concerned that Fed tightening might slow the economy. Holdings of emerging
market debt were concentrated among top-tier issues in such countries as South
Korea and Mexico.
Q: What is your outlook for the remainder of 1999?
A: U.S. economic growth will moderate as higher borrowing costs slow consumer
and investment spending. In this environment, the Fed is unlikely to embark on
a prolonged series of rate hikes such as last occurred in 1994, when real
interest rates were lower and inflation higher. Inflation is expected to trend
upward due to higher oil prices and a leveling off of other commodity prices
after recent declines, but global excess capacity and technology-driven
productivity gains should limit these increases.
Moderating growth and low inflation is expected to keep interest rates near
current levels over the next few months, providing an opportunity to enhance
performance with securities that offer additional yield, such as mortgages,
callable Treasuries and select holdings of investment-grade corporate bonds
that offer value. In the Managed Bond Portfolio, we plan to hold modest levels
of below-investment grade and emerging market debt to take advantage of their
relatively high yields.
Growth Portfolio
- ----------------
Q: How did the Portfolio perform over the first half of 1999?
A: The Growth Portfolio's total return for the six-month period ended June 30,
1999 was 15.13%** versus 9.28%* for the Russell 2000 Small Stock Index (Russell
2000 Index) and 12.38%* for the Standard & Poor's 500 Composite Stock Price
Index (S&P 500 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-3
<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 first half of the year?
A: After a continued decline in the first quarter of 1999, U.S. small-
capitalization stocks had a long-awaited resurgence. The Russell 2000 Index
gained 15.6%*, beating the S&P 500 Index for the first time since the third
quarter of 1997.
The good performance of small-cap stocks was in part led by an overall
broadening of the market in which we saw a turning away from the mega-cap names
that have been driving the tremendous returns of the U.S. stock market.
Virtually all sectors that had been out of favor since the start of the Asian
financial crisis in 1997 did well in the second quarter. This group included
energy, industrial, commodity, and traditional technology, as well as small-
and mid-cap stocks.
The market passed acid tests with the near-bankruptcy of Long-Term Capital
Management last fall and the Brazilian real devaluation this past January. As
the financial crises of the past two years recede into history, investors now
seem more willing to assume some risk and invest beyond the largest and most
liquid companies in the S&P 500 Index. Midway through 1999, the U.S. economy is
still going strong, with first-quarter Gross Domestic Product (GDP) well ahead
of estimates at 4.3%; recoveries in the Asian economies seem securely underway;
and the struggling European markets now reflect stronger earnings momentum.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: During the first half of 1999, the Portfolio benefited from an overweighting
in a number of technology names. Our bottom-up search for attractive stocks has
led us to focus on semi-conductor equipment companies, software,
communications, and Internet technologies.
The largest technology holdings in the Portfolio remain the semi-conductor
equipment companies that have staked out unique market niches. These companies
help to make chips smaller, denser, faster and cheaper.
Companies in the Portfolio that are benefiting from the growth of the semi-
conductor industry include: Lam Research, Credence Systems Corporation,
Novellus Systems Inc., Kulicke and Soffa Industries, and Photronics Lab Inc.
Photronics (0.7% of Portfolio at 6/30/99) is one of the world's leading and
fastest growing manufacturers of photomasks--high precision quartz plates that
contain microscopic images of electronic circuits. Photronics is also
positioning itself as a leader in so-called "next generation lithography"
through its working relationship with ASM Lithography, the market leader in
lithography machine technology.
Another company with a strong market niche is Cymer, Inc. (1.1% of the
Portfolio at 6/30/99), a leader in advanced laser technology. Due to the
strength of its product development and technological edge over many of its
competitors, we believe Cymer is well positioned to become the dominant global
laser supplier.
Other holdings in the Portfolio which did well in the first half of 1999
included Sensormatic Electronics, Fuller, Remedy Corporation, Dollar, Thrifty
Group, and The Topps Company. These are all turnaround situations where we know
management well and are confident about the direction they are taking their
companies going forward.
Q: What is your outlook for the remainder of 1999?
A: We think that investors will begin to believe in small-cap companies again
as we distance ourselves further from the negative events of late 1997. We
expect to see a gradual broadening of the market as investors become more
focused on the long term and are more willing to accept a moderate level of
risk in owning stocks that are less liquid. Signs of firmer stock prices in
Japan and the emerging markets suggests to us that some investors are taking
this step and that we may have already begun to turn the corner.
Investors are now demonstrating a willingness to venture outside the mega-cap
names as it becomes evident that liquidity and large market cap do not
guarantee outperformance in perpetuity. Valuations are still at an extreme for
large-cap stocks; suggesting that the market is not ready for earnings
disappointment when many of the large companies in the S&P 500 Index are
currently not meeting earnings estimates, or are in other ways giving cause for
investors to question their very high valuations. Within this context, we
believe that the current market environment is poised for small-cap stocks to
do well relative to large-cap stocks in the months ahead.
Aggressive Equity Portfolio
- ---------------------------
Q: How did the Portfolio perform over the first half of 1999?
A: For the first six months of 1999, the Portfolio returned 13.49%** versus
12.38%* for the S&P 500 Index and 10.88%* for the Russell 2500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Large-capitalization stocks as represented by the S&P 500 Index have
continued to outperform mid- and small-cap indices, although the gap has
narrowed in the past several months. The equity market has experienced this
very narrow leadership for some time. While we have believed that the gap
between the "favored few" and the balance of the market could not persist, a
catalyst for change proved elusive. This has provided a negative backdrop for
the Portfolio's performance. More recently,
- ---------------
* 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)
perceptions and reality have changed. Asian economies seem to have bottomed
and are showing subtle signs of recovery. European interest rates have been
cut, which should lead to more balanced worldwide growth. More importantly,
earnings for a broad range of U.S. industries and companies have met or
exceeded expectations. Nevertheless, for the first six months of 1999, the
Portfolio notably outperformed the Russell 2500 Index, and also modestly
outperformed the large-cap S&P 500 Index.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The Portfolio was heavily focused in the consumer technology and financial
sectors, positioning it to benefit from the best performing sectors during the
period, which were technology and telecommunications. Holdings such as Nextel
Communications Inc., Novell Inc. and Hyperion Telecommunications Inc. showed
sharp price appreciation during the first half of 1999. In addition,
individual holdings such as Cablevision Systems, Nielson Media Research, and
NTL Inc. had positive gains. On the negative side, the Portfolio's holdings in
Policy Management Systems and Seagate Technology have been very disappointing.
Q: What is your outlook for the remainder of 1999?
A: Slow economic growth of 3% or so combined with continued low inflation of
2% provides a positive financial environment. Most importantly, we believe
that the world economic concerns (so apparent just nine months ago) are behind
us. This should lead to a further broadening of the U.S. equity market and a
more positive environment for small- and mid-cap stocks.
Growth LT Portfolio
- -------------------
Q: How did the Portfolio perform over the first half of 1999?
A: For the six-month period ending June 30, 1999, the total return for the
Growth LT Portfolio was 33.58%** versus a gain of 12.38%* for the S&P 500
Index and 10.88%* for the Russell 2500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Continued strength in the U.S. economy proved to be a mixed blessing during
the first six months of 1999, first compelling investors to bid up large,
growth oriented companies, and later forcing a shift in favor of economically
sensitive cyclical shares, as fears of increasing interest rates finally
unnerved investors. Investors cheered, however, when the Fed announced a
modest 25 basis point increase in short-term rates and adopted a neutral bias
toward future rate increases on June 30, 1999--sending share prices broadly
higher and allowing growth stocks to regain some of their earlier momentum.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: A number of important themes within the Portfolio continued to produce
results, including semi-conductor positions Maxim Integrated Products and
Vitesse Semiconductor Co. Both companies enjoy high margins and stand to
benefit from the proprietary nature of their newly developed technologies for
years to come. Sentiment surrounding cable and media shares also improved,
sending positions in Portfolio holdings of Time Warner Inc. and cable
operators Comcast, Cablevision Systems and United International Holdings
higher. Despite the strong performance, however, there were a few
disappointments. Pharmaceutical companies came under heavy selling pressure as
interest rate worries and renewed fears of Medicare reform cast a pall over
the industry, and our position in Eli Lilly & Co. traded lower as a result.
While we are monitoring developments in the sector closely, we believe that
substantial Medicare reform will not occur until after the 2000 presidential
election. Furthermore, the reforms will likely make drugs more affordable for
many Medicare recipients, thereby creating a significant increase in volumes
that would more than compensate for any price-related losses.
Q: What is your outlook for the remainder of 1999?
A: Looking ahead, we were encouraged by the Fed's restraint at its June
meeting. However, we believe that a further increase in U.S. interest rates is
a distinct possibility and are monitoring the situation closely. Meanwhile,
the earnings outlook for companies based in the U.S. and Japan, and to a
lesser extent those based in Europe, have improved as a result of a relatively
dramatic turnaround in Asian and Latin American markets. While we view these
events as encouraging, we will continue to focus on adding only those
companies capable of growing faster than the overall market, regardless of
changes in the macro-economic environment, as we selectively look for new
opportunities in technology, communications and other sectors of the economy.
Equity Income and Multi-Strategy Portfolios
- -------------------------------------------
Q: How did the Portfolios perform over the first half of 1999?
A: The Equity Income Portfolio's total return was 13.88%** for the six-month
period ended June 30, 1999 versus the 12.38%* return of the S&P 500 Index.
The Multi-Strategy Portfolio gained 7.39%** for the six-month period ended
June 30, 1999 versus the S&P 500 Index return of 12.38%* and the Lehman
Brothers Aggregate Bond Index return of -1.38%*. The
- ---------------
* 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)
Portfolio finished up the period with an allocation of 55% in equity
securities and 45% in fixed income securities.
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the first half of the year?
A: U.S. equity markets were pulled in opposing directions during the first
half of 1999. Robust first quarter earnings reports suggested that corporate
profits would be healthier than originally anticipated; but strong growth
prospects sent a chill through the bond market. At the same time, early
indications of an improving global economic scene shifted Fed focus from
supporting liquidity to preventing domestic over-heating, culminating in a
rate hike on the last day of the period. Against this backdrop, cyclical
sectors, such as basic industry and capital goods, suddenly showed surprising
vigor. Through this turbulence, however, the strength and consistency of S&P
500 Index returns remained remarkable, achieving double digit gains on a
trailing four quarter basis 17 of the last 18 quarters.
The true hallmark of this period was the dramatic reversal of prevailing
trends: the largest stocks underperformed the broader market, and value
outperformed growth. The S&P Value Index finished the first half of the year
up 14%, while the S&P Growth Index was up only 11% for the same time period.
Signs of an improving global economy proved to be the catalyst. Fears of a
looming deflationary spiral faded, stimulating investor appetite for more
cyclical, economically sensitive sectors. Meanwhile, prospects for a global
reversal of deflation dramatically altered interest rate expectations. Thus,
investors were less willing to pay up for growth as it was easier to come by,
and was being discounted at higher rates.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The Portfolios benefited from the market's rotation out of the high-priced,
mega-cap growth names and into a broader collection of stocks. Our valuation
discipline kept the Portfolios concentrated in stocks which our analysts have
identified as being the most attractively priced relative to their long-term
fundamentals. Conversely, we continued to underweight the "Nifty Fifty"
stocks, which underperformed during the period.
The Portfolios' holdings in the Technology sector boosted performance with a
tilt toward Internet infrastructure companies, such as Sun Microsystems, EMC
Corp., and Cisco Systems Inc., significantly advancing relative returns. The
Portfolios were also overweight versus the S&P 500 Index in Texas Instruments
Inc., whose more cyclical characteristics and digital signal processor prowess
gained favor with investors during the period.
Multi-sector holdings also outpaced their S&P 500 Index counterparts. Higher
earnings expectations drove Tyco International Ltd. shares higher. Results
were also enhanced by not holding General Electric or America Online, which
turned in comparably dull performance for the six months ended June 30, 1999.
Detracting slightly from the Portfolios' success was the underperformance of
long-distance carrier holdings relative to the regional Bell operating
companies.
For the Multi-Strategy Portfolio, in the fixed income market, the yield curve
shifted upward and interest rate volatility increased during the period as
confirmed expectations of a preemptive tightening by the Fed filtered into the
bond market. Strong economic fundamentals and attractive spreads in the
corporate bond market were overwhelmed by weak technicals. Given that this
situation is not expected to improve until later in the year, we pared down
the Multi-Strategy Portfolio's corporate debt exposure during the first half
of 1999.
Q: What is your outlook for the remainder of 1999?
A: Despite the Fed's return to a neutral bias, we think more tightening may be
possible. Given this view, we expect to maintain a moderately short duration
position in the Multi-Strategy Portfolio's fixed income holdings.
Going forward, we expect the equity market to continue to broaden. The
largest stocks are still trading at a considerable premium to the rest of the
market at a time when global economic recovery should disproportionately
improve prospects for cyclical companies. As valuation creeps back into
consideration, we believe that our research-driven, disciplined investment
approach will deliver excellent results.
Large-Cap Value Portfolio
- -------------------------
Q: How did the Portfolio perform over the first half of 1999?
A: The Portfolio remains comfortably ahead of the S&P 500 Index on a year-to-
date basis and continues to perform well versus its large-capitalization value
peer group, outpacing that group both in the month of June and in the second
quarter. For the first six months of 1999 the Portfolio returned 15.56%**
since inception versus the S&P 500 Index's 12.38%* return.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The Portfolio's outperformance of the S&P 500 Index during the six month
period is primarily due to increased market breadth. A gradual increase in
interest rates during the second quarter of 1999 caused investors to look
beyond the narrow group of large-cap growth stocks that had driven the
market's performance over several prior quarters. Cyclical stocks also
rebounded nicely due to continued strong economic growth in the U.S., as well
as signs of economic improvement overseas. The Portfolio was well positioned
during the period for these moves.
- ---------------
* 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)
The Portfolio lost some ground relative to its peer group in the first half
of the six month period, mainly due to its overweighted position in Philip
Morris Co., Inc. (Philip Morris) relative to the S&P 500 Index. Philip Morris
declined 17% in February after a California jury awarded a plaintiff $50
million. We expect this award to be reduced significantly, and for Philip
Morris' stock price to return to prior levels over time. Although these price
dips normally offer an opportune time to buy, we sat tight given the
Portfolio's current position size. Interestingly, RJR Nabisco Holdings (RJR),
the Portfolio's top position, did not decline in value with Philip Morris. RJR
had excellent valuation support from Nabisco, which it owned 80% of at the
time.
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 Portfolio's performance were the consumer
staples and energy sectors. We felt these sectors offered good value and
defensive characteristics and thus we maintained an overweight stance versus
the S&P 500 Index. We recently went to an overweight position in communication
services as well, adding to our Regional Bell Operating Company positions. We
remained underweighted versus the Index in the technology, capital goods and
healthcare sectors due to the unattractive valuations the sectors had to
offer.
The Portfolio's underweighted position in healthcare has declined modestly.
The Portfolio had been underweighted in healthcare all year, primarily due to
the high valuation of pharmaceutical stocks. However, after the significant
sell-off in those names, we recently added Eli Lilly & Co to the Portfolio.
Q: What is your outlook for the remainder of 1999?
A: In general, we would expect continued volatility going forward, though we
don't necessarily expect a major correction. The Fed has engineered a nice
balance of strong economic growth, low inflation and favorable interest rates.
Those factors, coupled with strong expected quarterly earnings, should
continue to support equity prices.
Mid-Cap Value Portfolio
- -----------------------
Q: How did the Portfolio perform over the first half of 1999?
A: For the first six months of 1999, the total return for the Mid-Cap Value
Portfolio since inception was 11.98%**, outperforming the Russell Midcap Index
return of 10.34%*.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Merger activity helped the Portfolio during the period as one of our
holdings received a takeover offer at a substantial premium to its market
price. In the producer manufacturing sector, General Dynamics bid for
Gulfstream Aerospace (2.1% position at 6/30/99). The increasing number of
large companies making strategic acquisitions of small- and mid-capitalization
stocks to take advantage of their depressed valuations gives us added
confidence in the attractiveness of the asset class. The Portfolio was hurt by
the performance of a few stocks in the finance sector, Franklin Resources Inc.
(1.6% position) and Protective Corporation (1.2% position). In addition,
Watson Pharmaceuticals (1.4% position) in the health sector detracted from the
Portfolio's performance.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Within the Portfolio, holdings in the producer manufacturing sector
performed well, benefiting from the renewed interest in cyclical shares as
well as company-specific events. Ingersoll-Rand Co. (0.6% position) reported
strong results as management's efforts to reposition the company through
restructuring and strategic acquisitions are paying off. In the consumer
discretionary sector the Portfolio's newspaper holdings, Tribune Co. (2.2%
position) and New York Times Co. (2.3% position), performed well due to
improving business fundamentals and a growing appreciation of their Internet
initiatives. Tandy Corporation (0.7% position), operator of the Radio Shack
chain, posted strong gains after announcing earnings above expectations driven
by strong sales of wireless phones. Consumer cyclical holdings in the
Portfolio such as Whirlpool Corporation (0.8% position) and Ethan Allen
Interiors (2.0% position) benefited from better visibility of economic growth.
Performance in the finance sector was disappointing.
Q: What is your outlook for the remainder of 1999?
A: The recent market broadening of the past six months that so benefited
diversified portfolios was a welcome, if inevitable, result of the rotating
market cycle as it spoke of generally increased investor confidence. However,
its effects should be carefully considered. As value investing has evolved
from looking at absolute valuations to examining relative value, the value
playing field has become more competitive. This more competitive environment
was preceded by the wave of merger & acquisition activity that swept the
market in the last few years. The determination of large companies to make
value decisions by opportunistically acquiring smaller companies at extremely
low valuations was distinguished by a focus on the actual financial
productivity of those companies. Mid-cap companies were then set on an
irreversible course of streamlining their operations in order to continue to
deliver capital efficiency. Similarly, broadly diversified portfolios will
outperform too, granted they take into account the financial productivity of
their value purchases. Once again, a thorough examination of companies will
remain central to providing strong
- ---------------
* 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)
earnings growth at reduced risk. We will continue to search the mid-cap
investment universe for companies that are financially productive, yet
inexpensively priced.
Equity Portfolio
- ----------------
Q: How did the Portfolio perform over the first half of 1999?
A: The Portfolio's total return for the six months ended June 30, 1999 was
13.56%**, outpacing both the S&P 500 Index return of 12.38%*, and the Russell
1000 Growth Index (Russell 1000 Index) return of 10.45%*.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The U.S. continued its historic economic expansion and stock market advance
in the first six months of 1999. Overall, the market closed the six month
period on a positive note in anticipation of strong second quarter earnings
announcements and due to positive Fed positioning. The Fed raised its guideline
interest rate the expected quarter point and indicated its neutral position
towards future rate increases, which put to rest investor fears of inflation
and sharp future interest rate increases.
The markets witnessed a sustained period of extreme outperformance by a short
list of giant growth and technology favorites during the first quarter of 1999.
This was followed by a sudden diffusion of market leadership in the second
quarter as global economic strength inspired investors to venture towards
discounted segments of the market-value-oriented, smaller cap and economically
sensitive industrial stocks. By the end of the period, however, the market
reasserted its preference for large-cap growth stocks. The shifting back and
forth between size and style categories meant that volatility in the market
remained quite high during the reporting period.
Our quantitative process seeks out stocks with good momentum that also appear
to be good values (CORE strategy). Based on rigorous testing of the variables
that have led to excess returns in the past, the strategy underlying the
Portfolio prefers stocks with good momentum, lower-than-average risk,
attractive valuations, and favorable analyst opinions. Over the long term,
these factors have led to excess returns, although they typically do not
produce positive returns simultaneously. During the six month period, our
concentration on stocks with attractive valuations and good momentum
contributed positively to returns. However, our concentration on stocks of low
risk and stocks favored by research analysts produced mixed results; during the
first quarter, both factors contributed positively to return, during the second
quarter, both factors fared poorly.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: In the CORE strategy products we do not take size or sector bets, which
enables us to participate in market-wide movement. We seek to add value versus
the Index by individual stock selection.
In the technology sector, stock selection was strong and contributed
significantly to performance. Notable out-performers in this area were Cisco
Systems, Inc. (3.3% of the Portfolio at 6/30/99), IBM Corp. (2.4%), Lucent
Technologies Inc. (1.7%) and Lexmark International Group, Inc. (1.0%).
In the pharmaceutical sector, several of the Portfolio's holdings declined
from their highs as positive participation spread more broadly across the
market. Notable underperformers were Merck & Co. Inc. (1.9% at 6/30/99), Pfizer
Inc. (1.5%), Schering-Plough Corporation (1.1%) and American Home Products
Corporation (0.6%). We continue to believe in the management quality and
positive demographic trends behind these businesses.
Q: What is your outlook for the remainder of 1999?
A: Despite a slight slowing in the economy at the end of the reporting period,
the FOMC tightened rates on June 30, 1999. In fact, Fed officials likely kept
the directive in order to signal that this first move may not be the last.
However, we anticipate that Fed officials are unlikely to tighten monetary
policy aggressively anytime soon. The current primary motivation is one of
fine-tuning. However, more aggressive actions in 2000 cannot be ruled out. By
then, inflation may be drifting higher and the initial recovery in foreign
economies may be more entrenched. At that point, pressures will increase on Fed
officials to make monetary policy more restrictive. Our forecast calls for
additional tightening this year, and further tightening in 2000. We intend to
maintain our disciplined, long-term approach to equity investing.
Bond and Income Portfolio
- -------------------------
Q: How did the Portfolio perform over the first half of 1999?
A: For the six months ended June 30, 1999, the Bond and Income Portfolio
returned -5.75%**, outperforming the Lehman Brothers Long-Term
Government/Corporate Bond Index, which returned -5.95%*.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The first quarter of 1999 marked a pause in, if not the end to, last year's
powerful Treasury rally. Interest rates rose an average of 45-50 basis points
and the yield curve steepened as widely held expectations of further declines
in short term rates were reversed in the wake of continued economic strength
and reduced global volatility. As a result, most securities (and portfolios)
with durations longer than two years posted negative results for the period.
- ---------------
* 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)
The second quarter of 1999 also proved challenging for the fixed income
markets. Treasury yields rose sharply and spread volatility reasserted itself
as the effectiveness of the Fed policy and the capacity of existing risk
premiums were called into question. Interest rate increases were concentrated
in May following a somewhat incendiary CPI report (due largely to rising oil
prices) and subsequent fears of near-term Fed intervention.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Our general investment strategy de-emphasizes Treasuries in favor of higher
yielding, fixed income alternatives with enhanced total potential return. As
such, over the course of the period, we maintained an underweighted position
in Treasury and Agency securities relative to the benchmark Index and an
overweighted position in corporate, asset-backed, mortgage-backed and emerging
market debt securities.
In the corporate sector, although we remain concerned about the technical
outlook with respect to supply and Year 2000 issues, the sector's fundamental
position remains strong. We continue to maintain a neutral outlook with
respect to the corporate sector of the Index. We also continue to find value
in the asset-backed securities (ABS) market. At current spreads, we believe
most sectors of the ABS market are fairly valued. We maintained an
overweighted position in ABS relative to the ABS sector of the benchmark Index
during the period. In the mortgage-backed securities (MBS) sector, we maintain
our positive outlook for the pass-through subsector. Our outlook for the
collateralized mortgage obligation (CMO) subsector also remains optimistic.
However, the pace at which spreads tighten depends on the direction of
monetary policy and the impact of Year 2000 on investors' willingness to
tolerate risk. An overweighted position in MBS relative to the MBS sector of
the benchmark Index was maintained during the period.
Given the recent rally in the emerging market debt (EMD) sector, we now
maintain a neutral position regarding the direction of spreads. While global
growth and liquidity conditions look favorable, concerns regarding Year 2000
and the persistent strength of the U.S. economy are likely to limit the
sector's upside potential. Consequently, we maintained a limited exposure to
EMD.
Q: What is your outlook for the remainder of 1999?
A: Despite the fixed income market's attractive valuations, our outlook
remains somewhat guarded. Although we do not believe the economy is in any
danger of overheating near-term, we do expect the Federal Reserve Board to
raise the target Federal Funds rate over the next several months. We also
expect that uncertainty surrounding new issuance trends and Year 2000 may
contribute to existing investor skittishness and lead to pockets of spread
volatility going forward. As a result, we will continue to approach the
management of the Portfolio opportunistically--reallocating assets only when
and if relative value analysis clearly dictates.
Equity Index and Small-Cap Index Portfolios
- -------------------------------------------
Q: How did the Portfolios perform over the first half of 1999?
A: For the six months ending June 30, 1999, the total return for the Equity
Index Portfolio was 12.08%** versus the 12.38%* return of the S&P 500 Index.
The Portfolio seeks to replicate as closely as possible, before expenses, the
total return of the S&P 500 Index.
Total return for the six months ended June 30, 1999 for the Small-Cap Index
Portfolio since inception was 8.05%** versus the 9.28%* return for the Russell
2000 Index. The Portfolio seeks to replicate as closely as possible, before
expenses, the total return of the Russell 2000 Index, which emphasizes stocks
of small U.S. companies.
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the first half of the year?
A: As the global economy starts to improve, the domestic stock market
continues a volatile, but record breaking run.
The S&P 500 Index advanced forward this year closing above the 1,300 mark
late in the first quarter of 1999. Index returns earlier in the year were
weaker due to underperformance in growth oriented stocks. April saw not only
shifts into small- and mid-capitalization stocks, but growth stocks, which
have led stock market returns for the past year, underperformed value stocks.
Stronger performance in value stocks can be attributed, in part, to stronger
performance in energy related stocks. Additionally, positive earnings
surprises and a rotation into cyclicals led to stronger returns in sectors
that have been out of favor, due to strength in the technology sector.
However, technology stocks pushed large-cap growth stocks back on top for the
month of June. Large-cap value stocks outperformed large-cap growth stocks
year-to-date. There have been 19 Index additions/deletions through June 30,
1999. Comparatively, this number is less than a year ago because there has
been less merger and acquisition activity this year.
Small-capitalization stocks started 1999 underperforming large-cap stocks due
to a much needed resurgence in energy and technology stocks. Coming off of a
strong finish in the 4th quarter of 1998, technology stocks lagged in the
first quarter. Investors took this opportunity to find "value" in value
stocks. Although
- ---------------
* 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)
second quarter marked the Dow Jones Industry Average closing at 11,000, the
second quarter's small-cap stock returns marked the first time in seven
quarters that small-cap stocks outperformed large-cap stocks. In April, renewed
strength in out-of favor sectors like cyclicals and value oriented stocks lead
the Russell 2000 Index to outperform the S&P 500 Index more than 2 to 1. Small-
cap value stocks outperformed small-cap growth stocks for the quarter, but
small-cap growth stocks outperformed small-cap value stocks year-to-date.
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 Equity Index Portfolio year-to-date included
technology (up 24.77%), basic materials (up 22.21%) and energy (up 19.39%).
Weaker performing sectors included utilities (up 1.17%), health care (down
0.42%) and consumer staples (down 2.16%).
Top performing sectors for the Small-Cap Index Portfolio year-to-date
included integrated oils (up 37.95%), utilities (up 20.92%) and technology (up
17.92%). Weaker performing sectors included financial services (up 4.72%),
health care (down 0.81%) and consumer staples (down 9.75%).
Please note, that as each Portfolio seeks to replicate an Index, we neither
evaluate short-term fluctuations in the Portfolios' performance nor manage
according to a given outlook for the equity markets of the economies in
general. Still, we will continue monitoring economic conditions and how they
affect the financial markets.
Q: What is your outlook for the remainder of 1999?
A: A fundamental reassessment of the global economic outlook has been the big
story for the financial markets so far in 1999. The nightmare scenarios of
Armageddon, deflation and financial meltdown that prevailed late last year,
have been replaced by signs of improving growth particularly in Asia. This
change in sentiment has had profound effects on global financial markets,
particularly the emerging markets most battered by the crisis last fall. These
economies have subsequently seen their currencies as well as their fixed-
income and equity markets bounce back sharply. Initial signs of a recovery in
the long-suffering Japanese economy have been important too, providing a boost
to the Nikkei and support to the yen. In Europe, signs of vitality have been a
little harder to come by, but things do seem to be pointing up now, giving
some support to equities.
As for the U.S., the improvement globally has not been uniformly good news
for financial markets. Indeed, with U.S. growth showing no signs of slowing
and labor markets still extremely tight, the pickup in the rest of the world
raises the risks of inflation pressures. To guard against those risks, the Fed
raised the funds rate 25 basis points to 5.00%. Looking ahead to the second
half of 1999, we expect continued strong growth and some pickup in inflation
to prompt a modest degree of additional Fed tightening and some further backup
in Treasury yields. This backdrop might temper the equity market's enthusiasm
a bit, but a serious correction is unlikely unless the economy really
overheats, provoking aggressive Fed tightening and imperiling the expansion.
REIT Portfolio
- --------------
Q: How did the Portfolio perform over the first half of 1999?
A: The Portfolio's total return for the first six months of 1999 was 8.55%**
since inception versus 4.78%* for the North American Real Estate Investment
Trust Equity Index (NAREIT Index) for the 6 month period ended June 30, 1999.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: At last, the REIT market experienced a sustained recovery. The vast
majority of the gain was achieved from mid-April to mid-May when the sector
gained 15%. Although there were a number of catalysts, this recovery coincided
with a dramatic change in leadership in the equity markets. The second quarter
of 1999 featured a shift in preferences of equity investors as they turned to
the beaten-down cyclical and value stocks in place of the richly valued large-
capitalization growth and Internet stocks. This was primarily the result of a
change in economic consensus that the global economy has recovered and entered
a phase of economic growth. The continued exit of the non-dedicated investor
pushed the sector to valuation levels well below liquidation value during the
period. It appeared that the REIT market benefited from the return of non-
dedicated investors during the rally. Note that the sector modestly retrenched
in the latter part of the second quarter primarily over fears of a Fed
tightening. Unlike prior rallies, it is interesting to note that the REIT
recovery was broad-based, lifting stocks in all sectors. Even after the more
constructive second quarter, REITs are now trading at a slight discount to the
underlying net asset value (NAV) of their assets, which means that it is at
least as attractive to buy real estate on Wall Street, through the purchase of
securities, than on Main Street, through the direct purchase of properties.
A broad change in sentiment in the equity markets was a key catalyst for the
REIT recovery. In addition to the compelling valuation for the sector, there
were a number of other contributing factors. They include: management-led
buyouts; filings released indicating Warren Buffett, Chairman and CEO of
Berkshire-Hathaway, had purchased greater than a 5% position in two REITs for
his personal account and increased his position in MGI Properties; a large
pension plan buy program; and insider buying of company stock.
- ---------------
* 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)
There has been a continued outflow from dedicated mutual funds through the
first quarter of the year. These funds control almost $10 billion of assets
(approximately 6% of the sector), down from a peak level in excess of $12
billion in early 1998. Net flows for the second quarter were virtually flat,
which is a significant accomplishment after $2 billion in redemptions in the
previous twelve months. In fact, were it not for the first week of the second
quarter, in which over $150 million was redeemed, the sector would have
experienced its first positive quarter since the first quarter of 1998.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Compared to the NAREIT Index, relative outperformance was driven primarily
by stock selection. Significant outperformance was achieved from positions in
two West Coast apartment stocks and from two retail companies, one focused on
grocery anchored centers and the other on upscale malls. Similarly, additional
outperformance versus the Index was achieved by large positions in two office
stocks trading at significant discounts to their NAV.
Q: What is your outlook for the remainder of 1999?
A: We have continued to shape the Portfolio with companies offering attractive
fundamental valuations relative to their underlying real estate value.
Throughout the year, we have been encouraged by the undeniable strength of the
U.S. economy and have become more constructive with regard to the likelihood
that real estate fundamentals will remain favorable. As a result, we have
become comfortable with the less defensive posture developed last quarter.
While the top-down weightings remain very similar, we have been more willing
to take opportunistic positions in certain assets, including hotels.
Generally, we utilized the rally to upgrade the quality of the Portfolio. This
is evident in all sectors, most notably in the office portfolio where we added
to central business district office, funded through the sale of suburban
office.
At the end of this quarter, the U.S. real estate market continued to be in a
mature phase of its cycle as the markets are generally in equilibrium. We have
continued to caution investors that there remain threats of over-supply but
robust levels of demand are serving to mute any serious threat of over-supply.
We believe that low-teen total returns over the next couple of years would add
to the industry's credibility.
International Portfolio
- -----------------------
Q: How did the Portfolio perform over the first half of 1999?
A: For the six month period ended June 30, 1999 the Portfolio had better
performance as it returned 4.31%** versus the 4.11%* return of the Morgan
Stanley Capital International Europe, Australasia, Far East Index (MSCI EAFE
Index). Global economic healing and numerous interest rate cuts helped to
boost most internationally developed markets. The first half of 1999 stood in
stark contrast to 1998: once powerful Europe languished, while Japan and Asia
both posted substantial gains after lackluster performance in the previous
year.
Regionally, Europe saw the most variance in performance and the weakest
returns as the Morgan Stanley Capital International Europe Index (MSCI Europe
Index) returned 8.1%* in local currency terms (-2.4%* in U.S. dollar terms).
The less-than-dramatic European recovery coupled with unexpected euro weakness
contributed to European market difficulties. Despite larger than expected
interest rate easing by the European Central Bank (ECB) in April, European
Monetary Union (EMU) markets were not able to attain the kinds of results seen
in other developed markets, plagued by lower earnings expectations, continued
high unemployment and the crisis in Kosovo. During the first half of 1999,
specifically in the second quarter, European value-oriented stocks were able
to regain some of the ground lost to growth stocks during 1998 as European
cyclical and defensive industries outperformed their growth counterparts in
anticipation of stronger second half growth.
After a difficult 1998, the Japanese market gained surprising momentum, with
MSCI Japan finishing the first half up 29.5%* in local currency terms (+20.7%*
in U.S. dollar terms). The Japanese market was buoyed by optimism about the
restructuring successes seen thus far. The market was pushed higher as
investors gained more confidence in the restructuring efforts being
implemented by authorities and business leaders. With over 143 restructuring
announcements made in the first five months of the year, the restructuring
story is really starting to take shape. Corporations are reducing capacity,
unwinding cross-shareholding positions, consolidating business units and
paying down debt. Although these efforts are just the beginning of what will
be needed to revive the economy, they are clear signs to investors that
government and corporate Japan is willing to take the bitter, but necessary,
medicine.
Outside of Japan, Asian markets saw spectacular returns as investors regained
confidence in the markets in response to falling interest rates, stabilizing
exchange rates and more plentiful liquidity. Lower interest rates have eased
the banking crisis in many countries, reduced government financing costs,
lowered the cost of capital for businesses and encouraged local investors to
shift from fixed income to equity investments. Additionally, Asian markets
were helped by strong performance in Japan, a major trading partner, as well
as a surge in commodity and oil prices toward the end of the second quarter.
The MSCI Pacific ex-Japan Index appreciated 22.1%* in local currency terms
(+26.0%* in U.S. dollar terms) during the first half of 1999.
- ---------------
* 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)
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Portfolio outperformance of the MSCI EAFE Index is attributable to both
regional allocation and strong stock selection within Europe and Japan. Stock
selection within Europe proved to be a strong contributor to overall results,
as value stocks regained favor during the second quarter and outperformed
their growth counter-parts. Beginning in the first quarter and progressing
into the start of the second, we made some adjustments to the European portion
of the Portfolio. We were able to take advantage of the second quarter rally
enjoyed by small-capitalization names and sold off some of our less liquid
holdings. Although we reduced the Portfolio's exposure to small-cap stocks,
the Portfolio still maintained a overweighting versus the Index which
contributed to performance as small- and mid-cap stocks enjoyed standout
returns, outperforming large- and mega-cap stocks. Additionally, this strategy
has served the Portfolio well as our remaining small-cap holdings (Capital
Radio +20%, Morgan Crucible +25%, Kone +19%) outperformed their small-cap
peers within the MSCI EAFE Index during the second quarter.
Japanese stock selection significantly contributed to performance during the
period, as we maintained our strategy of overweighting blue-chip, global
franchise export oriented names. Particular strength was seen among the
recreation & other consumer goods and machinery & engineering industries.
These industries are comprised of blue-chip exporters which benefited from the
yen's weakness as well as a pick-up in demand from Asia.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: An overweight versus the Index to European industrial cyclical stocks
contributed significantly to overall returns. Specifically, the Portfolio was
overweighted in outperforming industries such as industrial cyclicals,
machinery & engineering, and consumer staples, while underweighting
underperforming industries such as banking and pharmaceuticals. The overweight
to chemicals was a strong positive as BOC Group PLC (+39%, UK industrial
gases) was bid for jointly by France's Air Liquide and Air Products of the
U.S. Germany's BASF AG (+24%), which had been at an unfair discount to its
peers, rose on improved sentiment for economic sensitive shares, while Akzo
Nobel (+15%) and mid-cap Burmah Castrol (+19%, UK lubricants) added to
relative performance. The Portfolio's overweighting versus the MSCI EAFE Index
and good stock selection in consumer defensive staples (beverages & tobacco
and household products) was a key contributor to relative performance in the
second quarter of 1999. In particular, Richemont (+16%) continued to perform
well following progress on the combination of Rothmans International and BAT
as well as improved trading conditions in Asia, important to Richemont's
luxury brands, Cartier & Dunhill. Shares of Allied Domecq appreciated (+29%)
following its decision to de-merge its Pubs business, a key catalyst we had
identified as potentially value enhancing.
The Portfolio's underweighting to pharmaceuticals was a strong positive as
the industry was the worst European performer in the quarter. The
pharmaceutical and insurance industries underperformed the MSCI Europe Index
by 17% and 12%, respectively, in the first six months of 1999. Underweights to
Insurance and Banking, other laggard interest-rate sensitive industries were
also positive.
Within Japan, companies which enjoyed particularly strong performance
included Sony Corporation, Nintendo Corporation (+46%), Hitachi Credit (+52%),
Fujitsu Ltd. (+51%), and Ricoh (+50%). These companies are global franchise
names which derive much of their revenue from exporting abroad, and therefore
benefited significantly form the yen's weakening trend thus far this year.
Detracting from overall performance was the Portfolio's underweight to
European telecommunications (relative outperformer), an overweight to European
food & household products (relative underperformer), and an underweight to
Japanese banks (relative outperformer).
Q: What is your outlook for the remainder of 1999?
A: At the end of the second quarter, markets were holding their breath in
anticipation of the expected rate hike by the U.S. Fed. As of this writing,
the Fed raised rates by 25 basis points and assumed a "neutral bias". Although
this modest rate hike is supportive of growth abroad and has not derailed the
global economic healing seen so far this year, an indication of inflationary
pressures in the U.S. could compel the Fed to raise rates again during the
second half of 1999 which may have a negative impact on international growth.
We expect Japan to outperform other developed markets in the medium to long
term as authorities and business leaders remain committed to reforms. The
Fed's neutral bias coupled with the Bank of Japan's current policy of "0"
short-term interest rates, will allow Japan to accelerate restructuring and
provide a platform for economic recovery. It will likely become very important
for Japan to show concrete economic growth over the next year, particularly if
U.S. growth slows. While we are increasingly bullish on the prospects for
Japan, we intend to keep the Portfolio's highly selective stock and sector
weightings. In particular, Sony Corporation, Fujitsu Ltd., Mitsumi Electronics
and TDK Corporation have reached all time highs and NTT Data Corporation, the
largest capitalized company in Japan, has broken out from a 10-year trading
range, signaling the leadership for the next quarter, in our view.
- ---------------
* 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)
The initial economic recovery in Europe is proceeding at a frustratingly slow
pace, although the prospects for the second half of 1999 seem to be improving.
As the euro continues its weakening trend, European exporters should benefit
both from this weakness as well as from a pick-up in demand from strengthening
Asian economies. European equity returns have lagged the U.S. and Asia in the
first half of the year in both local currency and in dollars. Domestic demand
remains strong due to the lagged effects of monetary easing and a more relaxed
stance of fiscal policy. This, coupled with the recent stronger-than-expected
factory orders in Italy and Germany, could signal further recovery in the euro
economy. German recovery should be further aided by its government's fiscal
initiatives such as German Finance Minister Hans Eichel's plans to reduce
corporate tax rates to a flat 25%. Encouragingly, Europe's predominantly
center-left governments appear to realize the need to tackle structural
problems, as evidenced by the statement released following the Cologne summit
of 15 European Union (EU) heads of state, "Achieving higher
employment...depends...on well-functioning labor markets and on efficient,
competitive markets for goods, services and capital...We consider structural
reform of labor, product and capital markets to be essential." These current
reform proposals will be key to improving long-term growth and investment
prospects, and should make Europe a more attractive place to invest.
Asian markets have been driven by low interest rates and high liquidity, as
well as rising commodity prices. In the region as a whole, improving consumer
and business confidence is evident, and if these markets continue to employ
restructuring policies, maintain stabilizing current account deficits and
improving balance sheets, their recoveries should continue. We will monitor
Asia carefully in the coming months for signs of continued progress in
restructuring the region's banking and corporate sectors. The concern remains,
however, that governments and businesses may not be as willing to inflict the
kinds of stringent policies necessary for reform in light of recent economic
and market strength. Should the U.S. Fed continue to tighten monetary policy
over the course of the year, this would most likely prove disastrous,
especially for Hong Kong growth prospects, as the Hong Kong dollar and
interest rates are pegged to those of the U.S. Since the recent market run-ups
have caused valuations to become extended, any growth-hindering policies could
have significant adverse effects on Asia. Such circumstances could lead us to
reduce the Portfolio's exposure to the region.
Emerging Markets Portfolio
- --------------------------
Q: How did the Portfolio perform over the first half of 1999?
A: The Portfolio's total return for the six month period ended June 30, 1999
was 29.92%** versus the Morgan Stanley Capital International Emerging Markets
Free Index (MSCI EMF Index) total return of 39.87%*.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The first quarter's underperformance can be attributed to a number of
things. Several of our favored European markets--notably Hungary and Poland--
had not recovered yet. Russia, where the Portfolio has no exposure, bounced
very sharply. India, where the Portfolio was underweighted versus the Index,
also did well. The perennial problem of difficult stock access continues to
haunt foreigners in this market.
In the second quarter of 1999, emerging markets soared as a wave of liquidity
flooded thinly-traded exchanges. The combination of currency impact and market
allocation was the reason behind the performance shortfall. The Portfolio
overweightings in the European area at the expense of underweighting Asia
turned out to be too early. On a positive note, stock selection was strong
with good relative returns being generated in Taiwan and India.
The Portfolio continues to be weighted above the MSCI EMF Index in Latin
America with an emphasis on Mexico, Chile, Peru and Venezuela. Mexico
benefited from a stable currency, falling interest rates and a solid growth
picture, courtesy of the U.S. Chile recently implemented its ninth successive
interest rate cut and will be aided by improvements in Asia's demand for its
exports, as will Peru.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Blairlogie's investment style is top-down allocation followed by bottom-up
stock selection. This means that country allocation is more important and
relevant to the Portfolio's performance than individual stock selection.
Cemex SA, the largest cement producer in Mexico and third largest in the
world, moved up 135% due to strong export demand (mainly from the U.S.). Grupo
Fin Banamex rose 120% due to a strong domestic economy. The Mexican economy
has been boosted by closer ties with the booming U.S. market. Cifra, Mexico's
biggest retailer & super store operator also increased by 75% due to strong
domestic demands and a successful expansion program.
During the first half of 1999, the Hungarian market was badly affected by the
crisis in Kosovo, given its proximity to the Yugoslavian border and a
deteriorating macro-economic backdrop. Danubius Hotel, the leisure and hotels
group fell by 15%, as tourist traffic to Eastern Europe dried up. In Israel,
the telecom equipment manufacturer ECI Telecommunications underperformed the
Israeli market, falling by 9% as the market took profits in global technology
stocks as global bond yields rose.
- ---------------
* 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)
Q: What is your outlook for the remainder of 1999?
A: The evidence of a sustainable recovery in Asia was perhaps best highlighted
by the reported first quarter GDP number from Japan, which registered year over
year growth of 8%. Although this is unusual to the extent of being swollen by
the rescheduling of public spending initiatives, it nevertheless suggests that
Asia's biggest market is getting back on its feet. Elsewhere, GDP forecasts
have also been revised upwards and the most recent consensus estimate now puts
Asia Pacific growth at 1.5% for next year. Within the region, North Asia is
estimated to grow by over 5% while South Asia should improve by 3.3%. Strong
U.S. demand can be thanked for helping exporters, while domestic demand within
the Asian zone is beginning to pull its weight.
Inflation is absent to the extent that deflation, such as that being witnessed
in China, is a bigger risk. However the best of the monetary easing is now in
the past. In fact, we now are forecasting modest rate rises during the next
twelve months. The authorities can claim to be vindicated in that investor
confidence has returned and risk premiums have plummeted.
We remain cautious of the assumption that all of Asia's problems are solved.
For example, Korea's top five Chaebol have been unwilling reformers. Their
collective debt/equity ratio has fallen from 395% at the peak of the crisis to
around 300% today. The trend is impressive but the absolute number is still
scary. Aside from that caution, we have been seeing encouraging improvements in
the fundamentals.
The Colombian economy is undergoing a severe recession despite cutting its
short rates in an attempt to boost demand. Peace talks with guerilla forces
seem endless and are unpopular. However, we believe that the worst may have
passed and that share prices have been heavily discounted. A major concern
however is liquidity.
Events in Kosovo dominated sentiment, as did the further weakness in the Euro
relative to the dollar. The eventual peace accord should help and there are
signs, mainly from Germany, that demand is improving. The most likely
beneficiaries are Hungary, Poland and Turkey. All three countries have had
subdued stock markets this year but should pick up in the second half of the
year as confidence returns.
----------------------------------
- ---------------
* 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
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1999 (Unaudited)
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Aggressive Growth Equity Multi-
Market Bond Bond Securities Growth Equity LT Income Strategy
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value.... $654,649 $408,899 $1,107,120 $456,413 $295,931 $303,501 $2,075,751 $1,594,695 $722,154
Cash.................... 2 2,675 756 21 6,495 6
Receivables:
Dividends and interest. 1,477 8,882 10,095 1,513 165 133 331 2,250 2,543
Fund shares sold....... 128 4,160 2,513 971 225 795 4,148 1,859 621
Securities sold........ 3,808 53,454 15,701 3,283 1,953 34,363 8,315 10,161
Other receivables...... 2 13 153 37
Forward foreign currency
contracts appreciation.. 53 9,318
Variation margin........ 3,056 1,224 519
Organization costs...... 9
-----------------------------------------------------------------------------------------------------------
Total Assets............ 656,256 425,751 1,178,979 476,731 299,604 306,412 2,130,406 1,607,638 735,522
-----------------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 27,818 257 13 141 457 320 135
Securities purchased... 2,500 210,587 131,330 1,284 1,041 83,904 2,262 60,970
Accrued advisory fees.. 198 206 464 160 150 186 1,150 821 349
Accrued custodian
fees and recordkeeping
fees................... 47 33 86 28 22 28 155 110 61
Accrued other.......... 31 20 55 15 13 17 90 76 43
Outstanding options
written, at value....... 547 153
Forward foreign currency
contracts depreciation.. 1
Variation margin........ 273
-----------------------------------------------------------------------------------------------------------
Total Liabilities....... 28,094 3,016 211,739 131,700 1,610 1,272 85,756 3,589 61,831
-----------------------------------------------------------------------------------------------------------
NET ASSETS.............. $628,162 $422,735 $967,240 $345,031 $297,994 $305,140 $2,044,650 $1,604,049 $673,691
-----------------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $628,123 $452,163 $1,003,385 $355,069 $238,057 $273,164 $1,244,224 $1,260,265 $586,760
Accumulated
undistributed net in-
vestment income (loss).. 39 84 143 57 (32,024) (361) (5,232) 821 133
Accumulated
undistributed net
realized gain (loss).... (16,967) (27,527) (8,105) 50,428 7,923 264,906 115,782 40,020
Net unrealized
appreciation (depreci-
ation) on investments
and assets and liabili-
ties in foreign
currencies.............. (12,545) (8,761) (1,990) 41,533 24,414 540,752 227,181 46,778
----------------------------------------------------------------------------------------------------------
NET ASSETS.............. $628,162 $422,735 $967,240 $345,031 $297,994 $305,140 $2,044,650 $1,604,049 $673,691
----------------------------------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 62,395 46,765 91,544 33,473 12,794 23,529 63,586 57,147 39,017
----------------------------------------------------------------------------------------------------------
NET ASSETS PER SHARE.... $10.067 $9.040 $10.566 $10.308 $23.292 $12.968 $32.156 $28.069 $17.267
----------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-1
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 1999 (Unaudited)
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Large-Cap Mid-Cap Bond and Equity Small-Cap Inter- Emerging
Value Value Equity Income Index Index REIT national Markets
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments at value.... $105,187 $63,940 $737,981 $192,038 $1,982,149 $60,560 $35,362 $1,307,314 $158,939
Cash.................... 1 1 1 875 3,853
Receivables:
Dividends and
interest............... 120 23 501 1,985 1,692 51 238 6,783 412
Fund shares sold....... 838 379 1,178 407 5,530 433 275 20,593 1,053
Securities sold........ 1,077 61,140 205 24,794 13,663 3,209 3,361
Other receivables...... 195
Forward foreign currency
contracts appreciation.. 321 3
Variation margin........ 804 148 716 109 11,294
Organization costs...... 9
---------------------------------------------------------------------------------------------
Total Assets............ 107,223 64,342 801,604 194,783 2,014,881 74,817 35,876 1,350,584 167,630
---------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 97 675 72 27 1
Securities purchased... 3,831 3,355 99,808 1,997 33,455 16,511 825 42,735 4,395
Accrued advisory fees.. 60 37 346 94 242 21 29 850 137
Accrued custodian fees
and recordkeeping
fees.................. 24 12 57 16 132 18 6 404 111
Accrued other........... 9 10 39 10 95 2 7 58 16
---------------------------------------------------------------------------------------------
Total Liabilities....... 3,924 3,511 100,925 2,189 33,924 16,552 894 44,047 4,660
---------------------------------------------------------------------------------------------
NET ASSETS ............. $103,299 $60,831 $700,679 $192,594 $1,980,957 $58,265 $34,982 $1,306,537 $162,970
---------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $97,668 $58,333 $513,510 $204,911 $1,333,405 $55,048 $34,411 $1,244,617 $167,492
Accumulated
undistributed net
investment income....... 148 22 174 33 112 112 272 2,606 596
Accumulated
undistributed net
realized gain (loss).... 362 309 20,647 (5,792) 15,399 482 20 (26,258) (15,147)
Net unrealized
appreciation
(depreciation) on
investments and
assets and liabilities
in foreign currencies.. 5,121 2,167 166,348 (6,558) 632,041 2,623 279 85,572 10,029
---------------------------------------------------------------------------------------------
NET ASSETS ............. $103,299 $60,831 $700,679 $192,594 $1,980,957 $58,265 $34,982 $1,306,537 $162,970
---------------------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value........ 8,942 5,431 22,779 16,520 55,174 5,380 3,243 83,228 18,351
---------------------------------------------------------------------------------------------
NET ASSETS PER SHARE.... $11.553 $11.201 $30.760 $11.658 $35.904 $10.830 $10.787 $15.698 $8.881
---------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-2
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1999 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Aggressive Growth Equity Multi-
Market Bond Bond Securities Growth Equity LT Income Strategy
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of
foreign taxes withheld.. $26 $873 $729 $2,441 $9,571 $2,531
Interest................ $14,525 18,097 $25,855 $6,638 183 136 1,587 655 7,093
Other................... 110 581 132 7 7
----------------------------------------------------------------------------------------------
Total Investment Income. 14,525 18,233 26,436 6,770 1,063 865 4,035 10,226 9,624
----------------------------------------------------------------------------------------------
EXPENSES
Advisory fees........... 1,056 1,239 2,590 716 865 1,011 6,106 4,495 2,007
Custodian fees and
expenses..,............. 29 19 63 17 18 24 113 61 50
Recordkeeping fees...... 62 52 118 33 26 33 169 152 80
Trustees' fees and
expenses................ 5 4 9 2 2 3 14 13 6
Legal fees.............. 8 6 14 3 3 4 23 21 10
Printing expenses....... 14 9 23 5 5 7 36 33 16
Other expenses.......... 32 19 54 12 14 19 83 75 36
----------------------------------------------------------------------------------------------
Total Expenses.......... 1,206 1,348 2,871 788 933 1,101 6,544 4,850 2,205
Expense Reductions...... (5) (6) (22) (2) (1) (2) (4) (9) (13)
----------------------------------------------------------------------------------------------
Net Expenses............ 1,201 1,342 2,849 786 932 1,099 6,540 4,841 2,192
----------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS).................. 13,324 16,891 23,587 5,984 131 (234) (2,505) 5,385 7,432
----------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss)
from security
transactions............ (6,452) (17,719) (3,269) 18,293 16,062 266,462 117,269 41,252
Net realized gain (loss)
from futures contracts.. (12,901) (5,447) 2,348 (410)
Net realized foreign
exchange gain........... 46 11 171 94
----------------------------------------------------------------------------------------------
Net Realized Gain (Loss)
on Investments and
Foreign Currency
Transactions............ (6,452) (30,574) (8,705) 18,293 16,062 266,633 119,617 40,936
----------------------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments............. (7,275) (15,477) (4,732) 21,251 17,482 179,337 61,819 (2,405)
Net unrealized
appreciation on futures
contracts............... 2,479 1,287 778 122
Net unrealized foreign
exchange gain (loss).... 7 (13) 9,142 (93)
----------------------------------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions............ (7,275) (12,991) (3,458) 21,251 17,482 188,479 62,597 (2,376)
----------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS............ (13,727) (43,565) (12,163) 39,544 33,544 455,112 182,214 38,560
----------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS
RESULTING FROM
OPERATIONS.............. $13,324 $3,164 ($19,978) ($6,179) $39,675 $33,310 $452,607 $187,599 $45,992
----------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-3
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE PERIOD ENDED JUNE 30, 1999 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Large-Cap Mid-Cap Bond and Equity Small-Cap Inter- Emerging
Value Value Equity Income Index Index REIT national Markets
Portfolio (1) Portfolio (1) Portfolio Portfolio Portfolio Portfolio (1) Portfolio (1) Portfolio Portfolio
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net
of foreign taxes
withheld........ $256 $92 $2,166 $11,145 $144 $513 $14,202 $1,428
Interest......... 96 48 381 $6,420 608 56 29 3,108 220
Other............ 46 1
-----------------------------------------------------------------------------------------------------------
Total Investment
Income.......... 352 140 2,593 6,420 11,753 200 542 17,310 1,649
-----------------------------------------------------------------------------------------------------------
EXPENSES
Advisory fees.... 128 91 1,907 587 1,336 52 75 4,593 703
Custodian fees
and expenses.... 39 14 25 16 72 110 9 629 165
Recordkeeping
fees............ 3 2 80 33 192 2 1 129 31
Trustees' fees
and expenses.... 7 2 16 1 10 2
Legal fees....... 1 1 10 3 26 1 1 16 3
Printing
expenses........ 1 1 17 5 41 2 1 25 4
Other expenses... 26 22 38 14 94 27 22 56 9
-----------------------------------------------------------------------------------------------------------
Total Expenses... 198 131 2,084 660 1,777 195 109 5,458 917
Expense
Reductions...... (32) (13) (1) (5) (20) (117) (17) (3)
-----------------------------------------------------------------------------------------------------------
Net Expenses..... 166 118 2,083 655 1,757 78 92 5,458 914
-----------------------------------------------------------------------------------------------------------
NET INVESTMENT
INCOME.......... 186 22 510 5,765 9,996 122 450 11,852 735
-----------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized
gain (loss) from
security
transactions.... 362 309 18,051 (4,209) 13,380 476 20 (20,481) 1,404
Net realized
gain (loss)
from futures
contracts....... 2,634 (1,922) 2,517 6 8,612
Net realized
foreign exchange
gain (loss)..... 1 (11,368) (359)
-----------------------------------------------------------------------------------------------------------
Net Realized
Gain (Loss) on
Investments and
Foreign Currency
Transactions.... 362 309 20,685 (6,130) 15,897 482 20 (23,237) 1,045
-----------------------------------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation)
on investments.. 5,121 2,167 52,763 (10,754) 170,998 2,516 279 66,927 33,516
Net unrealized
appreciation
(depreciation)
on futures
contracts....... 115 (460) 707 107 2,638
Net unrealized
foreign exchange
loss............ (100) (2)
-----------------------------------------------------------------------------------------------------------
Net Unrealized
Gain (Loss) on
Investments and
Foreign Currency
Transactions.... 5,121 2,167 52,878 (11,214) 171,705 2,623 279 69,465 33,514
-----------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS.... 5,483 2,476 73,563 (17,344) 187,602 3,105 299 46,228 34,559
-----------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING
FROM OPERATIONS. $5,669 $2,498 $74,073 ($11,579) $197,598 $3,227 $749 $58,080 $35,294
-----------------------------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 4, 1999.
See Notes to Financial Statements
B-4
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1999 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
High Govern-
Money Yield Managed ment Aggressive
Market Bond Bond Securities Growth Equity
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss)........................ $13,324 $16,891 $23,587 $5,984 $131 ($234)
Net realized gain (loss) on investments and foreign
currency transactions............................... (6,452) (30,574) (8,705) 18,293 16,062
Net unrealized gain (loss) on investments and
foreign currency transactions....................... (7,275) (12,991) (3,458) 21,251 17,482
------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations.......................................... 13,324 3,164 (19,978) (6,179) 39,675 33,310
------------------------------------------------------------------
Net Equalization Credits............................ 1,914 881 6,871 2,329 56
------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income............................... (13,259) (16,788) (23,972) (6,159)
Capital gains....................................... (22,065) (4,137) (32,134) (27,050)
------------------------------------------------------------------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders....................... (13,259) (16,788) (46,037) (10,296) (32,134) (27,050)
------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of shares........................ 2,241,477 108,248 278,346 172,991 57,333 175,992
Dividend reinvestments.............................. 13,143 16,508 45,890 10,172 32,063 27,050
Cost of shares repurchased.......................... (2,107,558) (78,663) (63,841) (14,414) (66,957) (122,874)
------------------------------------------------------------------
Net Increase in Net Assets Derived from Capital
Share Transactions.................................. 147,062 46,093 260,395 168,749 22,439 80,168
------------------------------------------------------------------
NET INCREASE IN NET ASSETS.......................... 149,041 33,350 201,251 154,603 30,036 86,428
------------------------------------------------------------------
NET ASSETS
Beginning of Period................................. 479,121 389,385 765,989 190,428 267,958 218,712
------------------------------------------------------------------
End of Period....................................... $628,162 $422,735 $967,240 $345,031 $297,994 $305,140
------------------------------------------------------------------
<CAPTION>
Growth Equity Multi-
LT Income Strategy
Portfolio Portfolio Portfolio
---------------------------------
<S> <C> <C> <C>
OPERATIONS
Net investment income (loss)........................ ($2,505) $5,385 $7,432
Net realized gain (loss) on investments and foreign
currency transactions............................... 266,633 119,617 40,936
Net unrealized gain (loss) on investments and
foreign currency transactions....................... 188,479 62,597 (2,376)
---------------------------------
Net Increase (Decrease) in Net Assets Resulting from
Operations.......................................... 452,607 187,599 45,992
---------------------------------
Net Equalization Credits............................ 688 660
---------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income............................... (4,547) (7,390)
Capital gains....................................... (147,190) (119,858) (38,774)
---------------------------------
Net Decrease in Net Assets Resulting from
Distributions to Shareholders....................... (147,190) (124,405) (46,164)
---------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of shares........................ 421,996 276,918 111,386
Dividend reinvestments.............................. 147,190 124,114 45,883
Cost of shares repurchased.......................... (109,712) (123,008) (60,490)
---------------------------------
Net Increase in Net Assets Derived from Capital
Share Transactions.................................. 459,474 278,024 96,779
---------------------------------
NET INCREASE IN NET ASSETS.......................... 764,891 341,906 97,267
---------------------------------
NET ASSETS
Beginning of Period................................. 1,279,759 1,262,143 576,424
---------------------------------
End of Period....................................... $2,044,650 $1,604,049 $673,691
---------------------------------
</TABLE>
See Notes to Financial Statements
B-5
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE PERIOD ENDED JUNE 30, 1999 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Large-Cap Mid-Cap Bond and Equity Small-Cap Inter- Emerging
Value Value Equity Income Index Index REIT national Markets
Portfolio (1) Portfolio (1) Portfolio Portfolio Portfolio Portfolio (1) Portfolio (1) Portfolio Portfolio
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment
income.......... $186 $22 $510 $5,765 $9,996 $122 $450 $11,852 $735
Net realized
gain (loss) on
investments and
foreign currency
transactions.... 362 309 20,685 (6,130) 15,897 482 20 (23,237) 1,045
Net unrealized
gain (loss) on
investments and
foreign currency
transactions.... 5,121 2,167 52,878 (11,214) 171,705 2,623 279 69,465 33,514
---------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in
Net Assets
Resulting from
Operations...... 5,669 2,498 74,073 (11,579) 197,598 3,227 749 58,080 35,294
---------------------------------------------------------------------------------------------------------------
Net Equalization
Credits......... 318 133 94 169 840 191 390 6,125 249
---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment
income.......... (38) (240) (5,747) (9,868) (10) (178) (8,658) (280)
Capital gains... (46,839) (8,209) (8,241) (44,740)
---------------------------------------------------------------------------------------------------------------
Net Decrease in
Net Assets
Resulting from
Distributions to
Shareholders.... (38) (47,079) (13,956) (18,109) (10) (178) (53,398) (280)
---------------------------------------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from
sale of shares.. 99,218 62,944 172,879 56,762 369,134 59,399 35,480 1,668,485 45,134
Dividend
reinvestments... 38 47,048 13,909 18,067 10 175 52,357 276
Cost of shares
repurchased..... (1,906) (4,744) (48,965) (37,249) (83,030) (4,552) (1,634) (1,421,327) (24,273)
---------------------------------------------------------------------------------------------------------------
Net Increase in
Net Assets
Derived from
Capital Share
Transactions.... 97,350 58,200 170,962 33,422 304,171 54,857 34,021 299,515 21,137
---------------------------------------------------------------------------------------------------------------
NET INCREASE IN
NET ASSETS...... 103,299 60,831 198,050 8,056 484,500 58,265 34,982 310,322 56,400
---------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of
Period.......... 502,629 184,538 1,496,457 996,215 106,570
---------------------------------------------------------------------------------------------------------------
End of Period... $103,299 $60,831 $700,679 $192,594 $1,980,957 $58,265 $34,982 $1,306,537 $162,970
---------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 4, 1999.
See Notes to Financial Statements
B-6
<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
SHAREHOLDERS
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
TRANSACTIONS
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-7
<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-8
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Activities Distributions
-------------------------------------- ---------------------------------------- ---------
Net Asset Net Realized Dividends Net Asset
Value, Net and Unrealized Total From (from Net Distributions Value,
For the Year Ended Beginning Investment Gain (Loss) Investment Investment (from Capital Total End of
December 31, of Year Income on Securities Operations Income) Gains) Distributions Year
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Money Market Portfolio
- ----------------------
For the Period Ended
June 30, 1999 (Unaudited) $10.05 0.22 0.01 0.23 (0.21) - (0.21) $10.07
1998 10.06 0.52 - 0.52 (0.53) - (0.53) 10.05
1997 10.04 0.51 0.01 0.52 (0.50) - (0.50) 10.06
1996 10.02 0.47 0.02 0.49 (0.47) - (0.47) 10.04
1995 10.03 0.54 - 0.54 (0.55) - (0.55) 10.02
1994 9.99 0.33 0.04 0.37 (0.33) - (0.33) 10.03
- -----------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Portfolio
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) $9.34 0.37 (0.30) 0.07 (0.37) - (0.37) $9.04
1998 9.98 0.78 (0.55) 0.23 (0.78) (0.09) (0.87) 9.34
1997 9.94 0.78 0.12 0.90 (0.77) (0.09) (0.86) 9.98
1996 9.79 0.79 0.25 1.04 (0.79) (0.10) (0.89) 9.94
1995 8.91 0.76 0.88 1.64 (0.76) - (0.76) 9.79
1994 9.67 0.73 (0.70) 0.03 (0.73) (0.06) (0.79) 8.91
- -----------------------------------------------------------------------------------------------------------------------------------
Managed Bond Portfolio
- ----------------------
For the Period Ended
June 30, 1999 (Unaudited) $11.38 0.30 (0.55) (0.25) (0.30) (0.26) (0.56) $10.57
1998 11.14 0.57 0.40 0.97 (0.58) (0.15) (0.73) 11.38
1997 10.75 0.59 0.44 1.03 (0.60) (0.04) (0.64) 11.14
1996 11.10 0.59 (0.15) 0.44 (0.57) (0.22) (0.79) 10.75
1995 9.90 0.65 1.19 1.84 (0.64) - (0.64) 11.10
1994 10.89 0.50 (0.98) (0.48) (0.50) (0.01) (0.51) 9.90
- -----------------------------------------------------------------------------------------------------------------------------------
Government Securities Portfolio
- -------------------------------
For the Period Ended
June 30, 1999 (Unaudited) $10.98 0.26 (0.53) (0.27) (0.26) (0.14) (0.40) $10.31
1998 10.78 0.54 0.42 0.96 (0.55) (0.21) (0.76) 10.98
1997 10.38 0.53 0.42 0.95 (0.55) - (0.55) 10.78
1996 10.84 0.56 (0.27) 0.29 (0.53) (0.22) (0.75) 10.38
1995 9.64 0.58 1.19 1.77 (0.57) - (0.57) 10.84
1994 10.64 0.44 (0.99) (0.55) (0.44) (0.01) (0.45) 9.64
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Gross of Net Investment Income to Investment Income to
End of Expenses to Expenses to Average Net Assets Average Net Assets Portfolio
For the Year Ended Total Year (in Average Net Average Net before Expense after Expense Turnover
December 31, Return thousands) Assets (4) Assets (4) Reductions (4) Reductions (4) Rate
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Money Market Portfolio
- ----------------------
For the Period Ended
June 30, 1999 (Unaudited) 2.30% $628,162 0.41% 0.41% 4.63% 4.63% N/A
1998 5.29% 479,121 0.43% 0.42% 5.16% 5.17% N/A
1997 5.28% 451,505 0.44% 0.44% 5.17% 5.17% N/A
1996 5.07% 322,193 0.50% 0.50% 4.93% 4.93% N/A
1995 5.54% 95,949 0.53% 0.53% 5.41% 5.41% N/A
1994 3.76% 94,150 0.64% 0.64% 3.94% 3.94% N/A
- ---------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Portfolio
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) 0.79% $422,735 0.65% 0.65% 8.34% 8.35% 27.32%
1998 2.46% 389,385 0.66% 0.65% 8.17% 8.18% 75.27%
1997 9.44% 311,125 0.66% 0.65% 7.89% 7.89% 103.19%
1996 11.31% 184,744 0.71% 0.71% 8.28% 8.28% 120.06%
1995 18.87% 84,425 0.77% 0.77% 8.51% 8.51% 127.31%
1994 0.42% 25,338 0.97% 0.88% 8.04% 8.13% 141.86%
- ---------------------------------------------------------------------------------------------------------------------------------
Managed Bond Portfolio
- ----------------------
For the Period Ended
June 30, 1999 (Unaudited) (2.41%) $967,240 0.67% 0.66% 5.53% 5.53% 170.17%
1998 9.20% 765,989 0.66% 0.66% 5.40% 5.40% 230.99%
1997 9.92% 468,575 0.66% 0.66% 5.72% 5.72% 230.87%
1996 4.25% 260,270 0.71% 0.71% 5.71% 5.71% 386.16%
1995 19.04% 126,992 0.76% 0.76% 6.04% 6.04% 191.39%
1994 (4.36%) 53,219 0.84% 0.84% 5.04% 5.04% 127.95%
- ---------------------------------------------------------------------------------------------------------------------------------
Government Securities Portfolio
- -------------------------------
For the Period Ended
June 30, 1999 (Unaudited) (2.48%) $345,031 0.66% 0.66% 5.06% 5.06% 109.31%
1998 9.24% 190,428 0.66% 0.66% 5.16% 5.16% 266.83%
1997 9.48% 129,900 0.67% 0.66% 5.38% 5.39% 203.01%
1996 2.94% 97,542 0.72% 0.72% 5.33% 5.33% 307.13%
1995 18.81% 59,767 0.82% 0.82% 5.58% 5.58% 298.81%
1994 (5.10%) 21,489 0.95% 0.88% 4.22% 4.29% 232.99%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on B-12
B-9
<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 Net Asset
Value, Investment and Unrealized Total From (from Net Distributions Value,
For the Year Ended Beginning Income Gain (Loss) Investment Investment (from Capital Total End of
December 31, of Year (Loss) on Securities Operations Income) Gains) Distributions Year
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Growth Portfolio
- ----------------
For the Period Ended
June 30, 1999 (Unaudited) $22.92 0.01 3.24 3.25 - (2.88) (2.88) $23.29
1998 24.61 0.02 0.90 0.92 (0.02) (2.59) (2.61) 22.92
1997 21.45 0.05 5.65 5.70 (0.05) (2.49) (2.54) 24.61
1996 18.57 0.08 4.11 4.19 (0.09) (1.22) (1.31) 21.45
1995 14.90 0.15 3.67 3.82 (0.15) - (0.15) 18.57
1994 18.20 0.10 (2.01) (1.91) (0.10) (1.29) (1.39) 14.90
- -----------------------------------------------------------------------------------------------------------------------------------
Aggressive Equity Portfolio
- ---------------------------
For the Period Ended
June 30, 1999 (Unaudited) $12.66 - 1.68 1.68 - (1.37) (1.37) $12.97
1998 11.18 0.01 1.47 1.48 - - - 12.66
1997 10.78 (0.01) 0.41 0.40 - - - 11.18
1996 (1) 10.00 0.01 0.78 0.79 (0.01) - (0.01) 10.78
- -----------------------------------------------------------------------------------------------------------------------------------
Growth LT Portfolio
- -------------------
For the Period Ended
June 30, 1999 (Unaudited) $26.20 0.12 8.47 8.59 - (2.63) (2.63) $32.16
1998 17.31 (0.04) 9.86 9.82 (0.05) (0.88) (0.93) 26.20
1997 16.50 0.16 1.51 1.67 (0.09) (0.77) (0.86) 17.31
1996 14.12 0.14 2.37 2.51 (0.13) - (0.13) 16.50
1995 11.11 0.10 3.96 4.06 (0.10) (0.95) (1.05) 14.12
1994 (2) 10.00 0.10 1.21 1.31 (0.12) (0.08) (0.20) 11.11
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Income Portfolio
- -----------------------
For the Period Ended
June 30, 1999 (Unaudited) $26.89 0.10 3.51 3.61 (0.09) (2.34) (2.43) $28.07
1998 24.47 0.20 5.44 5.64 (0.20) (3.02) (3.22) 26.89
1997 20.45 0.20 5.35 5.55 (0.20) (1.33) (1.53) 24.47
1996 18.21 0.24 3.15 3.39 (0.24) (0.91) (1.15) 20.45
1995 14.05 0.26 4.16 4.42 (0.26) - (0.26) 18.21
1994 15.52 0.20 (0.25) (0.05) (0.20) (1.22) (1.42) 14.05
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Gross of Net Investment Income to Investment Income to
End of Expenses to Expenses to Average Net Assets Average Net Assets Portfolio
For the Year Ended Total Year (in Average Net Average Net before Expense after Expense Turnover
December 31, Return thousands) Assets (4) Assets (4) Reductions (4) Reductions (4) Rate
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Growth Portfolio
- ----------------
For the Period Ended
June 30, 1999 (Unaudited) 15.13% $297,994 0.70% 0.70% 0.10% 0.10% 20.46%
1998 2.69% 267,958 0.70% 0.70% 0.11% 0.11% 48.48%
1997 30.27% 246,555 0.70% 0.70% 0.21% 0.22% 52.20%
1996 23.62% 167,335 0.76% 0.76% 0.43% 0.44% 70.22%
1995 25.75% 129,741 0.79% 0.79% 0.88% 0.88% 46.76%
1994 (10.49%) 81,451 0.86% 0.86% 0.58% 0.58% 40.42%
- ---------------------------------------------------------------------------------------------------------------------------------
Aggressive Equity Portfolio
- ---------------------------
For the Period Ended
June 30, 1999 (Unaudited) 13.49% $305,140 0.87% 0.87% (0.19%) (0.19%) 48.38%
1998 13.22% 218,712 0.89% 0.89% 0.01% 0.01% 184.42%
1997 3.78% 122,752 0.87% 0.86% (0.13%) (0.13%) 189.21%
1996 (1) 7.86% 49,849 1.03% 1.02% (0.12%) (0.11%) 79.86%
- ---------------------------------------------------------------------------------------------------------------------------------
Growth LT Portfolio
- -------------------
For the Period Ended
June 30, 1999 (Unaudited) 33.58% $2,044,650 0.80% 0.80% (0.31%) (0.31%) 59.13%
1998 58.29% 1,279,759 0.80% 0.80% (0.08%) (0.08%) 116.96%
1997 10.96% 677,147 0.82% 0.82% 0.52% 0.52% 145.17%
1996 17.87% 438,154 0.87% 0.87% 0.74% 0.74% 147.02%
1995 36.75% 200,785 0.94% 0.94% 0.90% 0.90% 165.83%
1994 (2) 13.25% 49,374 1.23% 1.08% 1.17% 1.32% 257.20%
- ---------------------------------------------------------------------------------------------------------------------------------
Equity Income Portfolio
- -----------------------
For the Period Ended
June 30, 1999 (Unaudited) 13.88% $1,604,049 0.70% 0.70% 0.78% 0.78% 35.09%
1998 24.18% 1,262,143 0.70% 0.69% 0.84% 0.84% 80.78%
1997 28.60% 806,112 0.70% 0.70% 0.91% 0.91% 105.93%
1996 19.43% 429,262 0.75% 0.75% 1.31% 1.31% 94.95%
1995 31.66% 206,653 0.83% 0.83% 1.59% 1.59% 86.47%
1994 (0.28%) 75,083 1.00% 0.94% 1.34% 1.39% 134.57%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on B-12
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 Net Realized Dividends Net Asset
Value, Invest- and Unrealized Total From (from Net Distributions Return Total Value,
For the Year Ended Beginning ment Gain (Loss) Investment Investment (from Capital of Distri- End of
December 31, of Year Income on Securities Operations Income) Gains) Capital butions Year
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Multi-Strategy Portfolio
- ------------------------
For the Period Ended
June 30, 1999 (Unaudited) $17.32 0.21 1.03 1.24 (0.21) (1.08) - (1.29) $17.27
1998 16.18 0.46 2.34 2.80 (0.46) (1.20) - (1.66) 17.32
1997 14.75 0.50 2.23 2.73 (0.50) (0.80) - (1.30) 16.18
1996 14.20 0.48 1.20 1.68 (0.48) (0.65) - (1.13) 14.75
1995 11.73 0.45 2.47 2.92 (0.45) - - (0.45) 14.20
1994 12.66 0.32 (0.51) (0.19) (0.32) (0.42) - (0.74) 11.73
- -----------------------------------------------------------------------------------------------------------------------------------
Large-Cap Value Portfolio (3)
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) $10.00 0.02 1.54 1.56 (0.01) - - (0.01) $11.55
- -----------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Value Portfolio (3)
- -----------------------
For the Period Ended
June 30, 1999 (Unaudited) $10.00 - 1.20 1.20 - - - - $11.20
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Portfolio
- ----------------
For the Period Ended
June 30, 1999 (Unaudited) $29.27 0.02 3.80 3.82 (0.01) (2.32) - (2.33) $30.76
1998 23.89 0.09 7.01 7.10 (0.09) (1.63) - (1.72) 29.27
1997 21.07 0.14 3.58 3.72 (0.13) (0.77) - (0.90) 23.89
1996 17.52 0.02 4.71 4.73 (0.02) (1.16) - (1.18) 21.07
1995 14.20 0.05 3.33 3.38 (0.06) - - (0.06) 17.52
1994 14.94 0.32 (0.74) (0.42) (0.32) - - (0.32) 14.20
- -----------------------------------------------------------------------------------------------------------------------------------
Bond and Income Portfolio
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) $13.30 0.36 (1.11) (0.75) (0.36) (0.53) - (0.89) $11.66
1998 12.97 0.74 0.39 1.13 (0.78) (0.02) - (0.80) 13.30
1997 12.05 0.80 1.05 1.85 (0.76) (0.17) - (0.93) 12.97
1996 13.02 0.79 (0.94) (0.15) (0.79) (0.03) - (0.82) 12.05
1995 10.42 0.82 2.59 3.41 (0.81) - - (0.81) 13.02
1994 13.05 0.83 (1.87) (1.04) (0.83) (0.53) (0.23) (1.59) 10.42
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Gross of Net Investment Income to Investment Income to
End of Expenses to Expenses to Average Net Assets Average Net Assets Portfolio
For the Year Ended Total Year (in Average Net Average Net before Expense after Expense Turnover
December 31, Return thousands) Assets (4) Assets (4) Reductions (4) Reductions (4) Rate
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Multi-Strategy Portfolio
- ------------------------
For the Period Ended
June 30, 1999 (Unaudited) 7.39% $673,691 0.71% 0.71% 2.42% 2.42% 90.19%
1998 18.17% 576,424 0.71% 0.70% 2.81% 2.81% 102.38%
1997 19.62% 367,128 0.71% 0.71% 3.25% 3.25% 71.89%
1996 12.56% 225,619 0.78% 0.78% 3.37% 3.37% 132.94%
1995 25.25% 134,501 0.84% 0.84% 3.49% 3.49% 176.45%
1994 (1.50%) 79,147 0.94% 0.94% 2.77% 2.78% 187.40%
- ---------------------------------------------------------------------------------------------------------------------------------
Large-Cap Value Portfolio (3)
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) 15.56% $103,299 1.28% 1.08% 1.01% 1.21% 14.78%
- ---------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Value Portfolio (3)
- -----------------------
For the Period Ended
June 30, 1999 (Unaudited) 11.98% $60,831 1.20% 1.08% 0.09% 0.21% 20.35%
- ---------------------------------------------------------------------------------------------------------------------------------
Equity Portfolio
- ----------------
For the Period Ended
June 30, 1999 (Unaudited) 13.56% $700,679 0.71% 0.71% 0.17% 0.17% 22.80%
1998 30.28% 502,629 0.71% 0.71% 0.35% 0.35% 130.51%
1997 18.18% 318,143 0.70% 0.70% 0.59% 0.59% 159.88%
1996 28.03% 207,897 0.74% 0.74% 0.05% 0.05% 90.98%
1995 23.80% 108,136 0.80% 0.80% 0.27% 0.27% 226.45%
1994 (2.87%) 73,125 0.96% 0.96% 2.19% 2.19% 178.63%
- ---------------------------------------------------------------------------------------------------------------------------------
Bond and Income Portfolio
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) (5.75%) $192,594 0.68% 0.67% 5.97% 5.98% 54.74%
1998 8.97% 184,538 0.70% 0.70% 5.72% 5.73% 147.00%
1997 16.32% 112,507 0.66% 0.66% 6.62% 6.62% 15.32%
1996 (0.80%) 81,810 0.71% 0.71% 6.74% 6.74% 26.50%
1995 33.71% 56,853 0.80% 0.80% 6.93% 6.93% 51.84%
1994 (8.36%) 34,078 0.93% 0.93% 7.25% 7.25% 31.97%
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on B-12
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 Net Asset
Value, Investment and Unrealized Total From (from Net Distributions Value,
For the Year Ended Beginning Income Gain (Loss) Investment Investment (from Capital Total End of
December 31, of Year (Loss) on Securities Operations Income) Gains) Distributions Year
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Equity Index Portfolio
- ----------------------
For the Period Ended
June 30, 1999 (Unaudited) $32.33 0.19 3.73 3.92 (0.19) (0.16) (0.35) $35.90
1998 25.71 0.38 6.83 7.21 (0.37) (0.22) (0.59) 32.33
1997 20.42 0.37 6.13 6.50 (0.37) (0.84) (1.21) 25.71
1996 17.45 0.37 3.42 3.79 (0.37) (0.45) (0.82) 20.42
1995 13.02 0.34 4.43 4.77 (0.34) - (0.34) 17.45
1994 13.24 0.30 (0.18) 0.12 (0.30) (0.04) (0.34) 13.02
- -----------------------------------------------------------------------------------------------------------------------------------
Small-Cap Index Portfolio (3)
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) $10.00 0.02 0.81 0.83 - - - $10.83
- -----------------------------------------------------------------------------------------------------------------------------------
REIT Portfolio (3)
- --------------
For the Period Ended
June 30, 1999 (Unaudited) $10.00 0.15 0.70 0.85 (0.06) - (0.06) $10.79
- -----------------------------------------------------------------------------------------------------------------------------------
International Portfolio
- -----------------------
For the Period Ended
June 30, 1999 (Unaudited) $15.80 0.02 0.62 0.64 (0.12) (0.62) (0.74) $15.70
1998 16.21 0.11 0.90 1.01 (0.17) (1.25) (1.42) 15.80
1997 15.40 0.41 1.00 1.41 (0.29) (0.31) (0.60) 16.21
1996 12.93 0.28 2.54 2.82 (0.23) (0.12) (0.35) 15.40
1995 11.94 0.33 0.91 1.24 (0.25) - (0.25) 12.93
1994 12.09 0.07 0.30 0.37 (0.07) (0.45) (0.52) 11.94
- -----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
- --------------------------
For the Period Ended
June 30, 1999 (Unaudited) $6.85 0.02 2.03 2.05 (0.02) - (0.02) $8.88
1998 9.47 0.10 (2.64) (2.54) (0.08) - (0.08) 6.85
1997 9.68 0.06 (0.22) (0.16) (0.05) - (0.05) 9.47
1996 (1) 10.00 (0.02) (0.30) (0.32) - - - 9.68
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
----------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Gross of Net Investment Income to Investment Income to
End of Expenses to Expenses to Average Net Assets Average Net Assets Portfolio
For the Year Ended Total Year (in Average Net Average Net before Expense after Expense Turnover
December 31, Return thousands) Assets (4) Assets (4) Reductions (4) Reductions (4) Rate
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Equity Index Portfolio
- ----------------------
For the Period Ended
June 30, 1999 (Unaudited) 12.08% $1,980,957 0.21% 0.21% 1.19% 1.19% 2.47%
1998 28.45% 1,496,457 0.21% 0.21% 1.33% 1.33% 2.48%
1997 32.96% 874,136 0.23% 0.23% 1.61% 1.61% 2.58%
1996 22.36% 393,412 0.31% 0.31% 2.04% 2.05% 20.28%
1995 36.92% 137,519 0.42% 0.42% 2.26% 2.26% 7.52%
1994 1.05% 40,612 0.53% 0.51% 2.35% 2.37% 2.02%
- ---------------------------------------------------------------------------------------------------------------------------------
Small-Cap Index Portfolio (3)
- -------------------------
For the Period Ended
June 30, 1999 (Unaudited) 8.05% $58,265 1.84% 0.74% 0.05% 1.15% 71.58%
- ---------------------------------------------------------------------------------------------------------------------------------
REIT Portfolio (3)
- --------------
For the Period Ended
June 30, 1999 (Unaudited) 8.55% $34,982 1.58% 1.33% 6.25% 6.50% 2.08%
- ---------------------------------------------------------------------------------------------------------------------------------
International Portfolio
- -----------------------
For the Period Ended
June 30, 1999 (Unaudited) 4.31% $1,306,537 1.01% 1.01% 2.20% 2.20% 35.93%
1998 5.60% 996,215 1.00% 1.00% 1.36% 1.36% 45.61%
1997 9.28% 764,036 1.03% 1.02% 1.79% 1.81% 84.34%
1996 21.89% 454,019 1.07% 1.07% 2.28% 2.28% 20.87%
1995 10.56% 182,199 1.12% 1.12% 1.87% 1.87% 16.07%
1994 3.01% 75,971 1.22% 1.22% 1.28% 1.28% 52.22%
- ---------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
- --------------------------
For the Period Ended
June 30, 1999 (Unaudited) 29.92% $162,970 1.44% 1.43% 1.15% 1.15% 35.23%
1998 (26.83%) 106,570 1.46% 1.46% 1.42% 1.42% 29.82%
1997 (1.69%) 99,425 1.47% 1.46% 0.79% 0.80% 69.60%
1996 (1) (3.23%) 44,083 2.22% 2.18% (0.14%) (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 ratios
of expenses to average net assets and the ratios of net
investment income (loss) to average net assets are annualized.
(3) Information is for the period from January 4, 1999 (commencement of
operations) to June 30, 1999. The ratios of expenses to average net assets
and the ratios of net investment income (loss) to average net assets are
annualized.
(4) Net expenses are after adviser's reimbursements and custodian credits, if
any, as discussed in Note 7 to the Financial Statements. Gross expenses
used in calculating the ratios of gross expenses to average net assets and
the ratios of net investment income (loss) to average net assets before
expense reductions are grossed up by these reimbursements and credits.
See Notes to Financial Statements
B-12
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 100.00%
COMMERCIAL PAPER - 100.00%
Alberta Province
9.250% due 04/01/00 $10,000,000 $10,279,119
Albertsons Inc
5.040% due 07/22/99 10,220,000 10,189,953
5.150% due 07/08/99 1,000,000 998,999
Aluminum Company of America
4.830% due 07/13/99 15,000,000 14,975,850
AMCAR
4.916% due 06/12/00 " 6,523,476 6,523,476
Archer Daniels Midland Corp
4.830% due 08/16/99 11,000,000 10,932,112
4.850% due 07/07/99 15,000,000 14,987,875
Associate Corp of North America
6.680% due 09/17/99 1,500,000 1,503,500
Avnet Inc
4.810% due 07/14/99 10,000,000 9,982,631
Baltimore Gas & Electric
5.000% due 08/02/99 15,000,000 14,933,333
BellSouth Telecommunications
5.080% due 08/09/99 13,000,000 12,928,457
6.500% due 02/01/00 450,000 453,066
Carolina Power & Light
6.125% due 02/01/00 2,600,000 2,614,734
CIT Group Holdings
6.250% due 09/30/99 10,000,000 10,016,880
Consolidated Natural Gas
5.050% due 08/04/99 15,000,000 14,928,458
Dean Foods Co
4.900% due 07/19/99 ~ 4,000,000 3,990,200
5.050% due 08/03/99 ~ 14,600,000 14,532,414
Duke Energy Corp
4.820% due 07/06/99 11,762,000 11,754,126
Electronic Data Systems Corp
4.920% due 07/02/99 ~ 8,000,000 7,998,907
First Data Corp
4.830% due 07/13/99 20,000,000 19,967,800
First Security Auto Owner Trust
4.960% due 03/15/00 " 2,424,371 2,424,371
5.015% due 06/15/00 " 7,381,609 7,381,609
Fluor Corp
5.050% due 07/19/99 ~ 15,000,000 14,962,125
Ford Motor Credit
4.850% due 07/08/99 15,000,000 14,985,854
Fortune Brands
4.919% due 08/19/99 ~ 12,500,000 12,418,333
4.965% due 08/17/99 ~ 10,000,000 9,936,681
Gannett Co
5.850% due 05/01/00 1,500,000 1,503,869
GMAC
6.650% due 05/24/00 10,000,000 10,104,220
Great Lakes Chemicals
4.895% due 08/10/99 ~ 15,000,000 14,919,333
Heart
4.947% due 05/13/00 " 7,962,130 7,962,130
Heinz (HJ) Co
4.853% due 07/07/99 3,500,000 3,497,188
IBM Corp
6.375% due 06/15/00 2,000,000 2,014,999
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
IBM Credit Corp
4.876% due 07/15/99 $10,000,000 $9,981,411
IKON
5.110% due 06/15/00 " 8,184,648 8,184,648
Interstate Energy Corp
4.851% due 07/20/99 20,500,000 20,447,958
IPALCO Enterprise
4.853% due 07/21/99 ~ 10,000,000 9,973,333
4.858% due 08/06/99 ~ 5,000,000 4,976,000
4.910% due 07/07/99 ~ 8,600,000 8,593,048
John Deere Capital Corp
4.865% due 09/22/99 20,000,000 19,997,271
John Deere Owner Trust
4.998% due 06/19/00 " 9,791,010 9,791,010
Lubrizol Corp
5.060% due 08/23/99 13,200,000 13,101,667
MMCA Libor (Edsf) Flat
5.066% due 01/15/00 " 5,432,960 5,433,571
Monsanto Co
4.920% due 08/02/99 10,000,000 9,956,267
Motiva Enterprise
4.841% due 07/26/99 15,000,000 14,950,105
Navistar Financial Corp Owner Trust
5.002% due 06/15/00 " 8,368,709 8,368,709
New York Times Co
4.880% due 07/08/99 5,810,000 5,804,487
5.030% due 08/09/99 10,000,000 9,945,508
Norfolk Southern Corp
5.800% due 06/15/00 6,250,000 6,250,000
Pacific Gas & Electric Corp
4.900% due 07/06/99 ~ 10,450,000 10,442,888
5.000% due 07/06/99 ~ 12,900,000 12,891,042
Peoples Energy
4.800% due 07/29/99 13,050,000 13,001,280
R.R. Donnelley & Sons
5.150% due 07/06/99 ~ 19,000,000 18,986,410
Sallie Mae
5.239% due 06/08/00 25,000,000 24,996,387
Sara Lee Corp
4.870% due 07/01/99 20,000,000 20,000,000
Short-Term Repackage Asset Trust
4.900% due 08/18/99 " 20,000,000 20,000,000
4.922% due 07/26/99 " 20,000,000 20,000,000
Southern Co
4.850% due 07/14/99 ~ 10,000,000 9,982,486
Stanley Works
5.850% due 07/01/99 ~ 540,000 540,000
Tampa Electric Co
5.750% due 05/01/00 1,000,000 1,004,690
Times Mirror Co
5.856% due 07/15/99 ~ 20,300,000 20,262,108
Weyerhaeuser R/E
6.780% due 02/24/00 20,000,000 20,184,609
------------
Total Commercial Paper 654,649,495
------------
Total Short-Term Investments
(Cost $654,649,495) 654,649,495
------------
TOTAL MONEY MARKET PORTFOLIO
(COST $654,649,495) $654,649,495
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-13
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
PREFERRED STOCKS - 0.87%
Consumer Discretionary - 0.87%
CSC Holdings Inc 10,565 $1,154,225
Primedia Inc `H' 25,000 2,384,375
----------
Total Preferred Stocks
(Cost $3,244,861) 3,538,600
----------
COMMON STOCKS - 0.03%
Consumer Discretionary - 0.03%
Globalstar Telecommunications Ltd
Warrants * 1,250 100,200
Splitrock Service Warrants * 2,500 17,500
----------
Total Common Stocks
(Cost $5) 117,700
----------
<CAPTION>
Principal
Amount
---------
CORPORATE BONDS & NOTES - 78.82%
<S> <C> <C>
Autos & Transportation - 5.31%
Accuride Corp
9.250% due 02/01/08 $4,500,000 4,477,500
American Commercial Lines LLC
10.250% due 06/30/08 1,500,000 1,507,500
Amtran Inc
9.625% due 12/15/05 3,000,000 2,943,750
Delco Remy International Inc
10.625% due 08/01/06 2,000,000 2,070,000
Federal-Mogul Corp
7.750% due 07/01/06 2,000,000 1,917,500
Hayes Lemmerz International Inc
8.250% due 12/15/08 ~ 2,500,000 2,393,750
Hayes Wheels International
9.125% due 07/15/07 1,500,000 1,511,250
Holt Group
9.750% due 01/15/06 ~ 700,000 479,500
Kitty Hawk Inc
9.950% due 11/15/04 1,000,000 1,005,000
Titan Wheel International Inc
8.750% due 04/01/07 2,000,000 1,875,000
Westinghouse Air Brake Co
9.375% due 06/15/05 ~ 1,500,000 1,530,000
----------
21,710,750
----------
Consumer Discretionary - 28.03%
Allied Waste Industries Inc
7.875% due 01/01/09 2,500,000 2,331,250
AmeriServe Food Distribution
8.875% due 10/15/06 2,000,000 1,850,000
10.125% due 07/15/07 1,000,000 855,000
Avis Rent A Car Inc
11.000% due 05/01/09 ~ 3,500,000 3,574,375
Big Flower Press
8.625% due 12/01/08 500,000 462,500
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Capstar Hotel Co
8.750% due 08/15/07 $1,500,000 $1,410,000
Chancellor Media Corp
9.000% due 10/01/08 3,000,000 3,067,500
10.500% due 01/15/07 1,500,000 1,582,500
CKE Restaurants Inc
9.125% due 05/01/09 1,500,000 1,395,000
Falcon Holding Group
8.375% due 04/15/10 1,000,000 992,500
Ferrellgas Partners
9.375% due 06/15/06 3,000,000 3,000,000
Foodmaker Inc
8.375% due 04/15/08 2,500,000 2,475,000
Fox Family Worldwide
9.250% due 11/01/07 3,000,000 2,797,500
Garden State Newspapers
8.625% due 07/01/11 ~ 1,500,000 1,432,500
8.750% due 10/01/09 2,000,000 1,970,000
Globalstar LP/Capital
10.750% due 11/01/04 ~ 1,500,000 990,000
11.375% due 02/15/04 2,250,000 1,507,500
Granite Broadcasting
8.875% due 05/15/08 1,500,000 1,436,250
Gray Communications System
10.625% due 10/01/06 1,000,000 1,052,500
Group Maintenance America Corp
9.750% due 01/15/09 ~ 1,700,000 1,676,625
Hammons Hotels (John Q)
8.875% due 02/15/04 500,000 463,750
9.750% due 10/01/05 3,000,000 2,872,500
Harrahs Operating Company Inc
7.875% due 12/15/05 2,000,000 1,945,000
HMH Properties Inc
7.875% due 08/01/08 2,000,000 1,855,000
Hollinger International Inc
8.625% due 03/15/05 2,500,000 2,543,750
Holmes Products
9.875% due 11/15/07 ~ 500,000 486,250
Host Marriott Corp
8.375% due 02/15/06 ~ 1,000,000 976,250
International Game Technology
8.375% due 05/15/09 ~ 4,000,000 3,945,000
Iron Mountain Inc
10.125% due 10/01/06 2,000,000 2,080,000
IT Group Inc
11.250% due 04/01/09 ~ 1,000,000 965,000
Jacor Communications Inc
8.750% due 06/15/07 1,000,000 1,075,000
K-III Communication
8.500% due 02/01/06 2,500,000 2,518,750
Lenfest Communications Inc
8.250% due 02/15/08 2,000,000 2,042,500
Loews Cineplex Entertainment
8.875% due 08/01/08 2,000,000 1,920,000
Loral Space & Communications
9.500% due 01/15/06 3,250,000 2,835,625
Mohegan Tribal Gaming
8.750% due 01/01/09 1,500,000 1,492,500
Nebraska Book Co
8.750% due 02/15/08 4,000,000 3,380,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-14
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Optel Inc
13.000% due 02/15/05 $2,500,000 $1,912,500
Pegasus Communications Corp
9.625% due 10/15/05 2,000,000 1,970,000
9.750% due 12/01/06 2,000,000 2,010,000
Premier Parks Inc
9.250% due 04/01/06 1,000,000 990,000
9.750% due 06/15/07 2,500,000 2,537,500
Prime Hospitality Inc
9.750% due 04/01/07 3,000,000 2,925,000
Rent-A-Center Inc
11.000% due 08/15/08 3,250,000 3,274,375
Rose Hills Acquisition Corp
9.500% due 11/15/04 3,500,000 3,176,250
Safety-Kleen Services
9.250% due 06/01/08 2,000,000 2,060,000
Scotsman Group
8.625% due 12/15/07 1,500,000 1,522,500
SFX Entertainment Inc
9.125% due 02/01/08 3,500,000 3,447,500
Sinclair Broadcasting
8.750% due 12/15/07 1,000,000 975,000
9.000% due 07/15/07 3,000,000 2,977,500
Sleepmaster
11.000% due 05/15/09 ~ 2,500,000 2,556,250
Splitrock Services
11.750% due 07/15/08 2,500,000 2,350,000
Sun International Hotels
8.625% due 12/15/07 1,000,000 980,000
The Official Information Co
10.375% due 11/01/07 1,000,000 1,005,000
TV Guide Inc
8.125% due 03/01/09 ~ 3,500,000 3,329,375
United Rentals Inc
9.000% due 04/01/09 ~ 4,000,000 3,940,000
Young America Corp
11.625% due 02/15/06 2,000,000 1,410,000
-----------
114,604,125
-----------
Consumer Staples - 4.21%
Aurora Foods Inc
9.875% due 02/15/07 2,900,000 3,016,000
B&G Foods Inc
9.625% due 08/01/07 1,000,000 946,250
Carrols Corp
9.500% due 12/01/08 2,500,000 2,343,750
Chiquita Brands International Inc
9.125% due 03/01/04 500,000 507,500
10.000% due 06/15/09 2,500,000 2,506,250
10.250% due 11/01/06 1,500,000 1,526,250
Eagle Family Foods
8.750% due 01/15/08 3,000,000 2,700,000
Imperial Holly Corp
9.750% due 12/15/07 3,000,000 2,940,000
Southland Corp
5.000% due 12/15/03 850,000 735,250
-----------
17,221,250
-----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Financial Services - 0.49%
Bank United Corp
8.875% due 05/01/07 $2,000,000 $2,022,500
----------
2,022,500
----------
Health Care - 3.22%
Dade International Inc
11.125% due 05/01/06 1,500,000 1,586,250
Genesis Health Ventures Inc
9.750% due 06/15/05 500,000 410,000
9.875% due 01/15/09 500,000 402,500
Integrated Health Services Inc
9.500% due 09/15/07 2,000,000 1,470,000
LifePoint Hospitals Holdings
10.750% due 05/15/09 ~ 500,000 511,250
Quest Diagnostics Inc
9.875% due 07/01/09 ~ 2,000,000 2,025,000
Tenet Healthcare Corp
8.125% due 12/01/08 4,000,000 3,800,000
8.625% due 01/15/07 3,000,000 2,970,000
----------
13,175,000
----------
Integrated Oil - 3.15%
Clark R&M Inc
7.715% due 11/15/04 1,500,000 1,432,500
8.875% due 11/15/07 1,500,000 1,325,625
Cross Timbers Oil Co
8.750% due 11/01/09 1,500,000 1,451,250
9.250% due 04/01/07 500,000 495,000
Giant Industries
9.750% due 11/15/03 2,000,000 1,932,500
Lyondell Chemical Co
9.875% due 05/01/07 ~ 2,500,000 2,568,750
Tesoro Petroleum Corp
9.000% due 07/01/08 3,750,000 3,665,625
----------
12,871,250
----------
Materials & Processing - 8.90%
AK Steel Holding Corp
7.875% due 02/15/09 ~ 2,000,000 1,930,000
Atrium Companies Inc
10.500% due 05/01/09 1,500,000 1,470,000
Ball Corp
8.250% due 08/01/08 2,000,000 1,980,000
Furon Co
8.125% due 03/01/08 2,000,000 1,890,000
Ispat Inland LP Senior Security Credit
7.486% due 07/14/05 2,487,500 2,475,063
7.986% due 07/14/06 2,487,500 2,475,063
NCI Building Systems Inc
9.250% due 05/01/09 ~ 1,000,000 967,500
Nortek Inc
8.875% due 08/01/08 ~ 3,375,000 3,324,375
P&L Coal Holdings
8.875% due 05/15/08 3,000,000 3,015,000
9.625% due 05/15/08 2,000,000 2,005,000
Packaging Corp of America
9.625% due 04/01/09 ~ 1,000,000 1,020,000
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-15
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Polymer Group Inc
9.000% due 07/01/07 $3,000,000 $2,925,000
Portola Packing Inc
10.750% due 10/01/05 2,000,000 2,045,000
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,065,000
URS Corp
12.250% due 05/01/09 ~ 2,000,000 2,040,000
Wesco Distributor
9.125% due 06/01/08 3,000,000 2,917,500
Wheeling Pittsburg Corp
9.250% due 11/15/07 3,000,000 2,865,000
----------
36,409,501
----------
Other Energy - 6.00%
Aes Corp
8.000% due 12/31/08 1,000,000 940,000
8.375% due 08/15/07 1,500,000 1,417,500
8.500% due 11/01/07 3,000,000 2,842,500
10.250% due 07/15/06 4,000,000 4,110,000
Calpine Corp
7.750% due 04/15/09 1,500,000 1,413,750
8.750% due 07/15/07 1,000,000 990,000
10.500% due 05/15/06 1,500,000 1,620,000
Comstock Resources Inc
11.250% due 05/01/07 ~ 2,000,000 2,050,000
DI Industries
8.875% due 07/01/07 1,750,000 1,548,750
HS Resources Inc
9.250% due 11/15/06 2,000,000 1,990,000
Ocean Energy Inc
8.875% due 07/15/07 2,000,000 2,005,000
Pride International Inc
10.000% due 06/01/09 1,000,000 1,020,000
Vintage Petroleum Inc
9.750% due 06/30/09 2,500,000 2,568,750
----------
24,516,250
----------
Producer Durables - 6.95%
BE Aerospace Inc
8.000% due 03/01/08 2,000,000 1,880,000
9.875% due 02/01/06 3,500,000 3,570,000
Columbus McKinnon Corp
8.500% due 04/01/08 3,500,000 3,377,500
Graham Packaging Co
8.655% due 01/15/08 3,500,000 3,202,500
International Comfort Products
8.625% due 05/15/08 3,000,000 3,225,000
L-3 Communications Holdings Inc
8.000% due 08/01/08 1,500,000 1,421,250
8.500% due 05/15/08 3,500,000 3,430,000
Paragon Corp
9.625% due 04/01/08 1,500,000 877,500
United Defense Industries
8.750% due 11/15/07 4,000,000 3,910,000
Viasystems Inc
9.750% due 06/01/07 4,000,000 3,520,000
----------
28,413,750
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Technology - 2.03%
Amkor Technologies Inc
9.250% due 05/01/06 ~ $1,500,000 $1,470,000
Dialogic Corp
11.000% due 11/15/07 3,000,000 2,730,000
PSINet
10.000% due 02/15/05 3,000,000 3,030,000
11.500% due 11/01/08 1,000,000 1,060,000
-----------
8,290,000
-----------
Utilities - 10.53%
Adelphia Communications Corp
7.750% due 01/15/09 2,500,000 2,321,875
8.375% due 02/01/08 3,000,000 2,902,500
10.250% due 07/15/00 1,000,000 1,025,000
Advanstar Communications
9.250% due 05/01/08 2,000,000 1,975,000
Charter Communication Holdings
8.625% due 04/01/09 ~ 1,000,000 965,000
Comcast Corp
9.125% due 10/15/06 1,500,000 1,596,570
CSC Holdings Inc
7.875% due 12/15/07 3,000,000 2,977,920
9.250% due 11/01/05 2,000,000 2,075,000
Hyperion Telecommunications
12.000% due 11/01/07 ~ 1,000,000 1,027,500
Intermedia Communications Inc
8.500% due 01/15/08 3,000,000 2,760,000
8.875% due 11/01/07 4,000,000 3,770,000
Level 3 Communications Inc
9.125% due 05/01/08 3,000,000 2,962,500
McLeodUSA Inc
8.125% due 02/15/09 ~ 2,000,000 1,860,000
9.250% due 07/15/07 2,000,000 1,995,000
Nextel Communications Inc
9.750% due 08/15/04 3,500,000 3,578,750
NEXTLINK Communications
10.750% due 11/15/08 3,000,000 3,082,500
10.750% due 06/01/09 3,000,000 3,090,000
Niagara Mohawk Power Corp
0.000% due 07/01/03 1,500,000 1,131,233
Qwest Communications International Inc
7.250% due 11/01/08 2,000,000 1,970,000
-----------
43,066,348
-----------
Total Corporate Bonds & Notes
(Cost $337,349,087) 322,300,724
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-16
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CONVERTIBLE BONDS - 0.81%
Consumer Staples - 0.31%
Chiquita Brands International Inc
7.000% due 03/28/01 $1,360,000 $1,258,000
----------
1,258,000
----------
Producer Durables - 0.33%
FMC Corp
6.750% due 01/16/05 500,000 460,000
Mark IV Industries Inc
4.750% due 11/01/04 1,000,000 888,750
----------
1,348,750
----------
Technology - 0.17%
Thermotrex Corp
3.250% due 11/01/07 1,000,000 687,500
----------
687,500
----------
Total Convertible Bonds
(Cost $3,262,264) 3,294,250
----------
FOREIGN BONDS - 15.72%
Argentina - 0.29%
CEI Citicorp Holdings
9.750% due 02/14/07 1,500,000 1,177,500
----------
1,177,500
----------
Bahamas - 0.67%
Sun International Hotels Ltd
9.000% due 03/15/07 2,750,000 2,750,000
----------
2,750,000
----------
Belgium - 0.87%
Hermes Europe Railtel
10.375% due 01/15/09 3,500,000 3,561,250
----------
3,561,250
----------
Bermuda - 1.01%
Global Crossing
9.625% due 05/15/08 4,000,000 4,120,000
----------
4,120,000
----------
Brazil - 0.44%
Globo Communicacoes E Part SA
10.500% due 12/20/06 ~ 1,500,000 1,083,750
Globo Communicacoes PT `B'
10.500% due 12/20/06 1,000,000 722,500
----------
1,806,250
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Canada - 4.23%
Call-Net Enterprises
0.000% due 08/15/03 $5,000,000 $2,800,000
9.375% due 05/15/09 1,000,000 957,500
MDC Communications
10.500% due 12/01/06 1,500,000 1,567,500
Metronet Commercials
0.000% due 06/15/03 4,000,000 2,960,000
Pacifica Papers Inc
10.000% due 03/15/09 ~ 1,000,000 1,020,000
Rogers Cablesystem Ltd
9.625% due 08/01/02 500,000 523,750
10.000% due 03/15/05 1,500,000 1,605,000
10.000% due 12/01/07 1,000,000 1,075,000
Rogers Cantel
8.300% due 10/01/07 3,000,000 2,977,500
9.375% due 06/01/08 1,000,000 1,041,250
Rogers Communication Inc
2.000% due 11/26/05 1,000,000 776,250
----------
17,303,750
----------
Germany - 0.36%
Fresensius Med Care Cap
9.000% due 12/01/06 1,500,000 1,485,000
----------
1,485,000
----------
Mexico - 1.93%
Alestra Sa De Rl De Cv
12.125% due 05/15/06 ~ 2,000,000 1,912,500
Monterrey Power SA
9.625% due 11/15/09 ~ 2,500,000 2,018,750
Petro Mexicanos
9.375% due 12/02/08 ~ 2,000,000 2,030,000
Petroleos Mexicano Pemex Global
8.850% due 09/15/07 1,000,000 910,000
United Mexican States
9.875% due 01/15/07 1,000,000 1,001,250
----------
7,872,500
----------
Philippines - 1.16%
AC International Fin Co
0.500% due 07/30/02 1,000,000 1,110,000
Philippines Long Distance
8.350% due 03/06/17 1,000,000 812,930
9.250% due 06/30/06 3,000,000 2,831,547
----------
4,754,477
----------
Poland - 0.80%
Netia Holdings II BV
13.125% due 06/15/09 ~ 1,500,000 1,515,000
Netia Holdings BV
10.250% due 11/01/07 2,000,000 1,745,000
----------
3,260,000
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-17
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
United Kingdom - 3.96%
Newsquest Capital PLC
11.000% due 05/01/06 $1,500,000 $1,672,500
Orange PLC
8.000% due 08/01/08 3,000,000 2,880,000
9.000% due 06/01/09 ~ 2,000,000 2,020,000
Regional Independent Media
10.500% due 07/01/08 1,500,000 1,507,500
Swiss Life Finance Ltd
2.000% due 05/20/03 ~ 500,000 497,500
Telewest PLC
0.000% due 04/15/04 ~ 750,000 503,437
9.625% due 10/01/06 4,000,000 4,140,000
11.250% due 11/01/08 500,000 563,750
Willis Corroon Corp
9.000% due 02/01/09 ~ 2,500,000 2,421,875
----------
16,206,562
----------
Total Foreign Bonds
(Cost $62,147,290) 64,297,289
----------
U.S. TREASURY NOTES - 2.44%
5.625% due 02/15/06 3,000,000 2,955,000
5.875% due 11/30/01 7,000,000 7,043,750
----------
Total U.S. Treasury Notes
(Cost $10,088,333) 9,998,750
----------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 1.31%
COMMERCIAL PAPER - 1.31%
Monsanto Co
5.000% due 07/06/99 900,000 899,375
New York Times Co
4.880% due 07/08/99 1,000,000 999,051
OGE Energy Corp
4.980% due 07/01/99 ~ 2,075,000 2,075,000
R.R. Donnelley & Sons Co
5.150% due 07/06/99 ~ 1,000,000 999,285
Stanley Works
5.850% due 07/01/99 ~ 375,000 375,000
----------
Total Commercial Paper 5,347,711
----------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 0.00%
State Street Bank and Trust
3.500% due 07/01/99
(Dated 06/30/99, repurchase price
of $4,000; collateralized by U.S.
Treasury Notes--market value
$5,250 and due 05/15/01) $4,000 $4,000
------------
Total Securities Held Under Repurchase Agreement 4,000
------------
Total Short-Term Investments
(Cost $5,351,711) 5,351,711
------------
TOTAL HIGH YIELD BOND PORTFOLIO (COST $421,443,551) $408,899,024
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1999, 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 $421,443,551
------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $4,137,197
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (16,681,724)
------------
Net unrealized depreciation ($12,544,527)
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-18
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
CORPORATE BONDS & NOTES - 30.87%
Autos & Transportation - 1.61%
<S> <C> <C>
Continental Airline Inc
9.500% due 12/15/01 $8,325,000 $8,782,875
Northwest Airlines
10.530% due 01/15/09 ~ 4,431,473 5,200,953
UAL Equipment
9.210% due 01/21/17 800,000 862,456
9.560% due 10/19/18 1,650,000 1,782,281
10.850% due 02/19/15 1,000,000 1,235,540
----------
17,864,105
----------
Consumer Discretionary - 0.06%
Time Warner Pass 144a
6.100% due 12/30/01 650,000 647,264
----------
647,264
----------
Consumer Staples - 1.73%
Nabisco Inc
6.125% due 02/01/33 13,800,000 13,380,618
RJR Holdings Capital Corp
8.000% due 07/15/01 3,000,000 3,027,219
RJR Nabisco Inc Mtn
8.625% due 12/01/02 2,600,000 2,734,914
----------
19,142,751
----------
Financial & Business
Services - 22.48%
American Southwest Financial
7.400% due 11/17/04 10,900,000 11,119,690
Associates Corp North America
6.450% due 09/15/00 ~ 4,800,000 4,814,146
AT&T Capital Corp
5.860% due 04/26/02 10,500,000 10,108,644
Banco Lat Bladex
6.150% due 5/02/00 ~ 11,300,000 11,257,625
6.950% due 03/5/01 ~ 8,100,000 8,048,889
Bear Stearns Co
6.150% due 3/02/04 8,100,000 7,861,949
Capital One Bank
5.375% due 02/11/02 8,800,000 8,763,434
6.420% due 11/12/99 1,100,000 1,102,222
6.825% due 07/26/99 3,800,000 3,802,048
6.830% due 08/16/99 1,900,000 1,902,003
7.200% due 07/19/99 3,300,000 3,301,643
Chrysler Financial Corp
5.033% due 01/30/02 9,700,000 9,689,776
Credit Asset Rec
6.274% due 10/31/03 ~ 5,495,947 5,460,026
Donaldson Lufkin & Jenrette
6.000% due 12/01/01 2,200,000 2,181,392
GMAC
5.246% due 04/05/04 15,100,000 15,102,914
6.850% due 6/17/04 1,200,000 1,210,049
7.625% due 05/05/03 2,500,000 2,582,003
Goldman Sachs FRN
5.300% due 12/07/01 ~ 8,000,000 8,021,096
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
GS Escrow Corp
5.995% due 08/01/03 $8,000,000 $7,859,248
6.750% due 08/01/01 2,100,000 2,075,287
Heller Financial Inc
5.227% due 04/28/03 3,400,000 3,399,759
5.458% due 06/24/02 + 5,000,000 4,997,210
Household Financial Corp FRN Mtn
5.119% due 08/01/01 15,100,000 15,111,189
Lehman Brothers Holding FRN
5.900% due 04/01/02 9,600,000 9,599,318
MBNA America Bank North America
5.170% due 08/07/01 500,000 496,533
5.220% due 04/25/02 7,600,000 7,556,656
MBNA Corp
5.451% due 12/01/99 2,800,000 2,798,530
6.875% due 10/01/99 1,000,000 1,002,620
Paine Webber Group Inc FRN
5.600% due 11/27/00 1,700,000 1,703,756
Popular North America Inc
6.625% due 01/15/04 7,200,000 7,038,302
6.875% due 06/15/01 16,500,000 16,493,664
Public Services Enterprise FRN
5.543% due 06/15/01 14,300,000 14,297,269
Salomon Smith Barney Hldg FRN Mtn
5.180% due 05/14/02 1,000,000 996,441
TCI Communications Inc
5.080% due 02/02/00 5,700,000 5,693,456
TXU Eastern Funding
6.150% due 05/15/02 ~ 5,000,000 4,927,620
Union Pacific Corp FRN Mtn
5.945% due 05/22/00 ~ + 7,900,000 7,887,656
US West Capital Fund
5.546% due 06/15/00 ~ 18,600,000 18,592,188
-----------
248,856,251
-----------
Health Care - 0.90%
Columbia/HCA Healthcare
6.730% due 07/15/45 500,000 480,906
6.870% due 09/15/03 1,700,000 1,596,645
6.875% due 07/15/01 3,650,000 3,554,501
8.020% due 08/05/02 400,000 393,452
8.130% due 08/04/03 4,000,000 3,934,420
-----------
9,959,924
-----------
Other Energy - 2.13%
R & B Falcon Corp
6.500% due 04/15/03 3,000,000 2,557,500
9.125% due 12/15/03 12,000,000 11,250,000
Williams Co
5.249% due 01/30/00 9,700,000 9,709,962
-----------
23,517,462
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-19
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Utilities - 1.96%
BVPS II Funding Corp
8.330% due 12/01/07 $3,100,000 $3,233,176
Cleveland Electric Illum
9.200% due 06/01/01 3,000,000 3,121,212
Cleveland Electric Toledo Edison Nt
7.670% due 07/01/04 4,000,000 4,083,680
Long Island Lighting
7.300% due 07/15/99 1,250,000 1,250,738
Texas Utilities Co
5.940% due 10/15/01 10,000,000 9,933,580
Toledo Edison
7.460% due 04/03/00 100,000 100,517
-----------
21,722,903
-----------
Total Corporate Bonds & Notes
(Cost $343,504,273) 341,710,660
-----------
MORTGAGE-BACKED SECURITIES - 32.27%
Collateralized Mortgage Obligations - 7.05%
Auto Receivables Trust
6.500% due 04/16/03 " ~ + 124,795 124,755
Bank of America Mortgage Securities
6.500% due 5/25/29 " 9,400,000 8,836,866
Chase Mortgage
6.500% due 05/25/29 " + 16,700,000 15,687,604
Citibank 1988-2
8.000% due 07/25/18 " + 16,826 16,999
Countrywide
6.750% due 05/25/24 " 1,000,000 939,485
7.597% due 11/25/24 " 59,676 60,202
First Nationwide Trust
6.500% due 05/19/29 " + 396,195 388,828
General Electric Capital Mortgage
6.250% due 05/25/29 " + 5,500,000 5,425,235
6.500% due 05/25/29 " 24,107,750 22,424,426
General Motors Acceptance Corp
6.700% due 03/15/08 " 2,200,000 2,158,849
Morgan Stanley Corp
6.160% due 04/03/14 " ~ 691,864 674,536
Norwest Asset Securities Corp
7.500% due 03/25/27 " 880,514 874,311
Residential Accredited Loan Inc
7.500% due 03/25/27 " 1,000,000 1,007,415
Residential Funding Corp
5.222% due 10/25/27 " 367,078 360,146
Residential Funding Mortgage Sec I
6.500% due 04/25/29 " 12,500,000 11,619,688
6.500% due 05/25/29 " + 3,730,000 3,186,217
Resolution Trust Corp
9.450% due 05/25/24 " + 2,240,368 2,233,793
Salomon Brothers Mortgage Securities
5.167% due 02/25/27 " + 2,060,314 2,057,096
-----------
78,076,451
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Federal Home Loan Mortgage Corporation - 13.22%
5.500% due 08/16/29 " # $48,000,000 $43,335,000
6.000% due 07/14/19 " # 17,000,000 15,987,990
6.000% due 07/14/28 " # 55,500,000 52,196,085
6.000% due 08/01/28 " 978,607 923,950
6.500% due 09/15/22 " 9,161,000 8,613,077
6.500% due 11/25/23 " 714,186 636,874
7.500% due 01/15/23 " 14,340,741 14,687,414
7.500% due 09/20/26 " 2,441,285 2,451,197
7.500% due 01/15/27 " 7,501,514 7,473,383
-----------
146,304,970
-----------
Federal Housing Authority - 2.56%
6.650% due 06/15/02 " 5,140,313 5,250,066
6.650% due 10/15/40 " # + 8,020,987 8,015,994
6.770% due 05/01/23 " 181,518 184,500
6.800% due 01/25/28 " 4,500,000 4,399,718
7.430% due 08/01/21 " 255,158 260,779
7.430% due 02/01/23 " 354,357 362,372
7.430% due 10/01/23 " + 9,728,183 9,811,785
-----------
28,285,214
-----------
Federal National Mortgage Association - 3.32%
5.831% due 05/01/36 " 8,827,349 8,636,930
5.850% due 01/25/17 " 5,005,330 5,001,722
5.948% due 08/01/31 " 4,466,439 4,403,796
6.000% due 07/14/28 " # 5,000,000 4,696,900
6.192% due 04/01/27 " 2,979,724 2,986,342
6.500% due 05/01/06 " 4,515,285 4,491,702
6.500% due 05/01/07 " 663,101 685,196
6.640% due 01/01/23 " 2,312,380 2,389,428
7.092% due 06/01/27 " 2,731,240 2,787,778
7.145% due 12/01/22 " 601,657 630,457
7.282% due 11/01/23 " 79,230 81,524
-----------
36,791,775
-----------
Government National Mortgage Association - 4.95%
6.000% due 06/23/29 " # 12,000,000 11,214,360
6.125% due 11/20/23 " 5,102,030 5,181,997
6.125% due 10/20/24 " 1,170,626 1,189,850
6.125% due 11/20/26 " 6,268,274 6,361,068
6.125% due 12/20/26 " 739,883 750,778
6.375% due 03/20/24 " 1,213,510 1,230,973
6.375% due 02/20/27 " 1,145,617 1,161,208
6.500% due 01/20/29 " 12,262,120 11,245,725
6.500% due 09/20/28 " 2,793,570 2,459,144
6.500% due 08/24/29 " # 4,900,000 4,704,784
6.500% due 10/01/33 " 3,163,276 3,037,311
6.625% due 07/20/25 " 1,332,100 1,348,135
6.625% due 07/20/26 " 4,703,655 4,792,954
9.000% due 02/15/17 " 55,821 59,240
9.500% due 08/15/17 " 21,512 23,102
9.500% due 04/15/18 " 3,109 3,338
9.500% due 09/15/18 " 48,397 51,969
10.000% due 05/15/19 " 14,166 15,123
-----------
54,831,059
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-20
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Student Loan Mortgage Association - 1.17%
5.129% due 06/30/00 " $7,400,000 $7,400,000
5.180% due 04/25/04 " 1,285,774 1,282,958
5.285% due 04/25/07 " 4,250,074 4,243,805
-----------
12,926,763
-----------
Total Mortgage-Backed Securities
(Cost $362,127,765) 357,216,232
-----------
OTHER ASSET-BACKED SECURITIES - 2.00%
Cedant Mortgage Corporation
6.911% due 11/18/28 " ~ + 11,922,775 11,688,045
Countrywide Home Loans
6.500% due 09/25/13 " 2,890,888 2,787,640
Greenwich Capital Mortgage
7.596% due 01/25/22 " 22,313 22,532
Imperial Savings & Loans
9.900% due 02/25/18 " + 45,362 46,553
Ryland Mortgage
14.000% due 11/25/31 " 42,196 45,383
Securities Assets Sales Inc
6.500% due 11/25/25 " 327,819 327,303
The Money Store
6.490% due 10/15/26 " 7,250,000 7,229,881
-----------
Total Other Asset-Backed Securities
(Cost $22,561,723) 22,147,337
-----------
U.S. TREASURY INFLATION INDEX BONDS - 4.65%
3.375% due 01/15/07 9,327,178 8,948,262
3.625% due 07/15/02 35,145,713 34,816,222
3.875% due 01/15/09 7,795,780 7,710,518
-----------
Total U.S. Treasury Inflation Index Bonds
(Cost $51,726,528) 51,475,002
-----------
U.S. TREASURY NOTES - 6.70%
5.500% due 05/31/03 4,200,000 4,167,190
5.750% due 11/30/02 16,000,000 16,025,008
7.250% due 05/15/04 32,900,000 34,915,125
7.875% due 11/15/04 17,500,000 19,113,290
-----------
Total U.S. Treasury Notes
(Cost $75,916,499) 74,220,613
-----------
</TABLE>
<TABLE>
<CAPTION>
Market
Principal Amount Value
---------------- ------
<S> <C> <C>
FOREIGN BONDS - 6.25%
Argentina - 0.20%
Republic of Argentina
5.500% due 03/27/01 (Yen)270,000,000 $2,212,758
----------
2,212,758
----------
Canada - 0.19%
Newcourt Credit Group
7.625% due 06/28/01 $3,200,000 2,175,112
----------
2,175,112
----------
Chile - 0.68%
Republic of Chile
6.875% due 04/28/09 8,000,000 7,535,288
----------
7,535,288
----------
Mexican - 2.23%
Banamex
9.125% due 04/06/00 2,000,000 2,030,000
Petro Mexicanos FRN
9.657% due 07/15/05 ~ 9,000,000 8,415,000
United Mexican States Bond
5.750% due 04/07/00 ~ 13,200,000 13,050,840
6.520% due 06/27/02 ~ 1,200,000 1,158,000
----------
24,653,840
----------
Poland - 0.03%
Poland Par Stepup Brady Bond
3.000% due 10/27/99 500,000 295,939
----------
295,939
----------
South Korea - 2.04%
Korea Development Bank
1.875% due 02/13/02 (Yen)135,000,000 1,099,417
7.125% due 09/17/01 $3,500,000 3,492,115
7.900% due 02/01/02 10,100,000 10,209,242
Korea National Housing
8.437% due 05/23/01 3,000,000 3,043,731
Republic of Korea
7.812% due 04/08/00 4,700,000 4,717,625
----------
22,562,130
----------
United Kingdom - 0.88%
Lehman Brothers Holdings PLC
5.327% due 09/03/02 9,900,000 9,757,935
----------
9,757,935
----------
Total Foreign Bonds
(Cost $70,043,550) 69,193,002
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-21
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
MUNICIPAL BONDS - 0.83%
Long Island Power Authority
5.250% due 12/01/26 $1,500,000 $1,420,773
New York City Taxable `B'
6.000% due 08/01/01 7,900,000 7,809,972
----------
Total Municipal Bonds
(Cost $9,447,124) 9,230,745
----------
OPTION - 0.16%
Deutsche Bank Swaption - Cash settlement method and
exercisable on 08/18/99
(The underlying asset is a 5-year option to receive a
fixed rate of 7.70% and pay floating rate on 3-month US$
LIBOR - notional amount of $36,700,000 and expiring on
08/20/04) 1,750,957
----------
Total Option
(Cost $1,625,810) 1,750,957
----------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 16.27%
COMMERCIAL PAPER - 14.94%
Abbott Laboratories
5.020% due 07/22/99 2,000,000 1,994,143
Ameritech Corp
4.930% due 07/09/99 47,000,000 46,948,509
4.950% due 07/20/99 8,600,000 8,577,533
BellSouth Telecommunications
4.830% due 07/07/99 4,600,000 4,596,297
Campbell Soup Co
5.140% due 07/09/99 1,400,000 1,398,401
Coca Cola
4.840% due 07/15/99 8,500,000 8,484,001
Emerson Electric Co
5.220% due 07/27/99 2,000,000 1,992,460
GE Capital Corp Mtn
4.950% due 07/07/99 11,700,000 11,690,348
Hansol Paper Swap
7.078% due 08/09/99 600,000 600,166
KFW International Financial
5.040% due 07/08/99 23,000,000 22,977,460
National Rural Utilities Corp
4.800% due 07/19/99 900,000 897,840
Oesterreich Komm Mag
4.850% due 07/02/99 8,000,000 7,998,922
Proctor & Gamble
4.820% due 07/12/99 4,600,000 4,593,225
4.860% due 07/13/99 4,900,000 4,892,062
5.020% due 07/20/99 22,100,000 22,041,447
Shell Oil Co
5.040% due 07/09/99 10,700,000 10,688,016
United Parcel Service
5.200% due 07/01/99 3,100,000 3,100,000
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
US West Capital Fund
5.960% due 03/24/00 ~ $2,100,000 $2,007,220
--------------
Total Commercial Paper 165,478,050
--------------
U.S. TREASURY BILLS - 0.70%
4.525% due 09/16/99 ** 270,000 267,367
4.550% due 09/16/99 ** 985,000 975,414
4.650% due 09/16/99 ** 6,540,000 6,476,215
--------------
Total U.S. Treasury Bills 7,718,996
--------------
SECURITIES HELD UNDER REPURCHASE AGREEMENTS - 0.63%
Daiwa Securities America
4.680% due 07/01/99
(Dated 6/30/99; repurchase price
of $5,000,653; collateralized by U.S. Treasury
Bills--market value $5,192,113 and due 12/02/99) 5,000,000 5,000,000
State Street Bank and Trust
3.500% due 07/01/99
(Dated 6/30/99; repurchase price
of $1,979,236; collateralized by U.S. Treasury
Notes--market value $2,115,249 and due 05/31/01) 1,978,582 1,978,582
--------------
Total Securities Held Under Repurchase Agreements 6,978,582
--------------
Total Short-Term Investments
(Cost $180,176,191) 180,175,628
--------------
TOTAL MANAGED BOND PORTFOLIO
(COST $1,117,129,463) $1,107,120,176
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-22
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $7,718,996 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- -------------------------------------------------------------
<S> <C> <C>
90-Day Eurodollar Futures (3/00) 86 $23,498
90-Day LIBOR Futures (3/00) 133 (45,138)
Gov't of Japan 10-Year Bonds (9/99) 35 1,126,441
U.S. Treasury 5-Year Notes (9/99) 699 708,908
U.S. Treasury 10-Year Notes (9/99) 1,067 (208,347)
U.S. Treasury 30-Year Bonds (9/99) 1,290 (507,833)
--------------
$1,097,529
--------------
</TABLE>
(b) Transactions in options for the period ended June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
-------------------------
<S> <C> <C>
Outstanding, December 31, 1998 183 $33,814
Options Written 2,635 1,221,319
Options Exercised 139 113,613
Options Expired 1,295 440,120
-------------------------
Outstanding, June 30, 1999 1,384 $701,400
-------------------------
</TABLE>
(c) Forward foreign currency contracts outstanding at June 30, 1999, were
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount
to Buy or Expiration Covered by Unrealized
Type to Sell Month Contracts Appreciation
- -------------------------------------------------------------
<S> <C> <C> <C> <C>
DM Sell 5/00 $2,307,003 $6,495
JY Sell 7/99 4,897,657 46,559
--------------
$53,054
--------------
</TABLE>
Principal amount denoted in the indicated currency:
DM- German Mark
JY- Japanese Yen
(d) At June 30, 1999, 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 $1,117,129,463
--------------
Aggregate gross unrealized appreciation for
all investments n which there was an excess
of value over tax cost $2,951,914
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value (12,961,201)
--------------
Net unrealized depreciation ($10,009,287)
--------------
</TABLE>
See Notes to Financial Statements
B-23
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 13.09%
Financial Services - 12.52%
Asian Development Bank
5.820% due 06/16/28 $2,050,000 $1,956,992
Associates Corp North America
5.120% due 05/17/02 + 8,500,000 8,494,696
6.780% due 04/23/01 1,100,000 1,110,164
Bayer Landesbk Range FRN
6.170% due 05/17/00 + 4,000,000 3,959,375
CIT Group Holding
5.875% due 06/18/01 4,100,000 4,066,208
Dresdner Funding Trust
8.151% due 06/30/31 ~ 4,500,000 4,320,891
First USA Bank NA
6.125% due 06/25/01 10,000,000 9,992,000
Gecc Range FRN
6.320% due 05/19/00 + 8,500,000 8,426,422
Key Bank NA
6.051% due 04/24/03 4,500,000 4,419,000
Merrill Lynch & Co FRN
5.050% due 09/25/00 2,900,000 2,902,916
Morgan JP & Co Inc
5.750% due 02/25/04 4,000,000 3,860,224
Morgan Stanley Dean Witter
5.625% due 01/20/04 3,800,000 3,652,602
----------
57,161,490
----------
Technology - 0.57%
TCI Communications Inc FRN
5.985% due 09/11/00 2,600,000 2,591,342
----------
2,591,342
----------
Total Corporate Bonds & Notes
(Cost $60,541,124) 59,752,832
----------
CONVERTIBLE CORPORATE BOND - 0.28%
Financial Services - 0.28%
Federal Home Loan Bank FRN
4.841% due 02/15/02 1,300,000 1,267,968
----------
Total Convertible Corporate Bond
(Cost $1,271,221) 1,267,968
----------
MORTGAGE-BACKED SECURITIES - 45.01%
Collateralized Mortgage Obligations - 5.50%
Bear Stearns Mortgage Securities Inc
7.000% due 03/25/27 " 1,000,000 964,105
Citibank 1988-2
8.000% due 07/25/18 " + 9,003 9,096
First Nationwide Trust
6.500% due 05/19/29 " + 198,098 194,414
6.750% due 07/25/29 " + 2,972,247 2,862,653
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
GE Capital Mortgage
5.500% due 02/25/09 " $502,262 $499,402
Imperial Savings & Loans
8.848% due 07/25/17 " 10,211 10,178
9.900% due 02/25/18 " + 45,362 46,553
NationsLink Funding Corp
5.252% due 04/10/07 " 5,828,973 5,830,925
5.805% due 02/10/01 " 5,557,051 5,553,745
PNC Mortgage Securities
6.250% due 01/25/29 " + 4,444,377 4,135,826
Prudential Home Mortgage Securities
6.600% due 08/25/23 " 1,411,524 1,405,532
Residential Accredited Loans Inc
7.500% due 03/25/27 " 3,000,000 3,022,245
Residential Funding Corp
7.701% due 03/25/25 " + 80,472 82,228
Residential Funding Mortgage Sec I
6.500% due 04/25/29 " 500,000 464,788
----------
25,081,690
----------
Federal Home Loan Mortgage Corporation - 9.17%
5.800% due 06/15/19 " 1,014,258 1,012,037
6.000% due 05/12/00 " + 4,500,000 4,443,047
6.000% due 12/15/17 " 2,104,885 2,095,340
6.000% due 07/14/28 " # 23,950,000 22,524,257
6.045% due 12/01/02 " 700,000 700,987
6.250% due 11/15/15 " 6,793,900 6,821,992
6.500% due 08/15/23 " 4,278,668 4,274,646
----------
41,872,306
----------
Federal Housing Authority - 2.87%
6.550% due 07/15/40 " + 12,442,000 12,508,500
6.750% due 02/01/08 " 1,771 1,764
7.400% due 07/25/19 " + 433,922 441,921
7.430% due 07/01/21 " 171,291 172,093
----------
13,124,278
----------
Federal National Mortgage Association - 2.66%
5.769% due 08/01/17 " 2,029,843 1,973,963
5.810% due 02/01/17 " 485,477 479,069
5.811% due 06/01/18 " 135,172 133,355
5.812% due 03/01/24 " 132,120 129,983
5.812% due 08/01/24 " 396,377 389,967
5.812% due 07/01/26 " 139,207 136,716
5.812% due 10/01/27 " 159,809 156,832
5.812% due 11/01/27 " 652,140 639,991
5.900% due 03/01/18 " 1,797,208 1,749,981
6.000% due 12/25/08 " 544,057 543,034
6.375% due 06/15/09 " + 4,000,000 3,953,750
6.578% due 01/01/25 " 493,888 510,345
7.000% due 08/18/21 " 920,054 923,805
7.145% due 12/01/22 " 396,096 415,057
----------
12,135,848
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-24
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Government National Mortgage Association - 22.74%
5.650% due 10/20/18 " $5,304,973 $5,186,805
6.125% due 10/20/24 " 780,417 793,233
6.125% due 11/20/26 " 1,067,546 1,083,350
6.125% due 12/20/26 " 739,883 750,778
6.375% due 02/20/25 " 781,185 793,541
6.375% due 01/20/27 " 1,160,360 1,178,894
6.500% due 07/21/28 " # 16,890,000 16,243,451
6.500% due 09/20/28 " 3,132,491 2,757,492
6.500% due 08/24/29 " # 69,100,000 66,347,056
6.500% due 10/01/33 " 3,646,640 3,501,427
6.625% due 09/20/22 " 2,126,314 2,155,912
6.625% due 09/20/23 " 92,891 94,126
6.625% due 07/20/25 " 1,695,400 1,715,808
6.875% due 05/20/23 " 156,101 157,518
6.875% due 05/20/26 " 910,264 917,805
9.000% due 01/15/17 " 87,715 93,088
-----------
103,770,284
-----------
Stripped Mortgage-Backed Securities - 0.01%
Federal Home Loan Mortgage Corp (Interest Only)
6.500% due 09/15/18 " 576,640 45,074
-----------
45,074
-----------
Student Loan Mortgage Association - 2.06%
5.115% due 10/25/04 " 1,470,481 1,466,577
5.129% due 06/30/00 " 5,700,000 5,692,704
5.180% due 04/25/04 " 642,887 641,479
5.285% due 04/25/07 " 1,615,028 1,612,646
-----------
9,413,406
-----------
Total Mortgage-Backed Securities
(Cost $207,201,947) 205,442,886
-----------
OTHER ASSET-BACKED SECURITIES - 19.99%
Americredit Automobile Receivables
5.304% due 10/12/02 " 5,700,000 5,690,624
Banc One Auto Grantor Trust
6.290% due 07/20/04 " 2,985,592 2,999,371
Banc One Home Equity Trust
6.460% due 06/25/12 " + 6,400,000 6,392,705
Centre Re 1999
6.715% due 02/01/09 " ~ + 9,400,000 9,035,750
Champion Home Loan Trust
7.361% due 05/25/28 " 926,624 940,677
Contimortgage Home Equity Loans
5.066% due 06/15/28 " 1,909,958 1,907,408
6.150% due 03/15/11 " 3,499,973 3,503,806
Countrywide
5.161% due 08/15/25 " + 1,800,000 1,800,000
6.832% due 03/25/24 " 99,423 100,314
7.597% due 11/25/24 " 59,676 60,202
EQCC Home Equity Loan Trust
5.770% due 05/20/10 " 3,630,103 3,621,917
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Financial Asset Securities Corp
6.500% due 04/16/03 " ~ + $249,596 $249,517
First Plus Home Loan Trust
6.040% due 10/10/13 " 6,263,000 6,268,543
Greenwich Capital Mortgage
7.596% due 01/25/22 " 33,470 33,798
Home Savings
5.606% due 05/25/27 " + 270,192 265,378
IKON Receivables
5.600% due 05/15/05 " 5,900,000 5,881,563
Mellon Residential Funding Corp
6.460% due 06/30/29 " + 6,000,000 5,987,813
Option One Mortgage Loan Trust
5.437% due 02/25/29 " 9,531,933 9,383,305
Premium Auto Trust
5.510% due 07/08/01 " 4,100,000 4,101,169
Residential Asset Securities Corp
5.075% due 12/25/13 " 3,900,431 3,901,036
Ryland Mortgage
5.000% due 11/25/31 " + 75,120 71,269
6.214% due 10/01/27 " + 1,012,701 1,013,334
Ryland Sec (First Nationwide Trust)
6.748% due 10/25/18 " 287,711 286,858
Salomon Brothers Mortgage Securities
5.167% due 02/25/27 " + 1,030,157 1,028,548
5.350% due 06/25/29 " + 4,400,000 4,400,000
Southern Pacific Secured Assets Co
5.108% due 06/25/28 " + 1,960,452 1,951,992
The Money Store Home Equity
6.040% due 08/15/17 " 5,631,141 5,634,773
6.205% due 03/15/12 " 1,494,268 1,492,990
WFS Financial Owner Trust
6.250% due 03/20/03 " 3,200,000 3,220,560
----------
Total Other Asset-Backed Securities
(Cost $91,235,444) 91,225,220
----------
U.S. TREASURY INFLATION INDEX BONDS - 2.72%
3.375% due 01/15/07 2,391,793 2,294,626
3.625% due 07/15/02 8,289,977 8,212,259
3.875% due 01/15/09 1,922,707 1,901,679
----------
Total U.S. Treasury Inflation Index Bonds
(Cost $12,477,516) 12,408,564
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-25
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
U.S. TREASURY NOTES - 0.64%
5.500% due 05/31/03 $1,600,000 $1,587,501
5.750% due 11/30/02 400,000 400,625
7.250% due 05/15/04 900,000 955,125
----------
Total U.S. Treasury Notes
(Cost $3,008,184) 2,943,251
----------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 18.27%
COMMERCIAL PAPER - 15.93%
Ameritech Corp
4.840% due 07/09/99 200,000 199,785
BellSouth Telecommunication
4.830% due 07/07/99 8,300,000 8,293,319
4.950% due 07/08/99 5,400,000 5,394,813
Coca Cola
4.880% due 07/16/99 2,400,000 2,395,120
Emerson Electric Co
4.880% due 07/06/99 1,900,000 1,898,712
4.930% due 07/08/99 200,000 199,808
4.950% due 07/12/99 1,800,000 1,797,278
Ford Motor Credit
4.790% due 07/27/99 11,000,000 10,961,946
General Electric Capital Corp
4.790% due 07/16/99 3,000,000 2,994,013
4.950% due 07/07/99 700,000 699,423
General Motors Accept Co
4.790% due 07/08/99 3,000,000 2,997,206
IBM Corp
4.980% due 07/15/99 6,000,000 5,988,380
Kellogg Co
4.950% due 07/08/99 500,000 499,519
KFW International Financial
4.770% due 07/19/99 2,500,000 2,494,038
Oesterreich Komm Mag
4.850% due 07/02/99 4,700,000 4,699,367
4.870% due 07/01/99 3,800,000 3,800,000
Proctor & Gamble
4.920% due 07/14/99 2,800,000 2,795,025
4.940% due 07/15/99 3,700,000 3,692,892
Shell Oil Co
4.950% due 07/19/99 6,200,000 6,184,655
5.040% due 07/09/99 1,800,000 1,797,984
Texas Utilities
5.240% due 01/21/00 ~ 1,200,000 1,162,464
United Parcel Service
5.200% due 07/01/99 1,761,000 1,761,000
----------
Total Commercial Paper 72,706,747
----------
U.S. TREASURY BILLS - 0.62%
4.525% due 09/16/99 ** 160,000 158,440
4.550% due 09/16/99 ** 630,000 623,869
4.570% due 09/16/99 ** 100,000 98,963
4.650% due 09/16/99 ** 1,940,000 1,921,079
----------
Total U.S. Treasury Bills 2,802,351
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE AGREEMENTS - 1.72%
Daiwa Securities America
4.680% due 07/01/99
(Dated 06/30/99; repurchase price
of $1,500,196; collateralized by U.S.
Treasury Notes--market value
$1,537,513 and due 12/31/01) $1,500,000 $1,500,000
State Street Bank and Trust
3.500% due 07/01/99
(Dated 06/30/99; repurchase price
of $6,338,193; collateralized by U.S.
Treasury Notes--market value
$6,407,842 and due 03/31/03) 6,362,853 6,362,853
------------
Total Securities Held Under Repurchase
Agreements 7,862,853
------------
Total Short-Term Investments
(Cost $83,374,032) 83,371,951
------------
TOTAL GOVERNMENT SECURITIES PORTFOLIO
(COST $459,109,468) $456,412,672
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-26
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $2,445,868 have
been segregated with the custodian to cover margin requirements for the
following open interest rate futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------------------
<S> <C> <C>
90-Day LIBOR Futures (3/00) 36 ($12,397)
Gov't of Japan 10-Year Bonds (9/99) 10 310,792
U.S. Treasury 5-Year Notes (9/99) 300 (49,788)
U.S. Treasury 10-Year Notes (9/99) 647 437,137
U.S. Treasury 30-Year Bonds (9/99) 375 (10,929)
--------
$674,815
--------
</TABLE>
(b) Transactions in options for the period ended June 30, 1999 were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premium
-----------------------------------------
<S> <C> <C>
Outstanding, December 31, 1998 46 $8,378
Options Written 674 317,449
Options Exercised 34 27,083
Options Expired 282 97,684
-----------------------------------------
Outstanding, June 30, 1999 404 $201,060
-----------------------------------------
</TABLE>
(c) Forward foreign currency contracts outstanding at June 30, 1999, were
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount
to Buy or Expiration Covered by Unrealized
Type to Sell Month Contracts Depreciation
- ------------------------------------------------------------------
<S> <C> <C> <C> <C>
JY Sell 7/99 $456,384 ($964)
--------
</TABLE>
Principal amount denoted in the indicated currency:
JY - Japanese Yen
(d) At June 30, 1999, 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 $459,109,468
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $666,935
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (3,363,731)
------------
Net unrealized depreciation ($2,696,796)
------------
</TABLE>
See Notes to Financial Statement
B-27
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 95.78%
Autos & Transportation - 7.09%
Arctic Cat Inc 132,000 $1,179,750
Bandag Inc 63,000 2,185,313
Borg-Warner Automotive Inc 38,300 2,106,500
Circle International Group 70,000 1,531,250
Hayes Lemmerz International Inc * 45,000 1,321,875
Hub Group Inc `A' * 62,000 1,391,125
Jevic Transportation * 155,000 2,150,625
Midway Airlines Corp * 86,100 882,525
MS Carriers Inc * 57,600 1,708,200
Oshkosh Truck Corp 9,000 452,813
Polaris Industries Inc 107,500 4,676,250
Standard Products Co 54,500 1,396,563
----------
20,982,789
----------
Consumer Discretionary - 18.13%
Acclaim Entertainment Inc * 66,400 423,300
AdForce Inc 29,000 681,500
Alloy Online * 18,900 216,169
Alyn Corp * 209,500 654,688
Applied Graphics Technologies Inc * 95,800 1,209,475
Authentic Fitness Corp 70,000 1,225,000
Banta Corp 85,500 1,795,500
BHC Communications `A' 12,200 1,586,000
Big City Radio Inc * 39,100 141,738
Citadel Communications Corp * 76,600 2,771,963
CKE Restaurants Inc 61,000 991,250
CSK Auto Corp * 67,000 1,809,000
Dollar Thrifty Automotive Group Inc * 145,000 3,371,250
Egghead Disc Software * 86,000 962,125
Globalstar Telecommunications * 68,232 1,582,130
Harrahs Entertainment Inc * 113,500 2,497,000
Hollinger International `A' 121,400 1,441,625
Intrawest Corp 257,300 3,939,906
Korn Ferry International * 50,000 850,000
Libbey Inc 75,000 2,175,000
Lojack Corp * 150,000 1,256,250
Midway Games Inc * 145,000 1,875,938
Novell Denim Holdings Ltd * 138,300 1,119,366
Nu Skin Asia Pacific * 86,300 1,720,606
Online Resources & Comms `C' * 20,000 271,250
Pixar * 23,700 1,022,063
Realty Information Group * 56,000 2,436,000
RPM Inc 70,000 993,125
Ruby Tuesday Inc 50,000 950,000
Sizzler International Inc 183,800 413,550
SportsLine USA Inc * 29,300 1,051,138
Steiner Leisure Ltd * 34,000 1,030,625
Stride Rite Corp 105,000 1,082,813
Tefron Ltd * 152,000 1,596,000
The Topps Co Inc 172,000 1,252,375
White Cap Industries * 121,900 1,439,944
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Williams-Sonoma Inc * 32,000 $1,114,000
Young & Rubicam Inc 9,900 449,831
Young Broadcasting Corp `A' * 53,000 2,255,813
----------
53,655,306
----------
Consumer Staples - 1.58%
Firearms Training Systems * 44,400 40,238
Fresh Del Monte Produce Inc * 110,700 1,563,638
Nature's Sunshine Products Inc 58,800 617,400
Robert Mondavi `A' * 44,800 1,629,600
Seminis Inc `A' * 55,000 828,438
----------
4,679,314
----------
Financial Services - 9.39%
AmeriCredit Corp * 172,000 2,752,000
Banco Santander Puerto Rico 38,500 695,406
Bank United Corp * 48,000 1,929,000
Coast Federal Lit Contg-cvr * 51,000 54,188
Community First Bankshares Inc 120,000 2,865,000
Community Savings Bankshares Inc 204,269 2,578,896
Credit Acceptance Corp * 151,900 911,400
DLJdirect * 9,300 274,350
ESG Re Ltd 51,500 772,500
Fidelity Bankshares Inc 47,000 752,000
Fidelity National Financial Inc 85,000 1,785,000
Gabelli Asset Management Inc * 60,000 948,750
Harbor Florida Bancshares Inc 143,000 1,751,750
Harleysville Group Inc 90,000 1,845,000
Imperial Credit Comm Mtg Invest Corp 143,000 1,546,188
Medallion Financial Corp 50,000 953,125
Meristar Hospitality Corp 105,200 2,360,425
NYMagic 28,000 437,500
Pacific Bank N.A. 24,600 468,938
Peoples Heritage Financial bank 96,000 1,806,000
Wit Capital Group * 8,800 299,200
----------
27,786,616
----------
Health Care - 8.70%
Alterra Healthcare Corp * 29,900 411,125
Assisted Living Concepts Inc * 267,000 767,625
Cardiac Pathways Corp * 13,700 12,844
COR Therapeutics * 140,000 2,065,000
Gilead Sciences Inc * 80,000 4,180,000
Heska Corp * 125,000 289,063
Lifepoint Hospitals * 72,000 967,500
Millennium Pharmaceuticals * 152,400 5,486,400
Natrol Inc * 110,000 825,000
Novoste Corp * 65,000 1,365,000
Ocular Science Inc * 95,000 1,650,625
Orthodontic Centers of America * 50,000 706,250
Protein Design Labs Inc * 40,000 887,500
Quintiles Transnational Corp * 26,000 1,092,000
Sunrise Assisted Living Inc * 36,000 1,255,500
Triad Hospitals Inc * 88,000 1,188,000
Wesley Jessen Visioncare * 80,000 2,590,000
----------
25,739,432
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-28
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Materials & Processing - 7.94%
Caraustar Industries Inc 70,500 $1,740,469
CB Richard Ellis Services * 69,700 1,733,788
Comfort Systems USA Inc * 84,000 1,512,000
Corn Products International Inc 188,700 5,743,556
H.B. Fuller Co 29,400 2,010,225
Insignia Financial Group Inc * 145,000 1,522,500
Ionics Inc * 7,000 255,500
Ivex Packaging Corp * 120,500 2,651,000
OM Group Inc 42,000 1,449,000
Optical Coating Laboratory 41,500 3,470,438
Spartech Corp 27,600 872,850
Trammell Crow Co * 32,300 530,931
----------
23,492,257
----------
Other Energy - 6.09%
Benton Oil & Gas * 115,100 230,200
Dynegy Inc 233,000 4,747,374
Eastern Enterprises 50,000 1,987,500
Louis Dreyfus Natural Gas * 120,000 2,587,500
Midcoast Energy Resources 112,500 1,814,063
R&B Falcon Corp * 72,000 675,000
Ranger Oil Ltd 200,000 987,500
Rowan Cos Inc * 115,000 2,120,313
Valero Energy Corp 80,000 1,715,000
Vintage Petroleum Inc 107,200 1,152,400
----------
18,016,850
----------
Producer Durables - 14.35%
Aspect Telecommunications * 102,000 994,500
Credence Systems Corp * 90,000 3,341,250
Cymer Inc * 130,200 3,255,000
Etec Systems Inc * 100,700 3,348,274
Holophane Corp * 87,850 3,349,281
Kulicke & Soffa Industries * 145,000 3,887,812
Lam Research Corp * 48,000 2,241,000
Novellus Systems Inc * 60,000 4,095,000
Pentair Inc 74,700 3,417,525
Photronics Inc * 80,000 1,960,000
Polycom Inc * 75,000 2,925,000
Rayovac Corp * 72,800 1,651,650
Silicon Valley Group Inc * 93,000 1,563,563
SpeedFam-IPEC Inc * 49,700 798,306
Superior Telecom Inc 65,000 1,625,000
Teleflex Inc 34,800 1,511,625
Veeco Instruments Inc * 50,000 1,700,000
Wesco International Inc * 40,000 820,000
----------
42,484,786
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Technology - 15.60%
About.Com Inc * 12,200 $632,875
Ariba Inc * 4,500 437,625
Backweb Technologies Ltd * 12,500 342,188
BE Semiconductor * 52,500 538,125
Brightstar Information Technology * 100,000 437,500
Brocade Communications * 3,200 308,600
Cambridge Technology Partners Inc * 47,000 825,438
Carrier Access Corp * 68,000 2,979,250
C-Cube Microsystems Inc * 146,000 4,626,375
Epicor Software Corp * 172,900 1,285,943
Extreme Networks Inc * 15,000 870,937
GaSonics International Corp * 190,000 2,660,000
Indus International Inc * 114,000 491,624
Juniper Networks Inc * 4,800 715,200
Macromedia Inc * 179,500 6,327,374
Mail.com Inc * 35,900 675,368
Onemain.Com Inc * 60,300 1,424,587
Peregrine Systems Inc * 230,000 5,908,124
Remedy Corp * 107,000 2,875,624
Renaissance Worldwide Inc * 250,000 1,992,187
Sapient Corp * 31,500 1,783,687
Security Dynamics Technologies Inc * 171,000 3,633,750
Sensormatic Electronics 106,600 1,485,737
Stamps.com Inc * 9,300 162,750
Structural Dynamics Research Corp * 63,047 1,170,310
Tier Technologies Inc `B' * 90,000 630,000
WorldGate Communication Inc * 18,200 932,750
-----------
46,153,928
-----------
Utilities - 6.91%
Adelphia Communications Corp `A' * 28,000 1,781,500
ICG Communications * 173,000 3,697,874
Jones Intercable Inc `A' 149,800 7,340,200
KN Energy Inc 51,400 687,474
Time Warner Telecommunications `A' * 15,000 435,000
Viatel Inc * 116,000 6,510,500
-----------
20,452,548
-----------
Total Common Stocks
(Cost $241,910,788) 283,443,826
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-29
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 4.22%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 4.22%
State Street Bank and Trust
3.500% due 07/01/99
(Dated 6/30/99, repurchase price
of $12,489,214; collateralized by U.S.
Treasury Notes--market value
$12,742,375 and due 05/31/01) $12,487,425 $12,487,425
------------
Total Securities Held Under Repurchase Agreement 12,487,425
------------
Total Short-Term Investment
(Cost $12,487,425) 12,487,425
------------
TOTAL GROWTH PORTFOLIO
(COST $254,398,213) $295,931,251
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1999, 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 $254,398,213
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $73,174,754
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (31,641,716)
------------
Net unrealized appreciation $41,533,038
------------
</TABLE>
See Notes to Financial Statements
B-30
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 92.48%
Autos & Transportation - 5.25%
Continental Airlines `B' 210,100 $7,905,013
Knightsbridge Tankers Ltd * 75,000 1,312,500
Northwest Airlines Corp `A' * 100,000 3,250,000
OMI Corp * 625,000 1,289,063
Teekay Shipping 123,000 2,167,875
----------
15,924,451
----------
Consumer Discretionary - 18.85%
Autonation Inc * 160,000 2,850,000
Brass Eagle Inc * 208,700 3,913,125
Budget Group Inc `A' * 20,000 246,250
CYRK Inc * 199,200 1,207,650
Ethan Allen Interiors Inc 135,000 5,096,250
Genesis Direct Inc * 189,500 355,313
Hearst-Argyle Television Inc * 145,000 3,480,000
Limited Inc 200,000 9,075,000
Loews Corp 10,000 791,250
MGM Grand Inc * 163,100 7,991,900
Nielsen Media Research 295,000 8,628,750
R.H. Donnelley Corp 125,000 2,445,313
Royal Caribbean Cruises Inc 20,000 875,000
Stanley Works 60,000 1,931,250
Starbucks Corp * 33,300 1,250,831
Sun International Hotels Ltd * 125,000 5,593,750
Tommy Hilfiger * 20,000 1,470,000
----------
57,201,632
----------
Consumer Staples - 3.97%
Food Lion `A' Inc 425,800 5,056,375
Grand Union Co * 319,500 3,454,594
Lunar Corp * 100,000 787,500
U.S. Foodservice Inc * 65,000 2,770,625
----------
12,069,094
----------
Financial Services - 16.76%
ACE Ltd * 25,000 706,250
Boston Properties Inc 85,000 3,049,375
CNA Financial Corp * 50,000 2,015,625
Everest Reinsurance Holdings 120,000 3,915,000
E.W. Blanch Holdings Inc 70,000 4,773,125
Fiserv Inc * 139,850 4,379,053
Gallagher (Arthur J) & Co 55,000 2,722,500
Legg Mason Inc 120,000 4,620,000
MBIA Inc 76,300 4,940,425
Pinnacle Holdings Inc * 100,000 2,450,000
Policy Management Systems * 245,300 7,359,000
Radian Group Inc 150,400 7,341,400
Sovereign Bancorp Inc 199,500 2,418,937
TheStreet.Com * 5,000 180,000
----------
50,870,690
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Health Care - 9.81%
Acuson Corp * 120,400 $2,069,375
Algos Pharmaceuticals Corp * 100,000 2,206,250
Barr Laboratories Inc * 55,000 2,193,125
Datascope Corp * 200,000 6,425,000
Dura Pharmaceuticals Inc * 150,000 1,790,625
Genzyme General * 50,000 2,425,000
Genzyme Surgical Products * 8,951 39,437
Health Management Associations * 85,000 956,250
Hooper Holmes Inc 45,600 929,100
Human Genome Sciences Inc * 20,000 790,000
Millennium Pharmaceuticals * 40,000 1,440,000
St. Jude Medical Inc 50,000 1,781,250
STERIS Corp * 300,000 5,812,500
Tenet Healthcare Corp * 50,000 928,125
----------
29,786,037
----------
Integrated Oils - 1.46%
Kerr-McGee Corp 88,300 4,431,556
----------
4,431,556
----------
Materials & Processing - 11.06%
American Standard Co * 121,200 5,817,600
Georgia Gulf Corp 120,000 2,025,000
Louisiana-Pacific Corp 250,000 5,937,500
Lyondell Chemical Co 200,400 4,133,250
Martin Marietta Materials 170,000 10,030,000
Masco Corp 10,000 288,750
Newhall Land & Farming 80,300 1,977,387
Unifi Inc 157,800 3,353,250
----------
33,562,737
----------
Other Energy - 1.82%
Brown (Tom) Inc * 150,000 2,334,375
Diamond Offshore Drilling 100 2,838
Louis Dreyfus Natural Gas * 148,000 3,191,250
----------
5,528,463
----------
Technology - 9.70%
Ceridian Corp * 200,000 6,537,500
Micron Technology Inc 40,000 1,612,500
Millicom International Cellular SA * 54,000 1,701,000
Novell Inc * 300,000 7,950,000
Scientific-Atlanta 130,000 4,680,000
Seagate Technology * 200,000 5,125,000
Sterling Commerce * 50,000 1,825,000
----------
29,431,000
----------
Utilities - 13.80%
Cablevision Systems Corp `A' 105,000 7,350,000
Global Telesystems Group Inc * 63,000 5,103,000
Hyperion Telecomm Inc `A' * 244,900 4,607,181
NEXTEL Communications Inc `A' * 150,000 7,528,125
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-31
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C> <C>
NTL Inc * 101,900 $8,782,506
RCN Corp * 40,000 1,665,000
US Cellular Corp * 34,600 1,851,100
Viatel Inc * 20,000 1,122,500
Voicestream Wireless * 70,000 1,990,625
Western Wireless `A' * 70,000 1,890,000
------------
41,890,037
------------
Total Common Stocks
(Cost $256,731,180) 280,695,697
------------
FOREIGN COMMON STOCKS - 2.05%
Canada - 1.38%
Clearnet Communications `A' * 300,000 4,181,250
------------
4,181,250
------------
Norway - 0.67%
Stolt Comex Seaway SA * 188,950 2,031,213
------------
2,031,213
------------
Total Foreign Common Stocks
(Cost $5,762,819) 6,212,463
------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 5.47%
State Street Bank Cayman Islands
4.500% due 07/01/99 $16,593,000 16,593,000
------------
Total Short-Term Investment
(Cost $16,593,000) 16,593,000
------------
TOTAL AGGRESSIVE EQUITY PORTFOLIO
(COST $279,086,999) $303,501,160
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1999, 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 $279,086,999
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $47,006,386
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (22,592,225)
------------
Net unrealized appreciation $24,414,161
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-32
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
COMMON STOCKS - 84.26%
Autos & Transportation - 0.91%
<S> <C> <C>
Federal-Mogul Corp 361,420 $18,793,840
-----------
18,793,840
-----------
Consumer Discretionary - 30.27%
Amazon.Com Inc * 1,038,350 129,923,544
America Online Inc * 184,241 20,358,631
AT&T Liberty Media `A' * 3,155,428 115,961,979
Costco Cos Inc * 223,055 17,858,341
Doubleclick Inc * 330,085 30,285,298
eBay Inc * 287,465 43,407,216
Exodus Communications Inc * 257,030 30,827,536
Lamar Advertising Co * 328,910 13,464,753
Outdoor Systems Inc * 602,617 21,995,521
Penton Media Inc 257,112 6,234,966
Staples Inc * 542,037 16,769,270
TCI Music Inc * 126,850 4,487,319
Time Warner Inc 1,145,302 84,179,697
Tyco International Ltd 783,143 74,202,799
Viacom Inc 418,415 18,410,260
-----------
628,367,130
-----------
Financial Services - 5.24%
American Express Co 150,720 19,612,440
E*TRADE Group Inc * 261,005 10,423,887
Fifth Third Bancorp 263,045 17,508,933
Firstar Corp 1,246,377 34,898,556
Progressive Corp Ohio 133,640 19,377,800
TeleBank Financial * 180,000 6,975,000
-----------
108,796,616
-----------
Health Care - 7.75%
Boston Scientific Corp * 253,030 11,117,487
Centocor Inc * 386,200 18,006,575
Guidant Corp 235,885 12,133,335
Lilly (Eli) & Co 266,300 19,073,738
Medtronic Inc 930,617 72,471,799
MiniMed Inc * 364,740 28,062,184
-----------
160,865,118
-----------
Other Energy - 4.15%
Enron Corp 1,054,070 86,170,222
-----------
86,170,222
-----------
Producer Durables - 2.30%
Applied Materials Inc * 402,955 29,768,300
Pittway Corp `A' 526,804 18,010,112
-----------
47,778,412
-----------
Technology - 21.59%
Apple Computer Inc 414,385 19,191,205
At Home Corp * 208,510 11,246,666
CIBER Inc * 207,180 3,962,317
Cisco Systems Inc * 1,296,904 83,650,308
Conexant Systems Inc * 489,355 28,413,175
</TABLE>
<TABLE>
<CAPTION>
Shares Market Value
------ ------------
<S> <C> <C>
EMC Corp * 358,425 $19,713,375
Inktomi Corp * 160,055 20,897,181
Maxim Integrated Products Inc * 195,810 13,021,365
Microsoft Corp * 469,320 42,326,799
PSINet Inc * 370,635 16,215,281
Sapient Corp * 374,405 21,200,683
Sun Microsystems * 311,435 21,450,086
Texas Instruments Inc 278,400 40,368,000
Verio Inc * 294,590 20,474,005
Verisign Inc * 301,840 26,033,700
Vitesse Semiconductor Corp * 304,800 20,554,950
Yahoo! Inc * 229,115 39,465,058
-------------
448,184,154
-------------
Utilities - 12.05%
Adelphia Communications Corp `A' * 35,045 2,229,738
Cablevision Systems Corp `A' * 360,035 25,202,450
Comcast Corp `A' 1,795,375 69,009,727
Cox Communications Inc 502,130 18,484,661
Level 3 Communications Inc * 739,390 44,409,612
Nextlink Communications Inc `A' * 240,415 17,880,866
NTL Inc * 198,765 17,131,058
Sprint PCS Group * 396,345 22,641,208
United International Holdings * 489,330 33,090,941
-------------
250,080,261
-------------
Total Common Stocks
(Cost $1,297,402,887) 1,749,035,753
-------------
FOREIGN COMMON STOCKS - 9.60%
Canada - 0.49%
TD Waterhouse Group Inc * 403,815 10,120,518
-------------
10,120,518
-------------
Finland - 6.89%
Nokia Corp ADR Pref 1,561,295 142,956,069
-------------
142,956,069
-------------
Germany - 0.95%
Mannesmann AG 132,049 19,730,134
-------------
19,730,134
-------------
Italy - 0.02%
Tecnost Spa 209,638 516,291
-------------
516,291
-------------
Netherlands - 1.25%
ASM Lithography * 436,040 25,889,875
-------------
25,889,875
-------------
Total Foreign Stocks
(Cost $119,769,495) 199,212,887
-------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-33
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CORPORATE BOND - 0.36%
Consumer Discretionary - 0.36%
Amazon.Com
0%/10% (step) due 05/01/08 $11,362,000 $7,470,515
--------------
Total Corporate Bond
(Cost $7,624,493) 7,470,515
--------------
FOREIGN BOND - 0.13%
Italy - 0.13%
Tecnost International
4.487% due 06/23/04 2,633,200 2,760,865
--------------
Total Foreign Bond
(Cost $2,242,601) 2,760,865
--------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 5.65%
COMMERCIAL PAPER - 5.65%
FNMA
5.063% due 09/08/99 50,000,000 49,517,958
Prudential Funding Corp
5.550% due 07/01/99 67,700,000 67,700,000
--------------
Total Commercial Paper 117,217,958
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
3.500% due 07/01/99
(Dated 06/30/99, repurchase price
of $53,005; collateralized by U.S.
Treasury Notes--market value
$55,192 and due 08/15/03) 53,000 53,000
--------------
Total Securities Held Under Repurchase Agreement 53,000
--------------
Total Short-Term Investments
(Cost $117,270,958) 117,270,958
--------------
TOTAL GROWTH LT PORTFOLIO
(COST $1,544,310,434) $2,075,750,978
--------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 1999 were
summarized as follows:
<TABLE>
<CAPTION>
Contracts Principal Amount Unrealized
to Buy or Covered by Appreciation
Type to Sell Expiration Month Contracts (Depreciation)
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ED Buy 7/99 $15,667,632 ($870,850)
Sell 7/99 69,058,014 7,387,510
Buy 8/99 13,440,515 (578,036)
Sell 8/99 60,530,550 3,375,503
--------------
$9,314,127
--------------
Principal amount denoted in the indicated currency:
ED - Euro Dollar
(b) At June 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $1,544,310,434
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $547,127,457
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (15,686,913)
--------------
Net unrealized appreciation $531,440,544
--------------
</TABLE>
See Notes to Financial Statements
B-34
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK - 3.21%
Autos & Transportation - 3.21%
Union Pacific Capital Trust 965,000 $51,265,625
-----------
Total Convertible Preferred Stock
(Cost $49,269,247) 51,265,625
-----------
COMMON STOCKS - 92.78%
Autos & Transportation - 1.59%
CSX Corp 155,100 7,027,968
Lear Corp * 368,400 18,327,900
-----------
25,355,868
-----------
Consumer Discretionary - 14.40%
Cendant Corp * 1,379,400 28,277,700
Circuit City Stores 215,600 20,050,800
Federated Department Stores * 208,000 11,011,000
Gillette Co 159,800 6,551,800
International Game Technology 534,700 9,891,950
Kimberly-Clark Corp 244,500 13,936,500
Mirage Resorts Inc * 716,700 12,004,725
Service Corp International 334,800 6,444,900
Toys R Us Inc * 409,300 8,467,394
Tyco International Ltd 559,100 52,974,725
Wal-Mart Stores Inc 311,000 15,005,750
Waste Management Inc 836,102 44,940,483
-----------
229,557,727
-----------
Consumer Staples - 7.96%
Bestfoods 147,700 7,311,150
Pepsi Bottling Group 693,300 15,989,231
PepsiCo Inc 489,600 18,941,400
Philip Morris Co Inc 805,000 32,350,937
Procter & Gamble Co 276,200 24,650,850
Ralston-Ralston Purina Group 347,000 10,561,813
Seagrams Co Ltd 338,900 17,072,088
-----------
126,877,469
-----------
Financial Services - 16.43%
Ambac Financial Group Inc 176,500 10,082,563
Astoria Financial Corp 252,290 11,084,992
BankAmerica Corp ** 833,928 61,137,346
CIT Group Inc 489,100 14,122,763
First Union Corp 743,500 34,944,500
Goldman Sachs Group Inc * 50,600 3,655,850
KeyCorp 233,200 7,491,550
Marsh & McLennan Cos Inc 209,500 15,817,250
MBIA Inc 81,600 5,283,600
Newcourt Credit Group Inc 230,900 2,987,268
Starwood Hotels & Resorts Worldwide 779,900 23,835,694
U.S. Bancorp 366,600 12,464,400
UNUM Corp 376,500 20,613,375
Washington Mutual Inc 890,200 31,490,825
Xl Capital Ltd `A' 122,900 6,943,850
-----------
261,955,826
-----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Health Care - 10.78%
ALZA Corp * 620,700 $31,578,113
American Home Products Corp 203,400 11,695,500
Bristol Myers Squibb Co 440,600 31,034,763
Forest Laboratories * 424,200 19,619,250
Genzyme General * 282,200 13,686,700
Genzyme Surgical Products * 50,517 222,588
HEALTHSOUTH Corp * 587,300 8,772,794
Humana Inc 656,900 8,498,644
Lilly (Eli) & Co 146,600 10,500,225
Pe Corp-Celera Genomics Group * 59,600 964,775
Pe Corp-Pe Biosystems Group 119,200 13,678,200
Warner-Lambert Co 312,800 21,700,500
-----------
171,952,052
-----------
Integrated Oils - 3.45%
BP Amoco PLC ADR 490 53,165
Mobil Corp 186,800 18,493,200
Phillips Petroleum Co 259,000 13,030,937
Royal Dutch Petroleum Guilder 389,600 23,473,400
-----------
55,050,702
-----------
Materials & Processing - 6.28%
Allegheny Teledyne Inc 719,800 16,285,475
Monsanto Co 819,400 32,315,088
Rohm & Haas Co 750,200 32,164,825
Temple-Inland Inc 283,800 19,369,350
-----------
100,134,738
-----------
Other Energy - 4.16%
Columbia Energy Group Inc 514,950 32,280,927
Cooper Cameron Corp * 346,200 12,831,037
Tosco Corp 816,800 21,185,750
-----------
66,297,714
-----------
Producer Durables - 1.74%
Boeing Co 282,500 12,482,968
Cooper Industries Inc 103,600 5,387,200
Lockheed Martin Corp 267,000 9,945,750
-----------
27,815,918
-----------
Technology - 15.99%
3Com Corp * 72,500 1,934,844
Apple Computer Inc 113,000 5,233,313
Cisco Systems Inc * 390,700 25,200,150
CommScope Inc * 144,833 4,453,615
Compaq Computer Corp 223,700 5,298,894
Computer Associates Int'l Inc 102,000 5,610,000
EMC Corp * 189,200 10,406,000
General Semiconductor Inc * 33,800 308,425
Hewlett-Packard Co 140,400 14,110,200
IBM Corp 320,400 41,411,700
Intel Corp 402,400 23,942,800
Lucent Technologies Inc 329,100 22,193,681
Microsoft Corp * 518,200 46,735,163
Motorola Inc 104,900 9,939,275
Oracle Systems Corp * 223,700 8,304,863
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-35
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Sun Microsystems Inc * 292,200 $20,125,275
Texas Instruments Inc 67,500 9,787,500
--------------
254,995,698
--------------
Utilities - 10.00%
Allegheny Energy Inc 207,100 6,640,144
AT&T Corp 461,600 25,763,050
Bell Atlantic Corp 295,200 19,298,700
Central & South West Corp 231,700 5,415,987
GTE Corp 407,700 30,883,275
Level 3 Communications Inc * 77,000 4,624,813
MCI Worldcom Inc * 333,300 28,747,125
Northern States Power Co 442,400 10,700,550
PP&L Resources Inc 641,200 19,716,900
SBC Communications Inc 132,900 7,708,200
--------------
159,498,744
--------------
Total Common Stocks
(Cost $1,256,680,052) 1,479,492,456
--------------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
CONVERTIBLE CORPORATE BOND - 0.96%
Consumer Discretionary - 0.96%
News America Holdings Inc
0.00% due 03/11/13 $21,442,000 15,384,635
--------------
Total Convertible Corporate Bond
(Cost $13,791,494) 15,384,635
--------------
U.S. TREASURY NOTE - 0.16%
5.875% due 02/15/00 ** 2,500,000 2,510,937
--------------
Total U.S. Treasury Note
(Cost $2,509,993) 2,510,937
--------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENT - 2.89%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 2.89%
State Street Bank and Trust 3.500% due 07/01/99
(Dated 06/30/99, repurchase price of $46,046,320;
collateralized by U.S. Treasury Notes--market
value $46,964,150 and due 03/31/01) 46,041,844 46,041,844
--------------
Total Securities Held Under Repurchase
Agreement 46,041,844
--------------
Total Short-Term Investment (Cost $46,041,844) 46,041,844
--------------
TOTAL EQUITY INCOME PORTFOLIO
(COST $1,368,292,630) $1,594,695,497
--------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $20,839,063 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ---------------------------------------------------------------------
<S> <C> <C>
S&P 500 (9/99) 83 $777,952
--------
</TABLE>
(b) At June 30, 1999, 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 $1,368,292,630
--------------
Aggregate gross unrealized appreciation
for all investments in which there was
an excess of value over tax cost $289,284,407
Aggregate gross unrealized depreciation
for all investments in which there was
an excess of tax cost over value (62,881,540)
--------------
Net unrealized appreciation $226,402,867
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-36
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK - 0.21%
Consumer Discretionary - 0.21%
Home Ownership Funding 1,830 $1,558,609
----------
Total Convertible Preferred Stock
(Cost $1,831,903) 1,558,609
----------
COMMON STOCKS - 55.16%
Autos & Transportation - 1.93%
CSX Corp 42,300 1,916,718
Lear Corp * 98,000 4,875,500
Union Pacific Corp 122,000 7,114,125
----------
13,906,343
----------
Consumer Discretionary - 8.92%
Cendant Corp * 366,900 7,521,450
Circuit City Stores 55,700 5,180,100
Federated Department Stores * 56,100 2,969,794
Gillette Co 41,300 1,693,300
International Game Technology 116,500 2,155,250
Kimberly-Clark Corp 64,200 3,659,400
Mirage Resorts Inc * 184,300 3,087,025
News Corp Ltd 121,300 4,283,406
Service Corp International 88,700 1,707,475
Toys R Us Inc * 106,500 2,203,219
Tyco International Ltd 148,658 14,085,346
Wal-Mart Stores Inc 81,000 3,908,250
Waste Management Inc 222,417 11,954,914
----------
64,408,929
----------
Consumer Staples - 4.68%
Bestfoods 38,100 1,885,950
Pepsi Bottling Group 192,100 4,430,306
PepsiCo Inc 127,900 4,948,131
Philip Morris Cos Inc 213,900 8,596,105
Procter & Gamble Co 73,600 6,568,800
Ralston-Ralston Purina Group 93,400 2,842,863
Seagrams Co Ltd 89,300 4,498,488
----------
33,770,643
----------
Financial Services - 9.49%
Ambac Financial Group Inc 45,100 2,576,338
Astoria Financial Corp 64,335 2,826,719
Bank of America Corp 214,870 15,752,657
CIT Group Inc 136,600 3,944,324
First Union Corp 202,200 9,503,400
Goldman Sachs Group Inc * 13,400 968,150
KeyCorp 59,300 1,905,013
Marsh & McLennan Cos Inc 50,850 3,839,175
MBIA Inc 21,700 1,405,075
Newcourt Credit Group Inc 65,500 847,406
Starwood Hotels & Resorts Worldwide 212,100 6,482,306
U.S. Bancorp 94,700 3,219,800
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
UNUM Corp 94,000 $5,146,500
Washington Mutual Inc 236,200 8,355,575
Xl Capital Ltd `A' 31,700 1,791,050
----------
68,563,488
----------
Health Care - 6.30%
Alza Corp * 161,200 8,201,050
American Home Products Corp 54,300 3,122,250
Bristol Myers Squibb Co 115,000 8,100,313
Forest Laboratories * 107,300 4,962,625
Genzyme General * 80,300 3,894,550
Genzyme Surgical Products * 14,375 63,337
HEALTHSOUTH Corp * 154,900 2,313,819
Humana Inc 173,300 2,242,069
Lilly (Eli) & Co 38,200 2,736,075
Pe Corp-Celera Genomics Group * 16,850 272,759
Pe Corp-Pe Biosystems Group 33,800 3,878,550
Warner Lambert Co 82,700 5,737,313
----------
45,524,710
----------
Integrated Oil - 1.99%
Mobil Corp 49,300 4,880,700
Phillips Pete Co 68,500 3,446,405
Royal Dutch Petroleum Guilder 100,200 6,037,050
----------
14,364,155
----------
Materials & Processing - 3.77%
Allegheny Teledyne Inc 191,300 4,328,162
Monsanto Co 214,900 8,475,118
Rohm & Haas Co 213,500 9,153,813
Temple-Inland Inc 77,800 5,309,850
----------
27,266,943
----------
Other Energy - 2.39%
Columbia Energy Group Inc 140,450 8,804,458
Cooper Cameron Corp * 89,200 3,305,974
Tosco Corp 198,100 5,138,219
----------
17,248,651
----------
Producer Durables - 1.02%
Boeing Co 74,600 3,296,388
Cooper Industries Inc 26,100 1,357,200
Lockheed Martin Corp 72,500 2,700,624
----------
7,354,212
----------
Technology - 9.11%
3Com Corp * 19,100 509,731
Apple Computer Inc 29,500 1,366,219
Cisco Systems Inc * 97,650 6,298,425
CommScope Inc * 36,333 1,117,240
Compaq Computer Corp 58,400 1,383,350
Computer Associates International Inc 26,400 1,452,000
EMC Corp * 49,300 2,711,500
General Semiconductor Inc * 8,800 80,300
Hewlett-Packard Co 36,200 3,638,100
IBM Corp 81,100 10,482,175
Intel Corp 103,400 6,152,300
Lucent Technologies Inc 82,300 5,550,105
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-37
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Microsoft Corp * 138,000 $12,445,875
Motorola Inc 27,000 2,558,250
Oracle Systems Corp * 57,750 2,143,969
Sun Microsystems * 76,700 5,282,713
Texas Instruments Inc 18,000 2,610,000
-----------
65,782,252
-----------
Utilities - 5.56%
AT&T Corp 119,150 6,650,059
Bell Atlantic Corp 77,100 5,040,413
Central & South West Corp 59,800 1,397,825
GTE Corp 108,200 8,196,150
Level 3 Communications Inc * 20,400 1,225,275
MCI Worldcom Inc * 89,000 7,676,250
Northern States Power Co 113,800 2,752,537
PP&L Resources Inc 169,400 5,209,050
SBC Communications Inc 34,900 2,024,200
-----------
40,171,759
-----------
Total Common Stocks
(Cost $345,976,066) 398,362,085
-----------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
CORPORATE BONDS & NOTES - 5.55%
Autos & Transportation - 0.27%
Union Pacific Corp
5.780% due 10/15/01 $2,000,000 1,970,986
-----------
1,970,986
-----------
Financial Services - 3.12%
ERAC USA Finance
6.375% due 05/15/03 1,400,000 1,371,243
Ford Motor Credit
5.750% due 02/23/04 9,000,000 8,685,450
Keystone Financial Mid-Atlantic
6.500% due 05/31/08 500,000 474,375
Montell American Financial
7.400% due 03/15/04 1,500,000 1,503,635
Norwest Financial Inc
6.375% due 09/15/02 2,750,000 2,759,488
SAFECO Capital Trust
8.072% due 07/15/37 2,000,000 1,928,540
Toyota Motor Credit Trust
5.625% due 11/13/03 6,000,000 5,824,800
-----------
22,547,531
-----------
Integrated Oil - 0.02%
Occidental Petroleum Corp
8.450% due 02/15/29 115,000 120,164
-----------
120,164
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Materials & Processing - 0.31%
Armstrong World
6.350% due 08/15/03 $1,000,000 $981,436
Cytec Industries
6.846% due 05/11/05 1,325,000 1,272,681
----------
2,254,117
----------
Other Energy - 1.01%
Enron Corp
6.625% due 10/15/03 1,500,000 1,495,710
LASMO
7.300% due 11/15/27 130,000 120,040
Noble Affiliates Inc
8.000% due 04/01/27 880,000 887,931
Statoil
6.500% due 12/01/28 5,400,000 4,782,348
----------
7,286,029
----------
Producer Durables - 0.15%
Northrop Grumman Corp
9.375% due 10/15/24 1,000,000 1,065,791
----------
1,065,791
----------
Utilities - 0.67%
Aerial Communications
0.000% due 02/01/08 4,000,000 1,892,784
Southwestern Bell
7.375% due 07/15/27 1,500,000 1,451,640
Texas Utilities Co
5.940% due 10/15/01 1,500,000 1,490,037
----------
4,834,461
----------
Total Corporate Bonds & Notes
(Cost $41,722,373) 40,079,079
----------
MORTGAGE-BACKED SECURITIES - 17.65%
Collateralized Mortgage Obligations - 1.57%
Bear Stearns Structured Securities
7.000% due 08/25/36 " 1,000,000 964,375
Comm 1999-1 A2
6.455% due 09/15/08 " 350,000 335,984
Donaldson, Lufkin, & Jenrette
7.818% due 11/25/24 " 56,282 56,282
Morgan Stanley Capital
6.170% due 10/03/08 " 350,000 337,269
6.210% due 09/15/08 " 6,200,000 5,906,151
Nomura Asset Securities Corp
6.590% due 03/17/28 " 3,060,000 2,976,110
Ocwen Residential MBS Corp
4.000% due 10/25/40 " 758,281 748,328
----------
11,324,499
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-38
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Federal Home Loan Mortgage Corporation - 0.55%
6.500% due 02/15/19 " $1,300,000 $1,277,452
7.000% due 02/01/28 " 1,750,475 1,738,183
8.000% due 11/01/26 " 654,846 673,462
8.500% due 07/01/02 " 282,926 292,519
-----------
3,981,616
-----------
Federal National Mortgage Association - 11.13%
6.000% due 07/14/28 # " 7,835,000 7,360,042
6.000% due 01/01/29 " 24,644 23,225
6.160% due 08/07/28 " 1,220,000 1,138,822
6.300% due 12/25/15 " 1,529,856 1,514,068
6.500% due 01/25/23 " 6,220,000 6,161,625
6.500% due 01/01/28 " 2,855,362 2,767,293
6.500% due 03/01/28 " 3,617,543 3,503,525
6.500% due 05/01/28 " 12,957,417 12,557,765
6.500% due 07/01/29 # " 26,055,000 25,134,998
7.000% due 03/01/28 " 2,637,889 2,614,573
7.000% due 04/01/28 " 4,008,003 3,973,329
7.000% due 08/01/28 " 4,736,380 4,699,911
7.000% due 07/01/29 # " 8,200,000 8,105,208
8.000% due 11/01/26 " 827,575 850,857
-----------
80,405,241
-----------
Government National Mortgage Association - 4.40%
6.875% due 06/20/23 " 80,321 81,050
6.880% due 06/20/21 " 136,565 138,017
7.000% due 01/15/28 " 2,182,715 2,160,128
7.000% due 05/15/28 " 2,604,385 2,577,434
7.000% due 10/15/28 " 2,844,937 2,814,837
7.000% due 11/15/28 " 64,717 64,033
7.000% due 12/15/28 " 749,034 741,109
7.000% due 01/15/29 " 1,416,550 1,401,563
7.000% due 02/15/29 " 8,782,678 8,689,758
7.000% due 03/15/29 " 12,256,565 12,095,356
7.000% due 04/15/29 " 987,724 977,274
-----------
31,740,559
-----------
Total Mortgage-Backed Securities
(Cost $123,469,610) 127,451,915
-----------
OTHER ASSET-BACKED SECURITIES - 1.68%
Alaska Trade Co
6.790% due 10/01/05 " 2,500,000 2,496,150
Chase Funding Mortgage Loan
5.875% due 03/25/17 " 2,000,000 1,986,170
Citibank Credit Card Master Trust I
0.000% due 08/15/06 " 1,500,000 1,090,898
CS First Boston Mortgage Security Corp 6.400% due
02/17/04 " 1,196,421 1,193,639
EQCC Home Equity Loan Trust 6.410% due 12/15/04 " 1,600,000 1,592,024
MBNA Master Credit Card Trust 6.450% due 02/15/08 " 700,000 700,382
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Sears Credit Account Master Trust 7.000% due 07/15/08 " $1,500,000 $1,536,698
The Money Store Home Equity
6.440% due 09/15/24 " 500,000 497,748
U.S. Bancorp
8.270% due 12/15/26 " 1,025,000 1,040,119
----------
Total Other Asset-Backed Securities
(Cost $18,554,323) 12,133,828
----------
U.S. TREASURY BONDS - 1.38%
5.250% due 11/15/28 3,680,000 3,257,952
5.250% due 02/15/29 225,000 202,008
6.750% due 08/15/26 ** 6,085,000 6,493,839
----------
Total U.S. Treasury Bonds
(Cost $10,289,665) 9,953,799
----------
U.S. TREASURY NOTES - 7.02%
5.500% due 05/15/09 7,170,000 7,004,158
6.250% due 02/28/02 1,180,000 1,198,069
6.625% due 05/15/07 11,905,000 12,403,522
6.875% due 05/15/06 1,425,000 1,500,703
7.875% due 11/15/04 ** 26,175,000 28,588,021
----------
Total U.S. Treasury Notes
(Cost $50,820,272) 50,694,473
----------
U.S. TREASURY STRIPPED - 0.89%
0.000% due 11/15/15 17,990,000 6,403,253
----------
Total U.S. Treasury Stripped (Cost $6,865,738) 6,403,253
----------
FOREIGN BONDS - 0.87%
Canada - 0.32%
Hydro Quebec
8.500% due 12/01/29 2,000,000 2,285,920
----------
2,285,920
----------
France - 0.08%
Legrand
8.500% due 02/15/25 500,000 554,390
----------
554,390
----------
United Kingdom - 0.47%
CSX Corp
7.050% due 05/01/02 1,500,000 1,515,609
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-39
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Market Value
--------- ------------
<S> <C> <C>
United Utilities PLC
6.250% due 08/15/05 $2,000,000 $1,912,040
------------
3,427,649
------------
Total Foreign Bonds
(Cost $6,478,582) 6,267,959
------------
<CAPTION>
Value
-----
<S> <C> <C>
SHORT-TERM INVESTMENT - 9.59%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 9.59%
State Street Bank and Trust 3.500% due 07/01/99
(Dated 06/30/99, repurchase price of $69,256,172;
collateralized by U.S. Treasury Notes--market
value $19,638,719 and due 03/31/01
and market value
$51,004,314 and due 05/31/01) 69,249,431 69,249,431
------------
Total Securities Held Under Repurchase Agreement 69,249,431
------------
Total Short-Term Investment (Cost $69,249,431) 69,249,431
------------
TOTAL MULTI-STRATEGY PORTFOLIO (COST $675,257,963) $722,154,431
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $644,063 have been
segregated with the custodian to cover margin requirements for the following
open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- -------------------------------------------------------------------------------
<S> <C> <C>
90-Day Eurodollar Futures (9/99) 16 $504
90-Day Eurodollar Futures (12/99) 16 4,504
90-Day Eurodollar Futures (3/00) 16 1,704
90-Day Eurodollar Futures (6/00) 16 1,304
90-Day Eurodollar Futures (9/00) 16 2,504
90-Day Eurodollar Futures (12/00) 16 4,904
90-Day Eurodollar Futures (3/01) 16 6,504
90-Day Eurodollar Futures (6/01) 16 6,304
90-Day Eurodollar Futures (9/01) 16 6,504
90-Day Eurodollar Futures (12/01) 16 7,104
90-Day Eurodollar Futures (3/02) 16 6,704
90-Day Eurodollar Futures (6/02) 16 7,904
90-Day Eurodollar Futures (9/02) 16 7,704
90-Day Eurodollar Futures (12/02) 16 7,704
90-Day Eurodollar Futures (3/03) 16 7,304
90-Day Eurodollar Futures (6/03) 16 6,904
90-Day Eurodollar Futures (9/03) 16 6,904
90-Day Eurodollar Futures (12/03) 16 7,504
90-Day Eurodollar Futures (3/04) 16 7,504
U.S. Treasury 5-Year Notes (9/99) 13 (9,828)
U.S. Treasury 10-Year Notes (9/99) 190 (232,703)
U.S. Treasury 30-Year Bonds (9/99) 15 15,379
------------
($119,176)
------------
</TABLE>
(b) At June 30, 1999, 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 $675,257,963
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $64,982,334
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (18,085,866)
------------
Net unrealized appreciation $46,896,468
------------
</TABLE>
See Notes to Financial Statements
B-40
<PAGE>
PACIFIC SELECT FUND
LARGE-CAP VALUE PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
CONVERTIBLE PREFERRED STOCK - 0.48%
Autos & Transportation - 0.48%
Union Pacific Capital Trust 9,400 $499,375
----------
Total Convertible Preferred Stock
(Cost $496,935) 499,375
----------
COMMON STOCKS - 81.89%
Autos & Transportation - 0.56%
Union Pacific Corp 10,100 588,956
----------
588,956
----------
Consumer Discretionary - 10.87%
AT&T Liberty Media `A' * 47,000 1,727,250
Costco Cos Inc * 17,600 1,409,100
Dayton Hudson Corp 25,800 1,677,000
Federated Department Store * 38,100 2,016,919
Kmart Corp 82,200 1,351,163
Tyco International Ltd 15,300 1,449,675
Viacom Inc 41,100 1,808,400
----------
11,439,507
----------
Consumer Staples - 13.24%
Food Lion `A' Inc 116,200 1,379,875
Hormel Foods Corp 16,400 660,100
Nabisco Group Holdings 114,400 2,237,950
Pepsi Bottling Group 91,600 2,112,525
Philip Morris Cos Inc 64,600 2,596,113
Ralston-Ralston Purina Group 54,600 1,661,888
RJ Reynolds Tobacco Holdings * 50,133 1,579,200
Tyson Foods Inc `A' 75,500 1,698,750
----------
13,926,401
----------
Financial Services - 16.39%
American Express Co 10,000 1,301,250
American General Corp 13,500 1,017,563
Associates First Capital Corp 22,500 997,031
Bank of America Corp 22,900 1,678,856
Bank of New York Co 54,600 2,003,137
BankBoston Corp 25,200 1,288,350
Comerica Inc 10,200 606,263
FHLMC 21,700 1,258,600
Fleet Financial Group Inc 27,700 1,229,187
Goldman Sachs Group Inc * 11,300 816,425
Household International Inc 21,700 1,028,038
Morgan Stanley Dean Witter Co 15,600 1,599,000
Provident Cos Inc 30,000 1,200,000
St. Paul Cos Inc 38,100 1,212,056
----------
17,235,756
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Health Care - 6.35%
Abbott Laboratories Inc 25,800 $1,173,900
American Home Products Corp 21,700 1,247,750
Becton Dickinson & Co 35,000 1,050,000
Lilly (Eli) & Co 18,000 1,289,250
Pharmacia & Upjohn Inc 33,900 1,925,944
----------
6,686,844
----------
Integrated Oils - 6.45%
Amerada Hess Corp 17,600 1,047,200
Atlantic Richfield Co 22,300 1,863,444
Conoco Inc `A' 45,300 1,262,737
Unocal Corp 25,800 1,022,325
USX-Marathon Group 48,700 1,585,794
----------
6,781,500
----------
Materials & Processing - 3.48%
International Paper Co 33,500 1,691,750
Martin Marietta Materials 17,000 1,003,000
Vulcan Materials Co 20,000 965,000
----------
3,659,750
----------
Other Energy - 0.97%
Williams Cos Inc 24,100 1,025,756
----------
1,025,756
----------
Producer Durables - 2.03%
Ingersoll-Rand Co 15,800 1,021,075
Xerox Corp 18,800 1,110,375
----------
2,131,450
----------
Technologies - 13.20%
Corning Inc 19,200 1,346,400
General Motors `H' 26,043 1,464,936
Hewlett-Packard Co 18,500 1,859,250
IBM Corp 23,500 3,037,375
Intel Corp 15,700 934,150
Panamsat Corp * 15,000 584,063
Raytheon Co `A' 17,900 1,232,863
Seagate Technology * 41,100 1,053,187
Tellabs Inc * 14,900 1,006,681
Texas Instruments Inc 9,400 1,363,000
----------
13,881,905
----------
Utilities - 8.35%
Bell Atlantic Corp 30,300 1,980,863
Frontier Corp 29,400 1,734,600
GTE Corp 25,800 1,954,350
MCI Worldcom Inc * 15,300 1,319,625
SBC Communications Inc 30,900 1,792,200
----------
8,781,638
----------
Total Common Stocks
(Cost $81,625,754) 86,139,463
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-41
<PAGE>
PACIFIC SELECT FUND
LARGE-CAP VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
FOREIGN COMMON STOCKS - 9.22%
Australia - 2.22%
News Corp Ltd - Spons ADR 74,000 $2,335,625
----------
2,335,625
----------
Canada - 2.24%
Canadian National Railway Co 16,400 1,098,800
Canadian Pacific Ltd 52,800 1,257,300
----------
2,356,100
----------
France - 3.15%
Alcatel Alsthom ADR 58,100 1,648,587
Total Fina SA - Spon ADR 25,800 1,662,487
----------
3,311,074
----------
Netherlands - 1.61%
Royal Dutch Petroleum Guilder 28,200 1,699,050
----------
1,699,050
----------
Total Foreign Common Stocks
(Cost $9,189,851) 9,701,849
----------
<CAPTION>
Principal
Amount
---------
<S> <C> <C>
CONVERTIBLE CORPORATE BONDS - 1.01%
Consumer Discretionary - 0.43%
NTL Inc
7.000% due 12/05/08 $275,000 450,312
----------
450,312
----------
Technology - 0.58%
Micron Technology Inc
7.000% due 07/01/04 600,000 616,500
----------
616,500
----------
Total Convertible Corporate Bonds
(Cost $973,690) 1,066,812
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 7.40%
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 7.40%
State Street Bank and Trust
4.700% due 07/01/99
(Dated 6/30/99, repurchase price
of $7,781,016; collateralized by U.S.
Treasury Notes--market value
$7,940,592 and due 02/15/21) $7,780,000 $7,780,000
------------
Total Securities Held Under Repurchase Agreement 7,780,000
------------
Total Short-Term Investment
(Cost $7,780,000) 7,780,000
------------
TOTAL LARGE-CAP VALUE PORTFOLIO (COST $100,066,230) $105,187,499
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1999, 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 $100,066,230
------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $5,649,451
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (528,182)
------------
Net unrealized appreciation $5,121,269
------------
</TABLE>
See Notes to Financial Statements
B-42
<PAGE>
PACIFIC SELECT FUND
MID-CAP VALUE PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 92.88%
Autos & Transportation - 4.23%
Borg-Warner Automotive Inc 17,300 $951,500
CNF Transportation Inc 32,800 1,258,700
SPX Corp 5,900 492,650
----------
2,702,850
----------
Consumer Discretionary - 27.08%
Black & Decker Corp 2,300 145,187
Borders Group Inc * 38,700 611,943
Consolidated Stores * 35,500 958,500
Ethan Allen Interiors Inc 31,600 1,192,900
Hilton Hotels Corp 66,000 936,374
King World Productions Inc * 25,200 877,274
Maytag Corp 9,600 669,000
New York Times Co `A' 37,500 1,380,468
Polo Ralph Lauren Corp * 35,700 678,300
Republic Services Inc `A' * 63,800 1,579,050
Saks Inc * 33,200 958,651
Tandy Corp 8,400 410,550
TJX Cos Inc 30,200 1,006,037
Toys R Us Inc * 30,400 628,899
Tribune Co 15,100 1,315,587
Tricon Global Restaurants * 21,700 1,174,513
Warnaco Group `A' 34,900 933,575
Whirlpool Corp 6,400 473,600
Young & Rubicam Inc 30,500 1,385,843
----------
17,316,251
----------
Consumer Staples - 6.79%
Dial Corp 19,500 725,155
Hershey Foods Corp 20,500 1,217,188
Ralston-Ralston Purina Group 41,600 1,266,199
Whitman Corp 63,100 1,135,800
----------
4,344,342
----------
Financial Services - 23.81%
ACE Ltd * 44,100 1,245,825
Ambac Financial Group Inc 22,600 1,291,026
American Bankers Insurance Group 4,800 261,300
CIT Group Inc 38,700 1,117,463
Comerica Inc 15,300 909,393
Everest Reinsurance Holdings 38,700 1,262,588
Franklin Resources Inc 24,500 995,313
Hartford Life Inc 25,100 1,320,888
Heller Financial Inc 27,300 759,281
Hibernia Corp `A' 73,000 1,145,186
North Fork Bancorp 60,100 1,280,880
Protective Life Corp 21,900 722,700
SouthTrust Corp 31,800 1,220,325
Sovereign Bancorp Inc 95,800 1,161,576
Venator Group Inc * 50,800 530,224
----------
15,223,968
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Health Care - 1.36%
Watson Pharmaceuticals Inc * 24,700 $866,042
----------
866,042
----------
Other Energy - 2.55%
Cooper Cameron Corp * 6,900 255,731
Enron Oil & Gas Co 54,500 1,103,625
Noble Affiliates 9,700 273,419
----------
1,632,775
----------
Producer Durables - 10.18%
Gulfstream Aerospace Corp * 19,200 1,297,197
Ingersoll Rand Co 5,300 342,513
Lennar Corp 59,100 1,418,400
Litton Industries Inc * 21,900 1,571,325
Tektronix Inc 40,000 1,207,498
Thomas & Betts Corp 14,200 670,950
----------
6,507,883
----------
Technology - 6.97%
3Com Corp * 31,600 843,323
Gartner Group Inc `A' * 52,300 1,072,150
NCR Corp * 20,200 986,013
Quantum Corp * 22,900 552,462
Seagate Technology * 39,000 999,375
----------
4,453,323
----------
Utilities - 9.91%
Cincinnati Bell Inc 59,000 1,471,312
Entergy Corp 36,500 1,140,625
MidAmerican Energy Holdings Co * 38,100 1,319,213
Niagara Mohawk Holdings Inc * 83,700 1,344,430
Nisource Inc 41,200 1,063,473
----------
6,339,053
----------
Total Common Stocks
(Cost $57,219,128) 59,386,487
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-43
<PAGE>
PACIFIC SELECT FUND
MID-CAP VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 7.12%
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 7.12%
State Street Bank and Trust
3.500% due 07/01/99 (Dated 06/30/99, repurchase price
of $4,554,443; collateralized by U.S. Treasury Notes--
market value $4,645,452 and due 03/31/03) $4,554,000 $4,554,000
-----------
Total Securities Held Under Repurchase Agreement 4,554,000
-----------
Total Short-Term Investment
(Cost $4,554,000) 4,554,000
-----------
TOTAL MID-CAP VALUE PORTFOLIO
(COST $61,773,128) $63,940,487
-----------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1999, 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 $61,773,128
-----------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $3,654,785
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (1,487,426)
-----------
Net unrealized appreciation $2,167,359
-----------
</TABLE>
See Notes to Financial Statements
B-44
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 93.78%
Autos & Transportation - 1.23%
FDX Corp 23,500 $1,274,876
Ford Motor Co 35,300 1,992,245
Navistar International Corp * 100,600 5,030,000
SPX Corp 9,100 759,850
-----------
9,056,971
-----------
Consumer Discretionary - 21.01%
America Online Inc * 125,900 13,911,950
AnnTaylor Stores Corp * 77,400 3,483,001
Best Buy Co Inc 206,600 13,945,501
Carnival Corp `A' 15,600 756,601
Cintas Corp 9,300 624,845
Circuit City Stores 15,400 1,432,200
Dayton Hudson Corp 42,400 2,756,001
Eastman Kodak Co 285,900 19,369,725
Fortune Brands Inc 26,700 1,104,714
Fox Entertainment Group Inc 15,400 414,838
General Electric Co 264,100 29,843,300
Hertz Corp `A' 146,600 9,089,201
Home Depot Inc 173,500 11,179,906
Kimberly-Clark Corp 35,100 2,000,701
Loews Corp 8,500 672,562
Lowe's Cos Inc 47,400 2,686,988
Marriott International Inc `A' 112,800 4,215,900
MGM Grand Inc * 16,600 813,401
Nike Inc `B' 24,700 1,565,363
Omnicom Group Inc 84,900 6,792,001
Tiffany & Co 11,300 1,090,450
Tricon Global Restaurant * 28,500 1,542,563
Tyco International Ltd 54,622 5,175,435
Viacom Inc 139,200 6,124,801
Viad Corp 29,100 900,282
Wal-Mart Stores Inc 262,500 12,665,626
Waste Management Inc 16,400 881,500
-----------
155,039,356
-----------
Consumer Staples - 10.24%
Albertsons Inc 68,000 3,506,250
Anheuser-Busch Cos Inc 46,600 3,305,688
Clorox Co 42,400 4,528,850
Coca-Cola Co 240,100 15,006,250
Coca-Cola Enterprises Inc 60,500 1,799,875
CVS Corp 83,700 4,247,776
General Mills Inc 9,300 747,488
Heinz (HJ) Co 37,500 1,879,688
IBP Inc 149,000 3,538,750
Kroger Co * 175,000 4,889,063
Nabisco Holdings Corp `A' 31,300 1,353,726
PepsiCo Inc 104,400 4,038,975
Philip Morris Cos Inc 182,100 7,318,144
Procter & Gamble Co 160,500 14,324,625
Safeway Inc * 75,700 3,747,150
Smuckers `A' 14,800 329,300
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
SYSCO Corp 18,000 $536,626
U.S. Foodservice Inc * 12,200 520,026
-----------
75,618,250
-----------
Financial Services - 6.57%
Affiliated Computers Services 2,700 136,689
AFLAC Inc 24,900 1,192,089
American International Group Inc 45,750 5,355,609
Bear Stearns Cos Inc 22,100 1,033,176
First Data Corp 92,600 4,531,613
Hartford Life Inc 24,700 1,299,838
Providian Financial Corp 141,150 13,197,525
Schwab (Charles) Corp 166,600 18,305,176
Travelers/Aetna Property Casualty 87,900 3,439,088
-----------
48,490,803
-----------
Health Care - 17.78%
Allergan Inc 79,800 8,857,800
American Home Products Corp 67,900 3,904,251
Amgen Inc * 366,600 22,316,775
Biogen Inc * 56,200 3,614,364
Biomet Inc 43,200 1,717,201
Bristol Myers Squibb Co 222,000 15,637,088
Cardinal Health Inc 93,813 6,015,759
Columbia/HCA Healthcare Corp 29,600 675,251
Genzyme General * 9,000 436,501
Guidant Corp 8,700 447,506
Johnson & Johnson 235,700 23,098,601
Lilly (Eli) & Co 43,000 3,079,875
Merck & Co Inc 176,600 13,068,401
PacifiCare Health Systems `B' * 28,100 2,021,443
Pfizer Inc 96,500 10,590,876
Shering-Plough 143,000 7,579,001
Universal Health Services 8,500 405,876
Warner-Lambert Co 70,000 4,856,251
Wellpoint Health Networks Inc * 33,800 2,868,776
-----------
131,191,596
-----------
Integrated Oils - 0.08%
Exxon Corp 7,700 593,864
-----------
593,864
-----------
Materials & Processing - 1.41%
Avery Dennison Corp 16,400 990,151
Burlington Industries Inc * 1,000 9,063
Dow Chemical Co 67,900 8,614,814
International Paper Co 3,000 151,501
Johnson Controls Inc 8,900 616,881
-----------
10,382,410
-----------
Other Energy - 0.73%
Calpine Corp 32,500 1,755,000
Dynegy Inc 68,700 1,399,763
Halliburton Co 3,400 153,851
Schlumberger Ltd 33,400 2,127,164
-----------
5,435,778
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-45
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Producer Durables - 2.59%
Caterpillar Inc 16,600 $996,000
Danaher Corp 26,100 1,517,064
Emerson Electric Co 47,700 2,999,139
Lexmark International Group `A' * 110,000 7,266,875
Pentair Inc 13,700 626,775
Tecumseh Products Co `A' 11,900 720,694
United Technologies Corp 29,600 2,121,951
Xerox Corp 48,200 2,846,814
-----------
19,095,312
-----------
Technology - 26.50%
Adobe Systems Inc 63,700 5,233,354
Apple Computer Inc 26,400 1,222,651
Ceridian Corp * 38,600 1,261,738
Cisco Systems Inc * 361,700 23,329,650
Computer Sciences Corp * 24,800 1,715,850
Electronic Data Systems Corp 12,500 707,032
EMC Corp * 120,400 6,622,000
General Dynamics Corp 51,800 3,548,300
General Instrument Corp * 58,700 2,494,750
General Motors `H' * 138,200 7,773,750
Hewlett-Packard Co 102,300 10,281,150
IBM Corp 129,400 16,724,950
Intel Corp 363,600 21,634,200
Intuit Inc * 31,300 2,820,914
LSI Logic Corp * 29,100 1,342,238
Lucent Technologies Inc 172,400 11,626,226
Microsoft Corp * 484,100 43,659,730
New Era of Newtworks Inc 7,400 325,139
Novell Inc * 179,500 4,756,750
Sabre Group Holdings Inc 13,800 948,750
Seagate Technology * 341,000 8,738,126
Siebel Systems Inc * 72,200 4,792,276
Sun Microsystems Inc * 135,600 9,339,450
Tech Data Corp 73,000 2,792,250
Yahoo! Inc * 10,900 1,877,525
-----------
195,568,749
-----------
Utilities - 5.64%
Ameritech Corp 13,800 1,014,300
AT&T Corp 150,300 8,388,619
BellSouth Corp 10,800 506,250
CenturyTel Inc 16,950 673,763
MCI Worldcom Inc * 191,700 16,534,126
Nextlink Communications Inc `A' * 21,900 1,628,813
Qwest Communications 190,900 6,311,631
SBC Communications Inc 22,400 1,299,200
Sprint FON Group 14,000 739,375
Telephone & Data Systems 18,000 1,315,126
US Cellular Corp * 11,000 588,500
Vodafone Group PLC ADR 13,250 2,610,250
-----------
41,609,953
-----------
Total Common Stocks
(Cost $525,928,362) 692,083,042
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 6.22%
U.S. TREASURY BILLS - 0.31%
4.745% due 07/01/99 ** $2,300,000 $2,251,141
-------------
Total U.S. Treasury Bills 2,251,141
-------------
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 5.91%
State Street Bank and Trust
4.00% due 07/01/99
(Dated 6/30/99; repurchase price
of $43,651,850; collateralized by U.S.
Treasury Notes--market value
$44,520,000 and due 06/30/00) 43,647,000 43,647,000
-------------
Total Securities Held Under Repurchase Agreement 43,647,000
-------------
Total Short-Term Investments
(Cost $45,897,922) 45,898,141
-------------
TOTAL EQUITY PORTFOLIO
(COST $571,826,284) $ 737,981,183
-------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $2,251,141
have been segregated with the custodian to cover margin requirements for
the following open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ---------------------------------------------------------------------------
<S> <C> <C>
S&P 500 (9/99) 22 $192,716
------------
</TABLE>
(b) At June 30, 1999, 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 $571,826,284
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $172,126,360
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (5,971,461)
------------
Net unrealized appreciation $166,154,899
------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-46
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
CORPORATE BONDS & NOTES - 49.74%
Autos & Transportation - 6.95%
AMR Corp
9.000% due 09/15/16 $4,500,000 $4,966,875
DaimlerChrysler AG
7.450% due 02/01/97 2,000,000 1,990,400
Federal-Mogul Corp
7.500% due 01/15/09 375,000 346,178
Ford Motor Co
7.700% due 05/15/97 2,000,000 2,004,910
Hayes Lemmerz International Inc
8.250% due 12/15/08 500,000 478,750
Lear Corp
9.500% due 07/15/06 500,000 520,000
Norfolk Southern Corp
7.900% due 05/15/97 2,000,000 2,067,500
TRW Inc
7.750% due 06/01/29 1,000,000 978,246
----------
13,352,859
----------
Consumer Discretionary - 9.86%
Alaska Communications
9.375% due 05/15/09 375,000 361,875
Chancellor Media Corp
8.000% due 11/01/08 250,000 246,250
8.125% due 12/15/07 250,000 242,500
Charter Communications
0.000% due 04/01/04 250,000 156,250
8.250% due 04/01/07 500,000 481,250
Intermedia Communications Inc
8.600% due 06/01/08 250,000 231,250
ITT Corp
6.250% due 11/15/00 700,000 686,295
6.750% due 11/15/03 625,000 592,211
Kmart Corp
7.960% due 11/15/99 800,000 802,142
Lenfest
8.375% due 11/01/05 600,000 626,658
News America Holdings
7.750 due 12/01/45 2,100,000 2,002,874
Panamsat Corp
6.125% due 01/15/05 1,680,000 1,622,832
Safety-Kleen Corp
9.250% due 05/15/09 375,000 378,750
Sears Roebuck
6.630% due 07/09/02 1,866,000 1,863,016
SFX Broadcasting
10.750% due 05/15/06 250,000 272,500
Tele-Communications
8.250% due 01/15/03 570,000 600,253
Telewest PLC
0.000% due 10/01/00 375,000 335,625
0.000% due 04/15/04 500,000 335,625
Time Warner Inc
8.375% due 07/15/33 2,000,000 2,182,500
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
TKR Cable I Inc
10.500% due 10/30/07 $1,690,000 $1,797,706
Viacom Inc
7.750% due 06/01/05 2,260,000 2,327,626
Waste Management Inc
6.375% due 12/01/03 800,000 790,822
----------
18,936,810
----------
Consumer Staples - 3.50%
Auroa Foods
9.875% due 02/15/07 500,000 520,000
International Home Foods Inc
10.375% due 11/01/06 500,000 527,500
J Seagram & Sons
6.250% due 12/15/01 450,000 446,837
Keebler Foods Corp
10.750% due 07/01/06 375,000 410,072
Philip Morris Companies Inc
7.000% due 07/15/05 340,000 338,367
7.125% due 08/15/02 1,300,000 1,316,492
7.625% due 05/15/02 200,000 205,011
7.750% due 01/15/27 900,000 912,529
RJ Reynolds Tobacco
7.750% due 05/15/06 1,300,000 1,249,167
SWY
6.050% due 11/15/03 805,000 786,392
----------
6,712,367
----------
Financial Services - 16.25%
Allied Waste NA
7.625% due 01/01/06 500,000 468,125
American General Corp
7.500% due 0715/25 1,500,000 1,528,125
BankAmerica Corp
7.200% due 09/15/02 1,000,000 1,020,747
7.500% due 10/15/02 500,000 514,941
7.875% due 12/01/02 2,500,000 2,605,463
Beneficial Corp
6.250% due 02/18/13 1,240,000 1,227,772
Capital One Bank
6.150% due 06/01/01 2,000,000 1,979,620
6.480% due 06/28/02 1,200,000 1,186,748
Citigroup Inc
5.800% due 03/15/04 1,000,000 970,843
Conseco Inc
7.600% due 06/21/01 500,000 502,876
Countrywide Capital
8.050% due 06/15/27 775,000 771,950
Countrywide Funding Corp
6.970% due 03/28/03 1,500,000 1,506,944
EOP Operating LP
6.375% due 02/15/03 1,000,000 979,186
GMAC
6.150% due 04/05/07 1,000,000 958,354
7.400% due 09/01/25 1,000,000 991,250
Household Nether
6.200% due 12/01/03 1,300,000 1,275,888
</TABLE>
See Notes to Financial Statements
B-47
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Long Island Savings Bank
6.200% due 04/02/01 $1,900,000 $1,885,068
7.000% due 06/13/02 875,000 877,571
MediTrust Corp
7.375% due 07/15/00 1,200,000 1,163,135
MIC Financing Trust
8.375% due 02/01/27 500,000 473,326
NationsBank Corp
6.375% due 05/15/05 925,000 914,503
Onyx Acceptance Auto Trust
6.170% due 07/15/05 4,300,000 4,274,351
Providian National Bank
6.650% due 02/01/04 1,000,000 972,965
Simon DeBartolo Group Inc
6.625% due 06/15/03 1,065,000 1,043,410
6.750% due 07/15/04 600,000 585,172
UCAR Global Enterprise
12.000% due 01/15/05 500,000 533,125
----------
31,211,458
----------
Health Care - 0.18%
Tenet Healthcare Corp
8.000% due 01/15/05 260,000 254,475
8.625% due 12/01/03 80,000 80,000
----------
334,475
----------
Materials & Processing - 1.72%
Huntsman ICI Chemicals
10.125% due 07/01/09 250,000 253,750
Lyondell Chemical Co
9.875% due 05/01/07 375,000 385,313
Nortek
8.875% due 08/01/08 ~ 250,000 246,250
Owens-Corning
7.500% due 05/01/05 1,170,000 1,159,304
7.700% due 05/01/08 250,000 247,016
Packaging Corp of America
9.625% due 04/01/09 500,000 510,000
Riverwood International Corp
10.625% due 08/01/07 250,000 257,500
Wesco Distributor
9.125% due 06/01/08 250,000 243,125
----------
3,302,258
----------
Other Energy - 1.31%
Gulf Canada Resources
9.250% due 01/15/04 375,000 378,731
Occidental Petroleum Corp
8.450% due 02/15/29 395,000 412,737
Oryx Energy Co
9.500% due 11/01/99 545,000 550,640
Williams Cos Inc
6.125% due 02/15/02 1,200,000 1,181,089
----------
2,523,197
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
Producers Durables - 1.99%
Crown Castle International Co
0.000% due 05/15/04 $750,000 $438,750
TYC Group SA
5.875% due 11/01/04 600,000 579,791
Tyco International Group
6.375% due 06/15/05 1,720,000 1,678,598
6.875% due 01/15/29 700,000 641,123
United Rentals
8.800% due 08/15/08 500,000 487,500
----------
3,825,762
----------
Technology - 1.80%
Fisher Scientific International
9.000% due 02/01/08 500,000 477,500
Raytheon Co
6.300% due 03/15/05 1,100,000 1,076,587
7.000% due 11/01/28 2,000,000 1,896,524
----------
3,450,611
----------
Utilities - 6.18%
360 Communications Co
7.125% due 03/01/03 1,350,000 1,371,195
Adelphia Communications Corp
7.875% due 05/01/09 250,000 233,125
10.250% due 07/15/00 175,000 179,375
Cable & Wire Communications
6.375% due 03/06/03 255,000 250,979
6.625% due 03/06/05 1,000,000 976,951
CMS Energy Corp
6.750% due 01/15/04 290,000 274,439
7.375% due 11/15/00 750,000 751,077
MCI Worldcom Inc
7.750% due 04/01/27 750,000 817,661
McLeodUSA Inc
8.125% due 02/15/09 250,000 232,500
Metronet Communications
0.000% due 06/15/03 625,000 462,500
Nextel Communications Inc
0.000% due 02/15/03 500,000 345,000
Niagara Mohawk Power Corp
6.875% due 04/01/03 550,000 556,846
7.000% due 10/01/00 675,000 677,376
8.000% due 06/01/04 500,000 528,570
Orange PLC
8.000% due 08/01/08 500,000 480,000
Sprint Capital Corp
6.875% due 11/15/28 1,000,000 913,233
6.900% due 05/01/19 650,000 606,473
Worldcom Inc
6.400% due 08/15/05 2,250,000 2,210,668
----------
11,867,968
----------
Total Corporate Bonds & Notes
(Cost $96,825,102) 95,517,765
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-48
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES - 13.26%
Collateralized Mortgage Obligations - 6.57%
Bear Stearns Commercial Mortgage
6.440% due 06/16/08 " $2,500,000 $2,423,113
Citicorp
7.200% due 06/15/07 " 1,450,000 1,469,769
Citicorp Mortgage Securities
6.750% due 04/25/28 " 3,900,000 3,751,859
First Union-Lehman Brothers
6.560% due 11/18/08 " 2,600,000 2,541,591
IMC Home Equity Loan Trust
6.340% due 08/20/29 " 2,500,000 2,436,613
----------
12,622,945
----------
Federal Home Loan Mortgage Corporation - 1.73%
5.000% due 06/15/09 " 3,724,000 3,319,015
----------
3,319,015
----------
Federal National Mortgage Association - 1.93%
6.000% due 05/18/28 " 4,000,000 3,702,500
----------
3,702,500
----------
Stripped Mortgage-Backed Securities - 3.03%
Federal National Mortgage Association (Principal Only)
0.000% due 10/09/19 " 22,000,000 5,822,696
----------
5,822,696
----------
Total Mortgage-Backed Securities
(Cost $20,362,358) 25,467,156
----------
OTHER ASSET-BACKED SECURITIES - 11.15%
Aesop Funding II LLC
6.140% due 05/20/06 " 2,500,000 2,452,013
American Business Financial Service
6.455% due 09/25/29 " 6,000,000 5,838,090
Commercial Mortgage Acceptance Corp
6.490% due 05/15/08 " 2,500,000 2,433,388
Contimortgage
6.470% due 12/25/13 " 3,000,000 2,895,495
GE Capital Mortgage
6.583% due 12/25/23 " 3,214,900 2,757,645
Green Tree Financial
6.630% due 06/01/30 " 2,700,000 2,542,847
MBNA Master Credit Card Trust
6.450% due 02/15/08 " 2,500,000 2,501,363
----------
Total Other Asset-Backed Securities
(Cost $22,101,609) 21,420,841
----------
</TABLE>
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
STRIPPED COUPON - 2.39%
0.000% due 03/07/13 $12,000,000 $4,581,240
----------
Total Stripped Coupon
(Cost $11,184,596) 4,581,240
----------
U.S. TREASURY STRIPPED - 17.48%
0.000% due 05/15/08 9,090,000 5,329,140
0.000% due 05/15/18 14,100,000 4,294,240
0.000% due 11/15/18 8,650,000 2,552,727
0.000% due 02/15/19 ** 6,850,000 1,993,432
0.000% due 05/15/20 58,050,000 15,681,337
0.000% due 08/15/26 19,150,000 3,723,143
----------
Total U.S. Treasury Stripped
(Cost $35,647,135) 33,574,019
----------
FOREIGN BONDS - 1.81%
Canada - 0.59%
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,138,010
----------
1,138,010
----------
Mexico - 0.42%
Petro Mexicanos
9.500% due 09/15/27 30,000 28,350
9.657% due 07/15/05 180,000 168,300
Petro Mexicanos FRN
9.657% due 07/15/05 ~ 640,000 598,400
----------
795,050
----------
Philippines - 0.26%
National Power
7.625% due 11/15/00 500,000 499,452
----------
499,452
----------
Poland - 0.23%
Poland Communications Inc
9.875% due 11/01/03 450,000 443,250
----------
443,250
----------
United Kingdom - 0.31%
CE Electric UK Fund
6.853% due 12/30/04 600,000 591,377
----------
591,377
----------
Total Foreign Bonds
(Cost $3,361,269) 3,467,139
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-49
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Principal Market
Amount Value
--------- ------
<S> <C> <C>
FOREIGN GOVERNMENTS - 2.86%
Argentina - 0.30%
Province of Tucuman
9.450% due 08/01/04 $367,500 $310,142
Republic of Argentina
11.750% due 04/07/09 300,000 270,750
---------
580,892
---------
Brazil - 0.23%
Brazil `C' Bond Var Brady
7.071% due 04/15/14 705,215 443,162
---------
443,162
---------
Colombia - 0.19%
Republic of Colombia
8.625% due 04/01/08 470,000 361,900
---------
361,900
---------
Malaysia - 0.45%
Government of Malaysia
8.750% due 06/01/09 850,000 858,500
---------
858,500
---------
Mexico - 0.40%
Mexico-PAR
6.250% due 12/31/19 1,040,000 764,600
---------
764,600
---------
Panama - 0.88%
Panama-IRB
4.000% due 07/17/14 650,000 476,283
Republic of Panama
6.084% due 05/10/02 1,232,336 1,192,098
9.375% due 04/01/29 30,000 28,350
---------
1,696,731
---------
Philippines - 0.32%
Philippines (Rep)
8.875% due 04/15/08 630,000 616,613
---------
616,613
---------
Poland - 0.09%
Poland Reg'd Rsta
4.000% due 10/27/24 190,000 122,406
Poland Reg'd PAR
3.000% due 10/27/24 80,000 47,350
---------
169,756
---------
Total Foreign Governments
(Cost $5,574,998) 5,492,154
---------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 1.31%
SECURITIES HELD UNDER REPURCHASE AGREEMENTS - 1.31%
Goldman Sachs
5.133% due 07/01/99 (Dated 06/30/99, repurchase price
of $2,500,357; collateralized partially by Fannie Mae
- market value $35,647,968 and due 04/01/09) $2,500,000 $2,500,000
State Street Bank and Trust 4.000% due 07/01/99
(Dated 06/30/99, repurchase price of $18,002;
collateralized by U.S. Treasury Notes - market value
$18,532 and due 08/15/21) 18,000 18,000
------------
Total Securities Held Under Repurchase Agreements 2,518,000
------------
Total Short-Term Investments
(Cost $2,518,000) 2,518,000
------------
TOTAL BOND AND INCOME PORTFOLIO
(Cost $197,575,067) $192,038,314
------------
</TABLE>
Notes to Schedule of Investments
(a) Securities with an approximate aggregate market value of $873,036 have been
segregated with the custodian to cover margin requirements for the following
open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- -----------------------------------------------------------------------------
<S> <C> <C>
90-Day Eurodollar Futures (9/99) 1 $2,381
U.S. Treasury 5-Year Notes (9/99) 242 (212,638)
U.S. Treasury 10-Year Notes (9/99) 30 (28,144)
U.S. Treasury 30-Year Bonds (9/99) 408 (782,309)
------------
($1,020,710)
------------
</TABLE>
(b) At June 30, 1999, 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 $197,542,986
------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $1,350,021
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (6,854,693)
------------
Net unrealized depreciation ($5,504,672)
------------
</TABLE>
See Notes to Financial Statements
B-50
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 97.59%
Autos & Transportation - 2.30%
AMR Corp * 26,400 $1,801,800
Brunswick Corp 15,800 440,425
Cooper Tire & Rubber Corp 14,400 340,200
CSX Corp 37,400 1,694,688
Dana Corp 30,928 1,424,621
Delphi Automotive Systems 93,905 1,743,112
Delta Air Lines Inc 25,300 1,457,913
Eaton Corp 13,700 1,260,400
FDX Corp * 50,888 2,760,674
Fleetwood Enterprise 5,900 155,981
Ford Motor Co 208,400 11,761,575
General Motors Corp 112,700 7,438,200
Genuine Parts Co 30,675 1,073,625
Goodyear Tire & Rubber 26,900 1,582,056
Kansas City Southern 20,500 1,308,156
Navistar International Corp * 10,760 538,000
Norfolk Southern 62,600 1,885,825
PACCAR Inc 14,766 788,135
Southwest Airlines 57,925 1,802,916
TRW Inc 21,800 1,196,275
US Airways Group Inc * 13,500 588,093
Union Pacific Corp 43,100 2,513,269
----------
45,555,939
----------
Consumer Discretionary - 16.65%
Alberto-Culver Co `B' 5,500 146,437
Alcan Aluminum Ltd 39,500 1,261,530
America Online Inc * 186,500 20,608,250
American Greetings `A' 15,460 465,732
Autozone Inc * 22,900 689,863
Avon Products Inc 45,200 2,508,600
Best Buy Co Inc 35,500 2,396,250
Black & Decker Corp 15,400 972,125
Browning-Ferris Industries Inc 28,200 1,212,600
Carnival Corp `A' 105,600 5,121,600
CBS Corp 121,600 5,282,000
Cendant Corp * 137,066 2,809,852
Circuit City Stores 17,600 1,636,800
Clear Channel Communications * 55,700 3,839,819
Consolidated Stores * 18,800 507,600
Costco Cos Inc * 37,922 3,036,130
Crane Co 11,050 347,384
Darden Restaurants Inc 23,700 516,956
Dayton Hudson Corp 75,900 4,933,500
Dillards Inc `A' 17,400 611,175
Dollar General Corp 39,875 1,156,375
Eastman Kodak Co 56,100 3,800,775
Federated Department Stores * 36,900 1,953,394
Fortune Brands Inc 29,500 1,220,563
Fruit of the Loom * 12,400 120,900
Gannett Co 49,600 3,540,200
Gap Inc 148,050 7,458,019
General Electric Co 564,400 63,777,200
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Gillette Co 191,000 $7,831,000
H & R Block 18,200 910,000
Harcourt General Inc 10,442 538,416
Harrah's Entertainment Inc * 15,850 348,700
Hasbro Inc 33,225 928,223
Hilton Hotels Corp 44,700 634,181
Home Depot Inc 253,900 16,360,681
IKON Office Solutions Inc 21,800 327,000
International Flavors-Fragrances 17,100 758,813
Interpublic Group of Cos Inc 22,350 1,936,069
J.C. Penney Co Inc 45,800 2,224,163
Jostens Inc 4,548 95,792
Kimberly-Clark Corp 94,852 5,406,564
King World Productions Inc * 15,200 529,150
Kmart Corp 91,500 1,504,031
Knight-Ridder Inc 16,100 884,494
Kohls Corp * 26,200 2,022,313
Laidlaw Environmental Services Inc 44,800 330,400
Limited Inc 36,248 1,644,753
Liz Claiborne Inc 10,660 389,090
Loews Corp 16,900 1,337,213
Lowe's Cos Inc 63,600 3,605,325
Marriott International Inc `A' 41,800 1,562,275
Mattel Inc 71,750 1,896,891
May Department Stores Co 58,100 2,374,838
Maytag Corp 15,800 1,101,063
McDonalds Corp 233,100 9,629,944
McGraw Hill Inc 33,900 1,828,481
Meredith Corp 8,900 308,163
Mirage Resorts Inc * 33,900 567,825
National Service Industries 7,100 255,600
New York Times Co `A' 31,400 1,155,913
Newell Rubbermaid Inc 48,934 2,275,431
Nike Inc `B' 48,700 3,083,319
Nordstrom Inc 26,720 895,120
Office Depot Inc * 63,500 1,400,969
Omnicom Group Inc 29,000 2,320,000
Pep Boys Manny Moe & Jack 9,000 194,625
Polaroid Corp 9,000 248,625
R.R. Donnelley & Sons 23,100 856,144
Reebok International Ltd 9,480 176,565
Russell Corp 6,200 120,900
Sears Roebuck & Co 66,700 2,972,319
Service Corp International 47,100 906,675
Snap-On Inc 11,150 403,491
Springs Industries Inc 1,900 82,888
Stanley Works 14,400 463,500
Staples Inc * 79,450 2,457,984
Tandy Corp 35,544 1,737,213
Time Warner Inc 205,540 15,107,190
Times Mirror Co `A' 12,388 733,989
TJX Cos Inc 55,700 1,855,506
Toys R Us Inc * 43,200 893,700
Tribune Co 20,400 1,777,350
Tricon Global Restaurants * 27,570 1,492,226
Tupperware Corp 9,900 252,450
Tyco International Ltd 140,714 13,332,652
VF Corp 20,000 855,000
Viacom Inc 117,576 5,173,343
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-51
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Wal-Mart Stores Inc 762,100 $36,771,325
Walt Disney Co 354,106 10,910,891
Waste Management Inc 102,660 5,517,975
Wendy's International Inc 21,400 605,887
Whirlpool Corp 13,500 999,000
-----------
330,033,245
-----------
Consumer Staples - 7.71%
Albertsons Inc 75,478 3,891,833
Anheuser-Busch Cos Inc 82,300 5,838,156
Bestfoods 49,900 2,470,050
Brown-Forman Corp 8,161 531,995
Campbell Soup Co 74,200 3,441,024
Clorox Co 20,200 2,157,613
Coca-Cola Co 424,700 26,543,750
Coca-Cola Enterprises Inc 67,900 2,020,025
Colgate-Palmolive Co 50,400 4,977,000
Conagra Inc 84,300 2,244,488
Coors (Adolph) Co 6,290 311,355
CVS Corp 67,200 3,410,400
General Mills Inc 26,400 2,121,900
Great Atlantic & Pacific 6,800 229,925
H.J. Heinz Co 62,850 3,150,356
Hershey Foods Corp 24,700 1,466,563
Kellogg Co 67,800 2,237,400
Kroger Co * 141,800 3,961,538
Longs Drug Stores Inc 6,700 231,569
Nabisco Holdings Corp `A' 57,400 1,122,888
PepsiCo Inc 253,800 9,818,888
Philip Morris Cos Inc 418,500 16,818,469
Procter & Gamble Co 228,600 20,402,550
Quaker Oats Co 23,500 1,559,813
Ralston-Ralston Purina Group 56,300 1,713,631
Rite Aid Corp 47,300 1,164,763
RJ Reynolds Tobacco Holdings * 67 2,099
Safeway Inc * 86,200 4,266,900
Sara Lee Corp 157,100 3,564,206
Seagrams Co Ltd 68,700 3,460,763
Supervalu Inc 19,800 508,613
SYSCO Corp 57,300 1,708,256
Unilever N.V. 98,492 6,869,817
UST Inc 32,800 959,400
Walgreen Co 172,000 5,052,500
William Wrigley Jr. Co 19,900 1,791,000
Winn-Dixie Stores Inc 21,300 786,768
-----------
152,808,264
-----------
Financial Services - 16.06%
AFLAC Inc 46,200 2,211,824
Allstate Corp 141,378 5,071,935
American Express Co 77,900 10,136,737
American General Corp 43,365 3,268,636
American International Group Inc 213,308 24,970,367
Amsouth Bancorp 30,750 713,016
Aon Corp 42,425 1,750,031
Associates First Capital Corp 125,490 5,560,776
Automatic Data Processing Inc 106,100 4,668,400
Bank of America Corp 298,008 21,847,712
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Bank of New York Co 131,000 $4,806,063
Bank One Corp 203,054 12,094,404
BankBoston Corp 51,100 2,612,488
BB&T Corp 46,600 1,709,638
Bear Stearns Cos Inc 19,100 892,925
Capital One Finance 34,200 1,904,512
Chase Manhattan Corp 145,680 12,619,530
Chubb Corp 28,600 1,987,700
CIGNA Corp 35,600 3,168,400
Cincinnati Financial Corp 26,000 976,624
CitiGroup Inc 581,163 27,605,242
Comerica Inc 26,750 1,589,953
Conseco Inc 55,313 1,683,589
Countrywide Credit Industries Inc 19,600 837,900
Deluxe Corp 13,800 537,338
Dow Jones & Co Inc 12,900 684,506
Dun & Bradstreet Corp 28,400 1,006,425
Equifax Inc 24,400 870,775
FHLMC 116,900 6,780,200
Fifth Third Bancorp 46,175 3,073,523
First Data Corp 76,200 3,729,038
First Union Corp 166,910 7,844,770
Firstar Corp 123,800 3,466,400
Fleet Financial Group Inc 97,830 4,341,206
FNMA 178,700 12,218,613
Franklin Resources Inc 44,600 1,811,875
Golden West Financial Corp 10,200 999,600
Hartford Financial Services Group 40,300 2,349,994
Household International Inc 83,192 3,941,221
Huntington Bancshares Inc * 36,300 1,270,500
ITT Industries Inc 16,600 632,875
Jefferson-Pilot Corp 18,200 1,204,613
J.P. Morgan & Co Inc 30,100 4,229,050
KeyCorp 79,500 2,553,938
Lehman Brothers Holding Inc 20,600 1,282,350
Lincoln National Corp 36,000 1,883,250
Marsh & McLennan Cos Inc 44,350 3,348,425
MBIA Inc 17,400 1,126,650
MBNA Corp 138,937 4,254,946
Mellon Bank Corp 91,400 3,324,675
Mercantile Bancorp Inc 27,200 1,553,800
Merrill Lynch & Co Inc 61,500 4,916,156
MGIC Investment Corp 18,800 914,150
Morgan Stanley Dean Witter Co 99,474 10,196,085
National City Corp 57,000 3,733,500
Northern Trust Corp 19,600 1,901,200
Paine Webber Group Inc 24,400 1,140,700
Paychex Inc 44,700 1,424,813
PNC Bank Corp 53,100 3,059,888
Progressive Corp Ohio 12,400 1,798,000
Provident Cos Inc 18,500 740,000
Providian Financial Corp 24,600 2,300,100
Regions Financial Corp 36,600 1,406,813
Republic New York Corp 18,500 1,261,469
Ryder Systems Inc 12,300 319,800
SAFECO Corp 25,240 1,113,715
Schwab (Charles) Corp 67,700 7,438,538
SLM Holding Corp 28,500 1,305,656
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-52
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
SouthTrust Corp 31,100 $1,193,463
St. Paul Cos Inc 40,698 1,294,705
State Street Corp 27,500 2,347,813
Summit Bancorp 29,900 1,250,194
SunTrust Banks Inc 55,200 3,832,950
Synovus Financial Corp 38,650 768,169
Torchmark Corp 22,700 774,638
Transamerica Corp 21,740 1,630,500
U.S. Bancorp 127,537 4,336,258
Union Planters Corp 22,300 996,531
UNUM Corp 24,900 1,363,274
Wachovia Corp 35,000 2,994,687
Washington Mutual Inc 101,892 3,604,430
Wells Fargo & Co 283,100 12,102,525
-----------
318,469,678
-----------
Health Care - 10.87%
Abbott Laboratories Inc 261,500 11,898,250
Aetna Inc 24,639 2,203,650
Allergan Inc 12,000 1,332,000
Alza Corp * 17,200 875,050
American Home Products Corp 227,000 13,052,500
Amgen Inc * 88,100 5,363,088
Bard (C.R.) Inc 9,200 439,875
Bausch & Lomb Inc 9,700 742,050
Baxter International Inc 49,200 2,982,750
Becton Dickinson & Co 44,600 1,338,000
Biomet Inc 20,940 832,365
Boston Scientific Corp * 67,300 2,956,994
Bristol Myers Squibb Co 342,300 24,110,756
Cardinal Health Inc 46,950 3,010,668
Columbia/HCA Healthcare Corp 100,284 2,287,729
Guidant Corp 53,600 2,757,050
HCR Manor Care Inc * 18,500 447,469
HEALTHSOUTH Corp * 67,100 1,002,306
Humana Inc 28,300 366,131
IMS Health Inc 58,800 1,837,500
Johnson & Johnson 231,600 22,696,800
Lilly (Eli) & Co 189,400 13,565,775
Mallinckrodt Inc 12,300 447,413
McKesson HBOC Inc 47,939 1,540,040
Medtronic Inc 101,200 7,880,950
Merck & Co Inc 406,500 30,081,000
Pe Corp-Pe Biosystems Group 8,500 975,375
Pfizer Inc 223,500 24,529,125
Pharmacia & Upjohn Inc 88,135 5,007,170
Schering-Plough Corp 254,200 13,472,600
Shared Medical Systems Corp 4,500 293,625
St. Jude Medical Inc 12,756 454,433
Tenet Healthcare Corp * 51,900 963,394
United Healthcare Corp 32,100 2,010,262
Warner-Lambert Co 145,800 10,114,875
Watson Pharmaceuticals Inc * 16,400 575,025
Wellpoint Health Networks Inc * 11,300 959,088
-----------
215,403,131
-----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Integrated Oils - 5.00%
Amerada Hess Corp 16,800 $999,600
Atlantic Richfield Co 56,200 4,696,213
Chevron Corp 112,400 10,699,074
Coastal Corp 37,700 1,508,000
Exxon Corp 418,700 32,292,238
Kerr-McGee Corp 14,898 747,693
Mobil Corp 134,300 13,295,700
Occidental Petroleum Corp 63,500 1,341,438
Phillips Petroleum Co 43,500 2,188,594
Royal Dutch Petroleum Guilder 368,800 22,220,200
Texaco Inc 92,100 5,756,250
Unocal Corp 43,100 1,707,837
USX-Marathon Group 51,800 1,686,737
----------
99,139,574
----------
Materials & Processing - 3.79%
Air Products & Chemicals Inc 39,400 1,585,850
Alcoa Inc 63,500 3,929,062
Allegheny Teledyne Inc 31,805 719,587
Archer-Daniels-Midland Co 99,869 1,541,728
Armstrong World Industries Inc 6,800 393,125
ASARCO Inc 7,000 131,688
Avery Dennison Corp 20,000 1,207,500
Ball Corp 5,000 211,250
Barrick Gold Corp 64,200 1,243,875
Battle Mountain Gold Co `A' 43,600 106,275
Bemis Inc 7,300 290,175
Bethlehem Steel Corp 21,000 161,438
Boise Cascade Corp 10,300 441,613
Burlington Northern Santa Fe 82,310 2,551,610
Champion International Corp 17,500 837,812
Crown Cork & Seal Co Inc 21,900 624,150
Cyprus Amax Minerals Co 17,900 271,856
Dow Chemical Co 38,100 4,833,938
Du Pont E.I. De Nemours & Co 193,900 13,245,794
Eastman Chemical Co 14,225 736,144
Ecolab Inc 19,840 865,520
Engelhard Corp 22,612 511,597
Fluor Corp 12,800 518,400
Fort James Corp 37,100 1,405,163
Freeport McMoran Copper & Gold 21,400 383,863
Georgia-Pacific Group 32,000 1,516,000
Great Lakes Chemical Corp 10,100 465,231
Hercules Inc 17,300 680,106
Homestake Mining Co 39,900 326,681
International Paper Co 70,896 3,580,248
Johnson Controls Inc 12,600 873,338
Louisiana-Pacific Corp 21,200 503,500
Martin Marietta Materials 1 59
Masco Corp 61,000 1,761,375
Mead Corp 17,700 738,975
Monsanto Co 107,100 4,223,756
Nalco Chemical Co 11,300 586,188
Newmont Mining Corp 32,322 642,400
Nucor Corp 15,900 754,256
Owens Corning 9,300 319,688
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-53
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Owens Illinois Inc * 25,200 $823,725
Phelps Dodge Corp 10,000 619,375
Pioneer Hi-Bred International 41,240 1,605,783
Placer Dome Inc 57,900 683,944
Potlatch Corp 4,900 215,294
PPG Industries Inc 30,400 1,795,500
Praxair Inc 27,100 1,326,206
Reynolds Metals Co 11,200 660,800
Rohm & Haas Co 40,598 1,740,645
Sealed Air Corp * 14,360 931,605
Sherwin Williams Co 30,200 838,050
Sigma Aldrich Corp 17,300 595,769
Temple-Inland Inc 9,600 655,200
Timken Co 9,500 185,250
Union Carbide Corp 24,400 1,189,500
USX-U.S. Steel Group 16,560 447,120
Vulcan Materials Co 17,800 858,850
Westvaco Corp 15,100 437,900
Weyerhaeuser Co 34,400 2,365,000
Willamette Industries Inc 19,300 889,005
Worthington Industries Inc 15,155 249,110
W.R. Grace & Co * 12,600 231,524
----------
75,065,969
----------
Other Energy - 1.79%
AES Corp * 33,100 1,923,937
Anadarko Petroleum Corp 21,800 802,513
Apache Corp 18,700 729,300
Ashland Inc 10,400 417,300
Baker Hughes Inc 56,400 1,889,400
Burlington Resources Inc 30,547 1,321,157
Columbia Energy Group Inc 15,500 971,656
Eastern Enterprises 4,200 166,950
Enron Corp 58,800 4,806,900
Halliburton Co 75,800 3,429,950
Helmerich & Payne Inc 8,500 202,406
Inco Ltd 28,600 514,800
McDermott International Inc 9,600 271,200
Minnesota Mining & Mfg Co 70,000 6,085,625
Rowan Companies Inc * 13,900 256,281
Schlumberger Ltd 92,900 5,916,569
Sonat Inc 19,000 629,375
Sunoco Inc 13,057 394,158
Tenneco Inc 35,800 854,725
Union Pacific Resources Group 43,226 705,124
Williams Cos Inc 75,500 3,213,468
----------
35,502,794
----------
Producer Durables - 3.50%
AlliedSignal Inc 95,900 6,041,700
Andrew Corp * 12,525 237,192
Applied Materials Inc * 63,500 4,691,063
B.F. Goodrich Co 11,400 484,500
Boeing Co 164,910 7,286,961
Briggs & Stratton Corp 4,000 231,000
Case Corp 12,700 611,187
Caterpillar Inc 63,100 3,786,000
Centex Corp 10,200 383,137
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Cooper Industries Inc 18,600 $967,200
Cummins Engine Co Inc 5,800 331,325
Danaher Corp 23,100 1,342,688
Deere & Co 41,200 1,632,550
Dover Corp 38,400 1,344,000
Emerson Electric Co 75,300 4,734,488
FMC Corp * 5,500 375,719
Foster Wheeler Corp 9,000 127,125
Honeywell Inc 22,400 2,595,600
Illinois Tool Works Inc 44,400 3,640,800
Ingersoll-Rand Co 28,850 1,864,431
Kaufman & Broad Home Corp 7,800 194,025
KLA-Tencor Corp * 15,800 1,025,025
Lockheed Martin Corp 70,442 2,623,965
Milacron Inc 4,600 85,100
Millipore Corp 7,352 298,216
Nacco Industries Inc 1,000 73,500
Northrop Grumman Corp 11,800 782,488
Pall Corp 21,266 471,839
Parker-Hannifin Corp 18,675 854,381
Pitney Bowes Inc 46,900 3,013,325
Pulte Corp 8,900 205,256
Raychem Corp 16,300 603,100
Tektronix Inc 8,150 246,028
Textron Inc 27,300 2,247,131
Thomas & Betts Corp 9,500 448,875
United Technologies Corp 83,300 5,971,568
W.W. Grainger Inc 16,300 877,144
Xerox Corp 112,900 6,668,156
----------
69,397,788
----------
Technology - 18.98%
3Com Corp * 61,700 1,646,618
Adobe Systems Inc 10,500 862,640
Advanced Micro Devices Inc * 25,000 451,562
Apple Computer Inc 24,850 1,150,866
Autodesk Inc 8,760 258,968
BMC Software Inc * 40,700 2,197,800
Cabletron Systems Inc * 29,800 387,400
Ceridian Corp * 27,900 911,980
Cisco Systems Inc * 550,100 35,481,450
Compaq Computer Corp 289,042 6,846,682
Computer Associates International Inc 91,900 5,054,500
Computer Sciences Corp * 27,900 1,930,331
Compuware Corp * 64,600 2,055,088
Corning Inc 42,000 2,945,250
Data General Corp * 7,300 106,306
Dell Computer Corp * 438,200 16,213,400
EG&G Inc 7,700 274,313
Electronic Data Systems Corp 84,800 4,796,500
EMC Corp * 172,800 9,504,000
Gateway 2000 Inc * 23,800 1,404,200
General Dynamics Corp 21,940 1,502,890
General Instrument Corp * 27,200 1,156,000
Harris Corp 13,600 532,950
Hewlett-Packard Co 175,500 17,637,750
IBM Corp 312,600 40,403,550
Intel Corp 571,460 34,001,870
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-54
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
LSI Logic Corp * 24,400 $1,125,450
Lucent Technologies Inc 516,626 34,839,965
Micron Technology Inc 39,800 1,604,438
Microsoft Corp * 876,800 79,076,400
Motorola Inc 103,300 9,787,675
National Semiconductor Corp * 28,900 731,531
Network Appliance Inc * 12,800 715,200
Nortel Networks Corp 114,340 9,926,141
Novell Inc * 60,200 1,595,300
Oracle Systems Corp * 248,902 9,240,487
Parametric Technology Corp * 49,000 679,875
Peoplesoft Inc * 40,200 693,450
Raytheon Co 58,000 4,081,750
Rockwell International Corp 32,700 1,986,525
Scientific Atlanta Inc 13,000 468,000
Seagate Technology * 42,000 1,076,250
Silicon Graphics Inc * 32,044 524,721
Solectron Corp * 43,400 2,894,238
Sun Microsystems Inc * 131,800 9,077,725
Tellabs Inc * 66,900 4,519,931
Texas Instruments Inc 66,800 9,686,000
Thermo Electron Corp * 24,400 489,525
Unisys Corp * 43,200 1,682,100
-----------
376,217,541
-----------
Utilities - 10.94%
Alltel Corp 47,400 3,389,100
Ameren Corp 21,700 832,737
American Electric Power Co Inc 33,000 1,239,563
Ameritech Corp 189,300 13,913,550
AT&T Corp 548,140 30,593,063
Bell Atlantic Corp 267,322 17,476,176
BellSouth Corp 328,200 15,384,375
Carolina Power & Light Co 20,800 890,500
Central & South West Corp 36,700 857,862
CenturyTel Inc 25,550 1,015,612
Cinergy Corp 25,013 800,415
CMS Energy Corp 20,300 850,063
Comcast Corp `A' 128,770 4,949,597
Consolidated Edison Inc 40,600 1,837,150
Consolidated Natural Gas Co 16,500 1,002,375
Constellation Energy Group 23,850 706,556
Dominion Resources Inc 37,250 1,613,391
DTE Energy Company 25,000 1,000,000
Duke Power Co 62,326 3,388,976
Edison International 60,800 1,626,400
Entergy Corp 50,500 1,578,125
FirstEnergy Corp 36,000 1,116,000
Florida Progress Corp 17,700 731,231
FPL Group Inc 31,600 1,726,150
Frontier Corp 31,000 1,829,000
GPU Inc 17,600 742,500
GTE Corp 166,200 12,589,650
MCI Worldcom Inc * 320,465 27,640,106
MediaOne Group Inc * 104,500 7,772,188
New Century Energies Inc 17,600 683,100
NEXTEL Communications Inc `A' * 49,600 2,489,300
Niagara Mohawk Holdings Inc * 22,700 364,619
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
NICOR Inc 9,100 $346,369
Northern States Power Co 19,500 471,656
ONEOK Inc 4,900 155,575
Pacificorp 63,900 1,174,163
PECO Energy Co 37,700 1,578,688
Peoples Energy Corp 6,100 229,894
PG&E Corp 65,900 2,141,750
PP&L Resources Inc 22,466 690,830
Public Services Enterprises 38,400 1,569,600
Reliant Energy Inc 45,529 1,257,739
SBC Communications Inc 336,948 19,542,983
Sempra Energy 39,047 883,438
Southern Co 126,500 3,352,250
Sprint FON Group 149,000 7,869,063
Sprint PCS Group * 75,850 4,332,931
Texas Utilities Co 48,810 2,013,413
U.S. West Inc 86,636 5,089,865
Unicom Corp 39,800 1,534,788
--------------
216,864,425
--------------
Total Common Stocks
(Cost $1,303,331,845) 1,934,458,348
--------------
<CAPTION>
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENTS - 2.41%
U.S. TREASURY BILLS - 0.15%
4.400% due 08/19/99 ** $20,000 19,881
4.450% due 08/19/99 ** 2,945,000 2,927,139
--------------
Total U.S. Treasury Bills 2,947,020
--------------
SECURITIES HELD UNDER REPURCHASE AGREEMENT -
2.26%
State Street Bank and Trust
3.500% due 07/01/99
(Dated 06/30/99, repurchase price
of $44,747,922; collateralized by U.S.
Treasury Notes--market value
$46,550,938 and due 03/31/01) 44,743,485 44,743,485
--------------
Total Securities Held Under Repurchase
Agreement 44,743,485
--------------
Total Short-Term Investments
(Cost $47,690,505) 47,690,505
--------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $1,351,022,350) $1,982,148,853
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-55
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $2,947,020 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- ------------------------------------------------------------------------------
<S> <C> <C>
S&P 500 (9/99) 113 $913,782
-----------
</TABLE>
(b) At June 30, 1999, the net unrealized appreciation (depreciation) of invest-
ments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $1,351,022,350
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $653,082,334
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (21,955,831)
--------------
Net unrealized depreciation $631,126,503
--------------
</TABLE>
See Notes to Financial Statements
B-56
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 87.73%
Autos & Transportation - 3.81%
AAR Corp 1,600 $36,300
Aftermarket Technology Corp * 1,200 13,650
Air Express International 2,400 60,900
Airborne Freight Corp 2,400 66,450
AirTran Holdings Inc * 4,700 27,025
Alaska Air Group Inc 1,700 70,976
America West Holdings Corp `B' * 2,300 43,413
American Freightways Corp * 1,200 23,475
Amtran Inc * 600 14,775
Arctic Cat Inc 1,100 9,831
Arnold Industries Inc 1,900 29,331
Arvin Industries Inc 1,300 49,238
Atlantic Coast Airlines * 700 13,300
Atlas Air Inc * 750 24,188
Aviall Inc 1,600 30,100
Avondale Industries * 900 35,100
Bandag Inc 1,200 41,625
C.H. Robinson Worldwide Inc 2,200 80,851
Circle International Group 1,300 28,438
Coach USA Inc * 1,400 58,713
Coachmen Industries Inc 1,000 23,250
Cons Freightways Corp * 1,900 24,403
Delco Remy International Inc * 1,600 17,600
Dura Automotive Systems Inc * 1,300 43,225
Eagle USA Airfreight Inc * 800 33,950
Exide Corp 1,100 16,225
Fleetwood Enterprise 1,500 39,656
Florida East Coast Industries 1,400 61,950
Fritz Cos Inc * 1,100 11,825
Halter Marine Group Inc * 2,100 13,913
Hayes Lemmerz International Inc * 1,100 32,313
Heartland Express Inc * 1,800 29,475
J. B. Hunt Transport Services Inc 1,200 19,500
Keystone Automotive Industries Inc * 1,000 17,375
Kirby Corp 1,100 23,306
Landstar System Inc * 600 21,656
M.S. Carriers Inc * 500 14,828
MascoTech Inc * 2,200 37,263
Mesa Air Group Inc * 1,200 9,019
Mesaba Holdings Inc * 800 10,200
Midwest Express Holding * 1,200 40,801
Miller Industries Inc * 2,600 10,238
Modine Manufacturing Co 1,300 42,331
Monaco Coach Corp * 700 29,619
Motivepower Industries Inc * 1,800 31,950
OEA Inc 1,300 11,538
Offshore Logistic * 1,200 13,350
Oshkosh Truck Corp 700 35,219
Overseas Shipholding Group 1,500 19,313
Pittston Bax Group 1,500 14,250
Polaris Industries Inc 1,800 78,300
Roadway Express Inc 1,200 23,250
Sauer Inc 500 5,375
Simpsom Industries 1,100 11,275
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Skywest 1,700 $42,393
Smith (A.O.) Corp 1,200 33,600
Standard Motor Products Co 400 9,800
Standard Products Co 1,400 35,875
Stoneridge Inc * 800 10,800
Superior Industries International Inc 1,100 30,044
Swift Transport * 2,250 49,500
Thor Industries 700 19,863
Titan International Inc 2,000 23,750
Tower Automotive Inc * 2,500 63,594
Trans World Airlines * 3,400 16,788
USFreightways Corp 1,800 83,363
U.S. Xpress Enterprises `A' * 400 4,275
Varlen Corp 900 36,450
Wabash National Corp 1,700 32,939
Werner Enterprise 1,800 37,350
Westinghouse Air Brake Co 1,000 25,938
Winnebago Industries 1,100 24,750
Wisconsin Central Transport * 3,100 58,513
Wynn's International Inc 800 14,750
Yellow Corp 1,500 26,625
---------
2,306,380
---------
Consumer Discretionary - 16.58%
@Entertainment Inc * 800 15,000
7th Level Inc 2,400 10,950
99 Cents Only Stores * 800 39,950
Aaron Rents Inc 1,300 28,925
Abacus Direct Corp 500 45,751
ABM Industries 1,000 30,688
AboveNet Communications 1,300 52,363
ABR Information Services Inc * 600 54,039
Acclaim Entertainment Inc * 3,500 22,314
Ackerley Group Inc 1,200 21,825
Action Performance * 900 29,700
ACTV Inc * 2,500 34,688
AdForce Inc 600 14,100
Administaff Inc * 600 9,600
Advantage Learning System Inc * 400 8,850
Advantica Restaurant Group * 600 2,063
ADVO Systems Inc 1,300 26,976
AHL Services Inc * 400 9,975
AMC Entertainment 800 15,300
AMERCO * 500 11,250
American Classic Voyages Co. * 300 7,200
American Italian Pasta Co `A' * 1,000 30,375
Ames Department Stores Inc * 1,400 63,876
AMF Bowling Inc * 4,300 36,281
Anchor Gaming * 400 19,225
AnnTaylor Stores Corp * 1,100 49,500
APAC TeleServices Inc * 1,400 4,550
Applebee's International Inc 1,700 51,213
Applied Graphics Technologies Inc * 1,400 17,675
Aqua Alliance Inc * 4,500 4,500
Ascent Entertainment Group * 2,400 33,900
Authentic Fitness Corp 800 14,000
Avado Brands Inc 1,700 14,238
Aviation Sales Co * 500 19,750
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-57
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Avis Rent A Car Inc * 1,600 $46,600
Aztar Corp * 2,200 20,213
Bacou Inc * 300 5,119
Bally Total Fitness Holdings * 1,700 48,238
Banta Corp 1,800 37,800
Barnesandnoble.com Inc 900 16,200
Bassett Furniture 700 16,013
Bell Howell And Co * 900 34,031
Beyond.com Corp 800 22,950
Big Flower Press Holdings Inc * 900 28,689
Block Drugs 1,100 45,856
Bob Evans Farms Inc 2,400 47,700
Boise Cascade Office Product * 800 9,400
Borders Group Inc * 3,900 61,669
Borg-Warner Security Corp * 700 14,219
Bowne & Co 2,500 32,500
Boyd Gaming Corp * 2,200 15,400
Boyds Collection Ltd * 4,000 69,250
Brightpoint Inc * 3,000 18,188
Brown Shoe Company Inc 1,600 34,800
Budget Group Inc `A' * 2,100 25,856
Buffets Inc * 3,400 39,100
Building One Services Corp * 365 5,064
Burlington Coat Factory * 1,200 23,175
Bush Industries 600 9,975
Callaway Golf Co 3,700 54,113
Career Education Corp * 300 10,144
Carmike Cinemas * 600 9,563
Carriage Services Inc `A' * 700 13,125
Casella Waste * 700 18,200
Catalytica Inc * 3,100 43,400
Cato Corp 900 10,463
CBRL Group Inc 2,800 48,475
CD Radio Inc * 1,100 33,516
CDI Corp * 800 27,250
CDnow Inc * 1,200 21,150
CEC Entertainment * 1,300 54,925
CellStar Corp * 2,100 16,538
Central Garden & Pet Co * 1,300 13,325
Central Parking Corp 900 30,825
Century Business Services * 3,900 56,551
Championship Auto Racing * 500 14,969
Charles River Associates Inc 800 20,050
Charming Shoppes Inc 7,400 45,094
Cheesecake Factory * 1,400 42,700
Children's Place * 1,100 44,550
Choice Hotels International Inc * 2,500 49,375
ChoicePoint Inc * 900 60,413
Churchill Downs Inc 300 10,350
Citadel Communications Corp 700 25,331
CKE Restaurants Inc 2,400 39,000
Coinstar Inc 1,200 34,425
Coldwater Creek Inc * 600 11,700
Coleman Co Inc * 800 7,500
Columbia Sportswear Co * 500 7,688
CompUSA Inc * 6,300 46,857
Consolidated Graphics Inc * 900 45,000
Consolidated Products Inc * 1,900 34,200
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Copart Inc 1,000 $21,250
Cornell Corrections Inc 1,000 16,438
Corporate Express * 700 4,900
Cost Plus Inc * 850 38,674
CPI Corp 400 13,200
Creative Computers 1,100 8,800
CSK Auto Corp * 900 24,300
CSS Industries Inc * 500 14,063
Daisytek International Corp * 1,600 26,100
Dave & Buster's Inc * 600 17,400
Delia's Inc * 300 4,050
Dendrite International Inc * 1,000 36,125
Department 56 Inc * 1,200 32,250
Diamond Tech Partners Inc * 500 11,188
Direct Focus Inc 1,100 22,851
Discount Auto Parts Inc * 600 14,475
Dollar Thrifty Automotive Group Inc * 1,800 41,850
Donna Karan International Inc * 700 6,956
Dover Downs Entertainment 700 12,381
Dress Barn Inc * 900 14,400
E4L Inc 1,600 11,600
EarthWeb Inc 600 22,350
Education Management Corp 1,600 33,200
Emmis Communications `A' * 1,200 59,251
Enesco Group Inc 900 20,813
Entercom Communications * 1,200 51,300
Ethan Allen Interiors Inc 2,100 79,275
Extended Stay America Inc * 4,000 48,000
F.Y.I. Inc * 700 21,963
Factory 2-U Stores Inc 400 7,400
Family Golf Centers * 1,200 9,225
Fatbrain.com Inc 700 11,725
Fedders USA Inc 2,700 18,056
Federal Signal Corp 2,800 59,325
Fidelity Holdings Inc 500 10,188
Finish Line `A' * 1,400 15,750
First Consulting Group Inc * 700 7,438
Fisher Scientific Inc * 2,300 51,319
Florida Panthers Holdings * 1,600 17,100
Flycast Communications Corp 700 13,388
Foodmaker Inc * 2,400 68,100
Footstar Inc * 1,400 52,063
Fossil Inc * 600 29,025
Franklin Covey Co * 1,200 8,850
Furniture Brands International Inc * 2,400 66,900
G & K Services Inc `A' 1,100 57,612
GC Cos Inc * 500 17,875
Gaylord Entertainment Class A 1,300 39,000
GenCorp Inc 2,000 50,500
General Nutrition * 3,200 74,600
Genesco Inc * 1,400 20,388
Getty Images Inc * 1,200 22,650
Goody's Family Clothing * 1,800 20,588
Gray Communication System 100 2,000
Grey Advertising Inc 100 33,300
Griffon Corp * 1,700 13,281
Group 1 Automotive Inc * 900 19,013
Group Maintenance America * 1,000 12,937
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-58
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
GT Interactive Software Corp * 2,000 $7,000
GTECH Holdings Corp 2,300 54,195
Guess? Inc * 400 5,525
Guitar Center Inc * 1,100 11,481
Gymboree Corp * 1,900 19,950
HA-lO Industries Inc * 3,050 30,119
Handleman Co Del 2,500 29,531
Hanover Direct Inc * 6,800 19,125
Harland John H Co 2,500 49,845
Harmon International 1,200 52,800
Haverty Furniture 500 17,625
Heilig- Meyers Co 3,300 22,481
Herbalife International Inc `A' 800 8,750
Hollywood Entertainment Corp * 1,700 33,256
Hollywood Park Inc 1,600 27,200
HomeBase Inc * 3,300 20,831
IHOP Corp * 1,100 26,469
InfoUSA Inc `B' * 1,200 10,200
Insight Enterprises Inc * 1,050 25,988
Interim Services Inc * 2,900 59,813
Iron Mountain Inc * 1,600 45,801
IT Group Inc 600 9,638
ITI Technologies Inc * 400 9,050
ITT Educational Service Inc * 1,200 31,275
Jakks Pacific Inc 600 17,888
Jo-Ann Stores `A' * 1,100 16,500
Jones Apparel Group Inc * 51 1,750
Jostens Inc 2,000 42,125
Journal Register Co * 2,200 49,500
Just For Feet Inc * 1,800 11,588
Kellwood Co 1,300 35,263
Kelly Services Inc `A' 1,500 48,188
Kenneth Cole * 400 11,150
Labor Ready Inc * 1,600 52,000
Landry Seafood Restaurant * 2,600 20,800
Lands End Inc 900 43,650
Lason Inc * 800 39,700
Launch Media Inc * 200 3,575
Lawson Products Inc 400 10,075
La-Z-boy Chair Co 2,900 66,701
Learning Tree International * 700 7,656
Lee Enterprises 2,500 76,250
Libbey Inc 1,300 37,700
Lithia Motors Inc `A' 900 18,450
Lodgian Inc * 1,500 9,844
Lone Star Steakhouse & Saloon * 2,000 19,438
Lubys Cafeterias Inc 2,100 31,500
Mail-Well Inc * 2,200 35,614
Marcus Corp 1,300 16,006
Marvel Enterprises Inc * 400 2,950
Matthews International `A' 900 26,663
Maximus Inc * 600 17,250
Media General `A' 1,500 76,500
Media Metrix Inc 400 21,300
Mediconsult.com Inc * 1,000 10,438
MemberWorks Inc * 800 23,200
Merrill Corp 800 11,600
Metamor Worldwide Inc * 1,900 45,719
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Metromedia International Group Inc * 3,300 $24,750
Metzler Group Inc * 1,800 49,725
Michaels Stores Inc * 1,800 55,125
Micro Warehouse Inc * 2,000 35,750
Midas Inc 1,500 42,562
Midway Games Inc * 1,400 18,113
Mikasa Inc 300 3,394
Movado Group Inc 1,000 25,875
Musicland Stores Corp * 1,700 15,088
National Presto Industries Inc 400 15,300
Nautica Enterprises Inc * 2,300 38,813
Navarre Corp 1,200 11,813
NCO Group Inc * 800 30,400
Neiman Marcus Group 900 23,119
NetGravity Inc 1,200 27,300
Network Event Theater Inc 1,100 18,425
NFO Worldwide Inc * 900 12,600
Norrel Corp 1,400 26,338
NPC International Inc * 500 7,688
Oakley Inc * 1,600 11,400
O'Charleys Inc * 500 8,000
OfficeMax Inc * 7,600 91,201
Ogden Corp 2,100 56,569
Olsten Corp 4,000 25,250
On Assignment Inc * 600 15,675
On Command Corp * 600 10,575
Oneida Ltd 700 19,688
OnHealth Network Co 1,300 13,813
ONSALE Inc * 700 13,256
O'Reilly Automotive * 800 40,300
Oshkosh B Gosh Inc `A' 900 19,013
O'Sullivan Industries Holdings * 1,500 25,500
Oxford Industries 300 8,494
Pacific Sunwear of California * 1,950 47,531
Papa John's International Inc * 1,200 53,625
ParkerVision Inc * 300 10,500
Party City * 100 384
Paxson Communications Corp * 1,600 21,600
Pegasus Communications * 800 31,550
Pegasus Systems * 600 22,463
Pennzoil-Quaker State Co 3,700 55,500
Penske Motorsports Inc * 500 24,813
Penton Media Inc 600 14,550
Pep Boys Manny Moe & Jack 2,700 58,388
Personnel Group of America Inc * 2,600 26,000
Petco Animal Supplies Inc * 1,200 18,900
PETsMART Inc * 7,700 78,925
Phillips-Van Heusen 1,300 12,838
Pier 1 Imports Inc 4,800 54,000
Pierce Leahy Corp * 300 7,406
Pillowtex Corp 600 9,788
Pittston Brink Group 1,800 48,150
Playboy Enterprise `B' * 1,000 26,563
Playtex Products * 1,600 24,900
Polaroid Corp 3,000 82,875
Prepaid Legal Services * 1,500 40,781
Preview Travel Inc * 1,100 24,131
Prime Hospitality* 2,900 34,800
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-59
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Probusiness Services Inc * 1,000 $35,875
QRS Corp * 500 39,000
Quanta Services Inc * 1,300 57,200
Quicksilver * 1,350 35,184
R.H. Donnelley Corp 1,100 21,519
Racing Champions Corp 1,200 8,550
Rare Medium Group Inc * 1,900 23,631
Red Roof Inn 1,500 26,906
Reebok International Ltd 2,000 37,250
Regis Corp Minn 2,100 40,295
Rent A Center * 1,000 24,000
Rent-Way Inc * 1,400 34,475
Rollins Inc 1,000 15,938
Romac International Inc * 3,100 27,513
Ruby Tuesday Inc 2,200 41,800
Russ Berrie 700 17,324
Russell Corp 1,600 31,200
Ryan's Family Steak House * 2,200 25,575
Sbarro Inc * 800 21,650
Scholastic Corp * 900 45,563
Scientific Games Holdings Corp * 900 17,550
Shoe Carnival Inc 1,000 17,000
ShopKo Stores Inc 1,500 54,375
Sinclair Broadcast Group `A' 900 14,737
SITEL Corp * 400 1,175
Sonic Corp * 1,200 39,150
Source Information Management Co 900 12,150
Source Media Inc 1,300 22,100
Spiegel Inc `A' * 900 7,988
SportsLine USA Inc * 1,100 39,463
Springs Industries Inc 900 39,263
St. Johns Knits Inc 1,100 32,175
Staff Leasing Inc * 1,600 20,600
StaffMark Inc * 2,400 24,075
Starrett (L.S.) Co `A' 300 8,063
Station Casinos Inc * 800 16,300
Stein Mart Inc * 1,600 15,000
Strayer Education Inc 400 12,275
Stride Rite Corp 2,700 27,844
Sturm Ruger & Companies Inc 2,200 23,513
Sunbeam Corp 4,100 32,544
Sunglass Hut International * 3,000 51,563
Superior Services Inc * 1,800 48,038
Systemax Inc * 2,800 34,650
Talbots Inc 900 34,313
TeleTech Holdings Inc * 1,200 12,150
Tetra Tech Inc * 1,875 30,938
The Buckle Inc * 500 14,374
The Men's Warehouse Inc * 1,486 37,893
The Topps Co Inc 3,800 27,669
THQ Inc 1,000 28,750
Timberland Co * 500 34,031
Toro Co 800 31,500
Trans World Entertainment Corp * 2,500 28,125
Trendwest Resorts Inc * 400 8,925
Triarc Cos Inc * 1,050 22,313
True North Communications 1,900 56,525
Tupperware Corp 2,900 73,950
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
UniFirst Corp 600 $11,025
Unisource Worldwide Inc 3,500 42,219
United Auto Group Inc * 800 8,200
United Natural Foods Inc * 1,000 24,750
United Stationers Inc * 2,000 44,001
United Television Inc 200 20,975
Urban Outfitters Inc * 600 15,075
U.S. Home Corp * 600 21,300
U.S. Office Products Co * 3,400 18,275
Vail Resorts * 1,900 33,250
Value City * 600 7,350
ValueVision International Inc `A' 1,100 21,863
VerticalNet Inc 800 84,000
Veterinary Centers Of America * 1,100 14,919
Vistana Inc * 900 14,175
Volt Info Sciences Inc * 600 13,725
VWR Scientific Products Corp * 800 29,350
Wackenhut Corp 700 20,825
Wackenhut Corrections Corp * 500 9,906
Wallace Computer Services Inc 2,200 55,000
Waste Connections Inc * 1,200 36,600
Waste Industries Inc * 600 10,725
West Marine Inc * 1,000 14,563
West Teleservices Corp * 1,100 10,313
Westwood One * 1,500 53,531
Wet Seal Inc `A' * 900 25,763
Windmere-Durable Holdings * 1,200 20,250
WMS Industries * 1,900 32,300
Wolverine World Wide Inc 2,700 37,800
World Color Press Inc * 2,700 74,250
Wyndham International Inc `A' * 9,500 42,751
Xceed Inc 900 19,688
Young Broadcasting Corp `A' * 500 21,281
---------
9,970,204
---------
Consumer Staples - 2.31%
7-Eleven Inc * 8,300 18,416
Aurora Foods Inc * 400 7,000
Beringer Wine Estates `B' * 1,000 41,781
Bush Boake Allen Inc * 400 11,700
Canandaigua Brands * 1,200 62,926
Casey's General Stores Inc 3,700 55,500
Chiquita Brands International 3,600 32,400
Church & Dwight Inc 1,000 43,500
Del Monte Foods Co * 3,800 63,650
Dimon Inc 2,400 12,450
Dreyer's Grand Ice Cream Inc 1,300 19,663
Duane Reed Inc * 1,300 39,813
Earthgrains Co 2,400 61,951
Farmer Brothers Co 100 20,250
Fleming Companies Inc 2,100 24,413
General Cigar Holdings Inc * 400 3,125
Great Atlantic & Pacific 1,400 47,338
Hain Food Group Inc * 800 16,500
Imperial Sugar Co 1,800 12,488
Ingles Markets Inc 600 9,150
International Home Foods * 900 16,594
International Multifoods Corp 1,200 27,075
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-60
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
J&J Snack Foods Corp 900 $21,600
Lance Inc 2,300 35,939
Michael Foods Inc * 800 18,800
Nature's Sunshine Products Inc 900 9,450
NBTY Inc * 3,300 21,450
Performance Food Group * 1,000 27,188
Pilgrims Pride Corp `B' 700 21,000
Ralcorp Holdings Inc * 1,600 25,700
Rexall Sundown Inc * 2,600 31,688
Richfood Holdings Inc 3,100 54,638
Riviana Foods Inc 1,000 18,750
Robert Mondavi `A' * 400 14,550
Ruddick Corp 2,400 48,000
Sanderson Farms Inc 1,100 15,674
Smart & Final Inc 1,400 14,700
Smithfield Foods Inc * 300 10,032
Smuckers `A' 1,500 33,375
Suiza Foods Corp 1,800 75,375
Twinlab Corp * 2,200 18,906
Universal Corp VA 2,100 59,719
Universal Foods 3,300 69,713
Vlasic Foods International * 1,800 13,163
Whole Foods Market Inc * 1,300 62,481
Wild Oats Market 1,000 30,344
---------
1,399,918
---------
Financial Services - 19.57%
Acceptance Insurance Companies Inc 900 13,556
Advanta Corp `A' 1,000 18,063
Advent Software Inc * 300 20,100
Advest Group Inc 500 9,969
Affiliated Managers Group * 1,200 36,225
Alabama National Bancorp 300 7,500
Alexander & Baldwin 3,200 71,200
Alexanders Inc * 200 14,775
Alexandria Real Estate Equities 600 18,750
Alfa Corp 1,600 32,000
Alleghany Corp * 300 55,500
Allied Capital Corp 2,700 64,800
AMCORE Financial Inc 1,700 39,206
American Health Properties 1,300 26,163
American Heritage Life Investments 1,000 24,500
AmeriCredit Corp * 4,300 68,801
AmerUs Life Holdings 1,000 27,000
AMLI Residential Properties 1,200 26,850
Anchor Bancorp Wisconsin Inc 1,700 30,281
Andover Bancorp Inc 400 12,550
Arcadia Financial Ltd * 3,100 24,025
Area Bancshares 300 8,137
Argonaut Group Inc 1,000 24,000
ARM Financial Group Inc 1,400 11,900
Associated Estates Realty Corp 1,300 15,356
Baldwin & Lyons 800 18,950
BancFirst Ohio Corp 500 12,313
BancorpSouth Inc 3,200 58,001
BancTec Inc * 1,300 23,319
Bancwest Corp 1,300 48,263
Bank of Granite Corp 900 22,163
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Bank United Corp * 1,600 $64,300
BankAtlantic Bancorp 2,100 17,063
Banknorth Group Inc 1,900 62,701
BARRA Inc * 800 20,200
Bay View Capital Corp 1,100 22,550
Bedford Property Investors 1,300 23,238
Berkley W R Corp 1,500 37,500
Berkshire Realty Co 600 6,938
Billing Concepts Corp * 3,000 33,564
Boykin Lodging Co 900 13,838
Bradley Real Estate 1,500 31,125
Brandywine Realty Trust 2,700 53,494
BRE Properties 2,400 62,249
Brenton Banks Inc * 420 6,510
Brookline Bancorp Inc 800 9,250
Brown & Brown Inc 1,000 38,001
BSB Bancorp Inc 500 13,500
BT Financial Corp 700 17,172
Burnham Pacific Properties Inc 1,900 23,394
Cabot Industrial Trust 1,300 27,625
Camden Property Trust 2,500 69,375
Capital Automotive REIT 2,200 29,150
Capital City Bank 300 7,500
Capital Federal Financial * 4,300 44,882
Capital Re Corp 1,400 22,488
Capstead Mortgage Corp 3,300 17,944
Carolina First 1,200 29,250
Cash America International Inc 2,200 28,325
Cathay Bancorp Inc 600 25,500
CBL & Associates Properties 1,600 42,200
CCC Info Services 1,400 18,025
Centennial Bancorp * 1,020 14,089
CenterPoint Properties Corp 1,200 43,951
Center Trust Inc 1,500 17,625
Century South Banks Inc 600 13,500
CFSB Bancorp Inc 480 11,820
Charter Municipal Mtg Acceptance 2,300 29,469
Chateau Communities Inc 1,100 32,931
Chelsea GCA Realty Inc 1,300 48,263
Chemical Financial Corp 800 27,850
Chicago Title Corp 800 28,550
Chittenden Corp 1,342 41,938
Citizens Banking Corp Michigan 1,900 57,120
City Holding Co 800 23,200
CNA Surety Corp 1,000 15,313
Colonial Properties 1,500 42,375
Commerce BanCorp Inc NJ 1,705 72,889
Commerce Group Inc 1,400 34,125
Commerical Net Lease Realty 1,700 21,888
Commonwealth Bancorp Inc 900 16,144
Community First Bankshares Inc 2,800 66,850
Community Trust Bancorp Inc 610 14,259
Conning Corp 800 13,000
ContiFinancial Corp * 1,700 6,056
Cornerstone Realty Income Trust 2,200 23,650
CORT Business Services Corp * 800 19,150
Corus Bankshares Inc 500 15,906
Cousins Properties Inc 1,300 43,956
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-61
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Crawford & Co CLB 3,000 $48,750
Credit Acceptance Corp * 1,200 7,200
Crown American Realty Trust 2,100 15,356
CVB Financial Corp 100 2,600
CyberCash Inc 1,400 17,938
Dain Rauscher Corp 700 37,888
Data Transmission Network * 900 25,313
Delphi Financial Group * 1,010 36,234
Developers Diversified Realty 4,700 78,137
Dime Community Bancshares 700 16,275
Doral Financial Corp 1,800 31,050
Downey Financial Corp 1,000 21,938
Duff & Phelps Credit Rating 500 33,438
EastGroup Properties Inc 900 18,056
Eaton Vance Corp 1,800 61,989
Electro Rent Corp * 1,100 11,825
Enhance Financial Service Group 1,500 29,625
Equity Inns Inc 3,200 29,600
Essex Property Trust Inc 1,000 35,375
EVEREN Capital Corp 900 26,831
EW Blanch Holdings Inc 700 47,732
Executive Risk Inc 600 51,038
F&M Bancorp Inc WI 600 22,650
F&M National Corp 1,300 43,144
FactSet Research Systems Inc 700 39,638
Fair Isaac & Company Inc 600 21,038
Farmers Capital Bank Corp 400 14,200
FBL Financial Group Inc `A' 1,500 29,250
Federal Realty Investments Trust 2,300 52,756
Fidelity National Financial Inc 1,500 31,500
Financial Federal Corp * 600 13,200
Finet.com Inc * 3,800 21,138
First American Financial 3,000 53,625
First Bancorp Puerto Rico 1,900 42,870
First Charter Corp 400 9,900
First Citizens BancShares `A' 300 24,225
First Commerce Bancshares Inc `B' 1,000 23,813
First Commonwealth Financial Corp 1,800 42,975
First Federal Capital Corp 1,100 16,225
First Financial Bancorp 2,400 54,300
First Financial Bankshares Inc 600 19,050
First Financial Corp 300 11,344
First Financial Holdings Inc * 800 15,000
First Indiana Corp 1,100 23,513
First Industrial Realty Trust 2,300 63,106
First Liberty Financial Corp 500 15,688
First Merchants Corp 800 19,000
First Midwest Bancorp 1,300 51,675
First Republic Bank * 1,200 34,725
First Sentinel Bancorp Inc 1,500 13,313
First Sierra Financial * 1,000 25,000
First Source Corp 1,210 38,720
First United Bancshares Arkansas 2,200 40,976
First Washington Bancorp Inc 900 18,056
First Western Bancorp 1,200 40,200
FirstFed Financial Corp * 600 11,550
Flagstar Bancorp Inc 400 10,100
FNB Corp PA 1,925 51,975
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Foremost Corp of America 1,100 $24,200
FPIC Insurance Group Inc * 600 29,100
Freedom Securities 900 15,413
Friedman Billings Ramsey `A' * 1,900 22,563
Frontier Financial Corp * 800 19,600
Frontier Insurance Group Inc 2,000 30,750
Gables Residential Trust 1,500 36,188
Gallagher (Arthur J) & Co 1,000 49,500
GBC Bancorp 700 14,175
Glenborough Realty Trust Inc 1,800 31,500
Glimcher Realty Trust 1,300 21,125
Golf Trust of America Inc 300 7,331
Grand Premier Financial Inc 900 11,138
Great Lakes REIT Inc 2,100 34,125
Greater Bay Bancorp 900 29,925
Guarantee Life Cos Inc 1,000 25,125
Hambrecht & Quist * 1,500 55,687
Hamilton Bancorp Inc * 400 9,600
Hancock Holding Co 600 26,925
Harbor Florida Bancshares Inc 1,100 13,475
Harleysville Group Inc 800 16,400
Harleysville National Corp 400 14,300
Harris Financial Inc 400 4,325
HCC Insurance Holdings * 2,300 52,181
Health Care Properties Investors Inc 1,800 51,975
Health Care REIT Inc 1,200 27,900
Healthcare Financial Partners * 700 23,974
Healthcare Realty Trust Inc 2,200 46,201
Henry (Jack) & Associates 800 31,400
Hilb, Rogal & Hamilion Co 600 13,425
Home Properties of NY Inc 700 19,338
Horace Mann Educators 1,900 51,656
Hospitality Properites Trust 2,200 59,675
Host Marriott Services Corp * 1,500 12,188
HSB Group Inc 2,000 82,376
Hudson United Bancorp 2,200 67,375
Hypercom Corp * 1,100 10,519
Imperial Bancorp * 1,932 38,278
Imperial Credit Comm Mtg Invest Corp 1,700 18,381
Imperial Credit Industries * 2,600 18,444
Independence Community Bank 4,500 60,750
Independent Bank Corp 700 11,025
Indymac Mortgage Holdings 5,000 80,000
Innkeepers USA Trust 1,100 11,000
Inspire INS Solutions * 700 10,150
International Bancshares Corp 800 33,850
International Tele Data Systems * 1,400 22,400
Interpool Inc 700 9,100
InterWest Bancorp Inc 900 22,500
Investment Technology Group 59 1,910
Investors Financial Services Corp 1,100 44,000
Irwin Financial Corp 600 11,700
JDN Realty Corp 2,700 60,414
Jeffbanks Inc 500 14,219
Jefferies Group Inc 1,700 51,000
John Nuveen Co `A' 500 21,344
JP Realty Inc 700 14,394
JSB Financial Inc 400 20,350
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-62
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Kilroy Realty Corp 1,500 $36,563
Koger Equity Inc 1,600 29,500
LandAmerica Financial Group Inc 800 23,000
Lasalle Hotel Properties 300 4,594
Leucadia National Corp 1,800 45,675
Lexington Corporate Properties 1,000 11,625
Liberty Corp SC 500 27,250
Liberty Financial Co 300 8,738
Life USA Holding 1,500 30,375
Local Financial Corp 1,700 17,000
Long Beach Financial * 1,300 19,094
LTC Properties Inc 300 3,900
Macerich Co 1,700 44,626
MAF Bancorp Inc 2,200 53,350
Mahoning National Bancorp OH 300 13,125
Manufactured Home Communities Inc 1,200 31,200
Markel Corp * 300 56,100
McGrath RentCorp 1,200 24,000
Medallion Financial Corp 1,200 22,875
Medical Assurance * 1,900 53,675
Merchants New York Bancorp 500 16,750
Meristar Hospitality Corp 3,200 71,800
Metris Companies Inc 2,200 89,650
MGI Properties Inc 700 19,775
Michigan Financial Corp * 500 16,188
Mid-America Apartment Communities 400 9,250
MidAmerica Bancorp 100 2,463
Midland Co 200 5,075
Midwest Banc Holdings Inc 1,000 19,000
Mills Corp 800 17,350
Mississippi Valley Bancshares 500 16,563
MMI Companies Inc 1,900 32,063
MONY Group Inc 2,300 75,038
Morgan Keegan Inc 2,100 39,770
National Bancorp of Alaska Inc 1,000 26,500
National City Bancshares 900 28,744
National Golf Properties Inc 1,300 31,606
National Health Investors Inc 2,100 47,906
National Penn Bancshares Inc 1,700 40,003
National Processing Inc * 400 4,050
National Western Life Ins `A' * 200 19,250
Nationwide Health Properties Inc 2,700 51,469
NBT Bancorp Inc 700 14,350
Net.bank Inc * 1,400 53,200
New Century Financial Corp 1,000 18,029
NextCard Inc 500 16,969
Northwest Bancorp Inc 1,800 18,000
Ocean Financial Corp 700 12,688
Ohio Casualty 2,200 79,476
Old National Bancorp 7 210
Omega Financial Corp 500 17,375
Omega Healthcare Investors 1,800 46,463
One Valley Bancorp 1,900 71,250
Oriental Financial Group 700 16,888
Orion Capital 1,100 39,463
Pacific Capital Bancorp 1,400 44,100
Pacific Gulf Properties Inc 800 18,100
Pan Pacific Retail Properties 500 9,688
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Park National Corp 600 $60,000
Parkway Properties 600 19,875
Paymentech Inc * 900 22,838
Pegasystems Inc * 2,300 23,575
Penn Real Estate Investments 600 12,563
Penn Treaty American Corp * 400 9,625
Peoples Bancorp Inc 2,700 26,916
Peoples Holding Co 400 13,000
PFF Bancorp Inc * 1,900 35,625
Philadelphia Cons Holdings * 400 9,800
Phoenix Investment Partners 2,400 20,700
PICO Holdings Inc 1,000 25,313
Pinnacle Banc Group Inc 500 15,906
Pinnacle Holdings Inc 500 12,250
Pioneer Group Inc 1,500 25,875
PMA Capital Corp `A' 1,100 22,619
Policy Management Systems * 1,700 51,000
Premier Bancshares Inc 1,600 29,300
Prentiss Properties Trust 2,200 51,700
Presidential Life Corp 1,300 25,513
Prime Group Realty Trust 600 10,313
Prime Retail Inc 2,000 17,375
Prism Financial Corp 700 14,306
Private Business Inc 1,200 12,150
Professionals Group Inc 900 30,375
Profit Recovery Group * 1,000 47,313
Provident American Corp 700 19,513
Provident Bankshares Corp * 2,235 51,964
PS Business Parks Inc 1,400 34,125
PXRE Corp 600 10,875
Queens County Bankcorp Inc 1,400 45,325
Radian Group Inc 1,693 82,640
Raymond James Financial Inc 1,900 45,481
Realty Income Corp 1,500 35,625
Reckson Associates Realty Corp 2,300 54,050
Reckson Associates Realty Corp `B' * 112 2,674
Redwood Trust Inc 700 11,594
Regency Realty Corp 2,800 61,425
Reinsurance Group Of America 50 1,763
Reliance Bancorp Inc 400 11,050
Reliance Group Holdings 5,400 40,163
Rental Service Corp * 1,300 37,209
Republic Bancorp Inc 2,310 35,083
Republic Bancshares Inc * 300 6,150
Republic Banking Corp of Florida 1,100 21,175
Republic Security Financial 1,600 13,400
Resource America Inc `A' 1,500 21,750
Resources Bancshares Mortgage Group 1,300 13,325
RFS Hotel Investors Inc 1,900 23,869
Richmond County Financial Corp 1,300 25,025
Riggs National Corp W 1,100 22,619
Risk Capital Holdings Inc * 800 10,800
RLI Corp 500 19,375
Rollins Truck Leasing Corp 4,000 44,500
Roslyn Bancorp Inc 10 172
S&T Bancorp Inc 1,500 37,875
Sandy Spring Bancorp Inc 600 16,650
SCPIE Holdings Inc 700 22,838
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-63
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Seacoast Financial Services Corp 3,200 $36,400
Security Capital Group Inc `B' * 2,900 42,231
Security First Technologies 1,300 58,663
Selective Insurance Group 2,400 45,750
Shurgard Storage Centers `A' 1,600 43,400
Silicon Valley Bancshares Delaware * 1,000 24,750
Simmions First National Corp `A' 400 12,850
Sky Financial Group Inc 2,400 65,400
SL Green Realty Corp 1,300 26,569
Smith Charels E Residential Realty 1,000 33,938
Southwest Bancorp of Texas * 1,500 27,000
Southwest Securities Group Inc * 700 50,225
Sovran Self Storage Inc 1,400 37,713
St. Paul Bancorp Inc 2,200 56,100
Stancorp Financial Group 1,300 39,000
State Auto Financial Corp 900 12,150
Staten Island Bancorp Inc 2,400 43,200
Sterling Bancshares Inc 1,300 17,388
Sterling Financial Corp 400 13,700
Stewart Info Services 1,000 21,125
Storage USA Inc 1,700 54,188
Student Loan Corp 600 26,700
Summit Properties Inc 1,400 27,650
Sun Communities Inc 1,300 46,150
Sunstone Hotel Investors Inc 1,400 11,900
Surperior National Insurance 600 16,350
Susquehanna Bancshares Inc 2,500 44,219
Tanger Factory Outlet Center 200 5,200
Taubman Centers Inc 2,600 34,288
TeleBank Financial * 1,600 62,000
Texas Regional Bancshares 800 21,750
The Street.Com 700 25,200
Thornburg Mortgage Asset Corp 1,300 13,000
Town & Country Trust 1,300 23,238
Track Data Corp 600 8,475
Transaction Network Services * 500 14,625
Trenwick Group Inc 600 14,794
Triangle Bancorp Inc 2,300 38,956
Trinet Corp Realty 1,400 38,763
Trust Co of NJ 1,700 39,950
TrustCo Bank Corp NY 2,200 59,125
UICI * 2,200 60,776
UMB Financial Corp 1,000 42,875
UniCapital Corp * 4,100 25,881
United Asset Management Corp 2,400 54,600
United Bankshares Inc 2,700 71,550
United Community Financial 1,200 17,625
United Dominion Realty Trust 7,600 89,300
United Fire & Casualty Co 400 10,400
United National Bancorp NJ 700 16,625
Urban Shopping Centers Inc 500 15,750
US Restaurants Properties 700 14,875
USB Holding Co Inc 500 7,656
USBANCORP Inc 800 12,600
UST Corp 3,000 90,750
Value Line Inc 200 7,800
Ventas Inc 3,000 16,125
Walden Residential Properties 1,300 27,950
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Washington Federal Inc 2,400 $53,850
Washington REIT 1,800 30,488
Washington Trust Bancorp 300 5,400
Webster Financial Corp 2,300 62,388
Weeks Corp 1,600 48,800
Weingarten Realty Investments 1,500 62,625
Wellsford Real Properties * 1,200 12,900
WesBanco Inc 1,500 45,000
West Coast Bancorp Oregon 1,600 28,000
WestAmerica Bancorp 2,200 80,300
Western Bancorp 1,100 47,850
Western Spirit Invst Real Estate Trust 900 10,463
WesternBank Puerto Rica 2,300 30,044
Westfield America Inc 700 10,544
White Mountains Insurance Group 300 42,300
Whitney Holding 1,400 55,650
Xl Capital Ltd `A' 915 51,698
XTRA Corp 700 32,156
Zenith National Insurance Corp 600 14,775
----------
11,891,548
----------
Health Care - 7.60%
Acuson Corp * 1,400 24,063
Advance Paradigm Inc * 500 30,500
Affymetrix Inc * 1,100 54,313
Alairs Medical Inc * 900 3,038
Albany Molecular Research Inc 700 20,825
Algos Pharmaceuticals Corp * 700 15,444
Alkermes Inc * 1,200 27,750
Alpharma 1,400 49,787
Alterra Healthcare Corp * 1,300 17,876
American Retirement Corp * 300 3,750
AmeriPath Inc * 700 6,038
AmeriSource Health Corp `A' * 700 17,850
Apria Healthcare Group * 2,900 49,300
Arrow International Inc 600 15,525
Assisted Living Concepts Inc * 200 575
Aviron * 700 20,125
Ballard Medical Products * 2,300 53,619
Barr Laboratories Inc * 1,000 39,875
Beverly Enterprises Inc * 4,300 34,669
Bindley Western Industries 1,967 45,356
Biomatrix Inc * 900 19,462
Bio-Rad Labs `A' * 400 10,450
Bio-Technology General Corp * 2,900 18,850
Capital Senior Living Corp * 600 6,000
CareMatrix Corp * 500 6,219
Cephalon Inc * 1,700 29,538
Cerner Corp * 2,000 41,938
Chattem Inc * 500 15,906
ChiRex Inc * 1,000 32,125
Closure Medical Corp * 500 15,000
Columbia Laboratories Inc * 1,600 13,700
CONMED Corp * 800 24,500
Cooper Companies Inc 1,200 29,925
COR Therapeutics * 1,400 20,650
Coulter Pharmaceutical Inc * 1,300 29,331
Covance Inc * 3,300 78,994
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-64
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Coventry Health Care Inc * 3,900 $42,656
Cyberonics 1,500 18,750
Cytyc Corp * 1,300 25,350
Datascope Corp * 1,100 35,338
Diagnostic Products Corp 600 16,575
Dura Pharmaceuticals Inc * 2,500 29,844
DVI Inc * 400 6,850
Eclipse Surgical Tech Inc 1,600 17,300
Eclipsys Corp * 2,200 52,663
EntreMed Inc * 1,000 22,500
Enzo Biochem * 1,200 11,850
Enzon Inc * 1,700 35,169
First Health Group Corp * 2,400 51,750
Geltex Pharmaceuticals Inc * 1,100 19,800
Gilead Sciences Inc * 1,700 88,825
Guilford Pharmaceuticals Inc * 1,200 15,300
Haemonetics * 1,500 30,094
Hanger Orthopedic Group Inc * 300 4,256
Henry Schein Inc * 1,400 44,364
Hooper Holmes Inc 2,200 44,825
Human Genome Sciences Inc * 1,300 51,350
IDEC Pharmaceuticals Corp * 1,100 84,769
IDEXX Laboratories Inc * 2,200 51,287
IDX Systems * 1,100 24,819
IGEN International Inc * 500 14,563
ImClone Systems Inc * 1,400 35,525
IMPATH Inc * 500 13,500
Incyte Pharmaceuticals * 1,500 39,656
InfoCure Corp 600 31,763
Inhale Therapeutic Systems Inc * 900 21,431
Integrated Health Services 3,900 31,200
Invacare Corp 1,800 48,150
Invitrogen Corp 800 19,750
Isis Pharmaceuticals Inc * 1,500 15,281
Jones Pharma Inc 1,700 66,938
King Pharmaceuticals Inc 1,200 31,050
KV Pharmaceutical Co `B' * 600 9,525
Landauer Inc 700 20,650
Laser Vision Centers Inc * 500 31,500
LaserSight Inc 1,300 21,125
Ligand Pharmaceutical `B' * 2,500 27,813
Liposome Inc * 2,100 40,164
MacroChem Corp * 1,300 7,719
Magellan Health Services Inc * 2,300 23,000
Maxxim Medical * 800 18,650
Medaphis Corp * 5,700 32,775
MEDE America Corp 500 18,875
Medical Manager Corp * 700 30,975
Medicis Pharmaceutical `A' * 1,650 41,869
MedPartners Inc * 10,200 77,138
MedQuist Inc * 2,200 96,250
Mentor Corp Minn 1,400 26,075
Mid Atlantic Medical Services * 3,600 35,550
Millennium Pharmaceuticals * 1,900 68,400
NCS Healthcare Inc `A' * 800 4,350
Neurogen Corp * 700 10,238
NeXstar Pharmaceuticals * 1,600 31,900
Novoste Corp * 800 16,800
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Ocular Science Inc * 1,500 $26,063
OEC Medical Systems * 800 19,600
Organogensis Inc * 2,500 23,438
Orthodontic Centers of America * 2,200 31,075
OsteoTech Inc 600 17,250
Owens & Minor Inc/Holdings Co 2,800 30,800
Parexel International Corp * 1,500 19,969
Pathogenesis Corp * 1,300 18,444
Patterson Dental * 1,700 59,075
PE Corp-Celera Genomics Group * 800 12,950
Pediatrix Medical Group * 1,100 23,375
Perclose Inc * 500 24,031
Perrigo Co * 3,700 28,213
Pharmaceutical Product Development * 1,000 27,375
Pharmacyclics * 700 19,600
Phycor Inc * 3,100 22,959
Priority Healthcare Corp `B' * 500 17,250
Protein Design Labs Inc * 1,000 22,188
Province Healthcare Co * 600 11,700
ProxyMed Inc * 1,600 25,500
PSS World Medical Inc * 4,800 53,700
QuadraMed Corp * 1,600 13,000
Quest Diagnostic Inc * 2,100 57,488
Quorum Health Group Inc * 4,900 61,557
Regeneron Pharmaceutical Inc * 1,700 13,281
Renal Care Group Inc * 2,500 64,688
Res-Care Inc * 600 13,650
ResMed Inc 800 26,550
Respironics Inc * 1,800 27,225
Roberts Pharmaceutical * 1,800 43,650
Sabratek Corp * 800 17,500
Safeskin Corp * 2,200 26,400
SangStat Medical Corp * 1,300 22,425
Schein Pharmaceutical Inc * 600 7,238
Serologials Corp * 1,900 15,438
SICOR Inc * 6,100 25,925
Sierra Health Services * 2,300 33,206
Sola International Inc * 1,800 34,988
STERIS Corp * 3,500 67,813
Sugen Inc * 900 26,550
Summit Technology Inc * 2,900 63,801
Sun Healthcare Group Inc * 200 75
Sunrise Assisted Living Inc * 900 31,388
Sunrise Medical Inc 1,900 13,538
Sunrise Technologies International 3,000 36,750
SuperGen Inc * 800 12,250
Superior Consultant Holdings * 600 14,813
TechNet Corp * 1,100 27,913
Theragenics Corp * 2,400 16,650
Thermo Bioanalysis Corp * 700 12,163
Thermo Cardiosystems Inc * 1,000 10,875
Total Renal Care Holdings * 3,900 60,694
Transkaryotic Therapies Inc * 900 29,700
Trex Medical Corp * 500 3,000
Triangle Pharmaceutical Inc * 1,900 34,200
United Payors & United Providers * 1,300 30,143
US Bioscience Inc * 2,300 22,425
Varian Inc * 1,000 13,500
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-65
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Varian Medical Systems Inc 1,300 $32,825
Ventana Medical Systems * 900 17,213
Vertex Pharmaceuticals Inc * 1,400 33,775
Vical Inc * 1,500 18,188
Vital Signs Inc 400 7,975
Wesley Jessen Visioncare * 900 29,138
West Pharmaceutical Services 1,100 43,175
Xomed Surgical Products Inc * 900 43,819
---------
4,602,411
---------
Integrated Oils - 0.13%
PennzEnergy Co 2,100 35,044
Tesoro Petroleum * 2,600 41,438
---------
76,482
---------
Materials & Processing - 9.75%
ACX Technologies Inc * 1,200 19,500
A.M. Castle & Co 700 11,900
AgriBiotech Inc * 2,200 13,338
AgriBrands International Inc * 900 35,607
Airgas Inc * 4,500 55,125
Albany International Corp `A' 1,600 33,200
Albemarle Corp 1,300 30,063
AMCOL International Corp 1,300 18,688
American Business Products 900 13,725
Ameron International Corp 300 13,238
Apogee Enterprises Inc 1,600 21,500
AptarGroup Inc 1,800 54,000
Arch Chemicals Inc 700 17,019
Armco Inc 5,800 38,425
ASARCO Inc 1,800 33,863
Barnes Group Inc 600 13,050
Battle Mountain Gold Co `A' 7,100 17,306
Bethlehem Steel Corp 7,500 57,657
BMC Industries Inc 2,200 22,688
Brady Corp `A' 1,700 55,250
Brush Wellman 900 16,313
Buckeye Technologies Inc * 800 12,150
Burlington Industries Inc * 4,400 39,875
Butler Manufacturing Co 400 11,175
Cadiz Inc * 2,000 18,875
Calgon Carbon Corp 2,000 11,875
Cambrex 1,900 49,875
Caraustar Industries Inc 1,400 34,563
Carpenter Technology 1,100 31,419
Castle & Cooke Inc * 800 14,100
CB Richard Ellis Services * 1,200 29,850
Centex Construction Products 400 13,650
ChemFirst Inc 1,600 38,900
Chesapeake Corp 1,200 44,925
Citation Corp * 800 12,850
Clarcor Inc 1,300 24,944
Cleveland-Cliffs Inc 900 29,138
Collins & Aikman Corp 3,400 25,925
Comfort Systems USA Inc * 2,200 39,600
Commercial Intertech Corp 700 11,156
Commercial Metals Co 700 19,950
Corn Products International Inc 2,200 66,963
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Crompton & Knowles Co 4,400 $86,900
Cyprus Amax Minerals Co 5,700 86,569
Cytec Industries Inc * 2,800 88,200
Dal-Tile International Inc * 3,800 43,225
Dan River Inc `A' * 1,100 8,113
Del Webb Corp 800 19,100
Delta & Pine Land Co 1,900 59,850
Deltic Timber Corp 1,200 32,325
Dexter Corp 1,300 53,056
Dycom * 1,150 64,400
Earthshell Corp * 1,600 11,200
Elcor Corp 900 39,319
EMCORE Corp 700 14,088
Ethyl Corp 6,000 36,000
Fairchild Corp `A' * 700 8,925
Fairfield Communities Inc * 3,100 49,988
Ferro Corp 2,200 60,500
Florida Rock Industries 1,000 45,500
Forest City Enterprises `A' 800 22,400
Furon Co 1,000 19,000
Gaylord Container Corp `A' * 3,000 23,813
General Cable Corp 2,400 38,400
GenTek Inc * 300 4,163
Geon Co 1,300 41,925
Georgia Gulf Corp 1,700 28,688
Getty Realty Corp 1,200 17,250
Giant Cement Holding Inc * 400 9,150
Gibraltar Steel Corp * 400 9,900
Global Industrial Tech Inc * 200 2,413
Granite Construction 1,500 43,969
Greif Brothers Corp `A' 900 22,950
Guilford Mills Inc 900 9,338
Harsco Corp 2,800 89,600
H.B. Fuller Co 900 61,538
Hexcel Corp 1,300 13,163
Hughes Supply Inc 1,300 38,594
IMCO Recycling Inc 800 13,700
Insignia Financial Group Inc * 1,200 12,600
Insituform Tech `A' * 1,800 38,925
Integrated Electrical Services * 1,400 22,575
Interface Inc `A' 2,500 21,563
InterMet Corp 2,100 31,763
Ionics Inc * 1,100 40,150
Ivex Packaging Corp * 1,300 28,600
Jacobs Engineering Group * 1,300 49,400
Jones Lang LaSalle Inc * 1,400 41,738
Juno Lighting Inc 1,100 27,500
Justin Industries 900 12,544
Kaiser Aluminum Corp * 1,700 15,088
Kaydon Corp 1,800 60,526
Lilly Industrial Coatings `A' 2,000 37,125
LNR Corp 1,600 34,200
Lone Star Industries Inc 1,000 37,563
Lone Star Technologies Inc * 1,300 23,075
Longview Fibre Co 3,600 56,250
LTV Corp 7,500 50,156
Lydall Inc Del * 900 10,350
MacDermid Inc 900 41,850
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-66
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
M.A. Hanna Co 2,700 $44,381
Maverick Tube Corp * 1,500 20,906
Maxxam Inc * 300 19,350
Metals USA Inc * 2,500 31,875
Minerals Technologies 1,000 55,813
Mississippi Chemical 1,500 14,719
Morrison Knudsen Corp * 2,900 29,906
Mueller Industries Inc * 2,400 81,450
Myers Industries Inc 1,300 26,000
National Steel Corp `B' 1,100 9,213
NCI Building Systems Inc * 1,600 34,200
New England Business Service 1,200 37,050
NL Industries Inc 1,200 13,350
Nortek Inc 600 18,788
Octel Corp * 800 10,000
Olin Corp 3,300 43,519
OM Group Inc 1,400 48,300
Optical Coating Laboratory 700 58,538
Oregon Steel Mills Inc 1,400 18,638
P.H. Glatfelter Co 1,500 21,938
Paxar Corp * 2,300 20,700
Polymer Group * 1,900 22,325
Potlatch Corp 1,600 70,300
Precision Castparts Corp 1,400 59,500
Quanex Corp 900 25,650
Rayonier Inc 1,900 94,644
Reliance Steel & Aluminum 700 27,300
Republic Group Inc 500 9,000
Rock-Tenn Company `A' 700 11,681
Rogers Corp * 400 11,800
Rouge Industries Inc `A' 500 4,875
RTI International Metals Inc * 700 10,281
Ryerson Tull Inc 1,922 43,365
Schawk Inc 300 2,681
Schulman Inc 1,800 30,938
Scotts Company `A' * 1,000 47,625
Services Experts Inc * 1,300 28,519
Shorewood Packaging Corp * 1,900 35,031
Silgan Holdings Inc * 800 15,900
Simpson Manufacturing Co Inc * 300 14,250
SLI Inc * 600 16,200
Southern Peru Copper 1,400 20,213
Spartech Corp 1,300 41,113
SPS Technologies Inc * 700 26,250
Standard Register 1,300 39,975
Steel Dynamics Inc * 3,100 47,953
Stepan Co 700 17,763
Stillwater Mining Co * 1,900 62,106
Stone & Webster Inc 500 13,313
Sunterra Corp * 2,700 37,631
Tejon Ranch Co 300 7,575
Terra Industries Inc 1,800 7,200
Texas Industries Inc 1,500 58,125
Thomas Industries Inc 900 18,450
Timken Co 3,500 68,250
Titanium Metals Corp 1,000 11,125
TJ International Inc 1,300 40,300
Trammell Crow Co * 1,900 31,231
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Tredegar Industries Corp 1,100 $23,925
Trinity Industries Inc 2,900 97,150
UCAR International Inc * 3,000 75,750
Unifi Inc 2,900 61,625
Universal Forest Products 1,600 34,400
URS Corp * 1,100 32,244
USEC Inc 4,900 72,888
Valence Technology Inc 2,200 16,225
Valhi Inc 400 4,450
Valmont Industries 1,300 22,141
W.R. Grace & Co * 3,300 60,638
Walter Industries Inc * 3,000 38,813
Watsco Inc 1,500 24,563
Wausau-Mosinee Paper Corp 3,400 61,200
WD-40 Co 1,100 27,500
Wellman Inc 2,500 39,844
Witco Corp 3,700 74,000
Wolverine Tube Inc * 1,100 27,638
Worthington Industries Inc 3,200 52,600
Wyman Gordon * 1,800 34,763
Zapata Corp * 1,200 10,200
---------
5,865,595
---------
Other Energy - 2.54%
Arch Coal Inc 1,000 13,875
Atwood Oceanics Inc * 600 18,750
Barrett Resources Corp * 1,900 72,913
Belco Oil & Gas Corp * 1,000 6,938
Berry Petroleum `A' 1,100 15,331
Brown (Tom) Inc * 1,500 23,344
Cabot Oil & Gas Corp 1,300 24,213
Cal Dive International Inc * 400 11,950
Carbo Ceramics 400 12,175
Chesapeake Energy * 4,800 14,100
Cross Timbers Oil Co 3,300 49,088
Dril-Quip Inc * 300 6,881
Eastern Enterprises 1,800 71,550
EEX Corp * 3,500 24,281
Equitable Resources 2,400 90,600
Forest Oil Corp * 2,300 28,894
Friede Goldman International * 1,100 15,263
Global Industries Ltd * 2,900 37,156
Grey Wolf Inc * 12,100 30,250
Hanover Compressor Inc 1,700 54,613
Harken Energy Corp * 7,600 12,350
Helmerich & Payne Inc 2,900 69,056
Houston Exploration * 400 7,575
HS Resources * 1,200 17,700
Input/Output Inc * 2,500 18,906
IRI International Corp * 2,000 9,250
Key Energy Services Inc * 4,100 14,606
Louis Dreyfus Natural Gas * 1,100 23,719
Marine Drilling Co Inc * 3,300 45,169
Meridian Resource Corp * 1,800 6,975
Mitchell Energy & Development `A' 1,100 21,244
National Oilwell Inc * 2,100 29,400
Newfield Exploration Co * 2,000 56,875
Newpark Resources Inc * 3,800 33,725
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-67
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
North Carolina Natural Gas 500 $17,031
Nuevo Energy Co * 1,100 14,575
Oceaneering International Inc * 1,200 19,350
Parker Drilling 3,800 12,588
Patterson Energy Inc * 2,400 23,700
Pioneer Natural Resources Co 5,200 57,200
Plains Resources Inc * 1,400 26,600
Pogo Producing Co 2,800 52,150
Pool Energy Services Co * 1,100 22,344
Pride International * 3,600 38,025
RPC Inc 700 6,125
Santa Fe Snyder Corp * 50 381
Seacor SMIT Inc * 600 32,100
Seitel Inc 1,300 21,044
St. Mary Land & Exploration 900 18,506
Stone Energy Corp * 1,000 42,375
Swift Energy Co * 800 8,550
Syntroleum Corp * 700 6,256
Thermo Ecotek Corp * 1,400 11,200
TransMontaigne Oil Co * 2,000 25,125
Tuboscope Inc * 2,300 31,481
UTI Energy * 300 4,969
Valero Energy Corp 2,400 51,450
Varco International Inc 2,800 30,625
Veritas DGC Inc * 1,300 23,806
Vintage Petroleum Inc 2,100 22,575
---------
1,608,846
---------
Producer Durables - 7.21%
Aavid Thermal Technologies * 600 13,575
Adaptive Broadband Corp * 1,300 28,438
Advanced Energy Industries * 600 24,338
AFC Cable Systems Inc * 500 17,656
AGCO Corp 2,800 31,675
Allen Telecom Inc * 2,400 25,800
Alpine Group Inc * 900 14,456
AMETEK Inc `W' 1,800 41,400
Anacomp Inc * 1,200 20,400
Andrew Corp * 5,400 102,264
ANTEC Corp * 1,300 41,681
Applied Industrial 1,200 22,800
Applied Power 2,200 60,088
Artesyn Technologies Inc * 2,400 53,250
Aspect Telecommunications * 3,600 35,100
Astec Industries Inc * 1,100 44,825
ATMI Inc * 1,000 29,750
Baldor Electric Co 1,900 37,763
Be Aerospace Inc * 1,800 33,638
Belden Inc 1,300 31,119
Blount International Inc 2,000 54,375
C&D Technologies Inc 600 18,375
Cable Design Technologies * 2,300 35,506
Carter-Wallace 1,200 21,825
Champion Enterprises Inc 2,300 42,838
Chart Industries 400 3,150
CMI Corp `A' 2,000 18,250
Cognex Corp * 1,900 59,969
Cohu Inc 900 31,838
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Columbus McKinnon Corp 500 $12,000
Com21 Inc * 700 11,944
Credence Systems Corp * 1,400 51,975
Cuno Inc * 1,400 26,775
Curtiss-Wright 400 15,550
Cymer Inc * 1,900 47,500
D.R. Horton Inc 2,800 46,550
Detroit Diesel Corp 500 12,313
Dionex Corp * 1,200 48,601
Donaldson Co Inc 2,200 53,900
DuPont Photomasks Inc * 200 9,575
Electro Scientific Industries Inc * 900 37,603
Electroglas Inc * 1,300 26,000
Esterline 1,500 21,563
Etec Systems Inc * 1,500 49,875
Excel Switching Corp * 300 8,981
Flowserve Corp 2,500 47,344
Foster Wheeler Corp 3,100 43,788
Franklin Electric Co Inc 200 13,000
FSI International Inc * 2,100 17,456
Gardner Denver Inc * 700 11,288
Gen Rad Inc 1,900 39,544
General Binding Corp 400 9,400
Genlyte Group Corp * 700 15,706
Graco Inc 800 23,500
Hardinge Inc 1,000 17,563
Heico Corp 200 4,975
Helix Technology Corp 1,100 26,331
Holophane Corp * 500 19,063
Hussmann International Inc 3,200 53,000
Idex Corp 1,700 55,888
Inter-Tel Inc 1,300 23,725
JLG Industries Inc 2,400 48,900
JLK Direct Distribution Inc `A' * 900 8,381
Kaufman & Broad Home Corp 2,700 67,163
Kellstrom Industries Inc * 1,000 18,250
Kennametal Inc 1,200 37,200
Kent Electronics Corp * 2,200 43,588
Kimball International `B' 2,200 37,125
Knoll Inc * 800 21,300
Kulicke & Soffa Industries * 1,700 45,581
Lam Research Corp * 2,300 107,382
Lennar Corp 3,200 76,800
Lincoln Electric Holdings Co 2,700 55,350
LTX Corp 1,400 18,638
Magnatek Inc * 1,800 19,013
Manitowoc Co Inc 1,450 60,356
Mark IV Industries Inc 2,700 57,038
MasTec Inc * 800 22,600
MDC Holdings Inc 1,200 25,800
Mettler-Toledo International * 2,500 62,031
Micros Systems Inc * 900 30,600
Milacron 2,200 40,700
Mine Safety Appliances Co 200 12,800
Moog Inc `A' 500 17,188
MTS Systems Corp 1,300 15,844
NACCO Industries Inc 300 22,050
Nordson Corp 900 55,125
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-68
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
NVR Inc * 900 $46,969
Oak Industries Inc * 900 39,319
Oakwood Homes 3,600 47,250
Orbital Sciences Corp * 1,800 42,525
Palm Harbor Homes Inc * 1,100 27,569
Photronics Inc * 1,600 39,200
Pittway Corp `A' 1,300 44,444
Plantronics Inc * 1,000 65,125
Polycom Inc * 1,400 54,600
Power-One Inc * 1,000 24,625
Presstek Inc * 1,600 11,550
PRI Automation Inc * 1,100 39,875
Pulte Corp 1,500 34,594
Rayovac Corp * 2,000 45,375
Regal Beloit Corp 1,100 25,988
Robbins & Myers Inc 500 11,156
Roper Industries Inc 1,700 54,400
Ryland Group 800 23,750
Scotsman Industries Inc 1,100 23,719
Scott Technologies Inc * 800 15,400
Silicon Valley Group Inc * 2,400 40,350
Skyline Corp 500 14,656
Specialty Equipment * 600 17,663
SpeedFam-IPEC Inc * 1,400 22,488
Standard Pacific Corp 1,400 18,113
Standex International Corp 1,200 32,850
Stewart & Stevenson Services 2,300 35,075
Superior Telecom Inc 525 13,125
Technitrol Inc 600 19,350
Tecumseh Products Co `A' 1,000 60,563
Tektronix Inc 2,900 87,544
Tennant Co 700 22,400
Terayon Communication Systems * 1,000 55,875
Terex Corp * 1,000 30,438
Thermo Fibertek Inc * 600 4,275
Toll Brothers Incrk Services * 1,700 36,444
Triumph Group * 1,100 28,050
Tut Systems Inc * 900 44,044
Ultratech Stepper * 1,800 27,113
Varian Semiconductor Equip Associates * 1,100 18,700
Veeco Instruments Inc * 500 17,000
Vicor Corp * 1,200 25,425
Virco Manufacturing Corp 700 11,288
Watts Industries Inc `A' 900 17,269
Whittaker Corp 900 25,200
---------
4,367,952
---------
Technology - 12.86%
3Dfx Interactive Inc * 700 10,938
Actel Corp * 1,200 17,700
ADTRAN Inc * 1,100 40,013
ADV Fiber Comm Inc * 4,600 71,876
Advanced Digital Information Corp * 800 32,400
Allaire Corp 500 34,125
Alliance Semiconductor Corp 2,100 20,869
Alliant Techsystems Inc * 900 77,850
Alpha Industry 600 28,575
American Management Systems * 2,900 92,981
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Amkor Technologies * 4,000 $41,000
Ampex Corp `A' 3,700 19,194
Amphenol Corp * 1,000 39,750
ANADIGICS Inc * 1,100 40,700
Analogic Corp 300 9,328
Analysis International Corp 1,900 27,313
Ancor Communications Inc 1,600 51,800
Anicom Inc * 1,400 14,700
Anixter International Inc * 2,000 36,500
AnswerThink Consulting Group * 1,200 30,300
Apex PC Solutions Inc * 1,400 28,700
Ardent Software Inc 1,200 25,500
Aspect Development * 1,200 22,200
Aspen Technology Inc * 1,400 16,450
Avant Corp 1,800 22,725
Avid Technology Inc * 1,200 19,350
AVT Corp * 1,000 37,875
Aware Inc/Mass * 800 36,900
AXENT Technologies Inc * 2,000 22,250
Banyan Systems Inc 1,700 18,594
Benchmark Electronics * 700 25,156
BindView Development Corp * 1,500 35,625
Black Box Corp * 1,200 60,150
Bottomline Technologies Inc 600 31,800
Brio Technology Inc * 900 18,000
BroadVision Inc * 1,100 81,125
Burr-Brown Corp * 1,700 62,263
CACI International Inc `A' 400 9,000
CAIS Internet Inc 1,000 18,375
Cambridge Technology Partners Inc * 2,400 42,150
C-Cube Microsystems Inc * 2,500 79,219
CellNet Data Systems Inc * 1,900 17,100
Checkpoint Systems Inc 2,100 18,769
CHS Electronics Inc * 4,000 17,500
CIBER Inc * 3,000 57,375
Cirrus Logic Inc * 3,800 33,725
Cisco Systems Inc * 1 88
Clarify Inc * 1,400 57,750
Coherent Inc * 1,400 26,075
Coltec Industries * 3,600 78,075
CommScope Inc * 2,700 83,025
Complete Business Solutions * 900 16,144
CompuCom Systems * 2,300 9,488
Computer Horizons * 2,300 31,769
Computer Network Technology Corp 1,600 34,600
Computer Task Group Inc 900 15,300
Concentric Network Corp * 2,600 103,350
Concord Communications Inc * 800 36,000
Concurrent Computer Corp 3,600 22,725
Cotelligent Inc * 1,900 14,844
Cree Research Inc 600 46,163
CTS Corp 1,000 70,000
Cubic Corp 300 7,388
CustomTracks Corp 1,000 55,938
Cypress Semiconductor 4,800 79,200
Dallas Semiconductor 1,700 85,850
Data General Corp * 2,700 39,319
Data Processing Resources Corp * 500 11,813
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-69
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Datastream Systems * 1,400 $22,401
DBT Online Inc * 500 16,375
Dialogic Corp 600 26,325
Digital Microwave * 3,500 44,625
DII Group Inc * 1,800 67,163
Documentum Inc * 1,300 16,981
DSP Communications Inc * 2,500 72,188
DSP Group Inc * 1,000 36,000
Edify Corp 1,500 20,063
EG&G Inc 2,100 74,813
Emulex Corp 400 44,475
Engineering Animation Inc * 1,000 21,188
Entrust Technologies Inc 500 16,625
Epicor Software Corp * 3,300 24,544
ESS Technology 2,100 28,219
Exar Corp 1,000 24,750
FileNet Corp * 2,500 28,594
Forrester Research Inc * 200 5,000
General Semiconductor Inc * 1,700 15,513
Genesys Telecomm Labs Inc * 600 15,000
Gerber Scientific 1,300 28,681
Glenayre Technologies * 3,500 12,578
Globix Corp 400 17,675
Go2Net Inc 1,000 91,875
Great Plains Software * 500 23,594
Hadco Corp * 700 27,825
Harbinger Corp * 2,900 36,250
Harmonic Inc * 800 45,951
HMT Technology Corp * 2,500 6,250
HNC Software Inc * 1,800 55,463
Hutchinson Tech * 1,300 36,075
Hyperion Solutions Corp * 1,700 30,281
Identix Inc 2,000 19,750
Imation Corp * 2,200 54,588
IMRglobal Corp * 800 15,400
InaCom Corp * 2,800 35,350
Information Resource Inc 2,600 22,750
Informix Corp * 10,400 88,725
Innovex Inc 1,400 19,600
Integrated Device Tech * 4,700 51,113
Integrated Systems Inc * 1,800 21,150
Intergraph Corp * 2,500 19,375
International Integration Inc * 700 15,750
International Network Services * 50 2,019
International Rectifier Corp * 3,700 49,256
InterVoice Inc * 1,100 15,881
InterVU Inc 500 19,156
Intraware Inc * 1,200 28,800
Iomega Corp * 17,500 86,406
IPC Communications Inc 500 34,030
ISS Group Inc * 1,600 60,400
iVillage Inc 500 25,125
JDA Software Group Inc * 1,700 15,831
Juno Online Services Inc 1,300 29,900
Kaman Corp 2,100 32,944
Kemet Corp * 2,100 48,169
Komag Inc * 2,900 9,606
Kopin Corp * 400 9,575
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Kroll-O'Gara Co * 500 $11,031
Kronos Inc * 950 43,225
Lattice Semiconductor Corp * 1,200 74,700
Littlefuse Inc * 1,100 21,175
Macrovision Corp * 300 22,463
Manhattan Associates Inc * 300 2,475
Manugistics Group * 1,600 23,200
Mapics Inc * 2,000 21,125
MapQuest.com Inc * 900 14,681
Marshall Industries * 900 32,344
MasTech Corp * 2,500 46,563
Maxwell Technologies Inc * 1,000 24,063
MEMC Electronic Materials * 1,100 13,406
Mentor Graphics 3,700 47,406
Mercury Interactive Corp * 2,100 74,288
Merisel Inc * 6,000 13,688
Methode Electronics 2,600 59,475
Metro Information Services Inc * 400 6,650
Micrel Inc * 900 66,600
Micromuse Inc * 500 24,938
Micron Electronics Inc * 2,900 29,181
MicroStrategy Inc * 1,800 68,175
MIPS Technologies Inc `A' 400 19,175
MMC Networks Inc * 1,700 76,075
Mpath Interactive Inc 1,000 22,000
MRV Communications Inc * 1,700 22,313
MTI Technology * 1,500 19,594
National Computer Systems 1,900 64,125
National Instruments Corp * 1,200 48,450
NeoMagic Corp * 1,200 10,088
Network Equipment Tech * 1,300 12,838
Newport News Shipbuilding Inc 2,100 61,950
Nichols Research Corp * 800 17,500
NVIDIA Corp 1,500 28,688
Open Market Inc * 1,200 17,025
PairGain Technologies Inc * 3,800 43,700
Park Electrocemical Corp 500 14,375
P-Com Inc * 2,700 14,133
Peregrine Systems Inc * 1,300 33,394
Phoenix Technology 2,300 41,113
PictureTel Corp * 2,300 18,400
Pinnacle Systems Inc * 1,000 33,625
Pioneer Standard Electronics 1,600 19,200
Plexus Corp * 900 27,113
PLX Technology 500 23,688
Power Integrations Inc 700 51,188
Powerwave Technologies Inc * 1,000 32,250
Premisys Communications Inc 2,000 14,625
Primex Technologies Inc 600 12,938
Progress Software * 1,300 36,725
Project Software & Development Inc * 500 15,625
Proxim Inc * 500 29,000
PubliCARD Inc 1,700 17,319
Radiant Systems Inc 1,100 15,675
Read-Rite Corp * 3,700 22,952
REMEC Inc * 1,200 19,350
Remedy Corp * 1,700 45,688
Renaissance Worldwide Inc * 1,000 7,969
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-70
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
RWD Technologies Inc * 200 $2,088
S3 Inc * 2,900 26,372
SAGA Systems * 2,300 29,325
Sanchez Computer Associates * 800 27,700
SanDisk Corp * 1,400 63,000
Sawtek Inc * 600 27,525
SCM Microsystems Inc * 700 32,463
Security Dynamics Technologies Inc * 2,600 55,250
Semtech Corp * 1,000 52,125
Sensormatic Electronics 3,900 54,356
Sequa Corp `A' * 500 35,000
Sequent Computer System * 2,600 46,150
Siliconix Inc * 300 10,275
Silknet Software 400 16,200
SIPEX Corp * 1,400 28,700
Smart Modular Technologies * 2,000 34,750
Spyglass Inc 1,200 24,150
SS&C Technologies Inc * 600 4,575
Structural Dynamics Research Corp * 2,500 46,406
Sybase Inc * 5,600 61,600
Sykes Enterprises Inc * 1,500 50,063
Syntel Inc * 200 1,800
Systems & Computer Technology * 2,100 30,581
Technology Solutions * 3,300 35,681
Tekelec * 2,200 26,813
Telescan Inc 900 21,881
Thermedics Inc * 1,000 9,313
Thermo Optek Corp * 1,300 13,488
ThermoQuest Corp * 600 7,988
Titan Corp 1,200 13,200
Transaction Systems Architecture `A' * 2,100 81,900
Transwitch Corp * 1,300 61,588
Trimble Navigation * 1,800 23,175
Triquint Semiconductor Inc 300 17,044
TSI International Software Ltd * 1,100 31,213
Tyler Technologies Inc * 900 6,188
Unitrode Corp * 1,800 51,638
UNOVA Inc * 2,400 38,100
USinternetworking Inc 800 33,600
Vantive Corp * 1,400 16,013
Verity Inc * 900 48,769
Visio Corp * 1,500 57,094
Visual Networks Inc * 1,200 38,400
Wave Systems Corp `A' * 1,800 34,200
Wavo Corp * 1,200 7,650
Westell Technologies Inc `A' * 900 6,272
Western Digital Corp * 4,000 26,000
Wind River Systems * 2,400 38,550
World Access Inc * 2,000 28,250
WorldGate Communication Inc * 400 20,500
Xircom * 1,500 45,094
Zebra Technologies Corp `A' * 1,300 49,969
---------
7,785,424
---------
Utilities - 5.37%
Advanced Communications 1,200 11,925
Aerial Communications Inc * 800 10,800
AGL Resources Inc 2,900 53,469
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
American Mobile Satellite Corp * 1,000 $16,375
Aquarion Co 600 20,850
Atmos Energy Corp 1,700 42,500
Avista Corp 2,200 35,750
Black Hills Corp 1,200 27,750
California Water Service Group 600 15,675
CapRock Communications Corp 1,900 76,950
Cellular Comm of Puerto Rico * 700 19,950
Central Hudson Gas & Electric 1,200 50,400
CFW Comm Co 800 19,400
CILCORP Inc 800 50,000
Cleco Corp 1,200 36,450
CMP Group Inc 1,800 47,138
CommNet Cellular * 1,800 47,250
Commonwealth Energy System 1,500 63,000
Commonwealth Telephone Enterprises * 900 36,394
Connecticut Energy Corp 700 26,994
CT Communications Inc 300 12,338
CTC Communications Corp 500 9,750
Destia Communications Inc 1,100 13,613
e.spire Communications Inc * 3,400 35,913
Eastern Utilities 1,400 40,775
El Paso Electric Co * 3,500 31,281
Electric Lightwave Inc `A' * 1,000 13,000
Empire District Electric Co 900 23,456
Energen Corp 1,600 29,800
E'town Corp 500 22,875
General Communication `A' * 2,700 18,352
Hawaiian Electric Industries 1,900 67,450
ICG Communications * 2,900 61,988
IDACORP Inc 2,100 66,150
IDT Corp * 1,400 31,150
Indiana Energy Inc 2,400 51,150
Intermedia Communications * 2,400 72,000
ITC Deltacom * 2,700 75,600
IXC Communications Inc * 1,600 62,900
Laclede Gas Co 900 20,925
Leap Wireless International Inc * 1,500 30,375
Madison Gas & Electric Co 1,000 20,500
MDU Resources Group 3,100 70,719
MGC Communications Inc * 700 18,200
Nevada Power 3,700 92,500
New Jersey Resources 1,200 44,925
North Pittsburgh Systems 900 15,300
Northwest Natural Gas 2,000 48,250
Northwestern Corp 2,000 48,375
Omnipoint Corp * 2,100 60,769
ONEOK Inc 1,800 57,150
Orange Rockland Utility 1,100 64,281
Otter Tail Power Inc 700 26,994
Pacific Gateway Exchange Inc * 600 17,475
PageMart Wireless Inc * 2,900 21,931
Pennsylvania Enterprises 900 27,619
Philadelphia Suburban Corp 2,000 46,125
Piedmont Natural Gas 1,800 56,025
Powertel Inc * 1,300 38,838
Premiere Technologies Inc 2,600 29,900
Price Communications Corp 900 13,500
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-71
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Primus Telecommunications * 1,200 $26,925
Public Service Co of North Carolina 1,200 35,100
Public Service New Mexico 2,700 53,663
Rochester Gas & Electric 2,100 55,781
SEMCO Energy Inc 300 4,631
Sierra Pacific Resources 1,700 61,838
SIGCORP Inc 1,400 39,638
SkyTel Communications Inc * 3,400 71,188
Southern Union Co * 1,000 21,750
Southwest Gas Corp 1,800 51,525
Southwestern Energy Co 1,500 15,844
STAR Telecommunications Inc * 1,400 10,938
TALK.com Inc * 2,800 31,500
TNP Enterprises 700 25,375
UGI Corp 1,900 38,356
UniSource Energy Corp * 1,800 21,488
United Illuminating Co 900 38,194
United Water Resources Inc 1,500 34,031
US LEC Corp `A' * 1,000 22,500
US Satellite Broadcasting Co * 1,900 34,200
Viatel Inc * 300 16,838
Washington Gas Light 2,700 70,200
Western Gas Resources Inc 1,300 20,800
WICOR Inc 2,200 61,463
WPS Resources 1,400 42,000
Yankee Energy System 700 27,781
----------
3,252,784
----------
Total Common Stocks
(Cost $50,611,877) 53,127,544
----------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENTS - 12.27%
U.S. TREASURY BILLS - 0.58%
4.250% due 08/19/99 ** $25,000 24,855
4.350% due 08/19/99 ** 95,000 94,438
4.450% due 08/19/99 ** 210,000 208,720
4.460% due 08/19/99 ** 25,000 24,848
----------
Total U.S. Treasury Bills 352,861
----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 11.69%
State Street Bank
3.500% due 07/01/99
(Dated 06/30/99, repurchase price
of $7,080,688; collateralized by U.S.
Treasury Notes--market value
$7,225,000 and due 06/30/00) $7,080,000 $7,080,000
-----------
Total Securities Held Under Repurchase
Agreement 7,080,000
-----------
Total Short-Term Investments
(Cost $7,432,861) 7,432,861
-----------
TOTAL SMALL-CAP INDEX PORTFOLIO
(COST $58,044,738) $60,560,405
-----------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $352,861 have been
segregated with the custodian to cover margin requirements for the following
open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Number of Unrealized
Type Contracts Appreciation
- ------------------------------------------------------------------------------
<S> <C> <C>
Russell 2000 (9/99) 6 $16,089
S&P 500 (9/99) 10 90,665
-----------
$106,754
-----------
(b) At June 30, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
</TABLE>
<TABLE>
<S> <C>
Tax cost basis $58,044,738
-----------
Aggregate gross unrealized appreciation for
all investments in which there was an
excess of value over tax cost $3,432,224
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value (916,557)
-----------
Net unrealized appreciation $2,515,667
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-72
<PAGE>
PACIFIC SELECT FUND
REIT PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 94.34%
Consumer Discretionary - 2.08%
Promus Hotel Corp * 17,000 $527,000
Wyndham International Inc `A' * 43,700 196,650
---------
723,650
---------
Financial Services - 91.56%
Acadia Realty Trust 1,700 9,137
AMLI Residential Properties 11,600 259,550
Apartment Investment & Mgmt Co `A' 11,600 495,900
Archstone Communities Trust 34,700 761,231
Arden Realty Inc 52,755 1,299,092
AvalonBay Apartment Communities Inc 55,000 2,035,000
Bedford Property Investors 8,100 144,788
Berkshire Realty Co Inc 42,200 487,937
Boston Properties Inc 17,700 634,987
Brandywine Realty Trust 14,600 289,263
Brookfield Properties Corp 122,900 1,597,700
Burnham Pacific Properties Inc 54,240 667,830
Carramerica Realty Corp 38,300 957,500
Chateau Communities Inc 40,100 1,200,494
Cornerstone Properties Inc 62,200 987,425
Cresent Real Estate Equity Co 19,100 453,625
Developers Diversified Realty 10,100 167,913
EastGroup Properties Inc 3,700 74,231
Equity Office Properties 60,600 1,552,875
Equity Residential Properties Trust 9,500 428,094
Essex Property Trust Inc 38,200 1,351,325
Federal Realty Investment Trust 38,200 876,213
Gables Residential Trust 23,700 571,763
Great Lakes REIT Inc 42,623 692,624
Highwoods Properties Inc 2,800 76,825
Host Marriott Corp 49,100 583,063
Interstate Hotels Corp * 1,360 5,610
Mack-Cali Realty Corp 11,100 343,406
Manufactured Home Communities Inc 23,500 611,000
Meditrust Corp 15,800 206,388
Pacific Gulf Properties Inc 15,423 348,945
Pan Pacific Retail Properties 16,200 313,875
Penn Real Estate Investments 3,000 62,813
Philips International Realty 100 1,688
Prentiss Properties Trust 22,500 528,750
Prime Group Realty Trust 8,986 154,447
Prologis Trust 59,080 1,196,370
PS Business Parks Inc 300 7,313
Public Storage Inc 26,524 742,672
Regency Realty Corp 55,500 1,217,531
Security Capital Group Inc `B' * 10,600 154,363
Shurgard Storage Centers `A' 22,300 604,887
Simon Property Group Inc 69,900 1,773,712
SL Green Realty Corp 1,600 32,700
Smith Charels E Residential Realty 13,000 441,187
Spieker Properties Inc 7,700 299,337
Starwood Hotels & Resorts Worldwide 40,200 1,228,613
Summit Properties Inc 6,200 122,450
Sun Communities Inc 100 3,550
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Sunstone Hotel Investors Inc 100 $850
Taubman Centers Inc 96,045 1,266,593
Trizec Hahan Corp 66,500 1,354,937
Urban Shopping Centers Inc 13,500 425,250
Vornado Realty Trust 8,100 286,031
-----------
32,391,653
-----------
Materials & Processing - 0.70%
Rouse Co 9,700 246,137
-----------
246,137
-----------
Total Common Stocks
(Cost $33,082,115) 33,361,440
-----------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 5.66%
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 5.66%
State Street Bank and Trust
3.500% due 07/01/99
(Dated 06/30/99, repurchase price of $2,001,195;
collateralized by U.S. Treasury Notes--market
value $2,045,836 and due 12/31/00) $2,001,000 2,001,000
-----------
Total Securities Held Under Repurchase Agreement 2,001,000
-----------
Total Short-Term Investment (Cost $2,001,000) 2,001,000
-----------
TOTAL REIT PORTFOLIO (COST $35,083,115) $35,362,440
-----------
</TABLE>
Notes to Schedule of Investments
(a) At June 30, 1999, 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 $35,083,115
-----------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $1,012,982
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (733,657)
-----------
Net unrealized appreciation $279,325
-----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-73
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
PREFERRED STOCKS - 1.21%
Germany - 1.21%
Fresenius AG 71,584 $12,539,835
Suedzucker AG 8,322 3,215,777
-----------
15,755,612
-----------
Total Preferred Stocks
(Cost $17,779,053) 15,755,612
-----------
COMMON STOCKS - 79.72%
Australia - 2.55%
Amp Ltd 88,600 966,886
Brambles Industries Ltd 54,000 1,420,084
Broken Hill Proprietary 219,150 2,534,059
Cable & Wireless Opt * 414,200 941,468
Colonial Ltd 250,750 886,404
Fosters Brewing Group 638,500 1,796,403
Lend Lease Corp Ltd 135,650 1,859,210
National Australian Bank Ltd 258,550 4,270,923
News Corporation Ltd 406,100 3,458,781
Normandy Mining 701,500 466,297
Oil Search Ltd 618,600 915,986
Qantas Airways Ltd 448,900 1,480,087
Rio Tinto Ltd Npv 195,800 3,204,874
Telstra Corp Ltd 760,500 4,350,146
Westpac Banking Corp 522,500 3,383,370
WMC Ltd 314,650 1,349,303
-----------
33,284,281
-----------
Belgium - 0.32%
Fortis `B' 64,650 2,028,536
Gib Holding Ltd 56,825 2,116,775
-----------
4,145,311
-----------
Denmark - 1.19%
Novo-Nordisk 89,450 9,630,407
Unidanmark AS 88,440 5,882,112
-----------
15,512,519
-----------
Finland - 1.71%
KCI Konecranes International 87,718 3,010,857
Kone Oy `B' 30,695 3,827,189
Merita Ltd `A' 1,510,100 8,574,015
Sampo Insurance Co `A' 239,360 6,930,823
-----------
22,342,884
-----------
France - 7.62%
Alcatel 41,510 5,838,647
Axa Uap 41,130 5,013,839
Banque Nationale De Paris 25,000 2,081,509
Cie De St Gobain 46,070 7,334,552
CNP Assurances 391,700 10,692,086
Elf Aquitaine 47,060 6,900,551
Group Danone 25,584 6,590,758
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Michelin (CGDE) B Ord Compagne 217,180 $8,877,874
Pernod-Ricard 142,253 9,527,999
Rhone-Poulenc `A' 191,040 8,722,741
Schneider SA 180,300 10,116,273
Suez Lyonnaise Des Eaux 20,520 3,698,231
Total Fina SA 110,770 14,279,283
----------
99,674,343
----------
Germany - 4.92%
Adidas AG 55,349 5,489,559
BASF AG 190,560 8,365,045
Bayer Hypo-Vereinsbank A 147,617 9,385,307
Berliner Kraft 186,795 2,887,244
Henkel Kgaa 93,550 6,535,825
Hoechst AG 182,968 8,239,171
Mannesmann AG 23,890 3,569,530
Plettac AG 6,186 313,618
Schering AG 77,100 8,230,781
Siemens AG 27,150 2,092,658
Volkswagen AG 142,920 9,214,804
----------
64,323,542
----------
Hong Kong - 2.49%
Cathay Pacific Airways 618,700 948,939
Cheung Kong Holdings 748,900 6,660,149
China Telecom * 1,119,300 3,108,886
Dao Heng Bank Group Ltd 213,000 955,366
Hong Kong Telecommunication 1,178,900 3,061,703
HSBC Holdings PLC 85,268 3,110,166
Hutchison Whampoa Ltd 559,400 5,065,004
Li & Fung Ltd 619,400 1,484,893
New World Development 246,000 737,172
Smartone Telecommunication 363,700 1,293,788
Sun Hung Kai Properties 430,800 3,928,377
Swire Pacific Ltd `A' 327,700 1,621,880
Television Broadcasts 135,000 633,354
----------
32,609,677
----------
Ireland - 0.98%
Bank of Ireland 552,782 9,289,183
Greencore Group PLC 1,141,100 3,527,539
----------
12,816,722
----------
Italy - 2.68%
Banca Popolare Di Bergamo 378,220 8,301,394
Marzotto (Gaetano) Spa 598,650 4,651,267
Mediaset Spa 954,300 8,476,550
Telecom Italia Spa 1,313,930 13,647,707
----------
35,076,918
----------
Japan - 21.13%
Aiwa Co Ltd 99,900 3,300,161
Amada Co 506,000 3,572,945
Autobacs Seven 27,000 1,311,145
Canon Inc 287,000 8,248,421
Casio Computer 388,000 2,948,012
Dai Nippon Printing 259,000 4,138,952
Daicel Chemical Industries 949,000 3,487,674
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-74
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Daifuku 493,000 $3,440,434
Daikin Industries 440,000 5,105,504
Family Mart 91,700 4,203,122
Fuji Machine Manufacturing Co 199,000 6,130,157
Fuji Photo Film 209,000 7,905,356
Fujitec Co Ltd 275,000 2,604,988
Fujitsu Ltd 519,000 10,437,007
Furukawa Electric Co Ltd 813,000 3,726,432
Hitachi Credit Corp 231,500 4,578,953
Hitachi Ltd 991,000 9,289,218
Inabata & Co 176,000 731,123
Kaneka Corp 654,000 6,157,328
Kurita Water Industries 209,000 3,745,551
Kyocera Corp 88,500 5,189,330
Kyudenko Co Ltd 149,000 851,534
Lintec Inc 198,000 1,991,692
Matsushita Electric 410,000 7,957,220
Minebea Co Ltd 426,000 4,749,556
Mitsubishi Chemical Corp 1,093,000 3,782,194
Mitsubishi Estate 374,000 3,647,801
Mitsubishi Heavy Industries * 1,040,000 4,217,203
Mitsumi Electric Co Ltd 268,000 7,481,026
NEC Corp 732,000 9,098,237
NIFCO 260,000 2,497,254
Nintendo Corp Ltd 88,500 12,432,465
Nippon Telegraph & Telephone 783 9,117,810
Nissan Motor Co Ltd * 1,501,000 7,165,033
Nissha Printing 144,000 1,046,538
ONO Pharmaceutical Co 165,000 5,723,252
Ricoh Co 681,000 9,369,831
Rinnai Corp 117,000 2,686,212
Rohm Co 26,000 4,069,042
Ryosan Co 136,000 2,695,627
Sangetsu Co Ltd 74,000 1,573,688
Sankyo Co Ltd 327,000 8,236,776
Sanwa Shutter 482,000 2,611,323
Sekisui Chemical Co 420,000 2,434,984
Sekisui House Ltd 416,000 4,486,898
Shin-Etsu Polymer Co 400,000 2,243,052
Sony Corp 98,100 10,572,779
Suzuki Motor Co 315,000 5,007,846
TDK Corp 86,000 7,862,411
Toshiba 1,304,000 9,293,901
Toyota Motor Corp 193,000 6,104,720
Tsubakimoto Chain 636,000 2,263,831
Yamaha Corp 375,000 4,506,132
Yamanouchi Pharmaceutica 215,000 8,221,084
-----------
276,250,765
-----------
Netherlands - 3.32%
ABN Amro Holding Nv 95,650 2,069,813
AKZO Nobel Nv 261,185 10,980,834
Benckiser Nv `B' 78,050 4,162,078
Ing Groep Nv 284,453 15,388,516
Laurus Nv 97,550 2,261,709
Philips Electronics 86,479 8,523,570
-----------
43,386,520
-----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
New Zealand - 0.11%
Telecom Corp of New Zealand - 68814 323,200 $1,385,011
----------
1,385,011
----------
Norway - 0.02%
Sparebanken Norway 12,069 225,438
----------
225,438
----------
Portugal - 0.90%
Banco Commercial Portugal 115,850 2,999,960
Electricidade De Portugal 486,750 8,757,439
----------
11,757,399
----------
Singapore - 1.72%
City Developments 261,000 1,670,817
DBS Bank 324,000 3,957,949
Natsteel Electronics Ltd 562,000 2,458,977
Overseas Chinese Banking 242,000 2,018,206
Overseas Union Bank 175,000 842,779
Sembcorplogistics * 261,000 1,027,016
Singapore Airline Ltd 186,000 1,769,660
Singapore Press 197,000 3,355,259
Singapore Telecom 995,000 1,706,349
United O/S Bank 259,000 1,810,125
Venture Manufacturing Singapore 247,000 1,900,335
----------
22,517,472
----------
Spain - 2.46%
Banco Popular Espanol 76,810 5,520,633
Banco Santander 391,500 4,074,554
Endesa SA 323,450 6,892,624
Iberdrola SA 462,600 7,040,655
Telefonica De Espana SA 179,283 8,629,313
----------
32,157,779
----------
Sweden - 3.03%
Autoliv Inc 268,950 8,204,476
Ericsson Telefon 106,200 3,408,557
Nordbanken Holding Ab 1,406,700 8,234,503
Sparbanken Sverige `A' 64,700 914,461
Svedala Industri Ab 461,650 8,319,243
Svenska Handelsbanken `A' 880,570 10,578,975
----------
39,660,215
----------
Switzerland - 6.95%
Forbo Holdings AG 5,271 2,093,428
Holderbank Finan Glaris 9,005 10,619,309
Holderbank Finan Rights * 388 120,934
Nestle Sa Bearer Reg 11,330 20,394,801
Novartis AG Reg 6,505 9,489,637
Richemont (Fin) 10,850 20,848,623
Roche Holding 655 6,726,583
Schindler Holding AG 3,400 5,244,047
Swisscom AG 18,920 7,113,011
UBS AG 27,672 8,251,539
----------
90,901,912
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-75
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
United Kingdom - 15.62%
Aegis Group PLC 2,497,160 $5,491,450
Allied Domecq PLC 1,175,250 11,356,831
Allied Zurich 830,400 10,374,162
Bank of Scotland 589,744 7,706,985
BG PLC 1,349,179 8,257,480
BOC Group PLC 430,200 8,443,183
British Telecomm 819,900 13,700,398
Burmah Castrol 364,809 6,947,026
Capital Radio PLC 627,351 8,302,287
Centrica PLC * 2,551,130 6,012,294
Devro PLC 266,621 584,219
Diageo PLC 636,830 6,635,771
Glaxo Holdings 127,200 3,533,129
Great Univ Stores 910,940 10,188,461
Halma PLC 3,861,900 6,453,173
Imperial Tobacco Group 931,000 10,170,665
Lloyds TSB Group 511,900 6,919,675
Morgan Crucible Co 1,762,439 7,515,325
Prudential Corp 603,100 8,927,325
Reckitt & Colman 1,213,965 12,630,383
Royal & Sun Alliance Group 656,900 5,907,740
Sainsbury 684,700 4,306,651
Scottish Hydro 859,200 8,790,334
Seton Scholl Healthcare 346,100 3,993,735
Shell Transport & Trading 913,000 6,843,649
Smith & Nephew PLC 531,500 1,614,969
Tesco PLC * 1,568,300 4,066,881
UND News & Med 33,800 326,088
WPP Group PLC 966,300 8,172,372
-------------
204,172,641
-------------
Total Common Stocks
(Cost $961,351,219) 1,042,201,349
-------------
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 19.07%
SECURITIES HELD UNDER REPURCHASE AGREEMENT - 19.07%
State Street Bank and Trust
4.000% due 07/01/99 **
(Dated 06/30/99, repurchase price
of $249,385,113; collateralized by U.S.
Treasury Notes--market value
$37,280,000 and due 06/30/00, market value
$51,000,770 and due 03/31/01, and market value
$166,082,796 and due 05/31/01) $249,357,406 249,357,406
-------------
Total Securities Held Under Repurchase
Agreement 249,357,406
-------------
</TABLE>
<TABLE>
<CAPTION>
Value
-----
<S> <C>
Total Short-Term Investment
(Cost $249,357,406) $249,357,406
--------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $1,228,487,678) $1,307,314,367
--------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $166,937,348 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at June 30, 1999:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- -----------------------------------------------------------------------------
<S> <C> <C>
CAC 40 Index Future (9/99) 516 $383,725
DAX 30 Index Future (9/99) 196 964,881
FTSE 100 Index Future (9/99) 482 (1,314,783)
MIB 30 Index Future (9/99) 65 (107,597)
Opix TSE Index Future (9/99) 505 6,594,004
----------
$6,520,230
----------
</TABLE>
(b) Forward foreign currency contracts outstanding at June 30, 1999,
were summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount Unrealized
to Buy or Expiration Covered by Appreciation
Type to Sell Month Contracts (Depreciation)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BP Buy 7/99 $27,648,947 $307,365
ED Buy 7/99 32,931,314 66,503
JY Buy 7/99 4,155,881 (39,678)
--------
$334,190
--------
</TABLE>
Principal amount denoted in the indicated currency:
BP - British Pound
ED - Euro Dollar
JY - Japanese Yen
(c) At June 30, 1999, 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 $1,228,487,678
--------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $124,299,169
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (45,472,480)
--------------
Net unrealized appreciation $78,826,689
--------------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-76
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
COMMON STOCKS - 92.58%
Argentina - 2.36%
Astra Argentina De 191,170 $349,888
Banco Frances SA 42,734 277,809
Banco Galicia 71,222 365,418
Dalmine Siderar SA 12,600 37,933
Dalmine Siderca SA 265,537 347,900
Inversiones Y Representaciones GDR 4,942 152,584
Molinos Rio De La Plata 20,043 33,677
Perez Companc ADR 54,643 633,941
Renault Argentina SA 39,560 53,413
Telefonica De Argentina ADR 38,953 1,222,150
Transportadora De Gas ADS 147,389 277,129
----------
3,751,842
----------
Brazil - 8.66%
Aracruz Celulose SA PNB 158,600 351,647
Banco Bradesco SA 166,099,207 842,709
Banco Itau SA PN 1,679,700 864,552
Centrais Eletrobras 103,834,000 2,102,521
Cia Cervejaria Brahma 602,600 339,815
Cia Energetica Minas Ger 33,511,782 705,113
Cia Paulista De Forca E 4,364,400 281,415
Cia Siderurgica Nacional 19,281,600 504,397
Cia Souza Cruz Ind Com 57,600 405,611
Cia Vale Do Rio Doce 70,380 1,385,307
Petrol Brasileiros 7,429,400 1,151,389
Telebras ADR 28,100 1,756
Telebras ADR Pfd Block 41,460 3,739,174
Telebras Teclecomunic 2,875 138,221
Telecom Brasileiras * 8,022,100 227
Telecomunic Brasileiras 9,365,100 450,245
Usinas Siderurgicas Mina * 145,059 492,282
----------
13,756,381
----------
Chile - 5.13%
Banco Santander ADR 55,875 866,063
Compania Cerveceria Unidas ADR 18,600 532,425
Compania De Telefono Chili ADR 72,706 1,799,474
Distribucion Y Servicio D&s SA 14,000 262,500
Embotelladora Andina SA 18,000 360,000
Empresa ADR 66,216 802,869
Enersis ADR 40,316 922,229
Gener SA ADR 41,574 737,939
Madeco SA ADR 42,085 426,111
Masisa SA ADR 49,075 515,288
Sociedad Quimica Y Minera De Chile `A' 849 29,715
Sociedad Quimica Y Minera De Chile `B' 21,690 767,284
Vina Concha Y Toro Sa-adr 3,500 126,000
----------
8,147,897
----------
China - 2.26%
Beijing Datang Power General 1,624,000 523,284
China Southern Airlines * 748,000 190,888
Guangdong Kelon Elecric 445,000 519,062
Guangshen Railway Co 1,752,000 268,715
Huaneng Power International 1,368,000 573,034
Jiangsu Expressway Co 1,576,000 341,253
Shanghai Petrochemical 1,834,000 432,575
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Shenzhen Expressway Co 966,000 $204,189
Yizheng Chemical Fibre * 698,000 182,176
Zhejiang Expressway 1,826,000 362,437
---------
3,597,613
---------
Colombia - 0.77%
Banco Ganadero SA ADR 17,700 319,706
Bancolombia SA ADR 104,800 497,800
Gran Cadena Almacenes ADR 220,500 399,105
---------
1,216,611
---------
Greece - 0.54%
Alpha Credit Bank 9,990 643,187
Ergo Bank SA 1,320 141,085
National Bank of Greece 1,248 81,538
---------
865,810
---------
Hong Kong - 0.19%
Qinglling Motors Co 1,244,000 301,432
---------
301,432
---------
Hungary - 3.89%
Danubius Hotels Rights * 7,490 135,861
Gedeon Richter RT 12,280 533,020
Magyar Olaj Es Gazipare 64,700 1,558,553
Matav RT 557,800 3,016,942
Otp Bank RT 20,740 864,667
Pick Szeged RT 2,810 78,836
---------
6,187,879
---------
India - 2.16%
Bajai Auto GDR 13,995 232,317
BSES Ltd GDR 11,800 118,295
Eih Ltd GDR 14,200 67,450
Gujarat Ambuja GDR 18,200 150,696
Hindalco Industries GDR 23,200 454,256
Indian Hotels Co Ltd GDR 15,070 114,984
Indian Rayon & Industries GDR 22,800 79,344
Larsen & Tourbro Ltd 16,300 251,020
Mahanagar Telephone Niga 37,300 378,595
Reliance Industries GDS 39,900 402,990
State Bank of India GDR 34,200 416,556
Tata Engineering & Loco Co GDR 49,120 282,440
Videsh Sanchar Nigam Ltd 38,300 487,559
---------
3,436,502
---------
Indonesia - 1.45%
PT Astra International * 321,000 147,613
PT Gudang Garam Tbk 102,000 278,453
PT Indah Kiat Pulp & Paper * 856,000 399,883
PT Indofood Sukses Mak * 257,000 352,672
PT Semen Gresik 91,000 199,270
PT Telekomunikasi 1,465,560 855,801
PT Timah Tbk 80,000 70,073
---------
2,303,765
---------
Israel - 3.91%
Bank Leumi Le 167,300 316,120
Bezek 134,600 541,938
Bk Hapoalim Bm 349,600 896,750
Blue Square Chain Stores 32,100 525,618
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-77
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
ECI Telecommunications ORD 30,000 $995,625
Elite Industries 6,680 313,918
Formula Systems * 8,400 254,941
ICL Israel Chemical 290,800 354,456
Koor Industries 6,600 760,858
Makhteshim-agan * 155,700 349,459
Teva Pharmaceutical ADR 19,270 915,946
----------
6,225,629
----------
Kazakhstan - 0.17%
Central Asia Regional GR * 155,596 272,294
----------
272,294
----------
Malaysia - 1.09%
Commerce Asset Hldg Bhd 47,000 116,263
Malayan Banking Berhad 113,000 339,000
Malaysia International Shipping 96,000 175,579
Malaysian Airline System 82,000 112,211
Petronas Gas Berhad 64,000 151,579
Public Bank Bhd Foreign 159,000 166,532
Resorts World Berhad 43,000 101,276
Telekom Malaysia 71,000 265,316
Tenaga Nasional Berhad 135,000 310,855
----------
1,738,611
----------
Mexico - 14.97%
Cemex SA 304,896 1,503,442
Cifra V * 1,018,663 2,033,000
Controladora Coml Mexica 273,004 285,176
Desc SA `B' 355,100 388,273
Desc SA `C' 2,505 2,792
Empresas Ica Sociedad 125,784 138,870
Fomento Economico Mexica 24,184 964,337
Grupo Bimbo `A' 415,454 926,171
Grupo Carso SA De Cv 268,500 1,245,588
Grupo Financiero Banamex * 583,579 1,424,874
Grupo Industrial Alfa 239,600 995,790
Grupo Mexico SA 245,750 1,046,133
Grupo Modelo SA De Cv 765,528 2,186,062
Grupo Televisa GDS 32,050 1,436,241
Industrias Penoles SA 146,050 423,266
Kimberly Clark De Mexico 249,380 1,027,170
Savia-a 140,200 799,229
Telefonos De Mexico ADR 83,300 6,731,681
Tubos De Acero De Mexico 8,361 90,533
Tv Azteca SA ADR * 28,100 145,769
----------
23,794,397
----------
Peru - 4.68%
Banco Wiese ADR 137,450 163,222
Cementos Lima SA 345,544 425,189
Creditcorp ADR * 86,677 953,447
Enrique Ferreyros 210,005 138,029
Luz Del Sur 543,600 350,762
Minas Buenaventura `A' 80,124 608,385
Minas Buenaventura `B' 13,531 103,554
Minsur SA 73,566 156,759
Southern Peru Copper 13,623 49,062
Telefonica De Peru `B' 2,463,358 3,703,909
Union De Cervecerias Peru 2,216,338 778,246
----------
7,430,564
----------
</TABLE>
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Poland - 4.16%
Bank Handlowy W Warszawi 47,170 $654,722
Bank Przemyslowo Handlow 3,350 172,342
Bank Rozwoju Eksportu 19,065 599,650
Bank Slaski SA 9,230 451,333
Big Bank Gdanski SA 194,100 430,070
Debica 16,250 196,167
Elektrim * 59,570 842,006
Softbank Sa 9,840 340,823
Stomil Olsztyn SA 34,200 191,621
Telekomunikacja Polska GDR * 319,800 2,280,174
Wielkopolski Bank 78,436 459,449
----------
6,618,357
----------
Portugal - 0.03%
BPI Bonus 2,116 44,372
----------
44,372
----------
South Africa - 6.72%
Absa Group Ltd 67,860 384,044
Anglo Amer PLC 8,400 392,559
Anglo American Platinum 36,600 854,005
Anglogold Ltd 13,830 595,897
Barlow Ltd 122,548 706,744
De Beers Consolidated Minings ADR * 50,540 1,211,101
Edgars Consol Stores 2,479 19,268
Firstrand Ltd 597,000 682,653
Gold Fields Ltd 42,000 144,078
Imperial Holdings Ltd 22,000 218,751
Liberty Life Association Bonus * 14,297 183,150
Liberty Life Association of Africa 30,438 389,917
Naspers Ltd 51,350 308,479
Nedcor 45,887 1,049,665
Rembrandt Group 133,017 1,108,796
Sanlam Ltd * 352,200 417,323
Sasol Ltd 80,600 575,023
Smith CG Ltd 110,642 318,124
South African Breweries * 117,104 1,016,903
Woolworth GDR * 15,100 107,588
----------
10,684,068
----------
South Korea - 9.42%
Hyundai Motor Co Ltd 28,955 686,665
Kookmin Bank 43,800 889,244
Korea Electric Power Corp 78,500 3,262,073
Korea Fund * 124,600 1,853,425
Korea Telecom Corp * 14,380 953,490
LG Chemical 29,267 796,467
MSCI-Korea Opal * 10,000 1,285,150
Pohang Iron & Steel ADR 22,500 731,250
Samsung Display Devices 11,500 625,918
Samsung Electro Mechanic 22,600 780,994
Samsung Electronics Co 15,905 1,745,084
Samsung Heavy Industries 66,000 359,222
SK Corp Rights * 34,600 995,404
----------
14,964,386
----------
</TABLE>
See Notes to Financial Statements See explanation of symbols on B-79
B-78
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
June 30, 1999 (Unaudited)
================================================================================
<TABLE>
<CAPTION>
Market
Shares Value
------ ------
<S> <C> <C>
Taiwan - 11.41%
Advanced Semiconductor Engineering * 52,000 $1,145,300
Asia Cement GDS 95,400 944,460
Asustek Computer Inc 130,340 1,876,896
China Steel GDR * 89,680 1,372,104
Evergreen Marine Corp * 87,800 1,626,934
Far Eastern Dept Stores 228,000 208,050
Formosa Chemical 326,000 378,160
MSCI-Taiwan Opal * 32,510 4,455,170
Nan Ya Plastics 360,000 432,000
President Enterprise GDS * 3,456 31,104
Standard Foods Taiwan * 114,000 894,900
Taiwan Fund Inc 157,500 3,268,125
Winbond Electronic Corp * 133,989 1,493,976
-----------
18,127,179
-----------
Thailand - 1.37%
Bangkok Bank Public Co 159,400 595,806
Electricity Gen Pub 51,800 98,914
PTT Exploration & Production * 55,500 423,917
Siam Cement * 12,000 364,030
Telecomasia Corp * 265,000 267,369
Thai Farmers Bank * 136,300 420,861
-----------
2,170,897
-----------
Turkey - 5.34%
Adana Cimento 10,662,280 169,239
Adana Cimento Bonus Issues * 6,610,614 104,928
Adana Cimento Rights * 1,919,210 25,916
Akbank 16,309,568 239,557
Arcelik 12,254,500 435,473
Aygaz AS 4,308,000 382,720
Brisa Bridgestone Sabanc 11,003,000 252,847
Cukurova Elektrik As 191,000 122,172
Ege Biracilik Ve Malt 3,934,000 293,575
Eregli Demir Ve Celik Fa * 41,594,000 581,376
Migros Turk Tas 715,313 889,671
Netas Telekomunik 3,926,000 82,778
Sabanci Holding 14,104,000 314,083
Turkiye Garanti Bankasi * 126,066,200 940,770
Turkiye Is Bankasi `C' 118,066,300 2,097,788
Vestel Elektronik Sanayi 2,586,000 281,813
Yapi Ve Kredi Bank 88,098,178 1,273,125
-----------
8,487,831
-----------
Venezuela - 1.90%
Banco Provincial 272,876 225,052
Cia Anonima Telef De Venezuela 64,550 1,758,987
Corp Venezolana De Cemen 422,950 174,412
Electricidad De Car ADR 28,659 576,765
Electricidad De Caracas 123,806 48,501
Mavesa SA ADR 23,650 76,863
Siderurgica Venezolana 3,593,283 154,104
-----------
3,014,684
-----------
Total Common Stocks
(Cost $137,097,817) 147,139,001
-----------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Value
--------- -----
<S> <C> <C>
SHORT-TERM INVESTMENT - 7.42%
Chase Bank London
5.500% due 07/01/99 $11,800,000 $11,800,000
------------
Total Short-Term Investment
(Cost $11,800,000) 11,800,000
------------
TOTAL EMERGING MARKETS PORTFOLIO
(COST $148,897,817) $158,939,001
------------
</TABLE>
Notes to Schedule of Investments
- --------------------------------
(a) At June 30, 1999, 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 $148,897,817
------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $25,694,777
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (15,653,593)
------------
Net unrealized appreciation $10,041,184
------------
</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 June 30,
1999.
" 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-79
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
1. ORGANIZATION
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4, 1987.
The Fund currently consists of eighteen 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 Large-Cap Value Portfolio, the
Mid-Cap Value Portfolio, the Equity Portfolio, the Bond and Income Portfolio,
the Equity Index Portfolio, the Small-Cap Index Portfolio, the REIT 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 Maximize total return consistent with prudent investment
Securities management.
- --------------------------------------------------------------------------------
Growth Growth of capital.
- --------------------------------------------------------------------------------
Aggressive Capital appreciation.
Equity
- --------------------------------------------------------------------------------
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.
- --------------------------------------------------------------------------------
Large-Cap Value Long-term growth of capital. Current income is of secondary
importance.
- --------------------------------------------------------------------------------
Mid-Cap Value Capital appreciation.
- --------------------------------------------------------------------------------
Equity Capital appreciation. Current income is of secondary
importance.
- --------------------------------------------------------------------------------
Bond and Income Total return and income consistent with prudent investment
management.
- --------------------------------------------------------------------------------
Equity Index Investment results that correspond to the total return of
common stocks publicly traded in the U.S.
- --------------------------------------------------------------------------------
Small-Cap Index Investment results that correspond to the total return of an
index of small capitalization companies.
- --------------------------------------------------------------------------------
REIT Current income and long-term capital appreciation.
- --------------------------------------------------------------------------------
International Long-term capital appreciation.
- --------------------------------------------------------------------------------
Emerging Markets Long-term growth of capital.
- --------------------------------------------------------------------------------
</TABLE>
At June 30, 1999, shares of the Fund were offered only to Pacific Select,
Pacific Select Exec, Pacific COLI, Pacific COLI II, Pacific COLI III, Pacific
Select Variable Annuity, Separate Account A and Pacific Corinthian Variable
Separate Accounts of Pacific Life Insurance Company.
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, the Large-Cap
Value Portfolio, the Mid-Cap Value Portfolio, the Small-Cap Index Portfolio and
the REIT Portfolio which commenced operations on January 4, 1999, and the
Equity Portfolio and the Bond and Income Portfolio which commenced operations
on October 19, 1983 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 18% of the Managed Bond and Government Securities
Portfolios' investments, respectively, as of June 30, 1999). 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
B-80
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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--$2,440; Aggressive Equity Portfolio--$3,624; Growth
LT Portfolio--$115,320; Equity Income Portfolio--$60,373; Multi-Strategy
Portfolio--$16,148; Large-Cap Value Portfolio--$2,248; Equity Index Portfolio--
$168,750; Small-Cap Index Portfolio--$33; REIT Portfolio--$1,034; International
Portfolio--$1,736,261; Emerging Markets Portfolio--$134,716.
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 in connection with the Fund's organization and establishment
of the Aggressive Equity Portfolio and the Emerging Markets Portfolio in 1996
and the public offering of the shares of those Portfolios, aggregated
approximately $23,410 per Portfolio. These costs have been deferred and are
being amortized over a period of five years at the rates of 10%, 15%, and 25%
in years one, two, and three through five, respectively. At June 30, 1999, the
unamortized balance of such expenses amounted to $8,805 each for the Aggressive
Equity Portfolio and the Emerging Markets Portfolio.
Expenses incurred in connection with the Fund's organization and establishment
of the Large-Cap Value Portfolio, the Mid-Cap Value Portfolio, the Small-Cap
Index Portfolio, and the REIT Portfolio in 1998 and the public offering of the
shares of those Portfolios, aggregated approximately $21,015 per Portfolio.
These costs are expensed as incurred.
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. Futures Contracts
Certain Portfolios may use futures contracts to manage its exposure to the
stock markets and to fluctuations in interest rates and foreign currency
values. Initial margin deposits are made upon entering into futures contracts
and can be either cash or securities. During the period the futures contract is
open, changes in the value of the contract are recognized as unrealized gains
or losses by "marking-to-market" on a daily basis to reflect the market value
of the contract at the end of each day's trading. Variation margin receivables
or payables represent the difference between the unrealized appreciation 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. The primary risks associated with the use of
futures contracts are the possibility of illiquid markets or imperfect
correlation between the value of the instruments and the underlying securities,
or that the counterparty will fail to perform its obligations. Futures
contracts are valued at the settlement price established each day by the board
of trade or exchange on which they are traded.
J. Options on Futures Contracts
The Managed Bond and Government Securities Portfolios wrote options on
interest rate futures contracts during the period ended June 30, 1999. When the
fund writes (sells) an option, an amount equal to the premium
B-81
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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
counterparty to perform.
K. Forward Foreign Currency Contracts
Certain Portfolios may enter into forward foreign currency contracts 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 result of 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 counterparty 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, SUPPORT SERVICES, 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
Large-Cap Value, Mid-Cap Value and International Portfolios, an annual rate of
.85% of average daily net assets of each of the Portfolios; for the Small-Cap
Index Portfolio, an annual rate of .50% of the average daily net assets of the
Portfolio; and for the REIT and Emerging Markets Portfolios, an annual rate of
1.10% of average daily net assets of each of the Portfolios. The fees are
accrued daily.
The Fund and Pacific Life also entered into an Agreement for Support Services
effective October 1, 1995, pursuant to which Pacific Life provides support
services that are outside the scope of Pacific Life's responsibilities under
the Advisory Contract. Under the Agreement, the Fund compensates Pacific Life
for its expenses in providing support services to the Fund in connection with
various matters including the expense of registering and qualifying the Fund
on State and Federal levels, providing legal and accounting services,
maintaining the Fund's legal existence, shareholders' meetings and expenses
associated with preparing, printing and distributing reports, proxies and
prospectuses to existing shareholders. Pacific Life provides these support
services to the Fund on a cost reimbursement basis.
Pursuant to Portfolio Management Agreements, the Fund and Pacific Life employ
portfolio managers for sixteen of the eighteen 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
B-82
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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 $29,556,740 of investment advisory fees and $128,932 of
support services expenses to Pacific Life for the period ended June 30, 1999
(Note 3). As of June 30, 1999, $5,500,421 and $81,713 respectively, remained
payable.
Certain officers and directors of Pacific Life are also officers and trustees
of the Fund.
7. EXPENSE REDUCTIONS
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, 2000. For the
period ended June 30, 1999, the operating expenses for each of the Portfolios
except for the Large-Cap Value Portfolio, the Mid-Cap Value Portfolio, the
Small-Cap Index Portfolio and the REIT Portfolio were below the .25% expense
cap and Pacific Life had reimbursed the Fund totaling $177,057 ($31,156 for the
Large-Cap Value Portfolio, $12,335 for the Mid-Cap Value Portfolio, $116,543
for the Small-Cap Index Portfolio and $17,023 for the REIT Portfolio).
In addition, the Fund has entered into an arrangement with its custodian
whereby credits realized as a result of uninvested cash balances were used to
reduce a portion of the Fund's custodian fees and expenses. During the period
ended June 30, 1999, the Fund's custodian fees and expenses were reduced by
$93,742 under this arrangement.
Both the adviser reimbursements and custodian credits are combined and shown
under the caption "Expense Reductions" on the Statements of Operations.
B-83
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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
securites) for the period ended June 30, 1999 are summarized in the following
table:
<TABLE>
<CAPTION>
U.S. Government Securities Other Securities
Portfolios Purchases Sales Purchases Sales
-------------------- --------------------------- --------------------------
<S> <C> <C> <C> <C>
High Yield Bond $10,231,250 $6,968,281 $142,714,990 $100,663,807
Managed Bond 1,202,047,744 1,397,886,827 479,900,031 107,412,939
Government Securities 324,504,430 250,797,661 148,713,187 1,248,614
Growth 53,289,270 67,783,191
Aggressive Equity 160,797,490 120,998,858
Growth LT 1,324,856,876 942,358,424
Equity Income 5,220,285 600,255,673 479,323,398
Multi-Strategy 333,894,167 268,601,944 259,233,524 271,823,660
Large-Cap Value 97,058,667 5,121,279
Mid-Cap Value 61,825,846 4,915,057
Equity 255,938,916 132,431,388
Bond and Income 68,174,309 77,268,797 60,935,179 27,960,901
Equity Index 342,237,113 41,109,596
Small-Cap Index 66,277,089 16,140,390
REIT 33,386,525 312,573
International 449,366,849 329,568,825
Emerging Markets 56,220,340 41,457,360
</TABLE>
9. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the period ended June 30, 1999 and the year
ended December 31, 1998 were as follows:
<TABLE>
<CAPTION>
Money Market Portfolio High Yield Bond Portfolio Managed Bond Portfolio
1999 1998 1999 1998 1999 1998
------------------------------- ------------------------- ---------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 47,651,670 44,902,429 41,704,121 31,189,867 67,320,096 42,072,937
Shares sold 224,715,056 161,374,210 11,832,332 15,780,671 25,805,438 25,342,250
Distributions reinvested 1,317,674 2,477,219 1,814,104 3,355,168 4,360,556 3,471,301
Shares redeemed (211,289,243) (161,102,188) (8,585,524) (8,621,585) (5,941,742) (3,566,392)
------------------------------- ------------------------- ---------------------------
Ending Balances 62,395,157 47,651,670 46,765,033 41,704,121 91,544,348 67,320,096
------------------------------- ------------------------- ---------------------------
<CAPTION>
Government Securities Portfolio Growth Portfolio Aggressive Equity Portfolio
1999 1998 1999 1998 1999 1998
------------------------------- ------------------------- ---------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 17,345,804 12,051,232 11,690,001 10,020,064 17,279,799 10,976,802
Shares sold 16,505,476 9,301,422 2,561,785 4,068,349 13,433,459 10,212,762
Distributions reinvested 982,835 957,236 1,484,616 1,071,873 2,131,938 5,359
Shares redeemed (1,361,465) (4,964,086) (2,942,541) (3,470,285) (9,315,752) (3,915,124)
------------------------------- ------------------------- ---------------------------
Ending Balances 33,472,650 17,345,804 12,793,861 11,690,001 23,529,444 17,279,799
------------------------------- ------------------------- ---------------------------
</TABLE>
B-84
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
Growth LT Portfolio Equity Income Portfolio Multi-Strategy Portfolio
1999 1998 1999 1998 1999 1998
---------------------------- ------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 48,842,241 39,129,648 46,933,977 32,938,927 33,278,592 22,687,601
Shares sold 13,352,960 13,850,638 9,965,739 13,266,463 6,403,594 10,504,376
Distributions reinvested 4,956,150 1,902,343 4,673,079 4,741,512 2,737,858 2,660,280
Shares redeemed (3,565,262) (6,040,388) (4,425,431) (4,012,925) (3,403,367) (2,573,665)
---------------------------- ------------------------ ----------------------------
Ending Balances 63,586,089 48,842,241 57,147,364 46,933,977 39,016,677 33,278,592
---------------------------- ------------------------ ----------------------------
<CAPTION>
Mid-Cap
Large-Cap Value Portfolio * Value Portfolio * Equity Portfolio
1999 1998 1999 1998 1999 1998
---------------------------- ------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances - - - - 17,171,798 13,315,239
Shares sold 9,119,251 - 5,869,495 - 5,577,904 5,574,261
Distributions reinvested 3,372 - - - 1,623,587 876,648
Shares redeemed (181,026) - (438,503) - (1,594,211) (2,594,350)
---------------------------- ------------------------ ----------------------------
Ending Balances 8,941,597 - 5,430,992 - 22,779,078 17,171,798
---------------------------- ------------------------ ----------------------------
<CAPTION>
Bond and Income Portfolio Equity Index Portfolio Small-Cap Index Portfolio *
1999 1998 1999 1998 1999 1998
---------------------------- ------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 13,875,071 8,674,393 46,287,946 33,994,421 - -
Shares sold 4,537,617 6,487,680 10,820,100 16,549,343 5,836,756 -
Distributions reinvested 1,153,417 670,883 532,580 829,868 923 -
Shares redeemed (3,045,706) (1,957,885) (2,466,165) (5,085,686) (457,946) -
---------------------------- ------------------------ ----------------------------
Ending Balances 16,520,399 13,875,071 55,174,461 46,287,946 5,379,733 -
---------------------------- ------------------------ ----------------------------
<CAPTION>
REIT Portfolio * International Portfolio Emerging Markets Portfolio
1999 1998 1999 1998 1999 1998
---------------------------- ------------------------ ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances - - 63,043,233 47,142,608 15,561,552 10,502,506
Shares sold 3,380,396 - 109,325,466 75,839,873 5,794,728 6,655,635
Distributions reinvested 16,464 - 3,588,758 4,302,553 34,542 174,623
Shares redeemed (153,776) - (92,729,099) (64,241,801) (3,039,796) (1,771,212)
---------------------------- ------------------------ ----------------------------
Ending Balances 3,243,084 - 83,228,358 63,043,233 18,351,026 15,561,552
---------------------------- ------------------------ ----------------------------
</TABLE>
* Portfolio commenced operations on January 4, 1999.
-----------------
B-85
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (Unaudited)
In accordance with Rule 30d-1 under the Investment Company Act of 1940, the
Pacific Select Fund (the "Fund") is required to furnish certain information
regarding any matters submitted to a vote of the Fund's shareholders.
Shareholders of record on February 5, 1999, representing 15,856,582 shares of
the Emerging Markets Portfolio, were notified that a Special Meeting of
Shareholders (the "Meeting") would be held at the offices of the Fund on March
19, 1999. 100% of the outstanding shares were voted. A brief description of
the matter voted upon as well as the voting results of the aforementioned
Meeting are outlined in the table below:
<TABLE>
<CAPTION>
Total
Outstanding
Votes For Votes Against Abstentions Shares
--------- ------------- ----------- -----------
Proposal Number Percent* Number Percent* Number Percent*
-------- ------ -------- ------- -------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
Approval of the new Portfolio
Management Agreement among the
Fund (on behalf of the Emerging
Markets Portfolio), Pacific Life
and Blairlogie Capital Manage-
ment. 14,930,830 94.2% 259,689 1.6% 666,063 4.2% 15,856,582
</TABLE>
* Based on total shares outstanding.
-----------------------
B-86
<PAGE>
Semi-Annual Report -----------------
as of June 30, 1999 BULK RATE
U.S. POSTAGE PAID
. Pacific Select Fund PACIFIC LIFE
92799
-----------------
Accountants
Deloitte & Touche LLP
695 Town Center Drive
Suite 1200
Costa Mesa, CA 92626
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Pacific Life Insurance Company
700 Newport Center Drive
P.O. Box 7500
Newport Beach, California 92658-7500
ADDRESS SERVICE REQUESTED
Form No. 15-20803-02
Form No. 357-9A
