<PAGE>
December 31, 1999
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
Independent Auditors' Report........................................... B-1
Financial Statements:
Statements of Assets and Liabilities................................. B-2
Statements of Operations............................................. B-4
Statements of Changes in Net Assets.................................. B-6
Financial Highlights................................................... C-1
Schedules of Investments and Notes..................................... D-1
Notes to Financial Statements.......................................... E-1
Special Meeting of Shareholders........................................ F-1
</TABLE>
<PAGE>
PACIFIC SELECT FUND
Dear Shareholders:
We are pleased to share with you the Pacific Select Fund (the Fund) Annual
Report dated December 31, 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
- ----------------- ---------
<C> <S>
Alliance Capital Management L.P. (Alliance Capital) Aggressive Equity
Blairlogie Capital Management (Blairlogie) Emerging Markets
(effective January 1, 2000, Alliance Capital)
Capital Guardian Trust Company (Capital Guardian) Growth
(effective January 1, 2000,
Small-Cap Equity)
Goldman Sachs Asset Management (Goldman Sachs) Bond and Income
Equity
J.P. Morgan Investment Management Inc. (JPMIM) Multi-Strategy
Equity Income
Janus Capital Corporation (Janus) Growth LT
Lazard Asset Management (Lazard) Mid-Cap Value
Bankers Trust Company (Bankers Trust) Equity Index
(effective January 1, 2000, Mercury Asset Management U.S.) Small-Cap Index
Morgan Stanley Asset Management (Morgan Stanley) REIT
International
(effective January 1, 2000,
International Value)
Pacific Investment Management Company (PIMCO) Government Securities
Managed Bond
Pacific Life Money Market
High Yield Bond
Salomon Brothers Asset Management Inc (Salomon) Large-Cap Value
</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 December 31, 1999, and the anticipated outlook for 2000.
We look forward to continued growth in assets in 2000 and beyond.
Sincerely,
/s/ THOMAS C. SUTTON
Thomas C. Sutton
Chairman and President
Pacific Select Fund
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
Aggressive Equity Portfolio
- ---------------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: For the year ended December 31, 1999, the Aggressive Equity Portfolio
returned 27.35%** compared with a 21.26%* return for the Russell 2000 Index, a
24.15%* return for the Russell 2500 Index, and a 21.04%* return for the
Standard and Poor's Composite stock price index ("S&P 500 Index").
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Aggressive
Equity Russell 2000 Russell 2500 S&P 500
Portfolio Index Index Index
--------- ------------ ------------ -------
<S> <C> <C> <C> <C>
04/30/96 $10,000 $10,000 $10,000 $10,000
12/31/96 $10,786 $11,084 $11,245 $11,670
12/31/97 $11,194 $13,563 $13,983 $15,564
12/31/98 $12,673 $13,217 $14,037 $20,011
12/31/99 $16,140 $16,027 $17,427 $24,223
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 3 Years
------ -------
<S> <C> <C>
Aggressive Equity Portfolio**
(Operations commenced less than 5 years) 27.35% 14.38%
Russell 2000 Index* 21.26% 13.08%
S&P Index* 21.04% 27.56%
Russell 2500 Index* 24.15% 15.72%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: 1999 was the first year since 1993 that most mid- and small-cap indices
outperformed the S&P 500 Index. For several years market leadership has
narrowed, with only a small percentage of companies accounting for the bulk of
stock market performance. The market clearly broadened in 1999, and
particularly, in the fourth quarter, small- and mid-cap stocks far outperformed
the S&P 500 Index. This market broadening had a positive effect on the
Portfolio's performance. On the negative side, the increase in interest rates
that took place during 1999 negatively affected the Portfolio's performance, as
it caused many of its financial services stocks to perform poorly in 1999.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Telecommunications stocks reported excellent results in 1999 and were an
important factor in the Portfolio's good performance. Telephone and Data
Systems, U.S. Cellular Corporation, Millicom International Cellular, and
Voicestream Wireless Corporation all reported excellent results and performed
well. We continue to see rapid growth in the wireless communication sector,
particularly with respect to wireless voice communication. Additionally, 2000
should be the year that wireless data communication emerges as a major new
technology. On the negative side, some of its financial stocks underperformed
due to rising interest rates. There was only one major fundamental
disappointment, Policy Management Systems, which we sold in January 2000.
Q: What is your outlook for 2000?
A: Continued economic expansion with low inflation should continue in 2000. We
do not see inflation increasing significantly, as productivity gains led by
technology offset wage increases. Foreign economies are improving, and the U.S.
equity market appears to be broadening. Valuations for small- and mid-cap
stocks are very attractive; and, if our economic views are correct, small- and
mid-cap stocks should show superior growth.
Emerging Markets Portfolio
- --------------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: Following the contagion crisis of 1998, the emerging markets asset class
came strongly back in style last year. The Morgan Stanley Capital International
Emerging Market Free Index ("MSCI EMF Index") was up by 63.70%* for the year
versus the Portfolio's total return of 53.56%**.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Emerging
Markets MSCI EMF
Portfolio Index
--------- --------
<S> <C> <C>
04/30/96 10,000 10,000
12/31/96 9,677 9,980
12/31/97 9,513 8,822
12/31/98 6,961 6,586
12/31/99 10,689 10,782
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 3 Years
------ -------
<S> <C> <C>
Emerging Markets Portfolio**
(Operations commenced less than 5 years) 53.56% 3.37%
MSCI EMF Index* 63.70% 0.91%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-2
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: 1999 was a strong year for international investors, although it was no
stranger to volatility. It culminated in a fourth quarter, end-of-century
global equity blowout.
The gap in performance for the Portfolio occurred in the first half of the
year, and in regional terms can be attributed mainly to our skepticism about
the reform and recovery process in Asia. As a consequence we were underweighted
versus the MSCI EMF Index in markets such as Korea, Indonesia, and Thailand,
whose currencies bounced back, as did their stock markets. The latter part of
the year was more encouraging as our overweighting versus the Portfolio's
benchmark index of countries such as Turkey and Brazil paid off handsomely.
For the third quarter, the Portfolio returned -6.57%**. In comparison, the
MSCI EMF Index returned -5.15%*, suggesting that after two quarters of positive
returns, investors in emerging markets took profits in the third quarter. In
addition, the Federal Reserve Board raised short-term interest rates, which
adversely affects world economies reliant on liquidity.
The Portfolio outperformed its benchmark index comfortably in the final
quarter of 1999, generating a total return of 26.50%** compared to the MSCI EMF
Index's 25.44%* figure. There were two main strands in terms of performance
attribution. The first was in Europe where the Portfolio had a significant
allocation to Turkey while having a zero weighting in Greece. The second was an
above market weighting in Latin America, particularly in Brazil.
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.
Companies that did exceptionally well included those represented in the
Turkish index, examples of which include Netas Telekom (+1,008%), and Eregli
Demir (+752%). The earthquake in Turkey occurred when there were signs of mild
economic recovery and progress was being made on much needed structural
reforms. Post-earthquake, foreign investors became more active in Turkey as a
result of signals made by the International Monetary Fund ("IMF") that
substantial funding would be granted on the basis of budget 2000 compliance. By
year-end, the Istanbul stock exchange had appreciated by 485% in local terms.
Elsewhere, Korea Telekom (+312%) performed on the back of the global boom in
Telecom stocks and also as a result of strong subscriber growth and growing
Internet use in Korea. Larsen and Tourbo of India (+325%) began to restructure
and its extremely low valuation was recognized by the market.
Companies that underperformed included Sider Venezolana (-45%), primarily
due to a contraction in the economy, as a consequence of which domestic demand
for Sivensa's core rolled steel product was extremely depressed. Banco Wiese (-
47%) suffered mainly due to macroeconomic factors affecting the Peruvian
economy as a whole. Loan growth was sluggish throughout the year due to the
economy recovering far slower than expected, and an increase in bad loan
provisions over the year adversely affected profits.
Q: What is your outlook for 2000?
A: As the portfolio manager effective January 1, 2000, Alliance Capital
Management L.P., anticipates a steady level of performance in the emerging
market sector in the coming year. Global growth and commodity prices are on an
upswing and trade conditions improving on a broad level. We are, however,
concerned that 2000 could bring rising inflation and interest rates if we
experience an over-acceleration in global growth. These factors could inhibit
the sector's overall performance. We will monitor for these possibilities and
make the necessary corrections to the Portfolio as the year progresses.
Growth Portfolio
- ----------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The Growth Portfolio's total return for the year ended December 31, 1999 was
47.52%**, versus 21.26%* for the Russell 2000 Small Stock Index ("Russell 2000
Index") and 21.04%* for the S&P 500 Index.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Growth Russell 2000 S&P 500
Portfolio Index Index
--------- ------------ -------
<S> <C> <C> <C>
01/31/90 10,000 10,000 10,000
12/31/90 8,271 8,050 9,690
12/31/91 11,509 11,757 12,635
12/31/92 13,871 13,922 13,597
12/31/93 16,910 16,552 14,958
12/31/94 15,136 16,250 15,148
12/31/95 19,034 20,872 20,857
12/31/96 23,529 24,313 25,645
12/31/97 30,652 29,752 34,201
12/31/98 31,478 28,995 43,975
12/31/99 46,433 35,158 53,230
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Growth Portfolio** 47.52% 25.13% 16.59%
Russell 2000 Index* 21.26% 16.69% 13.40%
S&P Index* 21.04% 28.55% 18.20%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. 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 year?
A: The best thing about 1999 was that after 18 months of neglecting small-
capitalization stocks, the market stopped punishing them just for being small.
The first quarter of 1999 gave Capital Guardian hope that small-caps might be
returning to favor, the second and third quarters returned small-caps to the
penalty box, but the fourth quarter saw a resurgence that brought full year
1999 returns for small-caps into line with full year returns for large-caps.
Both large- and small-cap indices returned about 20% for the calendar year.
The Portfolio did much better as we had taken the opportunity presented by the
long period during which small-caps were neglected to position the Portfolio
into higher quality, faster growing firms.
The equity market entered 1999 still nervous following the Asian Financial
Crisis of 1997, the Russian default in 1998, and the near-bankruptcy of Long-
Term Capital Management late in 1998. However, after one brief scare (the
devaluation of the Brazilian Real in January 1999) the markets seemed to
recover their courage through 1999. Even a bottoming out and modest increase
in interest rates in the second half of 1999 could not take the wind out of
this market's sails.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The star performers in the Portfolio were concentrated in technology, and
within technology, in semi-conductor production equipment and communications
equipment. Semi-conductor production equipment firms that performed well
included Cymer Inc., Lam Research, Novellus Systems, Inc., Credence Systems
Corporation, Kulicke and Soffa Industries, and Etec Systems Inc. All of these
firms are strong niche providers of technologies necessary to make chips ever
smaller, denser, faster and cheaper so long as the world wants more chips and
wants them smaller, denser, faster and cheaper, these firms should enjoy
strong demand. Communications equipment and chip firms that benefited from the
global build-out of wireless communications systems and a rebuilding of
traditional copper wire and coaxial cable telephone and television systems
include C-Cube Microsystems, Inc. and MIPS Technologies, Inc.
The most disappointing holdings in the Portfolio were firms in the basic
manufacturing, banking, and transportation sectors: even if they reported
solid fundamental results, the market ignored them. These industries continue
to be neglected by the equity markets. Holdings in these industries, which did
well on a fundamental basis but poorly in the stock market, included Community
First Bankshares, Bandag Inc., Libbey Inc., Corn Products International, Inc.,
and M. S. Carriers, Inc.
Q: What is your outlook for 2000?
A: Our outlook continues to be positive, with concern for pockets of
overvaluation in the market. While small-caps managed to keep up with large-
caps in 1999, they remain significantly undervalued compared to large-caps.
The top 30 stocks in the S&P 500 Index (market caps above $80 billion) have an
average price to earnings ratio of about 40, the other 470 securities of the
S&P 500 Index average about 22, and the Russell 2000 Index of small-caps
averages about 19. There continues to be value to be found among smaller cap
firms. However, we do have concerns about the valuations of two sectors of the
market. Most obviously, many Internet firms which are little more than nice
venture capital deals have been given multi-billion dollar valuations before
they even rack up $100 million in cumulative sales. Some of these Internet
firms will grow to support their valuations, but we fear most will not. The
second area of possible overvaluation are the mega-cap stocks in the S&P 500
Index--most of them carry a premium of about 10 price to earnings points
compared to similar but smaller firms. Neither of these areas is represented
to any significant degree in the Portfolio, but if either (or both) were to
deflate suddenly, the odds are that the broader market, including the stocks
the Portfolio holds, will be affected at least temporarily. While such a
correction would be scary, it would also be an opportunity to pick up some
bargains. Remember, our core strategy is to do intensive company-by-company
research to find good businesses run by good management that we can buy at
reasonable prices: the Portfolio doesn't own the flashier momentum stories.
The stocks the Portfolio owns represent ownership in real, solid businesses.
While they are not immune from broad market corrections, we believe their
valuations would recover early and strongly, as their basic strengths should
continue to produce good fundamental results.
Bond and Income Portfolio
- -------------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: For the year ended December 31, 1999, the Bond and Income Portfolio
returned -7.34%**, outperforming the Lehman Brothers Long-Term
Government/Corporate Bond Index, which returned -7.64%*.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-4
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers
Bond and Corporate/ Lehman Brothers
Income Government LT Aggregate
Portfolio Index Bond Index
--------- ---------------- ---------------
<S> <C> <C> <C>
01/31/90 10,000 10,000 10,000
12/31/90 10,327 10,644 10,895
12/31/91 12,839 12,722 12,639
12/31/92 13,877 13,809 13,576
12/31/93 16,567 16,040 14,901
12/31/94 15,181 14,904 14,466
12/31/95 20,298 19,367 17,139
12/31/96 20,134 19,250 17,758
12/31/97 23,421 22,045 19,474
12/31/98 25,522 24,640 21,169
12/31/99 23,650 22,758 20,992
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Bond and Income Portfolio** -7.34% 9.27% 8.99%
Lehman Brothers G/C LT Index* -7.64% 8.99% 8.65%
Lehman Brothers Aggregate Index* -0.83% 7.73% 7.69%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: Strong economic growth continued throughout 1999. The economy continued to
advance in the quarter, evidenced by U.S. Gross Domestic Product ("GDP") growth
running, in recent months, at 5% or better on an annualized basis, a 31-year
high in consumer confidence, and a 29-year low in the domestic jobless rate.
The Federal Reserve, however, mindful of the risks associated with a shrinking
labor supply, raised interest rates again during the quarter, resulting in a
total increase of the Federal Fund's interest rate of 0.75% in 1999.
Q: Can you discuss some of the types of securities/ sectors which performed
well and those which reported disappointing results?
A: Goldman Sach's general investment strategy de-emphasizes U.S. Treasuries in
favor of higher yielding fixed income alternatives with enhanced total return
potential. As such, over the course of 1999, we underweighted Treasury and U.S.
Government agency securities relative to the Portfolio's benchmark index and
overweighted mortgage, corporate, asset-backed and emerging market debt
securities.
Following a rally early in the year, all fixed income spread sectors widened
in the third quarter due to increased issuance. However, the market gradually
turned around, ending the year on a positive note following diminished supply
fears and improved investor confidence.
Among investment grade corporate securities, spreads began the year on a
tightening trend due to continued economic strength and reduced global
volatility. This trend reversed mid-year reflecting investor fears of
oversupply due to increased new issuance. Performance in the investment grade
corporate sector improved in September as supply fears subsided and new deals
were readily absorbed.
The year was marked by persistent economic growth and rising Treasury yields
that resulted in inflationary pressure and a series of Federal Reserve
tightenings. All non-Treasury sectors benefited throughout the year from the
gradual stabilization of global financial markets and investors' renewed
tolerance for risk.
Asset-backed security spreads followed the trend of other spread sectors,
widening mid-year and tightening in the fourth quarter. Like mortgages, asset-
backed securities benefited from confidence that early supply fears were
overstated, and also from solid demand from investors.
As interest rates rose, mortgages benefited from reductions in prepayment
expectations. This hawkish environment ultimately led to a rally in the
adjustable-rate mortgage sector due to investor demand for floating-rate and
short duration securities.
Rallying most of the year, emerging market debt was a key contributor to
Portfolio returns in 1999. These results were due to strong equity market
performance across the globe and improving economic conditions in emerging
market countries. Although dogged by an increase in issuer defaults, the high
yield bond sector staged a recovery in the fourth quarter, benefiting from the
rallying stock market.
Q: What is your outlook for 2000?
A: We remain positive on the fixed income market, though we anticipate
additional Federal Reserve tightening throughout 2000. Within the emerging
markets sector specifically, we also remain positive, although further spread
contraction may be limited by a significant increase in new supply in the early
part of 2000.
Equity Portfolio
- ----------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The Equity Portfolio's total return for the year ended December 31, 1999 was
38.54%**, outpacing both the S&P 500 Index's return of 21.04%* and the Russell
1000 Growth Index return of 33.16%*.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-5
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Russell 1000
Equity Growth S&P 500
Portfolio Index Index
--------- ------------ ----------
<S> <C> <C> <C>
01/31/90 10,000 10,000 10,000
12/31/90 9,746 9,974 9,690
12/31/91 12,644 14,080 12,635
12/31/92 13,444 14,784 13,597
12/31/93 15,602 15,213 14,958
12/31/94 15,154 15,617 15,148
12/31/95 18,761 21,423 20,857
12/31/96 24,019 26,376 25,645
12/31/97 28,389 34,419 34,201
12/31/98 36,990 47,744 43,975
12/31/99 51,248 63,578 53,230
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Equity Portfolio** 38.54% 27.59% 17.73%
S&P Index* 21.04% 28.55% 18.20%
Russell Index* 33.16% 32.41% 20.32%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The economy continued to advance in the quarter, evidenced by U.S. GDP
growth running, in recent months, at 5% or better on an annualized basis, a 31-
year high in consumer confidence and a 29-year low in the domestic jobless
rate. The Federal Reserve, however, mindful of the risks associated with a
shrinking labor supply, raised interest rates again during the quarter,
resulting in a total increase of the Federal Fund's interest rate of 0.75% in
1999.
The year was exceptional for U.S. stock indices. While the S&P 500 Index and
Russell 1000 Growth Index had 1999 returns of 21.04%* and 33.16%*,
respectively, the Russell 2000 Index, which severely lagged larger-cap indices
earlier in the year, posted a 21.26%* return during this period, ending the
year ahead of the S&P 500 Index for the first time in six years.
Goldman Sachs employs an investment strategy which considers three
investment themes: value, momentum, and low risk (CORE strategy). 1999
witnessed record-setting spreads between returns for growth-oriented and value-
oriented investments, as the Russell 1000 Growth Index's return of 33.16%*
significantly outpaced the 7.35%* return of the Russell 1000 Value Index.
Consequently, the Portfolio's tilt toward growth-oriented stocks benefited the
Portfolio.
Based on rigorous testing of the variables that have led to excess returns
in the past, Goldman Sach's strategy seeks 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 work well simultaneously.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The Portfolio seeks sector weightings and distribution among size categories
close to those of the Russell 1000 Growth Index. On a sector basis, recent
stock selection within the Portfolio was best in the technology, financial and
consumer services sectors. In contrast, returns for the Portfolio's holdings in
consumer services, consumer cyclicals and, especially, consumer non-cyclicals
were lower than their peers in the Russell 1000 Growth Index.
Q: What is your outlook for 2000?
A: Although we do not make market predictions, we believe the positive
inflation environment the markets enjoyed in 1999 is likely to drift up slowly
over the next twelve months. Several favorable factors that have helped to hold
down inflation in recent years--such as the strength of the dollar and low
commodity prices--are reversing or are likely to reverse over the next year.
Despite possible short-term volatility in the U.S. markets in 2000, we believe
that our combined qualitative and quantitative stock selection strategy offers
investors the potential to generate solid long-term returns.
Multi-Strategy and Equity Income Portfolios
- -------------------------------------------
Q: How did the Portfolios perform over the year ended December 31, 1999?
A: The total return for the Multi-Strategy Portfolio for the year ended
December 31, 1999 was 7.04%** for the year, compared to the S&P 500 Index's
21.04%* return and the -0.83%* return for the Lehman Brothers Aggregate Bond
Index.
The Equity Income Portfolio gained 13.26%** for the year ended December 31,
1999 versus the S&P 500 Index's return of 21.04%*. J.P Morgan's investment
approach, which selects stocks which are the most undervalued relative to their
longer term earnings and cash flow prospects, proved less effective in a market
fiercely driven by price momentum.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-6
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers
Multi-Strategy S&P 500 Aggregate
Portfolio Index Bond Index
-------------- ------- ---------------
<S> <C> <C> <C>
01/31/90 10,000 10,000 10,000
12/31/90 9,853 9,690 10,895
12/31/91 12,221 12,635 12,639
12/31/92 12,901 13,597 13,576
12/31/93 14,093 14,958 14,901
12/31/94 13,882 15,148 14,466
12/31/95 17,389 20,857 17,139
12/31/96 19,574 25,645 17,758
12/31/97 23,416 34,201 19,474
12/31/98 27,671 43,975 21,169
12/31/99 29,622 53,230 20,992
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Multi-Strategy Portfolio** 7.04% 16.36% 11.47%
S&P Index* 21.04% 28.55% 18.20%
Lehman Brothers Index* -0.83% 7.73% 7.69%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Equity Income S&P 500
Portfolio Index
------------- -------
<S> <C> <C>
01/31/90 10,000 10,000
12/31/90 9,246 9,690
12/31/91 12,152 12,635
12/31/92 12,802 13,597
12/31/93 13,864 14,958
12/31/94 13,824 15,148
12/31/95 18,200 20,857
12/31/96 21,736 25,645
12/31/97 27,954 34,201
12/31/98 34,716 43,975
12/31/99 39,321 53,230
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Equity Income Portfolio** 13.26% 23.25% 14.67%
S&P Index* 21.04% 28.55% 18.20%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the year?
A: The convergence of a strong economy, abundant liquidity, and high investor
confidence going into the Year 2000 rollover fueled a stunning year-end rally.
Stocks surged during the final quarter of 1999, leading the major indices to
close out the millennium at record highs. Still, despite outstanding
performance in the broader market averages, 1999 was a turbulent year with
significant dispersion in returns between sectors and investment styles. Once
again growth outperformed value, large-cap stocks outperformed small-cap
stocks, and technology stocks, despite a difficult first half, delivered
spectacular performance for the year. Internet obsession led the technology
sector to jump 78%--a stunning achievement, particularly following last year's
gain of 78%. Technology now accounts for 30% of the market capitalization of
the S&P 500 Index. By contrast, six of the sixteen sectors we track actually
lost value during 1999: consumer staples (-12.9%), utilities (-9.7%),
transportation (-9.6%), drugs (-9.3%), health service (-7.8%), and consumer
cyclicals (-7.8%). Indeed, fully 49.5% of the stocks in the S&P 500 Index
finished the year lower. This explains why an equal-weighted version of the
S&P 500 Index would have produced roughly one-half the Index's return, or
11.9%, for the year.
Bond yields ended the year sharply higher as investors reassessed the
strengthening economy and anticipated tighter monetary policy after the
arrival of Year 2000. Consumption continued to grow rapidly; the third quarter
final GDP of 5.7% was revised almost a full percentage point above the
original estimate.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Like the market, the sector performance within the Portfolios showed both a
wide distribution of individual returns and a narrow concentration of
outperforming issues. Stock selection among technology issues was particularly
beneficial. Sun Microsystems gained 262% with the dawning of the "thin-client"
age which should favor Sun's high-end server capabilities. Internet optimism
also propelled holdings in Oracle Systems Corporation (+290%), Cisco Systems
Inc. (+131%), and EMC Corp (+116%). And improving semi-conductor supply/demand
characteristics, together with explosive growth in wireless communications,
powered Texas Instruments Inc. shares 126% higher. Underweighting personal
computer makers Dell Computer Corporation and Compaq Computer Corporation,
which underperformed during the year, also contributed to results. On the
other hand, stock picks in the multi-industry group performed poorly. Waste
Management was the worst performer in the Portfolios, losing 63% of
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-7
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
its value as it restated earnings and lowered forecasts. Results were also hurt
by underweighting General Electric, whose 54% gain accounted for almost 10% of
the rise in the S&P 500 Index.
Within fixed income, the Multi-Strategy Portfolio was conservatively
positioned in the credit sectors and held a heavy allocation to U.S.
Treasuries. In addition, we maintained an overweight position in the mortgage
sector. Toward the end of the year, the Portfolio's largest positions vis-a-vis
the major aggregate indices reflected our positive outlook on mortgages
relative to U.S. Treasuries. The corporate sector outperformed Treasuries
during the last quarter primarily due to the abatement of Year 2000 fears in
the market and the presence of buyers who had built up cash and were stretching
for yield ahead of the first quarter. The Portfolio was modestly overweight in
the corporate sector, and we remain comfortable with the overweight position in
anticipation of a strong economic backdrop and light near-term supply.
Q: What is your outlook for 2000?
A: The strength of high-profile equity indices despite notable increases in
bond yields and measured price inflation was arguably the defining feature of
the financial market activity in 1999. The Federal Reserve's active pursuit of
a generous monetary policy on the eve of the calendar date change to 2000,
coincident with high investor confidence, produced this result. Going forward,
we believe the medium-term goal will be tighter, not easier, monetary
conditions. Rising interest rates should curb euphoric consumer confidence and
spending, and could dampen upside potential for U.S. stocks. The technology
sector may be particularly vulnerable in this scenario, since stocks in this
sector trade at 2.5 times the market multiple and currently claim over 80% of
net domestic mutual fund inflows.
Growth LT Portfolio
- -------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The Growth LT Portfolio was extremely well positioned to benefit from the
market's somewhat lopsided strength, and its 98.08%** total return for the year
ended December 31, 1999 nearly quintupled the 21.04%* gain recorded by the S&P
500 Index for the year. As always, Janus has the efforts of our research team
and their relentless drive to uncover individual companies in the market that
benefit the Portfolio.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Growth LT S&P 500 Russell 2500
Portfolio Index Index
--------- ------- ------------
<S> <C> <C> <C>
01/31/94 10,000 10,000 10,000
12/31/94 11,326 10,127 9,894
12/31/95 15,489 13,944 13,030
12/31/96 18,254 17,145 15,512
12/31/97 20,255 22,865 19,290
12/31/98 32,060 29,399 19,364
12/31/99 63,505 35,587 24,040
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years
------ -------
<S> <C> <C>
Growth LT Portfolio** 98.08% 41.17%
S&P Index* 21.04% 28.55%
Russell Index* 24.15% 19.43%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The U.S. economy remained strong throughout the year, continuing its longest
run of peacetime expansion in history. If anything, the American economy
performed too well - during the last half of the year, the Federal Reserve
increased short-term interest rates three times in an effort to cool growth.
The Federal Reserve's actions, together with an ever-present fear of inflation,
kept share prices volatile for most of 1999. Still, there were immense pockets
of strength as technology and other high-growth sectors led most major market
indices to new highs by year-end.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Exceptional growth in cellular subscriber rates continued to support handset
manufacturer Nokia Corporation, which controls a large and growing share of the
handset and cellular infrastructure markets. Another obvious beneficiary was
Texas Instruments Inc., whose digital signal processing chips power roughly 70%
of the nearly 300 million cellular phones sold worldwide this year. Both
companies, as well as our other carefully selected cellular stocks, are poised
for even greater growth as wireless data emerges as a visible driver for the
shares in coming months.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-8
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Meanwhile, the premium paid by the market to companies that have
established a dominant position on the Internet continued to widen, and the
Portfolio's stake in America Online, Inc. ("AOL") gained as a result.
Amazon.com, which emerged from the 1999 holiday shopping season as the
undisputed leader in online retailing, was another standout performer. Video
game software manufacturer Electronic Arts Inc., which holds a near-lock on
the lucrative sports game market, also traded higher. A recent agreement that
establishes Electronic Arts as the sole provider of gaming content to AOL
provided additional support for the company's shares late in the year. We are
excited about the company's expanding online presence. Not all of the
Portfolio's successful Internet-related positions are content types, however.
Exodus Communications Inc., a company that provides web hosting to large and
mid-sized companies, and Cisco Systems Inc., which boasts virtually a 100%
market share in the provision of Internet switches and connectivity products,
are both enjoying massive growth largely independent of the battles currently
being fought for Internet supremacy.
While we were pleased with the Portfolio's performance, there were some
setbacks. Large-cap pharmaceutical shares were pressured by a number of high-
profile pipeline disappointments and uncertainty related to Medicare reform.
As a result, the Portfolio's position in companies such as Schering-Plough
gave ground. Interest rate uncertainty also pressured a number of the
Portfolio's financial stocks, including Firstar Corporation and Fifth Third
Bancorp, both of which lagged the overall market. However, each company
possesses extremely strong fundamentals and a unique franchise, and we have
maintained the Portfolio's positions.
Q: What is your outlook for 2000?
A: Looking ahead, while we view the successes of 1999 as a validation of our
investment process, there will no doubt be bumps in the road as we enter 2000.
A continued expansion of the U.S. economy may pressure interest rates and keep
stock prices volatile, but we are confident that our intensive, collaborative
approach continues to be an excellent way to navigate an increasingly
uncertain market.
Mid-Cap Value Portfolio
- -----------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The Mid-Cap Value Portfolio's total return for the period since its January
4th inception through December 31, 1999 was 5.22%**, which underperformed the
Russell Mid-Cap Index return of 18.23%* for the year; however, the Portfolio
outperformed the value component of the Index for the year, which was -0.11%*.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Mid-Cap Russell
Value Mid-Cap
Portfolio Index
--------- -------
<S> <C> <C>
01/04/99 10,000 10,000
03/31/99 10,068 9,953
06/30/99 11,198 11,034
09/30/99 9,558 10,086
12/31/99 10,521 11,824
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year
------
<S> <C>
Mid-Cap Value Portfolio**
(Operations commenced on January 4, 1999) 5.22%
Russell Mid-Cap Index* 18.23%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: Investor excitement over the potential of the "new economy", characterized
by the convergence of technology and telecommunications, ignited a powerful
rally in those stocks perceived to be leading this revolution. The mid-cap
technology and telecommunications sectors each gained well over 100% in 1999
while, outside of these favored groups, mid-caps actually declined. The strong
performance of technology, which is well represented in growth indices, led to
the Russell Mid-Cap Growth Index outperforming its value counterpart by the
widest margin ever, rising over 50%, while the value index actually declined.
After five consecutive years of buoyant equity markets, investors have
displayed a high tolerance for risk, avoiding profitable companies in
established industries in favor of the promise of innovative companies in new
industries. In fact, stocks in the Russell Mid-Cap Index that have lost money
during the past year were up a startling 163% on average in 1999, well ahead
of the returns of profitable companies. The complete dominance of stocks whose
value lies in the promise of future earnings was particularly surprising in
light of the sharp rise in interest rates during the year. Rising rates
generally weigh on growth stocks since it serves to reduce the current value
of their future earnings.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-9
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: The Portfolio's low weight in technology and telecommunications
significantly detracted from returns during 1999. In addition, while the
holdings in these groups performed quite well, they could not keep pace with
the spectacular gains of the more speculative stocks in these sectors.
Technology and telecommunications are clearly benefiting from powerful secular
trends, but valuations have reached unprecedented heights. Lazard continues to
seek stocks in these sectors that offer an attractive trade-off between
valuation and financial productivity. Market weakness during the summer gave us
the opportunity to commit capital to technology, while maintaining our
valuation discipline, for which we were rewarded during the fourth quarter
rally. We also seek to identify companies that, unbeknownst to most investors,
are poised to benefit from these powerful trends.
Q: What is your outlook for 2000?
A: Investors' narrow focus on technology and telecommunications has also
created opportunities among traditional companies. After all, it is the
traditional companies that are responsible for much of the demand for
information technology as they seek to improve their operations by
incorporating the Internet and other technologies into their businesses. Yet
the potential improvement in efficiency and profitability at traditional
companies is clearly not incorporated into their valuations. The wisest
strategy for the new era is one that shuns neither technology nor traditional
sectors, but which finds the relative value within each sector based on
thorough analysis of individual companies and an understanding of the global
market in which they compete.
Equity Index Portfolio
- ----------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: For the year ended in December 31, 1999, the total return for the Equity
Index Portfolio was 20.59%** versus the 21.04%* 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.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: Broad market equity index returns were positive across small-, mid- and
large-capitalization asset classes during the fourth quarter. Small-caps
outperformed large-caps for the quarter. The Russell 2000 Index outperformed
the S&P 500 Index on an annual basis for the first time in five years. Top
stocks in the index in 1999 included Qualcomm Inc., Sprint Corp (PCS) and
Nextel Communications Inc-A. The worst performers included Mckesson HBOC Inc.,
Rite Aid Corp. and Service Corp International. Large growth stocks outperformed
large value stocks for the quarter and the year. There were 41
additions/deletions to the index for the twelve month period. Changes to the
index for the fourth quarter included Yahoo Inc. which replaced Teradyne Inc.
which was acquired by EMC Corporation.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Stronger performing sectors for the year included technology (up 75.13%),
capital goods (up 28.91%) and basic materials (up 26.37%). Weaker performing
sectors included health care (down -8.24%), utilities (down -8.88%) and
transportation (down -9.68%).
As the Portfolio seeks to replicate an index, Bankers Trust neither
evaluates short-term fluctuations in the Portfolio's performance nor manages
according to a given outlook for the equity markets or for economic conditions
and how they affect the financial markets.
Q: What is your outlook for 2000?
A: As the new portfolio manager effective January 1, 2000, Mercury Asset
Management U.S. ("Mercury"), expects 2000 to be another year of strong growth,
low inflation, and double-digit earnings gains. The current expansion is about
to go into the record books as the longest in U.S. history with the U.S.
economy entering the millennium at cyber speed. We are looking for GDP to rise
3.8% in 2000 vs. 4% in 1999 and core inflation to remain below 2% during 2000.
The overall Consumer Price Index ("CPI") will probably rise initially in 2000
in reaction to higher oil prices, but we expect oil prices to fall after the
first quarter. The Federal Reserve will probably tighten again, pushing the
Federal Fund's interest rate up to 5.75% by the end of the first quarter. We
assume that will be enough for the Federal Reserve, since domestic demand
should be moderating, but that depends on labor market developments. We
anticipate bond yields remaining in a broad 5.9-to-6.4% range, with some upside
risk. As seen in 1999, we expect small-cap
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-10
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
stocks to outperform large-cap stocks. For small-cap stocks in particular, we
predict a rekindling of value stocks and continued dominance in technology
shares.
Small-Cap Index Portfolio
- -------------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The Small-Cap Index Portfolio's total return since its January 4th
inception through December 31, 1999 was 19.36%** versus the 21.26%* return of
the Russell 2000 Index. The Portfolio seeks to replicate as closely as
possible, before expenses, the total return of the Russell 2000 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: Small-cap stocks leapt ahead of larger cap stocks at the end of the fourth
quarter. Small growth stocks lead the Russell 2000 Index to positive double
digit returns for the quarter, and notably this index outperformed the S&P 500
Index and Russell 1000 Indices for the year. Small growth stocks, as
represented by the Russell 2000 Growth Index and lead by technology and
Internet related stocks, outperformed small value stocks by more than 30% for
the quarter and more than 40% for the year. Growth oriented stocks represent
approximately 74% of the index.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Stronger performing sectors for the year included technology (up 101.32%),
utilities (up 40.90%) and producer durables (up 36.77%). Weaker performing
sectors included auto and transportation (down -5.41%), financial services
(down -5.87%) and consumer staples (down 20.80%). This year's better
performing stocks in the index included Clarify Inc., Proxim Inc and Idec
Pharmaceuticals Corp.
As the Portfolio seeks to replicate an index, Bankers Trust neither
evaluates short-term fluctuations in the Portfolio's performance nor manages
according to a given outlook for the equity markets or for economic conditions
and how they affect the financial markets.
Q: What is your outlook for 2000?
A: As the new portfolio manager effective January 1, 2000, Mercury Asset
Management U.S. ("Mercury"), expects 2000 to be another year of strong growth,
low inflation, and double-digit earnings gains. The current expansion is about
to go into the record books as the longest in U.S. history with the U.S.
economy entering the millennium at cyber speed. We are looking for GDP to rise
3.8% in 2000 vs. 4% in 1999 and core inflation to remain below 2% during 2000.
The overall CPI will probably rise initially in 2000 in reaction to higher oil
prices, but we expect oil prices to fall after the first quarter. The Federal
Reserve will probably tighten again, pushing the Federal Fund's interest rate
up to 5.75% by the end of the first quarter. We assume that will be enough for
the Federal Reserve, since domestic demand should be moderating, but that
depends on labor market developments. We anticipate bond yields remaining in a
broad 5.9-to-6.4% range, with some upside risk. As seen in 1999, we expect
small-cap stocks to outperform large-cap stocks. For small-cap stocks in
particular, we predict a rekindling of value stocks and continued dominance in
technology shares.
REIT Portfolio
- --------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: For the period since its January 4th inception through December 31, 1999,
the REIT Portfolio's total return was -0.01%** versus -4.62%* for the North
American Real Estate Investment Trust Equity Index ("NAREIT Equity Index").
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
REIT NAREIT Equity
Portfolio Index
--------- -------------
<S> <C> <C>
01/04/99 10,000 10,000
03/31/99 9,709 9,518
06/30/99 10,855 10,478
09/30/99 9,998 9,636
12/31/99 9,998 9,539
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year
------
<S> <C>
REIT Portfolio**
(Operations commenced on January 4, 1999) -0.01%
NAREIT Equity Index* -4.62%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. 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 year?
A: Performance of the REIT market in the fourth quarter of 1999 resembled the
pattern established for much of the previous six quarters, featuring
persistent downward pressure with intermittent rallies. Despite declining
through mid-December to its 52-week low (a level last witnessed in November
1996), due to a lack of interest by non-dedicated investors and tax loss
selling, the sector rallied 9% in the last half of December as value investors
appeared to gain a renewed interest. REIT share prices are now trading at more
than a 15% discount to the underlying net asset value ("NAV") of their assets.
Despite the attractive arbitrage between valuations in the public versus the
private real estate markets, there was very little interest by non-dedicated
institutional investors in the sector this past year. (Morgan Stanley defines
real estate arbitrage as the pricing disparity between prices of actual
properties in the private real estate market versus the implied pricing of
properties owned by public companies based on their share price).
Our investment perspective is that over the medium- and long-term the
largest determinant of the value of real estate stocks will be underlying real
estate fundamentals. We measure the sector based on the price to NAV per share
ratio ("P/NAV"). Given the large and active private real estate market, we
believe that there are limits as to the level of premium or discount at which
the sector can trade relative to its NAV. These limits can be viewed as the
point at which the arbitrage opportunity between owning real estate in the
private versus public markets becomes compelling (allowing for the notion that
the public market has a tendency to over-shoot both on the upside and
downside). The current pricing causes us to return to the same fundamental
question: is the public market valuation accurately predicting a decline in
real estate values or is the public market simply oversold? Although we retain
a healthy respect for the predicting power of the public markets, our bias is
to support the opinion that the market is oversold.
The prices of public real estate securities continued to decline despite
favorable activity in the underlying real estate markets and a corresponding
increase in private real estate values. Generally, real estate markets remain
in equilibrium as strong levels of demand are serving to mute any serious
threat of oversupply. This strength was witnessed throughout the year as
public companies reported strong same-property cash flow growth and
correspondingly, strong growth in asset value per share. Our analysis of third
quarter earnings indicates that the property markets generally remain strong,
buoyed by the continuation of a strong economy. Same-property cash flow growth
averaged approximately 5% for the quarter, with the office sector providing
the best results. We anticipate a moderating of this growth, primarily due to
a combination of smaller re-leasing spreads when expiring (lower priced)
leases are being rolled to market rents and an eventual slowing of the U.S.
economy.
In 1999, there was leveraged buy-out activity in each of the asset classes;
although the level of activity varied by sector. The multifamily sector had
the greatest degree of success, primarily based on this asset class being able
to support the highest level of debt. Further evidence of the favorable real
estate arbitrage is the pervasive adoption of share buyback programs. Instead
of buying or developing properties, companies are utilizing retained cashflow
to fund share buybacks, effectively to purchase real estate in the cheapest
manner (by buying their stock that trades at a discount to private real estate
value). The most recent decline in prices served to increase the number of
share buyback programs. We have been strong advocates for companies to perform
the analysis of this strategy. Through the third quarter, more than 50
companies authorized share buyback programs and had purchased in excess of $1
billion of stock, representing more than 2% of their equity capitalization.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: In general, the Portfolio's performance for 1999 was equally supported by
sector allocation and stock selection. The largest contributions came from
stock selection in the apartment and hotel sectors. The decision to overweight
office properties and manufactured home communities was also a significant
factor. Finally, specific retail companies provided some modest gains but was
more than offset by a few office names suffering from selling pressure.
Q: What is your outlook for 2000?
A: We have continued to caution investors that there remain threats of over-
supply, but strong demand is serving to mute any serious concern at this time.
Generally, there continues to be evidence of a maturing real estate market as
the improvement in fundamentals has begun to plateau.
We have continued to shape the Portfolio with companies offering attractive
fundamental valuations
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-12
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
relative to their underlying real estate value. Throughout the year, we were
encouraged by the strength of the U.S. economy. Current economic consensus for
strong GDP growth in 2000 causes us to continue to believe that real estate
fundamentals will remain favorable. The top-down weightings in the Portfolio
are anticipated to remain similar to last quarter, with a modest bias toward
central business district and Southern California office properties and away
from grocery-anchored shopping centers. We maintain an overweight position in
markets with greater barriers to entry, including West Coast apartments and
downtown office buildings. We continue to take advantage of the relative
similarity in pricing of companies to upgrade the Portfolio, measured both in
terms of the quality of properties held by the companies and the management
teams at the companies.
International Portfolio
- -----------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The International Portfolio's total return for the year ended December 31,
1999 was 22.82%** versus the benchmark Morgan Stanley Capital International
Europe Australiasia Far East Index's ("MSCI EAFE Index") return of 27.30%*.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International EAFE
Portfolio Index
------------- -----
<S> <C> <C>
01/31/90 10,000 10,000
12/31/90 8,653 7,654
12/31/91 9,597 8,579
12/31/92 8,659 7,528
12/31/93 11,259 9,984
12/31/94 11,599 10,763
12/31/95 12,824 11,977
12/31/96 15,630 12,702
12/31/97 17,080 12,927
12/31/98 18,034 15,535
12/31/99 22,148 19,775
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
International Portfolio** 22.82% 13.81% 8.28%
EAFE Index* 27.30% 13.15% 7.33%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The theme for 1999 was global recovery, with the fourth quarter being the
main driver of performance for EAFE markets as two thirds of the MSCI EAFE
Index's approximately 27% appreciation was gained during that period. However,
the strong returns of the fourth quarter came from a narrow market with "new
economy" companies in the technology and telecommunications sectors enjoying
superior returns, while traditional cyclical and defensive names languished.
The commencement of global economic healing after a turbulent 1998, as well as
numerous interest rate cuts, helped to boost most international developed
markets in the first half of the year. Although some central banks reversed
policy by increasing interest rates in response to faster than expected growth
during the second half, this did not have an appreciable effect on markets.
International markets surpassed the results of the U.S. market for the first
time since 1994 as strong global growth propelled these markets which are
earlier in their economic cycles relative to the U.S.
The Japanese market enjoyed spectacular performance during the year thanks
to continued economic recovery, corporate restructuring and supportive fiscal
policies. The market saw record buying by foreign as well as domestic retail
investors, particularly during the fourth quarter. The release of second
quarter GDP (up .9%) in September after an impressive first quarter rise of 8%
was an important catalyst for many international investors to deploy assets
into the region as underweight Japan global accounts scrambled to increase
their positions given the increasing momentum in the economy. Much of 1999 was
the year of the exporter, with companies such as Sony Corporation, Nintendo
Corporation and Hitachi Ltd. enjoying record appreciation. The exporters were
seemingly invulnerable, rising in the face of the yen's 14% appreciation
relative to the U.S. dollar during the year. The fourth quarter saw the
market's narrow focus on technology/telecom/Internet in lockstep with the
global phenomenon. Seldom have so many mega-cap stocks produced such outsized
gains as they did during most of 1999.
For European markets, the year proved to be one of extremes with the first
and fourth quarters dominated by the strength of large-cap growth names, while
the middle of the year saw value's reemergence. Europe's newly introduced
single currency, the euro, weakened 15% relative to the U.S. dollar, reaching a
level below parity before finishing the year at 1.01 to the U.S. dollar. All of
the gains seen in Europe during 1999 took place during the fourth quarter as
the surge of telecoms and technology gave way to a narrow market driven by
companies such
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-13
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
as Nokia, Ericsson, Vodafone and Mannesmann AG. Despite a strong fourth
quarter, Europe lagged all other developed market regions for the year as the
core economies in that region struggled with sluggish growth, unemployment and
weakening currencies relative to the U.S. dollar. The less-than-dramatic
European recovery witnessed during the first half of the year gave way to
stronger results during the second half as supportive fiscal policies,
continued global healing and accelerated export growth, driven by a falling
euro helped Europe enjoy stronger earnings growth. The continuation of Merger
and Acquisition ("M&A") activity in 1999 added fuel to markets as deals
reached an unprecedented level, surpassing the $1 trillion mark.
The markets of non-Japan Asia enjoyed solid returns for the year fueled by
economic revival, plentiful liquidity, positive current account balances and
low interest rates. Hong Kong and Singapore benefited from an increase in
exports due to competitive currencies vis-a-vis the Japanese yen, while the
rise of oil prices benefited Australia and New Zealand. The MSCI Pacific ex-
Japan Index appreciated 42.58%* in U.S. dollar terms (+38.69%* in local
currency terms) during 1999.
The International Portfolio began the year underweight versus the MSCI EAFE
Index in Japan and Asia (18.8% vs. 21.0%, and 3.6% vs. 5.5% respectively), and
almost even with the MSCI EAFE Index in Europe (73.6% vs. 73.4%). Early in the
year Morgan Stanley steadily increased the allocation to Japan from
underweight to neutral and then to overweight, while decreasing exposure to
Europe. We also increased exposure to Asia ex-Japan beginning in the second
quarter by putting the Portfolio in a neutral stance, and again in the fourth
quarter to be overweight relative to its benchmark. As of year-end we
maintained the following positions relative to the MSCI EAFE Index: Europe
59.0% vs. 66.6%, Japan 29.4% vs. 27.4%, Asia 6.6% vs. 6.0%. These strategies
proved to be successful as Japan and Asia were the relative outperformers,
gaining 61.53% and 42.58% respectively, while Europe underperformed,
appreciating 15.89% as compared to the MSCI EAFE Index gain of approximately
26.96%.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: During the first three quarters, European stock selection was strong. Our
overweight to the consumer goods and capital equipment industries, both of
which surged on signs of economic recovery, contributed to Portfolio results.
However, this strategy negatively impacted the Portfolio during the fourth
quarter when growth stocks rose at the expense of value. Portfolio
underperformance is attributable primarily to results seen during the fourth
quarter which was characterized by a narrow market favoring the technology and
telecom sectors, especially within Europe. Our attention to valuation caused
us to be underweight in these sectors. Not owning "new economy" companies such
as telecom giants Nokia, Ericsson and Siemens, which had extraordinary
appreciation, significantly impacted results. Simultaneously, the Portfolio's
overweight positions in Beverages & Tobacco as well as in Food & Household
products also detracted from returns. Specific consumer staples which
detracted from results included Great Universal Stores which suffered due to
the trend toward Internet shopping as well as difficulty in competing with
discount stores, and Nestle S.A. and Diageo PLC, which suffered from
disappointing earnings.
Additionally, our avoidance of Japanese bank stocks impacted overall
results as this sector surged in response to several merger announcements in
October. Since we began managing the Portfolio, we have not held Japanese
banks given their high level of nonperforming loans. We have, however, seen
signs of recovery in this sector and plan to begin selectively adding Japanese
banks to the Portfolio.
Factors contributing to performance during the year included the
Portfolio's overweight to global franchise Blue Chip Japanese exporters such
as Sony Corporation, Kyocera Corporation and Fujitsu Ltd., which benefited
first from the yen's weakness, and later from the rise of technology oriented
companies. Additionally, United Kingdom media oriented companies (WPP Group
PLC, Capital Radio) benefited from the continued growth of the Internet,
adding to performance, while our telecom names (British Telecom, Deutsche
Telekom, Telefonica S.A.) rode the wave of the telecommunication mania.
Q: What is your outlook for 2000?
A: We believe that international equities will continue the trend seen in the
fourth quarter, and will outperform the U.S. during the next six months.
Economies within the MSCI EAFE Index's universe should continue to strengthen
and earnings growth is expected to accelerate as these markets are behind the
U.S. in their economic cycle. In the long-term we look to Japan to lead
international markets, as the cyclical recovery seen during 1999 seems to be
turning into a secular recovery for 2000. Europe looks poised to benefit from
the continuation of
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-14
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
supportive fiscal policies and the M&A trend, as well as a broadening of the
market. Asia ex-Japan should see a transition from the liquidity driven rally
seen over the past year, into an earnings-driven phase as corporate
restructuring and government reform continue and the consumer begins to play
an increasingly active role thanks to hefty stock market gains from the past
year, falling unemployment and low inflation and interest rates.
In 2000, Europe looks poised to post the sixth consecutive year of double
digit returns, with growth surpassing the U.S., which is later in the economic
cycle. Interest rates in Europe, though expected to rise, should remain
supportive. Drivers of European GDP growth include deregulation, declining tax
rates, and increased capital investment. The European macroeconomic backdrop
is favorable to value-style investing as core economies are firmly in a
recovery, and restructuring continues due to global competition. Managements'
desire to steer companies in a global direction should drive the M&A trend.
This should be further aided by the entrenchment of a single European market
with barriers such as governments' defense of local companies from outside
predators decreasing. As these obstacles disappear, cross border deals will
likely increase, aided by the move toward a pan-European stock exchange.
Additionally, as the European equity culture evolves, corporate leaders are
forced to respond to shareholder demands of higher returns by aggressively
pursuing mergers, downsizing and restructuring in an attempt to gain
profitability through core competencies.
We expect to see a broadening of market leadership beyond the technology
and telecom sectors in 2000. We believe valuations have become extended to an
unprecedented level, and the companies in these sectors would have to deliver
exceptional revenue growth to justify their current valuations. We recognize
that technological innovations and their impact on economies are not passing
trends, and plan to capitalize on their growth. We are exploring opportunities
in reasonably valued companies which will benefit from the continued
prominence of technology industries. These include media companies engaged in
Internet advertising, infrastructure companies, Internet Service Providers and
e-commerce enablers.
We expect Japan to outperform other MSCI EAFE Index regions in the coming
year. During the last six months, evidence of a secular recovery in the
Japanese economy has begun to mount, with low inventory levels and improvement
in retail sales. An additional supplementary budget amounting to 3% of GDP was
announced in November and will take effect in April, further boosting the
economy. Continued recovery in Asia will benefit Japan as over 40% of its
exports go to Asia: We are finding remarkable value in leading Japanese
companies which have been restructured, have highly focused management and
where real earnings momentum is beginning to show significant promise on a
sustainable basis. While most of 1999's recovery was based on a cyclical
upturn, we believe our assumptions of a secular recovery will likely reward
domestic and economically sensitive stocks which are at highly attractive
valuations relative to the "new economy" companies. If this forecast is
correct, we believe that the current Portfolio is well positioned,
particularly if the appreciation of the yen subsides.
The Japanese market should benefit from over $400 billion in bonds maturing
over the next 12-15 months which will be available for reinvestment. We
believe the consumer will play an increasingly important economic role in 2000
as stabilizing unemployment, improving consumer spending (which accounts for
60% of GDP) and a high savings rate help drive domestic investors into the
market. Foreign buyers should also continue to enter Japan thanks to cheap
valuations relative to other developed markets. We also believe Japan is
poised to benefit from the digital revolution, with companies like Sony
Corporation and Nintendo Corporation enjoying market leadership in the DVD and
digital Internet connectivity industries.
We remain optimistic about developed Asian markets as we begin the new
millennium. The liquidity driven rally seen in 1999 should transition into an
earnings-driven phase of the bull market. Asia's earnings revision and
industrial activity growth seem to be mapping a sustainable recovery, with top
line growth increasing while restructuring activity continues. Moreover,
positive current account balances are providing some measure of defense
against rising U.S. interest rates, and in turn, rising local rates. The baton
of growth should now pass to consumers who have been fattened by hefty stock
market gains, a high savings rate, falling unemployment, and low inflation and
interest rates. In fact, there have already been signs that locals have begun
to drive the market with the MSCI Singapore Index returning 99% versus the
Singapore Free Index (securities open to foreign investors) rising 60% for the
year. Export sectors should also benefit from global healing as well as from
more competitive currencies vis-a-vis the yen, increased intra-Asian trade and
the rise of global electronics demand.
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-15
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Government Securities and Managed Bond Portfolios
- -------------------------------------------------
Q: How did the Portfolios perform over the year ended December 31, 1999?
A: The total return for the Government Securities Portfolio was -1.95%** versus
- -2.25%* for the Lehman Brothers Government Bond Index. The total return for the
Managed Bond Portfolio for the year ended December 31, 1999 was -1.91%** versus
- -2.15%* for the Lehman Brothers Government/Corporate Bond Index.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Government Lehman Brothers
Securities Government Bond
Portfolio Index
---------- ---------------
<S> <C> <C>
01/01/90 10,000 10,000
12/31/90 10,801 10,872
12/31/91 12,600 12,538
12/31/92 13,547 13,444
12/31/93 15,010 14,877
12/31/94 14,246 14,375
12/31/95 16,925 17,011
12/31/96 17,425 17,484
12/31/97 19,077 19,159
12/31/98 20,839 21,046
12/31/99 20,430 20,547
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Government Securities Portfolio** -1.95% 7.48% 7.41%
Lehman Brothers Index* -2.25% 7.43% 7.48%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Lehman Brothers
Managed Bond Government/Corporate
Portfolio Bond Index
------------ --------------------
<S> <C> <C>
01/31/90 10,000 10,000
12/31/90 10,852 10,828
12/31/91 12,701 12,575
12/31/92 13,803 13,529
12/31/93 15,409 15,021
12/31/94 14,738 14,495
12/31/95 17,544 17,281
12/31/96 18,291 17,785
12/31/97 20,107 19,520
12/31/98 21,958 21,370
12/31/99 21,538 20,910
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
Managed Bond Portfolio** -1.91% 7.88% 7.97%
Lehman Brothers Index* -2.15% 7.60% 7.66%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolios' performance during the year?
A: Interest rates rose dramatically in 1999. The yield on 30-year Treasury
bonds was 5.09% at the beginning of the year and ended the year at 6.47%. The
Federal Reserve raised short-term interest rates three times during the year,
taking back all three of its moves to lower rates during the financial crisis
of 1998. Economic growth in the U.S. continued at a record pace, while
inflation remained under control.
Rising interest rates led to a difficult year in the bond market, as the
Lehman Brothers Aggregate Bond Index ("Aggregate Index") returned -0.83%* for
1999. The Lehman Brothers Government Bond Index and their Government/Corporate
Bond Index both underperformed the Aggregate Index with a return of -2.25%* and
- -2.15%*, respectively. The government sector was hurt by the reversal of the
flight to quality of 1998, and was the worst performer in the Aggregate Index
with a -2.25%* return, as measured by the Lehman Brothers Government Bond
Index. Investment grade corporate bonds were down -1.96%, as their modest
spread tightening was not enough to overcome the negative effects of higher
interest rates in general. Mortgages were the best performing sector in 1999
with a return of 1.86%.
High yield bonds posted positive returns in 1999 following a poor 1998.
However, credit concerns increased toward the end of 1999 as corporate default
levels were at record highs given the strong economic activity in the U.S.
Below investment grade securities, as measured by the Lehman Brothers BB
Intermediate Bond Index, posted a return, of 2.21%*. Emerging market securities
staged a significant recovery, as the JP Morgan Emerging Markets Bond Index was
up 19.52% for the year. Non-U.S. bonds outperformed the U.S. market, with the
JP Morgan Non-U.S. Government Bond Index up 2.48% for the year. Non-U.S. bond
performance was driven primarily by the strong Japanese bond market.
Q: Can you discuss some of the types of securities/sectors which performed well
and those which reported disappointing results?
A: The Managed Bond Portfolio outperformed the Lehman Brothers
Government/Corporate Bond Index in 1999 by approximately 92 basis points in
1999. The Portfolio's above-index duration was a slight negative as interest
rates rose. An emphasis on mortgage-backed securities helped returns as this
sector outpaced Treasuries amid increased market stability and narrower yield
premiums. Modest holdings of below-investment grade bonds and emerging market
securities benefited returns due to their rebound following the financial crisis
of 1998. The
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-16
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Government Securities Portfolio outperformed the Lehman Brothers Government
Bond Index by approximately 99 basis points. The Portfolio's duration was near
its benchmark index, which was neutral for performance. Exposure to mortgage-
backed securities added to returns because, as mentioned before, this sector
outperformed Treasuries during the year.
Q: What is your outlook for 2000?
A: We expect growth to slow modestly due to correction of any one of several
unsustainable economic imbalances, including the declining savings rate,
tightening labor markets and the U.S. trade deficit. While we expect inflation
to remain relatively subdued, it should nevertheless trend upward in the face
of wage pressures, higher commodity prices and increased import prices. Higher
inflation keeps interest rates near the top of the Portfolio's secular range.
We expect that the Federal Reserve will tighten at least once during the first
half of 2000 to restrain inflation.
PIMCO plans to target duration slightly below the benchmark, given
expectations for upward pressure on rates. We expect to retain our focus on
intermediate maturities because a relatively flat yield curve offers little
extra yield for extending maturities.
Yield enhancement continues to offer better opportunities for outperformance
of each Portfolio's benchmark index than interest rate strategies in a low
volatility rate environment. Therefore, we plan to continue to write options to
generate income and favor securities with embedded option premiums, such as
mortgages and other callable bonds. We plan to overweight mortgages, which
offer yield premiums well above Treasuries at a time when refinancing risk is
low because of higher rates, while retaining our underweight of investment-
grade corporate bonds, which would suffer adverse price performance if earnings
erode due to slower U.S. growth. Our strategy is to limit holdings of below-
investment grade bonds, focusing on high-quality names amid concern about
declining credit quality. In this environment, we anticipate the Portfolio
holding modest levels of top-tier emerging market bonds, which benefit from
improving growth prospects, and anticipate developing a modest euro currency
exposure based on expectations of improving growth in Europe.
Money Market Portfolio
- ----------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: The Money Market Portfolio continued to outperform the Merrill Lynch 90-day
T-Bill Index ("Merrill Lynch Index") during the second half of 1999. The
Portfolio's return was 4.94%** for the year ended December 31, 1999 which
exceeded the Merrill Lynch Index returns by approximately 9 basis points. The
yield, measured during the seven-day period ending December 31, 1999 was
5.62%**.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The Federal Fund's target interest rate was tightened three times in the
second half of 1999. The twenty-five basis point moves on August 24 and
November 16 reversed the easing that took place to facilitate liquidity in the
latter part of 1998. This action served to move yields upward across the curve.
Throughout the second half of the year, 30, 60 and 90-day commercial paper
rates increased nearly 150, 110 and 80 basis points respectively. Much of this
move took place in November and early December as issuers flooded the market
with paper. Looking to complete year-end financing earlier than normal meant
paying higher yields to investors. Most issuers were willing to do this in
order to avoid any potential Year 2000 conflicts.
Issuance of acceptable yield enhancing asset-backed securities decreased as
the year went on. To replace lost yield, the percentage of high quality
corporate bonds in the Portfolio increased to nearly 19%. Additionally, Pacific
Life took advantage of the higher yielding commercial paper that issuers were
willing to write into early 2000.
Portfolio holdings increased a dramatic 123% in 1999. This compares to an
average money market fund increase of just over 17%. To facilitate liquidity in
anticipation of potential withdrawals following Year 2000 inflows, we
positioned a larger portion of Portfolio investments in maturities ranging from
over-night to January 2000. At times, this meant sacrificing yield as the yield
curve steepened over year-end.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: We continue to see a variance in commercial paper pricing precipitated by
differences in issuer liquidity. For example, large benchmark programs such as
General Motors Acceptance Corporation, Ford Motor Credit Company, and General
Electric Capital Corporation maintain wide acceptance, narrow bid/ask spreads
and lower market yields. We were able to find relative value in other top tier
names such as Fortune Brands, Snap On Inc., AT&T Capital Corp. and Pacific Gas
& Electric Corporation.
Issuers experiencing downgrades or placement on ratings watch lists traded
much cheaper relative to the above issuers. Keeping in line with the
Portfolio's
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns
and 7-day yield do not include deductions at the separate account or
contract level for cost of insurance charges, premium loads,
administrative charges, maintenance fees, premium tax charges, mortality
and expense risk charges, or other charges that may be incurred under a
contract which, if incurred, would have resulted in lower returns. Past
performance is not predictive of future performance.
A-17
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
investment policies, we avoid investments in companies on review for possible
downgrade. While most ratings actions have been attributed to pending merger or
acquisition activity, we did see some rating movements due to weak earnings
results.
Q: What is your outlook for 2000?
A: Reasons for maintaining the near term Portfolio average maturity shorter
than the index are two-fold; (one) given large inflows during 1999, potential
redemption activity has increased and; (two) current economic conditions
continue to warrant a tighter Federal Reserve stance, making rate hikes more
likely. We expect at least one or two Federal Reserve actions in the first half
of the year. Holding a shorter average maturity allows more frequent
reinvestments in a rising rate environment. Pacific Life's strategy is expected
to also include targeting floating rate corporate bond investments.
High Yield Bond Portfolio
- -------------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: After underforming the Credit Suisse First Boston Global High Yield Bond
Index ("CS First Boston Index") in the first half of 1999, the High Yield Bond
Portfolio outperformed its benchmark index in the second half of 1999, but not
by enough to make up the difference. The Portfolio finished the year with a
2.90%** total return versus the 3.28%* return of the CS First Boston Index.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
High Yield Lehman Brothers
Bond CS First Boston Government/Corporate
Portfolio Index Bond Index
---------- --------------- --------------------
<S> <C> <C> <C>
01/31/90 10,000 10,000 10,000
12/31/90 10,038 9,362 10,828
12/31/91 12,505 13,459 12,575
12/31/92 14,846 15,702 13,529
12/31/93 17,520 18,672 15,021
12/31/94 17,593 18,492 14,495
12/31/95 20,914 21,710 17,281
12/31/96 23,276 24,405 17,785
12/31/97 25,474 27,486 19,520
12/31/98 26,102 27,647 21,370
12/31/99 26,858 28,553 20,910
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year 5 Years 10 Years
------ ------- --------
<S> <C> <C> <C>
High Yield Bond Portfolio** 2.90% 8.83% 10.39%
CS First Boston Index* 3.28% 9.07% 11.06%
Lehman Brothers Index* -2.15% 7.60% 7.66%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: The Portfolio underperformed the CS First Boston Index for the year
primarily due to its underweight position in emerging markets. Emerging
markets, as represented by the JP Morgan Emerging Markets Bond Index ("EMB
Index"), returned 12.11%* for the year. Additionally, the Portfolio's slightly
longer duration versus the CS First Boston Index contributed to the
underperformance.
In the second half of the year, the Portfolio benefited from its higher
weighting in the upper-tier segment of the high yield bond market as issues of
higher quality rebounded. Also, the Portfolio's overweight position in the
telecommunications sector helped the performance of the Portfolio.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: Several companies in the high yield telecommunications and cable sectors
benefited from merger and acquisition activity. AT&T Canada acquired MetroNet
Communications Corporation, and their bonds were upgraded to investment grade.
Comcast acquired Lenfest, and their bonds also were upgraded. In addition,
Rogers Communications received a substantial investment from Microsoft in the
summer and then AT&T and British Telecommunications jointly purchased 33% of
Rogers Cantel. In both cases, proceeds were used to pay down debt. In emerging
markets, Monterrey Power, a Mexican utility, was a strong performer. Finally,
Grey Wolf, a leading oil and gas drilling company, benefited from higher oil
and gas prices to become a top performer.
Chiquita bonds disappointed due to weak banana pricing in Europe, and CKE
Restaurants, the operator of Carl's Jr. and Hardee's, reported disappointing
results due to difficulties with the integration of Hardee's.
Q: What is your outlook for 2000?
A: We are cautiously optimistic on the high yield market due to a favorable
economic environment and relatively wide spreads. Additionally, we are
encouraged by the declining trend in the default rate. However, potential
interest rate hikes by the Federal Reserve could have a negative effect on the
entire fixed income market.
Large-Cap Value Portfolio
- -------------------------
Q: How did the Portfolio perform over the year ended December 31, 1999?
A: For the year ended December 31, 1999, the Large-Cap Value Portfolio
comfortably outperformed its large-cap value peer group, though it trailed the
S&P 500 Index. The
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-18
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Portfolio's total return was 11.46%** since its January fourth inception
through December 31, 1999, while the S&P 500 Index returned 21.04%* for the
year. Funds in the Morningstar large-cap-value category, the Portfolio's peer
group, on average had annual returns of 6.59% for the year. Generally
speaking, large-cap value funds underperformed large-cap growth funds and the
broad market during 1999. Salomon continues to believe that a value
orientation offers investors an attractive portfolio diversification vehicle,
particularly in the current market environment.
Performance Comparison
----------------------
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Large-Cap Value S&P 500
Portfolio Index
--------------- -------
<S> <C> <C>
01/04/99 10,000 10,000
03/31/99 10,222 10,498
06/30/99 11,557 11,238
09/30/99 10,383 10,537
12/31/99 11,148 12,105
</TABLE>
Average Annual Returns for Periods Ended December 31, 1999
----------------------------------------------------------
<TABLE>
<CAPTION>
1 Year
------
<S> <C>
Large-Cap Value Portfolio**
(Operations commenced on January 4, 1999) 11.46%
S&P 500 Index* 21.04%
</TABLE>
- --------------------------------------------------------------------------------
Performance data quoted represents past performance. Investment return and
principal value will fluctuate so that shares of the Portfolio when redeemed
may be worth more or less than their original cost. Past performance is not
predictive of future performance.
- --------------------------------------------------------------------------------
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the year?
A: In 1999, the major market indices performed quite well despite increasing
interest rates. At the beginning of 1999, the 30-year Treasury bond yielded
5.1%; by year-end, the yield had increased to 6.5%. During the second quarter
of 1999, higher interest rates in the U.S. caused investors to take profits in
the technology sector and look beyond the narrow group of stocks that had
driven the market's performance. Investors shifted into cyclical stocks as a
result of improving worldwide economic growth. The Portfolio benefited
substantially from increased market breadth and a rotation into value stocks,
but unfortunately, the rotation proved fleeting. In the third quarter of 1999,
growth stocks returned to the forefront again. As interest rates continued to
increase, investors sought companies exhibiting strong unit growth,
particularly technology stocks. Market breadth narrowed once again. The focus
on technology stocks gained considerable momentum during the fourth quarter.
As a result of the technology sector's strong performance throughout the year,
technology stocks now account for 30% of the S&P 500 Index, up from 19% a year
ago. Overall, S&P 500 Index returns in 1999 were narrowly distributed. In
fact, only half the stocks in the index had a positive return for the year.
Q: Can you discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results?
A: In 1999, the S&P 500 Index's performance was predominately led by the
technology sector; the consumer staples, health care, transportation and
utility sectors had negative returns for the year. The Portfolio benefited
from its technology holdings, but its underweight position penalized relative
performance. Within technology, the Portfolio's holdings in 3 Com Corporation,
Corning Inc., Hewlett-Packard Corporation, Alcatel Alsthom and Texas
Instruments Inc. led the Portfolio's performance. Other significant
contributors to performance included AT&T Corporation-Liberty Media, Hughes
Electronics Corporation and Morgan Stanley Dean Witter. The Portfolio's
tobacco company holdings, which have subsequently been reduced, held back its
performance.
Q: What is your outlook for 2000?
A: In 2000, we expect the U.S. economy to begin to slow as a result of recent
and anticipated interest rate increases by the Federal Reserve. With interest
rates and commodity prices trending up and corporate profits and GDP growth
expected to slow, equity market returns may not be as buoyant as in recent
years. Given the significant weighting of the technology sector in the S&P 500
Index, the performance of technology stocks will have an important impact on
the market's overall performance. We do expect market breadth to improve this
year, which we are already beginning to see. In a broader market, stock
selection will become more important than sector momentum and we have a strong
team of analysts to support those efforts. We would expect the Portfolio to
benefit from this anticipated increased market breadth.
The Portfolio continues to focus on stocks with attractive valuations and
favorable earnings growth prospects. Despite the strong performance of the
major market indices in 1999, we continue to find attractively valued
opportunities. Recently, we have added to consumer staples names like Safeway
Inc. and Ralston Purina. We have also modestly increased the Portfolio's
weighting in the financial sector due to attractive valuations. If we see a
correction in selected technology names, we plan to increase the Portfolio's
weighting in that sector as well. We are confident that our value strategy
will reward shareholders over time.
________________
- ---------------
* All indices are unmanaged. Sources for indices: Ibbotson EncorrAnalyzer
software.
** The total return for each Portfolio of the Fund includes reinvestment of
all dividends and capital gain distributions, if any. The total returns do
not include deductions at the separate account or contract level for cost
of insurance charges, premium loads, administrative charges, maintenance
fees, premium tax charges, mortality and expense risk charges, or other
charges that may be incurred under a contract which, if incurred, would
have resulted in lower returns. Past performance is not predictive of
future performance.
A-19
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees and Shareholders
Pacific Select Fund:
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments, of Pacific Select Fund (the "Fund")
(comprised of the Aggressive Equity, Emerging Markets, Growth, Bond and
Income, Equity, Multi-Strategy, Equity Income, Growth LT, Mid-Cap Value,
Equity Index, Small-Cap Index, REIT, International, Government Securities,
Managed Bond, Money Market, High Yield Bond, and Large-Cap Value Portfolios)
as of December 31, 1999 and the related statements of operations for the year
then ended, the statements of changes in net assets for each of the two years
in the period then ended (as to the Mid-Cap Value, Small-Cap Index, REIT, and
Large-Cap Value Portfolios, for the periods from commencement of operations
through December 31, 1999), and the financial highlights for each of the five
years in the period then ended (as to the Aggressive Equity, Emerging Markets,
Mid-Cap Value, Small-Cap Index, REIT, and Large-Cap Value Portfolios, for each
of the periods from commencement of operations through December 31, 1999).
These financial statements and financial highlights are the responsibility of
the Fund's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements and financial highlights. Our procedures included
confirmation of securities owned as of December 31, 1999, by correspondence
with the custodians and brokers; where replies were not received from brokers,
we performed other auditing procedures. An audit also includes assessing the
accounting principles used and significant estimates made by management, as
well as evaluating the overall financial statement and financial highlights
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of
each of the respective Portfolios constituting Pacific Select Fund as of
December 31, 1999, the results of their operations, the changes in their net
assets, and the related financial highlights for the respective stated periods
in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Costa Mesa, California
February 7, 2000
B-1
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Aggressive Emerging Bond and Multi- Equity Growth Mid-Cap
Equity Markets Growth Income Equity Strategy Income LT Value
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at value... $465,172 $217,036 $425,124 $195,932 $1,042,074 $828,830 $1,810,838 $3,577,060 $107,225
Cash.................... 1 1 1 3 1
Receivables:
Dividends and interest. 292 287 208 2,626 712 2,920 2,602 359 83
Fund shares sold....... 1,460 122 406 391 931 624 1,460 3,183 432
Securities sold........ 15,397 73,633
Other.................. 24 1 4 6
Forward foreign currency
contracts appreciation.. 8,151
Variation margin........ 108 168 269
Organization costs...... 6 6
--------------------------------------------------------------------------------------------------
Total Assets............ 466,931 217,475 425,739 198,950 1,043,826 847,939 1,815,169 3,662,393 107,747
--------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 214 121 23 604 349 102 1,341
Securities purchased... 34 378 107,646 724 2,804 241
Accrued advisory fees.. 293 190 210 102 534 400 966 2,142 72
Accrued custodian fees
and recordkeeping fees. 17 112 26 12 5 23 83 142
Accrued other.......... 13 22 18 5 5 15 70 113
Variation margin........ 171
--------------------------------------------------------------------------------------------------
Total Liabilities....... 571 445 632 313 1,148 108,433 1,945 6,542 313
--------------------------------------------------------------------------------------------------
NET ASSETS.............. $466,360 $217,030 $425,107 $198,637 $1,042,678 $739,506 $1,813,224 $3,655,851 $107,434
--------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $378,250 $187,907 $277,939 $220,500 $674,243 $662,800 $1,480,156 $1,711,252 $107,091
Accumulated
undistributed net
investment income
(loss).................. (507) 24 (26) 145 (111) 236 235 (366) 6
Accumulated
undistributed net
realized gain (loss).... 13,455 (16,630) 42,263 (9,941) 74,378 43,171 124,994 610,049 1,465
Net unrealized
appreciation
(depreciation) on
investments and
assets and liabilities
in foreign currencies... 75,162 45,729 104,931 (12,067) 294,168 33,299 207,839 1,334,916 (1,128)
--------------------------------------------------------------------------------------------------
NET ASSETS.............. $466,360 $217,030 $425,107 $198,637 $1,042,678 $739,506 $1,813,224 $3,655,851 $107,434
--------------------------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 32,051 20,716 14,271 17,885 27,801 43,552 65,341 76,688 10,233
--------------------------------------------------------------------------------------------------
NET ASSETS PER SHARE.... $14.551 $10.476 $29.787 $11.107 $37.504 $16.980 $27.750 $47.671 $10.498
--------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-2
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
DECEMBER 31, 1999
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Govern- High
Equity Small-Cap Inter- ment Managed Money Yield Large-Cap
Index Index REIT national Securities Bond Market Bond Value
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at value... $2,421,788 $114,755 $49,962 $1,661,736 $564,565 $1,419,785 $1,057,792 $438,322 $168,325
Cash.................... 10 1 39 1 1 1 1
Receivables:
Dividends and interest. 2,119 115 401 3,000 1,629 11,280 2,663 10,078 249
Fund shares sold....... 1,142 251 410 2,125 1,608 1,917 319 669 659
Securities sold........ 181 56 7,070 1,433 585
Other.................. 1 8 8
Variation margin........ 118 30 19,559
--------------------------------------------------------------------------------------------------
Total Assets............ 2,425,358 115,208 50,773 1,693,529 567,804 1,434,424 1,060,775 449,070 169,826
--------------------------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 583 9 1 1 11 3,342 23
Securities purchased... 649 43 619 7,598 138,175 340,435
Accrued advisory fees.. 309 44 43 1,162 215 554 286 230 118
Accrued custodian fees
and recordkeeping fees. 111 51 5 410 35 73 40 42
Accrued other.......... 95 9 5 388 19 37 35 28
Outstanding options
written, at value (1)... 620 1,389 177
Forward foreign currency
contracts depreciation.. 524 29 160
Variation margin........ 536 787
--------------------------------------------------------------------------------------------------
Total Liabilities....... 1,747 156 672 10,083 139,630 343,446 3,703 323 295
--------------------------------------------------------------------------------------------------
NET ASSETS.............. $2,423,611 $115,052 $50,101 $1,683,446 $428,174 $1,090,978 $1,057,072 $448,747 $169,531
--------------------------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $1,617,334 $101,255 $54,205 $1,366,714 $446,499 $1,151,391 $1,056,942 $488,847 $166,708
Accumulated
undistributed net
investment income
(loss).................. (7) 8 (4,579) 408 697 130 (17) (3)
Accumulated
undistributed net
realized gain (loss).... 25,172 326 (132) 22,708 (12,026) (37,094) (22,074) 747
Net unrealized
appreciation
(depreciation) on
investments and assets
and liabilities in
foreign currencies...... 781,112 13,471 (3,980) 298,603 (6,707) (24,016) (18,009) 2,079
--------------------------------------------------------------------------------------------------
NET ASSETS.............. $2,423,611 $115,052 $50,101 $1,683,446 $428,174 $1,090,978 $1,057,072 $448,747 $169,531
--------------------------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 63,103 9,798 5,224 91,028 42,389 105,646 104,869 50,920 15,285
--------------------------------------------------------------------------------------------------
NET ASSETS PER SHARE.... $38.407 $11.743 $9.590 $18.494 $10.101 $10.327 $10.080 $8.813 $11.091
--------------------------------------------------------------------------------------------------
</TABLE>
(1) Premiums received for the Government Securities, Managed Bond and Large-Cap
Value Portfolios were $500, $1,082 and $113, respectively.
See Notes to Financial Statements
B-3
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1999
(In thousands)
<TABLE>
<CAPTION>
Aggressive Emerging Bond and Multi- Equity Growth Mid-Cap
Equity Markets Growth Income Equity Strategy Income LT Value
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio (1)
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of
foreign taxes withheld. $1,908 $2,685 $1,947 $4,680 $5,299 $21,699 $4,305 $556
Interest............... 274 522 594 $13,303 878 16,217 2,652 4,936 170
Other.................. 34 15 143 18 84 20 31 489 6
----------------------------------------------------------------------------------------------------
Total Investment
Income................. 2,216 3,222 2,684 13,321 5,642 21,536 24,382 9,730 732
----------------------------------------------------------------------------------------------------
EXPENSES
Advisory fees.......... 2,428 1,642 1,897 1,185 4,542 4,281 9,869 15,562 439
Custodian fees and
expenses............... 45 366 35 31 47 80 112 200 25
Recordkeeping fees..... 56 45 55 51 123 133 283 365 10
Trustees' fees and
expenses............... 4 2 4 3 9 9 20 24
Legal fees............. 16 33 15 10 37 35 81 109 4
Printing expenses...... 18 9 17 12 37 38 86 103 2
Other.................. 32 20 24 18 60 59 134 176 25
----------------------------------------------------------------------------------------------------
Total Expenses......... 2,599 2,117 2,047 1,310 4,855 4,635 10,585 16,539 505
Expense Reductions..... (3) (5) (2) (6) (16) (28) (15) (5) (1)
----------------------------------------------------------------------------------------------------
Net Expenses........... 2,596 2,112 2,045 1,304 4,839 4,607 10,570 16,534 504
----------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS)................. (380) 1,110 639 12,017 803 16,929 13,812 (6,804) 228
----------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized gain
(loss) from security
transactions........... 21,594 (436) 42,262 (6,106) 72,515 43,905 125,443 611,605 1,465
Net realized gain
(loss) from futures
contracts.............. (4,173) 1,901 88 3,385
Net realized foreign
exchange gain (loss)... (579) 42 131 9,336
----------------------------------------------------------------------------------------------------
Net Realized Gain
(Loss) on Investments
and Foreign Currency
Transactions........... 21,594 (1,015) 42,262 (10,237) 74,416 44,124 128,828 620,941 1,465
----------------------------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments............ 68,230 69,204 84,649 (16,192) 179,354 (16,651) 39,259 974,657 (1,128)
Net unrealized
appreciation
(depreciation) on
futures contracts...... (533) 1,344 890 3,996
Net unrealized foreign
exchange gain (loss)... 10 2 (94) 7,986
----------------------------------------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions........... 68,230 69,214 84,649 (16,723) 180,698 (15,855) 43,255 982,643 (1,128)
----------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS........... 89,824 68,199 126,911 (26,960) 255,114 28,269 172,083 1,603,584 337
----------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS........ $89,444 $69,309 $127,550 ($14,943) $255,917 $45,198 $185,895 $1,596,780 $565
----------------------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 4, 1999.
See Notes to Financial Statements
B-4
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1999
(In thousands)
<TABLE>
<CAPTION>
Govern- High
Equity Small-Cap Inter- ment Managed Money Yield Large-Cap
Index Index REIT national Securities Bond Market Bond Value
Portfolio Portfolio (1) Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio (1)
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT
INCOME
Dividends, net
of foreign taxes
withheld........ $24,046 $744 $1,999 $19,855 $134 $1,228
Interest........ 1,455 141 72 7,104 $18,160 $59,279 $38,691 38,863 339
Other........... 25 21 2 415 1,307 578 12
---------------------------------------------------------------------------------------------------------
Total Investment
Income.......... 25,526 906 2,073 26,959 18,575 60,586 38,691 39,575 1,579
---------------------------------------------------------------------------------------------------------
EXPENSES
Advisory fees... 3,003 260 309 10,752 1,902 5,736 2,573 2,551 729
Custodian fees
and expenses.... 146 183 19 1,372 55 169 59 50 55
Recordkeeping
fees............ 355 10 6 250 74 196 128 97 16
Trustees' fees
and expenses.... 25 17 4 13 9 6 1
Legal fees...... 107 7 2 70 18 51 41 22 6
Printing
expenses........ 105 2 1 69 16 54 38 25 3
Other........... 169 25 23 248 27 85 60 37 27
---------------------------------------------------------------------------------------------------------
Total Expenses.. 3,910 487 360 12,778 2,096 6,304 2,908 2,788 837
Expense
Reductions...... (27) (98) (1) (12) (45) (16) (10) (1)
---------------------------------------------------------------------------------------------------------
Net Expenses.... 3,883 389 360 12,777 2,084 6,259 2,892 2,778 836
---------------------------------------------------------------------------------------------------------
NET INVESTMENT
INCOME.......... 21,643 517 1,713 14,182 16,491 54,327 35,799 36,797 743
---------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized
gain (loss) from
security
transactions.... 22,686 1,538 (26) 9,019 (6,678) (23,361) (11,559) 747
Net realized
gain (loss) from
futures
contracts....... 2,984 (3) 16,811 (5,959) (16,826)
Net realized
foreign exchange
gain (loss)..... (9,616) 66 (722)
---------------------------------------------------------------------------------------------------------
Net Realized
Gain (Loss) on
Investments and
Foreign Currency
Transactions.... 25,670 1,535 (26) 16,214 (12,571) (40,909) (11,559) 747
---------------------------------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation)
on investments.. 319,626 13,410 (3,980) 262,002 (6,114) (26,491) (12,739) 2,079
Net unrealized
appreciation
(depreciation)
on futures
contracts....... 1,150 61 21,748 (2,033) (1,679)
Net unrealized
foreign exchange
loss............ (1,254) (28) (76)
---------------------------------------------------------------------------------------------------------
Net Unrealized
Gain (Loss) on
Investments and
Foreign Currency
Transactions.... 320,776 13,471 (3,980) 282,496 (8,175) (28,246) (12,739) 2,079
---------------------------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN
(LOSS) ON
INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS.... 346,446 15,006 (4,006) 298,710 (20,746) (69,155) (24,298) 2,826
---------------------------------------------------------------------------------------------------------
NET INCREASE
(DECREASE) IN
NET ASSETS
RESULTING FROM
OPERATIONS...... $368,089 $15,523 ($2,293) $312,892 ($4,255) ($14,828) $35,799 $12,499 $3,569
---------------------------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 4, 1999.
See Notes to Financial Statements
B-5
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
(In thousands)
<TABLE>
<CAPTION>
Aggressive Emerging Bond and Multi- Equity Growth Mid-Cap
Equity Markets Growth Income Equity Strategy Income LT Value
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio (1)
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income
(loss)............... ($380) $1,110 $639 $12,017 $803 $16,929 $13,812 ($6,804) $228
Net realized gain
(loss) on investments
and foreign
currency transactions. 21,594 (1,015) 42,262 (10,237) 74,416 44,124 128,828 620,941 1,465
Net unrealized gain
(loss) on investments
and foreign
currency transactions. 68,230 69,214 84,649 (16,723) 180,698 (15,855) 43,255 982,643 (1,128)
--------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in Net
Assets Resulting from
Operations........... 89,444 69,309 127,550 (14,943) 255,917 45,198 185,895 1,596,780 565
--------------------------------------------------------------------------------------------------------
Net Equalization
Credits.............. 510 118 253 194 1,185 1,323 388
--------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment
income............... (650) (644) (11,929) (818) (16,821) (13,560) (222)
Net realized gains... (27,050) (32,134) (8,209) (46,839) (38,774) (119,857) (147,190)
--------------------------------------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions
to Shareholders...... (27,050) (650) (32,778) (20,138) (47,657) (55,595) (133,417) (147,190) (222)
--------------------------------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares............... 391,140 122,913 169,884 82,918 419,537 205,988 554,460 1,127,217 125,842
Dividend
reinvestments........ 27,051 643 32,706 20,063 47,626 55,255 133,105 147,190 221
Cost of shares
repurchased.......... (232,937) (82,265) (140,331) (54,054) (135,568) (88,949) (190,285) (347,905) (19,360)
--------------------------------------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions......... 185,254 41,291 62,259 48,927 331,595 172,294 497,280 926,502 106,703
--------------------------------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS............... 247,648 110,460 157,149 14,099 540,049 163,082 551,081 2,376,092 107,434
--------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Year.... 218,712 106,570 267,958 184,538 502,629 576,424 1,262,143 1,279,759
--------------------------------------------------------------------------------------------------------
End of Year.......... $466,360 $217,030 $425,107 $198,637 $1,042,678 $739,506 $1,813,224 $3,655,851 $107,434
--------------------------------------------------------------------------------------------------------
</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 (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1999
(In thousands)
<TABLE>
<CAPTION>
Govern- High
Equity Small-Cap Inter- ment Managed Money Yield Large-Cap
Index Index REIT national Securities Bond Market Bond Value
Portfolio Portfolio (1) Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio (1)
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment
income.......... $21,643 $517 $1,713 $14,182 $16,491 $54,327 $35,799 $36,797 $743
Net realized
gain (loss) on
investments and
foreign currency
transactions.... 25,670 1,535 (26) 16,214 (12,571) (40,909) (11,559) 747
Net unrealized
gain (loss) on
investments and
foreign currency
transactions.... 320,776 13,471 (3,980) 282,496 (8,175) (28,246) (12,739) 2,079
---------------------------------------------------------------------------------------------------------------
Net Increase
(Decrease) in
Net Assets
Resulting from
Operations...... 368,089 15,523 (2,293) 312,892 (4,255) (14,828) 35,799 12,499 3,569
---------------------------------------------------------------------------------------------------------------
Net Equalization
Credits......... 1,588 467 833 8,793 3,681 10,971 7,070 1,528 732
---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment
income.......... (21,634) (517) (1,705) (8,658) (16,370) (53,390) (35,643) (36,795) (746)
Net realized
gains........... (8,241) (1,209) (106) (44,740) (4,137) (22,065)
---------------------------------------------------------------------------------------------------------------
Net Decrease in
Net Assets
Resulting from
Distributions
to Shareholders. (29,875) (1,726) (1,811) (53,398) (20,507) (75,455) (35,643) (36,795) (746)
---------------------------------------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from
sale of shares.. 778,612 118,409 59,776 3,291,235 272,594 435,530 4,734,509 194,692 195,137
Dividend
reinvestments... 29,806 1,719 1,777 52,357 20,246 74,523 35,306 36,160 742
Cost of shares
repurchased..... (221,066) (19,340) (8,181) (2,924,648) (34,013) (105,752) (4,199,090) (148,722) (29,903)
---------------------------------------------------------------------------------------------------------------
Net Increase in
Net Assets
Derived from
Capital Share
Transactions.... 587,352 100,788 53,372 418,944 258,827 404,301 570,725 82,130 165,976
---------------------------------------------------------------------------------------------------------------
NET INCREASE IN
NET ASSETS...... 927,154 115,052 50,101 687,231 237,746 324,989 577,951 59,362 169,531
---------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of
Year............ 1,496,457 996,215 190,428 765,989 479,121 389,385
---------------------------------------------------------------------------------------------------------------
End of Year..... $2,423,611 $115,052 $50,101 $1,683,446 $428,174 $1,090,978 $1,057,072 $448,747 $169,531
---------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 4, 1999.
See Notes to Financial Statements
B-7
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1998
(In thousands)
<TABLE>
<CAPTION>
Aggressive Emerging Bond and Multi- Equity
Equity Markets Growth Income Equity Strategy Income
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income .. $14 $1,471 $289 $8,286 $1,380 $12,926 $8,547
Net realized gain (loss)
on investments and
foreign currency
transactions............ 22,009 (6,218) 32,221 8,906 46,920 38,315 116,567
Net unrealized gain
(loss) on investments
and foreign currency
transactions............ (728) (26,821) (24,053) (4,829) 56,425 26,971 97,502
----------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from Operations......... 21,295 (31,568) 8,457 12,363 104,725 78,212 222,616
----------------------------------------------------------------------------
Net Equalization
Credits................. 1 505 74 339 129 1,198 906
----------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (1,248) (290) (8,586) (1,381) (12,931) (8,547)
Net realized gains...... (61) (27,273) (235) (22,468) (30,371) (109,897)
----------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions to
Shareholders............ (61) (1,248) (27,563) (8,821) (23,849) (43,302) (118,444)
----------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 120,515 51,722 91,962 84,983 146,441 174,831 329,063
Dividend reinvestments.. 61 1,234 27,346 8,797 23,823 43,041 118,158
Cost of shares
repurchased............. (45,851) (13,500) (78,873) (25,630) (66,783) (44,684) (96,268)
----------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 74,725 39,456 40,435 68,150 103,481 173,188 350,953
----------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 95,960 7,145 21,403 72,031 184,486 209,296 456,031
----------------------------------------------------------------------------
NET ASSETS
Beginning of Year....... 122,752 99,425 246,555 112,507 318,143 367,128 806,112
----------------------------------------------------------------------------
End of Year............. $218,712 $106,570 $267,958 $184,538 $502,629 $576,424 $1,262,143
----------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-8
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE YEAR ENDED DECEMBER 31, 1998
(In thousands)
<TABLE>
<CAPTION>
Govern- High
Growth Equity Inter- ment Managed Money Yield
LT Index national Securities Bond Market Bond
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income
(loss).................. ($728) $15,441 $12,551 $7,889 $33,206 $24,906 $29,002
Net realized gain (loss)
on investments and
foreign currency
transactions............ 144,308 8,049 40,061 4,883 25,244 (10,509)
Net unrealized gain
(loss) on investments
and foreign currency
transactions............ 294,266 267,032 (4,997) 209 (5,131) (9,458)
------------------------------------------------------------------------------
Net Increase in Net
Assets Resulting from
Operations.............. 437,846 290,522 47,615 12,981 53,319 24,906 9,035
------------------------------------------------------------------------------
Net Equalization
Credits................. 154 1,064 4,266 665 7,090 194 1,756
------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (1,663) (15,445) (9,237) (7,743) (32,494) (24,906) (29,002)
Net realized gains...... (37,027) (8,460) (64,358) (2,574) (7,425) (3,161)
------------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions to
Shareholders............ (38,690) (23,905) (73,595) (10,317) (39,919) (24,906) (32,163)
------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 290,586 473,473 1,173,060 100,543 278,432 1,609,674 149,046
Dividend reinvestments.. 38,673 23,844 72,693 10,211 38,009 24,709 31,658
Cost of shares
repurchased............. (125,957) (142,677) (991,860) (53,555) (39,517) (1,606,961) (81,072)
------------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 203,302 354,640 253,893 57,199 276,924 27,422 99,632
------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 602,612 622,321 232,179 60,528 297,414 27,616 78,260
------------------------------------------------------------------------------
NET ASSETS
Beginning of Year....... 677,147 874,136 764,036 129,900 468,575 451,505 311,125
------------------------------------------------------------------------------
End of Year............. $1,279,759 $1,496,457 $996,215 $190,428 $765,989 $479,121 $389,385
------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-9
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Activities Distributions
-------------------------------------- ----------------------------------------
Net Asset Net Net Realized Dividends 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>
Aggressive Equity Portfolio
- ---------------------------
1999 $12.66 ($0.01) $3.27 $3.26 - ($1.37) ($1.37) $14.55
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
- -----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
- --------------------------
1999 $6.85 $0.03 $3.63 $3.66 ($0.03) - ($0.03) $10.48
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
- -----------------------------------------------------------------------------------------------------------------------------------
Growth Portfolio
- ----------------
1999 $22.92 $0.05 $9.75 $9.80 ($0.05) ($2.88) ($2.93) $29.79
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
- -----------------------------------------------------------------------------------------------------------------------------------
Bond and Income Portfolio
- -------------------------
1999 $13.30 $0.73 ($1.67) ($0.94) ($0.72) ($0.53) ($1.25) $11.11
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
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Portfolio
- ----------------
1999 $29.27 $0.03 $10.56 $10.59 ($0.03) ($2.33) ($2.36) $37.50
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
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Strategy Portfolio
- ------------------------
1999 $17.32 $0.44 $0.74 $1.18 ($0.43) ($1.09) ($1.52) $16.98
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
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Net of Gross Investment Income Investment Income
End of Expenses to Expenses to (Loss) after Expense (Loss) before Expense Portfolio
For the Year Ended Total Year (in Average Net Average Net Reductions to Average Reductions to Average Turnover
December 31, Return thousands) Assets (3) Assets (3) Net Assets (3) Net Assets (3) Rate
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggressive Equity Portfolio
- ---------------------------
1999 27.35% $466,360 0.85% 0.85% (0.12%) (0.13%) 100.85%
1998 13.22% 218,712 0.89% 0.89% 0.01% 0.01% 184.42%
1997 3.78% 122,752 0.86% 0.87% (0.13%) (0.13%) 189.21%
1996 (1) 7.86% 49,849 1.02% 1.03% (0.11%) (0.12%) 79.86%
- -----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
- --------------------------
1999 53.56% $217,030 1.41% 1.42% 0.74% 0.74% 48.52%
1998 (26.83%) 106,570 1.46% 1.46% 1.42% 1.42% 29.82%
1997 (1.69%) 99,425 1.46% 1.47% 0.80% 0.79% 69.60%
1996 (1) (3.23%) 44,083 2.18% 2.22% (0.11%) (0.14%) 47.63%
- -----------------------------------------------------------------------------------------------------------------------------------
Growth Portfolio
- ----------------
1999 47.52% $425,107 0.70% 0.70% 0.22% 0.22% 49.34%
1998 2.69% 267,958 0.70% 0.70% 0.11% 0.11% 48.48%
1997 30.27% 246,555 0.70% 0.70% 0.22% 0.21% 52.20%
1996 23.62% 167,335 0.76% 0.76% 0.44% 0.43% 70.22%
1995 25.75% 129,741 0.79% 0.79% 0.88% 0.88% 46.76%
- -----------------------------------------------------------------------------------------------------------------------------------
Bond and Income Portfolio
- -------------------------
1999 (7.34%) $198,637 0.66% 0.66% 6.08% 6.08% 82.59%
1998 8.97% 184,538 0.70% 0.70% 5.73% 5.72% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Portfolio
- ----------------
1999 38.54% $1,042,678 0.69% 0.69% 0.11% 0.11% 58.72%
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%
- -----------------------------------------------------------------------------------------------------------------------------------
Multi-Strategy Portfolio
- ------------------------
1999 7.04% $739,506 0.70% 0.70% 2.57% 2.56% 196.97%
1998 18.17% 576,424 0.70% 0.71% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on C-3
C-1
<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 Income Portfolio
- -----------------------
1999 $26.89 $0.24 $3.20 $3.44 ($0.24) ($2.34) ($2.58) $27.75
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
- -----------------------------------------------------------------------------------------------------------------------------------
Growth LT Portfolio
- -------------------
1999 $26.20 $0.15 $23.95 $24.10 - ($2.63) ($2.63) $47.67
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
- -----------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Value Portfolio
- -----------------------
1999 (2) $10.00 $0.02 $0.50 $0.52 ($0.02) - ($0.02) $10.50
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Index Portfolio
- ----------------------
1999 $32.33 $0.39 $6.24 $6.63 ($0.39) ($0.16) ($0.55) $38.41
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
- -----------------------------------------------------------------------------------------------------------------------------------
Small-Cap Index Portfolio
- -------------------------
1999 (2) $10.00 $0.06 $1.87 $1.93 ($0.06) ($0.13) ($0.19) $11.74
- -----------------------------------------------------------------------------------------------------------------------------------
REIT Portfolio
- --------------
1999 (2) $10.00 $0.39 ($0.39) $0.00 ($0.39) ($0.02) ($0.41) $9.59
- -----------------------------------------------------------------------------------------------------------------------------------
International Portfolio
- -----------------------
1999 $15.80 $0.06 $3.37 $3.43 ($0.12) ($0.62) ($0.74) $18.49
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
- -----------------------------------------------------------------------------------------------------------------------------------
Government Securities Portfolio
- -------------------------------
1999 $10.98 $0.52 ($0.74) ($0.22) ($0.52) ($0.14) ($0.66) $10.10
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
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Net of Gross Investment Income Investment Income
End of Expenses to Expenses to (Loss) after Expense (Loss) before Expense Portfolio
For the Year Ended Total Year (in Average Net Average Net Reductions to Average Reductions to Average Turnover
December 31, Return thousands) Assets (3) Assets (3) Net Assets (3) Net Assets (3) Rate
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Equity Income Portfolio
- -----------------------
1999 13.26% $1,813,224 0.70% 0.70% 0.91% 0.91% 69.34%
1998 24.18% 1,262,143 0.69% 0.70% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
Growth LT Portfolio
- -------------------
1999 98.08% $3,655,851 0.79% 0.79% (0.33%) (0.33%) 111.56%
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%
- -----------------------------------------------------------------------------------------------------------------------------------
Mid-Cap Value Portfolio
- -----------------------
1999 (2) 5.22% $107,434 0.97% 0.97% 0.44% 0.44% 84.14%
- -----------------------------------------------------------------------------------------------------------------------------------
Equity Index Portfolio
- ----------------------
1999 20.59% $2,423,611 0.20% 0.21% 1.14% 1.13% 4.16%
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% 2.05% 2.04% 20.28%
1995 36.92% 137,519 0.42% 0.42% 2.26% 2.26% 7.52%
- -----------------------------------------------------------------------------------------------------------------------------------
Small-Cap Index Portfolio
- -------------------------
1999 (2) 19.36% $115,052 0.75% 0.94% 0.99% 0.80% 52.06%
- -----------------------------------------------------------------------------------------------------------------------------------
REIT Portfolio
- --------------
1999 (2) (0.01%) $50,101 1.28% 1.28% 6.09% 6.09% 20.24%
- -----------------------------------------------------------------------------------------------------------------------------------
International Portfolio
- -----------------------
1999 22.82% $1,683,446 1.01% 1.01% 1.12% 1.12% 55.56%
1998 5.60% 996,215 1.00% 1.00% 1.36% 1.36% 45.61%
1997 9.28% 764,036 1.02% 1.03% 1.81% 1.79% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
Government Securities Portfolio
- -------------------------------
1999 (1.95%) $428,174 0.66% 0.66% 5.19% 5.19% 370.28%
1998 9.24% 190,428 0.66% 0.66% 5.16% 5.16% 266.83%
1997 9.48% 129,900 0.66% 0.67% 5.39% 5.38% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on C-3
C-2
<PAGE>
PACIFIC SELECT FUND
FINANCIAL HIGHLIGHTS (Continued)
Selected data for a share outstanding throughout each year were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Investment Activities Distributions
-------------------------------------- ----------------------------------------
Net Asset Net Realized Dividends 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>
Managed Bond Portfolio
- ----------------------
1999 $11.38 $0.59 ($0.79) ($0.20) ($0.59) ($0.26) ($0.85) $10.33
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
- -----------------------------------------------------------------------------------------------------------------------------------
Money Market Portfolio
- ----------------------
1999 $10.05 $0.46 $0.03 $0.49 ($0.46) - ($0.46) $10.08
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
- -----------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Portfolio
- -------------------------
1999 $9.34 $0.78 ($0.53) $0.25 ($0.78) - ($0.78) $8.81
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
- -----------------------------------------------------------------------------------------------------------------------------------
Large-Cap Value Portfolio
- -------------------------
1999 (2) $10.00 $0.05 $1.09 $1.14 ($0.05) - ($0.05) $11.09
- -----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------------
Net Ratio Ratio Ratio of Net Ratio of Net
Assets, of Net of Gross Investment Income Investment Income
End of Expenses to Expenses to after Expense before Expense Portfolio
For the Year Ended Total Year (in Average Net Average Net Reductions to Average Reductions to Average Turnover
December 31, Return thousands) Assets (3) Assets (3) Net Assets (3) Net Assets (3) Rate
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Managed Bond Portfolio
- ----------------------
1999 (1.91%) $1,090,978 0.65% 0.66% 5.68% 5.67% 374.74%
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%
- -----------------------------------------------------------------------------------------------------------------------------------
Money Market Portfolio
- ----------------------
1999 4.94% $1,057,072 0.39% 0.40% 4.87% 4.87% N/A
1998 5.29% 479,121 0.42% 0.43% 5.17% 5.16% 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
- -----------------------------------------------------------------------------------------------------------------------------------
High Yield Bond Portfolio
- -------------------------
1999 2.90% $448,747 0.65% 0.66% 8.65% 8.65% 52.38%
1998 2.46% 389,385 0.65% 0.66% 8.18% 8.17% 75.27%
1997 9.44% 311,125 0.65% 0.66% 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%
- -----------------------------------------------------------------------------------------------------------------------------------
Large-Cap Value Portfolio
- -------------------------
1999 (2) 11.46% $169,531 0.97% 0.97% 0.86% 0.86% 55.23%
- -----------------------------------------------------------------------------------------------------------------------------------
</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, 1999
(commencement of operations) to December 31, 1999. The ratios
of expenses to average net assets and the ratios of net
investment income (loss) to average net assets are annualized.
(3) 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
C-3
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 93.85%
Autos & Transportation - 8.98%
Alaska Air Group Inc * 100,000 $ 3,512,500
Continental Airlines Inc 'B' 450,000 19,968,750
Delta Air Lines Inc 20,000 996,250
Knightsbridge Tankers Ltd 75,000 1,012,500
Monaco Coach Corp * 30,000 766,875
Northwest Airlines Corp 'A' * 610,000 13,572,500
Teekay Shipping Corp 123,000 1,960,312
-----------
41,789,687
-----------
Consumer Discretionary - 13.71%
Bed Bath & Beyond Inc * 30,000 1,042,500
Budget Group Inc 'A' * 245,000 2,220,312
Cendant Corp * 150,000 3,984,375
Extended Stay America Inc * 425,000 3,240,625
Fox Entertainment Group Inc * 75,000 1,870,312
Hearst-Argyle Television Inc * 145,000 3,860,625
Metro-Goldwyn-Mayer Inc * 50,000 1,178,125
Mohawk Industries Inc * 197,700 5,214,338
Park Place Entertainment Corp * 260,000 3,250,000
Premier Parks Inc * 110,000 3,176,250
R.H. Donnelley Corp 125,000 2,359,375
Royal Caribbean Cruises Ltd 250,000 12,328,125
Sun International Hotels Ltd * 150,000 2,906,250
TJX Companies Inc 150,000 3,065,625
Tommy Hilfiger Inc * 175,000 4,079,688
Too Inc * 1 17
United Rentals Inc * 10,000 171,250
Venator Group Inc * 311,000 2,177,000
Viad Corp 275,000 7,665,625
-----------
63,790,417
-----------
Consumer Staples - 0.67%
Kroger Co * 100,000 1,887,500
Pepsi Bottling Group Inc 75,000 1,242,188
-----------
3,129,688
-----------
Financial Services - 14.60%
ACE Ltd 530,000 8,844,375
Boston Properties Inc 85,000 2,645,625
CIT Group Inc 149,550 3,159,244
CNA Financial Corp * 230,000 8,955,625
E.W. Blanch Holdings Inc 60,000 3,675,000
Fiserv Inc * 139,850 5,358,003
Legg Mason Inc 420,000 15,225,000
MBIA Inc 76,300 4,029,594
Policy Management Systems Corp * 220,000 5,623,750
Radian Group Inc 150,400 7,181,600
Sovereign Bancorp Inc 199,500 1,486,898
Travelers Property Casualty Corp 50,000 1,712,500
-----------
67,897,214
-----------
Health Care - 6.74%
Genzyme Surgical Products * 8,950 52,022
Health Management Associates Inc 'A' * 824,200 11,023,675
HEALTHSOUTH Corp * 600,000 3,225,000
Human Genome Sciences Inc * 45,000 6,868,125
Lunar Corp * 100,000 712,500
McKesson HBOC Inc 100,000 2,256,250
Quintiles Transnational Corp * 235,000 4,391,563
Tenet Healthcare Corp * 120,000 2,820,000
-----------
31,349,135
-----------
Integrated Oils - 2.37%
Kerr-McGee Corp 150,000 9,300,000
Murphy Oil Corp 30,000 1,721,250
-----------
11,021,250
-----------
Materials & Processing - 2.43%
Lyondell Chemical Co 400,000 5,100,000
Masco Corp 50,000 1,268,750
Unifi Inc 400,000 4,925,000
-----------
11,293,750
-----------
Other Energy - 1.00%
Diamond Offshore Drilling Inc 100 3,056
Louis Dreyfus Natural Gas Corp * 148,000 2,682,500
Santa Fe International Corp 75,000 1,940,625
-----------
4,626,181
-----------
Producer Durables - 1.25%
RF Micro Devices Inc * 10,000 684,375
U.S. Industries Inc 366,400 5,129,600
-----------
5,813,975
-----------
Technology - 12.81%
Amdocs Automatic 25,000 803,125
Amdocs Ltd * 160,000 5,520,000
ARDENT Software Inc * 73,000 2,847,000
DBT Online Inc * 40,000 975,000
Fairchild Semiconductor Corp * 100,000 2,975,000
Informix Corp * 299,200 3,403,400
Millicom International Cellular SA * 450,000 28,068,750
Osicom Technologies Inc * 30,000 1,361,250
PSINet Inc * 75,000 4,631,250
Scientific-Atlanta Inc 130,000 7,231,250
Stolt Comex Seaway * 160,000 1,770,000
-----------
59,586,025
-----------
Utilities - 29.29%
Adelphia Business Solutions Inc * 260,000 12,480,000
CenturyTel Inc 60,200 2,851,975
Global TeleSystems Group Inc * 720,000 24,930,000
NTL Inc * 241,999 30,189,375
RCN Corp * 172,500 8,366,250
Rogers Communications Inc 'B' * 170,000 4,207,500
Telephone & Data Systems Inc 160,000 20,160,000
United Global Com Inc 'A' * 30,000 2,118,750
US Cellular Corp * 150,000 15,140,625
See Notes to Financial Statements See explanation of symbols on D-69
D-1
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
--------- -------------
Viatel Inc * 162,200 $ 8,697,975
VoiceStream Wireless Corp * 50,000 7,115,625
-------------
136,258,075
-------------
Total Common Stocks
(Cost $371,135,925) 436,555,397
-------------
FOREIGN COMMON STOCKS - 4.15%
Canada - 2.18%
Clearnet Communications 'A' * 295,000 10,140,625
-------------
10,140,625
-------------
Italy - 0.00%
Industrie Natuzzi Spa 1,000 13,250
-------------
13,250
-------------
Japan - 0.68%
Kyocera Corp SP 12,000 3,144,000
-------------
3,144,000
-------------
Norway - 0.85%
Stolt Comex Seaway SA * 360,500 3,965,500
-------------
3,965,500
-------------
United Kingdom - 0.44%
British Airways Plc 30,000 1,931,250
Telewest Communications Plc * 17,000 87,125
-------------
2,018,375
-------------
Total Foreign Common Stocks
(Cost $10,879,615) 19,281,750
-------------
Principal
Amount
---------
CONVERTIBLE CORPORATE BONDS & NOTES - 0.85%
Technology - 0.85%
NTL Inc
7.000% due 12/15/08 $ 1,500,000 3,967,500
-------------
3,967,500
-------------
Total Convertible Corporate Bonds & Notes
(Cost $2,626,940) 3,967,500
-------------
SHORT-TERM INVESTMENT - 1.15%
TIME DEPOSIT - 1.15%
State Street Bank Cayman Islands
3.000% due 01/03/00 $ 5,367,000 $ 5,367,000
-------------
Total Time Deposit 5,367,000
-------------
Total Short-Term Investment
(Cost $5,367,000) 5,367,000
-------------
TOTAL AGGRESSIVE EQUITY PORTFOLIO
(COST $390,009,480) $465,171,647
-------------
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $390,009,480
-------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $104,530,787
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (29,368,620)
-------------
Net unrealized appreciation $75,162,167
=============
See Notes to Financial Statements See explanation of symbols on D-69
D-2
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
--------- -----------
COMMON STOCKS - 89.29%
Argentina - 1.68%
Banco Frances SA 41,334 $ 326,586
Banco Galicia 68,807 342,020
Dalmine Siderca SA 220,337 462,775
Inversiones Y Representaciones GDR 6,719 217,318
Masisa SA - SPON 49,075 631,841
Molinos Rio De La Plata 20,043 49,313
Renault Argentina Rights 39,560 43,127
Renault Argentina SA 39,560 43,522
Telefonica De Argentina ADR 38,553 1,190,324
Transportadora De Gas ADS 184,189 346,326
-----------
3,653,152
-----------
Brazil - 10.68%
Aracruz Celulose SA PNB 192,600 467,621
Banco Bradesco SA 166,099,207 1,304,671
Banco Bradesco SA Rights 10,786 42,867
Banco Itau SA PN 16,797,000 1,443,201
Centrias Eletrobras 137,485,000 3,284,703
Cia Cervejaria Brahma 1,078,700 789,293
Cia Energetica Minas Ger 41,112,782 922,987
Cia Paulista De Forca E 4,364,400 216,647
Cia Siderurgica Nacional 24,235,600 940,406
Cia Souza Cruz Ind Com 75,600 559,876
Cia Vale Do Rio Doce 92,480 2,563,193
Petrol Brasileiros 8,767,500 2,235,615
Telebras ADR 51,160 6,574,060
Telecom Brasileiras 8,022,100 178
Telecomunic Brasileiras 122,401,000 1,044,887
Usinas Siderugicas Mina 145,059 788,015
-----------
23,178,220
-----------
Chile - 4.02%
Banco Santander ADR 61,075 931,394
Compania Cerveceria Unidas ADR 27,000 865,687
Compania De Telefono Chili ADR 102,606 1,872,559
Distribucion Y Servicio D&s SA 21,000 409,500
Embotelladora Andina SA 30,500 543,281
Empresa ADR 66,216 939,439
Enersis ADR 40,316 947,426
Gener SA ADR 58,774 910,997
Madeco SA - ADR 42,085 468,196
Sociedad Quimica Y Minera De Chile 'A' 849 26,743
Sociedad Quimica Y Minera De Chile 'B' 21,690 684,591
Vina Concha Y Toro SA ADR 3,500 132,562
-----------
8,732,375
-----------
China - 1.48%
Beijing Datang Power General * 2,642,000 435,037
China Southern Airlines * 700,000 153,084
Guangdong Kelon Electric * 478,000 362,797
Guangshen Railway Co 2,248,000 251,593
Huaneng Power International * 1,744,000 415,051
Jiangsu Expressway Co * 2,354,000 384,586
Qingling Motors Co 1,310,000 158,410
Shanghai Petrochemical 1,950,000 306,040
Shenzhen Expressway Co 1,476,000 233,547
Yizheng Chemical Fibre 508,000 142,137
Zhejiang Expressway 2,460,000 373,423
-----------
3,215,705
-----------
Colombia - 1.21%
Banco Ganadero SA ADR 19,100 305,600
Banco Ganadero SA ADR 46,800 368,550
Bancolumbia SA ADR 180,200 833,425
Gran Cadena Almac 563,042 1,126,084
-----------
2,633,659
-----------
Hungary - 4.85%
Danubius Hotels Rights * 14,390 262,175
Gedeon Richter RT 18,680 1,228,169
Magyar Olaj Es Gazipare 79,600 1,655,181
Matav RT 826,600 5,794,843
Otp Bank PT 24,840 1,455,100
Pick Szeged RT 2,810 131,886
-----------
10,527,354
-----------
India - 2.00%
Bajai Auto GDR 13,995 134,772
BSES Ltd GDR 11,800 150,597
Eih Ltd GDR 14,200 70,716
Grasim Industries * 6,840 93,537
Gujarat Ambuja GDR 26,400 201,432
Hindalco Industries GDR 23,200 548,680
Indian Hotels Co Ltd GDR 15,070 145,878
Indian Rayon & Industries GDR 22,800 62,244
Larsen & Tourbro Ltd 11,500 385,250
Mahanagar Telephone Niga 37,300 423,355
Reliance Group Holdings Inc 39,900 578,550
State Bank of India GDR 31,200 385,320
Tata Engineering & Loco Co GDR 38,820 208,852
Videsh Sanchar Nigam Ltd 38,300 949,840
-----------
4,339,023
-----------
Indonesia - 1.86%
PT Astra International 663,000 355,814
PT Gudang Garam Tbk 182,000 489,674
PT Indah Kiat Pulp & Paper 1,325,000 521,467
PT Indofood Sukses Mak 570,000 713,775
PT Semen Gresik 181,500 287,673
PT Telekomunikasi 2,744,560 1,561,306
PT Timah Tbk 162,000 113,023
-----------
4,042,732
-----------
Israel - 1.38%
Bank Leumi Le 125,700 264,817
Bezek 51,500 256,966
Bk Hapoalim Bm 121,700 379,597
Blue Square Chain Stores 14,200 213,928
ECI Telecommunications ORD 12,700 401,637
Elite Industries 2,480 131,514
Formula Systems * 5,500 232,271
ICL Isreal Chemical 153,700 169,312
Koor Industries 2,680 268,090
See Notes to Financial Statements See explanation of symbols on D-69
D-3
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- -----------
Makhteshim-Agan * 67,300 $ 117,936
Teva Pharmaceutical ADR 8,070 556,337
-----------
2,992,405
-----------
Malaysia - 1.94%
Commerce Asset Holding Behrad * 87,000 223,227
Malayan Banking Berhad 215,000 763,826
Malaysia International Shipping 242,000 398,032
Malaysian Airline System 202,000 174,360
Petronas Gas Berhad 174,000 407,532
Public Bank Behrad 432,000 447,922
Resorts World Behrad 83,000 238,082
Telekom Malaysia 186,000 719,536
Tenaga Nasional Berhad 325,000 838,169
-----------
4,210,686
-----------
Mexico - 12.75%
Cemex SA * 60,979 1,699,790
Cifra V * 1,245,663 2,490,146
Controladora Coml Mexica 273,004 364,790
Desc SA 'B' 435,500 357,399
Desc SA 'C' 2,505 2,082
Empresas Ica Sociedad 125,784 71,464
Fomento Economica Mexica * 27,084 1,205,238
Grupo Bimbo 'A' 415,454 924,494
Grupo Carso SA De Cv 289,200 1,436,187
Grupo Financiero Banamex * 353,000 1,411,331
Grupo Industrial Alfa 239,600 1,121,805
Grupo Mexico SA 245,750 1,213,947
Grupo Modelo SA De Cv 812,228 2,221,887
Grupo Televisa 36,350 2,480,888
Industrias Penoles SA 146,050 419,503
Kimberly Clark Corp De Mexico 323,180 1,258,105
Savia 'A' 140,200 809,825
Telefonos De Mexico ADR 69,560 7,825,500
Tubos De Acero De Mexico 8,361 109,873
TV Azteca SA ADR 28,100 252,900
-----------
27,677,154
-----------
Peru - 0.67%
Banco Wiese ADR 85,250 101,234
Cementos Lima SA 63,444 72,332
Creditcorp Common * 19,677 236,124
Enrique Ferreyros 58,206 31,521
Minas Buenaventura 'B' 4,231 34,248
Minsur SA 7,885 16,294
Southern Peru Copper 3,823 15,800
Telefonica De Peru 'B' 592,458 771,707
Union De Cervecerias Peru 413,529 172,083
-----------
1,451,343
-----------
Philippines - 1.54%
Ayala Land Inc * 982,700 256,038
Manila Electric Co * 99,400 283,648
Metropolitan Bank & Trust 87,010 626,127
Petron Corp 2,823,900 224,230
Philippine Long Distance 40,900 1,040,261
San Miguel Corp 'B' 253,800 358,973
SM Prime Holdings Inc * 2,892,500 545,484
-----------
3,334,761
-----------
Poland - 1.77%
Bank Handlowy W Warszawi 15,670 232,303
Bank Rozwoju Eksportu 9,865 312,531
Bank Slaski SA 4,730 321,434
Big Bank Gdanski SA 70,400 217,925
Debica 16,250 170,949
Elektrim 36,070 357,647
Prokom Software SA 10,300 318,839
Softbank SA 4,740 158,191
Stomil Olsztyn SA 34,200 213,388
Telekomunikacja Polska GDR 207,200 1,321,936
Wielkopolski Bank 32,436 219,639
-----------
3,844,782
-----------
South Africa - 5.89%
Absa Group Ltd 55,160 247,648
Anglo American Plc * 8,400 542,464
Anglo American Platinum 36,600 1,113,331
Anglogold Ltd 9,530 490,801
Barlow Ltd 122,548 883,103
De Beers Consolidated Minings ADR 50,540 1,471,600
Edgars Consol Stores 2,479 31,696
Firstrand Ltd 597,000 854,591
Gold Fields Ltd 42,000 203,253
Imperial Holdings Ltd * 22,255 243,637
Liberty International P 14,192 106,768
Liberty Life Association of Africa 30,438 351,541
Naspers Ltd 51,350 488,650
Nedcor 45,887 1,015,250
Pohang Iron & Steel 2,800 98,000
Rembrandt Group 133,017 1,267,962
Sanlam LTD 352,200 492,708
Sappi Ltd 33,700 333,300
Sasol LTD 80,600 662,107
Smith CG Ltd 110,642 445,448
South African Breweries 117,104 1,192,470
Standard Bank Inv 37,000 153,778
Woolworth GDR 15,100 100,038
-----------
12,790,144
-----------
South Korea - 12.20%
Hyundai Motor Co Ltd 45,755 725,310
Kookmin Bank 70,800 1,109,855
Korea Electric Power Corp 100,700 3,121,656
Korea Fund * 156,300 2,657,100
Korea Telecom Corp * 14,380 2,266,860
LG Chemical 30,267 956,922
MSCI-Korea Opal 20,000 2,582,100
Pohang Iron & Steel ADR 26,500 907,625
Samsung Display Devices 11,500 478,027
Samsung Electro Mechanic 22,600 1,502,686
Samsung Electronics Co 23,805 5,576,513
Samsung Heavy Industries * 66,000 319,102
Shinhan Bank 55,300 599,022
See Notes to Financial Statements See explanation of symbols on D-69
D-4
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- ------------
SK Corp Rights 39,600 $ 1,199,683
SK Telecom Corp 688 2,466,015
------------
26,468,476
------------
Taiwan - 9.17%
Advanced Semiconductor Engineering * 61,964 1,213,255
Asia Cement GDS 151,954 1,504,344
Asustek Computer Inc 135,740 1,890,858
China Steel GDR 97,380 1,458,752
Evergreen Marine Corp * 106,824 908,004
MSCI-Taiwan Opal 38,510 5,603,975
President Enterprise GDS * 3,801 29,458
Standard Foods Taiwan * 114,000 470,820
Taiwan Fund Inc 177,000 3,606,375
Winbond Electronic Corp * 138,489 3,203,251
------------
19,889,092
------------
Thailand - 1.65%
Adv Info Serv Alien Market * 31,000 522,453
Bangkok Bank Public Co 260,300 659,427
Electricity Gen Pub 85,800 106,964
PTT Exploration & Production * 82,800 512,256
Siam Cement * 20,000 667,733
Telecomasia Corp * 501,000 654,640
Thai Farmers Bank * 272,600 457,968
------------
3,581,441
------------
Turkey - 10.44%
Adana Cimento 19,192,104 689,982
Akbank 16,309,568 481,108
Arcelik 16,215,200 1,061,282
Aygaz AS 4,308,000 833,960
Brisa Bridgestone Saban 11,003,000 659,287
Dogan Sirketler Grubu * 51,157,000 1,509,056
Ege Biracilik Ve Malt 11,802,000 902,992
Eregli Demir Ve Celik Fa * 26,357,000 1,093,349
Migros Turk Tas 2,145,938 1,384,731
Netas Telekcomunik 3,926,000 521,150
Sabanci Holding 14,104,000 819,093
Trakya Cam Sanayii * 98,379,784 1,251,513
Turkiye Garanti Bankasi 161,375,200 2,439,669
Turkiye Is Bankasi 'C' 118,066,300 5,659,520
Vestel Elektronik Sanayi * 2,586,000 619,801
Yapi Ve Kredi Bank 88,098,178 2,720,583
------------
22,647,076
------------
Venezuela - 2.11%
Banco Provincial 272,876 252,420
Cia Anonima Telef De Venezuela * 121,250 2,985,781
Corp Venezolana De Cemen 547,347 189,868
Electricidad De Car 22,300 352,331
Electricidad De Car ADR 28,659 452,803
Electricidad De Caracas 123,806 39,129
Mavesa SA ADR 62,650 191,866
Siderurgica Venezolana 3,593,283 110,797
------------
4,574,995
------------
Total Common Stocks
(Cost $148,054,910) 193,784,575
------------
Principal
Amount Value
--------- ------------
SHORT-TERM INVESTMENT - 10.71%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 10.71%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $23,256,530; collateralized by U.S.
Treasury Notes--market value
$23,718,891 and due 01/31/01) $ 23,251,686 23,251,686
------------
Total Securities Held Under Repurchase
Agreement 23,251,686
------------
Total Short-Term Investment
(Cost $23,251,686) 23,251,686
------------
TOTAL EMERGING MARKETS PORTFOLIO
(COST $171,306,596) $217,036,261
============
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $171,306,596
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $55,935,781
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (10,206,116)
------------
Net unrealized appreciation $ 45,729,665
============
See Notes to Financial Statements See explanation of symbols on D-69
D-5
<PAGE>
PACIFIC SELECT FUND
GROWTH PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- -----------
COMMON STOCKS - 93.01%
Autos & Transportation - 3.77%
Arctic Cat Inc 132,000 $ 1,320,000
Bandag Inc 63,000 1,575,000
Borg-Warner Automotive Inc 38,300 1,551,150
Circle International Group Inc 70,000 1,557,500
Hub Group Inc 'A' * 62,000 1,240,000
M.S. Carriers Inc * 80,000 1,910,000
Midway Airlines Corp * 62,100 384,244
Oshkosh Truck Corp 57,000 1,670,812
Polaris Industries Inc 107,500 3,896,875
U.S. Xpress Enterprises 'A' * 104,000 767,000
Werner Enterprise Inc 12,400 174,375
-----------
16,046,956
-----------
Consumer Discretionary - 19.58%
Acclaim Entertainment Inc * 66,400 340,300
ACME Communications Inc * 5,000 166,250
ADVO Inc * 50,000 1,187,500
Alloy Online Inc * 138,000 2,173,500
Alyn Corp * 209,500 432,094
Applied Graphics Technologies Inc * 150,800 1,300,650
Ashford.com Inc * 64,000 704,000
Autoweb.com Inc * 269,100 2,926,462
Banta Corp 85,500 1,929,094
BHC Communications Inc 'A' 12,200 1,952,000
Carriage Services Inc 'A' * 307,500 1,825,781
Citadel Communications Corp * 76,600 4,969,425
CKE Restaurants Inc 61,000 358,375
Classic Communications Inc 'A' * 43,000 1,572,187
CSK Auto Corp * 67,000 1,172,500
Dollar Thrifty Automotive Group Inc * 145,000 3,470,937
Egreetings Network Inc * 34,000 344,250
Focal Communications Corp * 45,100 1,088,037
Fresh Del Monte Produce * 110,700 996,300
FTD.COM Inc * 40,000 210,000
Go.com * 38,300 912,019
Harrah's Entertainment Inc * 113,500 3,000,656
Harris Interactive Inc * 24,500 320,031
HealthCentral.com * 45,000 329,062
Heska Corp * 125,000 281,250
Hollinger International Inc 'A' 121,400 1,570,612
Insight Communications Co * 104,800 3,104,700
Intrawest Corp 257,300 4,454,506
Korn Ferry International * 38,000 1,382,250
Libbey Inc 75,000 2,156,250
Lithia Motors Inc 'A' * 62,000 1,108,250
LoJack Corp * 150,000 1,012,500
Martha Stewart Living Omnimedia Inc * 9,000 216,000
Midway Games Inc * 145,000 3,470,937
MP3.com Inc * 10,400 329,550
Nu Skin Enterprises Inc * 86,300 782,094
Pillowtex Corp 95,000 587,812
Pixar Animation Studios * 23,700 838,387
PlanetRx.com Inc * 46,100 668,450
Quanta Services Inc * 65,700 1,856,025
Radio One Inc * 25,400 2,336,800
Restoration Hardware Inc * 73,000 497,312
Ruby Tuesday Inc 50,000 909,375
Sirius Satellite Radio Inc * 54,000 2,403,000
Sizzler International Inc 183,800 459,500
Spanish Broadcasting System Inc * 53,000 2,133,250
Speedway Motorsports Inc * 100,000 2,781,250
Sportsline.com Inc * 32,600 1,634,075
Steiner Leisure Ltd * 63,000 1,051,312
Stewart Enterprises Inc 'A' 600,000 2,850,000
Stride Rite Corp 105,000 682,500
TiVo Inc * 3,300 111,375
White Cap Industries Inc * 94,800 1,422,000
Williams-Sonoma Inc * 32,000 1,472,000
XM Satellite Radio Holdings * 60,000 2,287,500
Young Broadcasting Inc 'A' * 53,000 2,703,000
-----------
83,235,232
-----------
Consumer Staples - 1.41%
Nature's Sunshine Products Inc 58,800 470,400
Novell Denim Holding * 138,300 592,097
Robert Mondavi Corp 'A' * 44,800 1,556,800
Suiza Foods Corp * 85,700 3,395,862
-----------
6,015,159
-----------
Financial Services - 8.73%
American Capital Strategies 64,000 1,456,000
AmeriCredit Corp * 172,000 3,182,000
Banco Santander Puerto Rico 38,500 594,344
Bank United Corp 48,000 1,308,000
Coast Federal LIT * 51,000 76,500
Commerce Bancorp Inc NJ 49,000 1,981,437
Community First Bankshares Inc 120,000 1,890,000
Community Savings Bankshares Inc 204,269 2,566,129
CoStar Group Inc * 56,000 2,009,000
Credit Acceptance Corp * 151,900 560,131
ESG Re Ltd 17,000 117,937
Fidelity Bankshare Inc 47,000 663,875
Fidelity National Financial Inc 85,000 1,221,875
Harbor Florida Bancshares Inc 143,000 1,850,062
Harleysville Group Inc 90,000 1,282,500
IndyMac Mortgage Holdings Inc 227,000 2,894,250
Medallion Financial Corp 50,000 896,875
MeriStar Hospitality Corp 105,200 1,683,200
MIIX Group Inc 62,000 906,750
NYMAGIC Inc 28,000 369,250
Official Payments Corp * 37,200 1,934,400
Pacific Bank NA 24,600 681,112
Peoples Heritage Financial Group Inc 96,000 1,446,000
Policy Management Systems Corp * 163,000 4,166,687
Republic Security Financial Corp 89,000 636,906
Silicon Valley Bancshares Delaware * 8,500 420,750
Trenwick Group Inc 18,000 304,875
-----------
37,100,845
-----------
Health Care - 7.34%
Assisted Living Concepts Inc * 267,000 550,687
Cardiac Pathways Corp * 2,500 9,375
COR Therapeutics Inc * 140,000 3,762,500
Gilead Sciences Inc * 37,000 2,002,625
LifePoint Hospitals Inc * 72,000 850,500
Millennium Pharmaceuticals Inc * 95,400 11,638,800
See Notes to Financial Statements See explanation of symbols on D-69
D-6
<PAGE>
PACIFIC SELECT
FUND GROWTH PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- -----------
Natrol Inc * 110,000 $ 770,000
Novoste Corp * 65,000 1,072,500
Ocular Sciences Inc * 95,000 1,793,125
Orthodontic Centers of America Inc * 50,000 596,875
Protein Design Labs Inc * 40,000 2,800,000
Quintiles Transnational Corp * 26,000 485,875
Sunrise Assisted Living Inc * 36,000 495,000
Triad Hospitals Inc * 88,000 1,331,000
Wesley Jessen Visioncare Inc * 80,000 3,030,000
-----------
31,188,862
-----------
Materials & Processing - 6.05%
BE Semiconductor * 52,500 708,750
Caraustar Industries Inc 70,500 1,692,000
CB Richard Ellis Services Inc * 69,700 862,537
Comfort Systems USA Inc * 84,000 619,500
Corn Products International Inc 188,700 6,179,925
H.B. Fuller Co 29,400 1,644,563
Insignia Financial Group Inc * 145,000 1,259,688
Ionics Inc * 20,900 587,813
Ivex Packaging Corp * 120,500 1,205,000
JFAX.COM Inc * 83,300 559,672
Logitech International SA * 44,000 1,212,750
OM Group Inc 42,000 1,446,375
RPM Inc Ohio 70,000 713,125
Seminis Inc 'A' * 175,000 1,104,688
Spartech Corp 27,600 890,100
Trammell Crow Co * 32,300 375,488
U.S. Plastic Lumber Corp * 159,000 1,222,313
Valence Technology Inc * 180,000 3,420,000
-----------
25,704,287
-----------
Other Energy - 3.69%
CONSOL Energy Inc 130,000 1,316,250
Dynegy Inc 126,000 3,063,375
Eastern Enterprises 50,000 2,871,875
Kinder Morgan Inc 51,400 1,037,638
Louis Dreyfus Natural Gas Corp * 63,700 1,154,563
Midcoast Energy Resources Inc 181,500 3,040,125
R&B Falcon Corp * 72,000 954,000
Ranger Oil Ltd 200,000 625,000
Valero Energy Corp 82,000 1,629,750
-----------
15,692,576
-----------
Producer Durables - 12.27%
Aspect Communications Corp * 102,000 3,990,750
Columbus McKinnon Corp 156,200 1,581,525
Credence Systems Corp * 90,000 7,785,000
Cymer Inc * 90,200 4,149,200
Etec Systems Inc * 100,700 4,518,913
Kulicke and Soffa Industries * 122,000 5,192,625
Lam Research Corp * 18,000 2,008,125
LTX Corp * 107,000 2,394,125
Novellus Systems Inc * 42,000 5,146,313
Pentair Inc 74,700 2,875,950
Polycom Inc * 40,000 2,547,500
Rayovac Corp * 72,800 1,374,100
Silicon Valley Group Inc * 93,000 1,650,750
Superior TeleCom Inc 85,700 1,322,994
Tefron Ltd * 152,000 1,900,000
Veeco Instruments Inc * 50,000 2,340,625
Wesco International Inc * 155,000 1,375,625
-----------
52,154,120
-----------
Technology - 22.09%
About.com Inc * 12,200 1,094,950
ASM International * 230,000 5,290,000
BrightStar Info Technology Group Inc * 100,000 825,000
C-Cube Microsystems Inc * 146,000 9,088,500
Cambridge Technology Partners Inc * 47,000 1,233,750
Carrier Access Corp * 68,000 4,577,250
Documentum Inc * 19,900 1,191,513
E.piphany Inc * 7,100 1,584,188
Epicor Software Corp * 81,300 411,581
Firearms Training Systems Inc * 44,400 22,200
FreeMarkets Inc * 1,000 341,313
GaSonics International Corp * 190,000 3,752,500
Indus International Inc * 114,000 1,389,375
iVillage Inc * 57,000 1,154,250
Macromedia Inc * 89,500 6,544,688
Mail.com Inc * 35,900 673,125
MIPS Technologies Inc 'A' * 64,900 3,374,800
National Information Consortium Inc * 44,500 1,424,000
OneMain.com Inc * 38,500 577,500
Online Resources & Comm Corp * 20,000 332,500
OpenTV Corp * 6,800 545,700
Peregrine Systems Inc * 230,000 19,003,750
Remedy Corp * 107,000 5,069,125
Renaissance Worldwide Inc * 250,000 1,843,750
RSA Security Inc * 104,000 8,060,000
Sapient Corp * 41,000 5,778,438
Sensormatic Electronics Corp 106,600 1,858,838
Teleflex Inc 34,800 1,089,675
Tier Technologies Inc 'B' * 90,000 759,375
Unova Inc * 49,000 637,000
VA Linux Systems 150 30,994
WorldGate Communications Inc * 18,200 865,638
Xpedior Inc * 26,500 761,875
Zoran Corp * 49,000 2,731,750
-----------
93,918,891
-----------
Utilities - 8.08%
Allied Riser Communications * 82,000 1,696,375
Globalstar Telecommunications Ltd * 68,232 3,002,208
ICG Communications Inc * 173,000 3,243,750
Jones Intercable Inc 'A' 149,800 10,383,013
New Jersey Resources 30,100 1,175,781
Pac-West Telecomm Inc * 54,000 1,431,000
South Jersey Industries Inc 34,600 983,938
Telecorp PCS Inc * 7,500 285,000
Time Warner Telecomm Inc 'A' * 15,000 749,063
Tritel Inc * 90,800 2,877,225
Triton PCS Holdings Inc 'A' * 23,000 1,046,500
Viatel Inc * 116,000 6,220,500
Washington Gas Light Co 41,900 1,152,250
Wireless Facilities Inc * 2,800 122,150
-----------
34,368,753
-----------
Total Common Stocks
(Cost $290,494,300) 395,425,681
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-7
<PAGE>
PACIFIC SELECT
FUND GROWTH PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -------
SHORT-TERM INVESTMENT - 6.99%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 6.99%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $29,704,145; collateralized by U.S.
Treasury Notes--market value
$30,291,906 and due 10/31/00) $ 29,698,000 $ 29,698,000
------------
Total Securities Held Under Repurchase
Agreement 29,698,000
------------
Total Short-Term Investment
(Cost $29,698,000) 29,698,000
------------
TOTAL GROWTH PORTFOLIO
(COST $320,192,300) $425,123,681
============
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $320,192,300
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $146,302,542
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (41,371,161)
------------
Net unrealized appreciation $104,931,381
============
See Notes to Financial Statements
D-8
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- -----------
CORPORATE BONDS & NOTES - 54.42%
Autos & Transportation - 5.99%
AMR Corp
9.000% due 09/15/16 $ 4,500,000 $ 4,736,250
DaimlerChrysler
7.450% due 02/01/97 2,000,000 1,858,000
Federal-Mogul Corp
7.500% due 01/15/09 375,000 344,001
Ford Motor Co
7.700% due 05/15/97 2,000,000 1,917,542
General Motors Corp
7.400% due 09/01/25 1,000,000 955,080
Hayes Lemmerz International Inc
8.250% due 12/15/08 500,000 462,500
Lear Corp
9.500% due 07/15/06 500,000 505,000
TRW Inc
7.750% due 06/01/29 1,000,000 955,526
-----------
11,733,899
-----------
Consumer Discretionary - 7.24%
Alaska Communications Holdings Inc
9.375% due 05/15/09 375,000 364,687
Chancellor Media Corp
8.000% due 11/01/08 250,000 251,250
8.125% due 12/15/07 250,000 250,000
Charter Communications Holdings
0.000% due 04/01/04 250,000 147,812
8.250% due 04/01/07 500,000 463,750
Fred Meyer Inc
7.450% due 03/01/08 900,000 875,541
Intermedia Communications Inc
8.600% due 06/01/08 250,000 230,000
ITT Corp
6.250% due 11/15/00 700,000 686,311
6.750% due 11/15/03 625,000 579,342
Lenfest Communications Inc
8.375% due 11/01/05 600,000 612,156
News America Holdings Inc
7.250% due 05/18/18 300,000 272,556
7.750% due 12/01/45 2,100,000 1,920,282
Panamsat Corp
6.125% due 01/15/05 1,680,000 1,500,589
Safety-Kleen Corp
9.250% due 05/15/09 375,000 364,687
Tele-Communications Inc
8.250% due 01/15/03 570,000 588,136
Time Warner Entertainment
8.375% due 07/15/33 2,000,000 2,084,500
Viacom Inc
7.750% due 06/01/05 2,260,000 2,287,052
Waste Management Inc
6.375% due 12/01/03 800,000 716,949
-----------
14,195,600
-----------
Consumer Staples - 3.40%
Aurora Foods Inc
9.875% due 02/15/07 500,000 509,375
International Home Foods Inc
10.375% due 11/01/06 500,000 521,250
J Seagram & Sons
6.250% due 12/15/01 450,000 440,796
Keebler Foods Corp
10.750% due 07/01/06 375,000 402,814
Philip Morris Companies Inc
7.000% due 07/15/05 340,000 322,650
7.125% due 08/15/02 1,300,000 1,279,702
7.625% due 05/15/02 200,000 199,288
7.750% due 01/15/27 900,000 814,780
Riverwood International Corp
10.625% due 08/01/07 250,000 258,750
RJ Reynolds Tobacco
7.750% due 05/15/06 1,300,000 1,151,224
Safeway Inc
6.050% due 11/15/03 805,000 769,860
-----------
6,670,489
-----------
Financial Services - 21.07%
AESOP Funding II LLC
6.140% due 05/20/06 2,500,000 2,382,487
American General Corp
7.500% due 07/15/25 1,500,000 1,439,188
BankAmerica Corp
7.200% due 09/15/02 1,000,000 1,003,072
7.500% due 10/15/02 500,000 505,217
7.875% due 12/01/02 2,500,000 2,550,955
Beneficial Corp
6.250% due 02/18/13 1,240,000 1,214,254
Capital One Bank
6.480% due 06/28/02 1,200,000 1,170,458
6.760% due 07/23/02 2,000,000 1,961,856
CitiCorp
7.200% due 06/15/07 1,450,000 1,419,791
8.000% due 02/01/03 1,000,000 1,021,674
Conseco Inc
8.500% due 10/15/02 600,000 607,351
Countrywide Capital III
8.050% due 06/15/27 775,000 737,141
Countrywide Home Loans Inc
6.970% due 03/28/03 1,500,000 1,483,777
EOP Operating LP
6.375% due 02/15/03 1,000,000 963,920
First Union National Bank
6.500% due 12/01/28 950,000 786,753
Ford Motor Credit Co
7.200% due 06/15/07 1,300,000 1,279,418
Household International Netherlands BV
6.200% due 12/01/03 1,300,000 1,255,198
HSBC Holdings PLC
7.500% due 07/15/09 370,000 365,524
Long Island Savings Bank
6.200% due 04/02/01 1,900,000 1,879,047
7.000% due 06/13/02 875,000 868,515
See Notes to Financial Statements
D-9
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
----------- -----------
MBNA Corp
6.450% due 02/15/08 $ 2,500,000 $ 2,440,712
MediTrust Corp
7.375% due 07/15/00 1,200,000 1,134,808
Merita Bank PLC
6.500% due 04/01/09 500,000 458,576
MIC Financing Trust
8.375% due 02/01/27 500,000 447,323
National Westminster Bank PLC
7.375% due 10/01/09 530,000 518,431
NationsBank Corp
6.375% due 05/15/05 925,000 889,605
7.250% due 10/15/25 840,000 780,127
NC Financial Trust
5.000% due 05/25/28 933,621 904,334
Option One Mortgage Securities Corp
10.800% due 04/25/02 1,000,000 995,625
Providian National Bank
6.650% due 02/01/04 1,000,000 942,574
Sears Roebuck Acceptance Corp
6.630% due 07/09/02 1,866,000 1,830,255
Simon Debartolo Group
6.625% due 06/15/03 1,065,000 1,016,841
6.750% due 07/15/04 600,000 567,463
UCAR Global Enterprises Inc
12.000% due 01/15/05 500,000 522,500
US West Capital Funding Inc
6.875% due 07/15/28 2,280,000 2,004,038
Wells Fargo & Co
6.625% due 07/15/04 945,000 925,179
-----------
41,273,987
-----------
Health Care - 0.17%
Tenet Healthcare Corp
8.000% due 01/15/05 260,000 250,250
8.625% due 12/01/03 80,000 79,028
-----------
329,278
-----------
Materials & Processing - 1.59%
Lyondell Chemical Co
9.875% due 05/01/07 375,000 384,375
Norsk Hydro A/S
7.150% due 01/15/29 1,000,000 907,514
Nortek Inc
8.875% due 08/01/08 250,000 238,750
Owens Corning
7.500% due 05/01/05 1,420,000 1,349,924
Wesco Distributor
9.125% due 06/01/08 250,000 236,250
-----------
3,116,813
-----------
Other Energy - 1.79%
Gulf Canada Resources
9.250% due 01/15/04 375,000 380,625
Occidental Petroleum Corp
7.200% due 04/01/28 745,000 669,890
8.450% due 02/15/29 595,000 619,280
Petroleum Geo Services
7.125% due 03/30/28 450,000 393,849
Williams Companies Inc
7.625% due 07/15/19 1,500,000 1,443,473
-----------
3,507,117
-----------
Producer Durables - 2.16%
Crown Castle International Corp
0.000% due 05/15/04 750,000 472,500
Packaging Corp of America
9.625% due 04/01/09 500,000 513,125
Tyco International Group
5.875% due 11/01/04 600,000 555,994
6.375% due 06/15/05 1,720,000 1,614,437
6.875% due 01/15/29 700,000 597,926
United Rentals Inc
8.800% due 08/15/08 500,000 469,375
-----------
4,223,357
-----------
Technology - 2.65%
British Sky Broadcasting Group PLC
8.200% due 07/15/09 455,000 438,177
Fisher Scientific International
9.000% due 02/01/08 500,000 481,875
Huntsman ICI Chemicals
10.125% due 07/01/09 250,000 260,000
National Power
7.625% due 11/15/00 500,000 497,675
Raytheon Co
6.300% due 03/15/05 1,100,000 1,036,560
Telewest Communications PLC
0.000% due 04/15/04 500,000 317,500
Worldcom Inc
6.400% due 08/15/05 2,250,000 2,164,158
-----------
5,195,945
-----------
Utilities - 8.36%
360 Communication
7.125% due 03/01/03 1,350,000 1,348,888
Adelphia Communications Corp
7.875% due 05/01/09 250,000 225,625
9.375% due 11/15/09 250,000 246,250
10.250% due 07/15/00 175,000 176,963
Allied Waste North America Inc
7.625% due 01/01/06 500,000 453,750
Cable & Wireless Communications PLC
6.375% due 03/06/03 255,000 252,578
6.625% due 03/06/05 1,000,000 991,361
Calenergy Company Inc
7.230% due 09/15/05 600,000 587,808
CMS Energy Corp
6.750% due 01/15/04 290,000 269,081
7.375% due 11/15/00 750,000 746,217
Comcast UK Cable
0.000% due 11/15/00 250,000 239,375
MCI Worldcom Inc
7.750% due 04/01/27 750,000 766,711
See Notes to Financial Statements
D-10
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
------------ ------------
McLeodUSAInc
8.125% due 02/15/09 $ 250,000 $ 234,375
MetroMedia Fiber Network Inc
10.000% due 12/15/09 250,000 257,500
Metronet Communications Corp
0.000% due 06/15/03 625,000 493,750
Nextel Communications Inc
0.000% due 02/15/03 500,000 352,500
9.375% due 11/15/09 500,000 492,500
Niagara Mohawk Power Corp
6.875% due 04/01/03 550,000 542,103
7.000% due 10/01/00 510,366 510,892
7.750% due 05/15/06 2,400,000 2,378,453
8.000% due 06/01/04 500,000 506,668
Orange PLC
8.000% due 08/01/08 500,000 506,875
Sprint Capital Corp
6.875% due 11/15/28 1,000,000 892,160
6.900% due 05/01/19 650,000 594,260
Telewest PLC
0.000% due 10/01/00 375,000 351,563
Texas Utilities Electric Co
7.170% due 08/01/07 2,000,000 1,954,946
------------
16,373,152
------------
Total Corporate Bonds & Notes
(Cost $110,112,750) 106,619,637
------------
MORTGAGE-BACKED SECURITIES - 18.80%
Collateralized Mortgage Obligations - 12.42%
American Business Financial Service
6.455% due 09/25/29 ++ 6,000,000 5,720,550
Bear Stearns Commercial Mortgage Inc
6.440% due 06/16/08 ++ 2,500,000 2,344,112
CitiCorp Mortgage Securities
6.750% due 04/25/28 ++ 3,900,000 3,654,748
Commercial Mortgage Acceptance Corp
6.490% due 05/15/08 ++ 2,500,000 2,354,438
ContiMortgage Home Equity Loan Trust
6.470% due 12/25/13 ++ 3,000,000 2,830,605
First Union Lehman Brothers
6.560% due 11/18/08 ++ 2,600,000 2,460,822
GE Capital Mortgage Services Inc
6.250% due 12/25/23 ++ 3,214,900 2,570,891
IMC Home Equity Loan Trust
6.340% due 08/20/29 ++ 2,500,000 2,390,963
------------
24,327,129
------------
Federal Home Loan Mortgage Corporation - 1.63%
5.000% due 06/15/09 ++ 3,724,000 3,191,468
------------
3,191,468
------------
Federal National Mortgage Association - 4.75%
0.000% due 10/09/19 ++ 16,500,000 3,976,434
6.000% due 05/18/28 ++ 4,000,000 3,606,780
6.210% due 08/06/38 ++ 2,000,000 1,726,886
------------
9,310,100
------------
Total Mortgage-Backed Securities
(Cost $39,585,462) 36,828,697
------------
OTHER ASSET-BACKED SECURITIES - 3.38%
Green Tree Financial
6.630% due 06/01/30 ++ 2,700,000 2,420,077
Onyx Acceptance Owner Trust
6.170% due 07/15/05 ++ 4,300,000 4,207,486
------------
Total Other Asset-Backed Securities
(Cost $6,997,243) 6,627,563
------------
U.S. TREASURY BOND - 0.29%
7.875% due 02/15/21 500,000 558,906
------------
Total U.S. Treasury Bond
(Cost $585,350) 558,906
------------
STRIPPED COUPON - 2.35%
FICO
0.000% due 03/07/13 12,000,000 4,604,940
------------
Total Stripped Coupon
(Cost $5,345,807) 4,604,940
------------
U.S. TREASURY STRIPPED - 13.03%
0.000% due 11/15/18 31,450,000 8,762,190
0.000% due 05/15/20 ** 42,500,000 10,739,155
0.000% due 08/15/26 24,150,000 4,299,618
0.000% due 08/15/20 7,000,000 1,739,038
------------
Total U.S. Treasury Stripped
(Cost $29,335,868) 25,540,001
------------
FOREIGN BONDS - 1.53%
Bermuda - 0.12%
Global Crossing Holdings Ltd
9.125% due 11/15/06 250,000 248,437
------------
248,437
------------
Canada - 0.56%
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,093,380
------------
1,093,380
------------
See Notes to Financial Statements See explanation of symbols on D-69
D-11
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
------------ ------------
Mexico - 0.85%
Mexico-PAR
6.250% due 12/31/19 $ 1,290,000 $ 1,014,263
Petro Mexicanos
8.799% due 07/15/05~ 480,000 471,000
9.371% due 07/15/05 180,000 176,625
------------
1,661,888
------------
Total Foreign Bonds
(Cost $2,883,811) 3,003,705
------------
FOREIGN GOVERNMENTS - 5.34%
Argentina - 0.02%
Province of Tucuman
9.450% due 08/01/04 49,536 38,551
------------
38,551
------------
Brazil - 0.45%
Brazil 'C' Bond Var Brady
5.000% due 04/15/14 607,818 450,697
Brazil Federal Republic
14.500% due 10/15/09 381,000 423,100
------------
873,797
------------
Bulgaria - 0.31%
Bulgaria
2.750% due 07/28/12 830,000 600,595
------------
600,595
------------
Canada - 1.43%
Quebec Province
7.500% due 07/15/23 2,495,000 2,439,361
Saskatchewan Province
8.500% due 07/15/22 340,000 371,651
------------
2,811,012
------------
Colombia - 0.32%
Republic of Colombia
8.625% due 04/01/08 720,000 630,900
------------
630,900
------------
New Zealand - 1.02%
New Zealand Government
7.000% due 07/15/09 3,900,000 1,999,423
------------
1,999,423
------------
Panama - 0.54%
Republic of Panama
7.001% due 05/10/02 1,053,884 1,027,912
9.375% due 04/01/29 30,000 28,575
------------
1,056,487
------------
Peru - 0.32%
Peru-Flirb
3.750% due 03/07/17 1,000,000 625,593
------------
625,593
------------
Philippines - 0.54%
Republic of Philippines
9.500% due 10/21/24 1,040,000 1,053,000
------------
1,053,000
------------
Poland - 0.14%
Poland Reg'd Rsta
4.000% due 10/27/24 110,000 72,529
Poland-Bear-PDI
6.000% due 10/27/02 230,000 203,314
------------
275,843
------------
Qatar - 0.25%
State of Qatar
9.500% due 05/21/09 470,000 493,829
------------
493,829
------------
Total Foreign Governments
(Cost $10,371,093) 10,459,030
------------
Value
SHORT-TERM INVESTMENTS - 0.86%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.86%
State Street Bank and Trust
2.000% due 01/03/00
(Dated 12/31/99, repurchase price
of $90,015; collateralized by U.S.
Treasury Notes--market value
$94,950 and due 05/15/16) 90,000 90,000
Goldman Sachs
3.159% due 01/03/00
(Dated 12/31/99, repurchase price
of $1,600,421; collateralized partially by
Fannie Mae--market value
$14,810,020 and due 11/15/02) 1,600,000 1,600,000
------------
Total Securities Held Under Repurchase
Agreements 1,690,000
------------
Total Short-Term Investments
(Cost $1,690,000) 1,690,000
------------
TOTAL BOND AND INCOME PORTFOLIO
(COST $206,907,384) $195,932,479
============
See Notes to Financial Statements See explanation of symbols on D-69
D-12
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $1,137,060 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at December 31, 1999:
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
U.S. Treasury 5-Year Notes (3/00) 287 $ 363,469
U.S. Treasury 10-Year Notes (3/00) 173 (257,703)
U.S. Treasury 30-Year Bonds (3/00) 381 (1,196,352)
-----------
($1,090,586)
===========
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $206,876,260
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $977,218
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (11,920,999)
------------
Net unrealized depreciation ($10,943,781)
============
See Notes to Financial Statements
D-13
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 95.45%
Consumer Discretionary - 21.55%
Amazon.com Inc * 23,800 $ 1,811,775
America Online Inc * 290,000 21,876,875
AnnTaylor Stores Corp * 67,200 2,314,200
Barnes & Noble Inc * 41,200 849,750
BJ's Wholesale Club Inc * 26,200 956,300
Carnival Corp 'A' 21,500 1,027,969
Cintas Corp 9,600 510,000
Circuit City Stores 217,700 9,810,106
CMG Information Services Inc * 11,000 3,045,625
CNET Inc * 7,600 431,300
Dayton Hudson Corp 42,400 3,113,750
DoubleClick Inc * 3,500 885,719
Earthlink Network Inc * 1,000 42,500
Eastman Kodak Co 135,100 8,950,375
eBay Inc * 4,500 563,344
Exodus Communications Inc * 21,200 1,882,825
Federated Department Stores * 99,300 5,020,856
Fortune Brands Inc 26,700 882,769
Fox Entertainment Group Inc * 39,600 987,525
General Electric Co 378,600 58,588,350
Go.com * 4,485 106,799
Hertz Corp 'A' 146,600 7,348,325
Home Depot Inc 260,250 17,843,391
Infinity Broadcasting Corp * 33,400 1,208,662
InfoSpace.com Inc * 3,900 834,600
Intimate Brands Inc 61,000 2,630,625
Knight-Ridder Inc 15,200 904,400
Lands' End Inc 17,500 608,125
Loews Corp 9,700 588,669
Lowe's Cos Inc 47,400 2,832,150
Lycos Inc * 11,200 891,100
Marriott International Inc 'A' 112,800 3,560,250
MGM Grand Inc * 10,027 504,483
New York Times Co 'A' 26,800 1,316,550
Nike Inc 'B' 24,700 1,224,194
Omnicom Group Inc 84,900 8,490,000
priceline.com Inc * 4,900 232,137
Republic Services Inc 'A' * 368,900 5,302,937
Ross Stores Inc 47,000 843,062
Tandy Corp 26,100 1,283,794
Tiffany & Co 77,500 6,916,875
Time Warner Inc 31,600 2,289,025
TMP Worldwide Inc * 3,900 553,800
Tribune Co 29,200 1,607,825
Tricon Global Restaurants * 28,500 1,100,812
USWeb Corp * 12,400 551,025
Valassis Communications Inc * 25,200 1,064,700
Viacom Inc 139,200 8,412,900
Wal-Mart Stores Inc 222,600 15,387,225
Whirlpool Corp 56,200 3,656,512
Zale Corp * 18,600 899,775
-----------
224,546,640
-----------
Consumer Staples - 7.51%
Anheuser-Busch Cos Inc 46,600 3,302,775
Coca-Cola Co 214,200 12,477,150
Coca-Cola Enterprises Inc 60,500 1,217,562
Conagra Inc 151,000 3,406,937
CVS Corp 83,700 3,342,769
General Mills Inc 18,600 664,950
H.J. Heinz Co 37,500 1,492,969
Hormel Foods Corp 31,300 1,271,562
IBP Inc 174,000 3,132,000
Keebler Foods Co * 18,300 514,687
Kroger Co * 175,000 3,303,125
Nabisco Group Holdings Corp 31,300 989,862
Nabisco Group Holdings Corp 'A' 323,400 3,436,125
PepsiCo Inc 104,400 3,680,100
Philip Morris Companies Inc 172,100 3,990,569
Procter & Gamble Co 256,000 28,048,000
Safeway Inc * 75,700 2,692,081
Smuckers 'A' 7,000 136,500
SYSCO Corp 18,000 712,125
U.S. Foodservice * 24,400 408,700
-----------
78,220,548
-----------
Financial Services - 4.34%
A.G. Edwards Inc 46,300 1,484,494
American International Group Inc 57,187 6,183,344
Ameritrade Holding Corp * 4,700 101,931
Bear Stearns Cos Inc * 40,005 1,710,214
CheckFree Holdings Corp * 7,200 752,400
E*TRADE Group Inc * 20,500 535,562
First Data Corp 92,600 4,566,337
Hartford Life Inc 24,700 1,086,800
Legg Mason Inc 46,000 1,667,500
Lehman Brothers Holdings Inc 75,400 6,385,437
Merrill Lynch & Co Inc 101,700 8,491,950
Morgan Stanley Dean Witter Co 26,900 3,839,975
Paine Webber Group Inc 20,400 791,775
Providian Financial Corp 14,750 1,343,172
Schwab (Charles) Corp 86,700 3,327,112
Travelers Property Casualty Corp 87,900 3,010,575
-----------
45,278,578
-----------
Health Care - 13.75%
Allergan Inc 181,000 9,004,750
Amgen Inc * 333,600 20,036,850
Biogen Inc * 93,700 7,917,650
Bristol Myers Squibb Co 222,000 14,249,625
Cardinal Health Inc 25,813 1,235,797
Chiron Corp 29,400 1,245,825
Genzyme General * 9,000 405,000
Johnson & Johnson 249,000 23,188,125
Lilly (Eli) & Co 25,900 1,722,350
Merck & Co Inc 398,600 26,731,112
PE Corp-PE Biosystems Group 41,900 5,041,094
Pfizer Inc 289,500 9,390,656
Pharmacia & Upjohn Inc 147,300 6,628,500
Schering-Plough Corp 143,000 6,032,812
Warner-Lambert Co 17,400 1,425,712
Wellpoint Health Networks Inc * 137,700 9,079,594
-----------
143,335,452
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-14
<PAGE>
PACIFIC SELECT
FUND EQUITY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Integrated Oils - 0.03%
Transocean Sedco Forex Inc 10,396 $ 350,226
--------------
350,226
--------------
Materials & Processing - 2.30%
Dow Chemical Co 69,000 9,220,125
Georgia-Pacific Group 99,600 5,054,700
JDS Uniphase Corp * 59,800 9,646,488
--------------
23,921,313
--------------
Other Energy - 0.70%
Calpine Corp * 37,900 2,425,600
Dynegy Inc 69,100 1,679,994
Halliburton Co 3,400 136,850
Schlumberger Ltd 53,700 3,020,625
--------------
7,263,069
--------------
Producer Durables - 1.00%
Emerson Electric Co 44,300 2,541,713
Litton Industries Inc * 29,800 1,486,275
Tecumseh Products Co 11,900 561,531
Textron Inc 12,100 927,919
United Technologies Corp 55,200 3,588,000
Waters Corp * 25,800 1,367,400
--------------
10,472,838
--------------
Technology - 39.49%
Adobe Systems Inc 68,100 4,579,725
Apple Computer Inc 26,400 2,714,250
At Home Corp 'A' * 19,800 848,925
Broadcom Corp * 7,400 2,015,575
Cisco Systems Inc * 535,200 57,333,300
Computer Sciences Corp * 16,100 1,523,463
Covad Communications Group Inc 6,500 363,594
Critical Path Inc * 600 56,625
Dell Computer Corp * 69,000 3,519,000
Electronic Data Systems Corp 21,100 1,412,381
EMC Corp * 120,400 13,153,700
General Dynamics Corp 51,800 2,732,450
General Motors 'H' * 116,500 11,184,000
Hewlett-Packard Co 138,800 15,814,525
IBM Corp 294,300 31,784,400
Inktomi Corp * 11,200 994,000
Intel Corp 363,600 29,928,825
Intuit Inc * 20,100 1,204,744
Lexmark International Group Inc * 110,000 9,955,000
LSI Logic Corp * 29,800 2,011,500
Lucent Technologies Inc 304,600 22,787,888
Macromedia Inc * 6,700 489,938
Microsoft Corp * 563,600 65,800,300
MindSpring Enterprises Inc * 1,700 44,891
Motorola Inc 101,100 14,886,975
Network Solutions Inc * 2,300 500,394
Networks Associates Inc * 5,700 152,119
Novell Inc * 179,500 7,168,781
Oracle Systems Corp * 103,000 11,542,438
PSINet Inc * 6,800 419,900
QUALCOMM Inc * 175,600 30,949,500
RealNetworks Inc * 4,300 517,344
Rhythms NetConnections Inc * 5,000 155,000
Sabre Group Holdings Inc * 4,900 251,125
Solectron Corp * 136,100 12,946,513
Sterling Commerce Inc * 15,700 534,781
Sun Microsystems Inc * 349,800 27,087,638
Texas Instruments Inc 18,400 1,782,500
Verio Inc * 11,100 512,681
VeriSign Inc * 11,600 2,214,875
Veritas Software Corp * 52,650 7,535,531
Vignette Corp * 4,200 684,600
Vishay Intertechnology Inc * 31,300 989,863
Xilinx Inc * 29,400 1,336,781
Yahoo! Inc * 16,400 7,096,075
--------------
411,518,413
--------------
Utilities - 4.78%
Alltel Corp 24,400 2,017,575
AT&T Corp * 150,300 7,627,725
AT&T Corp - Liberty Media Group 'A' * 134,100 7,610,175
CenturyTel Inc 53,500 2,534,563
Level 3 Communications Inc * 36,300 2,972,063
MCI WorldCom Inc * 257,100 13,642,369
Nextlink Communications Inc * 11,400 946,913
Qwest Communications International Inc * 190,900 8,208,700
RCN Corp * 7,400 358,900
SBC Communications Inc 40,560 1,977,300
Telephone & Data Systems Inc 6,100 768,600
US Cellular Corp * 11,000 1,110,313
--------------
49,775,196
--------------
Total Common Stocks
(Cost $701,936,402) 994,682,273
--------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENT - 4.55%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 4.55%
State Street Bank and Trust
2.500% due 01/03/00 **
(Dated 12/31/99, repurchase price
of $49,809,492; collateralized by U.S.
Treasury Notes--market value
$48,296,344 and due 12/31/00,
and market value
$2,456,306 and due 01/15/08) $ 47,392,000 47,392,000
--------------
Total Securities Held Under Repurchase
Agreement 47,392,000
--------------
Total Short-Term Investment
(Cost $47,392,000) 47,392,000
--------------
TOTAL EQUITY PORTFOLIO
(COST $749,328,402) $1,042,074,273
==============
See Notes to Financial Statements See explanation of symbols on D-69
D-15
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $2,400,000 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at December 31, 1999:
Number of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
S&P 500 (3/00) 128 $1,422,156
=============
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $749,328,402
=============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $315,409,690
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (22,663,819)
-------------
Net unrealized appreciation $292,745,871
=============
See Notes to Financial Statements
D-16
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- -----------
CONVERTIBLE PREFERRED STOCK - 0.17%
Financial Services - 0.17%
Home Ownership Funding 1,830 $ 1,453,869
-----------
1,453,869
-----------
Total Convertible Preferred Stock
(Cost $1,831,903) 1,453,869
-----------
COMMON STOCKS - 50.63%
Autos & Transportation - 1.79%
CSX Corp 50,600 1,587,575
Ford Motor Co 38,300 2,046,656
Lear Corp * 138,300 4,425,600
Union Pacific Corp 132,900 5,797,762
United Parcel Services 14,300 986,700
-----------
14,844,293
-----------
Consumer Discretionary - 7.58%
Abercrombie & Fitch Co 'A' * 91,000 2,428,562
America Online Inc * 79,000 5,959,562
Cendant Corp * 181,900 4,831,719
Circuit City Stores 51,700 2,329,731
Dayton Hudson Corp 47,000 3,451,562
Federated Department Stores * 76,300 3,857,919
General Electric Co 30,900 4,781,775
Gillette Co 66,200 2,726,612
International Game Technology 116,500 2,366,406
Kimberly-Clark Corp 40,400 2,636,100
News Corp Ltd 132,800 5,079,600
TJX Cos Inc 88,900 1,816,894
Tyco International Ltd 327,516 12,732,184
Wal-Mart Stores Inc 87,100 6,020,787
Waste Management Inc 102,517 1,762,011
-----------
62,781,424
-----------
Consumer Staples - 3.48%
Bestfoods 39,700 2,086,731
Clorox Co 36,700 1,848,762
Coca-Cola Co 19,200 1,118,400
PepsiCo Inc 96,700 3,408,675
Philip Morris Companies Inc 237,800 5,513,987
Procter & Gamble Co 81,700 8,951,256
Seagrams Co Ltd 131,500 5,909,281
-----------
28,837,092
-----------
Financial Services - 6.70%
Ambac Financial Group Inc 102,300 5,338,781
Astoria Financial Corp 63,535 1,933,847
Bank of America Corp 69,870 3,506,601
CIT Group Inc 189,200 3,996,850
Citigroup Inc 75,700 4,206,081
First Union Corp 278,300 9,131,719
Goldman Sachs Group Inc 49,200 4,634,025
KeyCorp 113,700 2,515,612
MBIA Inc 21,900 1,156,594
U.S. Bancorp 204,200 4,862,513
UNUM Corp 104,600 3,353,738
Washington Mutual Inc 250,900 6,523,400
XL Capital Ltd 'A' 84,000 4,357,500
-----------
55,517,261
-----------
Health Care - 3.93%
ALZA Corp * 138,900 4,809,413
American Home Products Corp 80,800 3,186,550
Bristol Myers Squibb Co 63,500 4,075,906
Forest Laboratories * 110,700 6,801,131
Lilly (Eli) & Co 54,600 3,630,900
PE Corp-PE Biosystems Group 31,100 3,741,719
Tenet Healthcare Corp * 154,100 3,621,350
Warner-Lambert Co 33,300 2,728,519
-----------
32,595,488
-----------
Integrated Oils - 2.19%
Conoco Inc 'B' 232,800 5,790,900
Exxon Mobil Corp 153,352 12,354,421
-----------
18,145,321
-----------
Materials & Processing - 3.20%
Monsanto Co 197,800 7,046,625
Reynolds Metals Co 2,200 168,575
Rohm & Haas Co 222,600 9,057,038
Smurfit-Stone Container Corp * 78,200 1,915,900
Temple-Inland Inc 86,500 5,703,594
USX-U.S. Steel Group 78,800 2,600,400
-----------
26,492,132
-----------
Other Energy - 2.02%
Columbia Energy Group Inc 146,650 9,275,613
Cooper Cameron Corp * 68,400 3,347,325
Tosco Corp 151,500 4,118,906
-----------
16,741,844
-----------
Producer Durables - 1.84%
Allegheny Technologies Inc 108,900 2,443,444
Boeing Co 67,600 2,809,625
Cooper Industries Inc 28,700 1,160,556
Deere & Co 103,600 4,493,650
Honeywell International Inc 75,700 4,366,944
-----------
15,274,219
-----------
Technology - 12.43%
Apple Computer Inc 21,300 2,189,906
Cisco Systems Inc * 129,750 13,899,469
Citrix Systems Inc * 11,600 1,426,800
Compaq Computer Corp 112,900 3,055,356
Computer Associates International Inc 27,400 1,916,288
Dell Computer Corp * 46,500 2,371,500
EMC Corp * 54,800 5,986,900
Hewlett-Packard Co 35,500 4,044,781
IBM Corp 40,500 4,374,000
Intel Corp 136,500 11,235,656
Lucent Technologies Inc 89,600 6,703,200
Microsoft Corp * 184,600 21,552,050
See Notes to Financial Statements See explanation of symbols on D-69
D-17
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- ------------
Motorola Inc 44,300 $ 6,523,175
Oracle Systems Corp * 40,250 4,510,516
Seagate Technology Inc * 34,000 1,583,125
Sun Microsystems Inc * 100,600 7,790,213
Texas Instruments Inc 39,900 3,865,313
------------
103,028,248
------------
Utilities - 5.47%
Allegheny Energy Inc 47,100 1,268,756
AT&T Corp 113,050 5,737,288
AT&T Corp - Liberty Media Group 'A' * 114,200 6,480,850
Bell Atlantic Corp 43,500 2,677,969
Global Crossing Ltd 52,400 2,620,000
GTE Corp 65,500 4,621,844
Level 3 Communications Inc * 24,400 1,997,750
MCI WorldCom Inc * 138,300 7,338,544
Northern States Power Co 178,800 3,486,600
PG&E Corp 88,400 1,812,200
SBC Communications Inc 124,200 6,054,750
Sprint PCS Group Series 1 * 12,200 1,250,500
------------
45,347,051
------------
Total Common Stocks
(Cost $377,322,689) 419,604,373
------------
FOREIGN COMMON STOCK - 0.39%
Netherlands - 0.39%
Royal Dutch Petroleum Guilder 54,000 3,263,625
------------
3,263,625
------------
Total Foreign Common Stock
(Cost $3,444,203) 3,263,625
------------
Principal
Amount
---------
CORPORATE BONDS & NOTES - 8.09%
Autos & Transportation - 0.40%
DaimlerChrysler
7.200% due 09/01/09 $ 1,400,000 1,376,882
Union Pacific Corp
5.780% due 10/15/01 2,000,000 1,957,050
------------
3,333,932
------------
Financial Services - 6.19%
CIT Group Holdings Inc
7.250% due 08/15/05 5,025,000 4,995,729
ERAC USA Finance
6.375% due 05/15/03 1,400,000 1,343,115
First Union Corp
6.625% due 06/15/04 5,900,000 5,740,647
Ford Motor Credit Co
5.750% due 02/23/04 9,000,000 8,533,854
Household Finance Corp
5.875% due 09/25/04 6,500,000 6,117,780
Keystone Financial Inc
6.500% due 05/31/08 500,000 456,250
Montell American Financial
7.400% due 03/15/04 1,500,000 1,451,391
NationsBank
6.450% due 04/15/03 7,000,000 7,004,515
Norwest Financial Inc
6.375% due 09/15/02 2,750,000 2,699,955
Prudential Insurance
6.375% due 07/23/06 2,190,000 2,044,584
SAFECO Capital Trust
8.072% due 07/15/37 2,000,000 1,764,572
Toyota Motor Credit Trust
5.625% due 11/13/03 6,000,000 5,720,934
Wachovia Corp
6.700% due 06/21/04 3,500,000 3,448,763
------------
51,322,089
------------
Materials & Processing - 0.27%
Armstrong World Industries Inc
6.350% due 08/15/03 1,000,000 964,579
Cytec Industries Inc
6.846% due 05/11/05 1,325,000 1,243,408
------------
2,207,987
------------
Other Energy - 0.31%
Enron Corp
6.625% due 10/15/03 1,500,000 1,464,761
LASMO
7.300% due 11/15/27 130,000 118,786
Noble Affiliates Inc
8.000% due 04/01/27 880,000 859,221
Occidental Petroleum Corp
8.450% due 02/15/29 115,000 119,693
------------
2,562,461
------------
Producer Durables - 0.13%
Northrop Grumman Corp
9.375% due 10/15/24 1,000,000 1,056,281
------------
1,056,281
------------
Utilities - 0.79%
Aerial Communications Inc
0.000% due 02/01/08 4,000,000 1,890,824
Southwestern Bell
7.375% due 07/15/27 1,500,000 1,356,575
Texas Utilities Co
5.940% due 10/15/01 1,500,000 1,474,271
United Utilities
6.250% due 08/15/05 2,000,000 1,876,664
------------
6,598,334
------------
Total Corporate Bonds & Notes
(Cost $69,481,951) 67,081,084
------------
See Notes to Financial Statements See explanation of symbols on D-69
D-18
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
----------- ------------
MORTGAGE-BACKED SECURITIES - 22.17%
Collateralized Mortgage Obligations - 4.18%
Bear Stearns Structured Securities
7.000% due 08/25/36 ++ $ 1,000,000 $ 927,344
Chase Manhattan Corp
7.439% due 07/15/09 ++ 8,000,000 7,951,400
CS First Boston Mortgage Securities Corp
7.290% due 09/15/09 ++ 8,000,000 7,859,552
DLJ Mortgage Acceptance Corp
6.500% due 10/19/29 ++ 5,552,618 5,170,876
LB Commercial Conduit Mortgage Trust
7.325% due 09/15/09 ++ 3,150,000 3,113,381
Morgan Stanley Dean Witter Co
6.170% due 10/03/08 ++ 350,000 321,893
6.210% due 09/15/08 ++ 6,200,000 5,713,269
Nomura Asset Securities Corp
6.590% due 03/17/28 ++ 3,060,000 2,880,883
Ocwen Resedential MBS Corp
7.000% due 10/25/40 ++ 684,490 662,137
------------
34,600,735
------------
Federal Home Loan Mortgage Corporation - 0.49%
6.500% due 02/15/19 ++ 1,300,000 1,247,201
6.625% due 09/15/09 ++ 2,920,000 2,833,726
------------
4,080,927
------------
Federal National Mortgage Association - 15.74%
6.000% due 05/15/08 ++ 3,020,000 2,827,085
6.000% due 01/01/29 ++ 24,467 22,408
6.000% due 01/01/30 ++ 24,440,000 22,355,024
6.160% due 08/07/28 ++ 1,220,000 1,061,978
6.300% due 12/25/15 ++ 1,413,055 1,372,430
6.500% due 01/25/23 ++ 6,220,000 6,042,450
6.500% due 01/01/28 ++ 2,738,973 2,587,644
6.500% due 03/01/28 ++ 3,569,186 3,365,303
6.500% due 05/01/28 ++ 12,091,174 11,423,132
6.500% due 01/01/30 ++ # 12,505,000 11,782,086
6.625% due 09/15/09 ++ 11,160,000 10,845,891
7.000% due 08/01/28 ++ 218,562 211,779
7.000% due 01/01/30 ++ # 28,310,000 27,372,373
7.500% due 01/01/30 ++ # 29,495,000 29,163,181
------------
130,432,764
------------
Government National Mortgage Association - 1.76%
6.500% due 12/15/28 ++ 8,298,438 7,804,248
7.000% due 01/15/28 ++ 2,083,144 2,014,583
7.000% due 05/15/28 ++ 2,537,717 2,454,195
7.000% due 03/15/29 ++ 2,433,198 2,352,092
------------
14,625,118
------------
Total Mortgage-Backed Securities
(Cost $188,106,831) 183,739,544
------------
OTHER ASSET-BACKED SECURITIES - 1.95%
Alaska Trade Co
6.790% due 10/01/05 ++ 2,500,000 2,450,125
Chase Credit Card
6.300% due 04/15/03 ++ 400,000 399,890
Chase Funding Mortgage Loan
5.875% due 03/25/17 ++ 2,000,000 1,970,190
Citibank Credit Card Master Trust I
0.000% due 08/15/06 ++ 1,500,000 1,075,173
5.800% due 02/07/05 ++ 700,000 676,008
CS First Boston Mortgage Securities Corp
6.400% due 02/17/04 ++ 1,120,534 1,103,048
Donaldson, Lufkin, & Jenrette
8.481% due 11/25/24 ++ 36,464 36,566
EQCC Home Equity Loan Trust
6.410% due 12/15/04 ++ 1,600,000 1,567,752
MBNA Master Credit Card Trust
7.000% due 02/15/12 ++ 4,000,000 3,923,180
Sears Credit Account Master Trust
6.450% due 11/15/09 ++ 1,500,000 1,457,109
The Money Store Home Equity
6.440% due 09/15/24 ++ 500,000 490,623
U.S. Bancorp Inc
8.270% due 12/15/26 ++ 1,025,000 982,514
------------
Total Other Asset-Backed Securities
(Cost $16,542,322) 16,132,178
------------
U.S. TREASURY BONDS - 1.38%
6.125% due 08/15/29 925,000 882,219
6.750% due 08/15/26 450,000 452,109
8.875% due 02/15/19 8,280,000 10,073,142
------------
Total U.S. Treasury Bonds
(Cost $11,653,556) 11,407,470
------------
U.S. TREASURY NOTES - 0.52%
5.625% due 11/30/00 ** 600,000 597,938
7.875% due 11/15/04 3,545,000 3,751,053
------------
Total U.S. Treasury Notes
(Cost $4,412,024) 4,348,991
------------
U.S. TREASURY STRIPPED - 0.39%
0.000% due 11/15/15 9,425,000 3,197,987
------------
Total U.S. Treasury Stripped
(Cost $3,705,658) 3,197,987
------------
FOREIGN BONDS - 1.48%
Canada - 0.69%
Hydro Quebec
8.500% due 12/01/29 2,000,000 2,156,120
Quebec Province
7.500% due 09/15/29 3,600,000 3,516,624
------------
5,672,744
------------
See Notes to Financial Statements See explanation of symbols on D-69
D-19
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
----------- -------------
France - 0.06%
Legrand
8.500% due 02/15/25 $ 500,000 $ 521,697
------------
521,697
------------
Norway - 0.55%
Den Norske Bank
6.500% due 12/01/28 5,400,000 4,564,685
------------
4,564,685
------------
United Kingdom - 0.18%
CSX Corp
7.050% due 05/01/02 1,500,000 1,493,060
------------
1,493,060
------------
Total Foreign Bonds
(Cost $13,329,009) 12,252,186
------------
Value
-----
SHORT-TERM INVESTMENT - 12.83%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 12.83%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $106,370,577; collateralized by U.S.
Treasury Notes and Bonds--market value
$6,478,938 and due 05/15/01,
and market value
$102,004,163 and due 08/15/19) 106,348,421 106,348,421
------------
Total Securities Held Under Repurchase
Agreement 106,348,421
------------
Total Short-Term Investment
(Cost $106,348,421) 106,348,421
------------
TOTAL MULTI-STRATEGY PORTFOLIO
(COST $796,178,567) $828,829,728
============
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $597,938 have been
segregated with the custodian to cover margin requirements for the following
open futures contracts at December 31, 1999:
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
U.S. Treasury 5-Year Notes (3/00) 261 $331,049
U.S. Treasury 10-Year Notes (3/00) 282 493,627
U.S. Treasury 30-Year Bonds (3/00) 56 (183,186)
------------
$647,490
============
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $796,178,567
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $74,913,292
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (42,262,131)
------------
Net unrealized appreciation $32,651,161
============
See Notes to Financial Statements
D-20
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
CONVERTIBLE PREFERRED STOCKS - 2.74%
Autos & Transportation - 2.43%
Union Pacific Corp 1,057,200 $ 44,005,950
------------
44,005,950
------------
Utilities - 0.31%
Global Crossing Ltd * 20,000 5,635,000
------------
5,635,000
------------
Total Convertible Preferred Stocks
(Cost $58,783,801) 49,640,950
------------
COMMON STOCKS - 87.95%
Autos & Transportation - 1.96%
CSX Corp 209,000 6,557,375
Ford Motor Co 155,300 8,298,844
Lear Corp * 526,700 16,854,400
United Parcel Services 54,800 3,781,200
------------
35,491,819
------------
Consumer Discretionary - 12.55%
Abercrombie & Fitch Co 'A' * 347,900 9,284,581
America Online Inc * 312,300 23,559,131
Cendant Corp * 731,700 19,435,781
Circuit City Stores 198,000 8,922,375
Dayton Hudson Corp 178,900 13,137,969
Federated Department Stores * 302,900 15,315,381
General Electric Co 118,700 18,368,825
Gillette Co 260,400 10,725,225
International Game Technology 529,500 10,755,469
Kimberly-Clark Corp 167,000 10,896,750
TJX Companies Inc 316,400 6,466,425
Tyco International Ltd 1,271,800 49,441,225
Wal-Mart Stores Inc 340,600 23,543,975
Waste Management Inc 433,202 7,445,659
------------
227,298,771
------------
Consumer Staples - 6.08%
Bestfoods 161,800 8,504,612
Clorox Co 143,300 7,218,737
Coca-Cola Co 75,900 4,421,175
PepsiCo Inc 382,400 13,479,600
Philip Morris Companies Inc 881,900 20,449,056
Procter & Gamble Co 302,600 33,153,612
Seagrams Co Ltd 508,800 22,864,200
------------
110,090,992
------------
Financial Services - 11.87%
Ambac Financial Group Inc 396,700 20,702,781
Astoria Financial Corp 277,390 8,443,058
Bank of America Corp 279,028 14,003,718
CIT Group Inc 732,200 15,467,725
Citigroup Inc 289,900 16,107,569
First Union Corp 1,081,500 35,486,719
Goldman Sachs Group Inc 192,900 18,168,769
KeyCorp 416,800 9,221,700
MBIA Inc 89,400 4,721,437
U.S. Bancorp 755,500 17,990,344
UNUM Corp 412,500 13,225,781
Washington Mutual Inc 1,000,700 26,018,200
XL Capital Ltd 'A' 297,900 15,453,562
------------
215,011,363
------------
Health Care - 7.06%
ALZA Corp * 572,400 19,819,350
American Home Products Corp 337,200 13,298,325
Bristol Myers Squibb Co 243,200 15,610,400
Forest Laboratories * 432,500 26,571,719
Lilly (Eli) & Co 209,300 13,918,450
PE Corp-PE Biosystems Group 121,900 14,666,094
Tenet Healthcare Corp * 591,200 13,893,200
Warner-Lambert Co 121,700 9,971,794
------------
127,749,332
------------
Integrated Oils - 3.92%
Conoco Inc 'B' 883,100 21,967,112
Exxon Mobil Corp 609,117 49,071,988
------------
71,039,100
------------
Materials & Processing - 5.66%
Monsanto Co 770,100 27,434,812
Reynolds Metals Co 8,900 681,962
Rohm & Haas Co 900,100 36,622,819
Smurfit-Stone Container Corp * 300,200 7,354,900
Temple-Inland Inc 310,900 20,499,969
USX-U.S. Steel Group 298,700 9,857,100
------------
102,451,562
------------
Other Energy - 3.46%
Columbia Energy Group Inc 532,750 33,696,437
Cooper Cameron Corp * 271,800 13,301,213
Tosco Corp 573,000 15,578,438
------------
62,576,088
------------
Producer Durables - 3.25%
Allegheny Technologies Inc 394,250 8,845,984
Boeing Co 267,800 11,130,438
Cooper Industries Inc 113,500 4,589,656
Deere & Co 393,600 17,072,400
Honeywell International Inc 299,200 17,260,100
------------
58,898,578
------------
Technology - 22.23%
Apple Computer Inc 83,100 8,543,719
Cisco Systems Inc * 505,000 54,098,125
Citrix Systems Inc * 45,300 5,571,900
Compaq Computer Corp 433,100 11,720,769
Computer Associates International Inc 111,800 7,819,013
Dell Computer Corp * 184,000 9,384,000
EMC Corp * 207,300 22,647,525
Hewlett-Packard Co 142,100 16,190,519
IBM Corp 160,700 17,355,600
Intel Corp 528,400 43,493,925
See Notes to Financial Statements See explanation of symbols on D-69
D-21
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Lucent Technologies Inc 353,700 $ 26,461,181
Microsoft Corp * 729,200 85,134,100
Motorola Inc 171,700 25,282,825
Oracle Systems Corp * 158,700 17,784,319
Seagate Technology Inc * 131,900 6,141,594
Sun Microsystems Inc * 395,200 30,603,300
Texas Instruments Inc 147,800 14,318,125
--------------
402,550,539
--------------
Utilities - 9.91%
Allegheny Energy Inc 217,200 5,850,825
AT&T Corp * 440,700 22,365,525
AT&T Corp - Liberty Media Group 'A' * 450,700 25,577,225
Bell Atlantic Corp 171,600 10,564,125
Global Crossing Ltd * 207,200 10,360,000
GTE Corp 259,000 18,275,688
Level 3 Communications Inc * 84,300 6,902,063
MCI WorldCom Inc * 547,650 29,059,678
Northern States Power Co 751,900 14,662,050
PG&E Corp 343,300 7,037,650
SBC Communications Inc 488,700 23,824,125
Sprint PCS Group Series 1 * 48,500 4,971,250
--------------
179,450,204
--------------
Total Common Stocks
(Cost $1,381,911,000) 1,592,608,348
--------------
FOREIGN COMMON STOCKS - 0.70%
Netherlands - 0.70%
Royal Dutch Petroleum Guilder 208,700 12,613,306
--------------
12,613,306
--------------
Total Foreign Common Stocks
(Cost $13,400,418) 12,613,306
--------------
Principal
Amount Value
--------- -----
CONVERTIBLE CORPORATE BONDS & NOTES - 1.02%
Consumer Discretionary - 1.02%
News America Holdings
0.000% due 03/11/13 $ 23,489,000 18,512,386
--------------
18,512,386
--------------
Total Convertible Corporate Bonds & Notes
(Cost $15,437,315) 18,512,386
--------------
Principal Market
Amount Value
--------- -----
U.S. TREASURY NOTES - 0.41%
5.875% due 02/15/00 ** $ 7,500,000 $ 7,507,035
--------------
Total U.S. Treasury Notes
(Cost $7,506,210) 7,507,035
--------------
Value
-----
SHORT-TERM INVESTMENT - 7.18%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.18%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $129,982,854; collateralized by U.S.
Treasury Notes--market value
$30,556,756 and due 05/15/01,
and market value
$108,461,666 and due 08/15/19) 129,955,780 129,955,780
--------------
Total Securities Held Under
Repurchase Agreement 129,955,780
--------------
Total Short-Term Investment
(Cost $129,955,780) 129,955,780
--------------
TOTAL EQUITY INCOME PORTFOLIO
(COST $1,606,994,524) $1,810,837,805
==============
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $7,507,035 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at December 31, 1999:
Number of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
S&P 500 (3/00) 316 $3,996,204
==========
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $1,606,994,524
==============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $338,622,670
--------------
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (134,779,389)
--------------
Net unrealized appreciation $203,843,281
==============
See Notes to Financial Statements See explanation of symbols on D-69
D-22
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 77.76%
Consumer Discretionary - 17.66%
Amazon.com Inc * 1,683,500 $ 128,156,437
America Online Inc * 451,295 34,044,567
DoubleClick Inc * 154,285 39,043,748
eBay Inc * 155,385 19,452,260
EchoStar Communications Corp * 110,710 10,794,225
Electronic Arts Inc * 971,900 81,639,600
Exodus Communications Inc * 678,135 60,226,865
Infinity Broadcasting Corp * 845,050 30,580,247
InfoSpace.com Inc * 33,010 7,064,140
Lamar Advertising Co * 229,065 13,872,749
Liberty Digital Inc * 112,560 8,357,580
Time Warner Inc 1,453,397 105,280,445
TMP Worldwide Inc * 315,960 44,866,320
USWeb Corp * 1,089,430 48,411,546
-------------
631,790,729
-------------
Consumer Staples - 0.98%
Rite Aid Corp 3,143,710 35,170,256
-------------
35,170,256
-------------
Financial Services - 3.46%
American Express Co 312,205 51,904,081
E*TRADE Group Inc * 875,520 22,872,960
Fifth Third Bancorp 412,330 30,254,714
Firstar Corp 883,412 18,662,078
-------------
123,693,833
-------------
Health Care - 6.58%
Medtronic Inc 1,753,329 63,886,925
MiniMed Inc * 374,290 27,416,742
PE Corp-PE Biosystems Group 316,890 38,125,828
Pfizer Inc 270,810 8,784,399
Schering-Plough Corp 2,305,640 97,269,187
-------------
235,483,081
-------------
Materials & Processing - 1.43%
JDS Uniphase Corp * 316,110 50,992,494
-------------
50,992,494
-------------
Other Energy - 3.20%
Enron Corp 2,579,355 114,458,878
-------------
114,458,878
-------------
Producer Durables - 3.75%
Applied Materials Inc * 531,725 67,362,911
ASM Lithography Holding * 443,490 50,446,987
Pittway Corp 'A' 363,779 16,301,846
-------------
134,111,744
-------------
Technology - 23.02%
Broadcom Corp * 122,960 33,491,230
Cisco Systems Inc * 988,849 105,930,448
Conexant Systems Inc * 709,885 47,118,617
EMC Corp * 771,325 84,267,256
I2 Technologies Inc * 464,845 90,644,775
Inktomi Corp * 185,570 16,469,338
Internet Capital Group * 86,245 14,661,650
Maxim Integrated Products Inc * 294,735 13,907,808
Microsoft Corp * 574,720 67,098,560
Phone.com Inc * 349,755 40,549,720
Sapient Corp * 516,375 72,776,602
Software.com * 170,300 16,348,800
Texas Instruments Inc 536,345 51,958,422
VeriSign Inc * 321,875 61,458,008
Veritas Software Corp * 301,367 43,133,152
Vignette Corp * 114,745 18,703,435
Vitesse Semiconductor Corp * 581,480 30,491,358
Whittman-Hart Inc * 271,000 14,532,375
-------------
823,541,554
-------------
Utilities - 17.68%
AT&T Corp - Liberty Media Group 'A' * 3,572,398 202,733,587
Cablevision Systems Corp 'A' * 506,140 38,213,570
Comcast Corp 'A' 1,549,760 77,875,440
Cox Communications Inc 744,825 38,358,488
Level 3 Communications Inc * 659,695 54,012,528
Nextel Communications Inc 'A' * 147,045 15,164,016
NTL Inc * 326,087 40,679,353
Sprint PCS Group Series 1 * 363,750 37,284,375
United Global Com Inc 'A' * 634,680 44,824,275
VoiceStream Wireless Corp * 369,450 52,577,353
Winstar Communications Inc * 411,275 30,794,216
-------------
632,517,201
-------------
Total Common Stocks
(Cost $1,782,528,687) 2,781,759,770
-------------
FOREIGN COMMON STOCKS - 17.49%
Finland - 12.12%
Nokia AB OYJ 195,214 35,402,059
Nokia Corp ADR Pref 2,095,980 398,236,200
-------------
433,638,259
-------------
Germany - 2.19%
Mannesmann AG 322,696 78,157,939
-------------
78,157,939
-------------
Mexico - 0.98%
Telefonos De Mexico ADR 310,605 34,943,063
-------------
34,943,063
-------------
Japan - 1.15%
Sony Corp 138,800 41,126,931
-------------
41,126,931
-------------
See Notes to Financial Statements See explanation of symbols on D-69
D-23
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Spain - 1.05%
Telefonica De Espana SA * 1,400,239 $ 34,986,372
Telefonica SA * 31,140 2,454,221
--------------
37,440,593
--------------
Total Foreign Common Stocks
(Cost $297,019,856) 625,306,785
--------------
Principal
Amount
---------
CORPORATE BOND - 0.20%
Consumer Discretionary - 0.20%
Amazon.com Inc
0.000% due 05/01/03 $ 11,362,000 7,271,680
--------------
7,271,680
--------------
Total Corporate Bond
(Cost $8,032,037) 7,271,680
--------------
Value
-----
SHORT-TERM INVESTMENTS - 4.55%
COMMERCIAL PAPER - 4.55%
Associates First Capital Corp
4.000% due 01/03/00 78,200,000 78,182,622
FHLMC
5.580% due 01/27/00 20,000,000 19,919,400
5.720% due 01/27/00 20,000,000 19,917,378
5.770% due 03/23/00 20,000,000 19,739,800
FNMA
5.460% due 02/07/00 25,000,000 24,859,709
--------------
Total Commercial Paper 162,618,909
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
2.000% due 01/03/00
(Dated 12/31/99, repurchase price
of $103,017; collateralized by U.S.
Treasury Bonds--market value
$107,000 and due 02/15/23) 103,000 103,000
--------------
Total Securities Held Under Repurchase
Agreement 103,000
--------------
Total Short-Term Investments
(Cost $162,719,253) 162,721,909
--------------
TOTAL GROWTH LT PORTFOLIO
(COST $2,250,299,833) $3,577,060,144
==============
Notes to Schedule of Investments
(a) Forward foreign currency contracts outstanding at December 31, 1999, were
summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Expiration Covered by Appreciation
Type to Sell Month Contracts (Depreciation)
- --------------------------------------------------------------------------------
ED Buy 4/00 $26,014,689 ($991,897)
Sell 4/00 178,674,062 6,137,540
Sell 6/00 136,687,780 3,009,940
--------------
$8,155,583
--------------
Principal amount denoted in the indicated currency:
ED - Euro Dollar
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $2,250,299,833
==============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $1,376,453,791
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (49,693,480)
--------------
Net unrealized appreciation $1,326,760,311
==============
See Notes to Financial Statements See explanation of symbols on D-69
D-24
<PAGE>
PACIFIC SELECT FUND
MID-CAP VALUE PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 92.53%
Autos & Transportation - 3.47%
Borg-Warner Automotive Inc 46,200 $ 1,871,100
CNF Transportation Inc 53,700 1,852,650
-----------
3,723,750
-----------
Consumer Discretionary - 18.61%
Avon Products Inc 43,700 1,442,100
Black & Decker Corp 42,100 2,199,725
Borders Group Inc * 152,200 2,444,712
Consolidated Stores * 59,700 970,125
Ethan Allen Interiors Inc 31,700 1,016,381
Maytag Corp 27,400 1,315,200
New York Times Co 'A' 21,000 1,031,625
Republic Services Inc 'A' * 166,000 2,386,250
Saks Inc * 119,900 1,865,944
Tricon Global Restaurants * 54,400 2,101,200
Venator Group Inc * 242,400 1,696,800
Young & Rubicam Inc 20,900 1,478,675
-----------
19,948,737
-----------
Consumer Staples - 7.31%
Coors (Adolph) Co 39,700 2,084,250
Dial Corp 76,300 1,855,044
Ralston Purina Group 70,800 1,973,550
Whitman Corp 142,900 1,920,219
-----------
7,833,063
-----------
Financial Services - 15.33%
ACE Ltd 85,400 1,425,112
Ambac Financial Group Inc 39,200 2,045,750
Capital One Financial Corp 42,700 2,057,606
CIT Group Inc 57,200 1,208,350
Comerica Inc 22,400 1,045,800
Everest Reinsurance Holdings 50,400 1,124,550
Franklin Resources Inc 60,600 1,942,987
Hartford Life Inc 15,500 682,000
Hibernia Corp 'A' 95,200 1,011,500
North Fork Bancorp 109,000 1,907,500
SouthTrust Corp 52,600 1,988,937
-----------
16,440,092
-----------
Health Care - 5.02%
Biomet Inc 39,600 1,584,000
IMS Health Inc 77,000 2,093,437
Watson Pharmaceuticals Inc * 47,700 1,708,256
-----------
5,385,693
-----------
Materials & Processing - 5.04%
Bowater Inc 38,100 2,069,306
Eastman Chemical Co 38,000 1,812,125
PPG Industries Inc 24,300 1,520,269
-----------
5,401,700
-----------
Other Energy - 5.07%
Cooper Cameron Corp * 33,200 1,624,725
Devon Energy Corp 60,900 2,002,087
Enron Oil & Gas Co 103,300 1,814,206
-----------
5,441,018
-----------
Producer Durables - 1.34%
Ingersoll-Rand Co 26,100 1,437,131
-----------
1,437,131
-----------
Technology - 21.05%
3Com Corp * 73,700 3,463,900
Apple Computer Inc 5,100 524,344
Ceridian Corp * 102,000 2,199,375
Electronics For Imaging Inc * 20,900 1,214,813
General Dynamics Corp 41,600 2,194,400
Harris Corp 74,000 1,974,875
KEMET Corp * 36,700 1,653,794
LSI Logic Corp * 17,700 1,194,750
NCR Corp * 61,400 2,325,525
Quantum Corp * 122,000 1,845,250
Seagate Technology Inc * 38,400 1,788,000
Storage Technology Corp * 118,600 2,186,688
-----------
22,565,714
-----------
Utilities - 10.29%
Broadwing Inc * 31,400 1,157,875
CMS Energy Corp 59,500 1,855,656
Entergy Corp 72,500 1,866,875
MidAmerican Energy Holdings Co * 54,600 1,839,338
Niagara Mohawk Holdings Inc * 130,200 1,814,663
Nisource Inc 89,100 1,592,663
Tritel Inc * 28,600 906,263
-----------
11,033,333
-----------
Total Common Stocks
(Cost $100,338,660) 99,210,231
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-25
<PAGE>
PACIFIC SELECT FUND
MID-CAP VALUE PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENT - 7.47%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.47%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $8,016,620; collateralized by U.S.
Treasury Notes--market value
$8,171,819 and due 01/15/08) $ 8,015,000 $ 8,015,000
------------
Total Securities Held Under Repurchase
Agreement 8,015,000
------------
Total Short-Term Investment
(Cost $8,015,000) 8,015,000
------------
TOTAL MID-CAP VALUE PORTFOLIO
(COST $108,353,660) $107,225,231
============
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $108,353,660
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $7,106,962
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (8,235,391)
------------
Net unrealized depreciation ($1,128,429)
============
See Notes to Financial Statements
D-26
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments
December 31, 1999
- -------------------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 97.70%
Autos & Transportation - 1.82%
AMR Corp * 28,000 $ 1,876,000
Brunswick Corp 15,800 351,550
Cooper Tire & Rubber Corp 14,400 224,100
CSX Corp 42,900 1,345,987
Dana Corp 30,928 925,907
Delphi Automotive Systems * 110,405 1,738,879
Delta Air Lines Inc 27,200 1,354,900
Eaton Corp 14,900 1,082,112
FDX Corp * 60,488 2,476,227
Fleetwood Enterprise 5,900 121,687
Ford Motor Co 231,100 12,349,406
General Motors Corp 125,000 9,085,937
Genuine Parts Co 30,675 761,123
Goodyear Tire & Rubber 28,400 800,525
Kansas City Southern 23,300 1,738,762
Navistar International Corp * 12,060 571,342
Norfolk Southern Corp 69,300 1,420,650
PACCAR Inc 17,366 769,531
Southwest Airlines 95,587 1,547,315
TRW Inc 21,800 1,132,237
U.S. Airways Group Inc * 13,500 432,844
Union Pacific Corp 47,400 2,067,825
-----------
44,174,846
-----------
Consumer Discretionary - 17.39%
Alberto-Culver Co 'B' 5,500 141,969
Alcan Aluminium Ltd 49,200 2,026,425
Allied Waste Industries Inc * 31,000 273,187
America Online Inc * 428,800 32,347,600
American Greetings 'A' 15,460 365,242
Autozone Inc * 22,900 739,956
Avon Products Inc 51,100 1,686,300
Bed Bath & Beyond Inc * 30,600 1,063,350
Best Buy Co Inc * 37,900 1,902,106
Black & Decker Corp 15,400 804,650
Carnival Corp 'A' 120,200 5,747,062
CBS Corp 148,412 9,489,092
Cendant Corp * 133,028 3,533,556
Circuit City Stores 39,600 1,784,475
Clear Channel Communications * 61,500 5,488,875
Consolidated Stores * 25,100 407,875
Costco Cos Inc * 43,122 3,934,882
Crane Co 11,050 219,619
Darden Restaurants Inc 23,700 429,562
Dayton Hudson Corp 86,100 6,322,969
Dillards Inc 'A' 17,400 351,262
Dollar General Corp 39,875 907,156
Eastman Kodak Co 58,600 3,882,250
Federated Department Stores * 40,700 2,057,894
Fortune Brands Inc 29,500 975,344
Foster Wheeler Corp 9,000 79,875
Gannett Co 53,300 4,347,281
Gap Inc 166,850 7,675,100
General Electric Co 628,100 97,198,475
Gillette Co 210,300 8,661,731
H & R Block Inc 21,000 918,750
Harcourt General Inc 10,442 420,290
Harrah's Entertainment Inc * 15,850 419,034
Hasbro Inc 41,725 795,383
Hilton Hotels Corp 64,900 624,662
Home Depot Inc 442,050 30,308,053
IKON Office Solutions Inc 21,800 148,512
International Flavors-Fragrances 17,100 645,525
Interpublic Group of Cos Inc 59,400 3,426,637
J.C. Penney Company Inc 51,600 1,028,775
Jostens Inc 4,548 110,573
Kimberly-Clark Corp 105,052 6,854,643
Kmart Corp 99,500 1,001,219
Knight-Ridder Inc 18,000 1,071,000
Kohls Corp * 32,800 2,367,750
Limited Inc 41,448 1,795,216
Liz Claiborne Inc 10,660 401,082
Loews Corp 22,100 1,341,194
Lowe's Cos Inc 72,400 4,325,900
Marriott International Inc 'A' 46,600 1,470,812
Mattel Inc 76,450 1,003,406
May Department Stores Co 58,100 1,873,725
Maytag Corp 17,600 844,800
McDonalds Corp 258,700 10,428,844
McGraw Hill Inc 38,100 2,347,912
Meredith Corp 8,900 371,019
Mirage Resorts Inc * 44,600 682,937
National Service Industries 7,100 209,450
New York Times Co 'A' 31,400 1,542,525
Newell Rubbermaid Inc 57,234 1,659,786
Nike Inc 'B' 58,300 2,889,494
Nordstrom Inc 26,720 699,730
Office Depot Inc * 74,100 810,469
Omnicom Group Inc 36,000 3,600,000
Pep Boys Manny Moe & Jack 9,000 82,125
Polaroid Corp 9,000 169,312
R.R. Donnelley & Sons 27,100 672,419
Reebok International Ltd 9,480 77,617
Russell Corp 6,200 103,850
Sears Roebuck & Co 77,300 2,352,819
Service Corp International 49,600 344,100
Snap-On Inc 11,150 296,172
Springs Industries Inc 1,900 75,881
Stanley Works 14,400 433,800
Staples Inc * 90,850 1,885,137
Tandy Corp 38,444 1,890,964
The Walt Disney Co 402,006 11,758,675
Time Warner Inc 244,440 17,706,622
Times Mirror Co 'A' 12,388 829,996
TJX Cos Inc 63,000 1,287,562
Toys R Us Inc * 45,300 648,356
Tribune Co 48,500 2,670,531
Tricon Global Restaurants * 30,770 1,188,491
Tupperware Corp 9,900 167,681
Tyco International Ltd 317,780 12,353,697
VF Corp 22,800 684,000
Viacom Inc 129,176 7,807,074
Wal-Mart Stores Inc 851,000 58,825,375
Waste Management Inc 123,660 2,125,406
See Notes to Financial Statements See explanation of symbols on D-69
D-27
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Wendy's International Inc 21,400 $441,375
Whirlpool Corp 13,500 878,344
------------
421,041,608
------------
Consumer Staples - 6.40%
Albertson's Inc 86,778 2,798,590
Anheuser-Busch Cos Inc 91,600 6,492,150
Bestfoods 56,900 2,990,806
Brown-Forman Corp 'B' 9,861 564,542
Campbell Soup Co 86,200 3,334,862
Clorox Co 48,500 2,443,187
Coca-Cola Co 470,900 27,429,925
Coca-Cola Enterprises Inc 72,300 1,455,037
Colgate-Palmolive Co 116,400 7,566,000
Conagra Inc 84,300 1,902,019
Coors (Adolph) Co 6,290 330,225
CVS Corp 77,900 3,111,131
General Mills Inc 52,800 1,887,600
Great Atlantic & Pacific 6,800 189,550
H.J. Heinz Co 72,550 2,888,397
Hershey Foods Corp 24,700 1,173,250
Kellogg Co 67,800 2,089,087
Kroger Co * 161,400 3,046,425
Longs Drug Stores Inc 6,700 172,944
Nabisco Group Holdings Corp 'A' 64,900 689,562
PepsiCo Inc 288,800 10,180,200
Philip Morris Companies Inc 460,400 10,675,525
Procter & Gamble Co 252,200 27,631,662
Quaker Oats Co 29,500 1,935,937
Ralston Purina Group 56,300 1,569,362
Rite Aid Corp 53,500 598,531
Safeway Inc * 101,000 3,591,812
Sara Lee Corp 182,200 4,019,787
Seagrams Co Ltd 86,700 3,896,081
Supervalu Inc 19,800 396,000
SYSCO Corp 69,500 2,749,594
Unilever N.V 115,592 6,292,539
UST Inc 32,800 826,150
Walgreen Co 195,900 5,730,075
William Wrigley Jr. Co 21,500 1,783,156
Winn-Dixie Stores Inc 21,300 509,869
------------
154,941,569
------------
Financial Services - 13.51%
AFLAC Inc 50,500 2,382,969
Allstate Corp 151,278 3,630,672
American Express Co 85,700 14,247,625
American General Corp 51,865 3,935,257
American International Group Inc 295,885 31,992,566
Amsouth Bancorp 64,150 1,238,897
Aon Corp 42,425 1,697,000
Associates First Capital Corp 139,390 3,824,513
Automatic Data Processing Inc 117,300 6,319,537
Bank of America Corp 327,108 16,416,733
Bank of New York Co Inc 141,000 5,640,000
Bank One Corp 218,754 7,013,800
BB&T Corp 52,600 1,439,925
Bear Stearns Cos Inc * 27,720 1,185,030
Capital One Financial Corp 36,500 1,758,844
Chase Manhattan Corp 156,580 12,164,309
Chubb Corp 32,000 1,802,000
CIGNA Corp 37,600 3,029,150
Cincinnati Financial Corp 34,000 1,060,375
Citigroup Inc 643,063 35,730,188
Comerica Inc 28,450 1,328,259
Conseco Inc 61,913 1,106,695
Countrywide Credit Industries Inc 25,500 643,875
Deluxe Corp 13,800 378,637
Dow Jones & Co Inc 12,900 877,200
Dun & Bradstreet Corp 32,100 946,950
Equifax Inc 24,400 574,925
FHLMC 136,300 6,414,619
Fifth Third Bancorp 61,375 4,503,391
First Data Corp 82,300 4,058,419
First Union Corp 184,710 6,060,797
Firstar Corp 199,630 4,217,184
Fleet Boston Corp 184,406 6,419,634
FNMA 197,200 12,312,675
Franklin Resources Inc 44,600 1,429,987
Golden West Financial Corp 34,500 1,155,750
Hartford Financial Services Group 46,000 2,179,250
Household International Inc 93,392 3,478,852
Huntington Bancshares Inc 39,930 953,329
ITT Industries Inc 16,600 555,062
J.P. Morgan & Co Inc 32,300 4,089,987
Jefferson-Pilot Corp 18,200 1,242,150
KeyCorp 94,200 2,084,175
Lehman Brothers Holdings Inc 22,900 1,939,344
Lincoln National Corp 42,400 1,696,000
Marsh & McLennan Cos Inc 54,250 5,191,047
MBIA Inc 20,400 1,077,375
MBNA Corp 150,837 4,110,308
Mellon Financial Corp 100,500 3,423,281
Merrill Lynch & Co Inc 68,500 5,719,750
MGIC Investment Corp 18,800 1,131,525
Morgan Stanley Dean Witter Co 111,674 15,941,463
National City Corp 121,300 2,873,294
Northern Trust Corp 48,200 2,554,600
Old Kent Financial Corp 23,400 827,775
Paine Webber Group Inc 29,000 1,125,562
Paychex Inc 50,700 2,028,000
PNC Bank Corp 55,400 2,465,300
Progressive Corp Ohio 13,500 987,187
Providian Financial Corp 26,300 2,394,944
Regions Financial Corp 50,900 1,278,862
Republic New York Corp 21,900 1,576,800
Ryder Systems Inc 12,300 300,581
SAFECO Corp 33,540 834,307
Schwab (Charles) Corp 156,800 6,017,200
SLM Holding Corp 28,500 1,204,125
SouthTrust Corp 38,400 1,452,000
St. Paul Cos Inc 46,598 1,569,770
State Street Corp 27,500 2,009,219
Summit Bancorp 29,900 915,687
SunTrust Banks Inc 66,300 4,562,269
Synovus Financial Corp 38,650 768,169
T. Rowe Price Associates Inc 28,000 1,034,250
Torchmark Corp 22,700 659,719
U.S. Bancorp 146,637 3,491,794
See Notes to Financial Statements See explanation of symbols on D-69
D-28
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Union Planters Corp 22,300 $879,456
UNUM Corp 38,405 1,231,360
Wachovia Corp 38,600 2,624,800
Washington Mutual Inc 105,192 2,734,992
Wells Fargo & Co 324,000 13,101,750
------------
327,255,057
------------
Health Care - 9.14%
Abbott Laboratories Inc 299,400 10,871,962
Aetna Inc 28,239 1,576,089
Allergan Inc 27,600 1,373,100
ALZA Corp * 21,000 727,125
American Home Products Corp 255,200 10,064,450
Amgen Inc * 194,800 11,700,175
Bausch & Lomb Inc 9,700 663,844
Baxter International Inc 55,200 3,467,250
Becton Dickinson & Co 49,100 1,313,425
Biomet Inc 24,040 961,600
Boston Scientific Corp * 79,400 1,736,875
Bristol Myers Squibb Co 378,100 24,269,294
C.R. Bard Inc 9,200 487,600
Cardinal Health Inc 52,350 2,506,256
Columbia/HCA Healthcare Corp 114,284 3,349,950
Guidant Corp 59,800 2,810,600
HCR Manor Care Inc * 18,500 296,000
HEALTHSOUTH Corp * 77,900 418,712
Humana Inc 28,300 231,706
IMS Health Inc 58,800 1,598,625
Johnson & Johnson 266,300 24,799,187
Lilly (Eli) & Co 208,800 13,885,200
Mallinckrodt Inc 12,300 391,294
McKesson HBOC Inc 47,939 1,081,624
Medtronic Inc 223,000 8,125,562
Merck & Co Inc 447,000 29,976,937
PE Corp-PE Biosystems Group 21,100 2,538,594
PerkinElmer Inc 7,700 320,994
Pfizer Inc 737,300 23,916,169
Pharmacia & Upjohn Inc 101,435 4,564,575
Quintiles Transnational Corp * 22,000 411,125
Schering-Plough Corp 286,200 12,074,062
Shared Medical Systems Corp 4,500 229,219
St. Jude Medical Inc 12,756 391,450
Tenet Healthcare Corp * 66,700 1,567,450
United Healthcare Corp 32,100 1,705,312
Warner-Lambert Co 167,100 13,691,756
Water Pik Technologies * 1,590 15,204
Watson Pharmaceuticals Inc * 16,400 587,325
Wellpoint Health Networks Inc * 11,300 745,094
------------
221,442,771
------------
Integrated Oils - 4.69%
Amerada Hess Corp 16,800 953,400
Atlantic Richfield Co 65,400 5,657,100
Chevron Corp 125,300 10,854,112
Coastal Corp 37,700 1,335,994
Conoco Inc 'B' 119,803 2,980,100
Exxon Mobil Corp 665,439 53,609,429
Kerr-McGee Corp 14,898 923,676
Phillips Petroleum Co 43,500 2,044,500
Royal Dutch Petroleum Guilder 414,600 25,057,387
Texaco Inc 111,000 6,028,687
Transocean Sedco Forex Inc 39,989 1,347,139
Unocal Corp 44,100 1,480,106
USX-Marathon Group 55,900 1,380,031
------------
113,651,661
------------
Materials & Processing - 3.24%
Air Products & Chemicals Inc 39,400 1,322,362
Alcoa Inc 65,700 5,453,100
Archer-Daniels-Midland Co 113,787 1,386,779
Armstrong World Industries Inc 6,800 226,950
Avery Dennison Corp 20,000 1,457,500
Ball Corp 5,000 196,875
Barrick Gold Corp 76,800 1,358,400
Bemis Inc 7,300 254,588
Bethlehem Steel Corp 21,000 175,875
Boise Cascade Corp 10,300 417,150
Burlington Northern Santa Fe 90,610 2,197,293
Champion International Corp 17,500 1,083,906
Crown Cork & Seal Co Inc 22,300 498,963
Dow Chemical Co 44,700 5,973,038
Du Pont E.I. De Nemours & Co 202,882 13,364,852
Eastman Chemical Co 14,225 678,355
Ecolab Inc 19,840 776,240
Engelhard Corp 22,612 426,802
Fluor Corp 13,800 633,075
Fort James Corp 37,100 1,015,613
Freeport McMoRan Copper & Gold 32,100 678,113
Georgia-Pacific Group 34,300 1,740,725
Great Lakes Chemical Corp 10,100 385,694
Hercules Inc 17,300 482,238
Homestake Mining Co 39,900 311,719
International Paper Co 81,696 4,610,718
Johnson Controls Inc 12,600 716,625
Leggett & Platt Inc 36,400 780,325
Louisiana-Pacific Corp 21,200 302,100
Masco Corp 88,500 2,245,688
Mead Corp 17,700 768,844
Monsanto Co 122,800 4,374,750
Newmont Mining Corp 31,722 777,189
Nucor Corp 20,000 1,096,250
Owens Corning 9,300 179,606
Owens Illinois Inc * 30,200 756,888
Pactiv Corp * 35,800 380,375
Phelps Dodge Corp 15,150 1,016,944
Placer Dome Inc 64,700 695,525
Potlatch Corp 4,900 218,663
PPG Industries Inc 31,600 1,976,975
Praxair Inc 28,700 1,443,969
Reynolds Metals Co 11,700 896,513
Rohm & Haas Co 45,598 1,855,269
Sealed Air Corp * 18,260 946,096
Sherwin Williams Co 30,200 634,200
Sigma Aldrich Corp 17,300 520,081
Temple-Inland Inc 10,100 665,969
Timken Co 9,500 194,156
Union Carbide Corp 27,500 1,835,625
USX-U.S. Steel Group 16,560 546,480
Vulcan Materials Co 17,800 710,888
See Notes to Financial Statements See explanation of symbols on D-69
D-29
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ --------
W.R. Grace & Co * 12,600 $174,825
Westvaco Corp 15,100 492,638
Weyerhaeuser Co 42,000 3,016,125
Williamette Industries Inc 19,300 896,244
Worthington Industries Inc 15,155 251,005
------------
78,473,753
------------
Other Energy - 1.70%
AES Corp * 42,600 3,184,350
Anadarko Petroleum Corp 22,000 750,750
Apache Corp 19,300 712,894
Ashland Inc 10,400 342,550
Baker Hughes Inc 65,000 1,369,063
Burlington Resources Inc 36,747 1,214,948
Columbia Energy Group Inc 19,000 1,201,750
Eastern Enterprises 8,900 511,194
El Paso Energy Corp 47,300 1,835,831
Enron Corp 135,200 5,999,500
Halliburton Co 81,600 3,284,400
Inco Ltd 35,600 836,600
McDermott International Inc 9,600 87,000
Minnesota Mining & Manufacturing Co 78,900 7,722,338
Occidental Petroleum Corp 73,600 1,591,600
Rowan Companies Inc * 13,900 301,456
Schlumberger Ltd 104,800 5,895,000
Sunoco Inc 19,557 459,590
Tosco Corp 28,000 761,250
Union Pacific Resources Group 43,226 551,132
Williams Cos Inc 82,700 2,527,519
------------
41,140,715
------------
Producer Durables - 2.98%
Allegheny Technologies Inc 15,902 356,801
Andrew Corp * 22,225 420,886
Applied Materials Inc * 70,600 8,944,138
B.F. Goodrich Co 23,900 657,250
Boeing Co 180,410 7,498,291
Briggs & Stratton Corp 4,000 214,500
Caterpillar Inc 66,800 3,143,775
Centex Corp 10,200 251,813
Cooper Industries Inc 18,600 752,138
Cummins Engine Co Inc 5,800 280,213
Danaher Corp 29,800 1,437,850
Deere & Co 46,400 2,012,600
Dover Corp 43,800 1,987,425
Emerson Electric Co 87,000 4,991,625
FMC Corp * 5,500 315,219
Honeywell International Inc 155,675 8,980,502
Huttig Building Products * 2,456 12,124
Illinois Tool Works Inc 52,000 3,513,250
Ingersoll-Rand Co 35,550 1,957,472
Kaufman & Broad Home Corp 7,800 188,663
KLA-Tencor Corp * 17,600 1,960,200
Lockheed Martin Corp 73,642 1,610,919
Milacron 4,600 70,725
Millipore Corp 7,352 283,971
NACCO Industries Inc 1,000 55,563
Northrop Grumman Corp 12,500 675,781
Pall Corp 21,266 458,548
Parker-Hannifin Corp 21,775 1,117,330
Pitney Bowes Inc 53,200 2,570,225
Pulte Corp 8,900 200,250
Tektronix Inc 8,150 316,831
Teradyne Inc * 32,300 2,131,800
Textron Inc 32,500 2,492,344
Thomas & Betts Corp 9,500 302,813
United Technologies Corp 95,300 6,194,500
W.W. Grainger Inc 20,000 956,250
Xerox Corp 129,200 2,931,225
------------
72,245,810
------------
Technology - 26.84%
3Com Corp * 69,200 3,252,400
Adaptec Inc * 21,700 1,082,288
ADC Telecommunications Inc * 27,000 1,959,188
Adobe Systems Inc 24,800 1,667,800
Advanced Micro Devices Inc * 32,800 949,150
Analog Devices Inc * 35,500 3,301,500
Apple Computer Inc 28,950 2,976,422
Autodesk Inc 8,760 295,650
BMC Software Inc * 43,700 3,493,269
Cabletron Systems Inc * 37,100 964,600
Ceridian Corp * 27,900 601,594
Cisco Systems Inc * 626,200 67,081,675
Citrix Systems Inc * 17,200 2,115,600
Compaq Computer Corp 320,042 8,661,137
Computer Associates International Inc 104,300 7,294,481
Computer Sciences Corp * 28,900 2,734,663
Compuware Corp * 70,800 2,637,300
Comverse Technology Inc * 13,400 1,939,650
Corning Inc 47,300 6,098,744
Dell Computer Corp * 485,000 24,735,000
Electronic Data Systems Corp 91,200 6,104,700
EMC Corp * 191,975 20,973,269
Gateway 2000 Inc * 58,800 4,237,275
General Dynamics Corp 38,640 2,038,260
General Instrument Corp * 35,000 2,975,000
Hewlett-Packard Co 197,000 22,445,688
IBM Corp 345,600 37,324,800
Intel Corp 640,660 52,734,326
Lexmark International Group Inc * 25,800 2,334,900
LSI Logic Corp * 30,300 2,045,250
Lucent Technologies Inc 600,926 44,956,776
Micron Technology Inc 48,500 3,770,875
Microsoft Corp * 990,700 115,664,225
Molex Inc 28,800 1,632,600
Motorola Inc 114,700 16,889,575
National Semiconductor Corp * 33,800 1,447,063
Network Appliance Inc * 30,600 2,541,713
Nortel Networks Corp 257,480 26,005,480
Novell Inc * 65,100 2,599,931
Oracle Systems Corp * 279,002 31,265,662
Parametric Technology Corp * 56,500 1,529,031
Peoplesoft Inc * 53,100 1,131,694
QUALCOMM Inc * 126,400 22,278,000
Raytheon Co 67,500 1,792,969
Rockwell International Corp 34,700 1,661,263
Scientific-Atlanta Inc 13,800 767,625
Seagate Technology Inc * 46,000 2,141,875
See Notes to Financial Statements See explanation of symbols on D-69
D-30
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Silicon Graphics Inc * 42,844 $420,407
Solectron Corp * 52,500 4,994,063
Sun Microsystems Inc * 295,000 22,844,063
Teledyne Technologies * 4,543 42,875
Tellabs Inc * 72,100 4,627,919
Texas Instruments Inc 148,900 14,424,688
Thermo Electron Corp * 24,400 366,000
Unisys Corp * 61,600 1,967,350
Xilinx Inc * 64,800 2,946,375
Yahoo! Inc * 51,300 22,196,869
--------------
649,962,545
--------------
Utilities - 9.99%
Alltel Corp 62,000 5,126,625
Ameren Corp 21,700 710,675
American Electric Power Co Inc 42,200 1,355,675
AT&T Corp 608,940 30,903,705
Bell Atlantic Corp 302,622 18,630,167
BellSouth Corp 356,200 16,674,613
Carolina Power & Light Co 20,800 633,100
Central & South West Corp 51,600 1,032,000
CenturyTel Inc 25,750 1,219,906
Cinergy Corp 25,013 603,439
CMS Energy Corp 27,700 863,894
Comcast Corp 'A' 148,070 7,440,518
Consolidated Edison Inc 40,600 1,400,700
Consolidated Natural Gas Co 16,500 1,071,469
Constellation Energy Group 23,850 691,650
Dominion Resources Inc 41,350 1,622,988
DTE Energy Co 25,000 784,375
Duke Power Co 72,526 3,635,366
Edison International 71,000 1,859,313
Entergy Corp 50,500 1,300,375
FirstEnergy Corp 36,000 816,750
Florida Progress Corp 17,700 748,931
FPL Group Inc 32,800 1,404,250
Global Crossing Ltd * 146,370 7,318,500
GPU Inc 31,600 946,025
GTE Corp 190,900 13,470,381
MCI WorldCom Inc * 539,048 28,603,208
MediaOne Group Inc * 118,200 9,079,238
New Century Energies Inc 17,600 534,600
Nextel Communications Inc 'A' * 68,700 7,084,688
Niagara Mohawk Holdings Inc * 22,700 316,381
NICOR Inc 9,100 295,750
Northern States Power Co 19,500 380,250
ONEOK Inc 4,900 123,113
PECO Energy Co 37,700 1,310,075
Peoples Energy Corp 6,100 204,350
PG&E Corp 82,700 1,695,350
Pinnacle West Capital Corp 15,900 485,944
PP&L Resources Inc 22,466 513,910
Public Service Enterprise Group Inc 38,400 1,336,800
Reliant Energy Inc 45,529 1,041,476
SBC Communications Inc 650,948 31,733,715
Sempra Energy 39,047 678,442
Southern Co 137,200 3,224,200
Sprint FON Group 165,800 11,160,413
Sprint PCS Group Series 1 * 85,350 8,748,375
Texas Utilities Co 59,010 2,098,543
U.S. West Inc 101,536 7,310,592
Unicom Corp 48,000 1,608,000
--------------
241,832,803
--------------
Total Common Stocks
(Cost $1,586,408,379) 2,366,163,138
--------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENTS - 2.30%
U.S. TREASURY BILL - 0.12%
5.150% due 04/06/00 ** $2,845,000 2,806,371
--------------
Total U.S. Treasury Bill 2,806,371
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 2.18%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $52,829,004; collateralized by U.S.
Treasury Bonds--market value
$2,874,875 and due 05/15/16,
and market value
$51,002,081 and due 08/15/19) 52,818,000 52,818,000
--------------
Total Securities Held Under Repurchase
Agreement 52,818,000
--------------
Total Short-Term Investments
(Cost $55,624,290) 55,624,371
--------------
TOTAL EQUITY INDEX PORTFOLIO
(COST $1,642,032,669) $2,421,787,509
==============
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $2,106,007 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at December 31, 1999:
Number of Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------------
S&P 500 (3/00) 141 $1,357,125
=============
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $1,642,032,669
==============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $863,652,261
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (83,897,421)
--------------
Net unrealized appreciation $779,754,840
==============
See Notes to Financial Statements See explanation of symbols on D-69
D-31
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
PREFERRED STOCK - 0.00%
Consumer Discretionary - 0.00%
Osullivan Industries Holding 1,200 $612
----------
612
----------
Total Preferred Stock
(Cost $1,800) 612
COMMON STOCKS - 96.25%
Autos & Transportation - 3.15%
A.O. Smith Corp 3,000 65,625
AAR Corp 3,000 53,812
ABC-NACO Inc * 1,300 10,725
Aftermarket Technology Corp * 1,200 14,325
Air Express International Corp 3,700 119,556
Airborne Freight Corp 5,900 129,800
AirTran Holdings Inc * 4,100 18,578
Alaska Air Group Inc 2,800 98,350
America West Holdings Corp 'B' * 2,800 58,100
American Axle & Manufacturing * 1,500 18,187
American Freightways Corp * 2,200 35,612
Amtran Inc * 1,200 23,250
Arctic Cat Inc 1,100 11,000
Arnold Industries Inc 1,400 19,687
Arvin Industries Inc 3,900 110,662
Atlantic Coast Airlines * 800 19,000
Atlas Air Inc * 2,150 58,991
Aviall Inc 1,300 10,644
Bandag Inc 900 22,500
C.H. Robinson Worldwide Inc 5,000 198,750
Circle International Group Inc 900 20,025
Coachmen Industries Inc 1,000 15,125
Consolidated Freightways Corp * 3,100 24,606
Covenant Transport Inc * 1,800 31,275
Delco Remy International Inc * 1,600 13,200
Dura Automotive Systems Inc * 2,500 43,594
Eagle USA Inc * 2,150 92,719
Exide Corp 1,900 15,794
Fleetwood Enterprise 4,700 96,937
Florida East Coast Industries 3,700 154,475
Forward Air Corp * 700 30,362
Fritz Cos Inc * 1,100 11,550
Frontier Airlines Inc * 1,900 21,612
Hayes Lemmerz International Inc * 1,800 31,387
Heartland Express Inc * 1,300 20,475
Hub Group Inc 'A' * 1,000 20,000
J.B. Hunt Transport Services Inc 3,600 49,837
Keystone Automotive Industries Inc * 1,800 10,575
Kirby Corp * 1,300 26,650
Knight Transportation Inc * 1,800 30,825
Landstar System Inc * 1,600 68,500
M.S. Carriers Inc * 500 11,937
MascoTech Inc 4,700 59,631
Mesa Air Group Inc * 1,500 7,125
Mesaba Holdings Inc * 2,000 22,875
Midwest Express Holdings Inc * 2,100 66,937
Miller Industries Inc * 6,200 17,825
Modine Manufacturing Co 3,000 75,000
Monaco Coach Corp * 1,750 44,734
Oea Inc 2,900 14,137
Offshore Logistics Inc * 3,300 30,937
Oshkosh Truck Corp 1,750 51,297
Overseas Shipholding Group 1,800 26,662
Polaris Industries Inc 2,700 97,875
Roadway Express Inc 2,100 45,412
Sauer Inc 2,200 19,937
Simpson Industries Inc 1,100 12,375
Skywest Inc 3,000 84,000
SpectraSite Holdings * 1,448 15,747
Standard Motor Products Co 400 6,450
Stoneridge Inc * 800 12,350
Superior Industries International Inc 2,700 72,394
Swift Transport * 4,150 73,144
Thor Industries Inc 700 21,306
Titan International Inc 2,400 15,600
Tower Automotive Inc * 5,500 84,906
Trans World Airlines Inc * 4,300 12,094
Trinity Industries Inc 5,600 159,250
U.S. Xpress Enterprises 'A' * 1,600 11,800
USFreigtways Corp 3,400 162,775
Wabash National Corp 1,600 24,000
Werner Enterprise Inc 4,600 64,687
Westinghouse Air Brake Co 4,710 83,602
Winnebago Industries Inc 2,200 44,137
Wisconsin Central Transport * 6,400 86,000
Wynn's International Inc 800 11,300
Yellow Corp 1,900 31,944
----------
3,608,859
----------
Consumer Discretionary - 16.65%
24/7 Media Inc * 1,500 84,375
99 Cents Only Stores * 600 22,950
Aaron Rents Inc 2,900 51,475
ABM Industries 1,200 24,450
Acclaim Entertainment Inc * 3,000 15,375
Ackerley Group Inc 1,200 21,750
Action Performance * 2,300 26,450
Activision Inc * 3,500 53,594
ACTV Inc * 3,900 178,181
AdForce Inc * 1,000 71,375
Administaff Inc * 1,300 39,325
Advantage Learning System Inc * 600 6,712
Advantica Restaurant Group * 6,100 10,675
ADVO Inc * 2,900 68,875
AHL Services Inc * 1,400 29,225
AMC Entertainment * 1,100 9,487
AMERCO * 500 12,500
American Classic Voyages Co * 400 14,000
American Woodmark Corp 800 19,400
Ames Department Stores Inc * 2,900 83,556
AMF Bowling Inc * 7,300 22,812
Anchor Gaming * 1,100 47,781
AnnTaylor Stores Corp * 2,200 75,762
Applebee's International Inc 2,600 76,700
Applied Graphics Technologies Inc * 2,000 17,250
Argosy Gaming Co * 2,700 11,981
See Notes to Financial Statements See explanation of symbols on D-69
D-32
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Ascent Entertainment Group * 4,400 $55,825
Autobytel.com Inc * 1,600 24,300
Autoweb.com Inc * 1,400 15,225
Avado Brands Inc 4,300 18,141
Aviation Sales Co * 2,000 33,000
Avis Rent A Car Inc * 3,400 86,912
Aztar Corp * 3,300 35,887
Bacou Inc * 1,100 16,569
Bally Total Fitness Holdings * 3,200 85,400
Banta Corp 3,200 72,200
Barnesandnoble.com Inc * 3,500 49,656
Bassett Furniture 700 11,200
bebe Stores Inc * 500 13,500
Bell Howell and Co * 2,000 63,625
Berlitz International Inc * 1,200 20,625
Beyond.com Corp * 2,100 16,406
Block Drug Company Inc * 1,030 31,930
Bob Evans Farms Inc 6,000 92,625
Boca Resorts Inc * 4,500 43,875
Boise Cascade Office Product * 2,000 30,000
Borders Group Inc * 8,500 136,531
Bowne & Co 4,800 64,800
Boyd Gaming Corp * 2,200 12,787
Boyds Collection Ltd * 5,900 40,931
Bright Horizons Family Solutions Inc * 2,000 37,500
Brightpoint Inc * 6,600 86,625
Brown Shoe Company Inc 1,400 19,775
Buckle Inc * 500 7,406
Budget Group Inc 'A' * 4,600 41,687
Buffets Inc * 5,800 58,000
Building One Services Corp * 1,365 12,882
Burlington Coat Factory 1,200 16,650
Burns International Services * 1,000 10,812
Bush Industries 1,600 27,500
Callaway Golf Co 7,900 139,731
Career Education Corp * 700 26,862
CareerBuilder Inc * 1,500 9,656
Carmike Cinemas * 1,700 13,281
Carriage Services Inc 'A' * 700 4,156
Casella Waste * 900 16,987
Catalytica Inc * 7,300 99,006
Cato Corp 2,100 26,512
CBRL Group Inc 6,200 60,159
CDI Corp * 800 19,300
CDnow Inc * 1,200 11,850
CEC Entertainment * 2,950 83,706
CellStar Corp * 2,700 26,662
Central Garden & Pet Co * 1,300 13,487
Central Parking Corp 700 13,387
Century Business Services * 6,800 57,375
Championship Auto Racing * 700 16,100
Charles River Associates Inc * 800 26,800
Charming Shoppes Inc 11,400 75,525
Cheesecake Factory * 1,900 66,500
Chicos Fas Inc * 1,100 41,387
Children's Place * 1,500 24,656
Choice Hotels International Inc * 6,900 118,162
ChoicePoint Inc * 3,200 132,400
Churchill Downs Inc 500 11,281
Citadel Communications Corp * 2,500 162,187
CKE Restaurants Inc 6,000 35,250
Coinstar Inc * 1,600 22,400
Coldwater Creek Inc * 700 14,350
Coleman Co Inc * 2,500 23,281
Columbia Sportswear Co * 1,200 25,800
CompUSA Inc * 10,000 51,250
Concur Technologies Inc * 1,200 34,800
Consolidated Graphics Inc * 2,200 32,862
Consolidated Products Inc * 1,760 17,820
Copart Inc 2,600 113,100
Corinthian Colleges Inc * 1,000 23,875
Cornell Corrections Inc * 1,400 11,725
Corporate Executive Board Co * 1,200 67,050
Cost Plus Inc * 2,675 95,297
CPI Corp 1,400 31,587
Creative Computers Inc * 1,800 13,162
CSK Auto Corp * 1,500 26,250
CSS Industries Inc * 1,200 25,650
Cumulus Media Inc * 2,200 111,650
Cyberian Outpost Inc * 1,900 18,881
Daisytek International Corp * 2,700 62,944
Dave & Buster's Inc * 600 4,912
Davids Bridal Inc * 1,500 16,781
Deb Shops Inc 800 14,800
Delia's Inc * 2,200 15,950
Dendrite International Inc * 3,450 116,869
Department 56 Inc * 2,700 61,087
Diamond Tech Partners Inc * 1,500 128,906
Direct Focus Inc * 1,400 38,850
Discount Auto Parts Inc * 600 10,837
Dollar Thrifty Automotive Group Inc * 3,200 76,600
Donna Karan International Inc * 2,400 15,750
Dover Downs Entertainment 800 15,000
Dress Barn Inc * 2,500 41,562
E4L Inc * 2,700 6,750
EarthWeb Inc * 600 30,187
Education Management Corp 2,900 40,600
Egghead.com Inc * 3,043 49,259
Electronics Boutique Holdings * 1,100 19,800
Emmis Communciations 'A' * 2,100 261,745
Enesco Group Inc 900 9,956
Entercom Communications * 1,200 79,200
Ethan Allen Interiors Inc 5,000 160,312
Extended Stay America Inc * 9,000 68,625
F.Y.I. Inc * 1,900 64,600
Factory 2-U Stores Inc * 1,700 48,237
Family Golf Centers * 4,800 6,750
Fatbrain.com Inc * 800 20,050
Fedders USA Inc 2,700 14,850
Federal Signal Corp 6,600 106,012
Fidelity Holdings Inc * 700 13,256
Finish Line 'A' * 3,800 20,662
First Consulting Group Inc * 1,000 15,500
Fisher Scientific International * 4,100 148,112
Flycast Communications Corp * 700 90,956
Footstar Inc * 2,300 70,150
Fossil Inc * 1,800 41,625
Foster Wheeler Corp 4,300 38,162
Franklin Covey Co * 3,200 24,000
Furniture Brands International Inc * 6,400 140,800
See Notes to Financial Statements See explanation of symbols on D-69
D-33
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
G&K Services Inc 'A' 2,800 $90,650
Gaylord Entertainment Co 'A' 2,000 59,875
GC Cos Inc * 500 12,937
Genesco Inc * 1,700 22,100
Getty Images Inc * 3,100 151,512
Global Imaging Systems Inc * 1,000 12,250
Goody's Family Clothing * 3,400 18,275
Gray Communications System 400 7,075
Grey Advertising Inc 100 40,000
Griffon Corp * 1,700 13,281
Group 1 Automotive Inc * 1,000 13,937
Group Maintenance America * 4,100 43,819
GT Interactive Software Corp * 5,500 9,109
GTECH Holdings Corp 4,200 92,400
Guess? Inc * 1,300 28,275
Guitar Center Inc * 3,000 30,187
Gymboree Corp * 3,500 19,687
HA-LO Industries Inc * 3,250 24,375
Handleman Co Del 4,200 56,175
Hanover Direct Inc * 10,800 39,150
Harman International 2,200 123,475
Haverty Furniture 1,200 15,150
Heidrick & Struggles International Inc * 1,100 46,475
Heilig-Meyers Co 8,000 22,000
Herbalife International Inc 'A' 1,900 27,312
Hollywood Entertainment Corp * 3,700 53,650
Hollywood Park Inc 3,400 76,287
HomeBase Inc * 5,100 15,619
IDG Books Worldwide Inc * 1,000 11,562
IHOP Corp 3,000 50,062
Information Holdings Inc * 1,000 29,062
InfoUSA Inc * 1,200 16,725
Insight Enterprises Inc * 2,250 91,406
Interim Services Inc * 7,260 179,685
InterTAN Inc * 2,400 62,700
Iron Mountain Inc * 3,500 137,594
IT Group Inc * 1,400 12,862
ITI Technologies Inc * 1,300 39,000
ITT Educational Services Inc * 2,300 35,506
Iturf Inc * 1,000 12,437
Jakks Pacific Inc * 1,900 35,506
Jo-Ann Stores 'A' * 1,100 12,375
John H Harland Co 3,800 69,587
Jostens Inc 5,200 126,425
Journal Register Co * 4,400 67,925
Just For Feet Inc * 6,500 7,922
Justin Industries Inc 900 13,387
K-Swiss Inc 1,500 27,867
Kellwood Co 3,700 71,919
Kelly Services Inc 'A' 2,000 50,250
Kenneth Cole * 400 18,300
Korn Ferry International * 2,000 72,750
L.S. Starrett Co 'A' 300 6,731
La-Z-Boy Chair Co 5,600 94,150
Labor Ready Inc * 4,700 56,987
Landrys Seafood Restaurants Inc * 4,600 39,962
Lands' End Inc 1,700 59,075
Lason Inc * 1,900 20,900
Latitude Communications Inc * 800 20,900
Launch Media Inc * 1,500 28,406
Lawson Products Inc 1,200 27,750
Learn2.com Inc * 6,300 20,672
Learning Tree International * 1,800 50,400
Lee Enterprises 5,400 172,462
Libbey Inc 2,700 77,625
Lithia Motors Inc 'A' * 1,000 17,875
Lodgian Inc * 4,000 20,000
Loews Cineplex Entertainment * 2,300 13,512
Lone Star Steakhouse & Saloon * 4,000 35,687
Lubys Cafeterias Inc 1,700 19,337
Mail-Well Inc * 4,100 55,350
Mannatech Inc * 2,100 10,894
Marcus Corp 1,300 17,469
Marketing Services Group Inc * 2,000 33,500
Marketwatch.Com Inc * 500 18,250
Marvel Enterprises Inc * 2,500 13,750
Matthews International Corp 'A' 1,600 44,000
Maximus Inc * 800 27,150
Media Metrix Inc * 500 17,875
Mediconsult.com Inc * 1,400 8,750
MemberWorks Inc * 1,900 63,056
Mens Wearhouse Inc * 3,086 90,651
Messagemedia Inc * 3,300 46,406
Metamor Worldwide Inc * 4,300 125,237
Metromedia International Group Inc * 4,100 19,475
Michaels Stores Inc * 3,500 99,750
Micro Warehouse Inc * 3,400 62,900
Midas Inc 2,500 54,687
Midway Games Inc * 3,900 93,356
Mikasa Inc 1,600 16,100
Modem Media Poppe Tyson Inc * 500 35,187
Movado Group Inc 1,000 21,812
MSC Industrial Direct Co * 2,200 29,150
Musicland Stores Corp * 2,300 19,406
National Presto Industries Inc 400 14,200
Nautica Enterprises Inc * 3,200 36,200
Navarre Corp * 2,400 13,800
Navigant Consulting * 3,900 42,412
NCO Group Inc * 1,400 42,175
Network Event Theater Inc * 1,600 47,600
Nextera Enterprises Inc * 2,400 30,900
NFO Worldwide Inc * 1,100 24,612
NPC International Inc * 1,700 13,387
O' Reilly Automotive Inc * 4,600 98,900
O'Charley's Inc * 2,500 32,812
Oakley Inc * 3,200 17,800
OfficeMax Inc * 13,100 72,050
Ogden Corp 6,700 79,981
Olsten Corp 6,800 76,925
On Assignment Inc * 800 23,900
On Command Corp * 1,400 25,900
Oneida Ltd 900 19,575
OnHealth Network Co * 2,500 22,344
Oshkosh B'Gosh Inc 'A' 1,730 36,438
Oxford Industries 600 11,887
P.F. Chang's China Bistro Inc * 1,300 32,337
Pacific Sunwear of California * 2,850 91,734
Papa John's International Inc * 2,100 54,731
ParkerVision Inc * 1,200 36,900
Party City Corp * 100 77
See Notes to Financial Statements See explanation of symbols on D-69
D-34
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Paxson Communications Corp * 4,000 $47,750
PC Connection Inc * 900 31,050
Pegasus Communications Corp * 1,500 146,625
Pegasus Systems * 1,700 102,531
Pennzoil-Quaker State Co 8,600 87,612
Penton Media Inc 1,700 40,800
Pep Boys Manny Moe & Jack 5,400 49,275
Personnel Group of America Inc * 4,500 45,562
Petco Animal Supplies Inc * 3,300 49,087
PETsMART Inc * 15,400 88,550
Phillips-Van Heusen Corp 1,300 10,806
Pier 1 Imports Inc 12,000 76,500
Pierce Leahy Corp * 400 17,300
Pillowtex Corp 3,300 20,419
Pittston Brinks Group 4,800 105,600
Pittston Burlington Group 3,200 34,000
Playboy Enterprises 'B' * 1,700 41,331
Players International Inc * 3,300 27,122
Playtex Products Inc * 2,100 32,287
Polaroid Corp 5,800 109,112
Pre-Paid Legal Services Inc * 2,300 55,200
Preview Travel Inc * 1,300 67,762
Prime Hospitality * 5,300 46,706
Probusiness Services Inc * 1,000 36,000
Professional Detailing Inc * 500 14,969
Provant Inc * 1,500 37,875
Proxicom Inc * 1,100 136,744
Pulitzer Inc W/I 1,300 52,406
QRS Corp * 1,450 151,253
Quanta Services Inc * 3,400 96,050
Quiksilver * 1,750 27,125
R.H. Donnelley Corp 3,800 71,725
Racing Champions Corp * 2,600 11,537
Radio One Inc * 1,000 92,000
Rare Medium Group Inc * 3,600 122,850
Reebok International Ltd 3,800 31,112
Regis Corp Minn 4,200 79,275
Rent-A-Center Inc * 2,500 49,531
Rent-Way Inc * 1,300 24,294
Restoration Hardware Inc * 1,700 11,581
Rollins Inc 1,000 15,000
Romac International Inc * 5,100 68,531
Ruby Tuesday Inc 4,300 78,206
Russ Berrie 800 21,000
Russell Corp 2,100 35,175
Ryan's Family Steak Houses Inc * 2,600 22,100
Saga Communications Inc * 1,625 32,906
Salton Inc * 1,350 45,141
Scholastic Corp * 1,900 118,156
School Specialty Inc * 1,300 19,662
Scientific Games Holdings Corp * 900 14,906
Select Comfort Corp * 4,100 16,656
Shoe Carnival Inc * 1,500 15,094
Shop At Home Inc * 3,600 35,775
ShopKo Stores Inc 4,200 96,600
Sinclair Broadcast Group 'A' 1,100 13,423
Sirius Satellite Radio Inc * 1,500 66,750
SITEL Corp * 6,900 48,300
Sonic Corp * 2,800 79,800
Source Information Management Co * 1,800 30,150
Source Media Inc * 1,700 31,450
Spiegel Inc 'A' * 2,900 20,391
Sportsline.com Inc * 1,800 90,225
Springs Industries Inc 1,600 63,900
Staff Leasing Inc * 1,800 17,100
StaffMark Inc * 2,200 16,637
Startek Inc * 900 32,625
Station Casinos Inc * 3,300 74,044
Stein Mart Inc * 1,600 9,100
Strayer Education Inc 1,400 27,650
Stride Rite Corp 7,000 45,500
Sturm Ruger & Companies Inc 2,200 19,525
Sunbeam Corp 9,000 37,687
Sunglass Hut International * 4,100 46,125
Systemax Inc * 2,900 24,650
Talbots Inc 1,300 58,012
Tarrant Apparel Group Inc * 1,000 9,625
TeleTech Holdings Inc * 2,100 70,777
Tetra Tech Inc * 3,375 51,891
theglobe.com inc * 1,200 10,050
THQ Inc * 2,400 55,650
Timberland Co * 1,400 74,025
Topps Co Inc 6,100 63,287
Toro Co 800 29,850
Tractor Supply Co * 1,300 20,800
Trans World Entertainment Corp * 4,500 47,250
Trendwest Resorts Inc * 900 20,250
Triarc Co Inc * 2,650 48,694
Tropical Sportswear International * 1,000 16,125
True North Communications 5,300 236,844
Tuesday Morning Corp * 1,400 25,812
Tupperware Corp 7,700 130,419
Tweeter Home Entertainment * 1,000 35,500
U.S. Liquids Inc * 2,900 24,287
U.S. Office Products Co * 4,300 13,437
uBid Inc * 200 5,300
UniFirst Corp 600 7,575
United Auto Group Inc * 1,600 14,300
United Natural Foods Inc * 2,400 28,800
United Retail Group Inc * 2,000 16,500
United Stationers Inc * 4,400 125,675
United Television Inc 200 27,537
Urban Outfitters Inc * 600 17,475
US Franchise Systems Inc * 3,100 13,950
Vail Resorts Inc * 2,900 52,019
Valley Media Inc * 1,600 11,200
Value America Inc * 1,100 5,569
Value City Department Stores Inc * 1,900 28,737
ValueVision International Inc 'A' * 3,300 189,131
VerticalNet Inc * 3,800 623,200
Veterinary Centers of America Inc * 3,600 46,350
Volt Information Sciences Inc * 600 14,325
Wackenhut Corp 1,000 14,937
Wackenhut Corrections Corp * 500 5,844
Wallace Computer Services Inc 4,700 78,137
Waste Connections Inc * 2,200 31,762
Waste Industries Inc * 1,400 15,837
Weblink Wireless Inc * 5,800 89,900
West Marine Inc * 1,500 12,375
West Teleservices Corp * 1,900 46,431
See Notes to Financial Statements See explanation of symbols on D-69
D-35
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Westwood One Inc * 3,900 $ 296,400
Wet Seal Inc 'A' * 800 9,800
Whitehall Jewellers Inc * 700 25,812
Windmere-Durable Holdings Inc * 1,800 30,600
WMS Industries * 3,300 43,312
Wolverine World Wide Inc 4,500 49,219
Wyndham International Inc 'A' * 18,400 54,050
Xceed Inc * 1,500 62,250
Young Broadcasting Inc 'A' * 1,400 71,400
Zap.com Corp * 44 253
Ziff-Davis Inc * 2,300 36,369
Ziff-Davis Inc (ZDNet) * 1,500 31,500
-----------
19,100,652
-----------
Consumer Staples - 2.18%
7-Eleven Inc * 8,800 15,675
American Italian Pasta Co * 1,900 58,425
Aurora Foods Inc * 700 6,519
Beringer Wine Estates 'B' * 2,200 87,725
Bush Boake Allen Inc * 1,000 24,562
Canandaigua Brands Inc * 2,100 107,100
Casey's General Stores Inc 5,500 57,406
Chiquita Brands International Inc 3,000 14,250
Church & Dwight Inc 5,200 138,775
Coca-Cola Bottling Co 500 23,687
Del Monte Foods Co * 5,500 67,719
Dimon Inc 2,400 7,800
Dreyer's Grand Ice Cream Inc 1,000 17,000
Duane Reed Inc * 2,500 68,906
Earthgrains Co 4,200 67,725
Farmer Brothers Co 100 15,900
Fleming Companies Inc 4,800 49,200
General Cigar Holdings Inc * 2,200 18,287
Grand Union Co * 2,300 23,287
Great Atlantic & Pacific 2,500 69,687
Hain Food Group Inc * 1,500 33,562
Imperial Sugar Co 1,800 5,962
Ingles Markets Inc 2,000 22,250
International Home Foods * 3,100 53,862
International Multifoods Corp 2,700 35,775
J&J Snack Foods Corp * 1,100 22,550
Jack In The Box Inc * 5,400 111,712
Lance Inc 2,600 26,000
Michael Foods Inc 1,100 27,087
Nature's Sunshine Products Inc 2,300 18,400
NBTY Inc * 6,400 74,000
Performance Food Group * 900 21,937
Pilgrims Pride Corp 'B' 700 5,819
Ralcorp Holdings Inc * 3,000 59,812
Rexall Sundown Inc * 4,500 46,406
Riviana Foods Inc 1,300 23,075
Robert Mondavi Corp 'A' * 700 24,325
Ruddick Corp 2,300 35,650
Sanderson Farms Inc 1,500 12,844
Seaboard Corp Del 100 19,425
Smart & Final Inc 1,900 13,775
Smithfield Foods Inc * 5,400 129,600
Smuckers 'A' 3,900 76,050
Suiza Foods Corp * 4,300 170,387
Twinlab Corp * 2,200 17,462
Universal Corp VA 4,800 109,500
Universal Foods Corp 6,200 126,325
Vlasic Foods International * 4,700 26,731
Whole Foods Market Inc * 3,500 162,312
Wild Oats Markets Inc * 2,400 53,250
-----------
2,505,480
-----------
Financial Services - 16.82%
Acceptance Insurance Companies Inc 1,900 11,044
ACE Ltd 2,535 42,303
Advanta Corp 'A' 2,900 52,925
Advent Software Inc * 1,700 109,544
Advest Group Inc 1,200 22,050
Affiliated Managers Group * 3,000 121,312
Alabama National Bancorp 300 5,662
Alexander & Baldwin Inc 6,000 136,875
Alexander's Inc * 500 39,500
Alexandria Real Estate Equities 600 19,087
Alfa Corp 4,400 71,775
Alleghany Corp * 500 92,750
Allied Capital Corp 8,600 157,487
AMCORE Financial Inc 4,100 98,400
AmeriCredit Corp * 6,800 125,800
AmerUs Life Holdings Inc * 1,000 23,000
AMLI Residential Properties 1,100 22,206
AMRESCO Inc * 8,600 12,094
Anchor Bancorp Wisconsin Inc 1,700 25,712
Anchor Financial Corp 500 13,750
Andover Bancorp Inc 400 11,200
Arcadia Financial Ltd * 5,300 23,519
Area Bancshares 600 14,700
Argonaut Group Inc 2,300 45,712
Ashton Technology Group Inc * 3,500 22,531
Associated Estates Realty Corp 3,300 25,781
Baldwin & Lyons 1,000 22,125
BancFirst Corp 800 27,150
BancFirst Ohio Corp 1,300 29,900
Banco Santander Puerto Rico 1,900 29,331
BancorpSouth Inc 7,100 115,819
Bancwest Corp 7,400 144,300
Bank of Granite Corp 800 17,200
Bank United Corp 4,200 114,450
BankAtlantic Bancorp 2,100 10,762
Banknorth Group Inc 2,500 66,875
BARRA Inc * 1,800 57,150
Bay View Capital Corp 3,960 56,182
Bedford Property Investors 1,300 22,181
Berkley W R Corp 1,300 27,137
Billing Concepts Corp * 3,000 19,500
BOK Financial Corp * 200 4,041
Boykin Lodging Co 900 9,844
Bradley Real Estate 3,000 52,312
Brandywine Realty Trust 3,100 50,762
BRE Properties 5,100 115,706
Brenton Banks Inc 420 4,252
Brookline Bancorp Inc 3,000 29,250
Brown & Brown Inc 800 30,650
BSB Bancorp Inc 500 9,625
BT Financial Corp 3,045 66,990
Burnham Pacific Properties Inc 1,900 17,812
See Notes to Financial Statements See explanation of symbols on D-69
D-36
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Cabot Industrial Trust 4,800 $ 88,200
Camden Property Trust 4,800 131,400
Capital Automotive REIT 2,200 26,812
Capital City Bank 1,100 23,650
Capitol Federal Financial 8,000 78,000
Capstead Mortgage 3,300 13,819
Carolina First 2,000 36,500
Cash America International Inc 2,200 21,450
Cathay Bancorp Inc 600 24,600
CBL & Associates Properties 3,400 70,125
CCC Information Services Inc 3,200 54,800
Centennial Bancorp * 1,071 11,513
Center Trust Inc 1,500 14,531
CenterPoint Properties Trust 1,400 50,225
Century South Banks Inc 600 13,425
Charter Municipal Mtg Acceptance 2,000 23,500
Chateau Communities Inc 2,700 70,031
Chelsea GCA Realty Inc 1,800 53,550
Chemical Financial Corp 1,400 44,625
Chicago Title Corp 2,100 97,125
Chittenden Corp 4,242 125,669
Citizens Banking Corp Michigan 3,884 86,904
City Holding Co 2,400 33,600
CNA Surety Corp 1,000 13,000
Colonial Properties 3,400 78,837
Commerce Bancorp Inc NJ 2,905 117,471
Commerce Group Inc 3,700 96,662
Commerical Net Lease Realty 1,700 16,894
Commonwealth Bancorp Inc 900 14,962
Community First Bankshares Inc 6,600 103,950
Community Trust Bancorp Inc 610 12,200
Conning Corp 800 6,600
ContiFinancial Corp * 1,700 398
Cornerstone Realty Income Trust 2,300 22,425
CORT Business Services Corp * 800 13,950
Corus Bankshares Inc 500 12,000
Cousins Properties Inc 3,200 108,600
Crawford & Co CLB 3,900 53,137
Credit Acceptance Corp * 4,900 18,069
Creditrust Corp * 1,300 9,994
Crown American Realty Trust 4,300 23,650
CVB Financial Corp 1,900 43,937
CyberCash Inc * 1,900 17,575
Dain Rauscher Corp 1,600 74,400
Data Broadcasting Corp * 2,700 22,275
Data Transmission Network * 700 12,075
Delphi Financial Group * 1,540 46,200
Developers Diversified Realty 8,700 112,012
Dime Community Bancshares 700 12,950
Doral Financial Corp 2,300 28,319
Downey Financial Corp 3,000 60,562
Duff & Phelps Credit Rating 700 62,256
E.W. Blanch Holdings Inc 1,900 116,375
East West Bancorp Inc 4,100 46,894
EastGroup Properties Inc 900 16,650
Eaton Vance Corp 3,300 125,400
Electro Rent Corp * 1,100 12,787
Enhance Financial Service Group Inc 3,200 52,000
Equity Inns Inc 2,700 18,225
Essex Property Trust Inc 2,000 68,000
F&M Bancorp MD 1,800 36,450
F&M National Corp 3,439 94,787
FactSet Research Systems Inc 1,100 87,587
Fair Issac & Company Inc 800 42,400
Farm Family Holdings Inc * 800 33,800
Farmers Capital Bank Corp 400 12,050
FBL Financial Group Inc 'A' 1,000 20,000
Federal Realty Investment Trust 4,700 88,419
Fidelity National Financial Inc 1,900 27,312
Financial Federal Corp * 600 13,687
FiNet.com Inc * 8,300 10,894
First American Financial 5,200 64,675
First Bancorp Puerto Rico 3,000 62,250
First Busey Corp 1,200 27,150
First Charter Corp 800 11,900
First Citizens BancShares Inc 'A' 300 20,925
First Commerce BancShares Inc 'B' 1,600 31,500
First Commonwealth Financial Corp 6,544 78,528
First Federal Capital Corp 1,100 16,087
First Financial Bancorp 4,950 105,806
First Financial Bankshares Inc 600 18,450
First Financial Corp 1,400 58,100
First Financial Holdings Inc 800 12,800
First Indiana Corp 1,100 23,925
First Industrial Realty Trust 5,200 142,675
First Merchants Corp 720 18,900
First Midwest Bancorp 5,400 143,100
First Republic Bank * 700 16,450
First Sentinel Bancorp Inc 5,800 45,312
First Sierra Financial * 2,200 37,675
First Source Corp 810 20,250
First United Bancshares Arkansas 4,100 54,837
First Washington Bancorp Inc 900 13,275
First Washington Realty Trust 1,600 29,900
FirstFed Financial Corp * 1,700 23,906
Flagstar Bancorp Inc 1,800 31,050
FNB Corp PA 3,225 71,756
Foremost Corp of America 2,200 62,425
FPIC Insurance Group Inc * 1,700 28,369
Freedom Securities 900 10,125
Friedman Billings * 2,100 16,537
Frontier Financial Corp * 1,100 22,000
Frontier Insurance Group Inc 6,700 23,031
Gables Residential Trust 3,400 81,600
Gallagher (Arthur J) & Co 2,200 142,450
GBC Bancorp 595 11,491
Glenborough Realty Trust Inc 5,400 72,225
Glimcher Realty Trust 1,300 16,737
Golf Trust Of America Inc 1,400 23,712
Grand Premier Financial Inc 900 13,331
Great Lakes REIT Inc 2,100 30,187
Great Southern Bancorp 300 6,600
Greater Bay Bancorp 1,800 77,175
Hamilton Bancorp Inc * 400 7,100
Hancock Holding Co 600 23,250
Harbor Florida Bancshares Inc 1,100 14,231
Harleysville Group Inc 800 11,400
Harleysville National Corp 420 13,650
Harris Financial Inc 2,400 18,000
HCC Insurance Holdings Inc 6,000 79,125
See Notes to Financial Statements See explanation of symbols on D-69
D-37
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Health Care Property Investors Inc 5,514 $131,647
Health Care REIT Inc 4,400 66,550
Healthcare Realty Trust Inc 5,500 85,937
Hilb, Rogal & Hamilton Co 800 22,600
Home Properties of NY Inc 2,200 60,362
Horace Mann Educators 5,600 109,900
Hospitality Properties Trust 6,800 129,625
HSB Group Inc 3,500 118,344
Hudson River Bancorp 2,900 29,362
Hudson United Bancorp * 5,742 146,780
Hypercom Corp * 1,700 17,000
Imperial Bancorp * 4,732 114,159
Imperial Credit Comm Mtg Invest Corp 4,900 55,737
Imperial Credit Industries * 4,500 28,125
Independence Community Bank 10,800 135,000
Independent Bank Corp 2,200 27,500
IndyMac Mortgage Holdings Inc 10,700 136,425
Innkeepers USA Trust 6,400 52,400
INSpire Insurance Solutions Inc * 2,800 12,862
International Bancshares Corp 1,400 61,950
Interpool Inc 2,200 16,362
InterWest Bancorp Inc 2,900 55,825
Investors Financial Services Corp 2,100 96,600
IRT Property Co 3,900 30,469
Irwin Financial Corp 600 10,687
Jack Henry & Associates Inc 1,900 102,006
JDN Realty Corp 4,700 75,787
Jefferies Group Inc * 1,800 39,600
John Nuveen Co 'A' 500 18,031
JP Realty Inc 700 10,937
JSB Financial Inc 500 25,937
Kansas City Life Insurance Co 500 16,875
Kilroy Realty Corp 1,800 39,600
Koger Equity Inc 2,400 40,500
LandAmerica Financial Group Inc 900 16,537
Lasalle Hotel Properties 1,900 22,206
Leucadia National Corp * 5,100 117,937
Lexington Corporate Properties 3,200 29,400
Liberty Corp SC 2,300 97,031
Liberty Financial Cos 2,400 55,050
Local Financial Corp * 1,700 17,637
LTC Properties Inc 1,100 9,281
Macerich Co 5,000 104,062
MAF Bancorp Inc 1,800 37,687
Manufactured Home Communities Inc 2,600 63,212
Markel Corp * 500 77,500
McGrath RentCorp 1,200 21,000
Medallion Financial Corp 1,200 21,525
Medical Assurance * 3,000 63,562
Merchants New York Bancorp 1,400 23,975
MeriStar Hospitality Corp 6,600 105,600
Metris Companies Inc 4,600 164,162
Michigan Financial Corp 700 19,294
Mid-America Apartment Communities 1,400 31,675
Mid-America Bancorp * 203 5,785
Mid-State Bancshares 700 22,312
Midland Co 900 18,675
Midwest Banc Holdings Inc 1,300 17,875
Mills Corp 800 14,300
Mississippi Valley Bancshares 500 13,500
MMI Companies Inc 1,300 11,212
MONY Group Inc 6,400 186,800
Morgan Keegan Inc 3,100 52,119
Multex.com Inc * 900 33,862
National Bancorp of Alaska Inc 1,000 28,062
National City Bancshares Inc 2,100 52,762
National Discount Brokers Groups Inc * 1,400 36,925
National Equipment Services Inc * 3,600 22,500
National Golf Properties Inc 900 17,775
National Health Investors Inc 4,100 60,987
National Penn Bancshares Inc 2,730 68,591
National Processing Inc * 400 3,550
National Western Life Ins 'A' * 200 13,725
NationsRent Inc * 2,600 14,625
Nationwide Health Properties Inc 3,500 48,125
NBT Bancorp Inc 1,995 30,922
Net.bank Inc * 3,000 55,500
New Century Financial Corp * 1,400 22,050
NextCard Inc * 500 14,437
Niagara Bancorp Inc 2,800 28,700
Northwest Bancorp Inc 3,700 25,669
Ocean Financial Corp 700 12,119
Ocwen Financial Corp * 3,500 21,875
Ohio Casualty 8,700 139,744
Omega Financial Corp 500 14,500
Omega Healthcare Investors Inc 3,100 39,331
Omega Research Inc * 900 5,400
One Valley Bancorp 3,700 113,312
Oriental Financial Group 1,900 41,919
Pacific Capital Bancorp 3,300 101,475
Pacific Gulf Properties Inc 1,300 26,325
Pan Pacific Retail Properties 1,700 27,731
Park National Corp 1,050 100,800
Parkway Properties 600 17,287
Pegasystems Inc * 2,300 25,875
Penn Real Estate Investments 600 8,737
Penn Treaty American Corp * 1,100 17,325
Peoples Holdings Co 1,100 31,762
PFF Bancorp Inc 1,100 21,312
Philadelphia Cons Holding * 2,000 29,000
Phoenix Investment Partners 3,200 26,000
PICO Holdings Inc * 1,000 12,312
Pinnacle Holdings Inc * 3,800 161,025
Pioneer Group Inc 2,100 33,075
PMA Capital Corp 'A' 1,100 21,862
Policy Management Systems Corp * 3,900 99,694
Premier Bancshares Inc 2,800 38,150
Premier National Bancorp Inc 1,100 20,281
Prentiss Properties Trust 3,700 77,700
Presidential Life Corp 3,600 66,150
Prime Group Realty Trust 1,700 25,819
Prime Retail Inc 8,100 45,562
Prism Financial Corp * 900 5,062
Private Business Inc * 1,600 7,700
Professionals Group Inc * 660 15,469
Profit Recovery Group * 3,150 83,672
Provident American Corp * 1,000 35,188
Provident Bankshares Corp 4,135 71,587
PS Business Parks Inc 1,800 40,950
PXRE Group Ltd 600 7,800
See Notes to Financial Statements See explanation of symbols on D-69
D-38
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Queens County Bancorp Inc 2,700 $ 73,238
R&G Financial Corp 'B' 2,100 24,150
Radian Group Inc 4,093 195,441
Raymond James Financial Inc 5,300 99,044
Realty Income Corp 3,800 78,375
Reckson Associates Realty Corp 5,900 120,950
Redwood Trust Inc 1,600 20,000
Regency Realty Corp 4,300 86,000
Reliance Bancorp Inc 1,400 48,300
Reliance Group Holdings Inc 7,300 48,819
Republic Bancorp Inc 5,511 66,907
Republic Bancorp Inc 'A' 1,800 15,413
Republic Bancshares Inc * 1,300 16,250
Republic Security Financial Corp 6,300 45,084
Resource America Inc 'A' 1,600 12,600
Resource Bancshares Mortgage Group 3,600 16,313
RFS Hotel Investors Inc 1,800 18,788
Richmond County Financial Corp 4,900 88,506
Riggs National Corp W 1,100 14,506
Risk Capital Holdings Inc * 1,700 21,463
RLI Corp 500 17,000
Rollins Truck Leasing Corp 5,700 68,044
S&T Bancorp Inc 3,600 83,475
S1 Corp * 3,693 288,516
Sandy Spring Bancorp Inc 1,900 51,300
Saul Centers Inc 2,200 30,938
SCPIE Holdings Inc 1,900 61,038
Seacoast Financial Services Corp 4,200 42,788
Second Bancorp Inc 500 11,188
Security Capital Group Inc 'B' * 4,600 57,500
Selective Insurance Group 3,200 55,000
Shurgard Storage Centers 'A' 3,900 90,431
Siebert Financial Corp 700 10,325
Silicon Valley Bancshares Delaware * 2,600 128,700
Simmons First National Corp 'A' 400 10,000
Sky Financial Group Inc 9,962 200,485
SL Green Realty Corp 1,400 30,450
Smith Charles E Residential Realty 2,700 95,513
Southwest Bancorp of Texas * 3,000 59,438
Southwest Securities Group Inc 1,570 42,979
Sovran Self Storage Inc 900 17,044
Stancorp Financial Group * 1,200 30,225
Starwood Financial Inc 9,210 155,994
State Auto Financial Corp 2,500 22,813
Staten Island Bancorp Inc 4,900 88,200
Sterling Bancshares Inc 1,300 14,544
Sterling Financial Corp 500 15,500
Stewart Information Services Corp 1,000 13,313
Storage USA Inc 2,200 66,550
Student Loan Corp 600 29,925
Summit Properties Inc 2,900 51,838
Sun Communities Inc 2,800 90,125
Superior National Insurance * 1,300 9,831
Susquehanna Bancshares Inc 4,700 74,613
Tanger Factory Outlet Center 1,200 24,900
Taubman Centers Inc 5,800 62,350
TeleBank Financial * 4,000 104,000
Texas Regional Bancshares 1,000 29,000
The Street.Com * 1,200 23,025
The Trust Company of New Jersey 1,200 27,450
Thornburg Mortgage Asset Corp 1,300 10,725
Town & Country Trust 1,300 23,319
Towne Services Inc * 2,400 9,600
Track Data Corp * 3,600 36,675
Trenwick Group Inc 600 10,163
Triad Guaranty Inc * 900 20,475
Triangle Bancorp Inc 2,100 40,688
TrustCo Bank Corp NY 6,200 82,150
UICI * 3,900 41,194
UMB Financial Corp * 2,530 95,508
UniCapital Corp * 3,900 14,381
United Asset Management Corp 5,000 92,813
United Bankshares Inc 5,400 128,925
United Community Financial 5,600 55,650
United Dominion Realty Trust 14,500 143,188
United National Bancorp NJ 2,968 65,853
Urban Shopping Centers Inc 500 13,563
US Restaurants Properties 700 10,019
USB Holding Co Inc 1,900 30,281
USBANCORP Inc 800 9,400
UST Corp 5,600 177,800
Value Line Inc 600 21,600
Ventas Inc 8,300 34,756
W Holding Company Inc 4,500 46,688
Walden Residential Properties 3,900 84,338
Washington Federal Inc 7,900 156,025
Washington REIT 2,200 33,000
Webster Financial Corp 3,900 91,894
Weingarten Realty Investments 3,300 128,494
Wellsford Real Properties * 1,500 12,750
WesBanco Inc 2,700 70,200
West Coast Bancorp Oregon 1,760 23,760
Westcorp Inc 2,200 31,900
Western Spirit Invst Real Estate Trust 3,400 32,513
Westfield America Inc 1,200 14,775
WFS Financial Inc * 800 16,900
White Mountains Insurance Group Inc 600 72,300
Whitney Holding 2,600 96,363
XTRA Corp 1,600 68,200
Zenith National Insurance Corp 600 12,375
-----------
19,306,831
-----------
Health Care - 9.56%
Abgenix Inc * 1,300 172,250
Accredo Health Inc * 800 24,600
Acuson Corp * 1,500 18,844
Advance Paradigm Inc * 2,800 60,375
Affymetrix Inc * 1,800 305,438
Alairs Medical Inc * 2,700 5,063
Albany Molecular Research Inc * 700 21,350
Algos Pharmaceuticals Corp * 800 8,800
Alkermes Inc * 2,600 127,725
Alpharma 2,600 79,950
Alterra Healthcare Corp * 3,600 29,925
American Retirement Corp * 800 6,350
AmeriPath Inc * 1,400 11,463
AmeriSource Health Corp 'A' * 4,700 71,381
Anesta Corp * 1,500 25,781
Applied Analytical Industries Inc * 1,400 12,775
Apria Healthcare Group * 5,300 95,069
See Notes to Financial Statements See explanation of symbols on D-69
D-39
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
Arrow International Inc 1,700 $49,300
Aviron * 1,800 28,463
Barr Laboratories Inc * 1,500 47,063
Beverly Enterprises Inc * 10,600 46,375
Bindley Western Industries 3,066 46,182
Bio-Rad Labs 'A' * 400 9,350
Bio-Technology General Corp * 7,000 106,750
Biomatrix Inc * 1,200 23,100
BriteSmile Inc * 1,500 12,188
Capital Senior Living Corp * 1,800 9,113
Caremark Rx Inc * 20,900 105,806
CareMatrix Corp * 1,700 4,250
Carter-Wallace Inc 1,200 21,525
Cephalon Inc * 2,900 100,231
Cerner Corp * 3,400 66,938
Chattem Inc * 600 11,400
ChiRex Inc * 2,000 29,250
Closure Medical Corp * 1,000 12,875
Columbia Laboratories Inc * 2,800 21,000
CONMED Corp * 2,300 59,513
Cooper Companies Inc 1,900 57,238
COR Therapeutics Inc * 2,300 61,813
Coulter Pharmaceutical Inc * 1,500 34,031
Covance Inc * 7,500 81,094
Coventry Health Care Inc * 5,400 36,450
Cyberonics * 2,500 39,844
Cygnus Inc * 3,400 62,050
Cytyc Corp * 1,900 116,019
Datascope Corp 1,800 72,000
Diagnostic Products Corp 600 14,700
Dura Pharmaceuticals Inc * 5,400 75,263
Duramed Pharmaceuticals Inc * 3,300 23,513
DVI Inc * 1,500 22,781
Eclipse Surgical Tech Inc * 1,600 11,800
Eclipsys Corp * 3,800 97,375
EntreMed Inc * 1,500 38,438
Enzo Biochem Inc * 2,700 121,669
Enzon Inc * 3,900 169,163
First Health Group Corp * 6,400 172,000
Geltex Pharmaceuticals Inc * 2,400 30,750
Gilead Sciences Inc * 4,795 259,529
Gliatech Inc * 1,700 28,263
Guilford Pharmaceuticals Inc * 2,500 42,500
Haemonetics Corp * 3,600 85,725
Hanger Orthopedic Group Inc * 1,300 13,000
Hemispherx Biopharma Inc * 2,800 27,825
Henry Schein Inc * 3,800 50,588
Hooper Holmes Inc 3,100 79,825
Human Genome Sciences Inc * 2,600 396,825
IDEC Pharmaceuticals Corp * 4,600 451,950
IDEXX Laboratories Inc * 5,200 83,850
IDX Systems Corp * 1,100 34,375
IGEN International Inc * 1,500 44,625
ImClone Systems Inc * 2,700 106,988
IMPATH Inc * 1,500 38,156
Incyte Pharmaceuticals * 2,700 162,000
InfoCure Corp * 3,500 109,156
Inhale Therapeutic Systems Inc * 2,100 89,381
Integrated Health Services 9,400 1,175
Invacare Corp 2,700 54,169
Invitrogen Corp * 800 48,000
Isis Pharmaceuticals Inc * 4,000 25,000
Jones Pharma Inc 3,750 162,891
King Pharmaceuticals Inc * 2,600 145,763
KV Pharmaceutical Co 'B' * 1,600 34,300
Landauer Inc 700 15,313
Laser Vision Centers Inc * 3,500 36,969
LaserSight Inc * 1,400 14,000
LCA Vision Inc * 2,100 9,844
LifePoint Hospitals Inc * 2,800 33,075
Ligand Pharmaceuticals 'B' * 4,200 54,075
Liposome Co Inc * 3,800 46,372
MacroChem Corp * 2,900 12,144
Magellan Health Services Inc * 4,400 27,775
Matria Healthcare Inc * 5,700 23,513
Medco Research Inc * 1,700 51,106
Medicis Pharmaceutical 'A' * 2,950 125,559
MedQuist Inc * 3,700 95,506
Mentor Corp Minn 2,400 61,950
Mid Atlantic Medical Services * 3,900 32,419
Millennium Pharmaceuticals Inc * 4,100 500,200
Molecular Devices Corp * 1,400 72,800
Morrison Management Specialists 700 15,094
NCS Healthcare Inc 'A' * 2,700 6,497
Neurogen Corp * 1,800 29,700
Novoste Corp * 2,200 36,300
Ocular Sciences Inc * 1,200 22,650
Organogenesis Inc * 4,100 35,619
Orthodontic Centers of America Inc * 4,700 56,106
OsteoTech Inc * 2,400 32,100
Owens & Minor Inc/Holdings Co 2,400 21,450
Parexel International Corp * 2,000 23,625
Pathogenesis Corp * 2,000 42,875
Patterson Dental * 3,200 136,400
PE Corp-Celera Genomics Group * 2,800 417,200
Pediatrix Medical Group * 2,800 19,600
PerkinElmer Inc 5,900 245,956
Perrigo Co * 9,100 72,800
Pharmaceutical Product Development * 2,200 26,125
Pharmaceutical Resources Inc * 2,500 12,344
Pharmacyclics * 1,200 49,500
Phycor Inc * 4,900 9,188
Priority Healthcare Corp 'B' * 700 20,256
Protein Design Labs Inc * 2,400 168,000
Province Healthcare Co * 1,500 28,500
ProxyMed Inc * 3,000 29,250
PSS World Medical Inc * 8,100 76,444
QuadraMed Corp * 2,100 18,309
Quest Diagnostic Inc * 3,900 119,194
Quorum Health Group Inc * 9,700 90,331
Regeneron Pharmaceuticals Inc * 2,300 29,325
Renal Care Group Inc * 5,400 126,225
Res-Care Inc * 3,200 40,800
ResMed Inc 2,000 83,500
Respironics Inc * 2,400 19,125
Sabratek Corp * 800 76
SafeScience Inc * 900 10,463
Safeskin Corp * 4,500 54,563
SangStat Medical Corp * 1,300 38,675
Schein Pharmaceutical Inc * 1,100 13,338
See Notes to Financial Statements See explanation of symbols on D-69
D-40
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Serologicals Corp * 2,500 $15,000
Shire Pharmaceuticals PLC * 4,379 127,548
SICOR Inc * 6,700 51,925
Sierra Health Services * 2,000 13,375
Sola International Inc * 1,900 26,363
Stericycle Inc * 800 15,050
STERIS Corp * 6,800 70,125
Summit Technology Inc * 4,800 56,100
Sunquest Information Systems * 1,400 18,900
Sunrise Assisted Living Inc * 2,800 38,500
Sunrise Medical Inc * 3,200 19,800
Sunrise Technologies International * 4,500 53,156
SuperGen Inc * 2,100 61,688
Superior Consultant Holdings * 1,400 19,950
Syncor International Corp * 700 20,388
TechNet Corp * 2,700 148,669
Theragenics Corp * 2,400 21,750
Thermo Bioanalysis Corp * 1,000 18,375
Thermo Cardiosystems Inc * 3,400 22,313
Total Renal Care Holdings * 7,400 49,488
Transkaryotic Therapies Inc * 1,900 73,150
Trex Medical Corp * 2,400 6,750
Triad Hospitals Inc * 4,900 74,113
Triangle Pharmaceuticals Inc * 2,900 37,156
United Fire & Casualty Co 1,300 29,413
United Payors & United Providers * 1,000 16,563
US Oncology Inc * 6,600 32,588
Varian Inc * 4,000 90,000
Varian Medical Systems Inc 3,700 110,306
Ventana Medical Systems * 1,900 47,263
Vertex Pharmaceuticals Inc * 2,500 87,500
Vical Inc * 1,500 44,906
Vital Signs Inc 1,100 25,163
Wesley Jessen Visioncare Inc * 2,500 94,688
West Pharmaceutical Services 1,400 43,313
-----------
10,973,119
-----------
Integrated Oils - 0.04%
Tesoro Petroleum Corp * 4,100 47,406
-----------
47,406
-----------
Materials & Processing - 8.01%
A.M. Castle & Co 1,700 20,188
ACX Technologies Inc * 2,200 23,513
AEP Industries Inc * 500 12,875
AgriBiotech Inc * 2,600 6,175
AgriBrands International Inc * 1,100 50,600
Airgas Inc * 8,000 76,000
Albany International Corp 'A' 1,428 22,134
Albemarle Corp 1,800 34,538
AMCOL International Corp 2,000 32,250
American Business Products 900 10,519
American Superconductor Corp * 2,400 67,200
Apogee Enterprises Inc 1,600 8,100
AptarGroup Inc 2,900 72,863
Arch Chemicals Inc 3,600 75,375
Barnes Group Inc 2,800 45,675
Battle Mountain Gold Co 'A' 19,100 39,394
Bethlehem Steel Corp 17,600 147,400
BMC Industries Inc 3,500 17,063
Brady Corp 'A' 2,600 88,238
Brush Wellman 900 15,131
Buckeye Technologies Inc * 1,800 26,775
Burlington Industries Inc * 4,200 16,800
Butler Manufacturing Co 1,000 22,313
Cadiz Inc * 2,500 23,750
Calgon Carbon Corp 2,000 11,875
Cambrex Corp 3,100 106,756
Caraustar Industries Inc 3,400 81,600
Carpenter Technology 2,800 76,825
Castle & Cooke Inc * 1,900 24,106
CB Richard Ellis Services Inc * 1,600 19,800
Celgene Corp * 2,200 154,000
Centex Construction Products 400 15,600
Chemed Corp 200 5,725
ChemFirst Inc 2,600 56,875
Chesapeake Corp 3,100 94,550
CK Witco Corp 12,719 170,117
Clarcor Inc 2,600 46,800
Cleveland-Cliffs Inc 2,200 68,475
Collins & Aikman Corp * 4,900 28,175
Comfort Systems USA Inc * 2,000 14,750
Commercial Intertech Corp 700 8,925
Commercial Metals Co 900 30,544
CompX International Inc * 1,000 18,375
Corn Products International Inc 4,500 147,375
Crestline Capital Corp * 1,500 30,938
Cytec Industries Inc * 5,100 117,938
Dal-Tile International Inc * 6,700 67,838
Dan River Inc 'A' * 2,600 13,325
Del Webb Corp 2,600 64,838
Delta & Pine Land Co 3,900 67,763
Deltic Timber Corp 1,000 21,875
Dexter Corp 3,100 123,225
Dycom * 3,050 134,391
Earthshell Corp * 3,400 14,025
Elcor Corp 2,150 64,769
Ethyl Corp 4,600 18,113
Fairchild Corp 'A' * 1,000 9,063
Fairfield Communities Inc * 5,500 59,125
Ferro Corp 3,800 83,600
Florida Rock Industries 1,900 65,431
Forest City Enterprises 'A' 1,100 30,800
Gaylord Container Corp 'A' * 4,200 28,613
GenCorp Inc 5,100 50,363
General Cable Corp 3,500 26,469
GenTek Inc * 2,800 29,225
Geon Co 2,400 78,000
Georgia Gulf Corp 4,100 124,794
Getty Realty Corp 1,600 17,900
Gibraltar Steel Corp 400 9,350
Granite Construction 1,400 25,813
Greif Brothers Corp 'A' 900 26,775
Guilford Mills Inc 2,700 19,575
H.B. Fuller Co 2,000 111,875
Harsco Corp 4,700 149,225
Hexcel Corp 3,800 21,138
Hughes Supply Inc 2,000 43,125
IMCO Recycling Inc 800 10,100
See Notes to Financial Statements See explanation of symbols on D-69
D-41
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Insignia Financial Group Inc * 2,600 $22,588
Insituform Tech Inc 'A' * 1,600 45,200
Integrated Electrical Services * 4,700 47,294
Interface Inc 'A' 7,300 41,975
InterMet Corp 2,500 29,063
International Specialty Products Inc. * 3,700 33,994
Ionics Inc * 2,200 61,875
Ivex Packaging Corp * 1,500 15,000
Jacobs Engineering Group * 2,400 78,000
Jones Lang Lasalle Inc * 2,700 32,063
Kaiser Aluminum Corp * 1,700 13,069
Kaydon Corp 4,100 109,931
Lilly Industries Inc 'A' 1,700 22,844
Liqui-Box Corp * 600 29,700
LNR Property Corp 3,600 71,550
Lone Star Technologies Inc * 2,000 55,750
Longview Fibre Co 6,500 92,625
LTV Corp 15,600 64,350
Lydall Inc * 2,300 15,238
M.A. Hanna Co 7,300 79,844
MacDermid Inc 1,500 61,594
Maverick Tube Corp * 2,300 56,781
Maxxam Inc * 300 12,863
Mestek Inc * 900 18,225
Metals USA Inc * 2,200 18,700
Minerals Technologies 2,800 112,175
Mississippi Chemical 1,500 9,281
Morrison Knudsen Corp * 4,800 37,500
Mueller Industries Inc * 4,800 174,000
Myers Industries Inc 1,100 17,325
National Steel Corp 'B' 3,100 23,056
NCH Corp 700 31,194
NCI Building Systems Inc * 1,300 24,050
New England Business Service 1,000 24,438
NL Industries Inc 1,200 18,075
Nortek Inc 600 16,800
Octel Corp * 2,100 21,788
Olin Corp 5,800 114,913
OM Group Inc 3,200 110,200
Omnova Solutions Inc 2,100 16,275
Optical Coating Laboratory 1,400 414,400
Oregon Steel Mills Inc 1,400 11,113
P.H. Glatfelter Co 4,000 58,250
Paxar Corp * 3,100 26,156
Pitt-Des Moines Inc 700 17,238
Polymer Group 1,900 34,675
Potlatch Corp 3,600 160,650
Precision Castparts Corp 2,700 70,875
Quanex Corp 1,000 25,500
Rayonier Inc 3,700 178,756
Reliance Steel & Aluminum 3,050 71,484
Republic Group Inc 1,500 22,688
Rock-Tenn Co 'A' 700 10,325
Rogers Corp * 500 19,125
Rouge Industries Inc 'A' 2,200 17,325
RTI International Metals Inc * 700 5,250
Ryerson Tull Inc 1,022 19,865
Schawk Inc 1,800 15,300
Schulman Inc 2,400 39,150
Scotts Co 'A' * 2,700 108,675
Sequa Corp 'A' * 1,200 64,725
Services Experts Inc * 3,700 21,506
Shorewood Packaging Corp * 1,500 28,406
Silgan Holdings Inc * 800 10,700
Simpson Manufacturing Co Inc * 1,300 56,875
SLI Inc * 1,000 13,563
Southern Peru Copper 1,900 29,331
Spartech Corp 1,200 38,700
SPS Technologies Inc * 1,400 44,713
Standard Register 900 17,438
Steel Dynamics Inc * 6,200 98,813
Stepan Co 1,200 28,050
Stillwater Mining Co * 5,100 162,563
Stone & Webster Inc 1,800 30,263
Sunterra Corp * 4,400 50,600
Tejon Ranch Co 300 7,125
Terra Industries Inc 5,600 9,100
Texas Industries Inc 3,000 127,688
Thomas Industries Inc 900 18,394
Timken Co 4,700 96,056
Titanium Metals Corp 2,800 12,600
TJ International Inc 1,900 79,800
Trammell Crow Co * 1,700 19,763
Tredegar Industries Corp 1,300 26,894
Trex Co Inc * 800 21,400
U.S. Can Corp * 1,600 31,800
U.S. Plastic Lumber Corp * 3,300 25,369
UCAR International Inc * 6,100 108,656
Unifi Inc 6,400 78,800
Universal Forest Products 1,100 16,225
URS Corp 1,900 41,206
USEC Inc 14,800 103,600
Valence Technology Inc * 3,100 58,900
Valmont Industries 1,300 20,881
W.R. Grace & Co * 7,300 101,288
Watsco Inc 1,500 17,344
Wausau-Mosinee Paper Corp 6,500 75,969
WD-40 Co 1,000 22,125
Wellman Inc 4,300 80,088
Wolverine Tube Inc * 1,100 15,538
Worthington Industries Inc 10,000 165,625
Zapata Corp * 2,200 10,175
-----------
9,192,155
-----------
Other Energy - 2.76%
Arch Coal Inc 1,000 11,313
Atwood Oceanics Inc * 800 30,900
Barrett Resources Corp * 3,900 114,806
Basin Exploration Inc * 2,300 40,538
Belco Oil & Gas Corp * 2,600 14,300
Berry Petroleum 'A' 1,300 19,663
Brown (Tom) Inc * 3,800 50,825
Cabot Oil & Gas Corp 2,100 33,731
Cal Dive International Inc * 700 23,188
Carbo Ceramics 900 19,688
CH Energy Group Inc 1,200 39,600
Chesapeake Energy * 10,500 24,938
CONSOL Energy Inc 1,300 13,163
Cross Timbers Oil Co 4,800 43,500
Dril-Quip Inc * 600 18,225
See Notes to Financial Statements See explanation of symbols on D-69
D-42
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Eastern Enterprises 3,700 $212,519
EEX Corp * 3,500 10,281
Equitable Resources Inc 4,800 160,200
Evergreen Resources Inc * 1,700 33,575
Forest Oil Corp * 2,000 26,375
Friede Goldman International * 4,108 28,499
Global Industries Ltd * 7,300 62,963
Grey Wolf Inc * 17,300 49,738
Hanover Compressor Co * 2,900 109,475
Harken Energy Corp * 7,600 5,700
Helmerich & Payne Inc 4,900 106,881
Houston Exploration * 1,600 31,700
HS Resources Inc * 2,400 41,400
Input/Output Inc * 5,600 28,350
IRI International Corp * 4,000 16,000
Key Energy Services Inc * 10,400 53,950
Louis Dreyfus Natural Gas Corp * 2,400 43,500
Marine Drilling Companies Inc * 5,800 130,138
McMoRan Exploration Co * 900 19,013
Meridian Resource Corp * 4,100 12,556
Mitchell Energy & Development 'A' 1,600 35,300
National Oilwell Inc * 5,900 92,556
Newfield Exploration Co * 5,000 133,750
Newpark Resources Inc * 10,300 63,088
Nuevo Energy Co * 2,300 43,125
Oceaneering International Inc * 3,100 46,306
Parker Drilling * 4,400 14,025
Patterson Energy Inc * 3,100 40,300
Pioneer Natural Resources Co 10,200 91,163
Plains Resources Inc * 2,500 31,250
Pogo Producing Co 3,800 77,900
Pride International * 6,200 90,675
RPC Inc 3,800 21,850
Seacor SMIT Inc * 1,600 82,800
Seitel Inc * 4,400 29,700
Stone Energy Corp * 2,300 81,938
Swift Energy Co * 2,000 23,000
Syntroleum Corp * 2,100 17,063
Thermo Ecotek Corp * 1,500 7,969
TransMontaigne Inc * 4,000 28,000
Trigen Energy Corp 1,300 22,588
Tuboscope Inc * 4,000 63,500
UTI Energy Corp * 2,000 46,125
Valero Energy Corp 6,300 125,213
Varco International Inc 6,700 68,256
Veritas DGC Inc * 2,500 35,000
Vintage Petroleum Inc 6,200 74,788
----------
3,168,419
----------
Producer Durables - 8.75%
Aavid Thermal Technologies * 1,600 39,300
Adaptive Broadband Corp * 2,100 155,006
Advanced Energy Industries * 900 44,325
AGCO Corp 5,900 79,281
Allen Telecom Inc * 2,400 27,750
Alpine Group Inc * 900 11,588
AMETEK Inc 'W' 4,500 85,781
Anacomp Inc * 1,200 21,825
Andrew Corp * 9,600 181,800
ANTEC Corp * 2,900 105,850
Applied Industrial 3,200 53,200
Applied Power 4,000 147,000
Arguss Holdings Inc * 1,900 24,700
Artesyn Technologies Inc * 4,600 96,600
Aspect Communications Corp * 5,200 203,450
Astec Industries Inc * 2,300 43,269
Asyst Technologies Inc * 1,600 104,900
ATMI Inc * 1,900 62,819
Baldor Electric Co 2,900 52,563
Be Aerospace Inc * 3,200 27,000
Belden Inc 3,700 77,700
Blount International Inc * 4,170 66,459
Brooks Automation Inc * 1,700 55,356
C&D Technologies Inc 1,800 76,500
C-Cor.net Corp * 1,200 91,950
Cable Design Technologies * 3,900 89,700
Champion Enterprises Inc 4,900 41,956
Chart Industries 2,700 10,800
CMI Corp 'A' 2,600 18,363
Cognex Corp * 3,800 148,200
Cohu Inc 2,800 86,800
Columbus McKinnon Corp 500 5,063
Com21 Inc * 2,500 56,094
Credence Systems Corp * 2,300 198,950
Cuno Inc * 1,200 24,844
Curtiss-Wright 400 14,750
Cymer Inc * 3,000 138,000
D.R. Horton Inc 6,900 95,306
Detroit Diesel Corp 500 9,594
Dionex Corp * 2,300 94,731
Donaldson Co Inc 4,700 113,094
DuPont Photomasks Inc * 800 38,600
Electro Scientific Industries Inc * 1,800 131,400
Electroglas Inc * 2,500 63,438
Emcore Corp * 1,500 51,000
Esterline Technologies Corp 2,700 31,219
Etec Systems Inc * 2,200 98,725
Flowserve Corp 5,200 88,400
Franklin Electric Co Inc 200 14,038
FSI International Inc * 3,800 43,700
Gardner Denver Inc * 700 11,681
General Binding Corp 1,100 12,925
Genlyte Group Inc * 800 17,100
GenRad Inc 2,900 46,763
Graco Inc 1,600 57,400
Harnischfeger Industries Inc 6,100 2,478
Heico Corp 800 17,450
Helix Technology Corp 2,700 120,994
Hussmann International Inc 5,900 88,869
Idex Corp 2,700 82,013
Inter-Tel Inc 1,900 47,500
InterDigital Communications Corp * 6,100 457,500
JLG Industries Inc 5,300 84,469
JLK Direct Distribution Inc 'A' * 1,500 15,469
Kaufman & Broad Home Corp 6,500 157,219
Kellstrom Industries Inc * 1,800 16,425
Kennametal Inc 3,400 114,325
Kent Electronics Corp * 2,800 63,700
Kimball International 'B' 2,600 42,900
Kulicke and Soffa Industries * 2,900 123,431
See Notes to Financial Statements See explanation of symbols on D-69
D-43
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Lam Research Corp * 4,400 $490,875
Lennar Corp 6,700 108,875
Lincoln Electric Holdings Co 4,700 96,938
Lindsay Manufacturing Co 600 10,950
LTX Corp * 4,600 102,925
Magnetek Inc * 1,800 13,838
Manitowoc Co Inc 2,850 96,900
Mark IV Industries Inc 6,200 109,663
MasTec Inc * 2,300 102,350
MDC Holdings Inc 3,100 48,631
Mettler-Toledo International * 4,500 171,844
Micros Systems Inc * 2,200 162,800
Milacron 5,700 87,638
Mine Safety Appliances Co 200 12,800
MKS Instruments Inc * 1,100 39,738
Moog Inc 'A' 800 21,600
MTS Systems Corp 3,700 28,675
NACCO Industries Inc 700 38,894
Nordson Corp 1,800 86,850
NVR Inc * 1,500 71,625
Oak Industries Inc * 2,200 233,475
Oakwood Homes 8,800 28,050
Optical Cable Corp * 900 18,000
Orbital Sciences Corp * 4,100 76,106
Palm Harbor Homes Inc * 2,800 50,400
Photronics Inc * 2,000 57,250
Pittway Corp 'A' 3,000 134,438
Plantronics Inc * 1,700 121,656
Polycom Inc * 2,300 146,481
Power-One Inc * 1,800 82,463
Presstek Inc * 3,300 45,788
PRI Automation Inc * 2,100 140,963
Pulte Corp 4,800 108,000
Rayovac Corp * 2,800 52,850
Regal-Beloit Corp 1,600 33,000
Robbins & Myers Inc 1,200 27,150
Roper Industries Inc 3,100 117,219
Scott Technologies Inc * 1,000 18,875
Silicon Valley Group Inc * 4,800 85,200
Skyline Corp 500 11,750
Specialty Equipment * 700 16,756
SpeedFam-IPEC Inc * 3,700 47,869
Standard Pacific Corp 1,700 18,700
Standex International Corp 900 18,844
Stewart & Stevenson Services 2,200 26,056
Superior Telecom Inc 725 11,192
Technitrol Inc 1,000 44,500
Tektronix Inc 4,600 178,825
Tennant Co 700 22,925
Terayon Communication Systems * 1,600 100,500
Terex Corp * 3,400 94,350
The Ryland Group Inc 2,500 57,656
Thermo Fibertek Inc * 2,300 16,388
Toll Brothers Inc * 3,600 67,050
Triumph Group * 900 21,769
Tut Systems Inc * 1,500 80,438
U.S. Home Corp * 800 20,450
Ultratech Stepper * 3,200 51,600
Varian Semiconductor Equip Associates * 3,600 122,400
Veeco Instruments Inc * 1,300 60,856
Vicor Corp * 2,400 97,200
Virco Manufacturing Corp 1,510 19,630
Walter Industries Inc 6,300 68,119
Watts Industries Inc 'A' 900 13,275
Wesco International Inc * 5,300 47,038
-----------
10,041,257
-----------
Technology - 22.55%
3Dfx Interactive Inc * 3,400 33,363
About.com Inc * 300 26,925
ACT Networks Inc * 2,500 23,281
Actel Corp * 3,000 72,000
Actuate Software Corp * 3,200 137,200
ADTRAN Inc * 2,100 108,019
Advanced Digital Information Corp * 2,100 102,113
Advanced Fibre Communication Inc 7,900 353,031
Aeroflex Inc * 3,100 32,163
Allaire Corp * 600 87,000
Alliance Semiconductor Corp * 3,400 56,738
Alliant Techsystems Inc * 1,100 68,544
Alpha Industry 2,100 120,356
Amdocs Ltd * 1,003 34,604
American Management Systems Inc * 5,300 166,288
American Xtal Technology Inc * 2,500 43,594
Amkor Technologies * 9,200 259,900
Ampex Corp 'A' * 4,500 24,469
Amphenol Corp * 1,900 126,469
ANADIGICS Inc * 2,300 108,531
Analogic Corp 900 29,700
Analysis International Corp 1,600 20,000
Ancor Communications Inc * 3,100 210,413
Anicom Inc * 3,300 14,025
Anixter International Inc * 2,200 45,375
AnswerThink Consulting Group * 3,000 102,750
Apex PC Solutions Inc * 1,900 61,275
AppliedTheory Corp * 1,200 33,300
ARDENT Software Inc * 2,100 81,900
Aspect Development * 2,500 171,250
Aspen Technology Inc * 3,600 95,175
Auspex Systems Inc * 2,500 25,625
Avant Corp 3,200 48,000
Avid Technology Inc * 1,700 22,206
AVT Corp * 1,600 75,200
Aware Inc/Mass * 1,600 58,200
AXENT Technologies Inc * 2,700 56,700
Banyan Systems Inc * 2,400 48,000
Benchmark Electronics Inc * 1,900 43,581
Best Software Inc * 1,200 35,400
BindView Development Corp * 1,600 79,500
Black Box Corp * 2,400 160,800
Bottomline Technologies Inc * 1,100 39,600
Brio Technology Inc * 1,300 54,600
BroadVision Inc * 6,300 1,071,394
Brooktrout Technology Inc * 1,900 35,269
Burr-Brown Corp * 4,050 146,306
C-Cube Microsystems Inc * 4,400 273,900
CACI International Inc 'A' * 400 9,050
CAIS Internet Inc * 1,100 39,050
Cambridge Technology Partners Inc * 5,600 147,000
Carrier Access Corp * 900 60,581
See Notes to Financial Statements See explanation of symbols on D-69
D-44
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments
(Continued) December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Catapult Communications Corp * 1,100 $10,931
CellNet Data Systems Inc * 2,800 3,150
Checkpoint Systems Inc 2,100 21,394
CHS Electronics Inc * 4,600 5,175
CIBER Inc * 4,700 129,250
Cirrus Logic Inc * 6,700 89,194
Clarify Inc * 2,300 289,800
Cognizant Technology Solutions Corp * 500 54,656
Coherent Inc * 3,300 88,275
Commscope Inc * 6,100 245,906
Complete Business Solutions * 2,200 55,275
CompuCom Systems Inc * 2,300 9,488
Computer Horizons Corp * 2,900 46,944
Computer Network Technology Corp * 3,000 68,813
Computer Task Group Inc 2,700 39,994
Concentric Network Corp * 4,300 132,494
Concord Communications Inc * 1,400 62,125
Concurrent Computer Corp * 4,900 91,569
Cotelligent Inc * 2,200 11,825
Cree Research Inc * 2,700 230,513
CTS Corp 3,400 256,275
Cubic Corp 1,000 21,875
Cybex Computer Products Inc * 900 36,450
Cypress Semiconductor 11,700 378,788
Dallas Semiconductor 3,600 231,975
Datastream Systems * 2,500 61,406
DBT Online Inc * 1,400 34,125
Digital Microwave * 6,600 154,688
Digital River Inc * 1,500 49,969
DII Group Inc * 3,700 262,584
Documentum Inc * 1,600 95,800
DSP Group Inc * 1,500 139,500
Echelon Corp * 2,900 56,731
eFax.com Inc * 1,900 13,716
Emulex Corp * 3,600 405,000
Engineering Animation Inc * 2,200 19,250
Entrust Technologies Inc * 1,500 89,906
Epicor Software Corp * 3,500 17,719
eShare Technologies Inc * 1,200 20,475
ESS Technology * 3,300 73,219
Exar Corp * 1,400 82,425
Excalibur Technologies Corp * 2,000 41,250
Exchange Applications Inc * 1,400 78,225
FileNet Corp * 3,200 81,600
FlashNet Communications Inc * 1,900 11,756
Forrester Research Inc * 600 41,325
General Semiconductor Inc * 3,000 42,563
Genesys Telecomm Labs Inc * 800 43,200
Gerber Scientific Inc 2,900 63,619
Glenayre Technologies * 8,800 99,550
Globix Corp * 1,400 84,000
Go2Net Inc * 2,400 208,800
Great Plains Software Inc * 1,400 104,650
Hadco Corp * 1,500 76,500
Harbinger Corp * 4,200 133,613
Harmon Industries Inc 1,400 16,975
Harmonic Inc * 2,900 275,319
hi/fn Inc * 700 27,125
HNC Software Inc * 2,700 285,525
Hutchinson Tech * 2,800 59,500
Hyperion Solutions Corp * 3,400 147,900
Identix Inc * 2,800 25,375
Imation Corp * 4,300 144,319
IMRglobal Corp * 1,600 20,100
In Focus Systems Inc * 3,000 69,563
Inacom Corp * 6,600 48,263
Inet Technologies Inc * 900 62,888
Informatica Corp * 900 95,738
Information Resources Inc 2,600 24,050
Informix Corp * 20,900 237,738
Innovex Inc 1,600 15,000
Integrated Device Technology * 9,200 266,800
Integrated Systems Inc * 1,800 60,413
Intergraph Corp * 2,800 13,125
International Fibercom Inc * 4,300 33,863
International Rectifier Corp * 5,400 140,400
InterVoice Inc * 2,600 60,450
InterVU Inc * 1,000 105,000
Intraware Inc * 1,600 126,400
Intuit Inc * 695 41,657
Iomega Corp * 29,600 99,900
IPC Communications Inc * 800 56,800
ISS Group Inc * 2,600 184,925
iVillage Inc * 1,400 28,350
JDA Software Group Inc * 3,100 50,763
Juno Online Services Inc * 1,100 39,531
Kaman Corp 3,500 45,063
KEMET Corp * 4,700 211,794
Komag Inc * 6,300 19,688
Kopin Corp * 3,200 134,400
Kroll-O'Gara Co * 2,100 34,650
Kronos Inc * 1,650 99,000
Lattice Semiconductor Corp * 5,100 240,338
Littelfuse Inc * 2,600 63,091
Macrovision Corp * 1,500 111,000
Maker Communications Inc * 800 34,200
Manhattan Associates Inc * 1,400 10,325
Manugistics Group Inc * 1,800 58,163
Mapics Inc * 2,000 25,250
MapQuest.com Inc * 1,200 27,075
MasTech Corp * 3,600 89,100
Maxtor Corp * 6,800 49,300
Maxwell Technologies Inc * 1,900 19,000
Mechanical Technology Inc * 1,300 30,225
MEMC Electronic Materials Inc * 3,700 45,325
Mentor Graphics Corp 6,900 90,994
Mercury Computer Systems Inc * 2,600 91,000
Mercury Interactive Corp * 4,300 464,131
Merisel Inc * 9,700 12,731
Methode Electronics 4,600 147,775
Metro Information Services Inc * 1,000 24,000
Miami Computer Supply Corp * 1,600 59,400
Micrel Inc * 3,000 170,813
Micromuse Inc * 1,200 204,000
Micron Electronics Inc * 3,800 42,275
MicroStrategy Inc * 4,400 924,000
MIPS Technologies Inc 'A' * 1,500 78,000
MMC Networks Inc * 3,300 113,438
Mpath Interactive Inc * 1,600 42,600
MRV Communications Inc * 3,000 188,625
See Notes to Financial Statements See explanation of symbols on D-69
D-45
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
MTI Technology * 3,600 $132,750
National Computer Systems 4,200 158,025
National Instruments Corp * 3,400 130,050
NeoMagic Corp * 2,000 21,875
Neon Systems Inc * 500 19,625
Net Perceptions Inc * 1,000 42,000
NetObjects Inc * 1,800 29,700
Netopia Inc * 700 38,019
Network Equipment Tech * 2,400 28,350
Network Peripherals Inc * 1,700 80,325
Newport News Shipbuilding Inc 4,200 115,500
Northeast Optic Network Inc * 800 50,050
NVIDIA Corp * 1,600 75,100
OneMain.com Inc * 1,500 22,500
ONYX Software Corp * 1,100 40,700
Open Market Inc * 3,000 135,375
P-Com Inc * 6,100 53,947
PairGain Technologies Inc * 7,200 102,150
Park Electrochemical Corp 1,400 37,188
pcOrder.Com Inc * 400 20,400
Peoplesoft Inc * 3,053 65,056
Per-Se Technologies Inc * 3,166 26,614
Peregrine Systems Inc * 2,800 231,350
Pervasive Software Inc * 2,400 40,650
Phoenix Technologies Ltd * 3,600 56,925
PictureTel Corp * 3,100 13,369
Pinnacle Systems Inc * 2,300 93,581
Pioneer Standard Electronics 4,100 59,194
Plexus Corp * 2,400 105,600
PLX Technology * 1,100 20,831
Power Integrations Inc * 2,600 124,638
Powerwave Technologies Inc * 1,600 93,400
Primex Technologies Inc 600 12,450
ProcureNet Inc * 700 105
Progress Software Corp * 2,200 124,850
Project Software & Development Inc * 1,800 99,900
Proxim Inc * 1,500 165,000
PSINet Inc * 787 48,607
PubliCARD Inc * 2,500 16,406
Radiant Systems Inc * 1,400 56,263
RadiSys Corp * 1,350 68,850
Razorfish Inc * 912 86,754
Read-Rite Corp * 3,700 17,575
REMEC Inc * 1,800 45,900
Remedy Corp * 2,600 123,175
Renaissance Worldwide Inc * 2,300 16,963
RSA Security Inc * 4,000 310,000
RWD Technologies Inc * 1,300 13,488
S3 Inc * 6,400 74,000
SAGA Systems Inc * 4,100 81,744
Sagent Technology Inc * 1,900 56,881
Saleslogix Corp * 700 28,744
Sanchez Computer Associates * 1,200 49,425
SanDisk Corp * 2,300 221,375
Santa Cruz Operation Inc * 2,700 82,013
Sawtek Inc * 2,600 173,063
SCM Microsystems Inc * 1,300 83,119
Semtech Corp * 3,200 166,800
Sensormatic Electronics Corp 8,400 146,475
Serena Software Inc * 1,400 43,313
Siliconix Inc * 400 52,600
Silknet Software * 300 49,725
SIPEX Corp * 1,400 34,388
SoftNet Systems Inc * 2,100 52,763
Solectron Corp * 1,479 140,690
Spyglass Inc * 1,400 53,091
SS&C Technologies Inc * 1,800 11,700
Structural Dynamics Research Corp * 5,100 65,025
SVI Holdings Inc * 3,600 43,200
Sybase Inc * 8,800 149,600
Sykes Enterprises Inc * 2,200 96,525
Syntel Inc * 1,100 17,806
Systems & Computer Technology * 3,600 58,500
Technology Solutions * 4,500 147,375
Tekelec * 3,000 67,500
Telescan Inc * 1,800 44,438
Tenfold Corp * 800 31,950
Thermedics Inc * 3,900 21,206
Thermo Optek Corp * 2,000 22,750
ThermoQuest Corp * 2,200 22,688
Titan Corp * 4,700 221,488
Transaction Systems Architecture 'A' * 3,200 89,600
Transwitch Corp * 2,700 195,919
Trimble Navigation * 3,200 69,200
Triquint Semiconductor Inc * 1,750 194,688
TSI International Software Ltd * 1,800 101,925
Tyler Technologies Inc * 2,000 11,000
Unigraphics Solutions Inc * 700 18,900
Unova Inc * 5,800 75,400
USInternetworking Inc * 1,500 104,813
Verity Inc * 3,200 136,200
Visio Corp * 2,900 137,750
Visual Networks Inc * 2,200 174,350
Watkins Johnson Co 1,000 40,000
Wave Systems Corp 'A' * 3,700 44,169
Wavo Corp * 4,200 16,275
Webtrends Corp * 500 40,500
Westell Technologies Inc 'A' * 3,000 32,250
Western Digital Corp * 9,500 39,781
Wind River Systems * 3,600 132,300
World Access Inc * 4,600 88,550
WorldGate Communications Inc * 900 42,806
Xircom * 2,200 165,000
Zebra Technologies Corp 'A' * 2,600 152,100
Zixit Corp * 2,000 79,250
Zomax Optical Media * 1,400 63,350
-----------
25,872,694
-----------
Utilities - 5.78%
Adelphia Business Solutions Inc * 2,000 96,000
Advanced Communications Group Inc * 1,600 21,800
Advanced Radio Telecom Corp * 3,600 86,400
Aerial Communications Inc * 1,300 79,138
AGL Resources Inc 8,000 136,000
American Mobile Satellite Corp * 2,500 52,656
American States Water Co 600 21,600
Aquarion Co 600 22,200
Atmos Energy Corp 3,200 65,400
Avista Corp 4,100 63,294
Black Hills Corp 2,600 57,688
See Notes to Financial Statements See explanation of symbols on D-69
D-46
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
California Water Service Group 2,200 $66,688
CapRock Communications Corp * 3,700 120,019
CFW Communication Co 2,300 79,925
Cleco Corp 2,700 86,569
CMP Group Inc 2,700 74,419
CommNet Cellular Inc * 2,900 93,163
Commonwealth Telephone Enterprises * 900 47,588
Connecticut Energy Corp 700 27,213
CT Communications Inc 1,300 72,800
CTC Communications Corp * 1,400 54,622
CTG Resources Inc 400 13,900
E'Town Corp 1,200 74,700
e.spire Communications Inc * 4,700 27,319
Eastern Utilities Associates 3,000 90,938
El Paso Electric Co * 8,800 86,350
Electric Lightwave Inc 'A' * 1,700 31,875
Empire District Electric Co 2,300 52,038
Energen Corp 3,100 55,994
General Communication 'A' * 2,700 11,813
Hawaiian Electric Industries 4,600 132,825
ICG Communications Inc * 5,300 99,375
IDACORP Inc 3,300 88,481
IDT Corp * 2,600 49,075
Indiana Energy Inc 3,900 69,225
Intermedia Communications * 5,000 194,063
ITC Deltacom Inc * 5,900 162,988
Laclede Gas Co 2,300 49,738
Leap Wireless International Inc * 1,900 149,150
Madison Gas & Electric Co 2,200 44,275
MDU Resources Group 4,900 98,000
Metricom Inc * 1,100 86,488
MGC Communications Inc * 1,800 91,350
New Jersey Resources 2,100 82,031
North Pittsburgh Systems 1,000 14,750
Northwest Natural Gas Co 3,500 76,781
Northwestern Corp 3,300 72,600
NUI Corp 500 13,188
Omnipoint Corp * 3,500 422,188
ONEOK Inc 4,600 115,575
Otter Tail Power Inc 1,600 60,000
Pacific Gateway Exchange Inc * 1,200 20,475
Paging Network Inc * 5,200 4,225
Philadelphia Suburban Corp 4,100 84,819
Piedmont Natural Gas 3,500 105,875
Powertel Inc * 2,700 271,013
Premiere Technologies Inc * 4,400 30,800
Price Communications Corp * 5,670 157,697
Primus Telecommunications * 2,600 99,450
Public Services Co of New Mexico 6,000 97,500
Public Services Co of North Carolina 3,000 96,938
Rochester Gas & Electric 3,700 76,081
Semco Energy Inc 400 4,725
Sierra Pacific Resources 9,066 156,955
SIGCORP Inc 3,100 70,525
SJW Corp 400 48,100
Southern Union Co * 4,122 78,833
Southwest Gas Corp 4,100 94,300
Southwestern Energy Co 3,600 23,625
STAR Telecommunications Inc * 3,200 25,300
TALK.com Inc * 5,000 88,750
TNP Enterprises Inc 1,600 66,000
UGI Corp 3,600 73,575
UniSource Energy Corp * 1,900 21,256
United Illuminating Co 2,100 107,888
United Water Resources Inc 2,400 82,050
US LEC Corp 'A' * 1,600 51,600
Viatel Inc * 1,823 97,758
Washington Gas Light Co 5,900 162,250
Western Gas Resources Inc 1,300 17,144
WICOR Inc 4,300 125,506
WPS Resources 3,900 97,988
Yankee Energy System Inc 1,200 52,725
------------
6,633,981
------------
Total Common Stocks
(Cost $97,039,171) 110,450,853
------------
Principal
Amount Value
--------- -------
SHORT-TERM INVESTMENTS - 3.75%
U.S. TREASURY BILL - 0.19%
5.150% due 04/06/00 ** $220,000 217,013
------------
Total U.S. Treasury Bill 217,013
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.56%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $4,087,048; collateralized by U.S.
Treasury Notes--market value
$4,168,381 and due
01/31/01) 4,086,200 4,086,200
------------
Total Securities Held Under Repurchase
Agreement 4,086,200
------------
Total Short-Term Investments
(Cost $4,303,210) 4,303,213
------------
TOTAL SMALL-CAP PORTFOLIO
(COST $101,344,181) $114,754,678
============
See Notes to Financial Statements See explanation of symbols on D-69
D-47
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $217,013 have been
segregated with the custodian to cover margin requirements for the following
open futures contracts at December 31, 1999:
Number of Unrealized
Type Contracts Appreciation
- --------------------------------------------------------------------------------
Russell 2000 (3/00) 5 $10,625
S&P 500 (3/00) 7 50,038
-------------
$60,663
=============
(b) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $101,344,181
=============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $24,154,897
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (10,744,400)
-------------
Net unrealized appreciation $13,410,497
=============
See Notes to Financial Statements
D-48
<PAGE>
PACIFIC SELECT FUND
REIT PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
COMMON STOCKS - 94.24%
Consumer Discretionary - 1.25%
Hilton Hotels Corp 17,902 $172,310
Host Marriott Corp 41,500 342,375
Interstate Hotels Corp * 1,360 4,420
Wyndham International Inc 'A' * 36,700 107,806
-------------
626,911
-------------
Financial Services - 91.26%
Acadia Realty Trust 1,700 7,862
AMLI Residential Properties 20,700 417,881
Apartment Investment & Mgmt Co 'A' 10,800 429,975
Archstone Communities Trust 53,300 1,092,650
Arden Realty Inc 131,555 2,639,322
AvalonBay Apartment Communities Inc 84,200 2,889,112
Boston Properties Inc 51,400 1,599,825
Brandywine Realty Trust 25,100 411,012
Brookfield Properties Corp 183,600 1,927,800
Burnham Pacific Properties Inc 54,240 508,500
Carramerica Realty Corp 65,000 1,373,125
Chateau Communities Inc 57,700 1,496,594
Cornerstone Properties Inc 35,900 525,037
Developers Diversified Realty 10,100 130,037
Duke Realty Investments Inc 15,800 308,100
EastGroup Properties Inc 3,700 68,450
Equity Office Properties 131,700 3,243,113
Equity Residential Properties Trust 46,300 1,976,431
Essex Property Trust Inc 38,200 1,298,800
Federal Realty Investment Trust 82,000 1,542,625
Great Lakes REIT Inc 42,623 612,706
Mack-Cali Realty Corp 14,800 385,725
Manufactured Home Communities Inc 55,600 1,351,775
Meditrust Corp 54,600 300,300
Pacific Gulf Properties Inc 15,423 312,316
Pan Pacific Retail Properties 31,300 510,581
Penn Real Estate Investments 2,700 39,319
Philips International Realty 100 1,644
Prentiss Properties Trust 22,500 472,500
Prime Group Realty Trust 8,986 136,475
Prologis Trust 115,880 2,230,690
PS Business Parks Inc 24,500 557,375
Public Storage Inc 69,424 1,575,057
Regency Realty Corp 39,600 792,000
Security Capital Group Inc 'B' * 48,800 610,000
Shurgard Storage Centers 'A' 20,900 484,619
Simon Property Group Inc 103,500 2,374,031
Smith Charles E Residential Realty 28,700 1,015,263
Spieker Properties Inc 38,300 1,395,556
Starwood Hotels & Resorts Worldwide 86,433 2,031,176
Summit Properties Inc 20,000 357,500
Taubman Centers Inc 135,045 1,451,734
Trizec Hahn Corp 91,900 1,550,813
Urban Shopping Centers Inc 12,500 339,063
Vornado Realty Trust 25,200 819,000
-------------
45,593,469
-------------
Materials & Processing - 1.73%
Rouse Co 40,600 862,750
-------------
862,750
-------------
Total Common Stocks
(Cost $51,063,292) 47,083,130
-------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENT - 5.76%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 5.76%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $2,879,600; collateralized by U.S.
Treasury Notes--market value
$2,940,506 and due 01/15/08) $2,879,000 2,879,000
-------------
Total Securities Held Under Repurchase
Agreement 2,879,000
-------------
Total Short-Term Investment
(Cost $2,879,000) 2,879,000
-------------
TOTAL REIT PORTFOLIO
(COST $53,942,292) $49,962,130
=============
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $53,942,292
=============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $417,460
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (4,397,622)
-------------
Net unrealized depreciation ($3,980,162)
=============
See Notes to Financial Statements See explanation of symbols on D-69
D-49
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
COMMON STOCKS - 86.64%
Australia - 2.10%
Amp Ltd 88,600 $979,156
Brambles Industries Ltd 34,100 943,208
Broken Hill Proprietary 224,000 2,941,940
Coca-Cola Co 282,400 771,422
Commonwealth Bank Australia 188,750 3,251,017
Fosters Brewing Group 873,300 2,505,987
Lend Lease Corp Ltd 72,200 1,011,732
Macquarie Corporate Tel * 952,000 1,550,324
National Australian Bank Ltd 250,100 3,826,516
News Corporation Ltd 406,100 3,943,984
Normandy Mining 2,069,100 1,467,368
Qantas Airways Ltd 428,200 1,068,475
Rio Tinto Ltd Npv 181,500 3,899,753
Telstra Corp Ltd 740,350 4,025,329
Westpac Banking Corp 389,150 2,684,910
---------------
34,871,121
---------------
Denmark - 0.32%
Novo-Nordisk 39,855 5,283,950
---------------
5,283,950
---------------
Finland - 1.41%
KCI Konecranes International 79,973 3,076,269
Kone Oy 'B' 117,957 5,811,358
Merita 1,086,260 6,402,281
Sampo Insurance Co 'A' 234,290 8,190,837
---------------
23,480,745
---------------
France - 8.58%
Alcatel 37,190 8,542,915
Aventis SA * 167,890 9,675,359
Axa Uap 56,370 7,860,120
Banque National De Paris * 58,710 5,418,170
Cie De St Gobain 29,080 5,469,955
CNP Assurances ** 426,518 15,710,449
France Telecom SA * 82,600 10,926,720
Group Danone 37,474 8,834,683
Michelin (CGDE) B Ord Compagne * ** 168,630 6,625,894
Pernod-Ricard ** 158,063 9,045,313
Rhone-Poulenc 'A' 223,230 12,976,974
Schneider SA ** 164,245 12,898,920
Total Fina SA ** 214,880 28,685,137
---------------
142,670,609
---------------
Germany - 5.52%
Adidas AG * 83,930 6,299,681
BASF AG ** 192,940 10,088,688
Bayer Hypo-Vereinsbank A 74,047 5,058,040
Celanese AG * 1 15
Deutsche Telekom AG * 242,450 17,062,146
Fresenius AG Pref ** 85,079 16,114,813
Henkel Kgaa 204,573 13,603,082
Mannesmann AG 37,960 9,194,026
Schering-Plough Corp 70,400 8,511,360
Volkswagen AG ** 102,390 5,776,844
---------------
91,708,695
---------------
Hong Kong - 1.50%
Asia Satellite Telecom 394,900 1,247,160
Cable and Wireless HKT 802,300 2,317,056
Cathay Pacific Airways 624,700 1,113,024
Cheung Kong Holdings 271,300 3,446,437
China Telecom * 443,400 2,772,141
Hong Kong & China Gas * 878,000 1,202,894
HSBC Holdings PLC 89,404 1,253,623
Hutchison Whampoa 368,500 5,356,725
Li & Fung Ltd 488,600 1,225,664
Smartone Telecommunications 161,800 780,536
Sun Hung Kai Properties 229,300 2,389,310
Swire Pacific Ltd 'A' 110,400 651,876
Television Broadcasts 163,800 1,116,794
---------------
24,873,240
---------------
Ireland - 0.61%
Bank of Ireland ** 1,270,354 10,111,065
---------------
10,111,065
---------------
Italy - 3.57%
Banca Poploare Di Bergamo ** 492,360 11,389,370
Credito Italiano 1,071,920 5,270,202
Enel Societa * 554,900 2,325,697
Marzotto (Gaetano) Spa 628,650 4,496,891
Mediaset SPA 1,076,800 16,750,485
Telecom Italia Spa * 730,620 8,163,345
Telecom Italia Spa ** 773,820 10,914,731
---------------
59,310,721
---------------
Japan - 27.94%
Aiwa Co Ltd 154,300 3,198,866
Amada Co 586,000 3,203,344
Bank Of Tokyo-Mitsubishi 170,000 2,367,299
Canon Inc 365,000 14,491,492
Casio Computer 562,000 4,671,426
Dai Nippon Printing 375,000 5,977,411
Daicel Chemical Industries 1,032,000 2,876,198
Daifuku 602,000 3,473,303
Daikin Industries 619,000 8,413,945
Family Mart 126,300 8,398,592
Fuji Machine Manufacturing Co 186,000 14,987,678
Fuji Photo Film 310,000 11,307,452
Fujitec Co Ltd 388,000 3,889,106
Fujitsu Ltd 494,000 22,511,637
Furukawa Electric Co Ltd 524,000 7,942,500
Hitachi Credit Corp 352,100 7,144,607
Hitachi Ltd 1,048,000 16,807,354
House Foods * 64,000 970,076
Kaneka Corp 849,000 10,851,193
Kurita Water Industries 246,000 3,906,748
Kyocera Corp 93,000 24,100,333
Kyuodenko Co Ltd 149,000 524,545
Lintec Inc 367,000 3,983,669
See Notes to Financial Statements See explanation of symbols on D-69
D-50
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Matsushita Electric 542,000 $14,999,609
Minebea Co Ltd 529,000 9,068,424
Mitsubishi Chemical Corp 850,000 2,992,372
Mitsubishi Estate 469,000 4,572,589
Mitsubishi Heavy Industries 1,780,000 5,935,654
Mitsubishi Logistics 78,000 497,321
Mitsumi Electric Co Ltd 362,000 11,327,988
NEC Corp 837,000 19,930,520
Nessei Sangyo Co Ltd 170,000 2,344,025
NIFCO 343,000 4,092,118
Nintendo Corp Inc 103,500 17,185,899
Nippon Meat Packers 130,000 1,684,432
Nippon Telegraph & Telephone 1,011 17,301,486
Nissan Motor Co Ltd 1,388,000 5,456,444
Nissha Printing 147,000 876,882
Ono Pharmaceuticals Co 223,000 5,975,161
Ricoh Co 738,000 13,899,746
Rinnai Corp 164,000 3,047,135
Rohm & Haas Co 30,400 12,485,820
Ryosan Co 179,000 4,446,118
Sangetsu Co Ltd 79,000 1,660,962
Sankyo Co Ltd 394,000 8,091,140
Sanwa Shutter 849,000 3,154,899
Sekisui Chemical Co 839,000 3,716,673
Sekisui House Ltd 592,000 5,239,194
Shin-Etsu Polymer Co 661,000 3,878,349
Sony Corp 105,000 31,111,872
Suzuki Motor Co 406,000 5,919,675
TDK Corp 111,000 15,315,959
Tokyo Electric Power * 158,000 4,233,522
Toshiba 1,683,000 12,837,278
Toyota Motor Corp 225,000 10,891,355
Tsubakimoto Chain 771,000 2,827,352
Yamaha Corp 495,000 3,214,160
Yamaouchi Pharmaceutica 233,000 8,134,266
---------------
464,345,173
---------------
Netherlands - 3.60%
AKZO Nobel NV ** 313,815 15,745,197
ING Groep NV ** 249,993 15,096,965
Koninklijke KPN NV 59,900 5,847,842
Laurus NV 504,990 9,107,116
Philips Electronics 103,188 14,034,858
---------------
59,831,978
---------------
New Zealand - 0.09%
Telecom Corp of New Zealand 323,200 1,523,339
---------------
1,523,339
---------------
Portugal - 1.52%
Banco Commercial Portugal 970,450 5,387,283
Electricidade De Portugal 686,600 11,988,019
Telecel Comunicacoes PE * 448,600 7,823,506
---------------
25,198,808
---------------
Singapore - 2.04%
Chartered Semiconductor * 3,800 277,400
Chartered Semiconductor * 101,000 551,846
City Developments 261,000 1,527,920
DBS Bank 418,812 6,864,946
Natsteel Electronics Ltd 622,000 3,286,461
Neptune Orient Lines * 875,000 1,171,570
Overseas Chinese Banking 307,200 2,822,071
Overseas Union Bank * 263,850 1,544,604
Sembcorplogistics 358,000 1,450,916
Singapore Airline Ltd 263,000 2,984,509
Singapore Press 153,000 3,316,301
Singapore Telecom 995,000 2,055,119
United O/S Bank 325,248 2,870,697
Venture Manufacturing Singapore 276,000 3,165,176
---------------
33,889,536
---------------
Spain - 2.34%
Banco Popular Espanol 88,840 5,795,533
Banco Santander * 457,700 5,183,132
Endesa SA 528,030 10,485,527
Telefonica De Espana SA * ** 697,821 17,435,756
---------------
38,899,948
---------------
Sweden - 2.87%
Autoliv Inc 292,770 8,566,461
Foreningssparbanken AB * 687,265 10,095,080
Nordbanken Holding AB ** 555,430 3,263,434
Scandic Hotels AB 203,690 1,890,916
Svedala Industri AB 458,000 8,395,868
Svenska Cellulosa * 151,700 4,492,227
Svenska Handelsbanken 'A' 869,960 10,938,521
---------------
47,642,507
---------------
Switzerland - 5.83%
Holderbank Finan Glaris ** 8,511 11,664,035
Nestle Sa Bearer Reg ** 20,410 37,427,529
Novartis AG Reg * ** 9,385 13,794,009
Richemont (Fin) ** 8,896 21,251,525
Schindler Holding AG 3,415 5,474,477
UBS AG * 26,803 7,245,420
---------------
96,856,995
---------------
United Kingdom - 16.80%
Allied Domecq PLC ** 1,997,200 9,832,354
Allied Zurich ** 845,310 10,039,623
BAA * 464,700 3,222,025
Bank of Scotland ** 902,875 10,453,040
Barclays PLC 236,700 6,840,456
BG PLC 1,387,288 8,906,128
Blue Circle Industries 1,177,500 6,749,570
BOC Group PLC 492,620 10,601,542
British Telecommunications ** 816,100 19,807,971
Burmah Castrol ** 279,489 5,313,834
Cadbury Schwepps PLC 1,419,800 8,350,970
Capital Radio PLC ** 485,051 11,745,454
Centrica PLC * 1,453,030 4,208,555
Diageo PLC 1,167,800 9,400,845
Glaxo Holdings 162,600 4,614,828
Granada Group PLC 754,117 7,614,277
Great Univ Stores 1,742,040 9,682,561
See Notes to Financial Statements See explanation of symbols on D-69
D-51
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ ------
Halma PLC 2,516,500 $4,825,259
Imperial Tobacco Group ** 842,800 6,750,487
Lloyds TSB Group 594,490 7,435,829
National Westminster Bank * 213,200 4,598,569
Prudential PLC 817,200 16,066,083
Reckitt & Colman ** 2,226,595 21,040,664
Sainsbury 1,059,100 5,963,779
Scottish Hydro 1,356,820 10,834,647
Shell Transport & Trading 1,967,470 16,371,474
Smith & Newphew PLC 761,640 2,588,060
SSL International 788,900 10,001,527
WPP Group PLC ** 939,000 14,814,110
Zeneca Group 253,855 10,548,388
----------------
279,222,909
----------------
Total Common Stocks
(Cost $1,165,884,398) 1,439,721,339
----------------
Principal
Amount
------
CORPORATE BONDS - 0.06%
BG Transco
4.188% due 12/14/22 $199,000 321,197
7.000% due 12/16/24 199,000 312,857
BG Transco Floating Rate
7.057% due 12/14/09 199,000 323,982
----------------
Total Corporate Bonds
(Cost $892,331) 958,036
----------------
Value
-----
SHORT-TERM INVESTMENT - 13.30%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 13.30%
State Street Bank and Trust
2.500% due 01/03/00 **
(Dated 12/31/99, repurchase price
of $221,102,742; collateralized by U.S.
Treasury Notes and Bonds--market
value $60,444,300 and due 01/15/08,
and market value
$12,039,931 and due 05/15/01,
and market value
$153,006,244 and due 08/15/19) 221,056,689 221,056,689
----------------
Total Securities Held Under Repurchase
Agreement 221,056,689
----------------
Total Short-Term Investment
(Cost $221,056,689) 221,056,689
----------------
TOTAL INTERNATIONAL PORTFOLIO
(COST $1,387,833,418) $1,661,736,064
================
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $368,307,038 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at December 31, 1999:
Number of Unrealized
Type Contracts Appreciation
- -----------------------------------------------------------------------------
CAC 40 Index Future (3/00) 467 $4,771,944
DAX 30 Index Future (3/00) 184 8,635,772
FTSE 100 Index Future (3/00) 490 3,273,969
HKD Index Future (3/00) 169 1,062,085
MIB 30 Index Future (3/00) 70 3,356,521
OPIX TSE Index Future (3/00) 238 4,529,017
-------------
$25,629,308
=============
(b) Forward foreign currency contracts outstanding December 31, at 1999, were
summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Expiration Covered by Appreciation
Type to Sell Month Contracts (Depreciation)
- --------------------------------------------------------------------------------
BP Buy 2/00 $51,493,847 $8,037
ED Buy 2/00 58,365,401 (1,381,176)
JY Buy 2/00 34,968,304 850,613
-------------
($522,526)
=============
Principal amount denoted in the indicated currency:
BP - British Pound
ED - Euro Dollar
JY - Japanese Yen
(c) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $1,387,833,418
================
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $339,227,756
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (65,325,110)
----------------
Net unrealized appreciation $273,902,646
================
See Notes to Financial Statements See explanation of symbols on D-69
D-52
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
CORPORATE BONDS & NOTES - 10.49%
Financial Services - 10.03%
Asian Development Bank
5.820% due 06/16/28 $2,050,000 $1,860,972
Associates Corp North America
6.190% due 05/17/02 + 8,500,000 8,497,645
6.780% due 04/23/01 1,100,000 1,099,919
Bayer Landesbk Range FRN
6.170% due 05/17/00 + 4,000,000 3,941,885
CIT Group Holding
5.875% due 06/18/01 4,100,000 4,038,295
Dresdner Funding Trust
8.151% due 06/30/31 4,500,000 4,248,212
First USA Bank NA
6.125% due 06/25/01 10,000,000 9,907,630
GE Capital Corp
6.320% due 05/19/00 + 8,500,000 8,387,131
J.P. Morgan & Co Inc
5.750% due 02/25/04 4,000,000 3,800,840
Key Bank NA
6.051% due 04/24/03 4,500,000 4,326,732
Merrill Lynch & Co Inc
5.050% due 09/25/00 2,900,000 2,900,389
Morgan Stanley Dean Witter Co
5.625% due 01/20/04 3,800,000 3,590,692
-------------
56,600,342
-------------
Technology - 0.46%
TCI Communications Inc
6.335% due 09/11/00 2,600,000 2,594,888
-------------
2,594,888
-------------
Total Corporate Bonds & Notes
(Cost $60,532,706) 59,195,230
-------------
MORTGAGE-BACKED SECURITIES - 38.75%
Collateralized Mortgage Obligations - 7.13%
Bear Stearns Mortgage Securities Inc
7.000% due 03/25/27 ++ 1,000,000 945,785
Citibank
8.000% due 07/25/18 + ++ 7,747 7,853
Countrywide Inc
6.839% due 03/25/24 ++ 74,636 74,295
8.110% due 11/25/24 ++ 30,355 30,683
DLJ Mortgage Acceptance Corp
6.500% due 05/19/29 ++ 192,585 178,355
6.750% due 07/25/29 ++ 2,972,247 2,682,420
GE Capital Mortgage Corp
5.500% due 02/25/09 ++ 360,808 357,173
Greenwich Capital Acceptance Inc
6.715% due 02/01/09 + ++ 9,330,026 8,778,925
7.587% due 01/25/22 ++ 18,701 18,644
Home Savings of America
5.532% due 05/25/27 + ++ 243,046 236,211
Imperial Savings & Loan Association
8.341% due 02/25/18 + ++ 39,811 40,856
8.847% due 07/25/17 ++ 8,746 8,716
Mellon Residential Funding Corp
6.460% due 06/30/29 + ++ 4,498,206 4,472,213
NationsLink Funding Corp
5.805% due 02/10/01 ++ 4,166,275 4,139,799
6.818% due 04/10/07 ++ 5,093,652 5,095,409
Prudential Home Mortgage Securities Co
6.600% due 08/25/23 ++ 1,164,699 1,150,135
Residential Accredited Loans Inc
7.500% due 03/25/27 ++ 3,000,000 2,943,975
Residential Asset Securities Corp
5.730% due 12/25/13 ++ 2,692,084 2,690,752
Residential Funding Mtg Securities Inc
6.500% due 04/25/29 ++ 500,000 448,672
7.908% due 03/25/25 ++ 62,355 63,466
Ryland Mortgage Securities Corp
5.000% due 11/25/31 ++ 68,860 63,037
6.044% due 10/01/27 + ++ 869,228 869,771
8.502% due 10/25/18 ++ 187,471 186,816
Salomon Brothers Mtg Securities VII Inc
5.940% due 06/25/29 ++ 4,028,554 4,028,554
SASCO Floating Rate Commercial Mtg Trust
5.810% due 11/20/01 + ++ 746,866 746,633
-------------
40,259,148
-------------
Federal Home Loan Mortgage Corporation - 7.06%
4.841% due 02/15/02 ++ 1,300,000 1,266,408
5.800% due 06/15/19 ++ 668,681 663,809
6.000% due 05/12/00 ++ 4,500,000 4,488,660
6.000% due 12/15/17 ++ 1,834,031 1,807,483
6.000% due 01/19/30 ++ # 23,950,000 21,921,674
6.250% due 11/15/15 ++ 5,568,624 5,550,999
6.500% due 08/15/23 ++ 3,636,842 3,574,125
6.750% due 02/01/08 ++ 1,275 1,259
7.400% due 07/25/19 ++ 427,753 427,392
7.430% due 07/01/21 ++ 169,742 169,950
-------------
39,871,759
-------------
Federal National Mortgage Association - 2.24%
5.810% due 02/01/17 ++ 435,944 428,513
5.811% due 06/01/18 ++ 133,358 131,048
5.812% due 03/01/24 ++ 128,736 126,192
5.812% due 08/01/24 ++ 327,590 321,117
5.812% due 07/01/26 ++ 128,383 125,808
5.812% due 10/01/27 ++ 147,476 144,501
5.812% due 11/01/27 ++ 587,582 575,731
5.858% due 08/01/17 ++ 1,956,742 1,897,371
5.950% due 03/01/18 ++ 1,653,021 1,602,865
6.000% due 12/25/08 ++ 462,692 458,248
6.500% due 04/18/20 ++ 1,503,201 1,498,368
6.625% due 09/15/09 ++ 2,900,000 2,818,377
6.667% due 01/01/25 ++ 399,271 400,781
6.900% due 09/01/09 ++ 1,097,521 1,063,104
7.000% due 08/18/21 ++ 679,810 680,567
7.178% due 12/01/22 ++ 346,154 356,659
-------------
12,629,250
-------------
Government National Mortgage Association - 21.31%
5.650% due 10/20/18 ++ 4,508,457 4,371,558
6.125% due 10/20/24 ++ 703,458 707,761
6.125% due 11/20/26 ++ 938,198 947,483
See Notes to Financial Statements See explanation of symbols on D-69
D-53
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
6.125% due 12/20/26 ++ $636,825 $643,093
6.375% due 05/20/23 ++ 138,915 140,315
6.375% due 02/20/25 ++ 683,513 689,352
6.375% due 05/20/26 ++ 777,705 779,940
6.375% due 01/20/27 ++ 991,130 1,000,932
6.500% due 01/25/30 ++ # 60,990,000 57,235,456
6.500% due 10/01/33 ++ 3,632,986 3,323,194
6.550% due 07/15/40 + ++ 2,197,542 2,094,178
6.550% due 07/15/40 ++ 10,424,458 10,483,298
6.750% due 09/20/22 ++ 1,847,559 1,870,840
6.750% due 09/20/23 ++ 82,229 83,232
6.750% due 07/20/25 ++ 1,421,816 1,438,073
7.000% due 01/25/30 ++ # 35,620,000 34,395,741
9.000% due 01/15/17 ++ 85,061 89,145
-----------
120,293,591
-----------
Stripped Mortgage Backed Securities - 0.00%
Federal Home Loan Mortgage Corp (Interest Only)
6.500% due 09/15/18 ++ 453,323 30,253
-----------
30,253
-----------
Student Loan Mortgage Association - 1.01%
5.129% due 06/30/00 ++ 5,700,000 5,698,005
-----------
5,698,005
-----------
Total Mortgage-Backed Securities
(Cost $220,897,915) 218,782,006
-----------
OTHER ASSET-BACKED SECURITIES - 11.65%
Americredit Automobile Receivables
5.304% due 10/12/02 ++ 5,446,928 5,418,086
Banc One Auto Grantor Trust
6.290% due 07/20/04 ++ 2,238,286 2,227,777
Banc One Home Equity Loan Trust
6.460% due 06/25/12 ++ 4,185,462 4,165,016
Champion Home Equity Loan Trust
7.122% due 05/25/28 ++ 806,892 810,132
Contimortgage Home Equity Loan Trust
5.567% due 06/15/28 ++ 1,477,359 1,475,180
5.637% due 08/15/28 ++ 742,496 738,483
6.150% due 03/15/11 ++ 2,561,181 2,552,101
Countrywide Home Equity Loan Trust
5.667% due 08/15/25 ++ 1,722,875 1,722,875
Empire Funding Home Loan Owner Trust
6.260% due 06/25/10 ++ 1,199,127 1,190,847
EQCC Home Equity Loan Trust
5.770% due 05/20/10 ++ 2,709,872 2,691,268
First Plus Home Loan Owner Trust
6.040% due 10/10/13 ++ 5,211,496 5,199,536
Ford Credit Auto Owner Trust
5.770% due 11/15/01 ++ 7,200,000 7,177,860
Money Store
6.040% due 08/15/17 ++ 5,342,606 5,316,881
ONYX Acceptance Grantor Trust
6.300% due 05/15/04 ++ 2,670,524 2,660,417
Option One Mortgage Loan Trust
6.125% due 02/25/29 ++ 7,983,188 7,987,938
Premier Auto Trust
5.510% due 07/08/01 ++ 3,246,015 3,240,578
Salomon Brothers Mtg Services VII Inc
5.855% due 02/25/27 + ++ 824,023 822,478
Southern Pacific Secured Assets Corp
5.760% due 06/25/28 ++ 1,346,525 1,337,026
WESTCO Financial Owner Trust
6.250% due 03/20/03 ++ 3,200,000 3,193,040
IKON Office Solutions Inc
5.600% due 05/15/05 ++ 5,900,000 5,870,943
-----------
Total Other Asset-Backed Securities
(Cost $66,084,891) 65,798,462
-----------
U.S. TREASURY INFLATION INDEX BONDS - 4.16%
3.375% due 01/15/07 2,438,828 2,299,359
3.625% due 07/15/02 8,389,760 8,311,106
3.625% due 01/15/08 11,540,004 10,995,466
3.875% due 01/15/09 1,948,098 1,883,567
-----------
Total U.S. Treasury Inflation Index Bonds
(Cost $23,647,200) 23,489,498
-----------
U.S. TREASURY BOND - 0.88%
11.250% due 02/15/15 3,500,000 4,948,111
-----------
Total U.S. Treasury Bond
(Cost $4,979,219) 4,948,111
-----------
PUT OPTION - 0.01%
US Long Bond
Strike @ 100.00 Exp. 03/00
6.500% due 10/15/06 60,937
-----------
Total Put Option
(Cost $61,006) 60,937
-----------
Value
-----
SHORT-TERM INVESTMENTS - 34.06%
COMMERCIAL PAPER - 23.89%
ANZ (Delaware) Inc
6.040% due 02/04/00 1,600,000 1,590,873
Bank One CD
5.900% due 01/31/00 10,000,000 9,950,833
5.910% due 02/09/00 100,000 99,359
Bank One Corp
5.880% due 02/09/00 4,000,000 3,974,520
British Telecom PLC
5.810% due 02/16/00 8,800,000 8,734,670
6.240% due 02/16/00 10,300,000 10,217,874
CBA Delaware
5.870% due 04/03/00 20,000,000 19,706,200
Daimler Benz
5.820% due 03/23/00 9,700,000 9,573,803
5.900% due 02/04/00 10,000,000 9,944,278
Electricte de France
6.500% due 01/20/00 8,000,000 7,972,556
Florida Power Corp
5.990% due 01/31/00 600,000 597,005
See Notes to Financial Statements See explanation of symbols on D-69
D-54
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
GE Capital
5.950% due 02/14/00 $10,000,000 $9,927,278
Motorola Inc
5.890% due 02/16/00 5,000,000 4,962,369
Norfolk Southern Corp
6.410% due 01/27/00 2,100,000 2,090,278
6.440% due 01/31/00 2,700,000 2,685,510
Province of B.C.
5.970% due 02/02/00 1,600,000 1,591,509
Queensland Coal Venture
5.950% due 02/10/00 400,000 397,356
Swede Bank
6.490% due 02/07/00 12,900,000 12,813,953
TEX Utilities
6.540% due 01/21/00 500,000 498,183
Texas Utilities Co
5.240% due 01/21/00 1,200,000 1,196,507
Tyco International Ltd
6.600% due 02/03/00 6,600,000 6,560,070
US West Capital Funding Inc
6.250% due 02/08/00 6,700,000 6,655,827
6.390% due 03/24/00 2,600,000 2,565,758
6.710% due 03/24/00 600,000 592,098
------------
Total Commercial Paper 134,898,667
------------
U.S. TREASURY BILLS - 0.25%
4.680% due 02/10/00 ** 195,000 193,986
5.010% due 02/17/00 ** 1,225,000 1,217,405
------------
Total U.S. Treasury Bills
(Cost $1,411,284) 1,411,391
------------
U.S. TREASURY NOTE - 0.36%
5.500% due 02/29/00 ** 2,035,000 2,036,273
------------
Total U.S. Treasury Note
(Cost $2,035,925) 2,036,273
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 9.56%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $53,955,689; collateralized by U.S.
Treasury Notes and Bonds--market value
$3,781,219 and due 12/31/00,
and market value
$51,239,581 and due 08/15/19) 53,944,500 53,944,500
------------
Total Securities Held Under Repurchase
Agreement 53,944,500
------------
Total Short-Term Investments
(Cost $192,273,059) 192,290,831
------------
TOTAL GOVERNMENT SECURITIES PORTFOLIO
(COST $568,475,996) $564,565,075
============
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $3,447,664 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at December 31, 1999:
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
- --------------------------------------------------------------------------------
90-Day Eurodollar Futures (9/00) 103 ($127,517)
90-Day Eurodollar Futures (12/00) 85 (110,437)
10-Year JBH TSE GSC (3/00) 4 (175,935)
U.S. Treasury 2-Year Note (3/00) 200 (227,032)
U.S. Treasury 5-Year Note (3/00) 5 (4,375)
U.S. Treasury 10-Year Note (3/00) 1,075 (1,992,566)
U.S. Treasury 30-Year Bond (3/00) 16 (7,438)
-----------
($2,645,300)
===========
(b) Transactions in options for the year ended December 31, 1999, were
as follows:
Number of
Contracts Premium
- ------------------------------------------------------------------------------
Outstanding, December 31, 1998 46 $8,378
Options Written 2,951 1,394,454
Options Exercised 81 46,712
Options Expired 1,450 630,700
Options Cancelled in Closing Purchases 266 225,103
--------- ---------
Outstanding, December 31, 1999 1,200 $500,317
========= =========
(c) Forward foreign currency contracts outstanding at December 31, 1999, were
summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Expiration Covered by Appreciation
Type to Sell Month Contracts (Depreciation)
- --------------------------------------------------------------------------------
JY Buy 2/00 $909,714 $13,238
Sell 2/00 880,882 (42,069)
---------
($28,831)
=========
Principal amount denoted in the indicated currency:
JY - Japanese Yen
(d) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $568,475,996
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $429,711
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost over
value (4,340,632)
------------
Net unrealized depreciation ($3,910,921)
============
See Notes to Financial Statements See explanation of symbols on D-69
D-55
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
CORPORATE BONDS & NOTES - 37.36%
Autos & Transportation - 2.67%
Continental Airlines Inc
9.500% due 12/15/01 $8,325,000 $8,449,875
DaimlerChrysler North America Hldg
6.670% due 09/25/01 13,000,000 12,951,523
Northwest Airlines Corp
10.530% due 01/15/09 4,431,473 4,960,502
Union Pacific Corp
6.353% due 05/22/00 + 7,900,000 7,885,187
United Airlines Inc
9.210% due 01/21/17 800,000 824,212
9.560% due 10/19/18 1,650,000 1,716,759
10.850% due 02/19/15 1,000,000 1,155,520
-----------
37,943,578
-----------
Consumer Discretionary - 0.20%
Amerco
7.200% due 04/01/02 1,700,000 1,660,155
Hansol Paper Company Ltd
7.078% due 05/24/01 600,000 600,069
Time Warner Pass
6.100% due 12/30/01 ~ 650,000 639,610
-----------
2,899,834
-----------
Consumer Staples - 2.29%
J Seagram & Sons
6.250% due 12/15/01 7,000,000 6,856,829
Nabisco Inc
6.125% due 02/01/33 13,800,000 13,254,141
Philip Morris Companies Inc
8.750% due 06/01/01 12,230,000 12,398,248
-----------
32,509,218
-----------
Financial Services - 22.16%
American General Finance
6.875% due 12/14/01 13,100,000 13,066,739
Associates Corp North America
6.450% due 09/15/00 ~ 4,800,000 4,786,123
AT&T Capital Corp
5.860% due 04/26/02 10,500,000 10,144,858
7.110% due 09/13/01 4,200,000 4,198,870
Bear Stearns Companies Inc
6.150% due 03/02/04 8,100,000 7,734,018
6.636% due 11/30/04 + 17,100,000 17,083,969
Capital One Bank
6.760% due 07/23/02 5,000,000 4,904,640
Capital One Financial Corp
5.997% due 07/28/03 + 3,000,000 3,020,820
6.438% due 02/11/02 8,800,000 8,757,707
6.875% due 04/24/00 3,370,000 3,373,943
Chrysler Financial
6.582% due 01/30/02 9,700,000 9,688,835
CIT Group Inc
7.125% due 10/15/04 21,000,000 20,851,383
Conseco Financial Securitization Corp Inc
7.350% due 10/15/30 + 23,158,843 22,927,139
Credit Asset Receivable LLC
6.274% due 10/31/03 5,010,800 4,916,572
Donaldson Lufkin & Jenrette Inc
6.000% due 12/01/01 2,200,000 2,152,456
Finova Capital Corp
5.875% due 10/15/01 2,000,000 1,961,714
6.450% due 11/06/01 7,000,000 6,907,110
Ford Motor Credit Corp
6.700% due 07/16/04 2,900,000 2,840,101
GMAC
6.335% due 04/05/04 15,100,000 15,063,564
6.750% due 12/10/02 + 14,000,000 13,896,204
6.850% due 06/17/04 1,200,000 1,181,183
7.625% due 05/05/03 2,500,000 2,538,815
Goldman Sachs Group Inc
5.797% due 12/07/01 ~ 8,000,000 8,022,984
GS Escrow Corp
6.312% due 08/01/03 8,000,000 7,625,480
6.750% due 08/01/01 2,100,000 2,024,793
Heller Financial Inc
6.433% due 04/28/03 3,400,000 3,384,544
6.460% due 06/24/02 5,000,000 5,032,229
6.500% due 07/22/02 4,000,000 3,928,116
Household Financial Corp
6.000% due 05/01/04 14,600,000 13,876,176
6.355% due 08/01/01 15,100,000 15,107,761
7.000% due 08/01/03 800,000 792,056
Lehman Brothers Holding Inc
6.978% due 04/02/02 9,600,000 9,643,757
Lehman Brothers Holding PLC
5.822% due 09/03/02 9,900,000 9,817,830
MBNA Corp
5.572% due 08/07/01 500,000 499,288
6.472% due 04/25/02 7,600,000 7,554,073
6.875% due 07/15/04 2,000,000 1,930,074
Newcourt Credit Group
7.625% due 06/28/01
(Principal in Canadian Dollar) 3,200,000 2,256,609
Paine Webber Group Inc
6.110% due 11/27/00 1,700,000 1,698,200
Popular North America Inc
6.625% due 01/15/04 7,200,000 6,932,930
6.875% due 06/15/01 16,500,000 16,402,931
7.375% due 09/15/01 4,600,000 4,600,258
Salomon Smith Barney Holdings FRN
6.250% due 05/14/02 1,000,000 999,642
Wells Fargo & Co
6.625% due 07/15/04 2,000,000 1,958,050
West Pennsylvania Funding LLC
6.320% due 06/25/03 + 8,500,000 8,480,035
-----------
314,564,579
-----------
Health Care - 0.70%
Columbia/HCA Healthcare Corp
6.730% due 07/15/45 500,000 465,692
6.870% due 09/15/03 1,700,000 1,583,011
6.875% due 07/15/01 3,650,000 3,553,998
8.020% due 08/05/02 400,000 389,833
8.130% due 08/04/03 4,000,000 3,887,652
-----------
9,880,186
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-56
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
Other Energy - 2.24%
NRG Energy Inc
8.000% due 11/01/03 $5,600,000 $5,549,186
Occidental Petroleum Corp
6.400% due 04/01/03 400,000 385,545
8.500% due 11/09/01 1,439,000 1,469,361
R&B Falcon Corp
6.500% due 04/15/03 3,000,000 2,760,000
9.125% due 12/15/03 12,000,000 11,910,000
Williams Companies Inc
6.491% due 01/30/00 9,700,000 9,701,426
-----------
31,775,518
-----------
Technology - 1.80%
Aristar Inc
7.375% due 09/01/04 500,000 497,758
Worldcom Inc
8.875% due 01/15/06 23,918,000 25,020,237
-----------
25,517,995
-----------
Utilities - 5.30%
BVPS II Funding Corp
8.330% due 12/01/07 3,100,000 3,149,925
Cleveland Electric Illuminating Co
9.200% due 06/01/01 3,000,000 3,066,228
Cleveland Electric-Toledo Edison Co
7.670% due 07/01/04 4,000,000 3,943,480
Metronet Communications Corp
0.000% due 06/15/03 2,700,000 2,133,000
PP&L Capital Funding Inc
7.700% due 11/15/07 + 6,700,000 6,567,099
PP&L Transition BD LLC
6.080% due 03/25/03 3,954,223 3,939,177
6.410% due 03/25/03 1,000,000 993,495
6.600% due 03/25/03 1,000,000 993,825
6.720% due 03/25/03 1,000,000 988,695
6.830% due 03/25/03 1,000,000 994,625
Public Services Enterprises
6.521% due 06/15/01 14,300,000 14,288,388
TCI Communications Inc
6.120% due 02/02/00 5,700,000 5,698,056
Texas Utilities Co
5.940% due 10/15/01 10,000,000 9,828,470
Toledo Edison Co
7.460% due 04/03/00 100,000 100,251
US West Capital Funding Inc
6.571% due 06/15/00 18,600,000 18,596,168
-----------
75,280,882
-----------
Total Corporate Bonds & Notes
(Cost $534,700,842) 530,371,790
-----------
MORTGAGE-BACKED SECURITIES - 35.36%
Collateralized Mortgage Obligations - 9.54%
American Southwest Financial Securities Corp
7.400% due 11/17/04 ++ $10,328,236 $10,342,438
BankAmerica Mortgage Securities Inc
6.500% due 05/25/29 ++ 6,900,000 6,184,711
6.500% due 05/25/29 ++ 2,433,631 2,292,225
Cendant Mortgage Corp
6.500% due 01/18/16~ + ++ 10,649,079 10,522,621
6.906% due 11/18/28~ + ++ 11,858,209 11,416,335
Chase Mortgage Financial Trust
6.500% due 05/25/29 ++ 16,700,000 14,970,798
Citibank
8.000% due 07/25/18 + ++ 14,478 14,677
Countrywide Inc
6.750% due 05/25/24 ++ 1,000,000 924,745
8.110% due 11/25/24 ++ 30,355 30,683
DLJ Mortgage Acceptance Corp
6.500% due 05/19/29 ++ 385,171 356,710
GE Capital Mortgage Services Inc
6.250% due 05/25/29 ++ 5,500,000 5,276,067
6.500% due 04/25/24 ++ 4,955,500 4,779,654
6.500% due 05/25/29 ++ 24,107,750 21,650,327
GMAC Commercial Mortgage Security Inc
0.820% due 08/15/23 ++ 15,232,310 580,579
6.700% due 03/15/08 ++ 2,200,000 2,086,645
Greenwich Capital Acceptance Inc
7.587% due 01/25/22 ++ 12,468 12,430
Imperial Savings & Loan Association
8.341% due 02/25/18 + ++ 41,078 42,156
Lehman Large Loan
0.949% due 04/12/12 ++ 17,120,900 562,791
Morgan Stanley Capital Industrial Inc
6.160% due 04/03/14 ++ 666,903 635,322
Mortgage Capital Funding Inc
1.580% due 11/20/12 ++ 8,486,918 590,223
Norwest Asset Securities Corp
7.500% due 03/25/27 ++ 875,291 847,566
Residential Accredited Loans Inc
7.500% due 03/25/27 ++ 1,000,000 981,325
Residential Funding Mtg Securities Inc
6.500% due 04/25/29 ++ 12,500,000 11,216,812
6.500% due 05/25/29 + ++ 3,873,717 3,155,948
Resolution Trust Corp
9.450% due 05/25/24 + ++ 1,422,426 1,417,270
Salomon Brothers Mtg Services VII Inc
5.980% due 11/15/29 ++ 9,000,000 8,998,425
Securitized Asset Sales Inc
6.500% due 11/25/25 ++ 57,751 57,561
Structured Asset
7.668% due 01/28/30 + ++ 11,205,265 11,172,000
Union Planters Corp
6.800% due 01/25/28~ ++ 4,500,000 4,304,228
-----------
135,423,272
-----------
Federal Home Loan Mortgage Corporation - 15.34%
5.500% due 01/19/30 + ++ # 48,000,000 42,284,880
6.000% due 01/19/20 ++ # 17,000,000 15,560,270
See Notes to Financial Statements See explanation of symbols on D-69
D-57
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
6.000% due 01/19/30 ++ # $55,500,000 $50,799,705
6.500% due 11/25/23 ++ 741,710 631,460
6.770% due 05/01/23 ++ 158,541 162,336
7.430% due 08/01/21 ++ 252,461 254,036
7.430% due 02/01/23 ++ 350,807 353,056
7.430% due 10/01/23 + ++ 9,303,591 9,002,205
7.500% due 01/15/23 ++ 15,262,670 14,823,273
7.500% due 09/20/26 ++ 2,550,115 2,447,838
7.500% due 01/15/27 ++ 7,787,252 7,276,175
7.500% due 01/19/30 ++ # 75,000,000 74,226,750
-----------
217,821,984
-----------
Federal National Mortgage Association - 1.48%
5.824% due 05/01/36 ++ 482,862 471,646
5.850% due 01/25/17 ++ 2,565,604 2,552,127
6.000% due 01/01/30 ++ # 5,000,000 4,573,450
6.188% due 04/01/27 ++ 2,606,005 2,572,381
6.500% due 05/01/06 ++ 3,985,326 3,911,605
6.667% due 01/01/25 ++ 536,067 538,093
6.677% due 01/01/23 ++ 1,874,560 1,883,110
7.084% due 06/01/27 ++ 2,621,550 2,600,826
7.178% due 12/01/22 ++ 525,797 541,753
7.250% due 06/20/02 ++
(Principal in New Zealand Dollar) 2,500,000 1,306,435
7.399% due 11/01/23 ++ 72,615 73,300
-----------
21,024,726
-----------
Government National Mortgage Association - 8.48%
6.000% due 01/25/30 ++ # 12,000,000 10,912,560
6.125% due 11/20/23 ++ 4,594,482 4,637,066
6.125% due 10/20/24 ++ 1,055,192 1,061,646
6.125% due 11/20/26 ++ 5,508,785 5,563,302
6.125% due 12/20/26 ++ 636,825 643,093
6.375% due 03/20/24 ++ 345,891 349,123
6.375% due 03/20/24 ++ 752,439 759,470
6.375% due 02/20/27 ++ 942,309 944,427
6.500% due 01/20/29 ++ 12,734,683 10,111,223
6.500% due 01/25/30 ++ # 4,900,000 4,598,356
6.500% due 10/01/33 ++ 3,151,432 2,882,703
6.650% due 06/15/02 ++ 8,475,204 8,513,342
6.650% due 10/15/40 + ++ 4,686,096 4,497,896
6.750% due 07/20/25 ++ 1,117,141 1,129,915
6.750% due 07/20/26 ++ 3,874,937 3,904,073
7.000% due 01/25/30 ++ # 61,900,000 59,772,497
9.000% due 02/15/17 ++ 45,611 47,801
9.500% due 08/15/17 ++ 19,087 20,347
9.500% due 04/15/18 ++ 3,080 3,283
9.500% due 09/15/18 ++ 46,403 49,467
10.000% due 05/15/19 ++ 14,044 15,253
-----------
120,416,843
-----------
Student Loan Mortgage Association - 0.52%
5.129% due 06/30/00 ++ 7,400,000 7,397,410
-----------
7,397,410
-----------
Total Mortgage-Backed Securities
(Cost $517,340,294) 502,084,235
-----------
OTHER ASSET-BACKED SECURITIES - 2.60%
Countrywide Home Loans
6.500% due 09/25/13 ++ $2,827,054 $2,660,781
Cross Country Master Credit Card Trust
6.962% due 06/15/06 + ++ 6,700,000 6,700,000
Ford Credit Auto Owner Trust
5.770% due 11/15/01 ++ 6,500,000 6,480,012
MLCC Mortgage Investments
6.842% due 01/01/25 + ++ 19,100,000 19,100,000
Residential Asset Securities Corp
5.890% due 10/25/27 ++ 276,508 274,958
Ryland Mortgage Securities Corp
14.000% due 11/25/31 ++ 35,687 38,169
Salomon Brothers Mtg Services VII Inc
5.855% due 02/25/27 + ++ 1,648,047 1,644,957
-----------
Total Other Asset-Backed Securities
(Cost $37,097,331) 36,898,877
-----------
U.S. TREASURY INFLATION INDEX BONDS - 4.77%
3.375% due 01/15/07 12,724,320 11,996,654
3.625% due 07/15/02 39,027,479 38,661,597
3.625% due 01/15/08 9,887,914 9,421,332
3.875% due 01/15/09 7,894,923 7,633,404
-----------
Total U.S. Treasury Inflation Index Bonds
(Cost $68,028,561) 67,712,987
-----------
U.S. TREASURY BONDS - 0.37%
11.125% due 08/15/03 3,600,000 4,131,000
11.250% due 02/15/15 800,000 1,130,997
-----------
Total U.S. Treasury Bonds
(Cost $5,357,143) 5,261,997
-----------
FOREIGN BONDS - 7.12%
Argentina - 0.52%
Republic of Argentina
5.500% due 03/27/01
(Principal in Japanese Yen) 770,000,000 7,436,833
-----------
7,436,833
-----------
Brazil - 0.40%
Republic of Brazil
6.500% due 01/01/01 4,501,800 4,451,155
6.937% due 04/15/06 1,410,000 1,237,275
-----------
5,688,430
-----------
Chile - 0.52%
Republic of Chile
6.875% due 04/28/09 8,000,000 7,430,408
-----------
7,430,408
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-58
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
Mexico - 1.77%
Banamex
9.125% due 04/06/00 $2,000,000 $2,004,600
Petro Mexicanos
8.799% due 07/15/05~ 9,000,000 8,831,250
United Mexican States
6.000% due 04/07/00 13,200,000 13,081,200
United Mexican States Bond
6.767% due 06/27/02 1,200,000 1,191,000
-----------
25,108,050
-----------
New Zealand - 0.24%
New Zealand Government Bond
5.500% due 04/15/03 4,500,000 2,257,435
10.000% due 03/15/02
(All Principal in New Zealand Dollar) 2,000,000 1,117,636
-----------
3,375,071
-----------
Panama - 1.36%
Banco LatinoAmericano De Exportaciones
6.150% due 05/02/00 11,300,000 11,253,670
6.950% due 03/05/01 8,100,000 8,038,683
-----------
19,292,353
-----------
Poland - 0.02%
Poland Par Stepup
3.500% due 10/27/00 500,000 308,750
-----------
308,750
-----------
South Korea - 1.95%
Export Import Bank Korea
6.500% due 11/15/06 3,600,000 3,414,733
Korea Development Bank
1.875% due 02/13/02
(Principal in Japanese Yen) 135,000,000 1,319,768
7.125% due 09/17/01 3,500,000 3,474,481
7.375% due 09/17/04 6,330,000 6,222,314
7.900% due 02/01/02 10,100,000 10,140,895
Korea National Housing
8.437% due 05/23/01 3,000,000 3,060,000
-----------
27,632,191
-----------
United Kingdom - 0.34%
TXU Eastern Funding Corp
6.150% due 05/15/02 5,000,000 4,849,550
-----------
4,849,550
-----------
Total Foreign Bonds
(Cost $100,635,231) 101,121,636
-----------
MUNICIPAL BONDS - 0.64%
Long Island Power Authority
5.250% due 12/01/26 1,500,000 1,296,996
New York City Taxable `B'
6.000% due 08/01/01 $7,900,000 $7,807,230
-----------
Total Municipal Bonds
(Cost $9,424,908) 9,104,226
-----------
CALL OPTIONS - 0.23%
US Long Bond
Strike @ 98.00 Exp. 03/00
6.500% due 10/15/06 32,200,000 3,208,409
-----------
Total Call Options
(Cost $3,743,250) 3,208,409
-----------
Value
-----
SHORT-TERM INVESTMENTS - 11.55%
COMMERCIAL PAPER - 9.21%
CBA Delaware
5.870% due 04/03/00 19,300,000 19,007,332
Deutsche Bank Euro CD
5.940% due 02/02/00 19,300,000 19,198,096
Deutsche Bank Financial Disc Note
6.040% due 02/02/00 800,000 795,705
Gannett Co Inc
5.920% due 01/26/00 30,000,000 29,876,667
GE Capital Corp Mtn
5.930% due 02/22/00 2,600,000 2,577,729
General Electric Capital Corp
5.980% due 02/14/00 5,100,000 5,062,912
Goldman Sachs CP
5.970% due 02/09/00 1,600,000 1,589,652
Houston Lighting & Power
6.220% due 02/24/00 5,500,000 5,448,685
Oesterreichische Kontbk
5.920% due 01/25/00 3,900,000 3,884,608
Penney (J.C.) Funding
6.400% due 01/26/00 17,600,000 17,521,778
US West Capital Funding Inc
5.960% due 03/24/00 2,100,000 2,071,158
6.140% due 03/24/00 3,500,000 3,450,454
6.190% due 03/24/00 4,200,000 4,140,060
6.240% due 03/24/00 2,200,000 2,168,349
6.290% due 03/24/00 7,100,000 6,997,036
6.350% due 03/24/00 7,100,000 6,996,054
-----------
Total Commercial Paper 130,786,275
-----------
U.S. TREASURY BILLS - 0.15%
4.680% due 02/10/00 ** 700,000 696,360
5.010% due 02/17/00 ** 1,440,000 1,431,062
-----------
Total U.S. Treasury Bills 2,127,422
-----------
U.S. TREASURY NOTE - 0.50%
5.500% due 02/29/00 ** 7,085,000 7,089,427
-----------
Total U.S. Treasury Note
(Cost $7,088,228) 7,089,427
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-59
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.69%
State Street Bank and Trust
2.500% due 01/03/00
(Dated 12/31/99, repurchase price
of $24,022,855; collateralized by U.S.
Treasury Notes--market value
$24,484,975 and due 12/31/00) $24,018,000 $24,018,000
--------------
Total Securities Held Under Repurchase
Agreement 24,018,000
--------------
Total Short-Term Investments
(Cost $164,019,924) 164,021,124
--------------
TOTAL MANAGED BOND PORTFOLIO
(COST $1,440,347,484) $1,419,785,281
--------------
Notes to Schedule of Investments
- --------------------------------
(a) Securities with an approximate aggregate market value of $9,216,849 have
been segregated with the custodian to cover margin requirement for the following
open futures contracts at December 31, 1999:
Number of Unrealized
Type Contracts Depreciation
- --------------------------------------------------------------------------------
90-Day Eurodollar Futures (9/00) 77 ($96,178)
90-Day Eurodollar Futures (12/00) 225 (292,329)
90-Day Eurodollar Futures (3/01) 200 (28,574)
10-Year JBH TSE GSC (3/00) 11 (106,775)
U.S. Treasury 2-Year Notes (3/00) 45 (59,362)
U.S. Treasury 10-Year Notes (3/00) 908 (1,568,120)
U.S. Treasury 30-Year Bonds (3/00) 808 (908,852)
------------
($3,060,190)
============
(b) Transaction in options for the year ended December 31, 1999, were as
follows:
Number of
Contracts Premium
- --------------------------------------------------------------------------------
Outstanding, December 31, 1998 183 $33,814
Options Written 9,015 4,444,337
Options Exercised 265 166,124
Options Expired 4,933 2,054,924
Options Cancelled in Closing Purchases 1,398 1,175,232
------ ------------
Outstanding, December 31, 1999 2,602 $1,081,871
====== ============
(c) Forward foreign currency contracts outstanding at December 31, 1999, were
summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Expiration Covered by Appreciation
Type to Sell Month Contracts (Depreciation)
- --------------------------------------------------------------------------------
CD Sell 5/00 $2,307,003 ($17,124)
JY Buy 2/00 2,977,383 100,602
Sell 2/00 5,101,482 (243,637)
------------
($160,159)
============
Principal amount denoted in the indicated currency:
CD - Canadian Dollar
JY - Japanese Yen
(d) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $1,440,347,484
==============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $3,453,840
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (24,016,043)
--------------
Net unrealized depreciation ($20,562,203)
==============
See Notes to Financial Statements
D-60
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENTS - 100.00%
COMMERCIAL PAPER - 99.97%
Alberta Province
9.250% due 04/01/00 $10,000,000 $10,093,040
Alcoa Inc
5.850% due 02/11/00 20,000,000 19,866,750
Alliant Energy Corp
5.830% due 01/13/00 25,000,000 24,951,417
5.870% due 02/14/00 15,000,000 14,892,383
AlliedSignal Inc
5.830% due 01/28/00 20,000,000 19,912,550
American Home Products Corp
6.020% due 01/19/00 25,000,000 24,924,750
6.020% due 01/20/00 15,000,000 14,952,342
AT&T Capital Corp
6.260% due 12/05/00 3,000,000 2,997,602
6.280% due 10/24/00 500,000 498,937
Avery Dennison Corp
5.930% due 01/12/00 22,500,000 22,459,231
Baltimore Gas & Electric
6.180% due 01/11/00 17,440,000 17,410,061
BellSouth Corp
6.500% due 02/01/00 450,000 450,438
Bemis Co
5.980% due 01/14/00 13,000,000 12,971,927
BMWOT
5.640% due 08/25/00 7,254,618 7,254,213
Carolina Power & Light Co
5.250% due 01/04/00 42,000,000 41,981,625
6.125% due 02/01/00 2,600,000 2,602,105
Chevron Corp
6.100% due 01/24/00 30,000,000 29,883,083
Clorox Co
5.830% due 01/10/00 30,000,000 29,956,275
Dean Foods Co
6.050% due 01/18/00 8,000,000 7,977,144
E.W. Scripps Co
5.980% due 01/18/00 16,000,000 15,954,818
Eastman Kodak Co
5.150% due 01/20/00 20,000,000 19,945,639
Edison International
6.270% due 01/14/00 30,000,000 29,932,075
Equitable Resources
5.830% due 02/22/00 15,000,000 14,873,683
Fluor Corp
5.960% due 01/25/00 15,750,000 15,687,420
Ford Credit Auto
6.310% due 01/07/00 30,000,000 29,968,450
Ford Motor Credit
5.460% due 01/20/00 21,300,000 21,238,620
5.750% due 01/03/00 25,000,000 24,992,014
Fortune Brands Inc
5.900% due 01/20/00 43,000,000 42,866,103
Gannett Co
5.850% due 05/01/00 1,500,000 1,501,548
General Dymanics Credit Corp
6.000% due 01/18/00 20,000,000 19,943,333
General Mills Inc
5.870% due 01/05/00 15,975,000 15,964,581
Gillette Co
5.950% due 01/12/00 20,000,000 19,963,639
GMAC
6.650% due 05/24/00 10,000,000 10,046,141
GTE North America Inc
6.140% due 12/11/00 40,000,000 39,970,509
Hasbro Inc
5.000% due 01/03/00 5,000,000 4,998,611
Heart
0.000% due 05/13/00 1,413,548 1,413,547
Hertz Corp
5.930% due 01/04/00 20,000,000 19,990,117
Honda Auto Least Trust
5.445% due 08/15/00 7,115,794 7,115,794
IBM Corp
6.375% due 06/15/00 2,000,000 2,007,151
IKON Office Solutions Inc
5.110% due 06/15/00 3,404,285 3,404,285
IPALCO Enterprises
5.800% due 02/22/00 17,400,000 17,254,227
5.870% due 02/08/00 8,000,000 7,950,431
John Deere Owner Trust
4.998% due 06/19/00 1,147,008 1,147,008
LA Pension
8.000% due 06/30/00 5,000,000 5,037,292
Lowes Corp
6.650% due 02/16/00 10,000,000 10,004,976
Motiva Enterprise
5.830% due 01/11/00 15,000,000 14,975,708
5.960% due 01/27/00 20,000,000 19,913,911
Motorola Inc
5.150% due 01/27/00 9,600,000 9,564,293
Navister Financial Corp Owner Trust
5.002% due 06/15/00 1,404,552 1,404,551
Newcourt Credit Group
5.971% due 08/20/00 12,030,172 12,030,172
Newell Rubbermaid Inc
5.850% due 01/07/00 22,000,000 21,978,550
Norfolk Southern Corp
5.800% due 06/15/00 6,250,000 6,250,000
Pacific Gas & Electric Corp
5.500% due 01/20/00 5,500,000 5,484,035
5.950% due 01/18/00 13,410,000 13,372,322
5.960% due 01/19/00 14,800,000 14,755,896
Potomac Electric Power Corp
5.770% due 01/21/00 19,400,000 19,337,812
Sallie Mae
5.745% due 06/30/00 20,000,000 19,998,805
5.916% due 06/08/00 25,000,000 24,998,325
Snap On Inc
6.100% due 01/27/00 20,500,000 20,409,686
6.470% due 01/18/00 25,000,000 24,923,618
Southern Co
5.900% due 02/04/00 20,000,000 19,888,556
Tampa Electric Co
5.750% due 05/01/00 1,000,000 1,001,876
See Notes to Financial Statements
D-61
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal
Amount Value
--------- -----
Textron Financial Inc
5.850% due 01/18/00 $20,000,000 $19,944,750
6.190% due 05/15/00 20,000,000 19,995,348
Wal-Mart Stores Inc
5.250% due 01/06/00 18,135,000 18,121,777
Walt Disney Co
5.800% due 01/28/00 20,000,000 19,913,000
Weyerhaeuser Co
6.780% due 02/24/00 20,000,000 20,041,886
--------------
Total Commercial Paper 1,057,512,762
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.03%
State Street Bank and Trust
2.000% due 01/03/00
(Dated 12/31/99, repurchase price
of $279,016; collateralized by U.S.
Treasury Notes--market value
$280,700 and due 05/31/01) 279,000 279,000
--------------
Total Securities Held Under Repurchase
Agreement 279,000
--------------
Total Short-Term Investments
(Cost $1,057,791,762) 1,057,791,762
--------------
TOTAL MONEY MARKET PORTFOLIO
(COST $1,057,791,762) $1,057,791,762
==============
See Notes to Financial Statements
D-62
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------ -------
CONVERTIBLE PREFERRED STOCKS - 0.78%
Consumer Discretionary - 0.78%
CSC Holdings Inc * 11,469 $1,255,892
Primedia Inc 'H' 25,000 2,181,250
-----------
3,437,142
-----------
Total Convertible Preferred Stocks
(Cost $3,244,738) 3,437,142
-----------
COMMON STOCKS WARRANTS - 0.12%
Consumer Discretionary - 0.12%
Globalstar Telecommunications Ltd * 1,250 241,050
Splitrock Services Inc * 2,500 268,750
-----------
509,800
-----------
Total Common Stocks
(Cost $5) 509,800
-----------
Principal
Amount
--------
CORPORATE BONDS & NOTES - 79.63%
Autos & Transportation - 4.67%
Accuride Corp
9.250% due 02/01/08 $4,500,000 4,117,500
Amtran Inc
9.625% due 12/15/05 3,000,000 2,917,500
10.500% due 08/01/04~ 1,000,000 1,005,000
Delco Remy International Inc
10.625% due 08/01/06 2,000,000 2,080,000
Federal-Mogul Corp
7.750% due 07/01/06 2,000,000 1,885,000
Hayes Lemmerz International Inc
8.250% due 12/15/08 2,500,000 2,312,500
Hayes Wheels International Inc
9.125% due 07/15/07 2,500,000 2,456,250
Holt Group Inc
9.750% due 01/15/06 700,000 463,750
Kitty Hawk Inc
9.950% due 11/15/04 1,000,000 985,000
Mascotech Inc
4.500% due 12/15/03 1,000,000 732,500
Westinghouse Air Brake Co
9.375% due 06/15/05 1,500,000 1,507,500
-----------
20,462,500
-----------
Consumer Discretionary - 27.25%
Allied Waste Industries Inc
7.875% due 01/01/09 2,500,000 2,221,875
10.000% due 08/01/09~ 5,000,000 4,500,000
Avis Rent A Car Inc
11.000% due 05/01/09 4,500,000 4,747,500
Capstar Hotel Co
8.750% due 08/15/07 1,500,000 1,389,375
Chancellor Media Corp
9.000% due 10/01/08 3,000,000 3,135,000
10.500% due 01/15/07 1,500,000 1,635,000
CKE Restaurants Inc
9.125% due 05/01/09 1,500,000 1,140,000
CSC Holdings Inc
7.875% due 12/15/07 3,000,000 2,970,000
9.250% due 11/01/05 2,000,000 2,060,000
Falcon Holdings Group
8.375% due 04/15/10 1,000,000 1,013,750
Ferrellgas Partners
9.375% due 06/15/06 3,000,000 2,985,000
Foodmaker Inc
8.375% due 04/15/08 2,500,000 2,334,375
Fox Family Worldwide
9.250% due 11/01/07 3,000,000 2,782,500
Garden State Newspapers Inc
8.625% due 07/01/11 1,500,000 1,380,000
8.750% due 10/01/09 2,000,000 1,870,000
Globalstar/LP Capital Corp
10.750% due 11/01/04~ 1,500,000 975,000
11.375% due 02/15/04 2,250,000 1,575,000
Granite Broadcasting
8.875% due 05/15/08 1,500,000 1,447,500
Gray Communications Systems
10.625% due 10/01/06 1,000,000 1,037,500
Group Maintenance America
9.750% due 01/15/09 1,700,000 1,695,750
Harrahs Operating Company Inc
7.875% due 12/15/05 2,000,000 1,942,500
HMH Properties Inc
7.875% due 08/01/08 2,000,000 1,792,500
Hollinger International Inc
8.625% due 03/15/05 2,500,000 2,481,250
Hollywood Park Inc
9.250% due 02/15/07 1,000,000 996,250
Holmes Products Corp
9.875% due 11/15/07 500,000 367,500
Host Marriott Corp
8.375% due 02/15/06 1,000,000 945,000
International Game Technology
8.375% due 05/15/09 4,000,000 3,850,000
Iron Mountain Inc
10.125% due 10/01/06 2,000,000 2,045,000
IT Group Inc
11.250% due 04/01/09 1,000,000 1,015,000
John Q Hammons Hotels LP
8.875% due 02/15/04 500,000 458,750
9.750% due 10/01/05 3,000,000 2,775,000
Lenfest Communications Inc
8.250% due 02/15/08 2,000,000 2,020,000
Loews Cineplex Entertainment
8.875% due 08/01/08 2,000,000 1,775,000
Loral Space & Communications
9.500% due 01/15/06 2,000,000 1,810,000
Mohegan Tribeal Gaming Authority
8.750% due 01/01/09 1,500,000 1,485,000
See Notes to Financial Statements See explanation of symbols on D-69
D-63
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- -------
Nebraska Book Company Inc
8.750% due 02/15/08 $4,000,000 $3,540,000
Pegasus Communications Corp
9.625% due 10/15/05 2,000,000 2,030,000
9.750% due 12/01/06 2,000,000 2,030,000
Premier Parks Inc
9.250% due 04/01/06 2,500,000 2,468,750
9.750% due 06/15/07 2,500,000 2,500,000
Prime Hospitality Inc
9.750% due 04/01/07 3,000,000 2,970,000
Primedia Inc
8.500% due 02/01/06 2,500,000 2,475,000
Rent A Center Inc
11.000% due 08/15/08 3,250,000 3,355,625
Rose Hills Acquisition Corp
9.500% due 11/15/04 3,500,000 2,817,500
Safety-Kleen Services
9.250% due 06/01/08 2,000,000 1,985,000
SFX Entertainment Inc
9.125% due 02/01/08 3,500,000 3,342,500
Sinclair Broadcast Group 'A'
8.750% due 12/15/07 1,000,000 927,500
9.000% due 07/15/07 3,000,000 2,827,500
Splitrock Services Inc
11.750% due 07/15/08 2,500,000 2,350,000
Stater Brothers Holdings Inc
10.750% due 08/15/06 1,500,000 1,526,250
Station Casinos Inc
10.125% due 03/15/06 1,000,000 1,025,000
Sun International Hotels
8.625% due 12/15/07 1,000,000 935,000
9.000% due 03/15/07 3,750,000 3,581,250
T/SF COMM Corp
10.375% due 11/01/07 1,000,000 965,000
TV Guide Inc
8.125% due 03/01/09 3,500,000 3,508,750
URS Corp
12.250% due 05/01/09 2,000,000 2,060,000
Young America Corp
11.625% due 02/15/06 2,000,000 1,550,000
------------
119,424,500
------------
Consumer Staples - 4.05%
Aurora Foods Inc
9.875% due 02/15/07 2,900,000 2,954,375
B&G Foods Inc
9.625% due 08/01/07 1,000,000 892,500
Carrols Corp
9.500% due 12/01/08 2,500,000 2,287,500
Chiquita Brands International Inc
9.125% due 03/01/04 500,000 362,500
10.250% due 11/01/06 1,500,000 1,087,500
Eagle Family Foods Inc
8.750% due 01/15/08 3,000,000 2,325,000
Imperial Holly Corp
9.750% due 12/15/07 3,000,000 2,205,000
Riverwood International Co
10.250% due 04/01/06 2,000,000 2,035,000
Riverwood International Corp
10.625% due 08/01/07 1,000,000 1,035,000
Sleepmaster LLC
11.000% due 05/15/09~ 2,500,000 2,556,250
------------
17,740,625
------------
Financial Services - 3.45%
Bank United Corp
8.875% due 05/01/07 2,000,000 1,957,500
Bear Island
10.000% due 12/01/07 3,000,000 2,947,500
SouthTrust Corp
5.000% due 12/15/03 850,000 733,125
Sovereign Bancorp Inc
10.250% due 05/15/04 1,000,000 1,015,000
10.500% due 11/15/06 2,500,000 2,562,500
United Rentals Inc
9.000% due 04/01/09 4,000,000 3,800,000
Willis Corroon Corp
9.000% due 02/01/09 2,500,000 2,093,750
------------
15,109,375
------------
Health Care - 2.05%
Dade International Inc
11.125% due 05/01/06 1,500,000 1,470,000
Genesis Health Ventures Inc
9.875% due 01/15/09 500,000 207,500
Tenet Healthcare Corp
8.125% due 12/01/08 4,000,000 3,740,000
8.625% due 01/15/07 3,000,000 2,910,000
ThermoTrex Corp
3.250% due 11/01/07 1,000,000 681,250
------------
9,008,750
------------
Integrated Oils - 1.61%
Clark R&M Inc
9.228% due 11/15/04 1,500,000 975,000
Georgia Gulf Corp
0.000% due 11/01/02~ 500,000 524,375
Giant Industries
9.750% due 11/15/03 2,000,000 1,945,000
Tesoro Petroleum Corp
9.000% due 07/01/08 3,750,000 3,600,000
------------
7,044,375
------------
Materials & Processing - 7.29%
AK Steel Holding Corp
7.875% due 02/15/09 2,000,000 1,900,000
Atrium Companies Inc
10.500% due 05/01/09 3,500,000 3,434,375
Ball Corp
8.250% due 08/01/08 2,000,000 1,930,000
Ispat Inland LP Senior Security Credit 'B'
7.577% due 07/14/05 2,468,750 2,456,406
Ispat Inland LP Senior Security Credit 'C'
8.077% due 07/14/06 2,468,750 2,456,406
Lyondell Chemical Co
9.625% due 05/01/07 2,000,000 2,055,000
See Notes to Financial Statements See explanation of symbols on D-69
D-64
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- -------
Nortek Inc
8.875% due 08/01/08 $3,375,000 $3,223,125
P&L Coal Holdings
8.875% due 05/15/08 3,000,000 2,977,500
9.625% due 05/15/08 2,000,000 1,965,000
Polymer Group Inc
9.000% due 07/01/07 3,000,000 2,925,000
Ryerson Tull Inc
9.125% due 07/15/06 1,000,000 1,005,000
Wesco Distributor
9.125% due 06/01/08 3,000,000 2,835,000
Wheeling Pittsburgh Corp
9.250% due 11/15/07 3,000,000 2,805,000
-----------
31,967,812
-----------
Other Energy - 5.98%
AES Corp
8.000% due 12/31/08 1,000,000 920,000
8.500% due 11/01/07 4,500,000 4,230,000
10.250% due 07/15/06 4,000,000 4,080,000
Calpine Corp
7.750% due 04/15/09 1,500,000 1,425,000
8.750% due 07/15/07 1,000,000 1,007,500
10.500% due 05/15/06 1,500,000 1,578,750
Comstock Resources Inc
11.250% due 05/01/07 2,000,000 2,055,000
Cross Timbers Oil Co
8.750% due 11/01/09 1,500,000 1,440,000
DI Industries
8.875% due 07/01/07 1,750,000 1,605,625
HS Resources Inc
9.250% due 11/15/06 2,500,000 2,487,500
9.875% due 12/01/03 2,350,000 2,355,875
R&B Falcon Corp
9.500% due 12/15/08 3,000,000 3,022,500
-----------
26,207,750
-----------
Producer Durables - 5.76%
BE Aerospace Inc
9.875% due 02/01/06 2,500,000 2,425,000
Blount Inc
13.000% due 08/01/09~ 2,500,000 2,650,000
Columbus McKinnon Corp
8.500% due 04/01/08 3,500,000 3,106,250
Graham Packaging Co
9.223% due 01/15/08 3,500,000 3,272,500
L-3 Communications Holdings Inc
8.000% due 08/01/08 1,500,000 1,383,750
8.500% due 05/15/08 3,500,000 3,298,750
Packaging Corp of America
9.625% due 04/01/09 1,000,000 1,026,250
Portala Packing Inc
10.750% due 10/01/05 2,000,000 2,010,000
United Defense Industries
8.750% due 11/15/07 4,000,000 3,840,000
Viasystems Inc
9.750% due 06/01/07 4,000,000 2,250,000
-----------
25,262,500
-----------
Technology - 3.58%
Exodus Communications Inc
10.750% due 12/15/09~ 1,000,000 1,022,500
Orion Network
11.250% due 01/15/07 1,250,000 943,750
PSINet Inc
10.000% due 02/15/05 4,000,000 3,975,000
10.500% due 12/01/06~ 500,000 506,250
11.000% due 08/01/09 1,500,000 1,552,500
11.500% due 11/01/08 1,000,000 1,050,000
Telewest Communications PLC
0.000% due 04/15/04~ 750,000 476,250
9.625% due 10/01/06 4,000,000 4,060,000
11.250% due 11/01/08 500,000 545,000
Verio Inc
10.625% due 11/15/09~ 1,500,000 1,545,000
-----------
15,676,250
-----------
Utilities - 13.94%
Adelphia Communications Corp
7.750% due 01/15/09 2,500,000 2,250,000
8.375% due 02/01/08 3,000,000 2,797,500
10.250% due 07/15/00 1,000,000 1,011,215
Advanstar Communications
9.250% due 05/01/08 3,500,000 3,311,875
BTI Telecom Corp
10.500% due 09/15/07 2,000,000 1,920,000
CapRock Communications Corp
11.500% due 05/01/09 3,000,000 3,078,750
Charter Communications Holdings
8.625% due 04/01/09 3,000,000 2,786,250
Hyperion Telecommunications Inc
12.000% due 11/01/07 1,000,000 1,070,000
ICG Holdings Inc
0.00% due 05/01/01 2,000,000 1,505,000
ICG Services Inc
0.00% due 02/15/03 2,000,000 1,065,000
McLeodUSAInc
0.000% due 03/01/02 3,000,000 2,475,000
8.125% due 02/15/09 2,000,000 1,875,000
9.250% due 07/15/07 2,000,000 2,007,500
MetroMedia Fiber Network Inc
10.000% due 12/15/09 1,500,000 1,545,000
Nextel Communications Inc
9.375% due 11/15/09 6,500,000 6,402,500
NEXTLINK Communications Inc
10.750% due 11/15/08 3,000,000 3,105,000
10.750% due 06/01/09 3,000,000 3,097,500
NEXTLINK Communications Inc Step up
0.000% due 12/01/09~ 1,750,000 1,028,125
Omnipoint Corp
11.500% due 09/15/09~ 500,000 540,000
RCN Corp
10.125% due 01/15/10 500,000 500,000
Rogers Corp
8.300% due 10/01/07 3,000,000 3,045,000
9.375% due 06/01/08 1,000,000 1,045,000
10.000% due 03/15/05 1,500,000 1,612,500
10.000% due 12/01/07 1,000,000 1,060,000
See Notes to Financial Statements See explanation of symbols on D-69
D-65
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- -------
Telecorp PCS Inc
0.00% due 04/15/09 $3,000,000 $1,905,000
Triton PCS Inc
0.00% due 05/01/08 3,000,000 2,137,500
VoiceStream Wireless Corp
0.000% due 11/15/04~ 2,000,000 1,210,000
10.375% due 11/15/09~ 3,500,000 3,622,500
Williams Communications Group Inc
10.875% due 10/01/09 2,000,000 2,100,000
------------
61,108,715
------------
Total Corporate Bonds & Notes
(Cost $364,488,425) 349,013,152
------------
CONVERTIBLE CORPORATE BONDS & NOTES - 1.32%
Consumer Staples - 0.23%
Chiquita Brands International Inc
7.000% due 03/28/01 1,360,000 992,800
------------
992,800
------------
Producer Durables - 0.64%
FMC Corp
6.750% due 01/16/05 500,000 433,125
Thermo Instruement Corp
4.000% due 01/15/05 3,000,000 2,373,750
------------
2,806,875
------------
Technology - 0.26%
Network Association
0.000% due 02/13/18 3,000,000 1,132,500
------------
1,132,500
------------
Utilities - 0.19%
Rogers Corp
2.000% due 11/26/05 1,000,000 861,250
------------
861,250
------------
Total Convertible Corporate Bonds & Notes
(Cost $5,681,292) 5,793,425
------------
U.S. TREASURY BONDS - 0.66%
5.625% due 02/15/06 3,000,000 2,871,564
------------
Total U.S. Treasury Bonds
(Cost $3,061,931) 2,871,564
------------
U.S. TREASURY NOTES - 0.68%
5.875% due 11/30/01 3,000,000 2,982,189
------------
Total U.S. Treasury Notes
(Cost $3,019,786) 2,982,189
------------
FOREIGN BONDS - 13.51%
Bermuda - 1.83%
Global Crossing Holdings Ltd
9.125% due 11/15/06 1,000,000 993,750
9.500% due 11/15/09~ 1,000,000 990,000
9.625% due 05/15/08 6,000,000 6,030,000
------------
8,013,750
------------
Brazil - 0.50%
Globo Communicaco
10.500% due 12/20/06 1,500,000 1,308,750
10.500% due 12/20/06~ 1,000,000 872,500
------------
2,181,250
------------
Canada - 1.64%
Call-Net Enterprises Inc
0.000% due 08/15/03 5,000,000 2,587,500
MDC Corp
10.500% due 12/01/06 1,500,000 1,488,750
Pacifica Papers Inc
10.000% due 03/15/09 1,000,000 1,031,250
Worldwide Fiber Inc
12.000% due 08/01/09~ 2,000,000 2,070,000
------------
7,177,500
------------
Germany - 0.33%
Fresensius Med Care Capital Trust
9.000% due 12/01/06 1,500 1,443,750
------------
1,443,750
------------
Mexico - 1.90%
Alestra Sa De Rl De Cv
12.125% due 05/15/06~ 2,000,000 2,015,000
Monterrey Power SA
9.625% due 11/15/09~ 2,500,000 2,281,250
Petro Mexicanos
8.850% due 09/15/07 1,000,000 960,000
9.375% due 12/02/08 2,000,000 2,055,000
United Mexican States
9.875% due 01/15/07 1,000,000 1,037,500
------------
8,348,750
------------
Netherlands - 3.54%
Hermes Euro Rail
10.375% due 01/15/09 3,500,000 3,473,750
Kappa Beheer BV
10.625% due 07/15/09~ 2,000,000 2,090,000
United Pan Europe Communications NV
10.875% due 11/01/07~ 2,000,000 2,040,000
10.875% due 08/01/09 4,000,000 4,070,000
Versatel Telecom International NV
11.875% due 07/15/09 3,750,000 3,825,000
------------
15,498,750
------------
See Notes to Financial Statements See explanation of symbols on D-69
D-66
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Principal Market
Amount Value
-------- -------
Philippines - 1.20%
Globe Telecom Inc
13.000% due 08/01/09~ $1,500,000 $1,627,500
Philippine Long Distance
9.250% due 06/30/06 3,000,000 2,854,857
Philippines Long Distance
8.350% due 03/06/17 1,000,000 799,735
------------
5,282,092
------------
Poland - 1.05%
Netia Holdings BV
10.250% due 11/01/07 2,500,000 2,106,250
13.125% due 06/15/09 1,000,000 1,032,500
PTC International FIN
11.250% due 12/01/09~ 1,500,000 1,477,500
------------
4,616,250
------------
Turkey - 0.24%
TURKCELL
12.750% due 08/01/05~ 1,000,000 1,038,750
------------
1,038,750
------------
United Kingdom - 1.28%
Dialog Corp Plc
11.000% due 11/15/07 3,000,000 1,500,000
Orange PLC
9.000% due 06/01/09 2,000,000 2,110,000
Regional Independent Media Group
10.500% due 07/01/08 1,500,000 1,528,125
Swiss Life Finance
2.000% due 05/20/03~ 500,000 492,500
------------
5,630,625
------------
Total Foreign Bonds
(Cost $62,351,275) 59,231,467
------------
Value
-------
SHORT-TERM INVESTMENTS - 3.30%
COMMERCIAL PAPER - 3.29%
CIT Group Holdings
5.850% due 01/05/00 1,770,000 1,768,850
Fluor Corp
5.960% due 01/25/00 510,000 507,974
Ford Motor Credit
5.460% due 01/20/00 3,700,000 3,689,338
General Mills Inc
5.870% due 01/05/00 2,525,000 2,523,353
Hertz Corp
6.680% due 01/10/00 1,325,000 1,322,787
Procter & Gamble Co
5.860% due 01/11/00 2,770,000 2,765,491
Wal-Mart Stores Inc
5.250% due 01/06/00 1,865,000 1,863,640
------------
Total Commercial Paper 14,441,433
------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
2.000% due 01/03/00
(Dated 12/31/99, repurchase price
of $42,007; collateralized by U.S.
Treasury Bonds--market value
$43,763 and due 02/15/15) 42,000 42,000
------------
Total Securities Held Under Repurchase
Agreement 42,000
------------
Total Short-Term Investments
(Cost $14,483,433) 14,483,433
------------
TOTAL HIGH YIELD BOND PORTFOLIO
(COST $456,330,885) $438,322,172
============
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $456,330,885
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $5,313,958
Aggregate gross unrealized depreciation for all investments in which there was
an excess of tax cost over value (23,322,671)
------------
Net unrealized depreciation ($18,008,713)
============
See Notes to Financial Statements See explanation of symbols on D-69
D-67
<PAGE>
PACIFIC SELECT FUND
LARGE-CAP VALUE PORTFOLIO
Schedule of Investments
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
-------- -------
COMMON STOCKS - 83.84%
Autos & Transportation - 0.70%
Union Pacific Corp 18,100 $ 789,612
United Parcel Services 5,700 393,300
-----------
1,182,912
-----------
Consumer Discretionary - 6.99%
Costco Cos Inc * 28,700 2,618,875
Dayton Hudson Corp 41,500 3,047,656
Delhaize America Inc 69,600 1,413,750
Federated Department Stores * 58,100 2,937,681
Viacom Inc 29,000 1,752,687
-----------
11,770,649
-----------
Consumer Staples - 10.87%
Coca-Cola Enterprises Inc 65,900 1,326,237
Nabisco Group Holdings Corp 'A' 242,100 2,572,312
Pepsi Bottling Group Inc 187,300 3,102,156
Philip Morris Companies Inc 83,100 1,926,881
Ralston Purina Group 105,900 2,951,962
RJ Reynolds Tobacco Holdings 49,600 874,200
Safeway Inc * 93,600 3,328,650
Tyson Foods Inc 'A' 135,900 2,208,375
-----------
18,290,773
-----------
Financial Services - 18.17%
American Express Co 16,200 2,693,250
American General Corp 24,200 1,836,175
Associates First Capital Corp 49,200 1,349,925
Bank of New York Co Inc 92,800 3,712,000
Chase Manhattan Corp 37,800 2,936,588
Comerica Inc 53,900 2,516,456
FHLMC 39,000 1,835,438
Fleet Boston Corp 71,500 2,489,094
Goldman Sachs Group Inc 26,400 2,486,550
Household International Inc 56,300 2,097,175
Morgan Stanley Dean Witter Co 33,500 4,782,125
UNUM Corp 57,800 1,853,213
-----------
30,587,989
-----------
Health Care - 7.89%
Abbott Laboratories Inc 46,400 1,684,900
American Home Products Corp 39,000 1,538,063
Becton Dickinson & Co 75,500 2,019,625
Lilly (Eli) & Co 42,200 2,806,300
Merck & Co Inc 37,000 2,481,313
Pharmacia & Upjohn Inc 61,000 2,745,000
-----------
13,275,201
-----------
Integrated Oils - 6.60%
Amerada Hess Corp 31,700 1,798,975
Atlantic Richfield Co 25,000 2,162,500
Coastal Corp 42,300 1,499,006
Conoco Inc * 99,500 2,462,625
Unocal Corp 49,600 1,664,700
USX-Marathon Group 61,200 1,510,875
-----------
11,098,681
-----------
Materials & Processing - 5.80%
Alcatel Alsthom SA 80,800 3,636,000
Alcoa Inc 33,700 2,797,100
International Paper Co 59,100 3,335,456
-----------
9,768,556
-----------
Other Energy - 2.25%
Burlington Resources Inc 74,400 2,459,850
Williams Cos Inc 43,600 1,332,525
-----------
3,792,375
-----------
Producer Durables - 3.03%
Honeywell International Inc 46,700 2,694,006
Ingersoll-Rand Co 43,600 2,400,725
-----------
5,094,731
-----------
Technology - 12.47%
3Com Corp * 48,000 2,256,000
Compuware Corp * 58,100 2,164,225
Corning Inc 22,000 2,836,625
General Motors 'H' * 10,200 979,200
Hewlett-Packard Co 31,700 3,611,819
IBM Corp 31,300 3,380,400
Intel Corp 28,200 2,321,213
Seagate Technology Inc * 73,900 3,440,969
-----------
20,990,451
-----------
Utilities - 9.07%
AT&T Corp - Liberty Media Group 'A' * 53,200 3,019,100
Bell Atlantic Corp 54,400 3,349,000
GTE Corp 45,400 3,203,538
MCI WorldCom Inc * 52,200 2,769,863
SBC Communications Inc 59,900 2,920,125
-----------
15,261,626
-----------
Total Common Stocks
(Cost $139,543,131) 141,113,944
-----------
FOREIGN COMMON STOCKS - 7.57%
Australia - 2.45%
News Corp Ltd 123,500 4,129,531
-----------
4,129,531
-----------
Canada - 1.65%
Canadian National Railway Co 59,100 1,555,069
Canadian Pacific Ltd 57,000 1,229,062
-----------
2,784,131
-----------
France - 1.91%
TOTAL Fina S.A 46,400 3,213,200
-----------
3,213,200
-----------
See Notes to Financial Statements See explanation of symbols on D-69
D-68
<PAGE>
PACIFIC SELECT FUND
LARGE-CAP VALUE PORTFOLIO
Schedule of Investments (Continued)
December 31, 1999
- --------------------------------------------------------------------------------
Market
Shares Value
------- -------
Netherlands - 1.56%
Royal Dutch Petroleum Guilder 43,300 $ 2,616,944
------------
2,616,944
------------
Total Foreign Common Stocks
(Cost $12,481,846) 12,743,806
------------
Principal
Amount
---------
CONVERTIBLE CORPORATE BONDS & NOTES - 0.91%
Consumer Discretionary - 0.91%
NTL Inc
5.750% due 12/15/09 $750,000 810,000
7.000% due 12/15/08 275,000 727,375
------------
1,537,375
------------
Total Convertible Corporate Bonds & Notes
(Cost $1,115,688) 1,537,375
------------
PUT OPTIONS - 0.05%
American Express Co
Strike @ 170.00 Exp. 01/00
16,200 Contracts 71,732
Texas Instruments Inc
Strike @ 57.50 Exp. 01/00
21,400 Contracts 15,105
------------
Total Put Options
(Cost $198,618) 86,837
------------
Value
-----
SHORT-TERM INVESTMENT - 7.63%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.63%
State Street Bank and Trust
3.000% due 01/03/00
(Dated 12/31/99, repurchase price
of $12,846,211; collateralized by U.S.
Treasury Bonds--market value
$13,102,906 and due 08/15/17) 12,843,000 12,843,000
------------
Total Securities Held Under Repurchase
Agreement 12,843,000
------------
Total Short-Term Investment
(Cost $12,843,000) 12,843,000
------------
TOTAL LARGE-CAP VALUE PORTFOLIO
(COST $166,182,283) $168,324,962
============
Notes to Schedule of Investments
- --------------------------------
(a) At December 31, 1999, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
Tax cost basis $166,182,283
============
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value over
tax cost $ 15,362,640
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax cost
over value (13,219,961)
------------
Net unrealized appreciation $ 2,142,679
- --------------------------- ============
- --------------------------------------------------------------------------------
Explanation of Symbols for Schedules of Investments
- ---------------------------------------------------
~ Securities purchased in a private placement transaction; resale to the
public may require registration.
# Forward buy contract.
+ Securities are valued under procedures established by the Board of
Trustees.
* Non-income producing securities.
** Securities have been fully/partially segregated with the custodian to cover
margin requirements for open futures contracts as of December 31, 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
D-69
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Pacific Select Fund (the "Fund") is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4,
1987. The Fund currently consists of eighteen separate portfolios (the
"Portfolios"): the Aggressive Equity Portfolio, the Emerging Markets
Portfolio, the Growth Portfolio, the Bond and Income Portfolio, the Equity
Portfolio, the Multi-Strategy Portfolio, the Equity Income Portfolio, the
Growth LT Portfolio, the Mid-Cap Value Portfolio, the Equity Index Portfolio,
the Small-Cap Index Portfolio, the REIT Portfolio, the International
Portfolio, the Government Securities Portfolio, the Managed Bond Portfolio,
the Money Market Portfolio, the High Yield Bond Portfolio, and the Large-Cap
Value Portfolio. The assets of each Portfolio are segregated and a
shareholder's interest is limited to the Portfolio in which shares are owned.
The investment objective of each Portfolio is summarized in the following
table:
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------
Aggressive Equity Capital appreciation.
- --------------------------------------------------------------------------------
Emerging Markets Long-term growth of capital.
- --------------------------------------------------------------------------------
Growth Growth of capital.
- --------------------------------------------------------------------------------
Bond and Income Total return and income consistent with prudent
investment management.
- --------------------------------------------------------------------------------
Equity Capital appreciation. Current income is of secondary
importance.
- --------------------------------------------------------------------------------
Multi-Strategy High total return.
- --------------------------------------------------------------------------------
Equity Income Long-term growth of capital and income.
- --------------------------------------------------------------------------------
Growth LT Long-term growth of capital consistent with the
preservation of capital.
- --------------------------------------------------------------------------------
Mid-Cap Value Capital appreciation.
- --------------------------------------------------------------------------------
Equity Index Investment results that correspond to the total return of
common stocks publicly traded in the United States.
- --------------------------------------------------------------------------------
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 primarily through
investment in equity securities of corporations domiciled
in countries other than the United States.
- --------------------------------------------------------------------------------
Government Securities Maximize total return consistent with prudent investment
management.
- --------------------------------------------------------------------------------
Managed Bond Maximize total return consistent with prudent investment
management.
- --------------------------------------------------------------------------------
Money Market Current income consistent with preservation of capital.
- --------------------------------------------------------------------------------
High Yield Bond High level of current income.
- --------------------------------------------------------------------------------
Large-Cap Value Long-term growth of capital. Current income is of
secondary importance.
- --------------------------------------------------------------------------------
</TABLE>
At December 31, 1999, shares of the Fund were offered only to Pacific Select
Separate Account, Pacific Select Exec Separate Account, Pacific COLI Separate
Account, Pacific COLI Separate Account II, Pacific COLI Separate Account III,
Pacific Select Variable Annuity Separate Account, Separate Account A and Pacific
Corinthian Variable Separate Account of Pacific Life Insurance Company ("Pacific
Life").
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 Mid-Cap Value
Portfolio, the Small-Cap Index Portfolio, the REIT Portfolio, and the Large-Cap
Value 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 7% and 14% of the Government Securities and Managed Bond
Portfolios' investments, respectively, at December 31, 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
E-1
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
Portfolio becomes aware of the dividends. Interest income is recorded on the
accrual basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
C. Foreign Currency Translation
Foreign securities which are not traded in U.S. currency are recorded in the
financial statements after translation to U.S. dollars based on the applicable
exchange rates at the end of the period. Related dividends, interest and
withholding taxes are accrued at the rates of exchange prevailing on the
respective dates of such transactions. Pursuant to U.S. Federal income tax
regulations, the Fund computes the effect of changes in foreign exchange rates
from the fluctuations arising from changes in market prices on the sale of
foreign currency denominated debt obligations. This foreign exchange component
of the net gains or losses realized on the sales and maturities of such debt
obligations is treated as ordinary income or loss for Federal income tax
purposes.
The Fund isolates that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are reported
as net realized and unrealized foreign exchange gain or loss.
Reported net realized foreign exchange gains and losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, the difference between the amounts
of dividends, interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the value
of assets and liabilities, including investments in securities at the
period-end, resulting from changes in the exchange rate. Reclassification has
been made relating to foreign exchange gains or losses from the net unrealized
appreciation or depreciation on investments and assets and liabilities in
foreign currencies to the accumulated undistributed net investment income or
loss in the accompanying Statements of Assets and Liabilities.
D. Federal 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: Aggressive Equity Portfolio--$6,070; Emerging Markets Portfolio--
$248,031; Growth Portfolio--$983; Bond and Income Portfolio--$1,290; Multi-
Strategy Portfolio--$26,144; Equity Income Portfolio--$97,560; Growth LT
Portfolio--$127,621; Equity Index Portfolio--$229,473; Small-Cap Index
Portfolio--$182; REIT Portfolio--$1,033; International Portfolio--$2,094,295;
Managed Bond Portfolio--$1,857; Large-Cap Value Portfolio--$23,965.
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 December 31,
1999, the unamortized balance of such expenses amounted to $5,856 each for the
Aggressive Equity Portfolio and the Emerging Markets Portfolio.
Expenses incurred in connection with the Fund's organization and
establishment of the Mid-Cap Value Portfolio, the Small-Cap Index Portfolio, the
REIT Portfolio, and the Large-Cap Value Portfolio in 1998 and the public
offering of the shares of those Portfolios, aggregated approximately $21,015 per
Portfolio. These costs were expensed and charged separately to each of the
Portfolios during each Portfolio's first period of operations.
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 their 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 a
E-2
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
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 Government Securities and Managed Bond Portfolios wrote options on
interest rate futures contracts during the year ended December 31, 1999. When
the Fund writes (sells) an option, an amount equal to the premium received is
recorded as an asset with an equal liability which is marked-to-market based on
the option's quoted daily settlement price. Any fluctuation in the value of such
an instrument is recorded as unrealized appreciation or depreciation until
terminated, at which time realized gains and losses are recognized. The purposes
of using options on futures contracts include hedging exposure to rising
interest rates while retaining capital gain potential from falling rates and
capitalizing on anticipated changes in market volatility. These investments
involve, to varying degrees, elements of market risk and risks in excess of the
amount recognized in the statements of assets and liabilities. Risks may include
an imperfect correlation between the changes in the market values of the
securities held by the Fund and the prices of futures options, an illiquid
secondary market for the instruments, or the inability of 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 Aggressive Equity Portfolio, an annual rate of .80% of
the average daily net assets of the Portfolio; for the Emerging Markets and REIT
Portfolios, an annual rate of 1.10% of average daily net assets of each of the
Portfolios; for the Growth, Equity, Multi-Strategy, and Equity Income
Portfolios, an annual rate of .65% of average daily net assets of each of the
Portfolios; for the Bond and Income, Government Securities, Managed Bond, and
High Yield Bond Portfolios, an annual rate of .60% of average daily net assets
of each of the Portfolios; for the Growth LT Portfolio, an annual rate of .75%
of the average daily net assets of the Portfolio; for the Mid-Cap Value,
International, and Large-Cap Value Portfolios, an annual rate of .85% of average
daily net assets of each of the Portfolios; 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, (effective January 1, 2000 the advisory fee changed to
.25% of the average daily net assets of the Portfolio); for the Small-Cap Index
Portfolio, an annual rate of .50% of the average daily net assets of the
Portfolio; and 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. 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
E-3
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
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 Emerging Markets Portfolio and the
International Portfolio, for which dividends are declared and paid at least
annually. All realized capital gains are distributed at least annually for all
Portfolios. Distributions to shareholders are recorded on the ex-dividend date.
All dividends are reinvested in additional shares of the related Portfolios
unless a shareholder elects to receive a dividend in cash.
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.
The Fund declared and paid sufficient dividends on net investment income and
capital gains distributions during 1999 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 2000 to avoid Federal income and capital
gains taxes, pursuant to the Code. Net capital loss carryovers and post-October
31 capital losses, if any, at December 31, 1999, are available to offset future
realized capital gains and thereby reduce future capital gains distributions.
Post-October 31 foreign currency losses, if any, will offset future net
investment income and thereby reduce future ordinary income distributions. The
approximate net capital loss carryovers and post-October capital losses and
foreign currency losses deferred at December 31, 1999 were as follows:
<TABLE>
<CAPTION>
Net Capital
Loss
Carryover Expiration
------------- -------------
<S> <C> <C>
Emerging Markets $16,377,514 2005-2007
Bond and Income 8,971,288 2007
Government Securities 12,720,503 2007
Managed Bond 39,104,787 2007
High Yield Bond 14,654,837 2006-2007
<CAPTION>
Post-October
Post-October Foreign
Capital Currency
Loss Deferral Loss Deferral
------------- -------------
<S> <C> <C>
Aggressive Equity $ 1,761,961
Emerging Markets $13,568
Bond and Income 944,082 48,047
Multi-Strategy 4,808,729
Equity Income 29,187,975
REIT 124,364
International 360,220
Government Securities 1,033,667
Managed Bond 944,167
High Yield Bond 1,867,364
</TABLE>
6. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $69,660,691 of investment advisory fees and $264,738 of
support services expenses to Pacific Life for the year ended December 31, 1999
(Note 3). At December 31, 1999, $7,869,987 and $56,775 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 year ended
December 31, 1999, the operating expenses for each of the Portfolios except for
the Small-Cap Index Portfolio were below the .25% expense cap and Pacific Life
had reimbursed the Small-Cap Index Portfolio totaling $96,949.
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
E-4
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
the Fund's custodian fees and expenses. During the year ended December 31,
1999, the Fund's custodian fees and expenses were reduced by $194,039 under
this arrangement.
Both the adviser reimbursements and custodian credits are combined and shown
under the caption "Expense Reductions" on the Statements of Operations.
8. SECURITIES LENDING
The Fund may loan securities to certain brokers, dealers and other financial
institutions who pay the Fund's negotiated lenders' fees. The Fund receives cash
collateral, letters of credit, or U.S. Government securities in an amount equal
to 102% of the market value of the loaned securities at the inception of each
loan. The loans will be collateralized at all times in an amount equal to at
least 100% of the market value of the securities loaned. Income generated from
securities lending is included in Other Income on the Statements of Operations.
At December 31, 1999, the market value of securities loaned by the Fund was
$825,922,339 for which the Fund received collateral of $850,402,652. For the
year ended December 31, 1999, total income generated from securities lending by
the Fund were as follows:
<TABLE>
<CAPTION>
Portfolios Income
----------------- ----------
<S> <C>
Aggressive Equity $34,564
Emerging Markets 14,679
Growth 74,326
Bond and Income 3,314
Equity 14,753
Multi-Strategy 10,801
Equity Income 15,299
Growth LT 481,683
Mid-Cap Value 6,280
Equity Index 24,394
Small-Cap Index 20,799
REIT 2,305
Government Securities 4,813
Managed Bond 5,319
Large-Cap Value 12,194
----------
Total $725,523
----------
</TABLE>
9. CREDIT FACILITY
In anticipation of excess redemptions on or around December 31, 1999, the
Fund established a temporary revolving line of credit of $75,000,000. The
variable interest rate on the line of credit was based upon the bank's Federal
funding rate plus 0.50%. A commitment fee charged to the Fund was not material
to the Fund. There were no borrowings on the line of credit for the year ended
December 31, 1999. The line of credit was terminated in January 2000.
10. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments and the
Money Market Portfolio since it trades exclusively in short-term debt
securities) for the year ended December 31, 1999 are summarized in the following
tables:
<TABLE>
<CAPTION>
U.S. Government Securities
Portfolios Purchases Sales
--------------------- ------------- -------------
<S> <C> <C>
Bond and Income $90,868,914 $103,033,210
Multi-Strategy 843,703,363 787,143,283
Equity Income 10,236,430
Government Securities 1,187,601,408 1,097,331,233
Managed Bond 3,336,110,041 3,475,874,004
High Yield Bond 10,231,250 10,978,281
<CAPTION>
Other Securities
Portfolios Purchases Sales
--------------------- ------------- -------------
<S> <C> <C>
Aggressive Equity $457,428,296 $301,285,287
Emerging Markets 93,960,783 66,416,382
Growth 149,238,005 139,117,387
Bond and Income 103,080,027 55,880,501
Equity 646,115,090 401,063,723
Multi-Strategy 530,954,591 451,218,155
Equity Income 1,275,039,907 1,012,729,420
Growth LT 2,933,089,599 2,236,026,149
Mid-Cap Value 142,903,119 44,029,275
Equity Index 652,428,741 77,530,648
Small-Cap Index 123,178,746 27,674,719
REIT 56,842,877 5,742,403
International 883,373,260 605,012,854
Government Securities 174,244,506 13,181,466
Managed Bond 823,865,898 158,875,624
High Yield Bond 275,594,008 199,426,964
Large-Cap Value 199,513,748 47,161,319
</TABLE>
E-5
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
11. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the years ended December 31, 1999 and 1998
were as follows:
<TABLE>
<CAPTION>
Aggressive Equity Portfolio Emerging Markets Portfolio Growth Portfolio
1999 1998 1999 1998 1999 1998
-------------------------- -------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 17,279,799 10,976,802 15,561,552 10,502,506 11,690,001 10,020,064
Shares sold 30,692,189 10,212,762 14,786,105 6,655,635 7,047,037 4,068,349
Distributions reinvested 2,131,938 5,359 69,889 174,623 1,509,779 1,071,873
Shares redeemed (18,052,842) (3,915,124) (9,701,391) (1,771,212) (5,975,329) (3,470,285)
-------------------------- -------------------------------- ----------------------------
Ending Balances 32,051,084 17,279,799 20,716,155 15,561,552 14,271,488 11,690,001
-------------------------- -------------------------------- ----------------------------
<CAPTION>
Bond and Income Portfolio Equity Portfolio Multi-Strategy Portfolio
1999 1998 1999 1998 1999 1998
-------------------------- -------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 13,875,071 8,674,393 17,171,798 13,315,239 33,278,592 22,687,601
Shares sold 6,833,974 6,487,680 13,352,058 5,574,261 12,093,687 10,504,376
Distributions reinvested 1,699,355 670,883 1,640,643 876,648 3,304,978 2,660,280
Shares redeemed (4,523,879) (1,957,885) (4,363,362) (2,594,350) (5,125,197) (2,573,665)
-------------------------- -------------------------------- ----------------------------
Ending Balances 17,884,521 13,875,071 27,801,137 17,171,798 43,552,060 33,278,592
-------------------------- -------------------------------- ----------------------------
<CAPTION>
Equity Income Portfolio Growth LT Portfolio Mid-Cap Value Portfolio *
1999 1998 1999 1998 1999 1998
-------------------------- -------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 46,933,977 32,938,927 48,842,241 39,129,648 -- --
Shares sold 20,377,767 13,266,463 33,304,753 13,850,638 12,093,830 --
Distributions reinvested 5,013,402 4,741,512 4,956,150 1,902,343 21,753 --
Shares redeemed (6,984,599) (4,012,925) (10,414,701) (6,040,388) (1,882,297) --
-------------------------- -------------------------------- ----------------------------
Ending Balances 65,340,547 46,933,977 76,688,443 48,842,241 10,233,286 --
-------------------------- -------------------------------- ----------------------------
<CAPTION>
Equity Index Portfolio Small-Cap Index Portfolio * REIT Portfolio *
1999 1998 1999 1998 1999 1998
-------------------------- -------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 46,287,946 33,994,421 -- -- -- --
Shares sold 22,381,370 16,549,343 11,493,981 -- 5,890,570 --
Distributions reinvested 864,106 829,868 152,986 -- 187,629 --
Shares redeemed (6,429,938) (5,085,686) (1,849,294) -- (853,728) --
-------------------------- -------------------------------- ----------------------------
Ending Balances 63,103,484 46,287,946 9,797,673 -- 5,224,471 --
-------------------------- -------------------------------- ----------------------------
<CAPTION>
International Portfolio Government Securities Portfolio Managed Bond Portfolio
1999 1998 1999 1998 1999 1998
-------------------------- -------------------------------- ----------------------------
<S> <C> <C> <C> <C> <C> <C>
Beginning Balances 63,043,233 47,142,608 17,345,804 12,051,232 67,320,096 42,072,937
Shares sold 209,009,130 75,839,873 26,362,638 9,301,422 41,200,933 25,342,250
Distributions reinvested 3,588,759 4,302,553 1,984,037 957,236 7,178,650 3,471,301
Shares redeemed (184,612,660) (64,241,801) (3,303,265) (4,964,086) (10,053,433) (3,566,392)
-------------------------- -------------------------------- ----------------------------
Ending Balances 91,028,462 63,043,233 42,389,214 17,345,804 105,646,246 67,320,096
-------------------------- -------------------------------- ----------------------------
<CAPTION>
Money Market Portfolio High Yield Bond Portfolio Large-Cap Value 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 -- --
Shares sold 474,649,690 161,374,210 21,750,241 15,780,671 17,958,311 --
Distributions reinvested 3,539,561 2,477,219 4,074,562 3,355,168 69,081 --
Shares redeemed (420,972,104) (161,102,188) (16,608,654) (8,621,585) (2,741,942) --
-------------------------- -------------------------------- ----------------------------
Ending Balances 104,868,817 47,651,670 50,920,270 41,704,121 15,285,450 --
-------------------------- -------------------------------- ----------------------------
</TABLE>
* Portfolio commenced operations on January 4, 1999.
--------------
E-6
<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 September 9, 1999, representing 711,085,944.76
shares of the Pacific Select Fund and its Portfolios, were notified that a
Special Meeting of Shareholders (the "Meeting") would be held at the offices
of the Fund on October 28, 1999. 100% of the outstanding shares were voted. A
brief description of the matters voted upon as well as the voting results of
the aforementioned Meeting are outlined on the following pages:
<TABLE>
<CAPTION>
Total Outstanding
Votes For Votes Against Abstentions Shares
--------- ------------- ----------- -----------------
Number Percent * Number Percent * Number Percent * Number
------ --------- ------ --------- ------ --------- ------
Proposal #1
- -----------
To elect Lucie Moore as Trustee to the Fund's Board of Trustees.
<S> <C> <C> <C> <C> <C> <C> <C>
Pacific Select Fund..... 672,116,703.51 94.52% 38,969,241.25 5.48% 0.00 0.00% 711,085,944.76
Proposal #2
- -----------
To amend the Fund's Amended and Restated Agreement and Declaration of Trust to permit the Fund to issue shares in
different classes to investors in different situations and to revise the Trust Agreement.
Pacific Select Fund..... 667,832,169.68 93.92% 20,997,014.69 2.95% 22,256,760.39 3.13% 711,085,944.76
Proposal #3
- -----------
To adopt a proposed Brokerage Enhancement Plan under which the Fund would be authorized to direct Pacific Life and
each of the Fund's portfolio managers to allocate brokerage transactions to broker-dealers in a manner that helps
promote the distribution of the Fund's shares.
Aggressive Equity....... 25,006,124.95 94.90% 374,169.63 1.42% 969,679.03 3.68% 26,349,973.61
Emerging Markets........ 17,195,851.40 93.14% 424,634.51 2.30% 841,884.07 4.56% 18,462,369.98
Growth.................. 11,890,348.82 95.52% 292,505.18 2.35% 264,860.43 2.13% 12,447,714.43
Bond and Income......... 16,351,320.65 95.22% 333,139.70 1.94% 487,689.04 2.84% 17,172,149.39
Equity.................. 23,210,665.30 94.68% 534,423.85 2.18% 769,766.47 3.14% 24,514,855.62
Multi-Strategy.......... 39,098,634.71 94.97% 831,623.06 2.02% 1,239,200.70 3.01% 41,169,458.47
Equity Income........... 57,461,686.22 94.91% 1,126,106.17 1.86% 1,955,549.96 3.23% 60,543,342.35
Growth LT............... 61,714,608.32 89.90% 4,805,364.38 7.00% 2,128,089.94 3.10% 68,648,062.64
Mid-Cap Value........... 7,345,835.82 97.85% 61,559.38 0.82% 99,846.31 1.33% 7,507,241.51
Equity Index............ 52,774,140.59 90.15% 4,355,403.28 7.44% 1,410,822.84 2.41% 58,540,366.71
Small-Cap Index......... 7,078,418.06 95.64% 85,852.83 1.16% 236,835.40 3.20% 7,401,106.29
REIT.................... 4,043,314.12 98.20% 12,764.03 0.31% 61,349.67 1.49% 4,117,427.82
International........... 79,744,840.32 94.43% 1,883,204.43 2.23% 2,820,584.20 3.34% 84,448,628.95
Government Securities... 35,615,097.57 94.30% 993,294.87 2.63% 1,159,473.48 3.07% 37,767,865.92
Managed Bond............ 93,202,020.48 94.62% 1,871,526.52 1.90% 3,427,848.56 3.48% 98,501,395.56
Money Market............ 78,565,245.51 94.38% 1,872,979.47 2.25% 2,805,307.03 3.37% 83,243,532.01
High Yield Bond......... 45,408,175.34 94.85% 856,938.68 1.79% 1,608,555.29 3.36% 47,873,669.31
Large-Cap Value......... 11,856,959.24 95.80% 142,333.02 1.15% 377,491.92 3.05% 12,376,784.18
Proposal #4
- -----------
To approve a proposal to permit the Fund and Pacific Life, in its capacity as the Fund's advisor, to enter into and
materially amend agreements with portfolio managers (sub-advisers) without obtaining the approval of shareholders.
Aggressive Equity....... 24,823,783.13 94.21% 563,098.94 2.14% 963,091.54 3.65% 26,349,973.61
Emerging Markets........ 17,077,692.23 92.50% 612,950.68 3.32% 771,727.07 4.18% 18,462,369.98
Growth.................. 11,813,168.34 94.90% 343,158.06 2.76% 291,388.03 2.34% 12,447,714.43
Bond and Income......... 16,232,832.82 94.53% 475,668.54 2.77% 463,648.03 2.70% 17,172,149.39
Equity.................. 22,985,128.63 93.76% 774,669.44 3.16% 755,057.55 3.08% 24,514,855.62
Multi-Strategy.......... 38,711,641.80 94.03% 1,230,966.81 2.99% 1,226,849.86 2.98% 41,169,458.47
Equity Income........... 56,771,492.12 93.77% 1,810,245.94 3.00% 1,961,604.29 3.23% 60,543,342.35
Growth LT............... 61,151,594.20 89.08% 5,347,684.08 7.79% 2,148,684.36 3.13% 68,647,962.64
Equity Index............ 52,136,050.59 89.06% 4,981,785.21 8.51% 1,422,530.91 2.43% 58,540,366.71
International........... 79,322,597.18 93.93% 2,373,006.47 2.81% 2,753,025.30 3.26% 84,448,628.95
Government Securities... 35,460,249.32 93.89% 1,136,812.76 3.01% 1,170,803.84 3.10% 37,767,865.92
Managed Bond............ 92,453,409.87 93.86% 2,610,286.98 2.65% 3,437,698.71 3.49% 98,501,395.56
Money Market............ 77,666,215.37 93.30% 2,663,793.02 3.20% 2,913,523.62 3.50% 83,243,532.01
High Yield Bond......... 45,111,358.59 94.23% 1,211,203.83 2.53% 1,551,106.89 3.24% 47,873,669.31
</TABLE>
* Based on total shares outstanding
F-1
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
Total Outstanding
Votes For Votes Against Abstentions Shares
--------- ------------- ----------- -----------------
Number Percent * Number Percent * Number Percent * Number
------ --------- ------ --------- ------ --------- ------
Proposal #5
- -----------
To approve a new portfolio management agreement with Bankers Trust Company to be effective through December 31, 1999.
<S> <C> <C> <C> <C> <C> <C> <C>
Equity Index............ 52,961,469.77 90.47% 4,162,220.07 7.11% 1,416,676.87 2.42% 58,540,366.71
Proposal #6
- -----------
To approve a new portfolio management agreement with Mercury Asset Management US (Mercury), under which Mercury would
become portfolio manager of the Equity Index Portfolio and Small-Cap Index Portfolio on January 1, 2000.
Equity Index............ 52,815,118.85 90.22% 4,250,030.62 7.26% 1,475,217.24 2.52% 58,540,366.71
Small-Cap Value......... 7,098,401.04 95.91% 80,672.06 1.09% 222,033.19 3.00% 7,401,106.29
Proposal #7
- -----------
To approve an amendment to the advisory agreement with Pacific Life to increase the advisory fee paid to Pacific Life
by the Equity Index Portfolio to a flat fee of 0.25% eliminating current breakpoints.
Equity Index............ 51,995,553.71 88.82% 5,192,530.53 8.87% 1,352,282.47 2.31% 58,540,366.71
Proposal #8
- -----------
To approve a portfolio management agreement with Alliance Capital Management L.P. (Alliance Capital) so that Alliance
Capital would become portfolio manager of the Emerging Markets Portfolio on January 1, 2000.
Emerging Markets........ 17,251,238.51 93.44% 443,096.88 2.39% 768,034.59 4.17% 18,462,369.98
Proposal #9a
- ------------
To permit a Portfolio to lend its portfolio securities to the extent permitted under applicable law.
Aggressive Equity....... 24,927,602.03 94.60% 459,543.54 1.74% 962,828.04 3.66% 26,349,973.61
Emerging Markets........ 17,127,540.63 92.77% 540,947.44 2.93% 793,881.91 4.30% 18,462,369.98
Growth.................. 11,812,298.08 94.90% 302,252.61 2.42% 333,163.74 2.68% 12,447,714.43
Bond and Income......... 16,490,415.06 96.03% 221,520.73 1.29% 460,213.60 2.68% 17,172,149.39
Equity.................. 23,129,766.28 94.35% 588,356.53 2.40% 796,732.81 3.25% 24,514,855.62
Multi-Strategy.......... 38,913,372.15 94.52% 885,143.35 2.15% 1,370,942.97 3.33% 41,169,458.47
Equity Income........... 57,104,480.50 94.32% 1,380,388.21 2.28% 2,058,473.64 3.40% 60,543,342.35
Growth LT............... 61,460,610.48 89.53% 4,983,849.35 7.26% 2,203,602.81 3.21% 68,648,062.64
Mid-Cap Value........... 7,369,858.99 98.17% 43,542.00 0.58% 93,840.52 1.25% 7,507,241.51
Equity Index............ 52,440,460.50 89.58% 4,548,586.49 7.77% 1,551,319.72 2.65% 58,540,366.71
Small-Cap Index......... 7,091,740.04 95.82% 77,711.62 1.05% 231,654.63 3.13% 7,401,106.29
REIT.................... 4,044,549.35 98.23% 14,822.74 0.36% 58,055.73 1.41% 4,117,427.82
International........... 79,609,722.51 94.27% 2,128,105.45 2.52% 2,710,800.99 3.21% 84,448,628.95
Government Securities... 35,630,204.71 94.34% 989,518.09 2.62% 1,148,143.12 3.04% 37,767,865.92
Managed Bond............ 92,975,467.27 94.39% 2,206,431.26 2.24% 3,319,497.03 3.37% 98,501,395.56
Money Market............ 78,174,000.91 93.91% 2,164,331.83 2.60% 2,905,199.27 3.49% 83,243,532.01
High Yield Bond......... 45,365,089.04 94.76% 938,323.92 1.96% 1,570,256.35 3.28% 47,873,669.31
Large-Cap Value......... 11,850,770.85 95.75% 139,857.66 1.13% 386,155.67 3.12% 12,376,784.18
Proposal #9b
- ------------
To reclassify as "non-fundamental" the existing investment restriction that limits purchasing or selling certain
commodities or commodity contracts by certain Portfolios.
Growth.................. 11,799,577.09 94.79% 320,179.74 2.57% 327,957.60 2.64% 12,447,714.43
Multi-Strategy.......... 38,839,267.12 94.34% 860,441.68 2.09% 1,469,749.67 3.57% 41,169,458.47
Equity Income........... 57,154,731.48 94.41% 1,285,335.16 2.12% 2,103,275.71 3.47% 60,543,342.35
Growth LT............... 61,268,395.91 89.25% 5,128,010.28 7.47% 2,251,656.45 3.28% 68,648,062.64
Equity Index............ 52,422,312.98 89.55% 4,563,806.99 7.80% 1,554,246.74 2.65% 58,540,366.71
International........... 79,592,832.78 94.25% 2,153,440.04 2.55% 2,702,356.13 3.20% 84,448,628.95
Government Securities... 35,618,874.35 94.31% 997,071.66 2.64% 1,151,919.91 3.05% 37,767,865.92
Managed Bond............ 93,133,069.50 94.55% 2,167,030.70 2.20% 3,201,295.36 3.25% 98,501,395.56
Money Market............ 77,899,297.26 93.58% 2,247,575.36 2.70% 3,096,659.39 3.72% 83,243,532.01
High Yield Bond......... 45,326,790.10 94.68% 919,174.45 1.92% 1,627,704.76 3.40% 47,873,669.31
</TABLE>
* Based on total shares outstanding
F-2
<PAGE>
SPECIAL MEETING OF SHAREHOLDERS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
Total Outstanding
Votes For Votes Against Abstentions Shares
--------- ------------- ----------- -----------------
Number Percent * Number Percent * Number Percent * Number
------ --------- ------ --------- ------ --------- ------
Proposal #9c
- ------------
To reclassify as "non-fundamental" the existing investment restriction that prohibits purchasing securities on
margin under most circumstances by a Portfolio.
<S> <C> <C> <C> <C> <C> <C> <C>
Growth.................. 11,798,376.22 94.78% 321,380.62 2.58% 327,957.59 2.64% 12,447,714.43
Multi-Strategy.......... 38,835,150.18 94.33% 889,260.30 2.16% 1,445,047.99 3.51% 41,169,458.47
Equity Income........... 57,074,208.83 94.27% 1,362,225.21 2.25% 2,106,908.31 3.48% 60,543,342.35
Equity Index............ 52,387,774.17 89.49% 4,572,002.64 7.81% 1,580,589.90 2.70% 58,540,366.71
International........... 79,499,939.29 94.14% 2,220,998.94 2.63% 2,727,690.72 3.23% 84,448,628.95
Government Securities... 35,611,320.77 94.29% 1,034,839.53 2.74% 1,121,705.62 2.97% 37,767,865.92
Managed Bond............ 93,103,519.08 94.52% 2,186,730.98 2.22% 3,211,145.50 3.26% 98,501,395.56
Money Market............ 77,949,243.38 93.64% 2,455,684.19 2.95% 2,838,604.44 3.41% 83,243,532.01
High Yield Bond......... 45,274,129.07 94.57% 938,323.92 1.96% 1,661,216.32 3.47% 47,873,669.31
Proposal #9d
- ------------
To reclassify as "non-fundamental" the existing investment restriction that prohibits a Portfolio from
maintaining a short position, or purchasing, writing, or selling puts, calls, straddles, spreads, or combinations
thereof, except as set forth in the Fund's prospectus and statement of additional information for transactions in
options, futures, and options on futures.
Growth.................. 11,821,284.70 94.96% 298,472.13 2.40% 327,957.60 2.64% 12,447,714.43
Multi-Strategy.......... 38,814,565.45 94.28% 901,611.14 2.19% 1,453,281.88 3.53% 41,169,458.47
Equity Income........... 57,043,937.16 94.22% 1,386,442.54 2.29% 2,112,962.65 3.49% 60,543,342.35
Equity Index............ 52,428,752.43 89.56% 4,554,440.53 7.78% 1,557,173.75 2.66% 58,540,366.71
International........... 79,499,939.30 94.14% 2,229,443.80 2.64% 2,719,245.85 3.22% 84,448,628.95
Government Securities... 35,633,981.50 94.35% 1,008,402.02 2.67% 1,125,482.40 2.98% 37,767,865.92
Managed Bond............ 93,064,118.53 94.48% 2,196,581.12 2.23% 3,240,695.91 3.29% 98,501,395.56
Money Market............ 77,865,999.84 93.54% 2,464,008.55 2.96% 2,913,523.62 3.50% 83,243,532.01
High Yield Bond......... 45,269,341.70 94.56% 952,686.02 1.98% 1,651,641.59 3.46% 47,873,669.31
</TABLE>
* Based on total shares outstanding
F-3
<PAGE>
Annual Report
as of December 31, 1999
. Pacific Select Fund
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. 15-20951-02
1331-0A
