<PAGE>
June 30, 2000
Semi-Annual
Report
PACIFIC SELECT FUND
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TABLE OF CONTENTS
<TABLE>
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PACIFIC SELECT FUND
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Chairman's Letter...................................................... A-1
Performance Discussion................................................. A-2
Financial Statements:
Statements of Assets and Liabilities................................. B-1
Statements of Operations............................................. B-4
Statements of Changes in Net Assets.................................. B-7
Financial Highlights................................................... C-1
Schedules of Investments .............................................. 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) Semi-
Annual Report dated June 30, 2000. The Fund is the underlying investment
vehicle for variable life insurance policies and variable annuity contracts
offered by Pacific Life Insurance Company (Pacific Life) and its subsidiaries.
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 nineteen of the Portfolios of the
Fund, as listed below:
<TABLE>
<CAPTION>
Portfolio Manager Portfolio
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<C> <S>
Alliance Capital Management L.P. (Alliance Capital) Aggressive Equity
Emerging Markets
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Capital Guardian Trust Company (Capital Guardian) Diversified Research
Small-Cap Equity (formerly Growth)
International Large-Cap
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Goldman Sachs Asset Management (Goldman Sachs) Bond and Income
Equity
I-Net Tollkeeper
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J.P. Morgan Investment Management Inc. (JPMIM) Multi-Strategy
Equity Income
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Janus Capital Corporation (Janus) Growth LT
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Lazard Asset Management (Lazard) Mid-Cap Value
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Mercury Asset Management (Mercury) Equity Index
Small-Cap Index
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Morgan Stanley Asset Management (Morgan Stanley) REIT
International Value (formerly International)
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Pacific Investment Management Company (PIMCO) Government Securities
Managed Bond
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Pacific Life Money Market
High Yield Bond
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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, 2000 to June 30, 2000, and the anticipated outlook for the last six
months of 2000.
We look forward to continued growth in assets in 2000 and beyond.
Sincerely,
/s/ THOMAS C. SUTTON
Thomas C. Sutton
Chairman of the Board
Pacific Select Fund
A-1
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION
Aggressive Equity Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Aggressive Equity Portfolio
returned -8.71%**, compared to a 5.69%* return for the Russell 2500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The first six months of 2000 have been very volatile with technology
related issues with very high price to earnings ratios (P/E) performing
extremely well through the first week of March. However, March through May
produced sharp declines in these high flyers. Likewise, many lower P/E value
issues performed horribly in the first part of the six months period, and
rebounded sharply in the later part. This extreme volatility had a negative
impact on the Portfolio. Additionally, the Federal Reserve continued to raise
rates three more times during the first six months, putting more pressure on
equity markets, and further increasing volatility.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: Poor performance in telecommunications holdings was a key reason for the
Portfolio's underperformance relative to the Russell 2500 Index. Names such as
Telephone & Data Systems Inc., US Cellular Corp. and Millicom International
Cellular SA, all excellent performers in 1999, were down sharply in the first
half of the year, however, the fundamental outlook for each of these holdings
remains strong. A second area affecting performance negatively was the cruise
ship industry where a large holding in Royal Caribbean Cruises Ltd. declined
sharply due to lower pricing trends in the industry. Demand for cruises,
however, remains strong and Royal Caribbean Cruises Ltd. should recover as
supply and demand in the industry come into balance later in the year. On the
positive side the Portfolio's airline holdings, particularly Continental
Airlines Inc and Northwest Airlines Corp., performed very well as demand for
air travel was especially strong in the second quarter.
Q: What is your outlook for the second half of 2000?
A: It appears that increases by the Federal Reserve are very nearly finished
with perhaps one more increase later in the year. With the Federal Reserve in
a more neutral mode, markets should be stronger and more broad based, a
situation that should help Alliance Capital's investment style of using more
small- and mid-cap names. Inflation remains low and interest rates should
therefore be flat to down slightly for the rest of the year. Lastly, it may
be that the technology mania that propelled a number of mid-cap names to
extraordinarily high valuations has slowed. If so, this also argues for a
broader more rational market where our approach of aggressive growth, but at a
reasonable price, should show substantial success.
Emerging Markets Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Emerging Markets Portfolio
returned -8.25%**, compared to a -8.97%* return for the Morgan Stanley Capital
International (MSCI) Emerging Markets Free (EMF) Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The year 2000 through June 30 has witnessed two relatively independent
periods. The first quarter saw a continuation of the strong performance in the
telecommunication and technology sectors that was such a dominant force in the
latter half of 1999. However, concerns over rising interest rates in the U.S.,
and the NASDAQ market correction, induced investors to sell out of the
emerging markets and especially telecommunication and technology stocks. As a
result, emerging markets, especially the Asian regions, performed poorly in
the second quarter and particularly the telecommunications and technology
sectors. Alliance Capital entered the year with a strong bias toward
telecommunications and technology stocks and a bias towards Asia, as that is
where we find the greatest number of quality, growth-oriented companies. The
Portfolio outperformed its benchmark index significantly in the first quarter
and underperformed modestly in the second.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: As usual, the Portfolio's holdings included a mix of winners and losers
during the period. Interestingly, there were both significant winners and
losers in the telecommunications and technology sectors. 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 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)
biggest winners during the period were some of the technology stocks in Asia
and the Eastern Europe, Middle East and Africa (EMEA) region, and
telecommunication stocks in Latin America; while the biggest losers were also
some of the Portfolio's telecommunications stocks in Asia and the EMEA region.
On the plus side, in the technology area were Samsung Electronics Co.--the
Korean producer of computer memory, mobile telecommunication equipment and
consumer electronics, Winbond Electronic Corp.--the Taiwanese semiconductor
manufacturer, and the Israeli software company, Check Point Software
Technology Ltd. In the telecommunications sector the Portfolio's Brazilian
cellular holdings and the Mexican telecom operator, Telefonos de Mexico, S.A.
de C.V., contributed to the Portfolio's outperformance versus its benchmark
index as did the Zimbabwean cellular company, Econet Wireless Holding, and the
dominant Korean and Chinese cellular operators, SK Telecom Co. and China
Telecommunication.
On the negative side, one of the biggest detractors from the Portfolio's
performance was the dominant integrated telecommunication company in Korea,
Korea Telecom Corp. Also negatively impacting the Portfolio's performance was
the Egyptian cellular provider, Mobinil-Egyptian Mobile. The rising interest
rate environment hurt many of the Portfolio's holdings in the financial sector
with the Turkish bank, Turkiye Garanti Bankasi, being one of the worst
performers.
Q: What is your outlook for the second half of 2000?
A: Morgan Stanley Capital International Inc. raised the allocation to Asia in
the MSCI EMF Index to over 50% from about 40% on June 1st, as Malaysia was
added to the index at a 6% weight, and Taiwan and China had their weights
increased. Although we did raise the Portfolio's Asian exposure somewhat, we
moved cautiously as we felt the markets had already built these adjustments
into prices, and we had difficulty finding stocks we wanted to own in
Malaysia. The Portfolio ended the month of June underweighted in Asia versus
its benchmark index and significantly underweighted in Malaysia. We continue
to focus on the telecommunications and technology sectors in Asia as we still
see strong top line growth and accelerating earnings and cash flows coming out
of the stocks the Portfolio owns there. The Portfolio is currently
overweighted versus the MSCI EMF Index in Latin America and telecommunications
companies continue as the dominant exposure. However, we also continue to find
attractive opportunities among the retailers, banks and selective basic
industry plays. We are comfortable with Latin America as we see continuing
good news flow coming out of Brazil and Mexico and valuations are very
attractive. Although Alliance Capital is neutral overall on the EMEA region,
we still find solid growth opportunities among the telecommunications sector
and attractively valued financials and consumer stocks throughout the region.
It would appear that the worries over U.S. interest rates are over, but now
there is the possibility of a slowdown in growth. It appears as though the
U.S. economy is slowing, but it is difficult to discern if the U.S. is going
to experience a hard or soft landing. While not sure how hard the landing will
be, we do think that there is enough activity in the rest of the world to
accommodate some slowing in the U.S. economy without causing a significant
global slowdown. We in fact want to see enough slowing in the U.S. to keep
interest rate and inflation pressures at bay. Overall, we think that current
trends in the global economy are good for emerging markets broadly, and
particularly good for the Portfolio's holdings.
Diversified Research Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Diversified Research Portfolio
returned 11.23%**, compared to a -0.42%* return for the Standard and Poor's
500 Composite Stock Price Index (S&P 500 Index).
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The U.S. equity markets saw some shaky ground during the first six months
of the year as the slide that began mid-March continued through April.
Technology, media, and telecommunications-related shares, many of which had
hit new highs in early March, led the plunge dragging the indices down with
them. Companies large and small were affected, including market leaders Cisco
Systems Inc., AT&T Corp., Microsoft Corp., Motorola Inc., and America Online.
Concern over valuations appeared foremost in the minds of investors against a
backdrop of strong economic news that prompted the Federal Reserve to adopt an
increasingly hawkish monetary policy. The Department of Justice also did its
part to dampen the equity markets, ruling that Microsoft Corp. should be split
into two, and blocking the WorldCom Inc./Sprint Corp. merger.
---------------
* 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)
Many companies reported strong first quarter earnings in the second quarter
which helped stabilize the market. However, companies that missed earnings or
gave warnings, such as Motorola Inc. and Procter and Gamble Co. were punished.
Hit especially hard during the second quarter were Internet-related companies,
many of which suffered as investors reexamined them for profitability.
Internet retailers (e-tailers) bore the brunt of the Internet sell-off, and
some were forced to close their doors. On the positive side, energy and
healthcare companies fared well and established themselves as market leaders.
Late May marked a turning point. While investors continued to leave
interest-rate sensitive stocks in sectors such as materials and retailing,
they began to selectively return to high-quality technology names. By June,
employment, consumer spending, purchasing, and Consumer Price Index (CPI) data
confirmed some slowing, which gave the markets an additional lift. When the
dust settled, the S&P 500 Index had ended the quarter down only 2.66%* to
bring its year-to-date return to -0.42%*. From its high on March 10 to its
year-to-date low on May 23, the technology-heavy NASDAQ Composite Index
declined nearly 37.30%, but a 16.62%* return in June brought its quarterly
loss to -13.27%*. June also saw significant outperformance of growth stocks
over value-oriented issues.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: Sectors in the Portfolio that have performed well so far this year include
health and personal care and semiconductor equipment. With a very large
overweighting versus its benchmark index in health and personal care, the
Portfolio benefited from outperformance versus the S&P 500 Index of almost all
of its holdings in this sector. Forest Laboratories, Inc., Pfizer Inc. and
Medtronic Inc. led the way. Capital Guardian feels that, over the next several
years, Pfizer Inc. has the best product pipeline of any drug company in the
business and we also like Forest Laboratories, Inc. because we believe the
company has terrific new product momentum. The medical technology and
equipment area, with companies like Medtronic Inc. and Guidant Corp., is
extremely attractive because of the demographic developments taking place and
the need for an aging population to have products which provide assistance to
the cardiopulmonary system. The Portfolio also benefited from positions in
semiconductor and semiconductor equipment stocks such as Applied Materials
Inc., PMC-Sierra Inc., Applied Micro Circuits Corp., and Advanced Micro
Devices Inc. All of these firms are strong niche providers of technologies
that are benefiting from the desire to make chips smaller, denser, faster and
cheaper.
One of the largest contributors to performance during the first half of the
year (and particularly in the second quarter) was Burr-Brown Corporation, a
designer and manufacturer of high-performance analog and mixed-signal
integrated circuits. Historically used in industrial applications, the
company's products are critical for communications and digital consumer
products such as set-top boxes, DVD players, digital cameras, and wireless
phone handsets. They are also used in personal computers, medical devices, and
communications equipment produced by firms such as GE, Alcatel, Cisco Systems
Inc., Lucent Technologies Inc., and Sony. Sales in Burr-Brown's communications
and digital consumer products businesses account for nearly 60% of their
revenue. In June, Texas Instruments agreed to buy Burr-Brown for $7.6 billion,
issuing 1.3 shares of its stock for each share of Burr-Brown.
One sector that has underperformed so far this year is broadcasting, cable
and entertainment. The Portfolio had some weak results in this area, which was
very disappointing as we are very positive about this sector. We like the
ability of this sector to sell more content into the home, and generate strong
growing cash flow streams, and think there are excellent opportunities for
industry consolidation. AT&T Corp., Liberty Media Group, Cablevision Systems
Corp., Charter Communications Inc. and MediaOne Group Inc. are all stocks
where we have a high degree of conviction, but which underperformed in the
first half of 2000.
Another holding which underperformed was Kellogg Company. Kellogg has
nearly one-third of America's ready-to-eat cereal business and also
manufactures and markets other foods such as snack bars and pastries. We have
been adding Kellogg to the Portfolio based on its price weakness, which we
feel is unjustified. Wall Street is suspicious that Kellogg's above-consensus
earnings reports for recent quarters have been ''managed'' by cutting
marketing spending to make numbers. Kellogg has been trading at a 15% discount
to other packaged food companies and its valuation has been extremely
compelling at under 16 times this year's earnings.
We have been steadily adding to the Portfolio's positions in food and
household products, even as these stocks continued to underperform. Although
companies in this sector did not do well in the first six months of the year,
we are excited about their prospects going forward.
---------------
* 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)
During the past few years we have felt this group was overvalued relative to
its prospects. However, in the last year and a half the market has corrected
its valuations in this group, and food and household products stocks are now
trading at levels where they are undervalued versus their growth rates. We
believe that several companies in this sector, including Campbell Soup Co.,
and Clorox Co. could be targets of industry consolidation.
Q: What is your outlook for the second half of 2000?
A: Investors will be watching for signs that a slower economy will have a
negative impact on profitability as second-quarter earnings season gets
underway. With companies and sectors not moving in lockstep, research is
critical in helping to identify outperformers, and fundamental, in-depth
research is the hallmark of the Portfolio. Many good technology related
companies that were selling at high valuations early in the year became more
reasonably priced in the second quarter, and we will continue to look for the
strongest companies in this sector on a stock-by-stock basis. The Portfolio
will continue to focus on the highest-conviction ideas and stock selections of
Capital Guardian's analysts, looking for the best investment opportunities
wherever they might be found.
Small-Cap Equity Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Small-Cap Equity Portfolio
returned 5.39%**, compared to a 3.04%* return for the Russell 2000 Small Stock
Index (Russell 2000 Index) and a -0.42%* return for the S&P 500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: For small-cap stocks, the first six months of 2000 has been an especially
wild ride, with the healthcare, biotechnology, and semiconductor sectors
serving as the big drivers. From a year-to-date peak on March 9 to its April
14 low, the Russell 2000 Index declined 25.13%*. But strong performance in
June mitigated April and May's weak returns, and the Russell 2000 Index ended
down 3.78%* for the second quarter. Year-to-date, small-cap stocks are still
in positive territory with a 3.04% return--better than large-cap stocks, which
are actually negative for the year.
While growth-oriented small-cap stocks were the big winners in 1999, thus
far in 2000 the picture has been more mixed, and value stocks have been more
resilient. Energy related stocks have been up due to extremely high oil prices
and continued good global demand. Healthcare stocks have also had a good
showing as an improving regulatory outlook for the hospital industry has
helped the entire sector to advance. While both financial services and
consumer non-cyclical stocks posted modest gains during the second quarter,
both groups are still down for the year, continuing a long period of
underperformance. Technology, media, and telecommunications (TMT) companies
stocks fell about 15.21% overall, while Internet related stocks in the Russell
2000 Index posted big gains in June but not enough to overcome earlier
declines, falling 27.42%* over the six-month period.
After trimming some positions in the Portfolio due to extended valuations
in February and March, the Portfolio was a significant net buyer of TMT shares
during periods of weakness, especially during the second quarter amid the
NASDAQ/technology sell-off. Capital Guardian was encouraged to see that
valuations for many technology related companies were knocked down to more
reasonable levels, and we took advantage of the market volatility to acquire
names that we had liked but thought too expensive. In particular, we were
buyers of high-quality Internet stocks, namely those companies with real
franchises, sustainable business models, good balance sheets and compelling
valuations. During the first six months of the year, although we trimmed the
Portfolio's holdings in a few stocks that had done quite well, the Portfolio
continued to hold overweight positions in semiconductor capital equipment
manufacturers and chip makers, software and telecommunications equipment, and
media. Conversely, the Portfolio was underweighted in financials, real estate
investment trusts (REITs), and electric utilities, areas in which we saw poor-
to-eroding fundamentals and deceptively cheap valuations. Overall, good stock
selection, even in unattractive sectors, contributed to better-than-benchmark
index returns for the Small-Cap Equity Portfolio in the first half of the
year.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: The first half of 2000 will probably be remembered as the peak of two
manias. The first was dot.com mania, and the second was biotech mania.
Internet stocks, especially the pure dot.coms, were star performers through
1999 as the market fully grasped the future growth potential of the Internet.
During 1999, the market wasn't very discriminating among Internet companies--
everything related to the Internet went up in value. As is the case in
---------------
* 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)
all bubbles, valuations ultimately reached levels that many people began to
question as 1999 ended. By the end of March 2000, the market realized that
while Internet usage is and will continue to grow exponentially, not every
company building a business on the Internet will be a success. The Internet
correction in April was violent, broad and overdue. The Portfolio's worst
performing stocks, which included Official Payments Corp., QXL.com PLC,
Egreetings Network Inc., and Autoweb.com Inc., were almost entirely Internet
stocks, but happily the Portfolio was underweighted versus the Russell 2000
Index in the area. The technology areas in which the Portfolio has been, and
continues to be, overweighted are the chip and chip equipment companies. They
were hit in the April panic (guilt by association) but have largely recovered.
Several of the Portfolio's best performing stocks were chip and chip equipment
firms: Rambus Inc., Power-One Inc., Exar Corp., and Veeco Instruments Inc. The
explosive growth of the Internet is feeding strong demand for communications
equipment as every communications company in the world (local telcos, long
distance telcos, cellular telcos, cable firms and satellite TV firms) has
reached the conclusion that to be competitive in the future they will need to
offer two-way, broadband connections. All the communications gear being bought
by the world's telecommunication companies to upgrade their networks, and all
the devices used to gain access to the network, are built of chips. Chip
companies that come up with chips that allow routers, switches, base stations,
or handsets to work better, faster, cheaper, and more reliably, are enjoying
booming demand, and they in turn are placing record orders for chip equipment.
The other area of the Portfolio's holdings that produced a large number of
big winners was biotechnology. The original biotechnology boom of 1991 was in
many ways similar to the dot.com boom of 1999: in both cases the phenomenal
long-term potential of the sector caused the stock market to fall in love with
any company that could claim to be part of it, and in both cases the blind
love lasted only about a year before the market began to weed out the winners.
In late 1999 and early 2000 we saw the second coming of biotech, driven by the
success of the human genome project. The mapping of the complete human genome
is a critical step toward developing useful (and thus profitable) biotech
products. The biotech boom of 1991 died when the market realized that large
numbers of useful products were at least a decade away. And now that almost a
decade has passed, we are indeed closer to seeing significant numbers of
useful biotech products. However, while we are closer this time, most biotech
firms are research companies with a limited number of compounds in testing--
few yet have large revenues or profits today. Consequently, the group remains
very volatile. Winners in this area in the Portfolio included COR Therapeutics
Inc., Novoste Corp., and Protein Design Labs Inc.
Q: What is your outlook for the second half of 2000?
A: Small-cap stocks as an asset class remain extremely attractive. On average,
companies in the Russell 2000 Index have twice the earnings growth rate and
comparatively better earnings quality, yet they still sell at a large discount
to the S&P 500. Perhaps most intriguing, small-cap companies look increasingly
attractive on a theoretical leveraged buyout basis; this could lead to a new
era of leveraged buyouts and management buyouts to unlock value, and
shareowners of small-cap stocks could be major beneficiaries. Additionally,
the rebalancing of the Russell 2000 Index on June 30, 2000 resulted in a
higher level of earnings growth rate of the reconstituted index, as several
large companies left the index and smaller, faster growing companies replaced
them. This fact is likely to highlight the significant relative undervaluation
of the asset class. A renewed interest in initial public offerings, after many
companies had postponed offerings earlier this year, suggests that the market
is prepared to be more discriminating, and well run smaller companies can
still access the capital markets to grow and prosper.
As we move into the second half of the year, we remain very positive about
the Portfolio's substantial holdings in semiconductor capital equipment
manufacturers and chip makers. Through our commitment to fundamental research,
we will also continue to identify and selectively invest in well managed,
fairly valued TMT related companies where we have strong convictions about
their long-term growth prospects.
International Large-Cap Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the International Large-Cap
Portfolio returned -6.26%**, compared to a -3.95%* return for the MSCI Europe,
Australia, Far East (EAFE) Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Technology stocks had a tremendous run that began in 1999 and ended in
March of this year. The sell-off in equity markets that began in March
continued through
---------------
* 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)
April. European markets then began to turn around in late May and posted
strong results for June, paring their losses for the quarter. Japanese stocks,
however, did not snap back as convincingly. Throughout the second quarter,
investors continued to reexamine the valuations of technology related
companies, resulting in pressure on the TMT companies that make up such a
significant portion of the world market indices.
The Portfolio has had a substantial exposure to technology related
companies, since Capital Guardian believes these stocks have tremendous growth
potential due to the Internet revolution. As the correction in technology
stocks hit, the Portfolio's emphasis on these companies dampened performance
during the first half of the year. A major rebalancing of the Nikkei Index in
April, which doubled the weighting of the information technology sector, lent
some support to Japanese TMT companies. However, many of these companies
endured a significant correction through the end of June.
Prior to the technology correction this spring, we took advantage of the
relative value found in consumer, food, and beverage stocks. Portfolio
holdings such as Heineken added to performance during the first six months.
Additionally, we found some good performers in the old-fashioned insurance and
banking industries. A sell-off in U.K. bank stocks also presented an
opportunity for us to buy some good, solid banking operations such as Royal
Bank of Scotland at cheap valuations. Surprisingly, while we assumed it would
take at least several quarters for the markets to realize the value in many of
these stocks, investors rushed to buy stocks in many of these quality
companies.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: Within the TMT universe, our preference for equipment companies has been
beneficial, and they have provided better returns than the sector as a whole.
Although we did trim some of the Portfolio's technology positions during the
first half of the year, we remain overweight in TMT holdings, particularly in
Japan. These holdings include NTT DoCoMo Inc., a Japanese wireless phone
company, as well as Murata Manufacturing Co., Tokyo Electron Ltd, Rohm & Haas
Co. and Keyence Corp. It should be noted, however, that the Portfolio does not
own speculative dot.com companies. The Portfolio owns strong, well-managed,
quality companies that produce real, tangible products, such as semiconductor
manufacturing equipment. Such companies have weathered the correction fairly
well, and we remain positive about their prospects going forward. A strong
performer in the Portfolio continues to be Samsung Electronics--Korea's
largest diversified electronics manufacturer and the global leader in the
production of computer memory chips.
Sony Corp, one of last year's best performers, underperformed during the
first half of 2000. Sales of electronics such as camcorders and televisions
(Sony's most profitable product lines) were hurt by the higher Japanese yen,
and losses in Sony's cellular phone arm were affected by its exit from the
U.S. wireless telecommunications market and stiff competition from Nokia OYJ
and Ericsson. The game business has been feeling some growing pains due to
high start-up costs for PlayStation2. Sony should be poised for improvement
following the launch of PlayStation 2 in Europe and the U.S. this fall. Once
hardware and software sales volume have increased, losses will narrow.
An exciting holding in the Portfolio is Peugeot SA, France's second-largest
car manufacturer. With sales booming and volume up 21%, this company is likely
to surpass its targets. Its spectacular performance has been fueled by sales
of two new products: the Citroen Xsara Picasso and the trend-setting Peugeot
206. We believe Peugot's earnings per share will double in the coming year. A
shareholder-friendly company, Peugeot has bought back and cancelled 10% of its
shares this past year and is expected to do the same with an additional 6% of
its shares soon. Peugeot is also a good candidate for a joint venture or
merger, as it is one of the few remaining solo companies in the industry.
Q: What is your outlook for the second half of 2000?
A: Compared to the United States, most developed countries are at an earlier
stage in their economic and market cycles, making the risk/reward trade-off
for non-U.S. stocks look more attractive. With the strong comeback in many of
the consumer and financial companies we favored, we are beginning to take
profits in these sectors and look at some more reasonable values in the TMT
industries. As mentioned earlier, we have slightly reduced the Portfolio's
positions in Japanese technology stocks, but the Portfolio still holds a
significant allocation to high-quality, TMT-related companies where we have
strong convictions about their long-term growth prospects. On a selective
basis, we are also beginning to find good opportunities in other areas 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)
the Japanese economy, including banking and automotive stocks. Sakura Bank,
Nomura Securities and Nissan Motor Co. Ltd all made positive contributions to
the Portfolio's six-month performance. We will continue to watch these
industries closely and look for good opportunities on a stock by stock basis.
Bond and Income Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Bond and Income Portfolio
returned 5.09%**, compared to a 6.54%* return for the Lehman Brothers Long-
Term Government/Corporate Bond Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Despite repeated attempts by the Federal Reserve to slow economic growth,
the U.S. economy continued to expand at a rapid pace during the first six
months. The U.S. gross domestic product (GDP) grew 5.4% during the first
quarter of 2000, and the economic expansion hit a record nine years in
February. Inflationary fears resulting from this unprecedented growth was a
key catalyst for extremely volatile credit spreads in the first half of the
year.
Another principal factor driving performance of the Portfolio was the U.S.
Treasury Department's decision to buy back its long maturity debt. The
reduction in supply is aimed at reducing the average maturity and interest
cost of Treasury debt. This activity led to a sharp increase in demand for 30-
year bonds and an inverted Treasury yield curve. Together, the sizzling
economy and uncertainty associated with the U.S. Treasury buyback program
resulted in a highly volatile fixed income market and severe spread widening
among sectors such as corporates, emerging markets, and mortgage-backed
securities.
Following six consecutive Federal Reserve rate hikes, at period end there
were indications that the red-hot economy was beginning to cool. This
sentiment resulted in a June rally across most fixed income sectors, allowing
the period to end on a positive note.
Q: Discuss some of the types of securities/sectors which performed well and
those which reported disappointing results.
A: In the mortgage-backed securities sector, fundamentals remain solid.
Goldman Sachs has favored discount securities over current coupons, as there
is little refinancing risk at current levels. However, given recent spread
tightening and the continued U.S. Treasury buybacks, in the shorter term we
are less bullish on mortgages versus Treasuries.
At current levels, we believe that asset-backed securities appear
attractively priced relative to collateralized mortgage-backed securities and
corporate bonds. Yet, in the near term we will monitor this sector closely. We
believe that asset-backed securities spreads are vulnerable to market
volatility, and further widening is possible on renewed concerns over the
direction of the Federal Reserve policy.
In the corporate sector we are taking a cautious stance. Poor liquidity and
a lack of demand has plagued this sector for the majority of the reporting
period. Given the poor technical nature of the market, the Portfolio continues
to target a neutral exposure to corporates on a dollar-duration basis.
Fundamentals across the emerging market debt sector continue to be
generally good. A recent market rally was primarily attributed to a consensus
among market participants that the Federal Reserve has successfully engineered
a soft landing, thereby reducing or eliminating the need for more rate
tightening in the near term. Regionally, Eastern Europe outperformed other
regions due to strong outperformance in Russia and Bulgaria.
Q: What is your outlook for the second half of 2000?
A: In general, our outlook for the market is fairly positive. Economic data
released in May and June provided evidence of a slowdown in the U.S. economy.
As such, the Federal Open Market Committee (FOMC) left rates unchanged at its
meeting at the end of June, following six consecutive rate hikes. A debate
remains whether this is just a pause in the tightening cycle, and there is
uncertainty on the extent of the slowdown in economic activity. However,
market data indicates that investors are optimistic that the Federal Reserve's
job is virtually complete.
For these interest rate expectations to be realized, slower GDP growth is
required on a sustained basis. Also, inflation expectations need to stay low
and stable in the face of tight labor markets and rising energy costs. As a
result, we will continue to approach the management of the Portfolio
opportunistically--reallocating assets only when and if relative value
analysis clearly dictates.
---------------
* 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)
Equity Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Equity Portfolio returned -
0.19%**, compared to a -0.42%* return for the S&P 500 Index and a 4.23%*
return for the Russell 1000 Growth Index (Russell 1000 Growth).
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The market environment in 2000 has been the most volatile since Goldman
Sachs began managing the Portfolio. Daily high/low spreads in market indices
have been much higher than average, and, the market's price changed by 1% or
more from the prior day's close almost 45% of the days this year (as compared
with about 25% of the days for the prior four years). The market had trouble
making up its mind which kind of stocks it preferred; the spread in returns
between large-cap growth and large-cap value stocks experienced near-record
high and low monthly values within the six-month period.
Goldman Sachs employs an investment strategy which considers three
investment themes: value, momentum, and low risk (CORE Strategy). The first
six months of 2000 again witnessed substantial spreads between returns for
growth-oriented and value-oriented investments, as the Russell 1000 Growth's
return of 4.23%* significantly outpaced the -4.23%* 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, the CORE strategy prefers stocks with good momentum, lower-than-
average risk, attractive valuations, and favorable analyst opinions. Over the
long-term, these factors have led to excess returns, although they typically
do not work well simultaneously.
Q: 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. On a sector basis,
recent stock selection within the Portfolio was best in consumer non-cyclical
stocks while those in the commercial services, consumer cyclicals, basic
materials and telecommunications sectors lagged their index peers. Top
contributors to the Portfolio's performance were Intel Corp., Cisco Systems
Inc., Pfizer Inc., Oracle Systems Corp., and Hewlett Packard Co. Detractors
from performance were Microsoft Corp., QUALCOMM Inc., Procter & Gamble Co.,
America Online Inc, and Home Depot Inc.
Q: What is your outlook for the second half of 2000?
A: The FOMC kept the federal funds rate target at 6.5% following its two-day
meeting in June. However, the pressures for additional monetary policy
tightening in the near term are building. One reason is that the economy is
likely to reaccelerate from its current slowdown in the third quarter. Much of
the recent demand weakness is concentrated in weather-dependent areas such as
construction, sales of building materials, and restaurant receipts. This is
consistent with our view that the restraining effects of Federal Reserve
policy to date have been less pronounced than widely thought. The other reason
for further tightening is the continued firming of core inflation. While
consumer prices in May came in much as expected, core inflation in 2000
(annualized) is running at 2.7%, against 1.9% in all of 1999. 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.
I-Net Tollkeeper(SM) Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: The I-Net Tollkeeper Portfolio commenced operations on May 1, 2000. For the
period since inception through June 30, 2000, the Portfolio returned 1.91%**,
compared to a -2.66%* return for the S&P 500 Index for the second quarter.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The U.S. market experienced significant volatility during the quarter, with
the S&P 500 Index in negative territory in May, but rebounding in June. Mid-
and small-cap stocks also fell in May and rallied in June; the S&P 400 Index
and the Russell 2000 Index returned -2.38%* and 3.04%*, respectively, during
the reporting period. During much of the quarter investors were wary of
interest rate increases from the Federal Reserve, as 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-9
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
economy continued to show signs of inflationary pressures. Although there was a
growing consensus that the Federal Reserve would raise the federal funds rate
by 25 basis points at its June meeting, rates were left unchanged.
The technology sector was the most volatile area of the market. Technology
and Internet stocks fell 11.91% in May, as a result of the federal government's
announcement that it intended to pursue a break-up of Microsoft Corp. However,
technology stocks rebounded in June, posting a return of 16.62%, as investors
were encouraged by signs that the economy is slowing. In total, the NASDAQ
Composite Index ended the reporting period up 2.73%*.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: While the Portfolio experienced some volatility along with Internet stocks,
performance was less volatile than several technology heavy indices. This
should not be surprising, as Goldman Sachs takes a different--and potentially
more conservative--approach to investing in the Internet. The greatest
contributors to performance were the Portfolio's investments in Fiber Optics,
including E-Tek Dynamics Inc., Corning, Inc., Nortel Networks and SDL, Inc.
Suppliers of optical components are growing rapidly, as traditional electronic
components cannot accommodate the explosive growth of Internet traffic. We
believe that the Portfolio's holdings in this area, which are the dominant
players, should benefit from strong industry growth over the next several
years. The Portfolio also benefited from investments in the data storage area,
including EMC Corp. and Brocade Communications Systems. As large corporations
have come to rely on more digital data to run their businesses, data storage
has become a fundamental technology. It is estimated that demand for data
storage in units is roughly doubling every year, and we believe that the
companies in the Portfolio are well-positioned to take advantage of this trend.
The Portfolio's media and communications holdings were the largest detractors
from performance, as these companies gave back some of their 1999 and first
quarter 2000 gains. Many of the Portfolio's holdings in this area, which have
significant Internet investments, fell as investors shifted money out away from
Internet stocks. We believe that these companies are better positioned to
weather an Internet shake-out than newer start-ups, since they have strong
brand names, recurring revenue streams and dominant franchises.
Q: What is your outlook for the second half of 2000?
A: While Goldman Sachs neither makes nor relies on economic forecasts to make
investment decisions, we are generally bullish on growth in technology and
Internet-related businesses. Over the last decade, technological advances and
the Internet have enhanced global communication and provided significant
benefits to both consumers and businesses. We believe that those U.S. companies
that adopt an astute Internet strategy will continue to benefit from this trend
over the long-term. These are generally companies with recurring revenue
streams that dominate markets with high barriers to entry; firms that may grow
revenue by increasing ''traffic,'' or customers and sales, and raising prices.
Throughout the investment process, we continue to focus on the core business
characteristics that provide a foundation for long-term growth, such as
strength of franchise, quality of management, and free cash flow, along with
favorable demographic trends. We believe that the enduring competitive
advantage of the technology and Internet related companies the Portfolio owns
based on the criteria mentioned above--will withstand even an uncertain market
environment.
--------------------------------------------------------------------------------
The I-Net Tollkeeper Portfolio (SM) is a service mark of Goldman, Sachs & Co.
--------------------------------------------------------------------------------
Multi-Strategy Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Multi-Strategy Portfolio
returned 0.84%**, compared to a 3.98%* return for the Lehman Brothers Aggregate
Bond Index and a -0.42%* return for the S&P 500 Index.
Q. What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The U.S. equity market cycled erratically during the first six months of the
year between growth stocks and value stocks based on the emerging economic
data. Weak data lead to powerful rallies in technology and other growth stocks.
Data reflecting a strong economy caused a surge in lower priced value stocks.
While value stocks outperformed dramatically at the beginning of the period,
growth came back strong in June to lead the end of the second quarter. The
market's reaction to the data flow is based entirely on the impact the economy
has on interest
---------------
* 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)
rates. The Federal Reserve raised rates several times in the first half of the
year and continues to monitor the situation. Higher rates are just beginning
to slow the economy somewhat, which will start to impact corporate earnings.
Any disappointment in earnings at the company level are being penalized
heavily across all sectors. JPMIM believes that the second quarter is evidence
that the market is transitioning from the strong momentum focus it had in
1999, to a more balanced environment.
Bond yields fell throughout the first half of the year due to continued
Treasury buyback and government sponsored enterprise changes initiated by
signs of strong growth and rising inflation which appeared in the first
quarter. Concerned that growth was out of control, the Federal Reserve further
tightened rates in mid-May to 6.5%, but that was not enough to slow the U.S.
economy, and economic reports forecasted additional tightening needs. These
projections caused spread sectors to deteriorate early in the second quarter,
and investment grade corporate debt reached the highest spread level in 81
years outside of recession.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: In the equity portion of the Portfolio, performance was positively impacted
by stock selection as good decisions within the hardware and semiconductor
sectors added to the Portfolio's performance. However, the industrial cyclical
and finance sectors were among the worst performers during the first half of
the year. The slowdown of the U.S. economy has led several companies to pre-
announce second quarter earnings below expectations, which has started to
negatively impact share prices, with the financial sector taking the worst hit
(down 15% for June). In industrial cyclicals, Rohm & Haas Co. and Honeywell
International Inc. had second quarter earnings disappointments, which
negatively impacted the Portfolio's performance.
Overall, the pharmaceuticals and capital markets sectors moved ahead as
investors continued their rotation out of ''new economy'' stocks. As a
consequence, the software and services, telecommunications and technology
sectors fell. While the pharmaceuticals sector posted a positive return for
the six month period, and capital markets also contributed to the overall
performance of the Portfolio, holdings in such technology names as Oracle
Systems Corp. and Microsoft Corp. pulled down performance as the latter was
roiled with detailed announcements of a ruling against the company in the
lengthy anti-trust suit. Individual security selection contributed to the
Portfolio's overall performance across the first two quarters as overweight
stocks such as Intel Corp. posted positive total returns. In the fixed income
portion of the Portfolio, we maintained a modest long parallel duration
posture that was concentrated in the longer maturity sector of the yield curve
during the second quarter, since we expect further U.S. government fiscal
surplus with the buyback of U.S. Treasuries.
Q: What is your outlook for the second half of 2000?
A: We believe that global growth has reached its peak. Going forward, we
expect the U.S. economy to arrive at a ''soft landing'' slowdown, with GDP
growth below 4% in upcoming months and inflation pressures controlled. While
Federal Reserve tightening is nearly complete, a final move of 25 basis points
by year-end is possible. With the exception of short rates being affected by
further Federal Reserve moves, interest rates shouldn't change much from
current levels. It appears that the economy will continue to slow a little as
evidenced by the cooling of the overheated rate of late 1999 and early 2000.
Equity Income Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Equity Income Portfolio
returned -1.29%**, compared to a -0.42%* return for the S&P 500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The U.S. equity market cycled erratically during the first six months of
the year between growth stocks and value stocks, based on the emerging
economic data. Weak data lead to powerful rallies in technology and other
growth stocks. Data reflecting a strong economy caused a surge in lower priced
value stocks. While value stocks outperformed dramatically at the beginning of
the period, growth came back strong in June to lead the end of the second
quarter. The market's reaction to the data flow is based entirely on the
impact the economy has on interest rates. The Federal Reserve raised rates
several times in the first half of the year and continues to monitor the
situation. Higher rates are just beginning to slow the economy somewhat, which
will start to impact corporate earnings. Any disappointment in earnings at the
company level are being penalized heavily across all sectors.
---------------
* 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)
JPMIM believes that the second quarter is evidence that the market is
transitioning from the strong momentum focus it had in 1999, to a more
balanced environment.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: The Portfolio's performance was positively impacted by stock selection
during the first six months as good decisions within the hardware and
semiconductor sectors added to the Portfolio's performance. However, the
industrial cyclical and finance sectors were among the worst performers during
the first half of the year. The slowdown of the U.S. economy has led several
companies to pre-announce second quarter earnings below expectations, which
has started to negatively impact share prices, with the financial sector
taking the worst hit (down 15% for June). In industrial cyclicals,
Rohm & Haas Co. and Honeywell International Inc. had second quarter earnings
disappointments, which negatively impacted the Portfolio's performance.
Overall, the pharmaceuticals and capital markets sectors moved ahead as
investors continued their rotation out of ''new economy'' stocks. As a
consequence, the software and services, telecommunications and technology
sectors fell. While the pharmaceuticals sector posted a positive return for
the six month period, and capital markets also contributed to the overall
performance of the Portfolio, holdings in such technology names as Oracle
Systems Corp. and Microsoft Corp. pulled down performance as the latter was
roiled with detailed announcements of a ruling against the company in the
lengthy anti-trust suit. Individual security selection contributed to the
Portfolio's overall performance across the first two quarters as overweight
stocks such as Intel posted positive total returns.
Q: What is your outlook for second half of 2000?
A: Going forward, the strategy for the Portfolio remains the same. We continue
to be fully invested and sector neutral. We predict that the Federal Reserve
will continue to closely monitor the economy and may tighten policy again in
the second half of the year. It appears that the economy will continue to slow
a little as evidenced by the cooling of the overheated rate of late 1999 and
early 2000.
Growth LT Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six-months ended June 30, 2000, the Growth LT Portfolio returned
-2.73%**, compared to a -0.42%* return for the S&P 500 Index and a 5.69%*
return for the Russell 2500 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The first several months of the year saw a continuation of many of the same
trends that made 1999 so successful, allowing fast-growing sectors like
semiconductors and electronics to continue their leadership of the market and
enabling the technology heavy NASDAQ to trade higher despite periods of
substantial volatility. By March, however, the mood had changed. Continued
uncertainty about the direction of interest rates, and a belief among some
investors that valuations in selected segments of the market had been
stretched to extremes, forced a sharp sell-off that erased virtually all of
the technology sector's gains.
The Portfolio followed a similar path, performing well early in the period
and then struggling as the market retreated during the spring. Janus responded
to this challenging environment by focusing the Portfolio even more closely on
well-managed companies with strong franchises and outstanding fundamentals.
Still, a number of the Portfolio's holdings declined together with the market
during the last half of the period, causing the Portfolio to modestly
underperform the S&P 500 Index.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: Notable disappointments included Amazon.com. Inc. The company suffered
alongside other Internet retailers after several of the industry's most
visible players reported slower revenue growth than investors had hoped for,
adding urgency to a general shift in sentiment that was already pressuring the
sector. While we have pared back the Portfolio's exposure somewhat, we are
encouraged by Amazon's continuing efforts to diversify its product line and
expand its global reach. We believe the company will show a great deal of
progress on the earnings front in the coming year and are still enthusiastic
about its longer-term prospects.
On the positive side, energy innovator Enron Corp. gained substantially.
The company's core wholesale commodities and electricity businesses continued
to show robust growth as the rapid expansion and deregulation of energy
markets worldwide supported a 36% increase in operating earnings during 1999.
Meanwhile, Enron'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 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)
energy services outsourcing business is poised to become solidly profitable in
2000 after several years of heavy investment by the company. Other strong
performers included computer storage leader EMC Corp., which gained
substantially despite a difficult environment for technology shares in
general. EMC's leadership in virtually all categories of the enterprise
storage market has allowed it to participate in the explosive growth of the
Internet by providing the systems necessary to meet the massive increase in
storage needs implied by the rise of e-commerce and other Web-based business.
Q: What is your outlook for second half of 2000?
A: Looking forward, a deceleration of the U.S. economy and a more certain
interest rate picture could create a better environment for stocks during the
second half of the year. In any case, Janus will continue to do what we've
always done--looking hard for companies with great fundamentals and
outstanding prospects for future growth.
Mid-Cap Value Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Mid-Cap Value Portfolio
returned 7.36%**, compared to a 5.12%* return for the Russell Mid-Cap Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The volatile second quarter was marked by dramatic reversals, including a
sharp rebound in technology and telecommunication shares late in the quarter.
However, market sentiment has fundamentally changed; even amid the technology
rally in June, some of the most established Internet companies experienced
weakness.
The correction in U.S. stocks that began in March continued into May as the
Federal Reserve's half-point rate increase weighed on stock prices. Mid-cap
stocks fell roughly in line with larger cap stocks and continue to outperform
year-to-date. Early in the year, it had been widely believed that interest
rates would not matter to new economy stocks, since they tend to have little
or no debt on their balance sheets. However, the reality is that richly priced
growth stocks have historically been very sensitive to interest rates. The
impact of the Federal Reserve's repeated rate hikes has begun to be felt, and
the technology and telecommunications sectors, which led mid-caps higher in
1999, paced this decline with each group falling over 10%. This change in
market sentiment continued to benefit value stocks which, for the most part,
escaped the market weakness. However, the current rotation is less a
resurgence of the value style than a shift back to fundamentals after an
extended period when the only investing tool that proved effective was price
momentum. We would expect this focus on fundamentals to persist, since
traditional companies with tangible earnings remain very attractively valued
even after their recent outperformance. This is especially true of the mid-cap
sector, in which the dominance of growth stocks during 1999 was particularly
dramatic.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: As might be expected given the punishing treatment doled out in the
technology sector, the Portfolio's worst performing group was technology,
although the majority of the Portfolio's technology holdings enjoyed strong
operating fundamentals. Sluggish retailers in the producer manufacturing
sector also detracted from returns. The Portfolio benefited from its
relatively high weight in consumer staples which had hurt returns in prior
quarters. These stocks rebounded as a result of a wave of industry
consolidation sparked investor interest in this consistently financially
productive group. Nabisco Group was particularly strong after receiving a
takeover offer from Philip Morris. Republic Services and Ceridian, both of
which are rebounding from poor performance in 1999, drove strong stock
selection in commercial services. The Portfolio's focus on energy stocks with
significant exposure to natural gas paid off as the commodity reached record
highs. The relatively low weighting and strong stock selection in
telecommunications also helped returns, driven by gains in Cablevision and
Western Wireless. The technology sector detracted from the Portfolio's
performance during the second quarter. Electronics for Imaging, JD Edwards and
LSI Logic Corp. hurt stock selection in technology. In addition, Office Depot
and Saks, in the producer manufacturing sector, hurt the Portfolio's
performance.
Q: What is your outlook for the second half of 2000?
A: We continue to seek out relative value opportunities among traditional
companies that possess the competitive positions and strategic visions
necessary to excel as we transition to the new economy. In addition, we plan
to take advantage of the weakness in technology to invest the Portfolio's
assets in financially productive companies
---------------
* 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)
at attractive prices. The market's shift in focus back to fundamentals should
persist since, even in a new economy, a company's true value is a function of
the return it is able to generate on shareholder's capital.
Equity Index Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the first six months ended June 30, 2000, the Equity Index Portfolio
returned -0.56%**, compared to a -0.42%* return for 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 first half of the year?
A: The U.S. equity market experienced extreme volatility. Mid-cap securities
reigned supreme, with the S&P 400 MidCap Index returning 8.97%* while the
large-cap S&P 500 Index actually posted a negative return of -0.42%*. Small-cap
securities faired a little better than larger cap securities with the Russell
2000 Index returning a respectable 3.04%*.
During the first quarter of 2000, the technology sector was the most
significant contributor to the positive return of the Portfolio and its
benchmark index. In fact, two S&P 500 component securities, Intel Corp. and
Cisco Systems Inc., accounted for over 100% of the first quarter's return. The
S&P 500 Index traded in negative territory for most of 2000 and only turned
positive over the last nine trading days of the second quarter. During the
second quarter, the larger capitalization stocks in the S&P 500 Index
underperformed the smaller cap stocks, a significant reversal from previous
quarters and the S&P 500 Index experienced its first semi-annual negative
return since 1994.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: Healthcare was the dominant sector during the first half of the year,
returning over 22%* while the basic materials and consumer cyclicals sectors
were the biggest drag on the Index's return posting -25%* and -19%* returns
respectively. Large-cap growth securities outperformed value securities by over
6%.
Top performers included ADC Telecommunications Inc., Corning, Inc. and
Micron Technology, Inc. Bottom performers included QUALCOMM Inc., Proctor &
Gamble Co. and Motorola Inc. The S&P 500 Index experienced 25 composition
changes in the first half of 2000, most notably, Broadcom Corp., Siebel Systems
Inc. and Veritas Software Corp. were added.
As the Portfolio seeks to replicate an index, Mercury 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 the second half of 2000?
A: Mercury believes that the current Federal Reserve tightening cycle is over,
providing that the economy's slowdown as seen in the spring of 2000 persists
for the rest of the year. After growing at a 5.5% rate in the first quarter,
GDP probably rose at a 3.5% rate in the second quarter. We expect growth to
remain around that pace into next year, which is well within the Federal
Reserve's estimate of a 4% non-inflationary growth potential.
In leaving monetary policy unchanged in June, the Federal Reserve
acknowledged that growth had slowed, but expressed uncertainty as to whether
that slowing would be sustained. Because of that uncertainty, the Federal
Reserve felt that risks were still weighted toward inflation and before they
will signal an all-clear, there needs to be further evidence of moderation. Two
full sets of economic data will be released between now and the August FOMC
meeting. For the Federal Reserve only three reports are truly crucial:
employment, retail sales, and the CPI. The labor market can't tighten further,
consumer spending needs to remain on a more moderate path, and core inflation
must remain contained. We expect those conditions will be realized.
For the economy to remain on an acceptable path for the Federal Reserve,
consumer spending must remain contained. Spending slowed sharply in the second
quarter, probably rising at a 3% rate, which would be the slowest pace in
nearly three years (excluding the quarter of the General Motors strike).
Until last summer, wage income was growing much faster than consumer
spending, which is why spending was so strong. But since then spending has
outgrown income, that presumably reflected a now-vanished wealth effect.
Looking ahead, we expect spending to be constrained by income. Therefore, we
believe consumer spending will grow at a 2% to 3.5% pace during the second half
of the year, consistent with an outlook of 3.5% GDP growth.
---------------
* 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)
Small-Cap Index Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the first six months ended June 30, 2000, the Small-Cap Index Portfolio
returned 2.36%**, compared to a 3.04%* return for the Russell 2000 Index. The
Portfolio seeks to replicate as closely as possible, before expenses, the
total return of the Russell 2000 Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: During the first half of 2000, the U.S. equity market experienced extreme
volatility. Mid-cap securities reigned supreme, with the S&P 400 MidCap Index
returning 8.97%* while the large-cap S&P 500 Index actually posted a negative
return of -0.42%*. Small-cap securities faired a little better than larger cap
securities with the Russell 2000 Index returning a respectable 3.04%*. For the
first half of the year, small-cap value stocks outperformed small-cap growth
stocks. The Russell 2000 Value Index returned 5.83%* versus the Russell 2000
Growth Index's return of 1.23%*.
Great anticipation and speculation was prevalent in the marketplace,
particularly in May and June regarding the Russell 2000 Index's reconstitution
as of the June 30th close of business. This effect significantly contributed
to the Portfolio and Index's returns in those months. Due to the numerous IPOs
and the significant technology sector outperformance over the previous year,
the Russell Indexes were projected to have their highest turnover in years
with the Russell 2000 Index being the largest hit. With smaller cap stocks
outperforming larger cap issues over the first six months of the year, many of
the Russell 2000 stellar performers graduated to the larger cap Russell 1000
Index. In total, 118 names graduated from the Russell 2000 to the Russell 1000
Index, with 79 of them coming from the technology sector. The Russell 2000
Index reconstitution reduced the index's technology sector weight by close to
4%.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: During the first quarter of 2000, the technology, energy, healthcare and
producer durables sectors were the largest contributors to the stellar returns
of the Portfolio and its benchmark index. The consumer discretionary and
consumer staples sectors however, both posted negative returns for the quarter
and were therefore a drag on the Russell 2000 Index.
During the second quarter of 2000, the utilities, technology and integrated
oils sectors were the largest contributors to the negative returns of the
Portfolio and Index. Fortunately, their negative returns were boosted by the
strong returns of the healthcare, energy and consumer staples sectors.
Energy and healthcare were the dominant sectors during the first half of
the year, returning over 58%* and 39%*, respectively. Consumer discretionary
and integrated oils sectors were the biggest drag on the Russell 2000 Index's
return posting -16%* and -12%*, respectively.
As the Portfolio seeks to replicate the Russell 2000 Index, Mercury 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 the second half of 2000?
A: Mercury believes that the current Federal Reserve tightening cycle is over
providing that the economy's slowdown as seen in the spring of 2000 persists
for the rest of the year. After growing at a 5.5% rate in the first quarter,
GDP probably rose at a 3.5% rate in the second quarter. We expect growth to
remain around that pace into next year, which is well within the Federal
Reserve's estimate of a 4% non-inflationary growth potential.
In leaving monetary policy unchanged in June, the Federal Reserve
acknowledged that growth had slowed, but expressed uncertainty as to whether
that slowing would be sustained. Because of that uncertainty, the Federal
Reserve felt that risks were still weighted toward inflation and before they
will signal an all-clear, there needs to be further evidence of moderation.
Two full sets of economic data will be released between now and the August
FOMC meeting. For the Federal Reserve only three reports are truly crucial:
employment, retail sales, and the CPI. The labor market can't tighten further,
consumer spending needs to remain on a more moderate path, and core inflation
must remain contained. We expect those conditions will be realized.
For the economy to remain on an acceptable path for the Federal Reserve,
consumer spending must remain contained. Spending slowed sharply in the second
quarter,
---------------
* 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)
probably rising at a 3% rate, which would be the slowest pace in nearly three
years (excluding the quarter of the General Motors strike).
Until last summer, wage income was growing much faster than consumer
spending, which is why spending was so strong. But since then spending has
outgrown income, that presumably reflected a now-vanished wealth effect.
Looking ahead, we expect spending to be constrained by income. Therefore, we
believe consumer spending will grow at a 2% to 3.5% pace during the second
half of the year, consistent with an outlook of 3.5% GDP growth.
REIT Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the REIT Portfolio returned
16.46%** compared to a 13.19%* return for the North American Real Estate
Investment Trust (NAREIT) Equity Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: By all measures, the second quarter of 2000 was a spectacular quarter for
the REIT market. The sector posted a quarterly return in excess of 10%,
dramatically beating all of the major equity indexes. It is interesting to
note that REITs demonstrated strength relative to the NASDAQ Composite Index
and the S&P 500 Index, which declined 13.27%* and 2.66%*, respectively, but
also outperformed the Russell 2000 Index, which declined 3.78%* and the
Russell Value Index, which declined 4.69%*. Recently REITs had traded in line
with the Russell indexes. The only comparable performance was provided by
utility stocks, representing another sector with defensive characteristics,
which gained 9.5% in the quarter. April was a particularly favorable month as
REITs rallied almost 7%, while the difficulties for the ''new economy'' stocks
continued. The market had a modestly favorable May and then another strong
month in June. On a year-to-date basis, the sector has gained more than 13%.
Morgan Stanley's investment perspective is that over the medium and long-
term the largest determinant of the value for real estate stocks will be
underlying real estate fundamentals. We measure the sector based on the price
to net asset value 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 should 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. Analysts are currently debating whether pricing in the sector has
fully recovered as a result of the recent outperformance of the sector. From
our P/NAV perspective, prices are up by almost 15% on a year-to-date basis;
however, as suggested above, the extension of the growth phase for the real
estate market has allowed for NAV growth of approximately 5%. The result is
that by quarter-end REITs continue to trade at almost a 10% discount to the
underlying value of their assets. The discussion of the physical real estate
markets that follows indicates that, with the Federal Reserve keenly focused
on slowing the economy, the markets are headed for equilibrium. However, our
outlook is that there is only modest downside risk from the potential for
oversupply.
The second quarter appears to have been the first quarter in more than two
years that the sector experienced the benefits of the return of non-dedicated
institutional investors. Their selling pressure, that plagued the sector for
much of the last two years, appeared to have abated in the first quarter. We
believe that these investors were attracted by the defensive nature of the
asset class in a turbulent equity market. In addition, we think that REITs
have benefited from positive earnings revisions, reversing the trend of
downward revisions from the previous eighteen months. Until the broader equity
markets show a favorable direction, there may be new converts as a result of
the diversification and defensive qualities provided by REITs. To a lesser
degree, Morgan Stanley also witnessed a return to the sector by retail
investors. It is interesting to note that another defensive sector, utilities,
experienced a similar recovery in funds flow and equity mutual funds had a
reduction in funds flow from the first to second quarters of 2000.
We have been monitoring the property markets for the inevitable shift from
the latter stages of the recovery phase into equilibrium, while maintaining a
watchful eye toward the real estate equivalent of a ''hard-landing''
characterized by oversupply. Through the first half of this year, we have not
yet reached equilibrium in many markets, which would be characterized by flat
occupancy levels and inflationary rental growth. In fact, we continue to
witness increasing occupancy rates and strong rental growth in many real
estate markets. Clearly, the strong economy has continued to extend the
favorable supply-demand balance. Generally, 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)
supply pipelines are peaking or have already peaked, which, when combined with
strong demand, has allowed the real estate recovery to lengthen, but as
indicated below, the outlook appears to support a movement toward equilibrium.
Our review of the performance for the sector on a year-to-date basis
indicates that the lodging stocks have been the best performers as the strong
economy has provided strong demand, and the stocks ended the year at depressed
pricing levels. The next best sector has been office and industrial, which have
also benefited from better than anticipated absorption of space and rental rate
spikes in the stronger markets. The apartment sector has modestly outperformed
on a year-to-date basis, as its defensive characteristics remain attractive;
however, it had already enjoyed some of that benefit in its pricing from last
year. The manufactured home sub-sector of residential has underperformed,
potentially because none of the stocks are larger in size and thus less likely
to attract non-dedicated investors. In addition, given the more predictable
nature of rental increases in this business, the stocks have been unable to
post upwards earnings revisions. Similarly, the retail sector has
underperformed, although the regional mall sub-sector has performed closer to
market levels as a result of improved sentiment over competition from e-
commerce. Finally, the self-storage sector has been the worst performer. This
is a small sector and can be attributed to negative events at individual
companies as opposed to particular concerns over the supply-demand balance in
the sector.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: In general, the Portfolio benefited primarily from bottom-up stock selection
but also top-down sector allocation, which was modestly positive. The Portfolio
was helped by an overweight in the office sector with a concentration in
sectors with technology-led demand or central business district exposure, or
often both. In terms of stock selection, the hotels sector was the best
performer, as the Portfolio experienced solid returns from Starwood Hotels &
Resorts Worldwide. Other sectors fairing well from stock selection included
multifamily and office, where companies located in the high-barrier-to-entry
markets of the Northeast and Pacific performed well, such as AvalonBay
Apartment Communities Inc., Arden Realty Inc., Boston Properties Inc. and
Brookfield Properties Corp. Companies in the regional malls sector
underperformed as investors became concerned with falling consumer confidence
and new supply issues.
Q: What is your outlook for the second half of 2000?
A: Fundamental real estate trends remain strong and, at current valuation
levels, REITs truly represent a defensive asset class. REITs are now trading at
a discount to the underlying NAV of their assets. As a result, there continues
to be an attractive pricing disparity between valuations in the public versus
the private real estate markets. This disparity in pricing, combined with the
current strength in the direct real estate markets and the equity market's
newly found interest in defensive stocks, cause us to believe that the sector
remains attractive.
Morgan Stanley continues to shape the Portfolio with companies offering
attractive fundamental valuations relative to their underlying real estate
value. The top-down weightings in the Portfolio remain similar to last quarter.
We increased the Portfolio's overweighting in the companies focused on central
business district office assets as the recent increases in rent have caused a
favorable increase in the gap between existing leases and current market rents.
Despite their weak performance, we have maintained our conviction to overweight
the manufactured home sector. We are attracted by the predictable growth in NAV
per share, the limited degree of new supply, and the modest levels of capital
expenditure required.
The outlook for the REIT market continues to be favorable. We focus on two
key factors: the health of the physical property markets and the public market
pricing for the securities. The private real estate markets have remained
strong, based on the strong U.S. economy and a rational level of new supply. We
are encouraged that the development pipelines either peaked in 1999 or are in
the process of peaking in 2000 for the vast majority of property types.
Clearly, the better than expected strength of the economy has provided the
demand for these large pipelines. However, given the declining levels of
construction, the U.S. real estate market is better prepared for the eventual
slowdown in the economy. The final critical factor is the relative
attractiveness of real estate versus other asset classes. Given the current
volatility in the equity markets, it appears that REITs may be well poised to
continue to receive a high level of attention from traditional equity
investors.
International Value Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the International Value Portfolio
returned -2.54%**, compared to a -3.95%* return for the MSCI EAFE Index.
---------------
* 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-17
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The first half of the year proved to be a difficult environment for
international investors as market volatility and inflation concerns hampered
equity returns. The new millennium began with a continuation of the theme seen
at the end of 1999. First quarter returns were dominated by high-flying
technology and telecommunication stocks, which soared to unprecedented levels
and valuations. The tide turned during the middle of March as investors took
profits on fears of an overheating U.S. economy and the consequent interest
rate hikes cooled investor enthusiasm for technology, media and
telecommunications companies, which sent these sectors into a nosedive. This
theme continued throughout the whole of the second quarter. The beneficiaries
of this changing tide were the recently overlooked defensive sectors.
International markets reacted to the volatility evident in the U.S. market,
and the sharp NASDAQ declines in April heightened investor skittishness
regarding U.S. interest rates. However, towards the end of June, most markets
rebounded as economic numbers pointed to a ''soft landing'' for the U.S.
economy, allaying investor fears of sharply tighter U.S. interest rates.
Europe was the relative outperformer of all EAFE regions in the first six
months of the year, falling 3.1% in U.S. dollar terms, but managing to rise
1.6% in local currency. The U.S. dollar return was negative due primarily to
the depreciation of the euro throughout most of the period. The currency
reached its high for the year in early January at 1.04 and proceeded to
depreciate almost 15%, hitting a low of 0.89 before managing to climb to 0.95
by the end of June. The volatility of the European markets in the first half
of 2000 was influenced in part by turbulence in the U.S. technology sector.
The first two months of the year saw markets reaching unprecedented levels
driven by investor mania over telecommunication and technology stocks. A major
rotation in market leadership began by the end of the first quarter as the
''new economy'' TMTs started to suffer exhaustion from their unstoppable rise.
''Old economy'' sectors like industrial cyclicals, consumer staples and
utilities benefited from concerns about the potential twin impact of rising
interest rates and negative earnings revisions on parts of the ''new
economy''. During the second quarter, formerly beaten-up defensives, consumer
staples and healthcare, rebounded to post gains year-to-date of 2.6%* and
9.4%*, respectively. European merger activity continued during the first half
of the year with 40% of all global deals completed attributed to European
firms. The combination of relatively low interest rates, low cost of capital,
and a growing acceptance of takeover tactics, which focus on core businesses
as a way to build shareholder value and deliver stronger earnings, continue to
gain acceptance in Europe. European CEOs increasingly consider Europe to be a
single economic market and recognize the need to be bigger to effectively
compete in this setting. Particular deals to take note of include Unilever's
purchase of U.S. food giant Bestfoods and France Telecom's acquisition of
Orange PLC.
The combination of currency weakness and an uncertain economic environment
made for a difficult investment environment in Japan during the first half of
the year. The MSCI Japan Index posted returns of -5.4%* in U.S. dollars (-
2.2%* local currency) for the six month period. The first quarter saw investor
confidence wane somewhat in response to the release of fourth quarter 1999
contractionary GDP numbers, which put Japan back into a technical recession.
The contraction was blamed primarily on the fall in spending in reaction to
year 2000 concerns, as well as the dwindling impact of the government's
stimulus package from last year. The second quarter, however, saw encouraging
evidence of a meaningful economic recovery beginning to emerge. GDP growth for
the first quarter showed Japan's economy growing at a 10% annualized rate, and
the June Tankan survey of business confidence confirmed a strong positive
trend for the Large Manufacturing Diffusion (LMD) Index which was at its
highest level during the last three years. Semiconductor capital spending
(CAPEX) of the large manufacturers in the LMD Index was announced to have
increased by over 11.3% in 2000, centering on information technology (IT)
investments. This is a result of a 10 trillion yen free cash flow generated by
Japanese corporations which are now bearing the fruits of restructuring. Signs
of more robust consumption were also evident by June as automobile sales
jumped 8.5% year over year. Despite this infusion of positive news, the stock
market was generally weak during the second quarter, and at one point fell to
levels last seen in June 1999. Fears of higher U.S. interest rates and the
potential slowdown of exports to the U.S., coupled with volatility and sharp
declines of the NASDAQ caused the virtual collapse of leading ''new economy''
Japanese stocks such as Softbank Corp., NTT DoCoMo Inc., and Hikari Tsushin
Inc., which were the bell-cows of 1999's Japanese equity market. Foreign
investors, particularly momentum players and sector funds, became large net
sellers. The ill-timed change in 30 constituents of 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)
Nikkei 225 Index at the peak of NASDAQ market volatility further confused many
potential buyers, particularly Japanese individual investors.
The countries of Asia excluding Japan were the laggards of international
developed markets, falling 9.3% in U.S. dollar terms (-5.1% in local
currency). Despite generally positive economic conditions, these markets fell
due to their sensitivity to interest rates as the U.S. Federal Reserve hiked
rates 100 basis points over the course of six months. The financial sector,
which represents nearly half of the Pacific ex-Japan Index, fell 9.7%* from
the start of the year and dominated Asian markets' returns. Indeed, the
economies of the region remained strong in the face of market volatility.
Singapore reported strong May exports data thanks to an increase in regional
trade, which saw sales to Asia including Japan growing 32.6%. Overall export
growth of 27.8% outpaced import growth of 24.5%, resulting in a higher-than-
expected trade surplus. Manufacturing growth continued to increase, buoyed by
strong demand for semiconductors, while retail sales increased in both Hong
Kong and Singapore.
The Portfolio began the year overweight versus the MSCI EAFE Index in Japan
and Asia ex-Japan, and underweight relative to the benchmark index in Europe.
During the first half of the year Morgan Stanley reduced exposure to Asia ex-
Japan in the face of a difficult period for those markets, and completely
eliminated exposure to Korea and Taiwan. We maintained the overweight versus
the MSCI EAFE Index to Japan and decreased the magnitude of the underweight to
Europe to finish the period. Reducing exposure to Asia while simultaneously
increasing the Portfolio's weighting versus the benchmark index in Europe
added to performance on the margin, but on balance our regional allocation
strategies detracted from Portfolio performance as Europe outperformed all
other EAFE regions.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: As defensive stocks saw a return to favor in Europe during the latter half
of the period, the Portfolio was well positioned to reap the benefits of this
turnaround. Consumer staples companies were the strongest performing sector in
the European market. The Portfolio benefited both from its significant
overweight versus the MSCI EAFE Index, and stock selection within consumer
staples, with food, beverage and household products giants such as Nestle SA
Bearer, Reckitt Benckiser PLC, and DANONE Group being top contributors to
performance. The Portfolio's overweight versus its benchmark index in
healthcare was further enhanced by strong stock selection, as Aventis SA
recently surpassed Merck & Co. as the largest pharmaceutical company in the
world. Fresenius AG, the world's top dialysis products and services provider,
was also a top contributor.
Stock selection in the energy sector was positive as companies benefited
from the surge in oil prices. After riding the wave of rising oil prices, we
reduced the Portfolio's exposure to the energy sector in Europe but continued
to maintain an overweight position versus its benchmark index in French oil
major Total Fina SA, given the extensive restructuring opportunities that
remain and the stock's modest valuation relative to the U.S. majors. We
trimmed positions in Royal Dutch Petroleum, BG, and BP Amoco. Finally, we
switched the Portfolio's holding in Repsol YPF, S.A. into ENI Spa. Although
the Portfolio's underweight versus the MSCI EAFE Index to telecommunications
and technology hurt returns in the first quarter, the Portfolio benefited from
this strategy as these sectors corrected during the latter half of the period.
However, this was not enough to outweigh the results of the first quarter as
the single largest detractor from Portfolio performance was the European
underweight to IT over the six month period.
In Japan, stock selection in IT was the single largest contributor to
performance. NEC reached a new high due to strong computer memory business and
its management strategy. We will maintain current holdings in select world
class technology companies, economically sensitive stocks, and deep value
cyclical stocks as we believe these will be the main beneficiaries to
improving business conditions in Japan. Morgan Stanley's strategy in Asia ex-
Japan was not as successful as in other regions due to its extreme sensitivity
to U.S. interest rates; consequently, the Portfolio's overweight versus the
MSCI EAFE Index and stock selection within the banking sector was a drag on
returns.
Q: What is your outlook for the second half of 2000?
A: The global economy remains vigorous and growth has begun to shift from the
U.S. to international markets. Revised earnings estimates point to a positive
operating environment in Europe and we expect to selectively add exposure to
this region. A slower U.S. economy implies a weaker dollar relative to the
euro, which should benefit the region in general, and European equities in
particular. European fundamentals look quite solid, with the main risk to
European equities appearing to be the potential for a slowdown in the U.S.
economy. The European Monetary
---------------
* 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>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Union domestic demand has been revised upwards to 0.9% for both fourth quarter
1999 and first quarter 2000 (from 0.6% and 0.7%, respectively). There are signs
that the recent laggards in core Europe may soon start catching up to their
peers; Germany saw stronger-than-expected retail sales growth in May with
retail sales jumping an impressive 10.3% compared to a year earlier. Broad
retail sales, including car sales, now stand 2.1% higher than their first
quarter average. This bodes well for a rebound in consumer spending in the
second quarter of this year, after a surprising 0.6% quarterly decline in the
first quarter.
Since March, the sheer pace of earnings forecast upgrades has been a support
for equities in the face of rising European and U.S. short interest rates, and
the bursting of the speculative TMT bubble. Although we are optimistic about
the general environment, we remain cautious as there is the possibility of a
slowdown toward the end of the summer and into the fall. A topping out of
earnings upgrades remains a possibility after experiencing the strength seen
recently. In such an environment, software, technology, hardware and luxury
goods would most likely be the most sensitive on the downside, while food,
beverages and other consumer staples would be defensive. The Portfolio would
therefore be well positioned if such a scenario were to develop.
Japan seems to be on the verge of a self-sustaining economic recovery. The
key assumption to our outlook is that the U.S. will have a ''soft landing'' and
that Japan's economic recovery will become self sustaining during the second
half of 2000. Japan's government leaders are expected to use the July summit in
Okinawa as a means of show-casing concrete plans for a self sustaining recovery
and will pledge to continue Prime Minister Obuchi's plan for a domestic led
recovery. Many Japanese companies are beginning to generate free cash flow and
IT spending as a percent of CAPEX is expected to grow significantly during the
next year. In response to this trend, the Japanese government has created a new
''Minister of Information Technology'' position within the ruling cabinet.
Global demand for Japan's digital products is also expected to contribute to
corporate earnings where companies have become highly geared to top line
growth. We expect earnings surprises because of this gearing in earnings.
Finally, we believe a modest rise in interest rates (which the Bank of Japan
has hinted at for several months) will actually have a positive effect by
spurring consumption and accelerating restructuring. We plan to maintain the
current Portfolio holdings in select world class technology companies, economic
sensitive stocks and deep value cyclicals.
Morgan Stanley's outlook for Asia ex-Japan remains somewhat tentative due to
the regions' interest rate sensitivity. Assuming that the U.S. experiences a
''soft-landing'', which appears increasingly likely, and rate increases abate,
the region should experience solid performance. Specifically, as we near the
end of the tightening phase, we could see markets trend higher as domestic
fundamentals come to the fore front. Hong Kong looks poised to benefit in the
near-term from the likely boost to banking and property stocks, with increasing
Chinese monetary reflation (which correlates well with the Hang Seng Index)
working as an additional catalyst. Recent data show increases in retail sales
and export growth in Singapore and Hong Kong, and we expect this trend to
continue. In Australia, the demand for equities remains robust, while little
supply is coming through the pipeline, which should work to push the market
higher.
Government Securities Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Government Securities Portfolio
returned 4.28%**, compared to a 4.96%* return for the Lehman Brothers
Government Bond Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The yield curve inverted dramatically in 2000 with 30-year yields falling
from 6.48% to 5.90%, while three-month yields moved in the opposite direction,
rising from 5.33% to 5.86%. The U.S. fiscal surplus prompted the Treasury to
reduce issuance while increasing the buyback of longer-dated Treasuries. The
Treasury's actions, in combination with investor demand for long maturity
Treasury securities, drove longer yields lower. Short-term rates rose as the
Federal Reserve was vigilant in fighting inflation. The Federal Reserve raised
the federal funds target rate from 5.50% to 6.50%, the highest rate in nine
years. However, the Federal Reserve left rates unchanged in late June amid
signs that higher rates were starting to have the desired effect. Economic
reports in April and May showed the first back-to-back declines in retail sales
in two years, falling employment, reduced new home construction and little
change in consumer prices.
The Lehman Brothers Aggregate Bond Index returned 3.98%* in 2000, rebounding
from last year's dismal bond
---------------
* 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-20
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
market. Both the Lehman Brothers Government/Corporate Bond Index and their
Government Bond Index outperformed their Aggregate Bond Index year-to-date with
returns of 4.16%* and 4.96%*, respectively. Treasuries have been the best
performing sector, benefiting from the buyback and reduced issuance. Mortgages
returned 3.67%, benefiting from light new issuance and attractive yield
premiums. Corporates significantly lagged other sectors as concerns over
increased leverage have caused spreads to widen.
Q: Discuss some of the types of securities/sectors which performed well and
those which reported disappointing results.
A: The Portfolio underperformed the Lehman Brothers Government Bond Index, its
benchmark index, by 33 basis points. The Portfolio's below-index duration was a
slight negative as interest rates fell. Exposure to both corporates and
mortgages detracted from returns, while Treasuries had a positive effect on
returns.
Q: What is your outlook for the second half of 2000?
A: PIMCO's long-term outlook for bonds is positive based on expectations of a
slowing U.S. economy, leading to maximum U.S. and global growth of three
percent over the next several years. This deceleration will gradually lower
interest rates on high quality bonds by capping inflation near three percent in
the U.S. and closer to two percent in Europe.
While the Federal Reserve's tightening cycle is almost over, monetary policy
will remain restrictive until a slowdown is confirmed. Federal Reserve
tightening will continue until growth slows to a pace that is sustainable
without fueling inflation. Given the direction of Federal Reserve policy and
higher levels of risk for non-sovereign debt, protecting principal will be the
key to earning superior relative returns. Treasuries, ''full faith and credit''
mortgages such as GNMA's, and higher quality corporates are prudent
alternatives for pursuing this strategy.
PIMCO will target duration near the benchmark and curve structure will be
dependent upon the type of security. Exposure to the long end of the yield
curve continues to be through Treasuries. We expect corporate, high yield and
emerging markets exposure to be in shorter maturities because of the
uncertainty of long run cash flows. We will look for longer maturity corporates
of the highest quality and will purchase mortgages across the yield curve. We
plan to focus on mortgages over Treasuries to take advantage of the substantial
yield premium and on high coupon mortgages because we believe that the risk of
prepayment is relatively low.
Managed Bond Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Managed Bond Portfolio returned
4.46%**, compared to a 4.16%* return for the Lehman Brothers
Government/Corporate Bond Index.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The yield curve inverted dramatically in 2000 with 30-year yields falling
from 6.48% to 5.90%, while three-month yields moved in the opposite direction,
rising from 5.33% to 5.86%. The U.S. fiscal surplus prompted the Treasury to
reduce issuance while increasing the buyback of longer-dated Treasuries. The
Treasury's actions, in combination with investor demand for long maturity
Treasury securities, drove longer yields lower. Short-term rates rose as the
Federal Reserve was vigilant in fighting inflation. The Federal Reserve raised
the federal funds target rate from 5.50% to 6.50%, the highest rate in nine
years. However, the Federal Reserve left rates unchanged in late June amid
signs that higher rates were starting to have the desired effect. Economic
reports in April and May showed the first back-to-back declines in retail sales
in two years, falling employment, reduced new home construction and little
change in consumer prices.
The Lehman Brothers Aggregate Bond Index returned 3.98%* in 2000, rebounding
from last year's dismal bond market. Both the Lehman Brothers Government/
Corporate Bond Index and their Government Bond Index outperformed their
Aggregate Bond Index year-to-date with returns of 4.16%* and 4.96%*,
respectively. Treasuries have been the best performing sector, benefiting from
the buyback and reduced issuance. Mortgages returned 3.67%, benefiting from
light new issuance and attractive yield premiums. Corporates significantly
lagged other sectors as concerns over increased leverage have caused spreads to
widen.
High yield bonds have been hurt by increased defaults with the Lehman BB
Intermediate Bond Index returning just 1.04%*. Despite increased volatility,
emerging markets performed well, returning 8.10%* as measured
---------------
* 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-21
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
by the JP Morgan Emerging Bond Index Plus. Global bonds lagged Treasuries with
the JP Global Bond Index Government Bond Index returning 4.48%* for the year.
Q: Discuss some of the types of securities/sectors which performed well and
those which reported disappointing results.
A: The Portfolio outperformed the Lehman Brothers Government/Corporate Bond
Index, its benchmark index, by 66 basis points. The Portfolio's below-index
duration was a slight negative as interest rates fell. An underweight to the
corporate sector was a strong positive as corporates lagged both Treasuries
and mortgages. Exposure to emerging markets also added to returns.
Q: What is your outlook for the second half of 2000?
A: PIMCO's long-term outlook for bonds is positive based on expectations of a
slowing U.S. economy, leading to maximum U.S. and global growth of three
percent over the next several years. This deceleration will gradually lower
interest rates on high quality bonds by capping inflation near three percent
in the U.S. and closer to two percent in Europe.
While the Federal Reserve's tightening cycle is almost over, monetary
policy will remain restrictive until a slowdown is confirmed. Federal Reserve
tightening will continue until growth slows to a pace that is sustainable
without fueling inflation. Given the direction of Federal Reserve policy and
higher levels of risk for non-sovereign debt, protecting principal will be the
key to earning superior relative returns. Treasuries, ''full faith and
credit'' mortgages such as GNMA's and higher quality corporates are prudent
alternatives for pursuing this strategy.
PIMCO will target duration near the benchmark and curve structure will be
dependent upon the type of security. Exposure to the long end of the yield
curve continues to be through Treasuries. We expect corporate, high yield and
emerging markets exposure to be in shorter maturities because of the
uncertainty of long run cash flows. We will look for longer maturity
corporates of the highest quality and will purchase mortgages across the yield
curve. We plan to focus on mortgages over Treasuries to take advantage of the
substantial yield premium and plan to focus on high coupon mortgages because
we believe that the risk of prepayment is relatively low.
The Portfolio will continue to maintain a limited allocation to high yield
bonds due to concerns about historically high default rates, the flow of
assets out of this sector, and increasing levels of corporate leverage. We
continue to allocate a modest percentage of the Portfolio's assets to emerging
markets, but plan to focus on the higher quality countries such as Mexico and
Korea.
Money Market Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the Money Market Portfolio returned
2.89%**, compared to a 2.93%* return for the Merrill Lynch 90-day T-Bill
Index. The yield, measured during the seven-day period ending June 30, 2000
was 5.97%**.
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: Throughout the first half of 2000, the FOMC continued its tightening
stance. Three rounds of rate increases raised the federal funds target rate
from 5.50% at the start of the year to 6.50% by the end of June. This
tightening action moved short-term yields upward. During the first half of the
year, 30, 60 and 90-day commercial paper rates increased approximately 100
basis points. However, the yield curve remained very flat, with the spread
between the 30-day and 90-day commercial paper rates averaging around 5 basis
points. While the rate increases improved absolute yields, they also led to
greater market volatility. This effectively increased fund share movement,
which resulted in a larger portion of funds invested in shorter, lower
yielding commercial paper.
To take advantage of a rising rate environment, we increased the
Portfolio's holdings of floating rate securities. Market demand for these
instruments relative to London Inter-Bank Offer Rate (LIBOR) continued to be
very strong, thus resulting in a tightening of spreads and good performance.
However, commercial paper spreads versus U.S. Treasury bills widened.
Consequently, the Portfolio's holdings of U.S. Treasury bill based floating
debt exhibited only fair performance.
Later in the second quarter we saw an increase in the issuance of asset-
backed securities. Taking advantage of this yield enhancing opportunity, we
increased the Portfolio's holdings from 3% to 11%. We also continued our
program of investing in highly rated corporate bonds, keeping the Portfolio's
allocation near 16%. These strategies lengthened the Portfolio's average
maturity from 45 days to 66 days at the end of the period.
---------------
* 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-22
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: Discuss some of the types of securities/sectors which performed well and
those which reported disappointing results.
A: Generally, top tier names such as General Motors Acceptance Corp., Ford
Motor Credit, and General Electric Capital Corp. exhibited little pricing
value. However, value could be found in other top tier names. This was
especially true in the energy sector where enhanced yields could be found in
issuers such as Alliant Energy Corp., Ameren Corp., Wisconsin Energy Corp.,
and Allegheny Energy. Other relative value plays included Monsanto Co., Snap
On Inc., and Nike Incorporated.
As is usually the case, issuers experiencing downgrades or placement on
ratings watch lists traded much cheaper relative to the above issuers. We
generally avoided these securities and thus did not add these names, despite
additional yield opportunities. We do, however, consider companies who may
have experienced negative press (i.e. reported negative earnings, merger
rumors), which tend to trade at cheaper levels.
Q: What is your outlook for the second half of 2000?
A: There has been recent evidence that the economy is slowing. This may
alleviate FOMC concerns and lead to a more stable interest rate environment.
Nevertheless, Pacific Life will continue to monitor economic releases to
determine if additional interest rate increases are likely. Given the flatness
of the current yield curve, we will keep the average maturity of the Portfolio
close to the industry average. We still believe that value exists in the
floating rate market and with corporate bond investments. The Portfolio will
also look to opportunistically capitalize on asset-backed issuance.
High Yield Bond Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six months ended June 30, 2000, the High Yield Bond Portfolio
returned -1.15%**, compared to -0.84%* Return for the CS First Boston Global
High Yield Bond Index (CS First Boston Index).
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: The Portfolio's lower weighting in emerging markets versus the CS First
Boston Index during the first half of 2000 negatively affected performance.
Year-to-date the emerging market component of the CS First Boston Index
returned 5.65%*. Pacific Life has gradually been increasing the Portfolio's
exposure to emerging markets. Additionally, the Portfolio was underweighted
versus its benchmark index in bonds not rated by a primary rating agency and
in deferred pay bonds, both of which outperformed the market.
Positive factors affecting performance of the Portfolio were the
Portfolio's underweight position versus its benchmark index in the lower tier
segment of the market, and the Portfolio's overweight position in the mobile
communications sector, which was one of the top performing sectors for the
first half of 2000.
Q: Discuss some of the types of securities/sectors, which performed well and
those which reported disappointing results.
A: Higher oil & natural gas prices contributed to strong performance in the
energy sector where the Portfolio was slightly overweighted compared to the CS
First Boston Index. Other top performing sectors included technology and
mobile communications. Several companies in the telecommunications sector
benefited from merger and acquisition activity. For example, Splitrock, a non-
rated Internet service provider was acquired by McLeodUSAInc, another
Portfolio holding, which caused the bonds to trade up significantly. Also, NTT
DoCoMo Inc., a subsidiary of AA rated Nippon Telephone and Telegraph has
offered to purchase Verio Inc. As a result, Verio's stocks and bonds have
increased in value. Underperforming industries included entertainment, metals
and retail.
Q: What is your outlook for the second half of 2000?
A: Spreads in the high yield market have risen 155 basis points since December
31, 1999. The higher spreads currently offer investors an attractive
opportunity. However, we remain cautious and will continue to overweight the
upper tier segment of the market versus the CS First Boston Index due to our
concerns about high defaults and the possibility of more interest rate hikes.
Large-Cap Value Portfolio
Q: How did the Portfolio perform over the first half of 2000?
A: For the six-months ended June 30, 2000, the Large-Cap Value Portfolio
returned 9.13%**, compared to a -0.42%* return for the S&P 500 Index.
---------------
* 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-23
<PAGE>
PACIFIC SELECT FUND PERFORMANCE DISCUSSION (Continued)
Q: What were some of the positive and negative factors which affected the
Portfolio's performance during the first half of the year?
A: In the first half of this year, the equity markets experienced increased
volatility. Technology stocks continued to drive the market through early
March. The momentum behind technology stocks came at the expense of most other
sectors of the market, including consumer staples, financials and
pharmaceuticals. During this period, Salomon added securities in these out-of-
favor sectors to the Portfolio. In mid-March, investors took profits in
technology stocks and rotated into undervalued sectors. Specifically, defensive
sectors such as consumer staples, healthcare and energy all performed well as
investors continued to worry about the Federal Reserve's reaction to
inflationary pressures. The Portfolio benefited from the increase in market
breadth.
For the six-month period, the significant decline in a number of large-
capitalization stocks held back the performance of the S&P 500 Index.
Microsoft, which represented 4.9% of the S&P 500 Index at year-end, declined
31.5%, which alone penalized the S&P 500 by 1.5%. Other notable decliners
included Lucent, America Online, AT&T, Home Depot, Procter & Gamble and
Qualcomm, all of which fell more than 20%. Including Microsoft, these eight
stocks accounted for about 13% of the S&P 500 Index at year-end. Given the
Portfolio's value strategy, we did not own any of these securities, which
certainly contributed to our relative performance versus the S&P 500 Index.
Q: Discuss some of the companies/sectors which performed well and
companies/sectors which reported disappointing results.
A: During the first quarter, we continued to trim most of the Portfolio's
technology holdings due to valuation concerns. We redeployed those proceeds
into other sectors of the market that offered much more attractive valuations.
In particular, we added consumer staples, financials and pharmaceuticals, all
of which rebounded as investors rotated out of technology. Since the correction
in technology in mid-March, we have been adding selected technology stocks. We
plan to continue increasing the Portfolio's weighting in technology as we see
opportunities to do so.
The Portfolio's overweighted position versus it benchmark index in consumer
staples contributed to outperformance during the period. In particular, Nabisco
Group Holdings Corp., Pepsi Bottling Group Inc., Safeway Inc. and Kimberly-
Clark Corp. all were strong performers. Nabisco Group Holdings was the
Portfolio's top contributor during the period as a result of the planned sale
of the company. In other sectors, leading contributors included News
Corporation Ltd., Intel Corp., Lilly (Eli) & Co. and Coastal Corp., among
others.
Stocks that negatively affected the Portfolio's performance included
International Paper Co., Compuware Corp., Tyson Foods Inc., Federated
Department Stores and UnumProvident Corp. With the exception of International
Paper, the issues relating to these stocks were more company-specific than
sector-specific. The Portfolio no longer owns Compuware and UnumProvident. We
continue to like International Paper and added to the position to the Portfolio
at the end of the quarter. International Paper and other basic material stocks
suffered during the period due to concerns about higher raw material costs and
a slowing economy. Tyson Foods and Federated are attractive from a longer-term
perspective, but we think near-term issues will likely continue to hamper the
stock prices. Tyson is suffering from excess poultry supplies which are
depressing prices. Federated's core business remains intact, but the company is
experiencing credit difficulties with its recently acquired Fingerhut division.
The Portfolio remains overweight versus the S&P 500 Index in consumer
staples, communications, energy and financials. As a result of the merger
between Bell Atlantic and GTE, the Portfolio's top position is now Verizon
Communications, the newly combined entity.
Q: What is your outlook for the second half of 2000?
A: Recent economic data points suggest that the economy may be slowing,
however, inflationary concerns may keep the Federal Reserve on guard. We expect
recent stock market volatility to persist. Uncertainty over economic growth and
prospective Federal Reserve actions will continue to result in market swings.
Fortunately, market breadth remains favorable. We believe that the Portfolio
continues to be well positioned for this type of market in which individual
stock selection plays a more important role than sector 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-24
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2000 (Unaudited)
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
Aggressive Emerging Diversified Small-Cap International Bond and
Equity Markets Research Equity Large-Cap Income Equity
Portfolio Portfolio Portfolio Portfolio (1) Portfolio Portfolio Portfolio
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at cost.... $464,154 $228,607 $72,217 $618,191 $257,897 $203,540 $998,949
-----------------------------------------------------------------------------------
Investments, at value... $473,432 $229,065 $74,686 $681,457 $257,792 $197,116 $1,254,411
Cash.................... 2,004 1 1 4,600
Receivables:
Dividends and interest. 335 351 27 190 621 2,449 616
Fund shares sold....... 856 2,765 179 2,247 924 146 3,744
Securities sold........ 7,324 2,368 643 1,189 725 170,811
Other.................. 5 2
Forward foreign currency
contracts appreciation.. 253
Variation margin........ 172
Other assets............ 3 3
-----------------------------------------------------------------------------------
Total Assets............ 481,950 236,561 74,893 684,538 260,779 200,436 1,434,356
-----------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 3 46 109 54 100
Securities purchased... 11,321 4,155 2,293 5,310 2,199 179,549
Accrued advisory fees.. 314 204 53 343 216 97 648
Accrued custodian and
portfolio accounting
fees................... 43 89 15 51 79 19 76
Accrued other.......... 18 26 16 22 194 11 40
Forward foreign currency
contracts depreciation.. 1 145
Variation margin........ 70
-----------------------------------------------------------------------------------
Total Liabilities....... 11,696 4,478 84 2,755 6,053 2,450 180,413
-----------------------------------------------------------------------------------
NET ASSETS.............. $470,254 $232,083 $74,809 $681,783 $254,726 $197,986 $1,253,943
-----------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $438,839 $223,424 $72,036 $559,008 $254,944 $216,776 $962,500
Accumulated
undistributed net
investment income
(loss).................. (1,027) (482) 76 709 311 94 (138)
Accumulated
undistributed net
realized gain (loss).... 23,164 8,698 228 58,800 (367) (13,427) 36,330
Net unrealized
appreciation
(depreciation) on
investments and
assets and liabilities
in foreign currencies... 9,278 443 2,469 63,266 (162) (5,457) 255,251
-----------------------------------------------------------------------------------
NET ASSETS.............. $470,254 $232,083 $74,809 $681,783 $254,726 $197,986 $1,253,943
-----------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 36,689 24,158 6,726 23,566 27,173 17,537 35,985
-----------------------------------------------------------------------------------
Net Asset Value Per
Share................... $12.817 $9.607 $11.123 $28.931 $9.374 $11.289 $34.846
-----------------------------------------------------------------------------------
</TABLE>
(1) Formerly named Growth Portfolio.
See Notes to Financial Statements
B-1
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 2000 (Unaudited)
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
I-Net Mid-Cap Small-Cap
Tollkeeper Multi-Strategy Equity Income Growth LT Value Equity Index Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at cost.... $81,059 $853,769 $1,805,091 $3,421,185 $185,445 $1,915,848 $177,294
----------------------------------------------------------------------------------
Investments, at value... $84,709 $878,107 $1,947,221 $4,151,731 $189,748 $2,671,845 $175,875
Cash.................... 1 1 1 1 1
Receivables:
Dividends and interest. 6 3,349 2,347 749 183 2,049 125
Fund shares sold....... 383 364 1,753 6,434 433 1,884 176
Securities sold........ 618 11,421 13,978 22,800 21,987 52,226
Other.................. 8
Forward foreign currency
contracts appreciation.. 2,003
Variation margin........ 5 449 177 113
----------------------------------------------------------------------------------
Total Assets............ 85,717 893,255 1,965,748 4,183,718 190,365 2,697,943 228,515
----------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 14 51 1 226
Securities purchased... 26 126,724 4,751 1,358 5,129 29,591 63,672
Accrued advisory fees.. 97 407 1,041 2,625 127 544 65
Accrued custodian and
portfolio accounting
fees................... 6 64 122 341 4 207 17
Accrued other.......... 22 34 68 186 2 116 2
Forward foreign currency
contracts depreciation.. 596
----------------------------------------------------------------------------------
Total Liabilities....... 165 127,280 5,982 5,107 5,262 30,684 63,756
----------------------------------------------------------------------------------
NET ASSETS.............. $85,552 $765,975 $1,959,766 $4,178,611 $185,103 $2,667,259 $164,759
----------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $82,512 $748,995 $1,820,583 $3,010,370 $175,597 $1,910,921 $154,070
Accumulated
undistributed net
investment income
(loss).................. (104) 146 37 21,241 232 19 459
Accumulated
undistributed net
realized gain (loss).... (506) (7,619) (2,553) 415,046 4,971 616 11,641
Net unrealized
appreciation
(depreciation) on
investments and
assets and liabilities
in foreign currencies... 3,650 24,453 141,699 731,954 4,303 755,703 (1,411)
----------------------------------------------------------------------------------
NET ASSETS.............. $85,552 $765,975 $1,959,766 $4,178,611 $185,103 $2,667,259 $164,759
----------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 8,395 49,073 78,617 107,100 16,641 70,966 13,815
----------------------------------------------------------------------------------
Net Asset Value Per
Share................... $10.191 $15.609 $24.928 $39.016 $11.123 $37.585 $11.926
----------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements
B-2
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
JUNE 30, 2000 (Unaudited)
(In thousands, except per share amounts)
<TABLE>
<CAPTION>
International Government High Yield Large-Cap
REIT Value Securities Managed Bond Money Market Bond Value
Portfolio Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at cost.... $92,111 $1,507,294 $641,190 $1,768,054 $1,039,093 $482,401 $205,045
--------------------------------------------------------------------------------
Investments, at value... $97,154 $1,729,144 $639,416 $1,754,615 $1,039,093 $449,283 $217,169
Cash.................... 5,665 578 1,031 1 1
Receivables:
Dividends and interest. 617 4,648 1,581 14,439 2,178 10,591 425
Fund shares sold....... 104 44,188 332 556 993 748 1,674
Securities sold........ 98 6,112 1,520 9,745
Other.................. 1 27 30
Forward foreign currency
contracts appreciation.. 423 26
Variation margin........ 9,940 182 228
Other assets............ 5 11 269 278
--------------------------------------------------------------------------------
Total Assets............ 97,974 1,800,125 642,127 1,772,714 1,042,264 470,646 219,269
--------------------------------------------------------------------------------
LIABILITIES
Payables:
Fund shares redeemed... 90 4 16 396 53,531 123 24
Securities purchased... 4,175 23,888 185,052 505,231 19,308 8,585
Accrued advisory fees.. 81 1,193 221 615 286 217 144
Accrued custodian and
portfolio accounting
fees................... 483 40 103 70 37 26
Accrued other.......... 128 90 256 32 32 6
Outstanding options
written, at value ...... 141 400
--------------------------------------------------------------------------------
Total Liabilities....... 4,346 25,696 185,560 507,001 53,919 19,717 8,785
--------------------------------------------------------------------------------
NET ASSETS.............. $93,628 $1,774,429 $456,567 $1,265,713 $988,345 $450,929 $210,484
--------------------------------------------------------------------------------
NET ASSETS CONSIST OF:
Paid-in capital......... $87,532 $1,529,333 $468,465 $1,311,042 $988,201 $516,912 $190,747
Accumulated
undistributed net
investment income....... 955 812 344 1,483 144 346 574
Accumulated
undistributed net
realized gain (loss).... 98 24,555 (12,106) (34,781) (33,477) 7,039
Net unrealized
appreciation
(depreciation) on
investments and
assets and liabilities
in foreign currencies... 5,043 219,729 (136) (12,031) (32,852) 12,124
--------------------------------------------------------------------------------
NET ASSETS.............. $93,628 $1,774,429 $456,567 $1,265,713 $988,345 $450,929 $210,484
--------------------------------------------------------------------------------
Shares of beneficial
interest outstanding of
$.001 par value......... 8,480 101,560 44,554 121,061 97,993 54,309 17,540
--------------------------------------------------------------------------------
Net Asset Value Per
Share................... $11.041 $17.472 $10.248 $10.455 $10.086 $8.303 $12.000
--------------------------------------------------------------------------------
</TABLE>
(1) Formerly named International Portfolio.
See Notes to Financial Statements
B-3
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2000 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Aggressive Emerging Diversified Small-Cap International Bond and
Equity Markets Research Equity Large-Cap Income Equity
Portfolio Portfolio Portfolio (1) Portfolio (2) Portfolio (1) Portfolio Portfolio
----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of
foreign taxes withheld.. $1,251 $1,518 $195 $1,307 $634 $3,037
Interest................ 75 273 83 1,653 468 $7,137 737
Other................... 156 62 319 1 18 151
----------------------------------------------------------------------------------
Total Investment Income. 1,482 1,853 278 3,279 1,103 7,155 3,925
----------------------------------------------------------------------------------
EXPENSES
Advisory fees........... 1,884 1,276 161 1,779 530 591 3,653
Custodian fees and
expenses................ 39 259 16 61 91 16 45
Portfolio accounting
fees.................... 48 31 3 56 16 25 104
Shareholder reports .... 15 7 1 18 4 6 33
Legal fees.............. 5 2 6 1 2 11
Trustees' fees and
expenses................ 3 1 3 1 1 6
Other................... 13 7 21 15 22 12 27
----------------------------------------------------------------------------------
Total Expenses.......... 2,007 1,583 202 1,938 665 653 3,879
Expense Reductions...... (5) (6) (22) (7) (3) (1)
----------------------------------------------------------------------------------
Net Expenses............ 2,002 1,577 202 1,916 658 650 3,878
----------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS).................. (520) 276 76 1,363 445 6,505 47
----------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss)
from security
transactions............ 25,338 25,328 228 58,793 (367) (3,754) 41,520
Net realized gain (loss)
from futures contracts.. 268 (664)
Net realized foreign
exchange gain (loss).... (670) (134) 8
----------------------------------------------------------------------------------
Net Realized Gain (Loss)
on Investments and
Foreign Currency
Transactions............ 25,338 24,658 228 58,793 (501) (3,478) 40,856
----------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments............. (65,884) (45,271) 2,469 (41,665) (105) 4,551 (37,284)
Net unrealized
appreciation
(depreciation) on
futures contracts....... 2,061 (1,633)
Net unrealized foreign
exchange loss........... (15) (57) (2)
----------------------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions............ (65,884) (45,286) 2,469 (41,665) (162) 6,610 (38,917)
----------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS............ (40,546) (20,628) 2,697 17,128 (663) 3,132 1,939
----------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS......... ($41,066) ($20,352) $2,773 $18,491 ($218) $9,637 $1,986
----------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 3, 2000.
(2) Formerly named Growth Portfolio.
See Notes to Financial Statements
B-4
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE PERIOD ENDED JUNE 30, 2000 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
I-Net Mid-Cap Small-Cap
Tollkeeper Multi-Strategy Equity Income Growth LT Value Equity Index Index
Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of
foreign taxes withheld.. $11 $2,782 $11,851 $4,702 $760 $13,810 $806
Interest................ 70 9,897 2,480 13,011 229 2,032 408
Other................... 1 118 45 975 12 111 69
-------------------------------------------------------------------------------------
Total Investment Income. 82 12,797 14,376 18,688 1,001 15,953 1,283
-------------------------------------------------------------------------------------
EXPENSES
Advisory fees........... 159 2,431 6,042 15,463 612 3,120 384
Custodian fees and
expenses................ 15 45 73 210 13 112 87
Portfolio accounting
fees.................... 2 86 175 487 15 295 16
Shareholder reports .... 1 26 57 159 5 95 5
Legal fees.............. 9 19 53 2 32 2
Trustees' fees and
expenses................ 5 11 30 1 18 1
Other................... 41 19 46 129 3 78 3
-------------------------------------------------------------------------------------
Total Expenses.......... 218 2,621 6,423 16,531 651 3,750 498
Expense Reductions...... (32) (3) (9) (15) (2) (6) (3)
-------------------------------------------------------------------------------------
Net Expenses............ 186 2,618 6,414 16,516 649 3,744 495
-------------------------------------------------------------------------------------
NET INVESTMENT INCOME
(LOSS).................. (104) 10,179 7,962 2,172 352 12,209 788
-------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss)
from security
transactions............ (506) 4,601 31,758 420,886 5,599 7,211 11,773
Net realized gain (loss)
from futures contracts.. 1,046 3,169 (3,328) 365
Net realized foreign
exchange gain........... 28,828
-------------------------------------------------------------------------------------
Net Realized Gain (Loss)
on Investments and
Foreign Currency
Transactions............ (506) 5,647 34,927 449,714 5,599 3,883 12,138
-------------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments............. 3,650 (8,313) (61,713) (596,214) 5,431 (23,758) (14,829)
Net unrealized
depreciation on futures
contracts............... (533) (4,427) (1,651) (53)
Net unrealized foreign
exchange loss........... (6,748)
-------------------------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions............ 3,650 (8,846) (66,140) (602,962) 5,431 (25,409) (14,882)
-------------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS............ 3,144 (3,199) (31,213) (153,248) 11,030 (21,526) (2,744)
-------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS......... $3,040 $6,980 ($23,251) ($151,076) $11,382 ($9,317) ($1,956)
-------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on May 1, 2000.
See Notes to Financial Statements
B-5
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF OPERATIONS (Continued)
FOR THE PERIOD ENDED JUNE 30, 2000 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
International Government High Yield Large-Cap
REIT Value Securities Managed Bond Money Market Bond Value
Portfolio Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Dividends, net of
foreign taxes withheld.. $2,103 $13,499 $2 $162 $1,507
Interest................ 95 5,368 $13,272 39,637 $30,354 22,416 435
Other................... 7 401 1,410 127 20
--------------------------------------------------------------------------------
Total Investment Income. 2,205 18,867 13,673 41,049 30,354 22,705 1,962
--------------------------------------------------------------------------------
EXPENSES
Advisory fees........... 380 7,167 1,317 3,467 1,670 1,308 837
Custodian fees and
expenses................ 10 903 42 117 60 28 43
Portfolio accounting
fees.................... 8 186 48 99 81 54 21
Shareholder reports .... 2 56 13 29 27 14 7
Legal fees.............. 1 19 4 10 9 5 2
Trustees' fees and
expenses................ 11 2 6 5 3 1
Other................... 3 46 11 62 21 11 5
--------------------------------------------------------------------------------
Total Expenses.......... 404 8,388 1,437 3,790 1,873 1,423 916
Expense Reductions...... (7) (11) (41) (5) (6) (1)
--------------------------------------------------------------------------------
Net Expenses............ 404 8,381 1,426 3,749 1,868 1,417 915
--------------------------------------------------------------------------------
NET INVESTMENT INCOME... 1,801 10,486 12,247 37,300 28,486 21,288 1,047
--------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS
Net realized gain (loss)
from security
transactions............ 281 31,666 589 107 (11,403) 7,521
Net realized gain (loss)
from futures contracts.. 17,927 (669) 2,206
Net realized foreign
exchange gain (loss).... (5,095) (66) 22 (106)
--------------------------------------------------------------------------------
Net Realized Gain (Loss)
on Investments and
Foreign Currency
Transactions............ 281 44,498 (146) 2,335 (11,509) 7,521
--------------------------------------------------------------------------------
Net unrealized
appreciation
(depreciation) on
investments............. 9,023 (52,053) 2,275 7,723 (14,832) 10,045
Net unrealized
appreciation
(depreciation) on
futures contracts....... (27,998) 4,341 4,324
Net unrealized foreign
exchange gain (loss).... 1,177 (45) (62) (11)
--------------------------------------------------------------------------------
Net Unrealized Gain
(Loss) on Investments
and Foreign Currency
Transactions............ 9,023 (78,874) 6,571 11,985 (14,843) 10,045
--------------------------------------------------------------------------------
NET REALIZED AND
UNREALIZED GAIN (LOSS)
ON INVESTMENTS AND
FOREIGN CURRENCY
TRANSACTIONS............ 9,304 (34,376) 6,425 14,320 (26,352) 17,566
--------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS......... $11,105 ($23,890) $18,672 $51,620 $28,486 ($5,064) $18,613
--------------------------------------------------------------------------------
</TABLE>
(1) Formerly named International Portfolio.
See Notes to Financial Statements
B-6
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 2000 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
Aggressive Emerging Diversified Small-Cap International Bond and
Equity Markets Research Equity Large-Cap Income Equity
Portfolio Portfolio Portfolio (1) Portfolio (2) Portfolio (1) Portfolio Portfolio
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income
(loss).................. ($520) $276 $76 $1,363 $445 $6,505 $47
Net realized gain (loss)
on investments and
foreign
currency transactions... 25,338 24,658 228 58,793 (501) (3,478) 40,856
Net unrealized gain
(loss) on investments
and foreign
currency transactions... (65,884) (45,286) 2,469 (41,665) (162) 6,610 (38,917)
-------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from
Operations.............. (41,066) (20,352) 2,773 18,491 (218) 9,637 1,986
-------------------------------------------------------------------------------------
Net Equalization Credits
(Debits)................ 326 93 602 404 (57) 85
-------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (112) (628) (6,564) (74)
Net realized gains...... (15,629) (42,256) (78,904)
-------------------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions
to Shareholders......... (15,629) (112) (42,884) (6,564) (78,978)
-------------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 273,531 143,710 74,549 435,320 293,973 19,431 341,014
Dividend reinvestments.. 15,629 2,851 42,757 6,534 78,960
Cost of shares
repurchased............. (228,571) (111,370) (2,606) (197,610) (39,433) (29,632) (131,802)
-------------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Derived
from Capital Share
Transactions............ 60,589 35,191 71,943 280,467 254,540 (3,667) 288,172
-------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS........... 3,894 15,053 74,809 256,676 254,726 (651) 211,265
-------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period..... 466,360 217,030 425,107 198,637 1,042,678
-------------------------------------------------------------------------------------
End of Period........... $470,254 $232,083 $74,809 $681,783 $254,726 $197,986 $1,253,943
-------------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on January 3, 2000.
(2) Formerly named Growth Portfolio.
See Notes to Financial Statements
B-7
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE PERIOD ENDED JUNE 30, 2000 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
I-Net Multi- Mid-Cap Small-Cap
Tollkeeper Strategy Equity Income Growth LT Value Equity Index Index
Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income
(loss).................. ($104) $10,179 $7,962 $2,172 $352 $12,209 $788
Net realized gain (loss)
on investments and
foreign
currency transactions... (506) 5,647 34,927 449,714 5,599 3,883 12,138
Net unrealized gain
(loss) on investments
and foreign
currency transactions... 3,650 (8,846) (66,140) (602,962) 5,431 (25,409) (14,882)
-----------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from
Operations.............. 3,040 6,980 (23,251) (151,076) 11,382 (9,317) (1,956)
-----------------------------------------------------------------------------------
Net Equalization
Credits................. 8 623 913 43 306 746 226
-----------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (10,269) (8,160) (9,393) (126) (12,183) (329)
Net realized gains...... (56,437) (162,474) (615,889) (2,093) (28,439) (823)
-----------------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions
to Shareholders......... (66,706) (170,634) (625,282) (2,219) (40,622) (1,152)
-----------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 87,652 74,243 251,146 1,040,909 77,323 405,115 119,392
Dividend reinvestments.. 66,242 170,183 625,282 2,209 40,531 1,144
Cost of shares
repurchased............. (5,148) (54,913) (81,815) (367,116) (11,332) (152,805) (67,947)
-----------------------------------------------------------------------------------
Net Increase in Net
Assets Derived from
Capital Share
Transactions............ 82,504 85,572 339,514 1,299,075 68,200 292,841 52,589
-----------------------------------------------------------------------------------
NET INCREASE IN NET
ASSETS.................. 85,552 26,469 146,542 522,760 77,669 243,648 49,707
-----------------------------------------------------------------------------------
NET ASSETS
Beginning of Period..... 739,506 1,813,224 3,655,851 107,434 2,423,611 115,052
-----------------------------------------------------------------------------------
End of Period........... $85,552 $765,975 $1,959,766 $4,178,611 $185,103 $2,667,259 $164,759
-----------------------------------------------------------------------------------
</TABLE>
(1) Operations commenced on May 1, 2000.
See Notes to Financial Statements
B-8
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
FOR THE PERIOD ENDED JUNE 30, 2000 (Unaudited)
(In thousands)
<TABLE>
<CAPTION>
International Government High Yield Large-Cap
REIT Value Securities Managed Bond Money Market Bond Value
Portfolio Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income... $1,801 $10,486 $12,247 $37,300 $28,486 $21,288 $1,047
Net realized gain (loss)
on investments and
foreign
currency transactions... 281 44,498 (146) 2,335 (11,509) 7,521
Net unrealized gain
(loss) on investments
and foreign
currency transactions... 9,023 (78,874) 6,571 11,985 (14,843) 10,045
--------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Resulting
from
Operations.............. 11,105 (23,890) 18,672 51,620 28,486 (5,064) 18,613
--------------------------------------------------------------------------------
Net Equalization Credits
(Debits)................ 718 3,203 395 4,790 (152) 456 136
--------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income... (854) (12,245) (36,536) (28,472) (20,819) (470)
Net realized gains...... (51) (47,746) (1,229)
--------------------------------------------------------------------------------
Net Decrease in Net
Assets Resulting from
Distributions
to Shareholders......... (905) (47,746) (12,245) (36,536) (28,472) (20,819) (1,699)
--------------------------------------------------------------------------------
CAPITAL SHARE
TRANSACTIONS
Proceeds from sale of
shares.................. 52,745 2,165,315 75,975 192,413 3,220,785 107,903 114,880
Dividend reinvestments.. 883 46,802 12,051 35,495 28,163 20,427 1,688
Cost of shares
repurchased............. (21,019) (2,052,701) (66,455) (73,047) (3,317,537) (100,721) (92,665)
--------------------------------------------------------------------------------
Net Increase (Decrease)
in Net Assets Derived
from Capital Share
Transactions............ 32,609 159,416 21,571 154,861 (68,589) 27,609 23,903
--------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS........... 43,527 90,983 28,393 174,735 (68,727) 2,182 40,953
--------------------------------------------------------------------------------
NET ASSETS
Beginning of Period..... 50,101 1,683,446 428,174 1,090,978 1,057,072 448,747 169,531
--------------------------------------------------------------------------------
End of Period........... $93,628 $1,774,429 $456,567 $1,265,713 $988,345 $450,929 $210,484
--------------------------------------------------------------------------------
</TABLE>
(1) Formerly named International Portfolio.
See Notes to Financial Statements
B-9
<PAGE>
PACIFIC SELECT FUND
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE YEAR ENDED DECEMBER 31, 1999
(In thousands)
<TABLE>
<CAPTION>
Aggressive Emerging Small-Cap Bond and Multi-
Equity Markets Equity Income Equity Strategy Equity Income Growth LT Mid-Cap Value
Portfolio Portfolio Portfolio (1) Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio (2)
-------------------------------------------------------------------------------------------------------------
<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) Formerly named Growth Portfolio.
(2) Operations commenced on January 4, 1999.
See Notes to Financial Statements
B-10
<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 International ment Managed Money Yield
Index Index REIT Value Securities Bond Market Bond
Portfolio Portfolio (1) Portfolio (1) Portfolio (2) Portfolio Portfolio Portfolio Portfolio
---------------------------------------------------------------------------------------------------
<S> <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
Net realized
gain (loss) on
investments and
foreign currency
transactions.... 25,670 1,535 (26) 16,214 (12,571) (40,909) (11,559)
Net unrealized
gain (loss) on
investments and
foreign currency
transactions.... 320,776 13,471 (3,980) 282,496 (8,175) (28,246) (12,739)
-------------------------------------------------------------------------------------------------
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
-------------------------------------------------------------------------------------------------
Net Equalization
Credits......... 1,588 467 833 8,793 3,681 10,971 7,070 1,528
-------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment
income.......... (21,634) (517) (1,705) (8,658) (16,370) (53,390) (35,643) (36,795)
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)
-------------------------------------------------------------------------------------------------
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
Dividend
reinvestments... 29,806 1,719 1,777 52,357 20,246 74,523 35,306 36,160
Cost of shares
repurchased..... (221,066) (19,340) (8,181) (2,924,648) (34,013) (105,752) (4,199,090) (148,722)
-------------------------------------------------------------------------------------------------
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
-------------------------------------------------------------------------------------------------
NET INCREASE IN
NET ASSETS...... 927,154 115,052 50,101 687,231 237,746 324,989 577,951 59,362
-------------------------------------------------------------------------------------------------
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
-------------------------------------------------------------------------------------------------
<CAPTION>
Large-Cap
Value
Portfolio (1)
-------------
<S> <C>
OPERATIONS
Net investment
income ......... $743
Net realized
gain (loss) on
investments and
foreign currency
transactions.... 747
Net unrealized
gain (loss) on
investments and
foreign currency
transactions.... 2,079
----------
Net Increase
(Decrease) in
Net Assets
Resulting from
Operations...... 3,569
----------
Net Equalization
Credits......... 732
----------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment
income.......... (746)
Net realized
gains...........
----------
Net Decrease in
Net Assets
Resulting from
Distributions to
Shareholders.... (746)
----------
CAPITAL SHARE
TRANSACTIONS
Proceeds from
sale of shares.. 195,137
Dividend
reinvestments... 742
Cost of shares
repurchased..... (29,903)
----------
Net Increase in
Net Assets
Derived from
Capital Share
Transactions.... 165,976
----------
NET INCREASE IN
NET ASSETS...... 169,531
----------
NET ASSETS
Beginning of
Year............
----------
End of Year..... $169,531
----------
</TABLE>
(1) Operations commenced on January 4, 1999.
(2) Formerly named International Portfolio.
See Notes to Financial Statements
B-11
<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
---------------------------
For the Period Ended
June 30, 2000 (Unaudited) $14.55 - ($1.26) ($1.26) - ($0.47) ($0.47) $12.82
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 10.00 0.01 0.78 0.79 ($0.01) - (0.01) 10.78
----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
--------------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.48 ($0.02) ($0.84) ($0.86) ($0.01) - ($0.01) $9.61
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 10.00 (0.02) (0.30) (0.32) - - - 9.68
------------------------------------------------------------------------------------------------------------------------------------
Diversified Research Portfolio (4)
------------------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.00 $0.01 $1.11 $1.12 - - - $11.12
----------------------------------------------------------------------------------------------------------------------------------
Small-Cap Equity Portfolio (5)
--------------------------
For the Period Ended
June 30, 2000 (Unaudited) $29.79 $0.06 $1.20 $1.26 ($0.03) ($2.09) ($2.12) $28.93
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
----------------------------------------------------------------------------------------------------------------------------------
International Large-Cap Portfolio (4)
---------------------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.00 $0.01 ($0.64) ($0.63) - - - $9.37
----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of Net
Net Ratio Ratio Investment Income Investment Income
Assets, of Net of Gross (Loss) After (Loss) Before
End of Expenses to Expenses to Expense Reductions Expense Reductions Portfolio
For the Year Ended Total Year (in Average Net Average Net to Average Net to Average Net Turnover
December 31, Return (1) thousands) Assets (2), (3) Assets (2), (3) Assets (2), (3) Assets (2), (3) Rate
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Aggressive Equity Portfolio
---------------------------
For the Period Ended
June 30, 2000 (Unaudited) (8.71%) $470,254 0.85% 0.85% (0.22%) (0.22%) 39.69%
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 7.86% 49,849 1.02% 1.03% (0.11%) (0.12%) 79.86%
----------------------------------------------------------------------------------------------------------------------------------
Emerging Markets Portfolio
--------------------------
For the Period Ended
June 30, 2000 (Unaudited) (8.25%) $232,083 1.36% 1.36% 0.24% 0.23% 84.79%
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 (3.23%) 44,083 2.18% 2.22% (0.11%) (0.14%) 47.63%
----------------------------------------------------------------------------------------------------------------------------------
Diversified Research Portfolio (4)
------------------------------
For the Period Ended
June 30, 2000 (Unaudited) 11.23% $74,809 1.13% 1.13% 0.43% 0.43% 4.90%
----------------------------------------------------------------------------------------------------------------------------------
Small-Cap Equity Portfolio (5)
--------------------------
For the Period Ended
June 30, 2000 (Unaudited) 5.39% $681,783 0.70% 0.71% 0.50% 0.49% 25.40%
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%
----------------------------------------------------------------------------------------------------------------------------------
International Large-Cap Portfolio (4)
---------------------------------
For the Period Ended
June 30, 2000 (Unaudited) (6.26%) $254,726 1.31% 1.32% 0.88% 0.87% 15.70%
----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on C-5
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>
Bond and Income Portfolio
-------------------------
For the Period Ended
June 30, 2000 (Unaudited) $11.11 $0.37 $0.19 $0.56 ($0.38) - ($0.38) $11.29
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
----------------
For the Period Ended
June 30, 2000 (Unaudited) $37.50 - ($0.22) ($0.22) - ($2.43) ($2.43) $34.85
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
------------------------------------------------------------------------------------------------------------------------------------
I-Net Tollkeeper Portfolio (6)
--------------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.00 ($0.01) $0.20 $0.19 - - - $10.19
------------------------------------------------------------------------------------------------------------------------------------
Multi-Strategy Portfolio
------------------------
For the Period Ended
June 30, 2000 (Unaudited) $16.98 $0.23 ($0.11) $0.12 ($0.23) ($1.26) ($1.49) $15.61
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
------------------------------------------------------------------------------------------------------------------------------------
Equity Income Portfolio
-----------------------
For the Period Ended
June 30, 2000 (Unaudited) $27.75 $0.11 ($0.51) ($0.40) ($0.11) ($2.31) ($2.42) $24.93
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
------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of Net
Net Ratio Ratio Investment Income Investment Income
Assets, of Net of Gross (Loss) After (Loss) Before
End of Expenses to Expenses to Expense Reductions Expense Reductions Portfolio
For the Year Ended Total Year (in Average Net Average Net to Average Net to Average Net Turnover
December 31, Return (1) thousands) Assets (2), (3) Assets (2), (3) Assets (2), (3) Assets (2), (3) Rate
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Bond and Income Portfolio
-------------------------
For the Period Ended
June 30, 2000 (Unaudited) 5.09% $197,986 0.66% 0.66% 6.61% 6.60% 32.05%
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
----------------
For the Period Ended
June 30, 2000 (Unaudited) (0.19%) $1,253,943 0.69% 0.69% 0.01% 0.01% 37.64%
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%
------------------------------------------------------------------------------------------------------------------------------------
I-Net Tollkeeper Portfolio (6)
--------------------------
For the Period Ended
June 30, 2000 (Unaudited) 1.91% $85,552 1.75% 2.06% (0.98%) (1.28%) 4.28%
------------------------------------------------------------------------------------------------------------------------------------
Multi-Strategy Portfolio
------------------------
For the Period Ended
June 30, 2000 (Unaudited) 0.84% $765,975 0.70% 0.70% 2.72% 2.72% 113.60%
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%
------------------------------------------------------------------------------------------------------------------------------------
Equity Income Portfolio
-----------------------
For the Period Ended
June 30, 2000 (Unaudited) (1.29%) $1,959,766 0.69% 0.69% 0.86% 0.86% 23.15%
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%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on C-5
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 Net Realized Dividends Net Asset
Value, Investment and Unrealized Total from from Net Distributions Value,
For the Year Ended Beginning Income Gain (Loss) Investment Investment from Capital Total End of
December 31, of Year (Loss) on Securities Operations Income Gains Distributions Year
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Growth LT Portfolio
-------------------
For the Period Ended
June 30, 2000 (Unaudited) $47.67 $0.23 ($1.72) ($1.49) ($0.11) ($7.05) ($7.16) $39.02
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
-----------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.50 $0.02 $0.75 $0.77 ($0.01) ($0.14) ($0.15) $11.12
1999 10.00 0.02 0.50 0.52 (0.02) - (0.02) 10.50
----------------------------------------------------------------------------------------------------------------------------------
Equity Index Portfolio
----------------------
For the Period Ended
June 30, 2000 (Unaudited) $38.41 $0.18 ($0.41) ($0.23) ($0.18) ($0.41) ($0.59) $37.59
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
-------------------------
For the Period Ended
June 30, 2000 (Unaudited) $11.74 $0.06 $0.21 $0.27 ($0.02) ($0.06) ($0.08) $11.93
1999 10.00 0.06 1.87 1.93 (0.06) (0.13) (0.19) 11.74
-----------------------------------------------------------------------------------------------------------------------------------
REIT Portfolio
--------------
For the Period Ended
June 30, 2000 (Unaudited) $9.59 $0.22 $1.35 $1.57 ($0.11) ($0.01) ($0.12) $11.04
1999 10.00 0.39 (0.39) - (0.39) (0.02) (0.41) 9.59
-----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of Net
Net Ratio Ratio Investment Income Investment Income
Assets, of Net of Gross (Loss) After (Loss) Before
End of Expenses to Expenses to Expense Reductions Expense Reductions Portfolio
For the Year Ended Total Year (in Average Net Average Net to Average Net to Average Net Turnover
December 31, Return (1) thousands) Assets (2), (3) Assets (2), (3) Assets (2), (3) Assets (2), (3) Rate
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Growth LT Portfolio
-------------------
For the Period Ended
June 30, 2000 (Unaudited) (2.73%) $4,178,611 0.80% 0.80% 0.11% 0.10% 31.11%
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
-----------------------
For the Period Ended
June 30, 2000 (Unaudited) 7.36% $185,103 0.90% 0.90% 0.49% 0.48% 70.33%
1999 5.22% 107,434 0.97% 0.97% 0.44% 0.44% 84.14%
------------------------------------------------------------------------------------------------------------------------------------
Equity Index Portfolio
----------------------
For the Period Ended
June 30, 2000 (Unaudited) (0.56%) $2,667,259 0.30% 0.30% 0.98% 0.98% 1.94%
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
-------------------------
For the Period Ended
June 30, 2000 (Unaudited) 2.36% $164,759 0.64% 0.65% 1.02% 1.02% 65.89%
1999 19.36% 115,052 0.75% 0.94% 0.99% 0.80% 52.06%
------------------------------------------------------------------------------------------------------------------------------------
REIT Portfolio
--------------
For the Period Ended
June 30, 2000 (Unaudited) 16.46% $93,628 1.16% 1.16% 5.19% 5.19% 15.38%
1999 (0.01%) 50,101 1.28% 1.28% 6.09% 6.09% 20.24%
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on C-5
C-3
<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>
International Value Portfolio (7)
-----------------------------
For the Period Ended
June 30, 2000 (Unaudited) $18.49 $0.07 ($0.58) ($0.51) - ($0.51) ($0.51) $17.47
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
-------------------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.10 $0.28 $0.15 $0.43 ($0.28) - ($0.28) $10.25
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
------------------------------------------------------------------------------------------------------------------------------------
Managed Bond Portfolio
----------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.33 $0.33 $0.12 $0.45 ($0.32) - ($0.32) $10.46
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
----------------------
For the Period Ended
June 30, 2000 (Unaudited) $10.08 $0.28 $0.01 $0.29 ($0.28) - ($0.28) $10.09
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
------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of Net
Net Ratio Ratio Investment Income Investment Income
Assets, of Net of Gross After Expense Before Expense
End of Expenses to Expenses to Reductions to Reductions to Portfolio
For the Year Ended Total Year (in Average Net Average Net Average Net Average Net Turnover
December 31, Return (1) thousands) Assets (2), (3) Assets (2), (3) Assets (2), (3) Assets (2), (3) Rate
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
International Value Portfolio (7)
-----------------------------
For the Period Ended
June 30, 2000 (Unaudited) (2.54%) $1,774,429 0.99% 0.99% 1.24% 1.24% 32.90%
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
-------------------------------
For the Period Ended
June 30, 2000 (Unaudited) 4.28% $456,567 0.65% 0.65% 5.58% 5.57% 264.62%
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%
------------------------------------------------------------------------------------------------------------------------------------
Managed Bond Portfolio
----------------------
For the Period Ended
June 30, 2000 (Unaudited) 4.46% $1,265,713 0.65% 0.66% 6.45% 6.44% 198.38%
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
----------------------
For the Period Ended
June 30, 2000 (Unaudited) 2.89% $988,345 0.38% 0.38% 5.76% 5.76% N/A
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
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements See explanation of references on C-5
C-4
<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>
High Yield Bond Portfolio
For the Period Ended
June 30, 2000 (Unaudited) $8.81 $0.41 ($0.52) ($0.11) ($0.40) - ($0.40) $8.30
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
-------------------------
For the Period Ended
June 30, 2000 (Unaudited) $11.09 $0.06 $0.95 $1.01 ($0.02) ($0.08) ($0.10) $12.00
1999 10.00 0.05 1.09 1.14 (0.05) - (0.05) 11.09
------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
Ratios/Supplemental Data
---------------------------------------------------------------------------------------------------------
Ratio of Net Ratio of Net
Net Ratio Ratio Investment Investment
Assets, of Net of Gross Income After Income Before
End of Expenses to Expenses to Expense Reductions Expense Reductions Portfolio
For the Year Ended Total Year (in Average Net Average Net to Average Net to Average Net Turnover
December 31, Return (1) thousands) Assets (2), (3) Assets (2), (3) Assets (2), (3) Assets (2), (3) Rate
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
High Yield Bond Portfolio
For the Period Ended
June 30, 2000 (Unaudited) (1.15%) $450,929 0.65% 0.65% 9.77% 9.76% 35.46%
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
-------------------------
For the Period Ended
June 30, 2000 (Unaudited) 9.13% $210,484 0.93% 0.93% 1.06% 1.06% 52.06%
1999 11.46% 169,531 0.97% 0.97% 0.86% 0.86% 55.23%
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Total return not annualized for periods of less than one full year.
(2) 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.
(3) Annualized for periods of less than one full year.
(4) Operations commenced on January 3, 2000.
(5) Small-Cap Equity Portfolio formerly named Growth Portfolio.
(6) Operations commenced on May 1, 2000.
(7) International Value Portfolio formerly named International Portfolio.
See Notes to Financial Statements
C-5
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 92.53%
Autos & Transportation - 10.85%
Alaska Air Group Inc * 130,000 $3,526,250
Continental Airlines Inc 'B' 495,700 23,297,900
Monaco Coach Corp * 50,000 681,250
Northwest Airlines Corp 'A' * 640,000 19,480,000
Teekay Shipping Corp 123,000 4,043,625
--------------
51,029,025
--------------
Consumer Discretionary - 17.76%
Bed Bath & Beyond Inc * 170,000 6,162,500
Budget Group Inc 'A' * 245,000 1,010,625
Carnival Corp 'A' 500,000 9,750,000
ChoicePoint Inc * 21,000 934,500
Citadel Communications Corp * 30,000 1,048,125
Edison Schools Inc * 150,000 3,478,125
Emmis Communcations Corp 'A' * 25,000 1,034,375
Entercom Communications * 41,500 2,023,125
Extended Stay America Inc * 450,000 4,162,500
Family Dollar Stores Inc 220,000 4,303,750
Hearst-Argyle Television Inc * 145,000 2,827,500
Infonet Services Corp * 150,000 1,790,625
Linens 'n Things Inc * 2,000 54,250
Mattel Inc 80,000 1,055,000
Metro-Goldwyn-Mayer Inc * 150,000 3,918,750
MGM Grand Inc 60,000 1,927,500
Mohawk Industries Inc * 199,400 4,336,950
Park Place Entertainment Corp * 650,000 7,921,875
Premier Parks Inc * 120,000 2,730,000
Royal Caribbean Cruises Ltd 369,800 6,841,300
Sun International Hotels Ltd * 156,400 3,128,000
USA Networks Inc * 100,000 2,162,500
Viad Corp 400,000 10,900,000
--------------
83,501,875
--------------
Consumer Staples - 0.59%
Kroger Co * 125,000 2,757,812
--------------
Financial Services - 13.81%
ACE Ltd 600,000 16,800,000
AFLAC Inc 100,000 4,593,750
Associates First Capital Corp 440,000 9,817,500
CNA Financial Corp * 275,000 9,350,000
Legg Mason Inc 460,000 23,000,000
United Rentals Inc * 80,100 1,371,712
--------------
64,932,962
--------------
Health Care - 4.42%
Health Management Associates
Inc 'A' * 1,000,000 13,062,500
HEALTHSOUTH Corp * 700,000 5,031,250
Tenet Healthcare Corp 100,000 2,700,000
--------------
20,793,750
--------------
Integrated Oils - 3.13%
Kerr-McGee Corp 250,000 14,734,375
--------------
---------------------------------------------------------------
Market
Shares Value
------ -----
Materials & Processing - 2.96%
Lyondell Chemical Co 400,000 $6,700,000
Masco Corp 125,000 2,257,812
Unifi Inc 400,000 4,950,000
-------------
13,907,812
-------------
Other - 1.03%
U.S. Industries Inc 400,000 4,850,000
-------------
Other Energy - 2.82%
Diamond Offshore Drilling Inc 170,000 5,971,250
Louis Dreyfus Natural Gas Corp * 148,000 4,634,250
Santa Fe International Corp 76,200 2,662,238
-------------
13,267,738
-------------
Producer Durables - 0.57%
Novellus Systems Inc * 1,200 67,875
RF Micro Devices Inc * 30,000 2,628,750
-------------
2,696,625
-------------
Technology - 13.29%
Amdocs Automatic 25,000 1,578,125
Amdocs Ltd * 120,400 9,240,700
Applied Micro Circuits Corp * 15,000 1,481,250
At Home Corp 'A' * 320,000 6,640,000
Foundry Networks Inc * 40,000 4,420,000
Informix Corp * 800,000 5,950,000
Millicom International Cellular SA * 530,000 18,550,000
PE Corp-PE Biosystems Group 60,000 3,952,500
PSINet Inc * 200,000 5,025,000
RADVision Ltd * 14,800 413,475
Savvis Communications Corp * 50,000 653,125
Stolt Comex Seaway * 160,000 2,260,000
Telesystem International Wireless
Corp * 125,200 2,316,200
-------------
62,480,375
-------------
Utilities - 21.30%
Adelphia Business Solutions Inc * 260,000 6,028,750
AT&T Wireless Group * 268,900 7,495,588
CenturyTel Inc 100,000 2,875,000
Global TeleSystems Group Inc * 925,000 11,157,813
NTL Inc * 310,000 18,561,250
RCN Corp * 150,000 3,806,250
Telephone & Data Systems Inc 159,800 16,019,950
Time Warner Telecom Inc 'A' * 60,000 3,862,500
United Global Com Inc 'A' * 220,000 10,285,000
US Cellular Corp * 275,000 17,325,000
Western Wireless Corp * 50,000 2,725,000
-------------
100,142,101
-------------
Total Common Stocks
(Cost $429,631,341) 435,094,450
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-1
<PAGE>
PACIFIC SELECT FUND
AGGRESSIVE EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
FOREIGN COMMON STOCKS - 3.74%
Canada - 0.87%
Clearnet Communications 'A' * 147,600 $4,098,206
--------------
Italy - 0.01%
Industrie Natuzzi Spa 3,900 46,313
--------------
Netherlands - 1.55%
United Pan-Europe Communications NV 270,000 7,290,000
--------------
Norway - 1.31%
Stolt Comex Seaway SA * 520,000 6,175,000
--------------
Total Foreign Common Stocks
(Cost $13,844,976) 17,609,519
--------------
Principal
Amount
------
CONVERTIBLE CORPORATE BOND & NOTE - 0.51%
Technology - 0.51%
NTL Inc
7.000% due 12/15/08 $1,500,000 2,407,500
--------------
Total Convertible Corporate Bond & Note
(Cost $2,356,787) 2,407,500
--------------
---------------------------------------------------------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 3.90%
TIME DEPOSIT - 3.90%
State Street Bank Cayman Islands
5.000% due 07/03/00 $18,320,600 $18,320,600
-------------
Total Time Deposit 18,320,600
-------------
Total Short-Term Investment
(Cost $18,320,600) 18,320,600
-------------
TOTAL INVESTMENTS - 100.68%
(Cost $464,153,704) 473,432,069
OTHER ASSETS AND
LIABILITIES, NET - (0.68%) (3,177,925)
-------------
NET ASSETS - 100.00% $470,254,144
-------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $464,153,704
-------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of
value over tax cost $58,810,395
Aggregate gross unrealized depreciation for all
investments in which there was an excess of
tax cost over value (49,532,030)
-------------
Net unrealized appreciation $9,278,365
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-2
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 95.31%
Argentina - 0.77%
Banco Frances SA * 83,000 $1,794,875
--------------
Brazil - 10.91%
Banco Itau SA PN 21,797,000 1,919,880
Cia Cervejaria Brahma 80,000 1,360,000
Cia Cervejaria Brahma Spon ADR 1,079,000 917,150
Embratel Participacoes ADR 140,000 3,307,500
Gerdau SA Pref * 270,000,000 3,300,918
Globo Cabo SA SP ADR * 85,000 1,179,375
Klabin Fabricadora De * 700,000 587,385
Pao De Acucar CIA ADR 95,000 3,051,875
Tele Centri Sul Part ADR 52,000 3,799,251
Telecelular Sul Part ADR 75,400 3,411,850
Telemig Celular PA ADR 5,300 378,950
Telesp Celular PA ADR 47,000 2,109,125
--------------
25,323,259
--------------
Chile - 3.24%
Compania Cerveceria Unidas ADR 127,000 2,881,312
Compania De Telefono Chili ADR 77,606 1,406,609
Distribucion Y Servicio D&S SA ADR 186,000 3,231,750
--------------
7,519,671
--------------
China - 0.29%
Beijing Datang Power General 2,958,000 664,028
--------------
Croatia - 0.40%
Pliva D.D.GDR 90,200 931,315
--------------
Czech Republic - 0.58%
Ceske Radiokomunikace GDR * 30,200 1,341,635
--------------
Egypt - 1.14%
Mobinil-Egyptian Mobile * 80,700 2,657,686
--------------
Finland - 0.48%
Oyj Hartwall ABP 55,600 1,116,050
--------------
Germany - 0.82%
Nortel Inversora ADR 100,000 1,900,000
--------------
---------------------------------------------------------------
Market
Shares Value
------ -----
Greece - 2.35%
Alpha Credit Bank 38,850 $1,538,008
Antenna TV ADS * 30,950 479,725
Hellenic Telecommunication ADR 47,100 1,151,259
National Bank of Greece 26,880 1,067,569
Stet Hellas Telecommunication * 61,800 1,228,275
--------------
5,464,836
--------------
Hong Kong - 4.42%
China Telecom * 696,000 6,138,078
Citic Pacific Ltd 434,000 2,271,435
Legend Holdings Ltd * 1,900,000 1,840,141
--------------
10,249,654
--------------
Hungary - 1.27%
BorsodChem Spon GDR 39,770 1,235,853
Magyar Olaj Es Gazipare 68,477 944,900
Matav RT 108,800 757,652
--------------
2,938,405
--------------
India - 8.84%
Himachal Futuristic Comm Ltd * 25,950 3,088,050
Hindalco Industries GDR 23,200 458,200
ICICI Bank LTD Spon ADS * 68,400 991,800
ICICI Ltd Spon ADR 150,000 2,812,500
India IT Fund Red Ptg PR 101,500 7,257,250
Infosys Technology 3,408 604,068
ITC Ltd 75,000 1,334,167
Larsen & Tourbro Ltd 11,500 127,995
Mahanagar Telephone Niga 37,300 391,650
Mahindra & Mahindra GDR * 105,000 492,187
Mahindra & Mahindra GDR * ~ 100,000 463,000
SSI Ltd SP GDR * ~ 136,700 915,890
Tata Tea Ltd GDS 133,000 981,540
Videsh Sanchar Nigam Ltd 38,300 603,225
--------------
20,521,522
--------------
Indonesia - 0.28%
PT Indofood Sukses Mak 570,000 310,791
PT Telekomunikasi 944,560 331,661
--------------
642,452
--------------
Israel - 3.38%
BK Hapoalim Bm 576,100 1,670,591
Check Point Software Technology Ltd * 15,400 3,260,950
First International Bank Israel * 224,200 1,631,943
ISG International Software Group * 50,500 596,531
Partner Communications Corp * 71,841 682,490
--------------
7,842,505
--------------
Lithuania - 0.58%
Liettuvos Telekomas GDR * 204,000 1,356,600
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-3
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Malaysia - 3.13%
Ammb Holdings Berhad 265,200 $886,326
Berhaya Sports Toto Berh * 228,500 372,816
Digi.com Berhad * 524,000 958,369
New Straits Times Press * 182,000 431,053
Public Bank Behrad 432,000 432,000
Resorts World Behrad 422,000 1,154,947
Rothmans Pall Mall Ord * 56,000 456,842
Telekom Malaysia 186,000 641,211
Tenaga Nasional Berhad 325,000 1,060,526
Unisem (M) Berhard 124,000 881,053
--------------
7,275,143
--------------
Mexico - 10.51%
Apasco SA 275,000 1,583,762
Fomento Economica Mexica * 59,084 2,544,305
Grupo Financiero Banamex * 1,050,000 535,141
Grupo Financiero Banort * 1,950,000 2,703,226
Grupo Televisa 19,350 1,333,941
Nuevo Groupo Iusacell SA * 135,000 2,109,375
Telefonos De Mexico ADR 137,120 7,832,980
Tubos De Acero De Mexico 215,000 2,956,250
TV Azteca SA ADR 25,000 329,687
Wal-Mart de Mexico SA * 1,045,663 2,462,139
--------------
24,390,806
--------------
Peru - 0.01%
Enrique Ferreyros 58,206 18,516
--------------
Philippines - 0.63%
ABS-CBN Broadcasting Co * 600,000 742,197
Philippine Long Distance 40,900 732,890
--------------
1,475,087
--------------
Poland - 0.91%
Europejetski Fundusz GDR * 92,250 1,489,837
Orbis SA * 78,750 614,811
--------------
2,104,648
--------------
Russia - 1.73%
Lukoil Holding 62,569 3,144,092
Mobile TeleSystems 39,000 872,625
--------------
4,016,717
--------------
South Africa - 6.93%
Anglo American Platinum * 25,200 1,197,558
Billiton PLC * 386,800 1,563,174
Boe Ltd * 5,313,844 3,017,448
Dimension Data Holdings * 379,500 3,140,111
Iscor Ltd 929,100 1,582,759
Johnnies Industrial Corp 192,600 2,641,858
M-Cell Ltd * 250,100 1,211,768
---------------------------------------------------------------
Market
Shares Value
------ -----
Pick 'N' Pay Stores Ltd * 563,400 $905,761
RMB Holdings Ltd * 138,221 205,905
Standard Bank Inv 155,283 606,932
--------------
16,073,274
--------------
South Korea - 12.88%
Cheil Communications 8,000 1,043,923
Dacom Corp * 9,000 1,303,558
Daum Communications Corp * 10,400 988,677
H&CB * 72,000 1,685,343
Halla Climate Control * 25,000 828,457
Kookmin Bank 155,800 1,984,135
Korea Telecom Corp 20,000 967,500
Pohang Iron & Steel 82,800 1,987,200
Pohang Iron & Steel ADR 26,500 638,650
Samsung Electronics Co 38,105 12,610,251
SK Telecom Co 17,880 5,852,963
--------------
29,890,657
--------------
Taiwan - 13.24%
Advanced Semiconductor Engineering * 61,964 1,045,952
Asustek Computer Inc 307,006 2,839,809
China Steel GDR 97,380 1,327,289
China Steel GDR-Each REP * 40,000 540,000
Gigamedia Ltd * 22,500 272,813
Hon Hai Precision GDR * 130,000 3,250,000
MSCI-Taiwan Opal 38,510 5,434,340
Silicon Precisi Spon ADR * 260,900 2,413,325
Standard Foods Taiwan * 129,788 373,789
Taiwan Fund Inc 177,000 3,385,125
Taiwan Semiconductor ADR * 139,300 5,397,875
Winbond Electronic Corp * 153,723 4,442,589
--------------
30,722,906
--------------
Thailand - 1.19%
Adv Info Serv Alien Market * 132,400 1,648,666
Bec World 121,900 727,854
Siam Cement * 20,000 375,606
--------------
2,752,126
--------------
Turkey - 3.41%
Aksigorta * 5,754,880 1,136,989
Arcelik 4,125,684 2,029,456
Eregli Demir Ve Celik Fabrikalari * 2,106,940 849,525
Guney Biracilik Ve Malt 3,479,692 1,599,446
Turk Ekonomi Bankasi AS * 18,630 157,051
Turkiye Garanti Bankasi 6,336,000 766,408
Vestel Elektronik Sanayi * 453,250 1,370,638
--------------
7,909,513
--------------
United Kingdom - 0.29%
Zen Research 295,750 672,646
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-4
<PAGE>
PACIFIC SELECT FUND
EMERGING MARKETS PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Zimbabwe - 0.71%
Econet Wireless Holding * 3,806,130 $1,637,579
--------------
Total Common Stocks
(Cost $220,745,797) 221,204,111
--------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 3.39%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.39%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $7,864,546; collateralized by U.S.
Treasury Notes--market value
$8,019,900 and due 05/31/01) $7,861,106 7,861,106
--------------
Total Securities Held Under Repurchase
Agreement 7,861,106
--------------
Total Short-Term Investment
(Cost $7,861,106) 7,861,106
--------------
TOTAL INVESTMENTS - 98.70%
(Cost $228,606,903) 229,065,217
OTHER ASSETS AND
LIABILITIES, NET - 1.30% 3,017,667
--------------
NET ASSETS - 100.00% $232,082,884
--------------
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $228,606,903
--------------
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost $26,457,721
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value (25,999,407)
--------------
Net unrealized appreciation $458,314
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-5
<PAGE>
PACIFIC SELECT FUND
DIVERSIFIED RESEARCH PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 88.22%
Autos & Transportation - 0.62%
CNF Transportation Inc 7,800 $177,450
Union Pacific Corp 7,800 290,062
--------------
467,512
--------------
Consumer Discretionary - 15.65%
American Greetings Corp 'A' 5,900 112,100
AT&T Corp - Liberty Media Group 'A' * 64,000 1,552,000
Autonation Inc * 24,900 175,856
Black & Decker Corp 5,000 196,562
Blockbuster Inc 'A' 19,900 192,781
Brinker International Inc * 2,300 67,275
Carnival Corp 'A' 16,100 313,950
Charter Communications Inc * 19,700 323,819
Costco Wholesale Corp * 25,000 825,000
Fox Entertainment Group Inc * 14,500 440,437
Galileo International Inc 11,600 242,150
Hasbro Inc 4,700 70,794
Kimberly-Clark Corp 3,100 177,862
Loral Space & Communications * 57,000 395,437
Lowe's Cos Inc 13,100 537,919
McDonalds Corp 13,600 447,950
Nike Inc 'B' 11,800 469,787
Service Corp International 25,200 80,325
The Interpublic Group of Cos Inc 14,300 614,900
Time Warner Inc 11,800 896,800
Tyco International Ltd 24,600 1,165,425
Viacom Inc 22,600 1,541,037
Wal-Mart Stores Inc 11,300 651,162
Williams-Sonoma Inc * 6,700 217,331
--------------
11,708,659
--------------
Consumer Staples - 7.81%
Campbell Soup Co 31,600 920,350
Clorox Co 26,800 1,200,975
Conagra Inc 17,000 324,062
Kellogg Co 55,300 1,645,175
PepsiCo Inc 29,800 1,324,237
Philip Morris Cos Inc 16,100 427,656
--------------
5,842,455
--------------
Financial Services - 9.79%
American International Group Inc 1,800 211,500
Associates First Capital Corp 22,000 490,875
Bank of America Corp 27,900 1,199,700
Bank One Corp 9,300 247,031
Hartford Financial Services Group 10,700 598,531
Household International Inc 11,000 457,187
Jefferson-Pilot Corp 8,000 451,500
Lincoln National Corp 12,700 458,787
SLM Holding Corp 52,900 1,980,444
PMI Group Inc 4,100 194,750
Washington Mutual Inc 35,800 1,033,725
--------------
7,324,030
--------------
---------------------------------------------------------------
Market
Shares Value
------ -----
Health Care - 13.46%
Becton Dickinson & Co 13,100 $375,806
Forest Laboratories Inc * 8,000 808,000
Genentech Inc * 1,300 223,600
Guidant Corp 26,500 1,311,750
Medtronic Inc 63,400 3,158,112
Pfizer Inc 87,300 4,190,400
--------------
10,067,668
--------------
Integrated Oils - 2.40%
Chevron Corp 8,300 703,944
Exxon Mobil Corp 7,300 573,050
Texaco Inc 9,800 521,850
--------------
1,798,844
--------------
Materials & Processing - 1.37%
Alcoa Inc 24,600 713,400
Newmont Mining Corp 14,500 313,562
--------------
1,026,962
--------------
Other - 1.29%
General Electric Co 4,500 238,500
Illinois Tool Works Inc 6,900 393,300
Textron Inc 6,100 331,306
--------------
963,106
--------------
Other Energy - 3.09%
AES Corp * 11,600 529,250
Baker Hughes Inc 27,000 864,000
Weatherford International * 2,800 111,475
Williams Cos Inc 19,400 808,738
--------------
2,313,463
--------------
Producer Durables - 8.16%
Agilent Technologies Inc * 10,053 741,409
Applied Materials Inc * 13,000 1,178,125
ASM Lithography Holding * 24,000 1,059,000
Dover Corp 3,000 121,688
Emerson Electric Co 8,200 495,075
Grant Prideco Inc * 2,800 70,000
KLA-Tencor Corp * 7,700 450,931
Lam Research Corp * 12,200 457,500
Lockheed Martin Corp 17,500 434,219
Teradyne Inc * 6,400 470,400
United Technologies Corp 3,300 194,288
W.W. Grainger Inc 13,900 428,294
--------------
6,100,929
--------------
Technology - 14.86%
Advanced Micro Devices Inc * 15,500 1,197,375
Applied Micro Circuits Corp * 6,900 681,375
Autodesk Inc 9,400 326,063
Burr-Brown Corp * 8,000 693,500
Cadence Design Systems Inc * 27,000 550,125
Cisco Systems Inc * 35,400 2,250,113
See Notes to Financial Statements See explanation of symbols on D-88
D-6
<PAGE>
PACIFIC SELECT FUND
DIVERSIFIED RESEARCH PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Compaq Computer Corp 27,800 $710,638
Dell Computer Corp * 8,700 429,019
Genuity Inc * 50,800 465,138
Hewlett-Packard Co 2,500 312,188
JDS Uniphase Corp * 2,600 311,675
Lucent Technologies Inc 8,000 474,000
Macromedia Inc * 4,200 406,088
Micron Technology Inc 3,000 264,188
PeopleSoft Inc * 41,500 695,125
PMC-Sierra Inc * 3,700 657,444
Raytheon Co 'A' 11,600 225,475
Raytheon Co 'B' 14,000 269,500
Storage Technology Corp * 17,900 195,781
--------------
11,114,810
--------------
Utilities - 9.72%
Adelphia Communications Corp * 10,500 492,188
American Electric Power Co Inc 13,700 405,863
AT&T Corp 4,300 135,988
Cablevision Systems Corp 'A' * 17,000 1,153,875
Cinergy Corp 20,700 526,556
MediaOne Group Inc * 3,700 245,361
Niagara Mohawk Holdings Inc * 31,400 437,638
Nisource Inc 10,000 186,250
Northeast Utilities 17,000 369,750
Qwest Communications Int'l Inc * 1,500 74,531
Sprint FON Group 31,500 1,606,500
Sprint PCS Group Series 1 * 6,000 357,000
U.S. West Inc 7,300 625,975
VoiceStream Wireless Corp * 5,600 651,263
--------------
7,268,738
--------------
Total Common Stocks
(Cost $63,757,205) 65,997,176
--------------
FOREIGN COMMON STOCKS - 6.28%
Canada - 0.84%
Canadian National Railway Co 21,600 630,450
--------------
Finland - 2.57%
Nokia Corp ADR Pref 38,500 1,922,594
--------------
United Kingdom - 2.87%
AstraZeneca PLC UK ADR 46,100 2,143,650
--------------
Total Foreign Common Stocks
(Cost $4,468,105) 4,696,694
--------------
---------------------------------------------------------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 5.34%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 5.34%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $3,993,747; collateralized by U.S.
Treasury Notes--market value
$4,074,250 and due 02/15/05) $3,992,000 $3,992,000
--------------
Total Securities Held Under Repurchase
Agreement 3,992,000
--------------
Total Short-Term Investment
(Cost $3,992,000) 3,992,000
--------------
TOTAL INVESTMENTS - 99.84%
(Cost $72,217,310) 74,685,870
OTHER ASSETS AND
LIABILITIES, NET - 0.16% 122,699
--------------
NET ASSETS - 100.00% $74,808,569
--------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $72,217,310
--------------
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost $5,017,524
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value (2,548,964)
--------------
Net unrealized appreciation $2,468,560
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-7
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP EQUITY PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 88.51%
Autos & Transportation - 2.80%
Alaska Air Group Inc * 100,000 $2,712,500
Arctic Cat Inc 132,000 1,567,500
Bandag Inc 63,000 1,527,750
Circle International Group Inc 10,400 261,300
Hub Group Inc 'A' * 62,000 926,125
M.S. Carriers Inc * 115,600 2,037,450
Oshkosh Truck Corp 92,500 3,306,875
Polaris Industries Inc 107,500 3,440,000
U.S. Xpress Enterprises 'A' * 104,000 838,500
Werner Enterprise Inc 212,200 2,453,562
--------------
19,071,562
--------------
Consumer Discretionary - 17.16%
24/7 Media Inc * 118,000 1,843,750
Acclaim Entertainment Inc * 236,400 339,825
ACME Communications Inc * 48,000 876,000
ACTV Inc * 225,000 3,360,937
ADVO Inc * 50,000 2,100,000
Alloy Online Inc * 138,000 1,552,500
Alyn Corp * 209,500 78,562
American Eagle Outfitters * 151,000 2,114,000
American Greetings Corp 'A' 115,000 2,185,000
Applied Graphics Technologies Inc * 150,800 640,900
Ashford.com Inc * 64,000 184,000
Autoweb.com Inc * 269,100 571,837
Banta Corp 139,500 2,641,781
BHC Communications Inc 'A' 12,200 1,854,400
Carriage Services Inc 'A' * 307,500 1,037,812
CDnow Inc * 140,000 433,125
Championship Auto Racing * 70,000 1,785,000
Cheap Tickets Inc * 125,000 1,500,000
Citadel Communications Corp * 155,100 5,418,806
CKE Restaurants Inc 61,000 183,000
Classic Communications Inc 'A' * 96,000 858,000
CoStar Group Inc * 78,600 1,969,912
Crown Media Holdings Inc 'A' * 140,000 2,143,750
Cumulus Media Inc 'A' * 143,000 1,304,875
Dollar Thrifty Automotive Group Inc * 247,700 4,566,969
Egreetings Network Inc * 134,000 184,250
eMerge Interactive Inc 'A' * 19,100 342,606
Focal Communications Corp * 88,100 3,149,575
FTD.COM Inc * 40,000 95,000
Go.com * 38,300 457,206
Harrah's Entertainment Inc * 113,500 2,376,406
Harris Interactive Inc * 74,500 360,859
Heska Corp * 125,000 265,625
Hotel Reservation Network Inc 'A' * 118,000 3,510,500
Insight Communications Co * 104,800 1,637,500
International Speedway Corp 'A' 89,000 3,682,375
interWAVE Communications Int'l Ltd * 48,100 673,400
Intrawest Corp 241,900 4,596,100
Korn Ferry International * 38,000 1,204,125
Libbey Inc 120,400 3,867,850
Lithia Motors Inc 'A' * 62,000 829,250
---------------------------------------------------------------
Market
Shares Value
------ -----
LoJack Corp * 150,000 $1,040,625
Mail.com Inc * 70,900 403,244
Martha Stewart Living Omnimedia 'A' * 47,300 1,040,600
Midway Games Inc * 185,000 1,491,562
Neoforma.com Inc * 278,000 1,954,687
Nu Skin Enterprises Inc * 86,300 496,225
Organic Inc * 118,000 1,150,500
Pillowtex Corp 95,000 403,750
Pixar Animation Studios * 23,700 835,425
Quanta Services Inc * 98,550 5,420,250
QXL.com PLC* 332,000 2,573,000
Radio One Inc * 49,400 1,460,387
Radio One Inc 'D' * 98,800 2,179,775
Regent Communications Inc * 97,200 835,312
Restoration Hardware Inc * 73,000 401,500
Ruby Tuesday Inc 100,000 1,256,250
Service Corp International 311,600 993,225
Sirius Satellite Radio Inc * 95,000 4,209,687
Sizzler International Inc 183,800 470,987
Spanish Broadcasting System Inc * 127,100 2,613,494
Speedway Motorsports Inc * 229,100 5,269,300
Sportsline.com Inc * 32,600 556,237
Steiner Leisure Ltd * 63,000 1,425,375
Stewart Enterprises Inc 'A' 600,000 2,118,750
Stride Rite Corp 105,000 643,125
TiVo Inc * 33,300 1,165,500
Williams-Sonoma Inc * 32,000 1,038,000
XM Satellite Radio Holdings * 128,000 4,792,000
--------------
117,016,140
--------------
Consumer Staples - 2.33%
Flowers Industries Inc 210,000 4,186,875
HomeGrocer.com Inc* 142,600 860,056
Nature's Sunshine Products Inc 6,400 44,800
Novell Denim Holding * 138,300 648,281
Robert Mondavi Corp 'A' * 23,900 733,431
Suiza Foods Corp * 117,700 5,752,587
Tootsie Roll Industries Inc 104,500 3,657,500
--------------
15,883,530
--------------
Financial Services - 7.07%
American Capital Strategies Ltd 112,100 2,676,387
AmeriCredit Corp * 172,000 2,924,000
Bank United Corp 48,000 1,689,000
Banknorth Group Inc 96,000 1,470,000
Coast Federal LIT * 51,000 82,875
Commerce Bancorp Inc NJ 83,450 3,838,700
Community First Bankshares Inc 120,000 1,957,500
Community Savings Bankshares Inc 204,269 2,323,560
Credit Acceptance Corp * 151,900 844,944
CyberSource Corp * 104,000 1,436,500
Everest Re Group Ltd 65,000 2,136,875
Fidelity Bankshare Inc 47,000 734,375
Fidelity National Financial Inc 107,700 1,972,256
First American Financial Corp 110,000 1,574,375
Harbor Florida Bancshares Inc 143,000 1,492,562
Harleysville Group Inc 90,000 1,507,500
Homestore.com Inc * 114,000 3,327,375
See Notes to Financial Statements See explanation of symbols on D-88
D-8
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
IndyMac Mortgage Holdings Inc 267,000 $3,621,187
LendingTree Inc * 217,600 1,632,000
Medallion Financial Corp 50,000 771,875
MeriStar Hospitality Corp 105,200 2,209,200
MIIX Group Inc 62,000 744,000
NYMAGIC Inc 93,000 1,325,250
Official Payments Corp * 83,200 358,800
Policy Management Systems Corp * 163,000 2,506,125
Republic Security Financial Corp 89,000 445,000
Santander BanCorp 42,350 539,962
Silicon Valley Bancshares Delaware * 17,000 724,625
Trenwick Group Inc 90,000 1,310,625
--------------
48,177,433
--------------
Health Care - 10.46%
ACLARA BioSciences Inc * 106,800 5,440,125
Antigenics Inc * 143,000 2,377,375
Aspect Medical Systems Inc * 96,000 2,592,000
Assisted Living Concepts Inc * 267,000 166,875
Charles River Laboratories Int'l Inc * 33,400 741,062
COR Therapeutics Inc * 87,000 7,422,187
Diversa Corp * 48,400 1,603,250
Exelixis Inc * 75,000 2,503,125
Gene Logic Inc * 140,000 4,996,250
Gilead Sciences Inc * 37,000 2,631,625
ILEX Oncology Inc * 83,000 2,925,750
LifePoint Hospitals Inc * 72,000 1,602,000
MedQuist Inc * 121,000 4,114,000
Millennium Pharmaceuticals Inc * 84,400 9,442,250
Novoste Corp * 65,000 3,965,000
Orthodontic Centers of America Inc * 115,000 2,601,875
Protein Design Labs Inc * 40,000 6,598,125
Quintiles Transnational Corp * 26,000 367,250
Sunrise Assisted Living Inc * 25,000 462,500
Tanox Inc * 46,500 2,200,031
Triad Hospitals Inc * 88,000 2,128,500
Vical Inc * 191,700 3,690,225
ViroPharma Inc * 46,000 718,750
--------------
71,290,130
--------------
Materials & Processing - 4.33%
BE Semiconductor * 52,500 787,500
Caraustar Industries Inc 70,500 1,066,313
CB Richard Ellis Services Inc * 69,700 636,013
Comfort Systems USA Inc * 84,000 336,000
Corn Products International Inc 148,700 3,940,550
H.B. Fuller Co 29,400 1,339,538
Insignia Financial Group Inc * 145,000 1,450,000
Logitech International SA * 69,000 5,037,000
OM Group Inc 42,000 1,848,000
Potlatch Corp 51,000 1,689,375
RPM Inc Ohio 70,000 708,750
Scotts Co 'A' * 80,000 2,920,000
Seminis Inc 'A' * 175,000 459,375
Spartech Corp 87,600 2,365,200
Trammell Crow Co * 32,300 347,225
Valence Technology Inc * 250,000 4,609,375
--------------
29,540,214
--------------
---------------------------------------------------------------
Market
Shares Value
------ -----
Other Energy - 1.97%
CONSOL Energy Inc 130,000 $1,966,250
Louis Dreyfus Natural Gas Corp * 55,000 1,722,188
Midcoast Energy Resources Inc 181,500 2,858,625
NRG Energy Inc * 283,000 5,164,750
R&B Falcon Corp * 72,000 1,696,500
--------------
13,408,313
--------------
Producer Durables - 13.71%
Columbus McKinnon Corp 156,200 2,167,275
Credence Systems Corp * 180,000 9,933,750
Cymer Inc * 130,200 6,217,050
Donaldson Co Inc 193,000 3,811,750
Electro Scientific Industries Inc * 72,400 3,187,863
Electroglas Inc * 90,000 1,935,000
GaSonics International Corp * 190,000 7,493,125
Ionics Inc * 20,900 640,063
Kulicke and Soffa Industries * 122,000 7,243,750
Lam Research Corp * 54,000 2,025,000
LTX Corp * 272,000 9,503,000
Metawave Comunications * 90,900 2,425,894
Nanometrics Inc * 75,000 3,089,063
Novellus Systems Inc * 25,000 1,414,063
Pentair Inc 74,700 2,651,850
Photon Dynamics Inc * 16,000 1,195,000
Polycom Inc * 40,000 3,763,750
Power-One Inc * 26,250 2,990,859
Rayovac Corp * 72,800 1,628,900
Rudolf Technology Inc * 44,300 1,716,625
Silicon Valley Group Inc * 93,000 2,406,375
SpeedFam-IPEC Inc * 185,000 3,364,688
Superior TeleCom Inc 88,271 877,193
Tefron Ltd * 152,000 2,603,000
Therma-Wave Inc * 102,000 2,275,875
Veeco Instruments Inc * 75,000 5,493,750
Wesco International Inc * 155,000 1,482,188
--------------
93,536,699
--------------
Technology - 23.70%
About.com Inc * 80,200 2,526,300
Anaren Microwave Inc * 49,800 6,535,472
ASM International * 230,000 6,095,000
Aspect Communications Corp * 177,000 6,958,313
August Technology Corp * 22,300 366,556
Bookham Technology PLC * 99,200 5,877,600
Broadbase Software Inc * 101,000 3,093,125
Cambridge Technology Partners Inc * 87,000 758,531
Capstone Turbine Corp * 8,000 360,500
Carrier Access Corp * 146,000 7,719,750
C-Cube Microsystems Inc * 13,400 262,975
Digex Inc * 46,000 3,125,125
Documentum Inc * 31,200 2,788,500
E.piphany Inc * 7,100 761,031
Exar Corp * 80,000 6,975,000
Extensity Inc * 39,400 1,349,450
Flag Telecom Holdings Ltd * 124,700 1,854,913
Handspring Inc * 38,800 1,047,600
See Notes to Financial Statements See explanation of symbols on D-88
D-9
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Harmonic Inc * 7,272 $179,982
iVillage Inc * 57,000 480,938
Kopin Corp * 86,000 5,955,500
Lightspan Inc * 88,900 488,950
Liquid Audio Inc * 119,000 1,126,781
Manufacturers Services Ltd * 19,200 394,800
Marvell Technology Group Ltd* 3,400 193,800
MatrixOne Inc * 72,500 2,945,313
MIPS Technologies Inc 'A' * 108,000 4,590,000
National Information Consortium Inc * 104,500 1,188,688
NDS Group PLC * 800 48,800
NetIQ Corp * 47,065 2,806,251
New Focus Inc * 15,400 1,264,725
Niku Corp * 94,000 3,172,500
Numerical Technologies Inc * 46,600 2,265,925
ONI Systems Corp * 7,600 890,744
Online Resources & Comm Corp * 120,000 772,500
OpenTV Corp * 32,000 1,436,000
OTG Software Inc * 108,000 3,084,750
Parthus Technologies PLC * 100,000 2,850,000
PC-Tel Inc * 54,000 2,052,000
Peregrine Systems Inc * 291,400 10,107,938
Power Integrations Inc * 125,000 2,945,313
Quantum Effect Devices * 61,200 3,488,400
Rambus Inc * 78,400 8,075,200
REMEC Inc * 88,000 3,685,000
Remedy Corp * 107,000 5,965,250
Riverdeep Group * 93,000 1,801,875
RSA Security Inc * 94,000 6,509,500
Savvis Communications Corp * 95,800 1,251,388
SCG Holding Corp * 87,400 1,911,875
Selectica Inc * 61,400 4,301,838
Sensormatic Electronics Corp 106,600 1,685,613
Snowball.com Inc * 45,000 219,375
Sonus Networks Inc * 3,000 473,625
SpectraSite Holdings Inc * 110,000 3,121,250
Unova Inc * 49,000 358,313
VIA NET.WORKS Inc * 123,000 1,898,813
WorldGate Communications Inc * 18,200 323,050
Xpedior Inc * 208,000 2,873,000
Zoran Corp * 60,000 3,956,250
--------------
161,597,554
--------------
Utilities - 4.98%
Allied Riser Communications * 117,000 1,652,625
Choice One Communications Inc * 31,100 1,269,269
Cypress Communications Inc * 145,900 1,057,775
Dobson Communications Corp * 102,000 1,963,500
Globalstar Telecommunications Ltd * 68,232 614,088
ICG Communications Inc * 155,000 3,419,688
MDU Resources Group 112,900 2,441,463
Mediacom Communications Corp * 241,400 3,711,525
Net2000 Communications * 112,600 1,843,825
New Jersey Resources 60,100 2,287,556
Pac-West Telecomm Inc * 54,000 1,080,000
South Jersey Industries Inc 75,700 1,968,200
---------------------------------------------------------------
Market
Shares Value
------ -----
Tritel Inc * 90,800 $2,695,625
Triton PCS Holdings Inc 'A' * 23,000 1,328,250
Viatel Inc * 128,000 3,656,000
Washington Gas Light Co 122,600 2,950,063
--------------
33,939,452
--------------
Total Common Stocks
(Cost $540,195,024) 603,461,027
--------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENTS - 11.44%
COMMERCIAL PAPER - 7.31%
E.W. Scripps Co
6.540% due 07/28/00 ~ $25,000,000 24,877,375
Sony Capital Corp
6.580% due 07/05/00 25,000,000 24,981,722
--------------
Total Commercial Paper 49,859,097
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 4.13%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $28,106,291; collateralized by U.S.
Treasury Notes--market value
$28,657,575 and due 05/31/01) 28,137,225 28,137,225
--------------
Total Securities Held Under Repurchase
Agreement 28,137,225
--------------
Total Short-Term Investments
(Cost $77,996,322) 77,996,322
--------------
TOTAL INVESTMENTS - 99.95%
(Cost $618,191,346) 681,457,349
OTHER ASSETS AND
LIABILITIES, NET - 0.05% 325,650
--------------
NET ASSETS - 100.00% $681,782,999
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-10
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $618,191,346
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $159,833,921
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (96,567,918)
--------------
Net unrealized appreciation $63,266,003
--------------
See Notes to Financial Statements
D-11
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL LARGE-CAP PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 90.05%
Australia - 2.96%
ANZ Banking Group 174,500 $1,337,072
Broken Hill Proprietary 200,000 2,362,693
Cable & Wireless Optus * 398,000 1,185,557
Lend Lease Corp Ltd 13,712 174,765
News Corp Ltd ADR 19,300 1,051,850
Westpac Banking Corp 198,500 1,430,730
--------------
7,542,667
--------------
Brazil - 0.30%
Telecomunicacoes de Sao Paulo SA 40,500 749,250
--------------
Canada - 3.43%
Bank of Nova Scotia 43,800 1,073,631
Bombardier Inc 'B' 42,000 1,140,118
Inco Ltd * 44,500 682,119
Manulife Financial Corp * 27,100 477,622
Nortel Networks Corp 14,000 970,896
Nortel Networks Corp ADR 5,800 395,850
Suncor Energy 30,000 692,822
Thomson Corp 72,600 2,483,078
Toronto Dominion Bank 33,400 811,939
--------------
8,728,075
--------------
Finland - 3.04%
Nokia Oyj 137,600 7,030,009
UPM-Kymmene Group 28,900 718,225
--------------
7,748,234
--------------
France - 6.69%
BIC SA 16,400 804,176
Bouygues 3,333 2,230,094
Cie De St Gobain 7,200 974,508
DANONE Group 7,000 930,042
Lvmh Moet Hennessy Louis Vuitton * 2,300 949,513
Michelin (CGDE) B Ord Compagne 6,000 192,756
Pechiney SA 'A' 8,200 342,519
Peugeot SA 4,700 944,322
Sanofi-Synthelabo SA 41,400 1,974,652
STMicroelectronics 13,000 834,438
STMicroelectronics NV 42,900 2,706,394
TF1-TV Francaise 30,000 2,093,312
Total Fina SA 4,500 690,793
Vivendi 15,600 1,378,546
--------------
17,046,065
--------------
Germany - 6.52%
Aixtron AG 9,200 1,247,844
BMW AG 46,800 1,427,008
DaimlerChrysler AG * 12,000 637,743
Degussa-Huels AG 1,500 42,081
Deutsche Bank AG 2,300 192,475
Deutsche Telekom AG 12,500 721,667
EPCOS AG * 9,000 913,601
---------------------------------------------------------------
Market
Shares Value
------ -----
Infineon Technologies ADR * 9,500 $752,875
Infineon Technologies AG * 67,400 5,501,834
Intershop Communications AG * 1,500 686,778
Siemens AG 28,800 4,316,466
Thyssen Krupp AG 2,800 44,615
T-Online International AG * ~ 3,700 120,776
--------------
16,605,763
--------------
Hong Kong - 1.83%
Cable & Wireless HKT Ltd 412,600 907,703
Hutchison Whampoa 160,100 2,012,648
Johnson Electric Holdings 151,500 1,433,260
Legend Holdings Ltd * 100,000 96,850
Li & Fung Ltd 24,000 120,068
Shangri-La Asia * ~ 86,000 101,493
--------------
4,672,022
--------------
Ireland - 0.60%
Allied Irish Banks 80,196 720,560
CRH PLC 45,000 812,950
--------------
1,533,510
--------------
Italy - 2.27%
Assicurazioni Generali 33,500 1,149,553
ENI Spa Reg 402,000 2,324,723
Fiat Spa RNC * 7,000 96,417
Telecom Italia Mobile Risp Spa 228,000 1,148,511
Telecom Italia Mobile Spa 10,000 102,276
Telecom Italia Spa RNC * 17,000 112,934
Unicredito Italiano 175,000 838,041
--------------
5,772,455
--------------
Japan - 25.27%
Advantest Corp 9,900 2,205,388
Aiful Corp 6,000 552,725
Chudenko Corp 12,000 168,869
Chugai Pharmaceutical 25,000 472,142
DDI Corp 21 201,761
FANUC Ltd 9,000 914,708
Fuji Soft ABC Inc 13,000 770,216
Fujitsu Ltd 2,000 69,138
Fujitsu Support & Service 3,400 336,269
Hirose Electric 15,600 2,425,997
Hitachi Ltd 62,000 893,515
Japan Air Lines Ltd 31,000 117,675
Jusco * 79,000 1,495,691
Kao Corp 34,000 1,037,630
Keyence Corp 2,900 956,059
Kokusai Securities Co 6,000 83,022
Mabuchi Motor Co Ltd 7,000 903,311
Mitsubishi Heavy Industries 273,000 1,208,590
Mitsubishi Motors Corp * 279,000 1,190,477
Mitsui Chemicals Inc 138,000 963,199
Mitsui Marine & Fire Insurance 112,000 538,030
Murata Manufacturing Co 18,000 2,580,511
NEC Corp 206,000 6,461,451
Nikon Corp 111,000 4,108,981
Nintendo Corp Inc 10,400 1,814,233
See Notes to Financial Statements See explanation of symbols on D-88
D-12
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL LARGE-CAP PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Nippon Sheet Glass Co 64,000 $888,579
Nippon Telegraph & Telephone 80 1,062,497
Nissan Motor Co Ltd 340,000 2,001,601
Nomura Securities 21,000 513,305
NTT DoMoCo Inc 157 4,244,242
Rohm & Haas Co 8,700 2,540,385
Sakura Bank 76,000 524,730
Sankyo Co Ltd 43,000 970,047
Sanwa Bank 76,000 605,623
Sekisui House Ltd 88,000 813,149
Shin-Etsu Chemical Co 14,000 709,462
Shionogi 36,000 683,276
Sony Corp 58,200 5,427,213
Sumitomo Forestry Co Ltd 55,000 369,378
Sunitomo Marine & Fire Insurance 148,000 860,133
Suzuki Motor Co 40,000 515,424
Taiyo Yuden Co 15,000 938,162
THK Co Ltd 25,000 1,262,186
Tokyo Electron Ltd 39,000 5,333,961
Tokyo Seimitsu Corp 2,800 374,511
Toray Industries Inc 179,000 725,004
Uni-Charm Corp 8,000 483,775
USHIO Inc 2,000 55,009
--------------
64,371,240
--------------
Mexico - 1.59%
Panamerican Beverages Inc 19,100 285,306
Telefonos De Mexico ADR 65,700 3,753,113
--------------
4,038,419
--------------
Netherlands - 6.13%
ABN Amro Holding NV 109,500 2,685,719
Aegon NV 96,200 3,427,080
ASM Lithography Holding NV * 98,500 4,238,688
DSM NV 4,105 131,838
Heineken NV 35,300 2,151,021
ING Groep NV 16,500 1,116,624
KLM Royal Dutch Airlines 40,500 1,091,676
United Pan-Europe Comm NV * 20,000 523,615
Wolters Kluwer 9,200 245,348
--------------
15,611,609
--------------
Norway - 0.62%
Norsk Hydro A/S 37,500 1,575,409
--------------
Portugal - 0.78%
Portugal Telecom SA Reg 117,000 1,315,173
PT Multimedia Servicos * 10,600 526,865
Telecel Comunicacoes Pessoais SA * 9,500 144,381
--------------
1,986,419
--------------
Singapore - 1.01%
Chartered Semiconductor * 69,000 602,777
Creative Technology Ltd * 9,000 217,125
Creative Technology Ltd ADR * 18,000 429,825
DBS Bank 73,000 937,576
---------------------------------------------------------------
Market
Shares Value
------ -----
Singapore Airline Ltd 28,000 $277,003
Singapore Tech Engineer 80,000 117,559
--------------
2,581,865
--------------
South Korea - 1.91%
Hyundai Motor Co * 95,000 617,500
Korea Telecom Corp 600 29,025
Samsung Electronics GDR 21,880 4,222,840
--------------
4,869,365
--------------
Spain - 2.61%
Banco Bilbao Vizcaya 78,500 1,174,286
Banco Popular Espanol 3,000 92,909
Telefonica De Espana SA 242,300 5,211,055
Telefonica SA * 2,600 166,563
--------------
6,644,813
--------------
Sweden - 1.74%
Ericsson 'B' 114,000 2,263,204
Foreningssparbanken AB 79,000 1,159,419
Svenska Handelsbanken 'A' 69,000 1,004,807
--------------
4,427,430
--------------
Switzerland - 3.99%
Adecco SA 930 790,955
Holderbank Finan Glarus AG Bearer 50 61,363
Holderbank Finan Glarus AG * 1,050 343,417
Nestle SA Bearer Reg 690 1,382,413
Novartis AG Reg 1,280 2,029,589
Richemont (Fin) 727 1,960,645
Roche Holding 41 399,521
Schweiz Ruckvers Reg * 560 1,142,577
Swisscom AG 5,945 2,061,133
--------------
10,171,613
--------------
Taiwan - 2.61%
Asustek Computer Inc ~ 75,616 699,448
Hon Hai Precision * ~ 25,000 621,250
Taiwan Semiconductor ADR * 137,500 5,328,125
--------------
6,648,823
--------------
United Kingdom - 14.15%
AstraZeneca PLC 103,700 4,837,111
AstraZeneca PLC ADR 700 32,550
BAE SYSTEMS PLC 179,300 1,119,398
BG PLC 53,000 342,339
British Airways 18,000 103,780
Cable & Wireless PLC * 30,000 510,370
Cadbury Schwepps PLC 270,000 1,777,765
COLT Telecom Group PLC * 200 6,656
Dixons Group PLC 127,333 516,459
Enterprise Oil PLC 99,600 842,306
GKN PLC 80,500 1,027,119
Glaxo Holdings 20,500 598,350
Halifax Group PLC 18,000 173,035
Invensys PLC * 542,000 2,036,028
Land Securities PLC * 61,500 733,873
Laporte PLC 71,000 515,123
See Notes to Financial Statements See explanation of symbols on D-88
D-13
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL LARGE-CAP PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Laporte PLC 'B' 176,000 $2,001
Lloyds TSB Group 359,700 3,414,173
Reuters Group PLC 137,000 2,347,307
Royal Bank of Scotland * 69,500 1,161,281
Shell Transport & Trading 158,500 1,336,210
Tesco PLC 160,000 497,937
TI Group PLC * 22,000 118,919
Unilever PLC 147,900 893,089
Vodafone AirTouch PLC 2,316,323 9,412,494
Zeneca Group 36,200 1,693,851
--------------
36,049,524
--------------
Total Common Stocks
(Cost $229,479,224) 229,374,570
--------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 11.15%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 11.15%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $28,429,829; collateralized by U.S.
Treasury Bonds--market value
$28,985,775 and due 11/15/27) $28,417,396 28,417,396
--------------
Total Securities Held Under Repurchase
Agreement 28,417,396
--------------
Total Short-Term Investment
(Cost $28,417,396) 28,417,396
--------------
TOTAL INVESTMENTS - 101.20%
(Cost $257,896,620) 257,791,966
OTHER ASSETS AND
LIABILITIES, NET - (1.20%) (3,065,825)
--------------
NET ASSETS - 100.00% $254,726,141
--------------
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 2000,
were summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Covered by Expiration Appreciation
to Sell Currency Contracts Month (Depreciation)
--------------------------------------------------------------
Sell AD 3,326,988 8/00 ($52,242)
Sell BP 95,797 7/00 6,073
Sell 154,262 8/00 2,222
Sell 1,037,998 9/00 (22,380)
Sell CD 972,461 8/00 (8,004)
Sell 602,000 9/00 157
Buy ED 1,040,630 7/00 10,852
Buy 3,843,319 8/00 146,448
Buy 2,080,738 9/00 44,853
Buy 930,865 11/00 50,965
Buy 380,664 2/01 (6,573)
Sell JY 86,704,120 7/00 12,100
Sell 91,054,980 8/00 (44,176)
Sell 89,223,420 11/00 (11,632)
Sell 39,547,200 2/01 (27,637)
--------------
$101,026
--------------
Principal amount denoted in the indicated currency:
AD - Australian Dollar
BP - British Pound
CD - Canadian Dollar
ED - Euro Dollar
JY - Japanese Yen
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $257,896,620
--------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $12,164,593
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (12,269,247)
--------------
Net unrealized depreciation ($104,654)
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-14
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
CORPORATE BONDS & NOTES - 47.95%
Autos & Transportation - 5.61%
AMR Corp
9.000% due 09/15/16 $4,500,000 $4,318,285
DaimlerChrysler Corp
7.450% due 03/01/27 2,000,000 1,924,320
Federal-Mogul Corp
7.500% due 01/15/09 375,000 257,553
Ford Motor Co
7.700% due 05/15/97 2,000,000 1,857,396
General Motors Corp
7.400% due 09/01/25 1,000,000 938,520
Hayes Lemmerz International Inc
8.250% due 12/15/08 500,000 425,000
Lear Corp
9.500% due 07/15/06 500,000 482,500
TRW Inc
7.750% due 06/01/29 1,000,000 905,117
--------------
11,108,691
--------------
Consumer Discretionary - 6.09%
Alaska Communications Holdings Inc
9.375% due 05/15/09 375,000 347,812
Chancellor Media Corp
8.000% due 11/01/08 250,000 252,187
8.125% due 12/15/07 250,000 252,812
Fred Meyer Inc
7.450% due 03/01/08 1,100,000 1,053,557
Intermedia Communications Inc
8.600% due 06/01/08 250,000 232,500
Lenfest Communications Inc
8.375% due 11/01/05 600,000 609,354
News America Holdings Inc
7.250% due 05/18/18 300,000 263,775
7.750% due 12/01/45 2,100,000 1,829,106
Panamsat Corp
6.125% due 01/15/05 1,680,000 1,548,317
Tele-Communications Inc
8.250% due 01/15/03 570,000 585,284
Time Warner Entertainment
8.375% due 07/15/33 2,000,000 2,037,294
Viacom Inc
7.750% due 06/01/05 2,260,000 2,278,042
Waste Management Inc
6.125% due 07/15/01 800,000 774,861
--------------
12,064,901
--------------
Consumer Staples - 3.15%
Aurora Foods Inc
9.875% due 02/15/07 250,000 146,250
International Home Foods Inc
10.375% due 11/01/06 500,000 537,500
J Seagram & Sons
6.250% due 12/15/01 450,000 442,724
Keebler Foods Corp
10.750% due 07/01/06 375,000 399,141
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Philip Morris Cos Inc
7.000% due 07/15/05 $340,000 $322,236
7.125% due 08/15/02 1,300,000 1,277,377
7.625% due 05/15/02 200,000 198,588
7.750% due 01/15/27 900,000 788,080
Riverwood International
10.625% due 08/01/07 250,000 243,750
RJ Reynolds Tobacco
7.375% due 05/15/03 1,190,000 1,109,731
Safeway Inc
6.050% due 11/15/03 805,000 768,637
-------------
6,234,014
-------------
Financial Services - 17.59%
American General Corp
7.500% due 07/15/25 1,500,000 1,409,176
BankAmerica Corp
7.200% due 09/15/02 1,000,000 996,036
7.500% due 10/15/02 500,000 501,216
7.875% due 12/01/02 2,500,000 2,524,717
Beneficial Corp
6.250% due 02/18/13 1,240,000 1,209,821
Capital One Bank
6.480% due 06/28/02 1,200,000 1,166,341
6.760% due 07/23/02 2,000,000 1,951,772
CitiCorp
7.200% due 06/15/07 1,450,000 1,417,568
8.000% due 02/01/03 1,000,000 1,011,900
Conseco Inc
8.500% due 10/15/02 530,000 384,250
Countrywide Capital III
8.050% due 06/15/27 775,000 668,590
Countrywide Home Loans Inc
6.970% due 03/28/03 1,500,000 1,470,599
EOP Operating LP
6.375% due 02/15/03 1,000,000 960,753
FleetBoston Financial Corp
6.875% due 01/15/28 950,000 812,139
Ford Motor Credit Co
7.200% due 06/15/07 1,300,000 1,263,454
Household Financial Corp
6.000% due 05/01/04 1,300,000 1,226,121
HSBC Holdings PLC
7.500% due 07/15/09 370,000 364,006
Long Island Savings Bank
6.200% due 04/02/01 1,900,000 1,881,842
7.000% due 06/13/02 875,000 865,422
MBNA Corp
6.450% due 02/15/08 2,500,000 2,431,063
Merita Bank PLC
6.500% due 04/01/09 500,000 458,197
MIC Financing Trust
8.375% due 02/01/27 500,000 436,479
National Westminster Bank PLC
7.375% due 10/01/09 530,000 515,881
NationsBank Corp
6.375% due 05/15/05 925,000 881,523
7.250% due 10/15/25 840,000 759,000
See Notes to Financial Statements
D-15
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Providian National Bank
6.650% due 02/01/04 $1,000,000 $957,548
Sears Roebuck Acceptance Corp
6.630% due 07/09/02 1,866,000 1,833,494
Simon Debartolo Group
6.625% due 06/15/03 1,065,000 1,019,307
6.750% due 07/15/04 600,000 567,994
US West Capital Funding Inc
6.875% due 07/15/28 2,280,000 1,965,023
Wells Fargo & Co
6.625% due 07/15/04 945,000 922,578
--------------
34,833,810
--------------
Health Care - 0.16%
Tenet Healthcare Corp
8.000% due 01/15/05 260,000 250,900
8.625% due 12/01/03 80,000 79,210
--------------
330,110
--------------
Materials & Processing - 1.20%
Lyondell Chemical Co
9.875% due 05/01/07 375,000 371,250
Nortek Inc
8.875% due 08/01/08 250,000 227,500
Owens Corning
7.500% due 05/01/05 1,420,000 986,027
SD Warren Co
14.000% due 12/15/06 500,000 555,000
Wesco Distributor
9.125% due 06/01/08 250,000 230,000
--------------
2,369,777
--------------
Other - 0.64%
ITT Industries Inc
6.250% due 11/15/00 700,000 694,464
6.750% due 11/15/03 625,000 580,536
--------------
1,275,000
--------------
Other Energy - 1.56%
Occidental Petroleum Corp
7.200% due 04/01/28 745,000 652,131
8.450% due 02/15/29 595,000 614,517
Petroleum Geo Services
7.125% due 03/30/28 450,000 373,476
Williams Cos Inc
7.625% due 07/15/19 1,500,000 1,445,910
--------------
3,086,034
--------------
Producer Durables - 2.12%
Crown Castle International Corp
0.000% due 05/15/04 750,000 462,188
Packaging Corp of America
9.625% due 04/01/09 500,000 498,750
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Tyco International Group
5.875% due 11/01/04 $600,000 $561,298
6.375% due 06/15/05 1,720,000 1,626,289
6.875% due 01/15/29 700,000 600,341
United Rentals Inc
8.800% due 08/15/08 500,000 442,500
-------------
4,191,366
-------------
Technology - 1.24%
Fisher Scientific International
9.000% due 02/01/08 500,000 460,000
Grupo Industrial
12.625% due 08/01/03 200,000 201,000
Huntsman ICI Chemicals
10.125% due 07/01/09 250,000 253,125
National Power
7.625% due 11/15/00 500,000 498,716
Raytheon Co
6.300% due 03/15/05 1,100,000 1,036,011
-------------
2,448,852
-------------
Utilities - 8.59%
360 Communication
7.125% due 03/01/03 1,350,000 1,343,145
Adelphia Communications Corp
7.875% due 05/01/09 250,000 211,875
9.375% due 11/15/09 250,000 232,500
10.250% due 07/15/00 175,000 176,453
Allied Waste North America Inc
7.625% due 01/01/06 500,000 440,000
Calenergy Co Inc
7.230% due 09/15/05 600,000 583,726
Charter Communications Holdings
8.250% due 04/01/07 500,000 443,750
CMS Energy Corp
6.750% due 01/15/04 290,000 268,682
7.375% due 11/15/00 750,000 745,187
Comcast UK Cable
0.000% due 11/15/00 500,000 468,750
McLeodUSAInc
8.125% due 02/15/09 250,000 226,250
MetroMedia Fiber Network Inc
10.000% due 12/15/09 250,000 247,500
Metronet Communications Corp
0.000% due 06/15/03 625,000 509,124
Nextel Communications Inc
9.375% due 11/15/09 500,000 480,000
Nextel Communications Inc Step-up
0.000% due 02/15/03 500,000 368,750
Niagara Mohawk Power Corp
6.875% due 04/01/03 550,000 537,782
7.000% due 10/01/00 510,366 509,635
7.750% due 05/15/06 2,400,000 2,391,499
8.000% due 06/01/04 500,000 504,643
Sprint Capital Corp
6.875% due 11/15/28 1,000,000 867,541
6.900% due 05/01/19 650,000 578,380
See Notes to Financial Statements
D-16
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Telewest PLC
0.000% due 10/01/00 $375,000 $357,188
0.000% due 04/15/04 500,000 271,250
0.000% due 02/01/10 250,000 134,375
Texas Utilities Electric Co
7.170% due 08/01/07 2,000,000 1,931,902
WorldCom Inc
6.400% due 08/15/05 1,500,000 1,423,326
7.750% due 04/01/27 750,000 747,658
--------------
17,000,871
--------------
Total Corporate Bonds & Notes
(Cost $87,996,677) 94,943,426
--------------
MORTGAGE-BACKED SECURITIES - 10.27%
Collateralized Mortgage Obligations - 6.84%
Bear Stearns Commercial Mortgage Inc
6.440% due 06/16/08 " 2,500,000 2,354,877
CitiCorp Mortgage Securities
6.750% due 04/25/28 " 3,900,000 3,706,034
Commercial Mortgage Acceptance Corp
6.490% due 05/15/08 " 2,500,000 2,360,488
First Union Lehman Brothers
6.560% due 11/18/08 " 2,600,000 2,469,334
GE Capital Mortgage Services Inc
5.583% due 12/25/23 " 3,214,900 2,661,294
--------------
13,552,027
--------------
Federal Home Loan Mortgage Corporation - 1.61%
5.000% due 06/15/09 " 3,724,000 3,178,397
--------------
Federal National Mortgage Association - 1.82%
6.000% due 05/18/28 " 4,000,000 3,597,980
--------------
Total Mortgage-Backed Securities
(Cost $33,791,451) 20,328,404
--------------
OTHER ASSET-BACKED SECURITIES - 9.12%
AESOP Funding II LLC
6.140% due 05/20/06 " 2,500,000 2,370,162
American Business Financial Service
6.455% due 09/25/29 " 6,000,000 5,676,750
ContiMortgage Home Equity Loan Trust
6.470% due 12/25/13 " 3,000,000 2,805,525
Green Tree Financial
6.630% due 06/01/30 " 2,700,000 2,360,084
6.860% due 07/15/29 " 1,857,136 1,719,605
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
IMC Home Equity Loan Trust
6.340% due 08/20/29 " $2,500,000 $2,375,463
Option One Mortgage Securities Corp
10.800% due 12/26/29 " 752,913 745,972
--------------
Total Other Asset-Backed Securities
(Cost $19,206,188) 18,053,561
--------------
U.S. TREASURY BOND - 0.65%
8.750% due 08/15/20 1,000,000 1,285,854
--------------
Total U.S. Treasury Bond
(Cost $1,285,078) 1,285,854
--------------
U.S. TREASURY STRIPPED - 21.88%
0.000% due 05/15/13 10,660,000 4,798,930
0.000% due 05/15/17 8,900,000 3,136,493
0.000% due 11/15/18 23,650,000 7,609,908
0.000% due 02/15/19 5,500,000 1,745,656
0.000% due 05/15/20 ** 33,500,000 9,863,941
0.000% due 08/15/20 22,090,000 6,416,814
0.000% due 08/15/25 17,870,000 3,950,485
0.000% due 02/15/26 5,400,000 1,164,159
0.000% due 08/15/26 11,000,000 2,313,212
0.000% due 11/15/26 4,340,000 899,200
0.000% due 08/15/27 7,150,000 1,423,944
--------------
Total U.S. Treasury Stripped
(Cost $42,408,618) 43,322,742
--------------
FOREIGN BONDS - 2.91%
Bermuda - 0.12%
Global Crossing Holdings Ltd
9.125% due 11/15/06 250,000 240,625
--------------
Canada - 0.74%
Gulf Canada Resources
9.250% due 01/15/04 375,000 378,750
Hydro Quebec
8.625% due 06/15/29 1,000,000 1,089,718
--------------
1,468,468
--------------
Germany - 0.32%
Deutsche Telekom International Financial
7.750% due 06/15/05 640,000 645,151
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-17
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Mexico - 0.21%
Pemex Finance Ltd
9.030% due 02/15/11 $220,000 $227,129
TFM SA De CV
0.000% due 06/15/09 280,000 192,500
--------------
419,629
--------------
Norway - 0.46%
Norsk Hydro A/S
7.150% due 01/15/29 1,000,000 905,467
--------------
Poland - 0.15%
PTC International Finance
0.000% due 07/01/07 410,000 292,125
--------------
South Korea - 0.17%
Hanvit Bank
11.750% due 03/01/05 160,000 155,600
11.750% due 03/01/10 180,000 175,050
--------------
330,650
--------------
United Kingdom - 0.74%
British Sky Broadcasting Group PLC
8.200% due 07/15/09 455,000 427,565
Orange PLC
8.750% due 06/01/06 1,000,000 1,032,500
--------------
1,460,065
--------------
Total Foreign Bonds
(Cost $5,427,402) 5,762,180
--------------
FOREIGN GOVERNMENT BONDS - 4.04%
Brazil - 0.25%
Brazil 'C' Bond Var Brady
8.000% due 04/15/14 506,110 375,360
Brazil Federal Republic
14.500% due 10/15/09 110,000 117,700
--------------
493,060
--------------
Bulgaria - 0.31%
Bulgaria
2.750% due 07/28/12 830,000 614,062
--------------
Canada - 1.43%
Quebec Province
7.500% due 07/15/23 2,495,000 2,450,447
Saskatchewan Province
8.500% due 07/15/22 340,000 373,393
--------------
2,823,840
--------------
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Mexico - 0.10%
United Mexican States
9.875% due 02/01/10 $200,000 $207,500
-------------
Panama - 0.83%
Republic of Panama
7.875% due 02/13/02 500,000 492,008
7.930% due 05/10/02 772,347 757,072
9.375% due 04/01/29 420,000 402,675
-------------
1,651,755
-------------
Peru - 0.29%
Peru-Flirb
3.750% due 03/07/17 950,000 577,331
-------------
Philippines - 0.37%
Republic of Philippines
9.500% due 10/21/24 280,000 261,100
10.625% due 03/16/25 560,000 480,200
-------------
741,300
-------------
Poland - 0.11%
Poland Reg'd Rsta
4.000% due 10/27/24 320,000 207,763
-------------
Qatar - 0.20%
State of Qatar
9.500% due 05/21/09 230,000 236,180
9.750% due 06/15/30 160,000 158,200
-------------
394,380
-------------
Turkey - 0.15%
Republic of Turkey
11.750% due 06/15/10 280,000 287,000
-------------
Total Foreign Government Bonds
(Cost $8,002,345) 7,997,991
-------------
See Notes to Financial Statements
D-18
<PAGE>
PACIFIC SELECT FUND
BOND AND INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENTS - 2.74%
SECURITIES HELD UNDER REPURCHASE
AGREEMENTS - 2.74%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $22,010; collateralized by U.S.
Treasury Notes--market value
$22,775 and due 11/15/16) $22,000 $22,000
Goldman Sachs
6.866% due 07/03/00
(Dated 06/30/00, repurchase price
of $5,403,089; collateralized by
Fannie Mae--market value
$5,947,762 and due 02/19/04) 5,400,000 5,400,000
--------------
Total Securities Held Under Repurchase
Agreements 5,422,000
--------------
Total Short-Term Investments
(Cost $5,422,000) 5,422,000
--------------
TOTAL INVESTMENTS - 99.56%
(Cost $203,539,759) 197,116,158
OTHER ASSETS AND
LIABILITIES, NET - 0.44% 869,927
--------------
NET ASSETS - 100.00% $197,986,085
==============
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$1,325,007 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
--------------------------------------------------------------
U.S. Treasury 5-Year Notes (9/00) 382 ($843,472)
U.S. Treasury 10-Year Notes (9/00) 231 595,363
U.S. Treasury 30-Year Bonds (9/00) 341 1,218,226
-------------
$970,117
-------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $203,509,564
-------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $1,561,060
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (7,984,661)
-------------
Net unrealized depreciation ($6,423,601)
-------------
See Notes to Financial Statements
D-19
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 98.08%
Autos & Transportation - 0.11%
Kansas City Southern Industries Inc 15,300 $1,356,919
--------------
Consumer Discretionary - 12.51%
Amazon.com Inc * 28,700 1,042,168
America Online Inc * 406,100 21,421,775
AT&T Corp - Liberty Media Group 'A' * 163,700 3,969,725
Barnes & Noble Inc * 62,900 1,399,525
BJ's Wholesale Club Inc * 26,200 864,600
Circuit City Stores Inc 87,900 2,917,181
CMGI * 35,000 1,603,437
CNET Networks Inc * 4,600 112,987
Commerce One Inc 24,300 1,102,613
DoubleClick Inc * 21,400 815,875
EarthLink Inc * 5,131 79,210
eBay Inc * 18,900 1,026,506
Exodus Communications Inc * 74,900 3,450,081
Federated Department Stores * 202,000 6,817,500
Fox Entertainment Group Inc * 39,600 1,202,850
Hertz Corp 'A' 146,600 4,113,962
Home Depot Inc 339,650 16,961,271
Infinity Broadcasting Corp * 33,400 1,217,012
InfoSpace.com Inc * 25,600 1,414,400
InterNAP Network Services Corp * 9,300 386,096
Intimate Brands Inc 131,700 2,601,075
Knight-Ridder Inc 24,500 1,303,094
Limited Inc 266,600 5,765,225
Lycos Inc * 17,200 928,800
Manpower Inc 34,100 1,091,200
Marriott International Inc 'A' 90,100 3,249,231
New York Times Co 'A' 27,600 1,090,200
Nike Inc 'B' 53,100 2,114,044
Omnicom Group Inc 102,500 9,128,906
priceline.com Inc * 7,800 296,278
Republic Services Inc 'A' * 314,500 5,032,000
Talbots Inc 24,500 1,345,969
Target Corp 52,400 3,039,200
The Walt Disney Co 78,400 3,042,900
Tiffany & Co 117,200 7,911,000
Time Warner Inc 156,500 11,894,000
TMP Worldwide Inc * 12,700 937,418
Verticalnet Inc 17,000 627,938
Viacom Inc 43,000 2,932,062
Wal-Mart Stores Inc 238,700 13,755,088
Yahoo! Inc * 44,500 5,512,438
Zale Corp * 38,600 1,408,900
--------------
156,925,740
--------------
Consumer Staples - 3.05%
Coca-Cola Co 42,600 2,446,837
Conagra Inc 204,200 3,892,562
CVS Corp 78,200 3,128,000
Hormel Foods Corp 62,600 1,052,462
---------------------------------------------------------------
Market
Shares Value
------ -----
IBP Inc 174,000 $2,686,125
Keebler Foods Co 52,200 1,937,925
McCormick & Co Inc 35,800 1,163,500
Nabisco Group Holdings Corp 'A' 238,400 6,183,500
Pepsi Bottling Group Inc 85,400 2,492,612
PepsiCo Inc 173,900 7,727,681
Smuckers 'A' 7,000 134,750
Suiza Foods Corp * 30,000 1,466,250
Sysco Corp 70,000 2,948,750
Tyson Foods Inc 'A' 109,700 959,875
-------------
38,220,829
-------------
Financial Services - 2.25%
Ameritrade Holding Corp * 2,500 29,062
CheckFree Holdings Corp * 8,900 458,906
Comdisco Inc 41,900 934,894
DST Systems Inc * 15,200 1,157,100
E*TRADE Group Inc * 19,400 320,100
Homestore.com Inc * 2,300 67,131
Legg Mason Inc 23,700 1,185,000
Lehman Brothers Holdings Inc 87,300 8,255,306
Merrill Lynch & Co Inc 76,600 8,809,000
Portal Software Inc 13,800 881,475
Schwab (Charles) Corp 182,550 6,138,243
-------------
28,236,217
-------------
Health Care - 14.81%
Allergan Inc 190,500 14,192,250
Alpharma Inc 31,400 1,954,650
Amgen Inc * 276,900 19,452,225
Baxter International Inc 173,600 12,206,250
Cardinal Health Inc 52,813 3,908,162
Chiron Corp 29,400 1,396,500
Forest Laboratories Inc * 12,700 1,282,700
Genentech Inc * 53,700 9,236,400
Healtheon/WebMD Corp * 1,700 25,181
Johnson & Johnson 141,200 14,384,750
Lilly (Eli) & Co 25,600 2,556,800
MedImmune Inc * 65,400 4,839,600
Medtronic Inc 44,500 2,216,656
Merck & Co Inc 366,000 28,044,750
Millennium Pharmaceuticals Inc * 25,300 2,830,437
PE Corp-Celera Genomics Group 10,800 1,009,800
Per-Se Technologies Inc * 256 2,400
Pfizer Inc 1,173,600 56,332,800
Quest Diagnostics Inc 17,200 1,285,700
Schering-Plough Corp 25,300 1,277,650
Stryker Corp 90,600 3,963,750
UnitedHealth Group Inc 24,700 2,118,025
Wellpoint Health Networks Inc * 16,800 1,216,950
-------------
185,734,386
-------------
Integrated Oils - 0.09%
Murphy Oil Corp 19,400 1,153,088
-------------
Materials & Processing - 0.72%
Dow Chemical Co 300,000 9,056,250
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-20
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Other - 5.75%
General Electric Co 1,360,300 $72,095,900
--------------
Other Energy - 1.07%
Apache Corp 39,900 2,346,619
BJ Services Co * 30,400 1,900,000
Calpine Corp * 62,800 4,129,100
Devon Energy Corp 48,600 2,730,713
Enron Corp 35,700 2,302,650
--------------
13,409,082
--------------
Producer Durables - 2.20%
Agilent Technologies Inc * 88,011 6,490,811
Applied Materials Inc * 25,900 2,347,187
Boeing Co 149,000 6,230,063
Efficient Networks Inc 2,400 176,550
E-Tek Dynamics Inc * 10,000 2,638,125
Lexmark International Group Inc 'A' * 22,700 1,526,575
Molex Inc 20,700 996,188
Power-One Inc * 10,500 1,196,344
Powerwave Technologies Inc 26,700 1,174,800
RF Micro Devices Inc * 11,300 990,162
Teradyne Inc * 27,100 1,991,850
Terayon Communication Systems * 27,300 1,753,598
--------------
27,512,253
--------------
Technology - 52.36%
3Com Corp * 42,100 2,426,013
ADC Telecommunications Inc * 45,300 3,799,538
Adobe Systems Inc 61,700 8,021,000
Advanced Fibre Communication Inc * 16,300 738,594
Advanced Micro Devices Inc * 97,200 7,508,700
Agile Software Corp 2,400 169,650
Akamai Technologies Inc 6,400 759,900
Alteon WebSystems Inc 3,900 390,244
Amphenol Corp * 19,800 1,310,513
Analog Devices Inc * 67,600 5,137,600
Apple Computer Inc 207,600 10,873,050
Applied Micro Circuits Corp * 101,000 9,973,750
Ariba Inc * 29,000 2,843,360
Art Technology Group Inc * 7,800 787,313
Aspect Communications Corp * 18,500 727,281
At Home Corp 'A' * 11,200 232,400
AVX Corp 122,100 2,800,669
BEA Systems Inc * 68,500 3,386,468
Broadcom Corp * 25,200 5,517,225
BroadVision Inc * 33,500 1,702,219
Brocade Communications Systems * 19,800 3,632,991
Cabletron Systems Inc * 85,000 2,146,250
Ciena Corp * 39,600 6,600,825
Cisco Systems Inc * 1,094,500 69,569,156
Computer Sciences Corp * 42,300 3,159,281
Copper Mountain Networks Inc 9,200 810,750
Corning Inc 97,500 26,312,812
Critical Path Inc * 1,100 64,144
Dell Computer Corp * 133,300 6,573,356
---------------------------------------------------------------
Market
Shares Value
------ -----
Ditech Communications Corp 13,900 $1,314,419
E.piphany Inc * 2,700 289,406
Echelon Corp 5,300 307,069
Electronic Data Systems Corp 96,500 3,980,625
EMC Corp * 282,200 21,711,763
Entrust Technologies Inc 4,600 380,650
Extreme Networks Inc * 2,800 295,400
General Motors 'H' * 94,500 8,292,375
GlobeSpan Inc 6,700 817,923
Harmonic Inc * 8,800 217,800
Hewlett-Packard Co 158,100 19,742,738
i2 Technologies Inc * 17,800 1,855,927
IBM Corp 124,800 13,673,400
Inktomi Corp * 14,600 1,726,450
Intel Corp 497,000 66,442,687
Intuit Inc * 23,600 976,450
ISS Group Inc 6,100 602,280
JDS Uniphase Corp * 202,400 24,262,700
Juniper Networks Inc 34,800 5,065,575
Kana Communications 10,800 668,250
KEMET Corp * 60,000 1,503,750
Liberate Technologies 6,200 181,738
LSI Logic Corp * 51,600 2,792,850
Lucent Technologies Inc 361,900 21,442,575
Macromedia Inc * 10,000 966,875
MarchFirst Inc * 8,477 154,705
Micron Technology Inc 97,300 8,568,482
Microsoft Corp * 610,400 48,832,000
Motorola Inc 313,500 9,111,094
Network Appliance Inc * 126,300 10,167,150
Networks Associates Inc 12,700 258,763
Oracle Systems Corp * 477,000 40,097,813
PE Corp-PE Biosystems Group 67,200 4,426,800
Phone.com Inc * 4,500 293,063
PMC-Sierra Inc * 19,500 3,464,906
Proxicom Inc 8,100 387,788
PSINet Inc * 18,500 464,813
QLogic Corp * 11,300 746,506
QUALCOMM Inc * 245,000 14,700,000
RealNetworks Inc * 11,800 596,637
Red Hat Inc 7,300 197,557
Redback Networks Inc * 18,600 3,310,801
RSA Security Inc * 6,100 422,425
SanDisk Corp * 27,800 1,701,012
Sapient Corp * 7,800 834,112
Scient Corp * 8,600 379,475
Scientific-Atlanta Inc 72,400 5,393,800
SDL Inc * 39,900 11,378,981
Seagate Technology Inc * 120,200 6,611,000
Siebel Systems Inc * 28,900 4,726,956
Software.com Inc * 4,300 558,463
Sun Microsystems Inc * 342,300 31,127,906
Sycamore Networks Inc * 16,500 1,821,188
Texas Instruments Inc 265,200 18,215,925
Tibco Software Inc 20,600 2,209,029
TriQuint Semiconductor Inc * 10,200 976,013
Verio Inc * 9,000 499,359
VeriSign Inc * 34,682 6,121,461
See Notes to Financial Statements See explanation of symbols on D-88
D-21
<PAGE>
PACIFIC SELECT FUND
EQUITY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Veritas Software Corp 147,225 $16,638,725
Vignette Corp * 36,600 1,903,772
Vishay Intertechnology Inc * 200,000 7,587,500
Vitria Technology Inc 9,000 550,125
Xilinx Inc * 44,700 3,690,544
--------------
656,613,376
--------------
Utilities - 3.16%
Allegiance Telecom Inc * 12,000 768,000
AT&T Corp 151,800 4,800,675
Bell Atlantic Corp 110,300 5,604,619
BellSouth Corp 113,400 4,833,675
Level 3 Communications Inc * 34,800 3,062,400
MediaOne Group Inc * 14,300 948,287
Nextlink Communications Inc 'A' * 37,600 1,426,450
SBC Communications Inc 57,960 2,506,770
Sprint FON Group 70,000 3,570,000
Telephone & Data Systems Inc 6,100 611,525
WorldCom Inc * 249,500 11,445,813
--------------
39,578,214
--------------
Total Common Stocks
(Cost $974,430,084) 1,229,892,254
--------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 1.96%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.96%
State Street Bank and Trust
5.250% due 07/03/00 **
(Dated 06/30/00, repurchase price
of $24,529,727; collateralized by
U.S. Treasury Bonds--market value
$25,011,188 and due 11/15/27) $24,519,000 24,519,000
--------------
Total Securities Held Under Repurchase
Agreement 24,519,000
--------------
Total Short-Term Investment
(Cost $24,519,000) 24,519,000
--------------
TOTAL INVESTMENTS - 100.04%
(Cost $998,949,084) 1,254,411,254
OTHER ASSETS AND
LIABILITIES, NET - (0.04%) (468,075)
--------------
NET ASSETS - 100.00% $1,253,943,179
--------------
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$4,618,883 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Number of Unrealized
Type Contracts Depreciation
--------------------------------------------------------------
S&P 500/250 (9/00) 59 ($210,904)
-------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $998,949,084
-------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $321,431,831
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (65,969,661)
-------------
Net unrealized appreciation $255,462,170
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-22
<PAGE>
PACIFIC SELECT FUND
I-NET TOLLKEEPER PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 93.33%
Consumer Discretionary - 28.14%
America Online Inc * 3,440 $181,460
AMFM Inc * 24,620 1,698,780
AT&T Corp - Liberty Media Group 'A' * 71,610 1,736,543
Cendant Corp * 24,910 348,740
Comcast Corp 'A' 28,450 1,152,225
DoubleClick Inc * 56,960 2,171,600
eBay Inc * 4,680 254,182
EchoStar Communications Corp * 15,450 511,540
Energizer Holdings Inc * 26,350 480,887
Expedia Inc 'A' * 8,410 124,573
GetThere Inc * 18,550 195,934
Infinity Broadcasting Corp * 54,200 1,974,912
InfoSpace.com Inc * 5,530 305,532
InterNAP Network Services Corp * 36,360 1,509,508
Liberty Digital Inc 'A' * 18,760 562,800
The Walt Disney Co 8,950 347,372
Time Warner Inc 39,550 3,005,800
Travelocity.com Inc * 20,020 327,827
TV Guide Inc * 25,580 876,115
Univision Communications Inc * 8,190 847,665
Viacom Inc 44,188 3,013,069
Westwood One Inc * 32,360 1,104,285
Yahoo! Inc * 10,870 1,346,521
--------------
24,077,870
--------------
Financial Services - 4.56%
CheckFree Holdings Corp * 15,040 775,500
First Data Corp 36,680 1,820,245
S1 Corp * 18,530 431,981
Schwab (Charles) Corp 26,139 878,924
--------------
3,906,650
--------------
Other Energy - 0.74%
AES Corp * 13,820 630,537
--------------
Producer Durables - 8.64%
American Tower Corp 'A' * 5,980 249,291
Applied Materials Inc * 2,950 267,344
Crown Castle International Corp * 94,940 3,465,310
E-Tek Dynamics Inc * 12,920 3,408,457
--------------
7,390,402
--------------
Technology - 37.77%
Accelerated Networks Inc * 840 35,437
Analog Devices Inc * 4,840 367,840
Apple Computer Inc 15,200 796,100
Ariba Inc * 4,840 474,547
ARM Holdings PLC * 12,370 406,664
Art Technology Group Inc * 6,100 615,719
BroadVision Inc * 12,850 652,941
Brocade Communications Systems * 2,840 521,096
Cisco Systems Inc * 28,340 1,801,361
Corning Inc 11,030 2,976,721
---------------------------------------------------------------
Market
Shares Value
------ -----
E.piphany Inc * 10,200 $1,093,312
EMC Corp * 23,400 1,800,337
Integrated Circuit Systems * 25,880 443,195
Intel Corp 11,540 1,542,754
InterTrust Technologies * 33,290 684,526
Interwoven Inc * 11,330 1,246,123
Intuit Inc * 18,710 774,126
Maxim Integrated Products Inc * 3,690 250,689
Microsoft Corp * 22,530 1,802,400
Network Appliance Inc * 7,880 634,340
New Focus Inc * 980 80,483
Oracle Systems Corp * 21,010 1,766,153
PMC-Sierra Inc * 4,250 755,172
QUALCOMM Inc * 16,410 984,600
Redback Networks Inc * 3,700 658,600
SDL Inc * 1,940 553,264
Sun Microsystems Inc * 16,720 1,520,475
Sycamore Networks Inc * 6,500 717,438
Symantec Corp * 9,170 494,607
Texas Instruments Inc 10,350 710,916
VeriSign Inc * 21,376 3,772,864
Veritas Software Corp 4,260 481,447
Witness Systems Inc * 10,130 246,919
Xilinx Inc * 7,850 648,116
-------------
32,311,282
-------------
Utilities - 13.48%
Cablevision Systems Corp 'A' * 21,820 1,481,033
Nortel Networks Corp 36,790 2,510,918
NTL Inc * 16,640 996,320
Sprint FON Group 21,880 1,115,880
Sprint PCS Group Series 1 * 44,030 2,619,785
United Global Com Inc 'A' * 14,540 679,745
Vodafone Airtouch PLC 38,940 1,613,576
WorldCom Inc * 11,260 516,553
-------------
11,533,810
-------------
Total Common Stocks
(Cost $76,200,985) 79,850,551
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-23
<PAGE>
PACIFIC SELECT FUND
I-NET TOLLKEEPER PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 5.68%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 5.68%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $4,860,125; collateralized by U.S.
Treasury Bonds--market value
$4,959,300 and due 11/15/21) $4,858,000 $4,858,000
--------------
Total Securities Held Under Repurchase
Agreement 4,858,000
--------------
Total Short-Term Investment
(Cost $4,858,000) 4,858,000
--------------
TOTAL INVESTMENTS - 99.01%
(Cost $81,058,985) 84,708,551
OTHER ASSETS AND
LIABILITIES, NET - 0.99% 843,947
--------------
NET ASSETS - 100.00% $85,552,498
--------------
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $81,058,985
-------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $7,631,264
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (3,981,698)
-------------
Net unrealized appreciation $3,649,566
-------------
See Notes to Financial Statements
D-24
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
CONVERTIBLE PREFERRED STOCK - 0.18%
Financial Services - 0.18%
Home Ownership Funding 1,830 $1,390,106
--------------
Total Convertible Preferred Stock
(Cost $1,831,903) 1,390,106
--------------
COMMON STOCKS - 56.42%
Autos & Transportation - 1.32%
Ford Motor Co 51,500 2,214,500
Lear Corp * 137,900 2,758,000
Union Pacific Corp 136,500 5,076,094
Visteon Corp * 6,743 81,759
--------------
10,130,353
--------------
Consumer Discretionary - 8.82%
Abercrombie & Fitch Co 'A' * 95,000 1,157,812
America Online Inc * 98,800 5,211,700
AT&T Corp - Liberty Media Group 'A' * 328,600 7,968,550
Cendant Corp * 184,200 2,578,800
Circuit City Stores Inc 54,600 1,812,037
Comcast Corp 'A' 43,700 1,769,850
Federated Department Stores * 69,300 2,338,875
Gillette Co 127,100 4,440,556
News Corp Ltd 125,300 6,828,850
Target Corp 56,000 3,248,000
Time Warner Inc 53,200 4,043,200
TJX Cos Inc 133,100 2,495,625
Tyco International Ltd 328,616 15,568,183
Wal-Mart Stores Inc 107,900 6,217,737
Waste Management Inc 99,217 1,885,123
--------------
67,564,898
--------------
Consumer Staples - 2.70%
Clorox Co 44,600 1,998,637
Coca-Cola Co 66,600 3,825,337
Philip Morris Cos Inc 248,200 6,592,812
Procter & Gamble Co 56,600 3,240,350
Seagrams Co Ltd 86,300 5,005,400
--------------
20,662,536
--------------
Financial Services - 7.95%
Ambac Financial Group Inc 107,100 5,870,419
Astoria Financial Corp 61,435 1,581,951
Bank of America Corp 60,670 2,608,810
Capital One Financial Corp 87,800 3,918,075
CIGNA Corp 35,900 3,356,650
CIT Group Inc 197,500 3,209,375
Citigroup Inc 92,700 5,585,175
E*TRADE Group Inc * 64,400 1,062,600
Fannie Mae 39,600 2,066,625
First Union Corp 240,000 5,955,000
Goldman Sachs Group Inc 47,500 4,506,562
---------------------------------------------------------------
Market
Shares Value
------ -----
KeyCorp 118,800 $2,093,850
MBIA Inc 17,100 824,006
Metlife Inc * 157,400 3,315,237
U.S. Bancorp 274,400 5,282,200
Washington Mutual Inc 186,100 5,373,638
XL Capital Ltd 'A' 78,500 4,248,813
-------------
60,858,986
-------------
Health Care - 6.11%
ALZA Corp * 141,500 8,366,188
American Home Products Corp 79,900 4,694,125
Bristol Myers Squibb Co 90,500 5,271,625
Lilly (Eli) & Co 83,900 8,379,513
Pfizer Inc 147,575 7,083,600
Pharmacia Corp 150,663 7,787,394
Schering-Plough Corp 103,200 5,211,600
-------------
46,794,045
-------------
Integrated Oils - 1.97%
BP Amoco PLC 1,288 72,852
Exxon Mobil Corp 190,852 14,981,882
-------------
15,054,734
-------------
Materials & Processing - 2.02%
Alcoa Inc 85,180 2,470,220
Allegheny Technologies Inc 110,300 1,985,400
Rohm & Haas Co 183,400 6,327,300
Smurfit-Stone Container Corp * 80,300 1,033,863
Temple-Inland Inc 87,600 3,679,200
-------------
15,495,983
-------------
Other - 2.01%
General Electric Co 241,700 12,810,100
Honeywell International Inc 76,700 2,583,831
-------------
15,393,931
-------------
Other Energy - 1.51%
Baker Hughes Inc 72,900 2,332,800
Columbia Energy Group Inc 69,650 4,570,781
Global Marine Inc * 93,800 2,643,988
Tosco Corp 72,200 2,044,163
-------------
11,591,732
-------------
Producer Durables - 0.27%
Cooper Industries Inc 64,500 2,100,281
-------------
Technology - 16.03%
Cisco Systems Inc * 283,000 17,988,188
Citrix Systems Inc * 40,200 761,288
Compaq Computer Corp 117,900 3,013,819
Computer Associates International Inc 112,900 5,779,069
Dell Computer Corp * 63,300 3,121,481
EMC Corp * 90,900 6,993,619
Hewlett-Packard Co 30,900 3,858,638
IBM Corp 26,900 2,947,231
Intel Corp 148,100 19,799,119
Lucent Technologies Inc 81,400 4,822,950
See Notes to Financial Statements See explanation of symbols on D-88
D-25
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Microsoft Corp * 211,200 $16,896,000
MicroStrategy Inc * 9,000 270,000
Motorola Inc 142,500 4,141,406
Oracle Systems Corp * 57,900 4,867,219
Parametric Technology Corp * 18,700 205,700
PE Corp-PE Biosystems Group 33,400 2,200,225
Seagate Technology Inc * 51,600 2,838,000
Siebel Systems Inc * 14,700 2,404,369
Sun Microsystems Inc * 132,900 12,085,594
Tellabs Inc * 32,500 2,224,219
Texas Instruments Inc 80,800 5,549,950
--------------
122,768,084
--------------
Utilities - 5.71%
Allegiance Telecom Inc * 20,800 1,331,200
AT&T Corp * 124,750 3,945,219
DTE Energy Co 72,900 2,228,006
Dynergy Inc 36,100 2,466,081
Global Crossing Ltd * 88,400 2,326,025
GTE Corp 98,400 6,125,400
Level 3 Communications Inc * 24,300 2,138,400
Nortel Networks Corp 66,300 4,524,975
PG&E Corp 92,300 2,272,888
Qwest Communications Int'l Inc * 43,100 2,141,531
SBC Communications Inc 130,900 5,661,425
Sprint PCS Group Series 1 * 36,700 2,183,650
WorldCom Inc * 140,000 6,422,500
--------------
43,767,300
--------------
Total Common Stocks
(Cost $404,745,756) 432,182,863
--------------
FOREIGN COMMON STOCK - 0.51%
Netherlands - 0.51%
Royal Dutch Petroleum Guilder 63,900 3,933,844
--------------
Total Foreign Common Stock
(Cost $3,973,393) 3,933,844
--------------
Principal
Amount
------
CORPORATE BONDS & NOTES - 8.85%
Autos & Transportation - 0.44%
DaimlerChrysler North America
Holdings
8.000% due 06/15/10 $1,400,000 1,426,552
Union Pacific Corp
5.780% due 10/15/01 2,000,000 1,963,056
--------------
3,389,608
--------------
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Consumer Discretionary - 0.35%
News America Holdings Inc
7.300% due 04/30/28 $1,880,000 $1,618,915
Time Warner Inc
6.625% due 05/15/29 1,280,000 1,079,516
-------------
2,698,431
-------------
Consumer Staples - 0.20%
J Seagram & Sons
7.600% due 12/15/28 1,575,000 1,493,732
-------------
Financial Services - 6.81%
Abbey National Capital Trust
8.963% due 06/30/30 1,385,000 1,379,934
CIT Group Holdings Inc
7.250% due 08/15/05 5,025,000 4,863,406
ERAC USA Finance
6.375% due 05/15/03 1,400,000 1,341,799
First Union Corp
6.625% due 06/15/04 5,900,000 5,684,904
Ford Motor Credit Co
5.750% due 02/23/04 9,000,000 8,468,748
Household Finance Corp
5.875% due 09/25/04 6,500,000 6,065,078
Keystone Financial Inc
6.500% due 05/31/08 500,000 463,750
Montell American Financial
7.400% due 03/15/04 1,500,000 1,460,919
NationsBank Corp
6.450% due 04/15/03 7,000,000 7,000,595
Norwest Financial Inc
6.375% due 09/15/02 2,750,000 2,703,533
Provident Cos Inc
7.405% due 03/15/38 1,175,000 871,796
Prudential Insurance
6.375% due 07/23/06 2,190,000 2,026,403
SAFECO Capital Trust
8.072% due 07/15/37 825,000 700,167
Toyota Motor Credit Trust
5.625% due 11/13/03 6,000,000 5,741,076
Wachovia Corp
6.700% due 06/21/04 3,500,000 3,418,016
-------------
52,190,124
-------------
Materials & Processing - 0.28%
Armstrong World Industries Inc
6.350% due 08/15/03 990,000 872,669
Cytec Industries Inc
6.846% due 05/11/05 1,325,000 1,258,617
-------------
2,131,286
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-26
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Other Energy - 0.21%
Enron Corp
6.625% due 10/15/03 $1,500,000 $1,463,388
LASMO
7.300% due 11/15/27 130,000 115,175
--------------
1,578,563
--------------
Producer Durables - 0.13%
Northrop Grumman Corp
9.375% due 10/15/24 1,000,000 1,018,878
--------------
Utilities - 0.43%
Texas Utilities Co
5.940% due 10/15/01 1,500,000 1,472,213
United Utilities
6.250% due 08/15/05 2,000,000 1,850,084
--------------
3,322,297
--------------
Total Corporate Bonds & Notes
(Cost $70,090,313) 67,822,919
--------------
CONVERTIBLE CORPORATE BOND - 0.16%
Utilities - 0.16%
TCI Communication Inc
7.875% due 02/15/26 1,250,000 1,222,781
--------------
Total Convertible Corporate Bond
(Cost $1,196,461) 1,222,781
--------------
MORTGAGE-BACKED SECURITIES - 22.78%
Collateralized Mortgage Obligations - 4.01%
Bear Stearns Structured Securities
7.000% due 08/25/36 " 1,000,000 906,562
Chase Manhattan B
7.134% due 07/15/07 " 553,506 549,084
CS First Boston Mortgage Securities Corp
6.480% due 05/17/08 " 8,000,000 7,532,136
DLJ Mortgage Acceptance Corp
6.500% due 10/19/29 " 5,440,854 5,046,393
8.854% due 11/25/24 " 20,054 20,022
First Union Lehman Brothers
6.560% due 11/18/08 " 5,000,000 4,748,720
LB Commercial Conduit Mortgage Trust
6.400% due 08/18/07 " 4,601,000 4,391,415
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Nomura Asset Securities Corp
6.590% due 03/17/28 " S3,060,000 $2,913,417
Ocwen Residential MBS Corp
7.000% due 10/25/40 " 635,966 611,819
Salomon Brothers Mtg Securities VII Inc
7.520% due 12/18/09 " 4,000,000 4,000,116
-------------
30,719,684
-------------
Federal Home Loan Mortgage Corporation - 0.16%
6.500% due 02/15/19 " 1,300,000 1,249,761
-------------
Federal National Mortgage Association - 17.33%
6.000% due 07/14/30 " # 7,800,000 7,138,248
6.300% due 12/25/15 " 1,366,041 1,320,772
6.500% due 03/01/28 " 2,351,024 2,223,624
6.500% due 05/01/28 " 11,471,008 10,838,428
7.000% due 08/01/28 " 206,361 199,751
7.000% due 07/01/30 " # 20,921,000 20,198,598
7.125% due 01/15/30 " 6,218,000 6,252,553
7.250% due 01/15/10 " 9,130,000 9,220,232
7.500% due 07/20/15 " # 16,285,000 16,231,585
7.500% due 07/14/30 " # 45,460,000 44,813,559
8.000% due 07/25/30 " # 14,220,000 14,280,008
-------------
132,717,358
-------------
Government National Mortgage Association - 1.28%
7.000% due 01/15/28 " 1,984,789 1,933,345
7.000% due 05/15/28 " 2,442,819 2,379,504
8.000% due 07/22/30 " # 5,440,000 5,497,827
-------------
9,810,676
-------------
Total Mortgage-Backed Securities
(Cost $175,119,876) 174,497,479
-------------
OTHER ASSET-BACKED SECURITIES - 3.20%
Alaska Trade Co
6.790% due 10/01/05 " 2,500,000 2,442,200
Chase Credit Card
6.300% due 04/15/03 " 400,000 399,958
Chase Funding Mortgage Loan
5.875% due 03/25/17 " 1,602,535 1,581,791
Citibank Credit Card Master Trust I
0.000% due 08/15/06 " 1,500,000 1,118,151
DaimlerChrysler Auto Trust
6.760% due 01/06/03 " 10,890,000 10,859,562
EQCC Home Equity Loan Trust
6.410% due 12/15/04 " 1,600,000 1,564,456
Sears Credit Account Master Trust
6.450% due 11/15/09 " 1,500,000 1,448,437
Standard Credit Card Trust
5.950% due 09/07/03 " 575,000 555,206
See Notes to Financial Statements See explanation of symbols on D-88
D-27
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
The Money Store Home Equity
6.440% due 09/15/24 " $500,000 $490,628
U.S. Bancorp
8.270% due 12/15/26 " 1,025,000 911,100
WFS Financial Owner Trust
7.220% due 09/20/04 " 3,095,000 3,123,551
--------------
Total Other Asset-Backed Securities
(Cost $24,853,023) 24,495,040
--------------
U.S. TREASURY BONDS - 3.42%
5.250% due 02/15/29 570,000 505,875
6.500% due 11/15/26 3,110,000 3,245,092
6.125% due 08/15/29 925,000 935,118
6.750% due 08/15/26 8,630,000 9,277,250
8.875% due 02/15/19 9,535,000 12,249,500
--------------
Total U.S. Treasury Bonds
(Cost $25,271,330) 26,212,835
--------------
U.S. TREASURY NOTES - 0.74%
6.500% due 02/15/10 4,870,000 5,037,406
5.625% due 11/30/00 ** 600,000 598,500
6.000% due 08/15/04 10,000 9,910
--------------
Total U.S. Treasury Notes
(Cost $5,462,298) 5,645,816
--------------
U.S. TREASURY STRIPPED - 0.48%
0.000% due 11/15/15 9,425,000 3,638,842
--------------
Total U.S. Treasury Stripped
(Cost $3,815,930) 3,638,842
--------------
FOREIGN BONDS - 0.90%
Canada - 0.64%
Hydro Quebec
8.500% due 12/01/29 2,000,000 2,158,460
Quebec Province
7.500% due 09/15/29 2,765,000 2,720,818
--------------
4,879,278
--------------
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
France - 0.07%
Legrand
8.500% due 02/15/25 $500,000 $514,828
--------------
United Kingdom - 0.19%
CSX Corp
7.050% due 05/01/02 1,500,000 1,483,341
--------------
Total Foreign Bonds
(Cost $7,221,316) 6,877,447
--------------
Value
-----
SHORT-TERM INVESTMENT - 17.00%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 17.00%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $130,243,989; collateralized
by U.S. Treasury Notes and
Bonds--market value $34,873,025
and due 08/15/27, and market
value $48,960,706 and due
02/28/03, and market value
$48,962,227 and due 08/15/03) 130,187,032 130,187,032
--------------
Total Securities Held Under
Repurchase Agreement 130,187,032
--------------
Total Short-Term Investment
(Cost $130,187,032) 130,187,032
--------------
TOTAL INVESTMENTS - 114.64%
(Cost $853,768,631) 878,107,004
OTHER ASSETS AND
LIABILITIES, NET - (14.64%) (112,131,585)
--------------
NET ASSETS - 100.00% $765,975,419
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-28
<PAGE>
PACIFIC SELECT FUND
MULTI-STRATEGY PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$598,500 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
---------------------------------------------------------------
U.S. Treasury 5-Year Notes (9/00) 17 ($34,908)
U.S. Treasury 10-Year Notes (9/00) 52 135,349
U.S. Treasury 30-Year Bonds (9/00) 56 14,461
--------------
$114,902
--------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $853,768,631
--------------
Aggregate gross unrealized appreciation for
all investments in which there was an excess
of value over tax cost $78,569,038
Aggregate gross unrealized depreciation for
all investments in which there was an excess
of tax cost over value (54,230,665)
--------------
Net unrealized appreciation $24,338,373
--------------
See Notes to Financial Statements
D-29
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Market
Shares Value
------ ------
CONVERTIBLE PREFERRED STOCKS - 1.59%
Autos & Transportation - 1.39%
Union Pacific Corp 707,200 $27,315,600
--------------
Utilities - 0.20%
Global Crossing Ltd * 21,400 3,852,000
--------------
Total Convertible Preferred Stocks
(Cost $41,859,369) 31,167,600
--------------
COMMON STOCKS - 91.35%
Autos & Transportation - 1.78%
Ford Motor Co 218,800 9,408,400
Lear Corp * 563,300 11,266,000
Union Pacific Corp 371,900 13,830,031
Visteon Corp * 28,648 347,359
--------------
34,851,790
--------------
Consumer Discretionary - 13.59%
Abercrombie & Fitch Co 'A' * 383,100 4,669,031
America Online Inc * 412,000 21,733,000
AT&T Corp-Liberty Media Group 'A' * 1,393,300 33,787,525
Cendant Corp * 816,600 11,432,400
Circuit City Stores Inc 220,900 7,331,119
Comcast Corp 'A' 187,500 7,593,750
Federated Department Stores * 287,500 9,703,125
Gillette Co 541,700 18,925,644
News Corp Ltd 162,000 8,829,000
Target Corp 245,200 14,221,600
Time Warner Inc 220,800 16,780,800
TJX Cos Inc 562,800 10,552,500
Tyco International Ltd 1,398,000 66,230,250
Wal-Mart Stores Inc 457,300 26,351,912
Waste Management Inc 433,202 8,230,838
--------------
266,372,494
--------------
Consumer Staples - 4.44%
Clorox Co 190,500 8,536,781
Coca-Cola Co 291,100 16,720,056
Philip Morris Cos Inc 984,300 26,145,469
Procter & Gamble Co 238,600 13,659,850
Seagrams Co Ltd 377,200 21,877,600
--------------
86,939,756
--------------
Financial Services - 12.88%
Ambac Financial Group Inc 439,100 24,068,169
Astoria Financial Corp 277,390 7,142,792
Bank of America Corp 247,728 10,652,304
Capital One Financial Corp 364,600 16,270,275
CIGNA Corp 151,200 14,137,200
CIT Group Inc 781,600 12,701,000
Citigroup Inc 393,100 23,684,275
---------------------------------------------------------------
Market
Shares Value
------ ------
E*TRADE Group Inc * 268,200 $4,425,300
Fannie Mae 167,900 8,762,281
First Union Corp 1,000,400 24,822,425
Goldman Sachs Group Inc 201,000 19,069,875
KeyCorp 445,000 7,843,125
MBIA Inc 95,400 4,597,087
Metlife Inc * 653,000 13,753,812
U.S. Bancorp 1,110,000 21,367,500
Washington Mutual Inc 754,500 21,786,187
XL Capital Ltd 'A' 320,800 17,363,300
---------------
252,446,907
---------------
Health Care - 10.27%
ALZA Corp * 605,200 35,782,450
American Home Products Corp 339,100 19,922,125
Bristol Myers Squibb Co 386,100 22,490,325
Lilly (Eli) & Co 365,900 36,544,262
Pfizer Inc 654,775 31,429,200
Pharmacia Corp 639,085 33,032,706
Schering-Plough Corp 437,900 22,113,950
---------------
201,315,018
---------------
Integrated Oils - 3.26%
Exxon Mobil Corp 812,917 63,813,984
---------------
Materials & Processing - 3.25%
Alcoa Inc 358,616 10,399,864
Allegheny Technologies Inc 420,850 7,575,300
Rohm & Haas Co 774,900 26,734,050
Smurfit-Stone Container Corp * 335,100 4,314,412
Temple-Inland Inc 347,000 14,574,000
---------------
63,597,626
---------------
Other - 3.33%
General Electric Co 1,020,900 54,107,700
Honeywell International Inc 333,900 11,248,256
---------------
65,355,956
---------------
Other Energy - 2.47%
Baker Hughes Inc 303,700 9,718,400
Columbia Energy Group Inc 283,750 18,621,094
Global Marine Inc * 397,300 11,198,894
Tosco Corp 315,800 8,941,087
---------------
48,479,475
---------------
Producer Durables - 0.45%
Cooper Industries Inc 273,100 8,892,819
---------------
Technology - 26.20%
Cisco Systems Inc * 1,130,800 71,876,475
Citrix Systems Inc * 171,600 3,249,675
Compaq Computer Corp 483,400 12,356,913
Computer Associates International Inc 470,600 24,088,838
Dell Computer Corp * 272,200 13,422,863
EMC Corp * 376,800 28,990,050
Hewlett-Packard Co 131,200 16,383,600
See Notes to Financial Statements See explanation of symbols on D-88
D-30
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Market
Shares Value
------ ------
IBM Corp 114,700 $12,566,819
Intel Corp 589,600 78,822,150
Lucent Technologies Inc 344,300 20,399,775
Microsoft Corp * 899,500 71,960,000
MicroStrategy Inc * 46,800 1,404,000
Motorola Inc 582,000 16,914,375
Oracle Systems Corp * 245,400 20,628,938
Parametric Technology Corp * 86,000 946,000
PE Corp-PE Biosystems Group 141,600 9,327,900
Seagate Technology Inc * 218,000 11,990,000
Siebel Systems Inc * 60,000 9,813,750
Sun Microsystems Inc * 602,400 54,780,750
Tellabs Inc * 137,400 9,403,313
Texas Instruments Inc 349,500 24,006,281
--------------
513,332,465
--------------
Utilities - 9.43%
Allegiance Telecom Inc * 87,100 5,574,400
AT&T Corp 516,800 16,343,800
DTE Energy Co 300,600 9,187,088
Dynergy Inc 153,200 10,465,475
Global Crossing Ltd * 375,300 9,875,081
GTE Corp 419,300 26,101,425
Level 3 Communications Inc * 103,200 9,081,600
Nortel Networks Corp 276,900 18,898,425
PG&E Corp 374,600 9,224,525
Qwest Communications Int'l Inc * 184,200 9,152,438
SBC Communications Inc 551,700 23,861,025
Sprint PCS Group Series 1 * 151,000 8,984,500
WorldCom Inc * 612,450 28,096,144
--------------
184,845,926
--------------
Total Common Stocks
(Cost $1,643,587,518) 1,790,244,216
--------------
FOREIGN COMMON STOCK - 0.79%
Netherlands - 0.79%
Royal Dutch Petroleum Guilder 250,800 15,439,875
--------------
Total Foreign Common Stock
(Cost $15,856,403) 15,439,875
--------------
---------------------------------------------------------------
Principal
Amount Value
------ ------
CONVERTIBLE CORPORATE BONDS & NOTES - 1.33%
Consumer Discretionary - 1.00%
News America Holdings Inc
0.000% due 03/11/13 $17,760,000 $19,680,389
---------------
Utilities - 0.33%
Level 3 Communications Inc
6.000% due 03/15/10 7,160,000 6,479,800
---------------
Total Convertible Corporate Bonds & Notes
(Cost $19,578,740) 26,160,189
---------------
U.S. TREASURY NOTE - 0.33%
5.625% due 02/28/01 ** 6,435,000 6,404,333
---------------
Total U.S. Treasury Note
(Cost $6,404,067) 6,404,333
---------------
SHORT-TERM INVESTMENT - 3.97%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 3.97%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $77,838,501; collateralized by U.S.
Treasury Notes--market value
$30,400,569 and due 02/28/03,
and market value
$48,962,227 and due 08/15/03) 77,804,461 77,804,461
---------------
Total Securities Held Under Repurchase
Agreement 77,804,461
---------------
Total Short-Term Investment
(Cost $77,804,461) 77,804,461
---------------
TOTAL INVESTMENTS - 99.36%
(Cost $1,805,090,558) 1,947,220,674
OTHER ASSETS AND
LIABILITIES, NET - 0.64% 12,545,400
---------------
NET ASSETS - 100.00% $1,959,766,074
---------------
See Notes to Financial Statements See explanation of symbols on D-88
D-31
<PAGE>
PACIFIC SELECT FUND
EQUITY INCOME PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$6,404,333 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Number of Unrealized
Type Contracts Depreciation
--------------------------------------------------------------------------------
S&P 500/250 (9/00) 207 ($431,089)
---------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $1,805,090,558
---------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $350,386,209
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (208,256,093)
---------------
Net unrealized appreciation $142,130,116
---------------
See Notes to Financial Statements
D-32
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 62.14%
Consumer Discretionary - 19.96%
Amazon.com Inc * 1,757,575 $63,821,942
AT&T Corp - Liberty Media Group 'A' *7,095,406 172,063,596
Charter Communications Inc * 1,474,985 24,245,066
Comcast Corp 'A' 1,541,505 62,430,953
DoubleClick Inc * 718,640 27,398,150
eBay Inc * 588,270 31,950,414
Electronic Arts Inc * 1,058,745 77,222,213
Exodus Communications Inc * 796,320 36,680,490
GoTo.com Inc * 196,620 3,010,744
Home Depot Inc 764,340 38,169,229
Infinity Broadcasting Corp * 876,760 31,946,942
InfoSpace.com Inc * 341,730 18,880,582
Lamar Advertising Co * 205,895 8,917,827
Liberty Digital Inc 'A' * 111,870 3,356,100
Lycos Inc * 465,880 25,157,520
priceline.com Inc * 647,630 24,599,821
Ticketmaster Online-CitySearch Inc * 47,025 749,461
Time Warner Inc 1,829,362 139,031,512
TMP Worldwide Inc * 605,570 44,698,636
--------------
834,331,198
--------------
Financial Services - 3.50%
American Express Co 896,070 46,707,649
E*TRADE Group Inc * 1,596,790 26,347,035
Fifth Third Bancorp 769,570 48,675,302
Firstar Corp 1,158,797 24,407,162
--------------
146,137,148
--------------
Health Care - 2.66%
Medtronic Inc 1,725,404 85,946,687
MiniMed Inc * 212,885 25,120,430
--------------
111,067,117
--------------
Other Energy - 4.82%
Enron Corp 3,125,235 201,577,657
--------------
Producer Durables - 3.20%
Applied Materials Inc * 697,205 63,184,203
ASM Lithography Holding * 1,179,570 52,048,526
E-Tek Dynamics Inc * 69,675 18,381,136
--------------
133,613,865
--------------
Technology - 20.79%
3Com Corp * 1,046,345 60,295,631
Analog Devices Inc * 603,350 45,854,600
Cisco Systems Inc * 1,321,458 83,995,174
EMC Corp * 1,107,545 85,211,743
---------------------------------------------------------------
Market
Shares Value
------ ------
i2 Technologies Inc * 792,625 $82,643,541
iGate Capital Corp * 474,390 6,522,862
Inktomi Corp * 164,500 19,452,125
JDS Uniphase Corp * 217,300 26,048,837
MarchFirst Inc * 732,066 13,360,205
Maxim Integrated Products Inc * 263,285 17,886,925
Microsoft Corp * 449,355 35,948,400
NetZero Inc * 220,940 1,153,031
PE Corp-PE Biosystems Group 661,505 43,576,642
Phone.com Inc * 464,755 30,267,169
QUALCOMM Inc * 675,565 40,533,900
Sapient Corp * 413,430 44,211,171
Scient Corp * 80,100 3,534,413
Software.com Inc * 513,225 66,655,097
Texas Instruments Inc 827,340 56,827,916
Verio Inc * 301,545 16,731,036
VeriSign Inc * 303,220 53,518,330
Veritas Software Corp 304,987 34,468,296
-------------
868,697,044
-------------
Utilities - 7.21%
AT&T Corp 191,835 6,066,782
Cablevision Systems Corp 'A' * 562,845 38,203,104
Cox Communications Inc 673,790 30,699,557
Level 3 Communications Inc * 787,775 69,324,200
NTL Inc * 368,869 22,086,002
Sprint PCS Group Series 1 * 726,185 43,208,008
United Global Com Inc 'A' * 549,050 25,668,088
VoiceStream Wireless Corp * 409,230 47,592,170
Winstar Communications Inc * 543,182 18,400,290
-------------
301,248,201
-------------
Total Common Stocks
(Cost $2,136,994,852) 2,596,672,230
-------------
FOREIGN COMMON STOCKS - 21.82%
China - 2.92%
China Telecommunications * 6,920,000 61,028,016
China Unicom Ltd * 2,869,720 60,981,550
-------------
122,009,566
-------------
Finland - 10.32%
Nokia AB Oyj 379,192 19,372,988
Nokia Corp ADR Pref 8,246,820 411,825,574
-------------
431,198,562
-------------
Japan - 1.68%
NTT DoMoCo Inc 1,170 31,629,068
Sony Corp 416,400 38,829,746
-------------
70,458,814
-------------
Mexico - 1.40%
Telefonos De Mexico ADR 1,020,870 58,317,199
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-33
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Spain - 0.89%
Telefonica De Espana SA 1,724,643 $37,091,250
--------------
Sweden - 2.18%
Ericsson 'B' 3,384,415 67,688,300
Ericsson Tel Ser B 1,181,208 23,450,132
--------------
91,138,432
--------------
United Kingdom - 2.43%
Vodafone AirTouch PLC 19,539,847 79,401,144
Vodafone AirTouch PLC ADR 533,555 22,109,185
--------------
101,510,329
--------------
Total Foreign Common Stocks
(Cost $640,597,969) 911,724,152
--------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENTS - 15.40%
COMMERCIAL PAPER - 4.63%
Associates Corp
6.850% due 07/03/00 $43,400,000 43,383,484
Associates First Capital Corp
6.850% due 07/03/00 150,000,000 149,942,917
--------------
Total Commercial Paper 193,326,401
--------------
SHORT-TERM MORTGAGE-BACKED SECURITIES - 10.77%
Federal Home Loan Mortgage Corporation - 7.70%
5.960% due 08/21/00 50,000,000 49,577,833
5.980% due 09/14/00 30,000,000 29,583,300
6.020% due 09/15/00 50,000,000 49,296,000
6.040% due 10/04/00 30,000,000 29,474,100
6.270% due 07/31/00 50,000,000 49,738,750
6.350% due 07/03/00 15,000,000 14,994,708
6.400% due 10/06/00 50,000,000 49,105,000
6.410% due 07/11/00 50,000,000 49,910,973
--------------
321,680,664
--------------
Federal National Mortgage Association - 3.07%
6.070% due 09/13/00 30,000,000 29,588,700
6.410% due 08/21/00 50,000,000 49,545,958
6.440% due 10/10/00 50,000,000 49,068,000
--------------
128,202,658
--------------
Total Short-Term Mortgage-Backed Securities 449,883,322
--------------
---------------------------------------------------------------
Principal
Amount Value
--------- -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $125,055; collateralized by U.S.
Treasury Notes--market value
$129,688 and due 05/15/06) $125,000 $125,000
-------------
Total Securities Held Under Repurchase
Agreement 125,000
-------------
Total Short-Term Investments
(Cost $643,592,334) 643,334,723
-------------
TOTAL INVESTMENTS - 99.36%
(Cost $3,421,185,155) 4,151,731,105
OTHER ASSETS AND
LIABILITIES, NET - 0.64% 26,879,767
-------------
NET ASSETS - 100.00% $4,178,610,872
-------------
See Notes to Financial Statements
D-34
<PAGE>
PACIFIC SELECT FUND
GROWTH LT PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
-----------------------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Forward foreign currency contracts outstanding at June 30, 2000,
were summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Covered by Expiration Appreciation
to Sell Currency Contracts Month (Depreciation)
-----------------------------------------------------------------------------
Buy ED 122,300,000 9/00 $1,336,451
Sell 321,000,000 9/00 (1,396,578)
Sell 16,300,000 10/00 8,268
Buy 23,400,000 1/01 400,056
Sell 73,000,000 1/01 (243,710)
Sell HD 27,000,000 3/01 460
Sell 178,000 6/01 12,732
Buy JY 837,000 9/00 117,902
Sell 3,700,000 9/00 633,877
Buy 1,400,000 10/00 148,929
Sell 1,400,000 10/00 388,471
--------------
$1,406,858
--------------
Principal amount denoted in the indicated currency:
ED - Euro Dollar
HD - Hong Kong Dollar
JY - Japenese Yen (in thousands)
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $3,421,185,155
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,056,579,521
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (326,033,571)
--------------
Net unrealized appreciation $730,545,950
--------------
See Notes to Financial Statements
D-35
<PAGE>
PACIFIC SELECT FUND
MID-CAP VALUE PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 95.61%
Autos & Transportation - 4.07%
BorgWarner Inc 40,100 $1,408,512
Delphi Automotive Systems 243,900 3,551,794
SPX Corp 13,000 1,572,187
Tidewater Inc 27,600 993,600
--------------
7,526,093
--------------
Consumer Discretionary - 14.31%
Avon Products Inc 43,700 1,944,650
Black & Decker Corp 59,200 2,327,300
Borders Group Inc * 233,800 3,638,512
New York Times Co 'A' 21,000 829,500
Office Depot Inc * 317,800 1,986,250
Republic Services Inc 'A' * 123,300 1,972,800
Saks Inc * 75,100 788,550
Tricon Global Restaurants * 126,200 3,565,150
USA Networks Inc * 165,100 3,570,287
Valassis Communications Inc * 77,600 2,958,500
Venator Group Inc * 284,200 2,913,050
--------------
26,494,549
--------------
Consumer Staples - 6.55%
Coors (Adolph) Co 62,100 3,757,050
Keebler Foods Co 68,000 2,524,500
Nabisco Group Holdings Corp 'A' 61,300 1,589,969
Whitman Corp 343,700 4,253,287
--------------
12,124,806
--------------
Financial Services - 14.63%
ACE Ltd 133,700 3,743,600
Ambac Financial Group Inc 61,600 3,376,450
Capital One Financial Corp 54,600 2,436,525
Comerica Inc 70,600 3,168,175
Everest Re Group Ltd 84,900 2,791,087
Franklin Resources Inc 103,400 3,140,775
North Fork Bancorp 235,100 3,555,887
Paine Webber Group Inc 32,100 1,460,550
SouthTrust Corp 150,300 3,400,537
--------------
27,073,586
--------------
Health Care - 5.45%
Biogen Inc * 13,600 877,200
Genzyme General Division * 42,400 2,520,150
IMS Health Inc 229,600 4,132,800
Watson Pharmaceuticals Inc * 47,700 2,563,875
--------------
10,094,025
--------------
Integrated Oils - 3.25%
Coastal Corp 57,000 3,469,875
USX-Marathon Group 101,800 2,551,362
--------------
6,021,237
--------------
---------------------------------------------------------------
Market
Shares Value
------ ------
Materials & Processing - 6.11%
Bowater Inc 38,100 $1,681,163
Consolidated Papers Inc 93,400 3,414,938
Eastman Chemical Co 47,300 2,258,575
PPG Industries Inc 64,900 2,875,881
Sealed Air Corp * 20,600 1,078,925
-------------
11,309,482
-------------
Other - 1.81%
Textron Inc 61,600 3,345,650
-------------
Other Energy - 4.85%
Baker Hughes Inc 31,700 1,014,400
Cooper Cameron Corp * 33,200 2,191,200
Devon Energy Corp 48,200 2,708,238
Enron Oil & Gas Co 91,300 3,058,550
-------------
8,972,388
-------------
Producer Durables - 2.73%
B.F. Goodrich Co 15,800 538,188
Diebold Inc 111,200 3,099,700
Ingersoll-Rand Co 35,300 1,420,825
-------------
5,058,713
-------------
Technology - 25.62%
Acxiom Corp * 77,200 2,103,700
Amphenol Corp * 45,400 3,004,913
At Home Corp 'A' * 194,800 4,042,100
Autodesk Inc 102,900 3,569,344
Ceridian Corp * 162,800 3,917,375
Electronics For Imaging Inc * 170,800 4,323,375
Gartner Group Inc 'A' 279,200 3,350,400
Harris Corp 99,400 3,255,350
Intuit Inc * 26,100 1,079,888
J.D. Edwards & Co * 214,100 3,224,881
KEMET Corp * 49,600 1,243,100
LSI Logic Corp * 74,700 4,043,138
NCR Corp * 82,300 3,204,556
Sabre Holdings Corp * 127,400 3,630,900
Seagate Technology Inc * 56,300 3,096,500
StorageNetworks Inc * 3,700 333,925
-------------
47,423,445
-------------
Utilities - 6.23%
Cablevision Systems Corp 'A' * 50,800 3,448,050
Entergy Corp 119,800 3,257,063
GPU Inc 125,000 3,382,813
Western Wireless Corp * 26,400 1,438,800
-------------
11,526,726
-------------
Total Common Stocks
(Cost $172,668,258) 176,970,700
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-36
<PAGE>
PACIFIC SELECT FUND
MID-CAP VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
-------------------------------------------------------------------------
Principal
Amount Value
--------- -----
SHORT-TERM INVESTMENT - 6.90%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 6.90%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $12,782,590; collateralized by
U.S. Treasury Notes--market value
$13,034,850 and due 05/31/01) $12,777,000 $ 12,777,000
------------
Total Securities Held Under Repurchase
Agreement 12,777,000
------------
Total Short-Term Investment
(Cost $12,777,000) 12,777,000
------------
TOTAL INVESTMENTS - 102.51%
(Cost $185,445,258) 189,747,700
OTHER ASSETS AND
LIABILITIES, NET - (2.51%) (4,644,940)
------------
NET ASSETS - 100.00% $185,102,760
------------
--------------------------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $185,445,258
------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $ 17,718,785
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (13,416,343)
------------
Net unrealized appreciation $ 4,302,442
============
See Notes to Financial Statements
D-37
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 99.10%
Autos & Transportation - 1.52%
AMR Corp * 31,500 $832,781
Cooper Tire & Rubber Corp 14,400 160,200
CSX Corp 42,900 908,944
Dana Corp 30,928 655,287
Delphi Automotive Systems 118,505 1,725,729
Delta Air Lines Inc 29,400 1,486,537
Eaton Corp 17,100 1,145,700
FedEX Corp * 60,488 2,298,544
Ford Motor Co 253,600 10,904,800
General Motors Corp 114,344 6,639,098
Genuine Parts Co 30,675 613,500
Goodyear Tire & Rubber 37,500 750,000
Harley-Davidson Inc 63,900 2,460,150
Kansas City Southern Industries Inc 25,100 2,226,056
Navistar International Corp * 12,060 374,614
Norfolk Southern Corp 72,800 1,082,900
PACCAR Inc 16,066 637,619
Southwest Airlines 98,687 1,868,885
TRW Inc 22,800 988,950
U.S. Airways Group Inc * 15,300 596,700
Union Pacific Corp 52,200 1,941,187
Visteon Corp * 28,119 340,941
--------------
40,639,122
--------------
Consumer Discretionary - 12.50%
Alberto-Culver Co 'B' 6,700 204,769
Alcan Aluminium Ltd 49,200 1,525,200
Allied Waste Industries Inc * 31,000 310,000
America Online Inc * 483,500 25,504,625
American Greetings Corp 'A' 13,560 257,640
Autozone Inc * 28,200 620,400
Avon Products Inc 52,700 2,345,150
Bed Bath & Beyond Inc * 29,500 1,069,375
Best Buy Co Inc 43,000 2,719,750
Black & Decker Corp 17,900 703,694
Carnival Corp 'A' 124,000 2,418,000
Cendant Corp * 144,828 2,027,592
Circuit City Stores Inc 42,800 1,420,425
Clear Channel Communications * 71,000 5,325,000
Comcast Corp 'A' 188,870 7,649,235
Consolidated Stores * 23,300 279,600
Convergys Corp * 32,289 1,674,992
Costco Wholesale Corp * 94,044 3,103,452
Darden Restaurants Inc 26,000 422,500
Dillards Inc 'A' 17,400 213,150
Dollar General Corp 67,293 1,312,213
Eastman Kodak Co 65,200 3,879,400
Federated Department Stores * 45,000 1,518,750
Gannett Co 59,900 3,582,769
Gap Inc 179,050 5,595,312
Gillette Co 222,200 7,763,112
H & R Block Inc 24,600 796,425
Harcourt General Inc 11,442 622,159
Harrah's Entertainment Inc * 25,750 539,141
---------------------------------------------------------------
Market
Shares Value
------ ------
Hasbro Inc 41,725 $628,483
Hilton Hotels Corp 64,900 608,437
Home Depot Inc 486,850 24,312,072
IKON Office Solutions Inc 7,551 29,260
International Flavors-Fragrances 17,100 516,206
Interpublic Group of Cos Inc 60,000 2,580,000
J.C. Penney Co Inc 54,900 1,012,219
Jostens Inc * 3,912 98,532
Kimberly-Clark Corp 116,952 6,710,121
Kmart Corp 99,500 677,844
Knight-Ridder Inc 17,700 941,419
Kohls Corp * 71,000 3,949,375
Leggett & Platt Inc 36,400 600,600
Limited Inc 93,096 2,013,201
Liz Claiborne Inc 11,460 403,965
Loews Corp 21,300 1,278,000
Lowe's Cos Inc 80,500 3,305,531
Marriott International Inc 'A' 47,100 1,698,544
Mattel Inc 89,550 1,180,941
May Department Stores Co 70,000 1,680,000
Maytag Corp 16,500 608,437
McDonalds Corp 281,200 9,262,025
McGraw Hill Inc 40,900 2,208,600
Meredith Corp 8,900 300,375
New York Times Co 'A' 35,800 1,414,100
Newell Rubbermaid Inc 56,134 1,445,450
Nike Inc 'B' 57,500 2,289,219
Nordstrom Inc 26,720 644,620
Office Depot Inc * 79,800 498,750
Omnicom Group Inc 38,500 3,428,906
Polaroid Corp 15,600 281,775
R.R. Donnelley & Sons 25,700 579,856
RadioShack Corp 41,344 1,958,672
Reebok International Ltd 11,880 189,337
Russell Corp 6,800 136,000
Sears Roebuck & Co 74,200 2,420,775
Snap-On Inc 11,150 296,869
Springs Industries Inc 3,000 96,562
Stanley Works 14,400 342,000
Staples Inc * 104,750 1,610,531
Starbucks Corp * 39,900 1,523,681
Target Corp 92,900 5,388,200
The Walt Disney Co 437,206 16,969,058
Tiffany & Co 14,600 985,500
Time Warner Inc 277,140 21,062,640
TJX Cos Inc 68,200 1,278,750
Toys R Us Inc * 46,000 669,875
Tribune Co 81,414 2,744,490
Tricon Global Restaurants * 30,770 869,252
Tupperware Corp 17,500 385,000
Tyco International Ltd 355,380 16,836,127
VF Corp 22,800 542,925
Viacom Inc 320,905 21,881,710
Wal-Mart Stores Inc 938,000 54,052,250
Waste Management Inc 123,660 2,349,540
Wendy's International Inc 23,900 425,719
See Notes to Financial Statements See explanation of symbols on D-88
D-38
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Whirlpool Corp 15,400 $718,025
Yahoo! Inc * 114,400 14,171,300
Young & Rubicam Inc 15,200 869,250
--------------
333,364,731
--------------
Consumer Staples - 5.88%
Albertson's Inc 89,178 2,965,168
Anheuser-Busch Cos Inc 98,000 7,319,375
Bestfoods 57,800 4,002,650
Brown-Forman Corp 'B' 12,161 653,654
Campbell Soup Co 86,200 2,510,575
Clorox Co 49,400 2,213,737
Coca-Cola Co 520,900 29,919,194
Coca-Cola Enterprises Inc 90,300 1,473,019
Colgate-Palmolive Co 119,000 7,125,125
Conagra Inc 95,000 1,810,937
Coors (Adolph) Co 10,690 646,745
CVS Corp 78,900 3,156,000
General Mills Inc 67,000 2,562,750
Great Atlantic & Pacific 8,100 134,662
H.J. Heinz Co 79,450 3,475,937
Hershey Foods Corp 27,800 1,348,300
Kellogg Co 79,300 2,359,175
Kroger Co * 172,900 3,814,606
Longs Drug Stores Inc 6,700 145,725
Nabisco Group Holdings Corp 'A' 68,700 1,781,906
PepsiCo Inc 306,900 13,637,869
Philip Morris Cos Inc 481,200 12,781,875
Procter & Gamble Co 275,200 15,755,200
Quaker Oats Co 30,600 2,298,825
Ralston Purina Group 64,600 1,287,962
Rite Aid Corp 66,600 437,062
Safeway Inc * 105,100 4,742,637
Sara Lee Corp 184,200 3,557,362
Seagrams Co Ltd 89,200 5,173,600
Supervalu Inc 21,600 411,750
Sysco Corp 69,500 2,927,687
Unilever N.V. 116,192 4,996,256
UST Inc 38,100 559,594
Walgreen Co 212,100 6,826,969
William Wrigley Jr. Co 21,600 1,732,050
Winn-Dixie Stores Inc 24,900 356,381
--------------
156,902,319
--------------
Financial Services - 13.15%
AFLAC Inc 52,300 2,402,531
Allstate Corp 156,678 3,486,085
American Express Co 281,100 14,652,337
American General Corp 55,465 3,383,365
American International Group Inc 324,385 38,115,237
Amsouth Bancorp 82,650 1,301,737
Aon Corp 55,725 1,730,958
Associates First Capital Corp 148,690 3,317,646
Automatic Data Processing Inc 128,800 6,898,850
Bank of America Corp 350,208 15,058,944
Bank of New York Co Inc 149,900 6,970,350
Bank One Corp 241,354 6,410,966
BB&T Corp 65,400 1,561,425
---------------------------------------------------------------
Market
Shares Value
------ ------
Bear Stearns Cos Inc 31,720 $1,320,345
Capital One Financial Corp 41,200 1,838,550
Charter One Financial Inc 61,900 1,423,700
Chase Manhattan Corp 260,520 12,000,202
Chubb Corp 37,600 2,312,400
CIGNA Corp 36,700 3,431,450
Cincinnati Financial Corp 33,800 1,062,587
Citigroup Inc 710,063 42,781,296
Comerica Inc 32,950 1,478,631
Conseco Inc 83,913 818,152
Countrywide Credit Industries Inc 23,800 721,437
Deluxe Corp 16,500 388,781
Dow Jones & Co Inc 18,700 1,369,775
Dun & Bradstreet Corp 32,100 918,862
Equifax Inc 27,100 711,375
FHLMC 146,300 5,925,150
Fifth Third Bancorp 65,175 4,122,319
First Data Corp 86,800 4,307,450
First Union Corp 206,310 5,119,067
Firstar Corp 204,130 4,299,488
FleetBoston Financial Corp 196,006 6,664,204
FNMA 214,800 11,209,875
Franklin Resources Inc 54,100 1,643,287
Golden West Financial Corp 34,500 1,408,031
Hartford Financial Services Group 46,000 2,573,125
Household International Inc 99,592 4,139,292
Huntington Bancshares Inc * 39,930 631,393
J.P. Morgan & Co Inc 35,900 3,953,487
Jefferson-Pilot Corp 18,600 1,049,737
KeyCorp 91,500 1,612,687
Lehman Brothers Holdings Inc 23,900 2,260,044
Lincoln National Corp 40,300 1,455,837
Marsh & McLennan Cos Inc 56,750 5,926,828
MBIA Inc 20,400 983,025
MBNA Corp 168,737 4,576,991
Mellon Financial Corp 103,400 3,767,637
Merrill Lynch & Co Inc 68,500 7,877,500
MGIC Investment Corp 19,600 891,800
Morgan Stanley Dean Witter Co 239,448 19,934,046
National City Corp 121,300 2,069,681
Northern Trust Corp 46,800 3,044,925
Old Kent Financial Corp 24,570 657,247
Paine Webber Group Inc 37,600 1,710,800
Paychex Inc 81,300 3,414,600
PNC Bank Corp 61,100 2,864,062
Progressive Corp Ohio 15,400 1,139,600
Providian Financial Corp 30,000 2,700,000
Regions Financial Corp 46,400 922,200
Ryder Systems Inc 19,200 363,600
SAFECO Corp 26,840 533,445
Schwab (Charles) Corp 286,600 9,636,925
SLM Holding Corp 29,300 1,096,919
SouthTrust Corp 43,600 986,450
St. Paul Cos Inc 48,898 1,668,644
State Street Corp 33,900 3,595,519
Summit Bancorp 29,900 736,287
SunTrust Banks Inc 66,300 3,029,081
Synovus Financial Corp 48,950 862,744
See Notes to Financial Statements See explanation of symbols on D-88
D-39
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
T. Rowe Price Associates Inc 33,200 $1,411,000
Torchmark Corp 22,700 560,406
U.S. Bancorp 158,237 3,046,062
Union Planters Corp 29,300 818,569
UNUMProvident Corp 50,605 1,015,263
Wachovia Corp 39,400 2,137,450
Washington Mutual Inc 113,892 3,288,631
Wells Fargo & Co 339,100 13,140,125
--------------
350,650,509
--------------
Health Care - 11.69%
Abbott Laboratories Inc 326,000 14,527,375
Aetna Inc 29,639 1,902,453
Allergan Inc 28,900 2,153,050
ALZA Corp * 23,600 1,395,350
American Home Products Corp 274,500 16,126,875
Amgen Inc * 216,100 15,181,025
Bausch & Lomb Inc 11,500 889,812
Baxter International Inc 64,100 4,507,031
Becton Dickinson & Co 49,100 1,408,556
Biogen Inc * 32,900 2,122,050
Biomet Inc 24,940 958,631
Boston Scientific Corp * 82,700 1,814,231
Bristol Myers Squibb Co 416,900 24,284,425
C.R. Bard Inc 9,200 442,750
Cardinal Health Inc 59,350 4,391,900
Guidant Corp 64,500 3,192,750
HCA - The Healthcare Co 120,084 3,647,551
HCR Manor Care Inc * 18,500 129,500
HEALTHSOUTH Corp * 77,900 559,906
Humana Inc 38,600 188,175
IMS Health Inc 62,500 1,125,000
Johnson & Johnson 292,700 29,818,812
Lilly (Eli) & Co 237,900 23,760,262
Mallinckrodt Inc 12,300 534,281
McKesson HBOC Inc 54,539 1,141,910
MedImmune Inc * 49,100 3,633,400
Medtronic Inc 251,900 12,547,769
Merck & Co Inc 483,900 37,078,837
PerkinElmer Inc 12,600 833,175
Pfizer Inc 1,325,475 63,622,800
Pharmacia Corp 267,094 13,805,421
Quintiles Transnational Corp * 31,000 437,875
Schering-Plough Corp 308,700 15,589,350
Shared Medical Systems Corp 6,800 495,975
St. Jude Medical Inc 18,156 832,907
Tenet Healthcare Corp 66,700 1,800,900
UnitedHealth Group Inc 34,200 2,932,650
Watson Pharmaceuticals Inc * 20,300 1,091,125
Wellpoint Health Networks Inc * 13,100 948,931
--------------
311,854,776
--------------
Integrated Oils - 4.51%
Amerada Hess Corp 19,100 1,179,425
Chevron Corp 137,800 11,687,163
Coastal Corp 47,500 2,891,563
Conoco Inc 'B' 131,403 3,227,586
Exxon Mobil Corp 733,339 57,567,112
--------------------------------------------------------------
Market
Shares Value
------ ------
Kerr-McGee Corp 19,798 $1,166,845
Phillips Petroleum Co 53,400 2,706,713
Royal Dutch Petroleum Guilder 451,200 27,777,000
Texaco Inc 116,200 6,187,650
Transocean Sedco Forex Inc 45,589 2,436,162
Unocal Corp 51,100 1,692,688
USX-Marathon Group 65,600 1,644,100
-------------
120,164,007
-------------
Materials & Processing - 2.17%
Air Products & Chemicals Inc 43,900 1,352,669
Alcoa Inc 186,572 5,410,588
Allegheny Technologies Inc 15,902 286,236
Archer-Daniels-Midland Co 113,787 1,116,535
Armstrong Holding 8,500 130,156
Avery Dennison Corp 21,100 1,416,338
Ball Corp 5,000 160,938
Barrick Gold Corp 85,500 1,555,031
Bemis Inc 10,700 359,788
Bethlehem Steel Corp 27,400 97,613
Boise Cascade Corp 15,300 395,888
Burlington Northern Santa Fe 91,610 2,101,304
Crown Cork & Seal Co Inc 34,800 522,000
Dow Chemical Co 142,800 4,310,775
Du Pont E.I. De Nemours & Co 220,282 9,637,338
Eastman Chemical Co 19,125 913,219
Ecolab Inc 23,040 900,000
Engelhard Corp 22,612 385,817
Fluor Corp 13,800 436,425
Fort James Corp 40,000 925,000
Freeport McMoRan Copper & Gold 32,100 296,925
Georgia-Pacific Group 35,900 942,375
Great Lakes Chemical Corp 16,100 507,150
Hercules Inc 29,600 416,250
Homestake Mining Co 54,800 376,750
International Paper Co 117,327 3,497,811
Louisiana-Pacific Corp 21,200 230,550
Masco Corp 94,400 1,705,100
Mead Corp 17,700 446,925
Newmont Mining Corp 35,322 763,838
Nucor Corp 18,800 623,925
Owens Corning 11,700 108,225
Owens Illinois Inc * 30,200 352,963
Pactiv Corp * 35,600 280,350
Phelps Dodge Corp 16,550 615,453
Placer Dome Inc 64,700 618,694
Potlatch Corp 5,700 188,813
PPG Industries Inc 32,300 1,431,294
Praxair Inc 36,400 1,362,725
Rohm & Haas Co 45,798 1,580,031
Sealed Air Corp * 19,960 1,045,405
Sherwin Williams Co 30,200 639,863
Sigma Aldrich Corp 20,200 590,850
Temple-Inland Inc 10,100 424,200
Timken Co 12,800 238,400
Union Carbide Corp 27,800 1,376,100
USX-U.S. Steel Group 19,460 361,226
Vulcan Materials Co 17,800 759,838
See Notes to Financial Statements See explanation of symbols on D-88
D-40
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
W.R. Grace & Co * 14,200 $172,175
Westvaco Corp 15,200 377,150
Weyerhaeuser Co 53,300 2,291,900
Williamette Industries Inc 23,300 634,925
Worthington Industries Inc 18,155 190,628
--------------
57,862,465
--------------
Other - 4.95%
Brunswick Corp 18,500 306,406
Crane Co 12,750 309,984
FMC Corp * 8,000 464,000
Fortune Brands Inc 29,500 680,344
General Electric Co 2,081,800 110,335,400
Honeywell International Inc 167,575 5,645,183
Illinois Tool Works Inc 60,500 3,448,500
ITT Industries Inc 16,800 510,300
Johnson Controls Inc 16,500 846,656
Minnesota Mining & Manufacturing Co 83,300 6,872,250
National Service Industries 11,100 216,450
Textron Inc 32,500 1,765,156
Thermo Electron Corp * 27,600 581,325
--------------
131,981,954
--------------
Other Energy - 1.80%
AES Corp * 89,700 4,092,563
Anadarko Petroleum Corp 27,000 1,331,438
Apache Corp 24,100 1,417,381
Ashland Inc 10,400 364,650
Baker Hughes Inc 65,000 2,080,000
Burlington Resources Inc 45,247 1,730,698
Columbia Energy Group Inc 19,800 1,299,375
Eastern Enterprises 8,900 560,700
El Paso Energy Corp 52,000 2,648,750
Enron Corp 154,500 9,965,250
Halliburton Co 98,000 4,624,375
Inco Ltd 35,600 547,350
McDermott International Inc 9,600 84,600
Occidental Petroleum Corp 73,600 1,550,200
Rowan Cos Inc * 19,800 601,425
Schlumberger Ltd 117,000 8,731,125
Sunoco Inc 18,657 549,215
Tosco Corp 31,300 886,181
Union Pacific Resources Group 48,326 1,063,172
Williams Cos Inc 93,000 3,876,938
--------------
48,005,386
--------------
Producer Durables - 2.92%
Agilent Technologies Inc * 93,831 6,920,036
American Power Conversion Corp * 40,800 1,665,150
Andrew Corp * 19,225 645,239
Applied Materials Inc * 170,000 15,406,250
B.F. Goodrich Co 22,600 769,813
Boeing Co 190,910 7,982,424
Briggs & Stratton Corp 8,000 274,000
Caterpillar Inc 73,400 2,486,425
Centex Corp 10,200 239,700
Cooper Industries Inc 18,600 605,663
Cummins Engine Co Inc 5,800 158,050
--------------------------------------------------------------
Market
Shares Value
------ ------
Danaher Corp 29,800 $1,473,238
Deere & Co 49,300 1,824,100
Dover Corp 42,700 1,732,019
Emerson Electric Co 93,800 5,663,175
Ingersoll-Rand Co 34,050 1,370,513
Kaufman & Broad Home Corp 10,100 200,106
KLA-Tencor Corp * 40,100 2,348,356
Lexmark International Group Inc 'A' * 27,200 1,829,200
Lockheed Martin Corp 84,242 2,090,255
Milacron 2,900 42,050
Millipore Corp 10,952 825,507
Molex Inc 39,200 1,886,500
Northrop Grumman Corp 14,700 973,875
Novellus Systems Inc * 27,500 1,555,469
Pall Corp 21,266 393,421
Parker-Hannifin Corp 21,775 745,794
Pitney Bowes Inc 54,200 2,168,000
Pulte Corp 8,700 188,138
Tektronix Inc 11,750 869,500
Teradyne Inc * 36,400 2,675,400
Thomas & Betts Corp 16,200 309,825
United Technologies Corp 102,300 6,022,913
W.W. Grainger Inc 19,800 610,088
Xerox Corp 142,200 2,950,650
-------------
77,900,842
-------------
Technology - 28.02%
3Com Corp * 73,800 4,252,725
Adaptec Inc * 26,600 605,150
ADC Telecommunications Inc * 69,800 5,854,475
Adobe Systems Inc 25,200 3,276,000
Advanced Micro Devices Inc * 31,500 2,433,375
Altera Corp * 40,900 4,169,244
Analog Devices Inc * 74,500 5,662,000
Apple Computer Inc 68,500 3,587,688
Autodesk Inc 12,260 425,269
BMC Software Inc * 51,400 1,875,297
Broadcom Corp * 32,995 7,223,843
Cabletron Systems Inc * 38,400 969,600
Ceridian Corp * 28,000 673,750
Cisco Systems Inc * 1,464,600 93,093,638
Citrix Systems Inc * 39,000 738,563
Compaq Computer Corp 357,342 9,134,555
Computer Associates International Inc 123,800 6,337,013
Computer Sciences Corp * 35,200 2,629,000
Compuware Corp * 78,900 818,588
Comverse Technology Inc * 32,100 2,985,300
Conexant Systems Inc * 44,100 2,144,363
Corning Inc 58,000 15,652,750
Dell Computer Corp * 541,900 26,722,444
Electronic Data Systems Corp 98,000 4,042,500
EMC Corp * 456,650 35,133,509
Gateway 2000 Inc * 66,000 3,745,500
General Dynamics Corp 38,940 2,034,615
Hewlett-Packard Co 211,200 26,373,600
IBM Corp 373,500 40,921,594
Intel Corp 704,760 94,217,603
Linear Technology Corp 67,000 4,283,813
See Notes to Financial Statements See explanation of symbols on D-88
D-41
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
LSI Logic Corp * 64,600 $3,496,475
Lucent Technologies Inc 686,026 40,647,041
Maxim Integrated Products Inc * 60,100 4,083,044
Mercury Interactive Corp * 17,800 1,722,150
Micron Technology Inc 115,700 10,188,831
Microsoft Corp * 1,107,300 88,584,000
Motorola Inc 452,972 13,164,499
National Semiconductor Corp * 37,200 2,111,100
NCR Corp * 20,000 778,750
Network Appliance Inc * 65,200 5,248,600
Novell Inc * 79,300 733,525
Oracle Systems Corp * 598,004 50,269,711
Parametric Technology Corp * 66,200 728,200
PE Corp-PE Biosystems Group 44,700 2,944,612
PeopleSoft Inc * 58,100 973,175
QUALCOMM Inc * 155,900 9,354,000
Raytheon Co 'B' 67,500 1,299,375
Rockwell International Corp 35,900 1,130,850
Sabre Holdings Corp * 31,002 883,557
Sanmina Corp * 32,002 2,736,171
Sapient Corp * 13,200 1,411,575
Scientific-Atlanta Inc 33,500 2,495,750
Seagate Technology Inc * 47,800 2,629,000
Siebel Systems Inc * 41,400 6,771,488
Solectron Corp * 125,500 5,255,313
Sun Microsystems Inc * 333,900 30,364,031
Tellabs Inc * 86,200 5,899,313
Texas Instruments Inc 344,400 23,655,975
Unisys Corp * 61,900 901,419
Veritas Software Corp 82,300 9,301,186
Xilinx Inc * 67,600 5,581,225
--------------
747,361,305
--------------
Utilities - 9.99%
Alltel Corp 66,700 4,131,231
Ameren Corp * 22,400 756,000
American Electric Power Co Inc 67,660 2,004,428
AT&T Corp * 671,540 21,237,453
Bell Atlantic Corp 325,322 16,530,424
BellSouth Corp 395,900 16,875,238
CP & L Energy Inc 26,800 855,925
CenturyTel Inc 33,350 958,813
Cinergy Corp 41,713 1,061,074
CMS Energy Corp 31,300 692,513
Consolidated Edison Inc 40,600 1,202,775
Constellation Energy Group 31,450 1,024,091
Dominion Resource 50,085 2,147,394
DTE Energy Co 30,000 916,875
Duke Power Co 81,026 4,567,841
Edison International 69,900 1,432,950
Entergy Corp 48,400 1,315,875
FirstEnergy Corp 39,500 923,313
Florida Progress Corp 17,700 829,688
FPL Group Inc 37,500 1,856,250
Global Crossing Ltd * 185,570 4,882,811
GPU Inc 33,300 901,181
GTE Corp 200,600 12,487,350
MediaOne Group Inc * 125,600 8,329,007
--------------------------------------------------------------
Market
Shares Value
------ ------
New Century Energies Inc 17,600 $528,000
Nextel Communications Inc 'A' * 159,600 9,765,525
Niagara Mohawk Holdings Inc * 28,600 398,613
Nicor Inc 9,500 309,938
Nortel Networks Corp 623,360 42,544,320
Northern States Power Co 41,300 833,744
ONEOK Inc 6,100 158,219
PECO Energy Co 35,700 1,439,156
Peoples Energy Corp 6,100 197,488
PG&E Corp 82,700 2,036,488
Pinnacle West Capital Corp 24,200 819,775
PPL Corporation 25,566 560,854
Public Service Enterprise Group Inc 39,300 1,360,763
Qwest Communications Int'l Inc * 2,790 138,628
Reliant Energy Inc 54,429 1,609,057
SBC Communications Inc 716,048 30,969,076
Sempra Energy 37,358 635,086
Southern Co 136,500 3,182,156
Sprint FON Group 185,900 9,480,900
Sprint PCS Group Series 1 * 190,600 11,340,700
TXU Corp 62,410 1,841,095
U.S. West Inc 106,836 9,161,187
Unicom Corp 41,500 1,605,531
WorldCom Inc * 602,647 27,646,431
-------------
266,483,230
-------------
Total Common Stocks
(Cost $1,887,173,804) 2,643,170,646
-------------
Principal
Amount Value
------ ------
SHORT-TERM INVESTMENTS - 1.07%
U.S. TREASURY BILL - 0.26%
5.710% due 07/06/00 ** $6,945,000 6,939,492
-------------
Total U.S. Treasury Bill 6,939,492
-------------
See Notes To Financial Statements See explanation of symbols on D-88
D-42
<PAGE>
PACIFIC SELECT FUND
EQUITY INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal
Amount Value
------ ------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.81%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $21,744,509; collateralized by U.S.
Treasury Bonds--market value
$22,170,038 and due 11/15/27) $21,735,000 $21,735,000
--------------
Total Securities Held Under Repurchase
Agreement 21,735,000
--------------
Total Short-Term Investments
(Cost $28,674,492) 28,674,492
--------------
TOTAL INVESTMENTS - 100.17%
(Cost $1,915,848,296) 2,671,845,138
OTHER ASSETS AND
LIABILITIES, NET - (0.17%) (4,585,781)
--------------
NET ASSETS - 100.00% $2,667,259,357
--------------
--------------------------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$6,894,718 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Number of Unrealized
Type Contracts Depreciation
--------------------------------------------------------------------------------
S&P 500/250 (9/00) 61 ($293,913)
-------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $1,915,848,296
---------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $897,325,269
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (141,328,427)
-------------
Net unrealized appreciation $755,996,842
-------------
See Notes to Financial Statements
D-43
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
PREFERRED STOCK - 0.00%
Consumer Discretionary - 0.00%
O'Sullivan Industries Holding * 1,080 $540
--------------
Total Preferred Stock
(Cost $1,620) 540
--------------
COMMON STOCKS - 95.49%
Autos & Transportation - 2.79%
A.O. Smith Corp 3,500 73,281
AAR Corp 5,500 66,000
Airborne Freight Corp 8,100 153,394
AirTran Holdings Inc * 9,200 38,237
Alaska Air Group Inc * 4,100 111,212
Alexander & Baldwin Inc 6,900 152,231
America West Holdings Corp 'B' * 6,200 106,175
American Axle & Manufacturing * 1,500 21,281
American Freightways Corp * 3,400 49,300
Arctic Cat Inc 3,000 35,625
Arkansas Best Corp * 1,400 13,912
Arnold Industries Inc 2,200 26,537
Arvin Industries Inc 4,200 72,975
Atlantic Coast Airlines * 1,900 60,325
Atlas Air Inc * 2,450 87,894
Bandag Inc 1,800 43,650
BorgWarner Inc 4,000 140,500
Circle International Group Inc 3,100 77,887
CNF Inc 7,900 179,725
Coachmen Industries Inc 2,200 25,300
Cooper Tire & Rubber Corp 9,200 102,350
Delco Remy International Inc * 3,300 27,431
Dura Automotive Systems Inc * 2,900 31,356
EGL Inc * 2,750 84,562
Exide Corp 3,900 31,200
Federal Mogul Corp 12,100 115,706
Fleetwood Enterprise 5,500 78,375
Forward Air Corp * 1,800 72,000
Fritz Cos Inc * 3,400 35,062
Frontier Airlines Inc * 2,900 41,506
Hayes Lemmerz International Inc * 1,900 22,919
Heartland Express Inc * 2,400 40,050
IMPCO Technologies Inc * 300 12,713
J.B. Hunt Transport Services Inc 3,600 55,575
Kirby Corp 4,000 85,000
Knight Transportation Inc * 1,100 16,019
Landstar System Inc * 1,500 89,344
Lear Corp * 10,800 216,000
M.S. Carriers Inc * 1,400 24,675
MascoTech Inc 6,100 65,956
Meritor Automotive Inc * 10,300 113,300
Mesa Air Group Inc * 3,000 16,594
Mesaba Holdings Inc * 2,000 19,125
Midwest Express Holdings Inc * 2,300 49,450
---------------------------------------------------------------
Market
Shares Value
------ ------
Modine Manufacturing Co 3,700 $99,900
Monaco Coach Corp * 2,550 34,744
Offshore Logistics Inc * 4,500 64,687
Oshkosh Truck Corp 2,350 84,012
Overseas Shipholding Group 4,800 118,200
Polaris Industries Inc 3,900 124,800
Roadway Express Inc 2,700 63,281
Sauer Inc 2,200 21,725
Skywest Inc 3,800 140,837
Stoneridge Inc * 1,000 8,750
Superior Industries International Inc 3,100 79,825
Swift Transport * 6,150 86,100
Tenneco Automotive 3,400 17,850
Thor Industries Inc 1,100 23,100
Tower Automotive Inc * 6,500 81,250
USFreigtways Corp 4,900 120,356
Wabash National Corp 3,600 42,975
Wabtec Corp 4,510 46,791
Werner Enterprise Inc 5,700 65,906
Winnebago Industries Inc 2,200 28,737
Wisconsin Central Transport * 9,100 118,300
Wynn's International Inc 3,000 68,062
Yellow Corp 5,200 76,700
-------------
4,598,597
-------------
Consumer Discretionary - 15.46%
24/7 Media Inc * 3,400 53,125
4 Kids Entertainment Inc * 1,900 49,519
99 Cents Only Stores * 1,600 63,800
Aaron Rents Inc 2,900 36,431
Abercrombie & Fitch Co 'A' * 14,300 174,281
ABM Industries 3,300 75,900
Ackerley Group Inc 1,200 14,100
ACME Communications Inc * 1,000 18,250
ACNielsen Corp * 8,800 193,600
ACTV Inc * 5,500 82,156
Administaff Inc * 1,700 107,950
Advanced Marketing Services Inc 500 9,219
Advantage Learning System Inc * 800 12,300
ADVO Inc * 3,200 134,400
AGENCY.COM Ltd * 1,500 26,719
AMERCO * 1,000 20,000
America Online Inc * 379 19,976
American Classic Voyages Co * 1,600 33,000
American Eagle Outfitters * 2,900 40,600
American Greetings Corp 'A' 10,600 201,400
Ames Department Stores Inc * 5,900 45,725
Anchor Gaming * 1,500 71,906
AnnTaylor Stores Corp * 3,800 125,875
APAC Customer Services Inc * 2,900 32,081
Applebee's International Inc 4,500 136,406
Applica Inc * 4,500 50,906
Argosy Gaming Co * 3,400 48,875
Ask Jeeves Inc * 2,900 52,381
Avis Group Holdings Inc * 3,600 67,500
Aztar Corp * 6,300 97,650
Bacou Inc * 800 16,000
Bally Total Fitness Holdings * 4,200 106,575
See Notes to Financial Statements See explanation of symbols on D-88
D-44
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Banta Corp 4,200 $79,537
Barnes & Noble Inc * 7,500 166,875
Barnesandnoble.com Inc * 2,800 18,287
Be Free Inc * 3,000 27,000
Beasley Broadcast Group Inc * 2,200 29,975
bebe Stores Inc * 700 5,862
Bell Howell and Co * 3,000 72,750
Block Drug Co Inc 1,530 64,738
Blyth Industries Inc 5,700 168,150
Bob Evans Farms Inc 6,300 94,106
Boca Resorts Inc * 4,500 44,437
Borders Group Inc * 12,900 200,756
Bowne & Co 6,900 69,431
Boyd Gaming Corp * 3,700 20,581
Boyds Collection Ltd * 8,400 71,400
Bright Horizons Family Solutions Inc * 2,700 57,712
Brightpoint Inc * 8,500 73,578
Brown Shoe Co Inc 3,000 39,000
BUCA Inc * 200 3,125
Buckle Inc * 500 5,875
Buffets Inc * 8,100 102,769
Burlington Coat Factory 2,900 31,356
Burns International Services * 1,000 12,500
Bush Industries 1,400 22,400
BUY.COM Inc * 700 3,522
Callaway Golf Co 13,100 213,694
Career Education Corp * 1,800 87,300
Casella Waste * 4,200 45,150
Catalytica Inc * 6,100 67,100
Cato Corp 3,700 43,012
CBRL Group Inc 9,700 142,469
CDI Corp * 1,800 36,675
CEC Entertainment * 3,950 101,219
Central Garden & Pet Co * 1,400 12,556
Central Parking Corp 1,500 35,531
Century Business Services * 12,200 23,637
Championship Auto Racing * 1,200 30,600
Charming Shoppes Inc 15,500 78,953
Cheap Tickets Inc * 2,200 26,400
Cheesecake Factory * 4,900 134,750
Chicos Fas Inc * 2,700 54,000
Children's Place * 3,200 65,600
Choice Hotels International Inc * 7,600 75,525
Churchill Downs Inc 1,400 32,725
Citadel Communications Corp * 6,000 209,625
Claire's Stores Inc 5,900 113,575
Coinstar Inc * 3,100 31,194
Coldwater Creek Inc * 400 12,050
Columbia Sportswear Co * 1,100 29,562
Concord Camera Corp * 3,700 77,237
Consolidated Products Inc * 2,960 26,640
Copart Inc 5,900 94,400
Corinthian Colleges Inc * 700 16,406
Corporate Executive Board Co * 1,600 95,800
Cost Plus Inc * 3,775 108,295
CoStar Group Inc * 1,900 47,619
CPI Corp 1,400 29,575
Crown Media Holdings Inc 'A' * 2,500 38,281
---------------------------------------------------------------
Market
Shares Value
------ ------
CSK Auto Corp * 3,100 $23,444
CSS Industries Inc * 1,700 34,744
Cumulus Media Inc 'A' * 6,800 62,050
Davids Bridal Inc * 1,500 17,344
Dendrite International Inc * 4,950 164,897
Diamond Tech Partners Inc * 3,300 290,400
Digital Impact Inc * 1,800 25,425
DigitalThink Inc * 400 14,350
Dillards Inc 'A' 15,300 187,425
Direct Focus Inc * 1,800 88,200
Dollar Thrifty Automotive Group Inc * 4,000 73,750
Dover Downs Entertainment 800 11,200
Dress Barn Inc * 2,500 55,312
Drugstore.com Inc * 1,900 14,309
Edison Schools Inc * 1,800 41,738
Education Management Corp 3,200 57,800
Electronics Boutique Holdings * 900 14,737
eMerge Interactive Inc 'A' * 600 10,762
Encompass Services Corp * 8,826 50,750
Ethan Allen Interiors Inc 6,500 156,000
eToys Inc * 11,000 69,781
Expedia Inc 'A' * 500 7,406
Extended Stay America Inc * 11,700 108,225
F.Y.I. Inc * 2,500 84,219
Factory 2-U Stores Inc * 2,300 86,969
Fedders USA Inc 4,600 26,737
First Consulting Group Inc * 1,800 10,012
Fisher Scientific International * 6,600 163,350
Footstar Inc * 3,000 99,750
Fossil Inc * 3,000 58,312
Fred's Inc 700 12,600
Frontline Capital Group Inc * 3,500 74,594
Furniture Brands International Inc * 7,600 114,950
G&K Services Inc 'A' 3,500 87,719
Gaylord Entertainment Co 'A' 2,900 62,350
GC Cos Inc * 900 20,137
Genesco Inc * 4,300 69,069
GetThere Inc * 400 4,225
GoTo.com Inc * 3,500 53,594
Grey Advertising Inc 100 52,000
Group 1 Automotive Inc * 1,800 21,600
GTECH Holdings Corp 5,700 129,319
Guess? Inc * 1,200 16,800
Guitar Center Inc * 3,400 35,700
Hall, Kinion & Associates Inc * 1,900 63,294
HA-LO Industries Inc * 7,150 40,219
Handleman Co Del 4,400 55,000
Hanover Direct Inc * 19,100 29,844
Harman International 2,900 176,900
Haverty Furniture 2,300 19,550
Heidrick & Struggles International Inc * 3,000 189,375
Herbalife International Inc 'A' 1,900 16,625
Hollinger International Inc 'A' 5,100 69,487
Hollywood Entertainment Corp * 5,200 40,950
Hollywood.com Inc * 1,800 13,950
Hot Topic Inc * 1,800 57,600
Hotel Reservation Network Inc 'A' * 1,200 35,700
HotJobs.com Ltd * 1,900 26,244
See Notes to Financial Statements See explanation of symbols on D-88
D-45
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Houghton Mifflin Co 4,600 $214,762
iBEAM Broadcasting Corp * 1,200 20,850
IHOP Corp 3,200 53,600
IKON Office Solutions Inc 22,600 87,575
Information Holdings Inc * 1,400 51,800
InfoUSA Inc * 4,300 27,950
Insight Communications Co * 5,600 87,500
Insight Enterprises Inc * 3,550 210,559
Insurance Auto Auction Inc * 2,100 44,362
Interim Services Inc * 9,660 171,465
Interliant Inc * 7,800 181,837
Interlogix Inc * 695 9,556
Internet Pictures Corp * 8,100 122,513
InterTAN Inc 4,500 52,875
Isle of Capri Casinos Inc * 5,000 67,812
ITT Educational Services Inc * 2,300 40,394
Jack In The Box Inc * 6,300 155,137
Jakks Pacific Inc * 3,900 57,525
John H Harland Co 4,700 70,206
John Wiley and Sons Inc 7,600 171,000
Jostens Inc * 4,816 121,301
Journal Register Co * 6,600 120,450
Jupiter Communications Inc * 600 13,800
Kellwood Co 4,800 101,400
Kelly Services Inc 'A' 2,800 64,750
Kenneth Cole * 550 22,000
kforce.com Inc * 6,400 44,400
Korn Ferry International * 5,500 174,281
Krispy Kreme * 600 44,100
Labor Ready Inc * 5,700 37,762
Landrys Seafood Restaurants Inc 4,600 39,100
Lands' End Inc 2,500 83,437
Lawson Products Inc 1,200 29,550
La-Z-Boy Chair Co 8,300 116,200
Learning Tree International * 1,800 110,250
Lee Enterprises 7,200 167,850
Libbey Inc 2,500 80,312
Liberty Livewire Corp * 100 7,025
LifeMinders Inc * 1,700 50,256
Lightbridge Inc * 2,300 54,912
Linens 'n Things Inc * 6,500 176,312
Lone Star Steakhouse & Saloon 5,700 57,712
LookSmart Ltd * 6,100 112,850
Lubys Cafeterias Inc 3,700 29,600
Mail.com Inc * 7,900 44,931
Mail-Well Inc * 6,000 51,750
Marcus Corp 2,800 33,950
Marketwatch.Com Inc * 500 9,406
Martha Stewart Living Omnimedia 'A' * 1,400 30,800
Matthews International Corp 'A' 2,200 63,800
Maximus Inc * 1,300 28,762
McClatchy Co 3,100 102,687
Media General Inc 3,400 165,112
Media Metrix Inc * 2,500 63,594
Mediaplex Inc * 2,400 46,350
MemberWorks Inc * 1,600 53,800
Mens Wearhouse Inc * 5,286 117,944
Meredith Corp 6,100 205,875
---------------------------------------------------------------
Market
Shares Value
------ ------
META Group Inc * 600 $11,550
Metromedia International Group Inc * 11,600 55,100
Michaels Stores Inc * 4,800 219,900
Midas Inc 3,300 66,000
Midway Games Inc * 4,400 35,475
Modem Media Poppe Tyson Inc * 2,300 28,606
Modis Professional Services * 15,000 114,375
Mohawk Industries Inc * 6,100 132,675
MP3.com Inc * 2,800 37,975
Musicland Stores Corp * 3,400 25,287
MyPoints.com * 3,300 62,545
National Presto Industries Inc 900 27,675
Nautica Enterprises Inc * 6,400 68,400
Navigant Consulting * 4,100 17,425
NBC Internet Inc * 5,300 66,250
NCO Group Inc 'A' * 3,600 83,250
Neiman Marcus Group Inc * 5,500 162,594
Netcentives Inc * 4,500 83,812
NetCreations Inc * 800 36,650
NetRatings Inc * 400 10,250
NPC International Inc * 1,900 17,041
Nu Skin Enterprises Inc * 5,400 31,050
Oakley Inc * 3,500 40,250
O'Charley's Inc * 2,300 31,337
OfficeMax Inc * 16,900 84,500
On Assignment Inc * 4,000 122,000
On Command Corp * 1,400 19,950
Oneida Ltd 2,300 40,825
Onvia.com Inc * 2,200 18,975
O'Reilly Automotive Inc * 6,800 94,350
Organic Inc * 300 2,925
Oshkosh B'Gosh Inc 'A' 1,830 29,966
P.F. Chang's China Bistro Inc * 1,500 47,906
Pacific Sunwear of California * 5,750 107,812
Papa John's International Inc * 3,900 95,550
ParkerVision Inc * 1,500 75,656
Paxson Communications Corp * 4,100 32,800
Payless Shoesource Inc * 3,700 189,625
PC Connection Inc * 750 42,750
Pegasus Solutions Inc * 4,000 43,500
Penn National Gaming Inc * 500 6,812
Pennzoil-Quaker State Co 14,200 171,287
Penton Media Inc 3,000 105,000
Pep Boys Manny Moe & Jack 7,300 43,800
Petco Animal Supplies Inc * 4,100 80,462
PETsMART Inc * 21,400 72,225
Phillips-Van Heusen Corp 3,500 33,250
Pier 1 Imports Inc 16,300 158,925
Pinnacle Entertainment Inc 3,900 75,806
Pittston Brinks Group 8,551 117,042
Playboy Enterprises 'B' * 3,400 43,775
Playtex Products Inc * 3,500 39,594
Polaroid Corp 8,200 148,112
Polo Ralph Lauren Corp * 7,900 112,575
Pre-Paid Legal Services Inc * 3,200 95,600
Prime Hospitality * 7,400 69,837
Private Media Group Inc 1,200 11,025
ProBusiness Services Inc * 1,900 50,469
See Notes to Financial Statements See explanation of symbols on D-88
D-46
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Prodigy Communications Corp * 3,440 $36,120
Professional Detailing Inc * 700 23,844
ProsoftTraining.com 1,800 30,262
Pulitzer Inc W/I 1,300 54,844
QRS Corp * 2,450 60,178
Quiksilver * 2,850 44,353
Quokka Sports Inc 2,100 16,866
R.H. Donnelley Corp 5,000 96,875
Rare Hospitality International Inc * 2,300 64,975
Rare Medium Group Inc * 5,000 79,062
Reebok International Ltd 7,300 116,344
Regent Communications Inc * 4,000 34,375
Regis Corp Minn 6,700 83,750
Rent-A-Center Inc * 2,800 63,000
Rent-Way Inc * 3,400 99,237
Revlon Inc * 1,400 8,837
Rollins Inc 2,800 41,650
Ruby Tuesday Inc 10,100 126,881
Russ Berrie 1,700 32,725
Russell Corp 4,500 90,000
Ryan's Family Steak Houses Inc * 7,500 63,281
Saga Communications Inc * 1,025 22,550
Salem Communications Corp 2,600 24,131
Salton Inc * 1,850 68,219
Scholastic Corp * 2,300 140,587
School Specialty Inc * 3,700 68,681
Scientific Games Holdings Corp * 2,100 51,581
SCP Pool Corp * 3,150 74,025
Service Corp International 41,200 131,325
ShopKo Stores Inc 4,900 75,337
Sinclair Broadcast Group 'A' 8,900 97,900
Sirius Satellite Radio Inc * 5,200 230,425
SITEL Corp * 7,500 37,031
Skechers U.S.A. Inc 3,100 49,019
Smartserve Online Inc 800 56,450
Snap-On Inc 9,600 255,600
Sodexho Marriott Services Inc 4,200 67,200
Sonic Automotive Inc 2,000 21,375
Sonic Corp * 3,500 102,812
Source Inform Management Co * 2,500 38,125
Spanish Broadcasting System Inc * 5,250 107,953
Speedway Motorsports Inc * 1,600 36,800
Spiegel Inc 'A' 3,500 29,750
Sportsline.com Inc * 3,500 59,719
Springs Industries Inc 2,400 77,250
Stamps.com Inc * 3,900 28,519
Starmedia Network Inc * 5,800 109,475
Startek Inc * 1,100 55,412
Station Casinos Inc * 3,300 82,500
Stein Mart Inc * 5,500 56,375
Steven Madden Ltd * 2,400 15,750
Stewart Enterprises Inc 'A' 11,900 42,022
Strayer Education Inc 1,200 28,800
Stride Rite Corp 7,100 43,487
Sturm Ruger & Cos Inc 3,200 28,400
Sunbeam Corp 12,718 43,718
Sunglass Hut International * 7,600 62,462
Switchboard Inc * 1,600 16,000
---------------------------------------------------------------
Market
Shares Value
------ ------
Systemax Inc * 1,600 $6,200
Take-Two Interactive Software Inc * 4,200 50,925
Tetra Tech Inc * 6,075 138,966
The 3DO Co * 5,800 45,494
The Management Network Group Inc * 500 17,500
The Yankee Candle Co * 1,700 36,762
THQ Inc * 4,000 48,750
Timberland Co * 1,500 106,219
TiVo Inc * 2,800 98,000
Too Inc * 4,400 111,925
Topps Co Inc 8,400 96,600
Toro Co 2,300 75,756
Trans World Entertainment Corp * 6,200 75,175
Travelocity.com Inc * 2,500 40,937
Trendwest Resorts Inc * 600 9,675
Tuesday Morning Corp * 1,400 14,700
Tupperware Corp 10,100 222,200
Tweeter Home Entertainment * 3,000 91,125
Ultimate Electronics Inc * 1,800 48,234
United Auto Group Inc * 900 8,212
United Natural Foods Inc * 1,400 19,250
United Stationers Inc * 5,400 174,825
United Television Inc 700 90,125
Universal Electronics Inc * 1,700 41,756
Vail Resorts Inc * 2,500 40,781
Value City Department Stores Inc * 1,900 18,050
ValueVision International Inc 'A' * 6,400 153,600
Vans Inc * 1,100 16,087
Venator Group Inc * 22,500 230,625
Veterinary Centers of America Inc * 3,400 46,750
Vicinity Corp * 800 15,700
Volt Information Sciences Inc * 900 29,644
Voyager.net Inc * 600 4,800
Wackenhut Corp 2,500 32,344
Wallace Computer Services Inc 6,400 63,200
Warnaco Group Inc 'A' 10,600 82,150
Waste Connections Inc * 3,400 67,150
Westpoint Stevens Inc 6,600 73,425
Whitehall Jewellers Inc * 2,250 41,906
Wilsons The Leather Experts * 800 11,750
Wink Communications Inc * 3,100 94,550
WMS Industries * 4,600 71,012
Wolverine World Wide Inc 7,200 71,100
WWF Entertainment * 1,200 24,975
Wyndham International Inc 'A' * 23,600 59,000
Xceed Inc * 3,100 28,287
XM Satellite Radio Holdings * 1,500 56,156
Young Broadcasting Inc 'A' * 2,100 53,944
Zale Corp * 5,800 211,700
Ziff-Davis Inc * 4,200 37,800
-------------
25,478,104
-------------
Consumer Staples - 2.27%
American Italian Pasta Co * 2,400 49,650
Aurora Foods Inc * 1,800 7,200
Ben & Jerry's Homemade Holding Inc * 500 21,750
Beringer Wine Estates 'B' * 1,700 60,031
Bush Boake Allen Inc * 1,000 43,750
See Notes to Financial Statements See explanation of symbols on D-88
D-47
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Canandaigua Brands Inc * 2,200 $110,962
Casey's General Stores Inc 7,400 76,775
Chiquita Brands International Inc 6,100 24,019
Church & Dwight Inc 6,400 115,200
Coca-Cola Bottling Co 300 13,650
Dean Foods Co 6,300 199,631
Del Monte Foods Co * 6,900 47,006
Dial Corp 14,000 145,250
Dole Food Co Inc 6,600 92,400
Dreyer's Grand Ice Cream Inc 2,600 54,600
Duane Reed Inc * 2,900 74,675
Earthgrains Co 7,000 136,062
Farmer Brothers Co 100 17,500
Fleming Cos Inc 6,500 84,906
Great Atlantic & Pacific 2,900 48,212
HomeGrocer.com Inc * 2,500 15,078
Ingles Markets Inc 3,200 33,400
International Home Foods * 5,700 119,344
International Multifoods Corp 2,800 48,475
Interstate Bakeries Corp 7,300 102,200
Lance Inc 5,700 51,300
Longs Drug Stores Inc 4,300 93,525
Michael Foods Inc 2,900 71,050
NBTY Inc * 9,200 58,650
Performance Food Group * 2,500 80,000
Pilgrims Pride Corp 'B' 800 5,700
Ralcorp Holdings Inc * 4,600 56,350
Rica Foods Inc 800 18,400
Riviana Foods Inc 1,200 20,925
Robert Mondavi Corp 'A' * 1,800 55,237
Ruddick Corp 5,000 59,062
Schweitzer Mauduit International 2,400 30,000
Seaboard Corp Del 100 17,200
Smart & Final Inc 1,900 14,606
Smithfield Foods Inc * 9,000 252,562
Smuckers 'A' 4,100 78,925
Suiza Foods Corp * 5,100 249,262
The Hain Celestial Group Inc * 5,200 190,775
Triarc Co Inc * 2,650 54,325
Twinlab Corp * 2,900 18,487
Universal Corp VA 4,800 101,400
Universal Foods Corp 8,400 155,400
Vector Group Ltd 1,300 19,175
Whole Foods Market Inc * 4,700 194,169
Wild Oats Markets Inc 4,200 52,762
--------------
3,740,973
--------------
Financial Services - 16.42%
1st Source Corp 910 14,276
Acacia Research Corp * 1,900 45,600
Advanta Corp 'A' 4,600 56,062
Advent Software Inc * 4,300 277,350
Affiliated Managers Group * 3,600 163,800
Alabama National Bancorp 2,200 43,587
Alexander's Inc * 500 36,625
Alexandria Real Estate Equities 1,600 54,900
Alfa Corp 5,500 96,250
Alleghany Corp * 812 136,416
---------------------------------------------------------------
Market
Shares Value
------ ------
Allied Capital Corp 12,300 $209,100
AMCORE Financial Inc 4,500 82,406
American Capital Strategies Ltd 4,100 97,887
American Financial Holdings Inc 5,500 87,312
American Industrial Properties 1,600 21,700
American National Insurance 1,400 71,400
AmeriCredit Corp * 13,100 222,700
AmerUs Life Holdings Inc 1,400 28,875
AMLI Residential Properties 1,800 42,412
Anchor Bancorp Wisconsin Inc 4,200 64,312
Andover Bancorp Inc 800 23,050
Arch Capital Group Ltd * 1,800 26,887
Arden Realty Inc 9,700 227,950
Area Bancshares 700 15,619
Argonaut Group Inc 2,900 49,662
Astoria Financial Corp 8,200 211,150
Baldwin & Lyons 1,800 30,712
BancFirst Corp 700 22,050
BancorpSouth Inc 8,200 115,312
Bank of Granite Corp 2,700 61,762
Bank United Corp 5,800 204,087
BankAtlantic Bancorp 7,000 41,125
BARRA Inc * 1,800 89,212
Bay View Capital Corp 4,660 45,726
Bedford Property Investors 2,500 46,406
Berkley W R Corp 3,000 56,250
Billing Concepts Corp * 9,200 40,825
Blackrock Inc * 3,400 98,600
BOK Financial Corp * 800 14,050
Boykin Lodging Co 2,000 27,000
Bradley Real Estate 4,400 93,775
Brandywine Realty Trust 4,800 91,800
BRE Properties Inc 7,900 228,112
Brenton Banks Inc 1,120 15,540
Brookline Bancorp Inc 2,100 24,019
Brown & Brown Inc 1,400 72,800
BSB Bancorp Inc 700 14,044
BT Financial Corp 2,745 47,351
Burnham Pacific Properties Inc 3,400 23,375
Cabot Industrial Trust 5,800 114,187
Camden Property Trust 6,800 199,750
Capital Automotive REIT 4,400 62,150
Capital City Bank 1,500 29,250
Capitol Federal Financial 5,800 64,162
Cash America International Inc 3,400 25,075
Cathay Bancorp Inc 1,100 51,012
CBL & Associates Properties 4,100 102,244
CCC Information Services Inc 3,700 39,312
CenterPoint Properties Trust 3,800 154,850
Century South Banks Inc 1,000 19,375
Charter Municipal Mtg Acceptance 3,400 41,862
Chateau Communities Inc 2,900 81,925
Chelsea GCA Realty Inc 2,800 96,775
Chemical Financial Corp 1,970 51,220
Chittenden Corp 4,642 113,439
Citizens Banking Corp Michigan 6,984 113,381
City Bank 2,100 54,862
CNA Surety Corp 1,400 16,712
See Notes to Financial Statements See explanation of symbols on D-88
D-48
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Colonial Bancgroup Inc 14,100 $126,900
Colonial Properties 3,500 95,812
Commerce Bancorp Inc NJ 5,349 246,054
Commerce Group Inc 4,100 120,950
Commercial Federal Corp 9,300 144,731
Commerical Net Lease Realty 3,500 36,750
Community First Bankshares Inc 9,200 150,075
CompuCredit Corp * 1,600 48,000
COPE Inc * 100 5,319
Cornerstone Realty Income Trust 6,400 64,000
Corus Bankshares Inc 900 23,794
Cousins Properties Inc 4,700 180,950
CPB Inc 600 15,000
Crawford & Co CLB 5,800 63,800
Credit Acceptance Corp * 2,800 15,575
Creditrust Corp * 1,900 2,494
Cullen/Frost Bankers Inc 8,600 226,287
CVB Financial Corp 2,675 42,298
CyberSource Corp * 3,600 49,725
Dain Rauscher Corp 2,100 138,600
Data Broadcasting Corp * 9,600 60,600
Delphi Financial Group * 1,940 65,839
Developers Diversified Realty 10,600 158,337
Digital Courier Technologies Inc * 3,800 24,225
Digital Insight Corp * 2,400 81,600
Dime Community Bancshares 1,700 27,625
DLJdirect Inc * 2,500 17,812
Doral Financial Corp 5,200 59,475
Downey Financial Corp 3,000 87,000
E.W. Blanch Holdings Inc 2,900 58,906
East West Bancorp Inc 4,900 70,437
EastGroup Properties Inc 2,500 52,656
Electro Rent Corp * 1,100 13,475
Enhance Financial Service Group Inc 5,500 79,062
Entertainment Properties Trust 2,500 34,531
Equity Inns Inc 4,300 26,337
Essex Property Trust Inc 3,300 138,600
F&M Bancorp MD 2,700 53,325
F&M National Corp 3,439 72,219
FactSet Research Systems Inc 2,800 79,100
Fair Issac & Co Inc 1,500 66,000
Farmers Capital Bank Corp 1,600 48,600
FBL Financial Group Inc 'A' 1,300 20,475
Federal Realty Investment Trust 6,600 132,000
Felcor Lodging Trust Inc 7,800 144,300
Fidelity National Financial Inc 9,589 175,599
Financial Federal Corp * 1,000 17,375
Finova Group Inc 11,100 144,300
First American Financial Corp 8,000 114,500
First Bancorp Puerto Rico 3,100 57,544
First Busey Corp 1,200 19,725
First Charter Corp 4,200 66,150
First Citizens BancShares Inc 'A' 1,000 59,500
First Commonwealth Financial Corp 8,544 77,430
First Federal Capital Corp 1,100 12,169
First Financial Bancorp 5,450 107,297
First Financial Bankshares Inc 1,200 33,000
First Financial Corp 1,600 48,800
---------------------------------------------------------------
Market
Shares Value
------ ------
First Financial Holdings Inc 1,100 $15,125
First Indiana Corp 1,100 21,862
First Industrial Realty Trust 6,900 203,550
First Merchants Corp 2,620 55,511
First Midwest Bancorp 6,100 141,825
First Niagara Financial 2,000 18,750
First Sentinel Bancorp Inc 5,900 48,491
First United Bancshares Arkansas 4,100 62,269
First Washington Realty Trust 1,300 28,681
FirstFed Financial Corp * 2,700 38,137
FNB Corp 3,386 69,836
Franchise Finance Corp of America 9,200 211,600
Fremont General Corp 9,600 37,800
Friedman Billings * 3,900 31,687
Frontier Financial Corp 1,600 29,400
Fulton Financial Corp 11,700 206,944
Gabelli Asset Management Inc * 300 7,500
Gables Residential Trust 4,600 118,737
Gallagher (Arthur J) & Co 6,100 256,200
GBC Bancorp 1,495 43,729
Glenborough Realty Trust Inc 5,800 101,137
Glimcher Realty Trust 5,000 71,875
GlobalNetFinancial.com Inc * 3,100 65,100
Gold Banc Corp 2,900 14,500
Great American Financial Resources Inc 1,200 21,225
Great Lakes REIT Inc 2,500 42,500
Greater Bay Bancorp 3,300 154,275
Hancock Holding Co 1,000 34,000
Harbor Florida Bancshares Inc 2,200 22,962
Harleysville Group Inc 1,200 20,100
Harleysville National Corp 1,820 59,605
Harris Financial Inc * 1,300 8,044
HCC Insurance Holdings Inc 6,800 128,350
Health Care Property Investors Inc 8,514 232,006
Health Care REIT Inc 4,700 76,375
Healthcare Realty Trust Inc 7,500 127,969
Highwoods Properties Inc 10,400 249,600
Hilb, Rogal & Hamilton Co 1,700 58,969
Home Properties of NY Inc 3,900 117,000
Horace Mann Educators 7,200 108,000
Hospitality Properties Trust 8,300 187,269
HRPT Properties Trust 19,300 118,212
HSB Group Inc 5,300 164,962
Hudson United Bancorp 8,942 200,636
Hypercom Corp * 1,700 24,437
Imperial Bancorp * 7,258 112,953
Independence Community Bank 12,100 160,325
IndyMac Mortgage Holdings Inc 12,300 166,819
Innkeepers USA Trust 5,700 52,012
Integra Bank Corp 2,200 37,400
Inteledata Technologies Corp * 5,200 53,625
International Bancshares Corp 2,050 66,881
Interpool Inc 2,000 19,500
InterWest Bancorp Inc 2,300 32,200
Investment Technology Group 4,500 177,750
Investors Financial Services Corp 5,200 206,375
IRT Property Co 5,000 42,500
Irwin Financial Corp 700 10,106
See Notes to FInancial Statements See explanation of symbols on D-88
D-49
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
JDN Realty Corp 5,600 $57,050
Jefferies Group Inc 3,200 64,600
John Nuveen Co 'A' 1,100 46,131
JP Realty Inc 1,100 19,594
Kansas City Life Insurance Co 500 13,437
Keystone Financial Inc 8,700 184,875
Kilroy Realty Corp 4,200 108,937
Koger Equity Inc 3,500 59,062
Kronos Inc * 2,350 61,100
LaBranche & Co Inc * 5,200 74,750
LandAmerica Financial Group Inc 1,600 36,700
Lasalle Hotel Properties 1,800 25,875
Leucadia National Corp 6,200 141,437
Lexington Corporate Properties 2,800 31,325
Liberty Corp SC 2,600 109,200
Liberty Financial Cos 2,300 50,456
Macerich Co 5,000 110,312
MAF Bancorp Inc 3,900 70,931
Manufactured Home Communities Inc 3,000 71,812
Markel Corp * 1,000 141,625
McGrath RentCorp 1,200 20,400
Medallion Financial Corp 1,200 18,525
Medical Assurance * 3,050 34,312
MEDITrust Corp 16,500 61,875
Merchants New York Bancorp 2,700 46,406
Mercury General Corp 3,800 89,775
MeriStar Hospitality Corp 5,800 121,800
Metris Cos Inc 9,600 241,200
MGI Properties 6,200 14,337
Mid-America Apartment Communities 2,700 64,800
Mid-America Bancorp 703 17,575
Midland Co 700 17,150
Mid-State Bancshares 1,300 35,425
Mills Corp 2,600 48,912
Mississippi Valley Bancshares 1,700 41,225
Morgan Keegan Inc 3,500 51,625
Multex.com Inc * 3,000 75,562
National Bancorp of Alaska Inc 1,400 50,225
National Data Corp 5,400 124,200
National Discount Brokers Groups Inc * 1,800 57,375
National Golf Properties Inc 1,400 29,575
National Health Investors Inc 4,000 44,000
National Penn Bancshares Inc 2,730 56,306
National Processing Inc * 400 5,000
National Western Life Insurance 'A' * 300 21,600
NationsRent Inc * 2,700 10,294
Nationwide Health Properties Inc 7,900 110,106
NBT Bancorp Inc 1,995 21,322
Net.B@nk Inc * 4,800 59,700
New Plan Excel Realty Trust 15,400 200,200
NextCard Inc * 5,500 46,750
Northwest Bancorp Inc 2,400 16,500
OceanFirst Financial Corp 1,800 33,187
Ocwen Financial Corp * 5,000 27,812
Ohio Casualty 11,300 120,062
Omega Financial Corp 2,100 53,025
One Valley Bancorp 5,500 171,875
Oriental Financial Group 1,900 27,431
---------------------------------------------------------------
Market
Shares Value
------ ------
Pacific Capital Bancorp 3,400 $85,212
Pacific Gulf Properties Inc 2,300 57,644
Pan Pacific Retail Properties 1,500 30,187
Park National Corp 1,150 104,362
Parkway Properties 1,100 33,550
Pennsylvania REIT 1,100 18,837
People'S Bank Bridgeport Conn 3,700 67,987
PFF Bancorp Inc 1,900 34,675
Philadelphia Cons Holding Corp* 1,000 16,812
Phoenix Investment Partners 5,600 58,800
PICO Holdings Inc * 1,700 23,906
Pioneer Group Inc 4,200 177,975
PMA Capital Corp 'A' 2,200 41,800
Policy Management Systems Corp * 5,900 90,712
Premier National Bancorp Inc 3,910 50,830
Prentiss Properties Trust 5,900 141,600
Presidential Life Corp 3,400 47,175
Primark Corp 3,700 137,825
Prime Group Realty Trust 1,600 24,300
Prison Realty Trust Inc 15,400 47,162
Profit Recovery Group * 7,650 127,181
Provident Bankshares Corp * 5,191 70,078
Provident Financial Group 4,200 100,012
PS Business Parks Inc 3,200 76,800
Queens County Bancorp Inc 2,700 49,781
R&G Financial Corp 'B' 1,700 13,494
Raymond James Financial Inc 5,700 128,250
Realty Income Corp 3,900 91,894
Reckson Associates Realty Corp 7,400 175,750
Regency Realty Corp 4,400 104,500
Reliance Group Holdings Inc 10,800 8,100
Republic Bancorp Inc 8,311 74,280
Republic Security Financial Corp 7,600 38,000
RFS Hotel Investors Inc 4,000 47,000
Richmond County Financial Corp 5,100 97,537
Riggs National Corp W 4,000 50,500
RLI Corp 900 31,275
Rollins Truck Leasing Corp 7,500 52,031
Roslyn Bancorp Inc 11,000 182,703
Ryder Systems Inc 9,700 183,694
S&T Bancorp Inc 3,600 65,700
Sandy Spring Bancorp Inc 2,300 47,006
Santander BanCorp 1,390 17,722
Saul Centers Inc 1,800 29,025
SCPIE Holdings Inc 1,500 30,750
Seacoast Financial Services Corp 4,200 39,900
Security Capital Group Inc 'B' * 5,000 85,000
Selective Insurance Group 4,300 81,700
Senior Housing Properties Trust 2,100 15,356
Shurgard Storage Centers 'A' 4,800 108,000
Silicon Valley Bancshares Delaware * 7,000 298,375
Sky Financial Group Inc 12,762 203,394
SL Green Realty Corp 2,900 77,575
Smith Charles E Residential Realty 3,100 117,800
Sotheby's Holdings Inc 'A' 6,000 105,000
Southwest Bancorp of Texas * 5,400 112,050
Southwest Securities Group Inc * 2,670 99,457
Sovran Self Storage Inc 1,800 38,587
See Notes to Financial Statements See explanation of symbols on D-88
D-50
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Stancorp Financial Group 4,700 $150,987
State Auto Financial Corp 2,000 23,750
Staten Island Bancorp Inc 6,100 107,512
Sterling Bancshares Inc 3,300 35,681
Stewart Information Services Corp 1,000 14,625
Storage USA Inc 4,600 135,700
Student Loan Corp 600 25,200
Summit Properties Inc 4,100 86,100
Sun Communities Inc 2,800 93,625
Susquehanna Bancshares Inc 5,400 76,950
Tanger Factory Outlet Center 900 21,150
Taubman Centers Inc 5,600 61,600
Texas Regional Bancshares 1,800 45,675
The InterCept Group Inc * 800 19,150
The South Financial Group Inc 6,287 91,161
The Trust Co of New Jersey 1,800 32,850
Town & Country Trust 2,400 41,250
Trenwick Group Inc 2,700 39,319
Triad Guaranty Inc * 1,600 36,700
TrustCo Bank Corp NY 8,100 101,250
Trustmark Corp 10,100 176,119
Tucker Anthony Sutro 2,000 36,000
UCBH Holdings Inc 900 24,019
UICI * 6,200 40,687
UMB Financial Corp 2,530 83,016
United Asset Management Corp 8,100 189,337
United Bankshares Inc 5,700 103,669
United Community Financial 5,400 35,944
United Dominion Realty Trust 17,900 196,900
United National Bancorp NJ 2,668 49,024
United Rentals Inc * 4,800 82,200
Urban Shopping Centers Inc 2,100 70,744
USB Holding Co Inc 2,795 39,479
Value Line Inc 300 11,550
Ventas Inc 9,900 31,556
W Holding Co Inc 4,500 37,125
Washington Federal Inc 9,400 171,550
Washington REIT 4,900 87,587
Webster Financial Corp 7,700 170,844
Weingarten Realty Investments 4,400 177,650
Wells Fargo & Co 728 28,210
WesBanco Inc 2,700 65,475
Westamerica Bancorp 6,500 169,812
Westcorp Inc 1,400 16,712
Western Properties Trust 2,800 33,250
Westfield America Inc 3,600 48,825
WFS Financial Inc * 1,500 25,875
Whitney Holding 3,200 109,400
Wit Soundview Group Inc * 12,800 137,400
XTRA Corp 2,000 78,875
Zenith National Insurance Corp 800 17,000
--------------
27,060,326
--------------
Health Care - 12.12%
Abiomed Inc * 900 27,675
Accredo Health Inc * 2,000 69,125
ACLARA BioSciences Inc * 1,300 66,219
Acuson Corp * 3,400 45,900
---------------------------------------------------------------
Market
Shares Value
------ ------
ADAC Laboratories 3,900 $93,600
Advance Paradigm Inc * 3,600 73,800
Advanced Tissue Sciences Inc * 11,100 89,147
Albany Molecular Research Inc * 1,400 76,212
Alexion Pharmaceuticals * 1,900 135,850
Algos Pharmaceuticals Corp * 1,600 24,400
Alliance Pharmaceuticals Corp * 8,600 96,750
Allscripts Inc * 2,600 59,800
Alpharma Inc 3,700 230,325
AmeriPath Inc * 5,100 45,262
AmeriSource Health Corp 'A' * 8,400 260,400
Amylin Pharmaceuticals Inc * 8,400 127,575
Anesta Corp * 1,600 39,800
Aphton Corp * 1,800 46,350
Apria Healthcare Group * 7,000 85,750
Aradigm Corp * 3,400 59,500
Ariad Pharmaceuticals Inc * 4,500 59,906
Arrow International Inc 1,900 63,650
ArthroCare Corp * 1,800 95,850
Aspect Medical Systems Inc * 800 21,600
ATS Medical Inc * 2,100 30,712
Aurora Biosciences Corp * 3,200 218,200
Avant Immunotherapeutics Inc * 6,100 64,431
Avigen Inc * 2,100 92,137
Aviron * 3,100 95,712
Barr Laboratories Inc * 2,850 127,716
Bergen Brunswig 'A' 20,100 110,550
Beverly Enterprises Inc * 16,600 46,687
Bindley Western Industries 4,166 110,139
BioCryst Pharmaceuticals Inc * 1,600 45,900
BioMarin Pharmaceutical Inc * 2,200 37,400
Biomatrix Inc * 1,900 42,987
Biopure Corp * 2,800 52,675
Bio-Rad Labs 'A' * 1,100 27,500
Biosite Diagnostics Inc * 2,500 120,469
Bio-Technology General Corp * 8,900 117,369
Bone Care International Inc * 600 14,137
CardioDynamics International Corp * 5,800 36,431
CareInsite Inc * 1,000 17,875
Caremark Rx Inc * 32,900 224,131
Cell Genesys Inc * 5,100 142,800
Cell Pathways Inc * 3,500 82,250
Cell Therapeutics Inc * 4,300 131,687
Celsion Corp * 5,700 16,387
Cerner Corp * 3,900 106,275
Cerus Corp * 1,200 61,425
ChiRex Inc * 2,300 46,000
ChromaVision Medical Systems Inc * 1,400 18,462
Closure Medical Corp * 1,000 23,000
Collateral Therapeutics Inc * 900 22,823
Columbia Laboratories Inc * 3,800 21,850
CONMED Corp * 3,000 77,625
Connetics Corp * 5,200 76,375
Cooper Cos Inc 2,300 83,662
Corixa Corp * 3,200 137,400
CorVel Corp * 400 9,875
Coulter Pharmaceutical Inc * 3,200 65,600
Covance Inc * 9,400 82,837
See Notes to Financial Statements See explanation of symbols on D-88
D-51
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Coventry Health Care Inc * 9,600 $127,950
Creative BioMolecules Inc * 5,100 71,400
CryoLife Inc * 1,000 23,000
Cubist Pharmaceuticals Inc * 4,400 216,700
CuraGen Corp * 3,800 144,637
CV Therapeutics Inc * 2,300 159,419
Cyber-Care Inc * 8,300 82,611
Cyberonics * 3,300 39,600
Cygnus Inc * 4,700 66,975
Cytogen Corp * 12,800 129,600
Datascope Corp 2,200 79,200
Diagnostic Products Corp 1,800 57,600
Diametrics Medical Inc * 2,400 13,575
Digene Corp * 2,000 80,750
Diversa Corp * 1,000 33,125
Dura Pharmaceuticals Inc * 8,200 117,875
DUSA Pharmaceuticals Inc * 2,600 76,700
DVI Inc * 1,500 24,000
eBenX Inc * 300 6,356
Eclipsys Corp * 7,200 54,000
Edwards Lifesciences Corp * 9,500 175,750
Emisphere Technologies Inc * 2,300 98,002
ENDOcare Inc * 2,200 44,550
EntreMed Inc * 2,700 80,831
Enzo Biochem Inc * 3,700 255,300
Enzon Inc * 6,700 284,750
Exelixis Inc * 1,100 36,713
Foundation Health Systems * 16,900 219,700
Geltex Pharmaceuticals Inc * 3,100 63,356
Gene Logic Inc * 3,900 139,181
Genome Therapeutics Corp * 3,700 112,619
Genomic Solutions Inc * 1,000 14,625
Genta Inc * 800 5,200
Genzyme Transgenics Corp * 2,700 73,237
Geron Corp * 3,800 121,600
Guilford Pharmaceuticals Inc * 4,600 69,287
Haemonetics Corp * 4,300 90,300
Henry Schein Inc * 3,700 63,825
Hooper Holmes Inc 11,800 94,400
Humana Inc 23,400 114,075
Hyseq Inc * 1,900 86,331
IDEXX Laboratories Inc * 5,800 132,675
IGEN International Inc * 2,100 34,781
ILEX Oncology Inc * 3,900 137,475
Imatron Inc * 11,100 26,016
ImmunoGen Inc * 6,300 75,994
Immunomedics Inc * 4,500 110,250
IMPATH Inc * 1,700 92,225
INAMED Corp * 1,800 65,925
Inhale Therapeutic Systems Inc * 2,600 263,819
InterMune Pharmaceuticals Inc * 800 33,050
IntraBiotics Pharmaceuticals Inc * 800 21,350
Invacare Corp 4,100 107,625
Invitrogen Corp * 1,400 105,284
Isis Pharmaceuticals Inc * 6,500 94,250
i-STAT Corp 1,900 33,131
King Pharmaceuticals Inc * 1 45
KOS Pharmaceuticals Inc * 900 14,456
---------------------------------------------------------------
Market
Shares Value
------ ------
KV Pharmaceutical Co 'B' * 1,900 $51,656
Laboratory Corp of America Holding * 1,280 98,720
Lexicon Genetics Inc * 2,400 82,500
LifePoint Hospitals Inc * 5,700 126,825
Ligand Pharmaceuticals 'B' * 8,600 113,412
Lincare Holdings Inc * 6,700 164,987
Luminex Corp * 500 20,812
Lynx Therapeutics Inc * 1,900 90,369
Manor Care Inc * 11,700 81,900
Martek Biosciences Corp * 2,300 43,125
Matrix Pharmaceuticals Inc * 4,600 60,088
Maxim Pharmaceuticals Inc * 3,100 159,263
Maxygen Inc * 1,000 56,766
Medical Manager Corp * 6,200 211,188
Medicis Pharmaceutical 'A' * 4,750 270,750
MedQuist Inc * 6,000 204,000
Mentor Corp Minn 4,100 111,469
MGI Pharma Inc * 3,000 86,297
Microvision Inc * 2,000 98,000
Mid Atlantic Medical Services * 7,300 98,550
Miravant Medical Technologies * 1,800 40,163
Molecular Devices Corp * 2,000 138,375
Morrison Management Specialists 1,270 35,798
Myriad Genetics Inc * 1,500 222,117
Nabi Inc * 7,100 51,919
Nanogen Inc * 2,100 89,119
NeoRx Corp * 3,800 71,725
Neose Technologies Inc * 2,100 88,331
Neurocrine Biosciences Inc * 3,600 128,025
Neurogen Corp * 2,000 57,750
Nexell Therapeutics Inc * 600 8,925
Noven Pharmaceuticals Inc * 3,600 108,225
Novoste Corp * 2,600 158,600
NPS Pharmaceuticals Inc * 3,600 96,300
Ocular Sciences Inc * 3,500 41,125
Omnicare Inc 15,100 136,844
ORATEC Interventions Inc * 400 13,350
Orchid Biosciences * 1,500 56,953
Organogenesis Inc * 5,900 67,481
Orthodontic Centers of America Inc * 7,300 165,163
OSI Pharmaceuticals Inc * 3,300 95,081
Owens & Minor Inc/Holdings Co 6,500 111,719
Packard BioScience * 1,500 25,500
Paradigm Genetics * 1,600 19,500
Parexel International Corp * 4,200 40,163
Pathogenesis Corp * 3,200 83,200
Perrigo Co * 12,100 76,381
Per-Se Technologies Inc * 5,966 55,931
Pharmaceutical Product Development * 2,500 52,500
Pharmacopeia Inc * 3,300 153,038
Pharmacyclics * 2,500 152,500
Photogen Technologies Inc * 900 7,481
PolyMedica Corp * 1,900 82,175
Praecis Pharmaceuticals * 1,700 47,388
Priority Healthcare Corp 'B' * 1,700 126,331
Province Healthcare Co * 3,700 133,663
PSS World Medical Inc * 12,800 86,000
Quorum Health Group Inc * 10,900 112,406
See Notes to Financial Statements See explanation of symbols on D-88
D-52
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Regeneron Pharmaceutical Inc * 2,900 $86,456
RehabCare Group Inc 2,800 76,300
Renal Care Group Inc * 7,400 180,953
Res-Care Inc * 2,500 13,438
ResMed Inc 4,900 131,075
Respironics Inc * 4,600 82,800
Ribozyme Pharmaceuticals Inc 1,800 46,463
RightChoice Managed Care Inc 1,600 25,200
SangStat Medical Corp * 3,000 86,625
Schein Pharmaceutical Inc * 1,300 28,113
SciClone Pharmaceuticals Inc 5,700 73,744
SciQuest.com Inc * 3,700 42,319
Sequenom Inc 1,100 49,913
SICOR Inc * 7,100 56,800
Simione Central Holdings Inc * 1 2
Sonic Innovations Inc 100 1,856
SonoSite Inc * 1,900 54,744
Star Scientific Inc * 5,200 17,550
STARR Surgical Co * 3,000 33,563
Stericycle Inc * 2,900 69,600
STERIS Corp * 11,100 98,513
Summit Technology Inc * 5,900 111,363
Sunrise Assisted Living Inc * 2,600 48,100
Sunrise Technologies International * 8,400 84,000
SuperGen Inc * 3,900 141,375
SurModics Inc * 500 13,000
Syncor International Corp * 1,700 122,400
Targeted Genetics Corp * 5,100 75,863
Techniclone Corp * 15,200 58,900
Texas BioTechnology Corp * 6,100 115,900
The Immune Response Corp * 2,700 29,363
Theragenics Corp * 4,300 36,819
Thermo Cardiosystems Inc * 2,500 25,000
Thoratec Laboratories Corp * 1,700 27,519
Titan Pharmaceuticals Inc * 3,500 150,500
Total Renal Care Holdings * 12,100 72,600
Transkaryotic Therapies Inc * 3,500 128,625
Triad Hospitals Inc * 6,200 149,963
Triangle Pharmaceuticals Inc * 5,400 48,938
Trimeris Inc * 2,700 188,831
Tularik Inc * 1,400 41,300
United Therapeutics Corp * 2,200 238,425
US Oncology Inc * 14,300 71,500
Valentis Inc * 3,800 44,650
Varian Inc * 5,300 244,463
Varian Medical Systems Inc 5,200 203,450
Vasomedical Inc * 6,000 28,313
VaxGen Inc * 800 17,500
Ventana Medical Systems * 1,800 42,300
Ventive Health Inc * 2,600 28,925
Vical Inc * 2,800 53,900
Visx Inc Del * 8,800 246,950
Vital Signs Inc 900 16,313
Vivus Inc * 6,500 45,094
Wesley Jessen Visioncare Inc * 3,600 135,225
West Pharmaceutical Services 1,700 36,763
ZOLL Medical Corp * 1,700 83,300
--------------
19,962,372
--------------
---------------------------------------------------------------
Market
Shares Value
------ ------
Integrated Oils - 0.03%
Tesoro Petroleum Corp * 5,400 $54,675
-------------
Materials & Processing - 7.77%
Advanced Lighting Technologies Inc * 2,800 51,800
AgriBrands International Inc * 1,700 71,294
Airgas Inc * 8,900 50,619
AK Steel Holding Corp 12,100 96,800
Albany International Corp 'A' 1,728 25,056
Albemarle Corp 3,900 77,025
AMCOL International Corp 3,500 57,750
AptarGroup Inc 5,300 143,100
Arch Chemicals Inc 3,100 67,813
Armor Holdings Inc * 1,700 22,100
Armstrong Holding 7,100 108,719
Ball Corp 4,700 151,281
Barnes Group Inc 2,800 45,675
Battle Mountain Gold Co 'A' 27,900 61,031
Bethlehem Steel Corp 21,700 77,306
Brady Corp 'A' 2,900 94,250
Brush Engineered Materials Inc 2,700 42,188
Buckeye Technologies Inc * 3,600 78,975
Cabot Microelectronics Corp * 500 22,875
Cadiz Inc * 4,200 33,600
Calgon Carbon Corp 5,600 43,400
Cambrex Corp 4,100 184,500
Caraustar Industries Inc 5,000 75,625
Carpenter Technology 3,500 73,938
Castle & Cooke Inc * 2,200 42,488
Catellus Developement Corp * 17,500 262,500
CB Richard Ellis Services Inc * 2,000 18,250
Centex Construction Products 600 13,613
Century Aluminum Co 800 8,700
Chemed Corp 2,000 56,375
ChemFirst Inc 2,600 62,725
Chesapeake Corp 2,600 77,025
Clarcor Inc 4,000 79,500
Cleveland-Cliffs Inc 2,400 61,950
Collins & Aikman Corp * 7,400 38,388
Comfort Systems USA Inc * 2,000 8,000
Commercial Metals Co 2,300 63,250
CompX International Inc 700 14,219
Corn Products International Inc 6,200 164,300
Crestline Capital Corp * 2,500 42,656
Crompton Corp 18,819 230,533
Cytec Industries Inc * 6,800 167,875
Dal-Tile International Inc * 7,300 60,225
Del Webb Corp 2,700 41,344
Delta & Pine Land Co 6,900 172,931
Deltic Timber Corp 1,700 36,338
Dexter Corp 4,200 201,600
Earthshell Corp * 4,700 14,247
Elcor Corp 3,750 86,250
Emcor Group Inc * 2,200 51,013
Energy Conversion Devices Inc * 1,500 38,063
Ethyl Corp 10,300 25,750
See Notes to Financial Statements See explanation of symbols on D-88
D-53
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Fairfield Communities Inc * 6,800 $53,550
Ferro Corp 5,700 119,700
Florida Rock Industries 2,600 92,625
Forest City Enterprises 'A' 2,100 70,088
Freeport McMoRan Copper & Gold 23,500 217,375
Gaylord Container Corp 'A' * 8,600 23,113
Geon Co 4,000 74,000
Georgia Gulf Corp 5,800 120,713
Gibraltar Steel Corp 400 5,600
Granite Construction 3,100 75,950
Great Lakes Chemical Corp 7,800 245,700
Greif Brothers Corp 'A' 2,000 61,500
Griffon Corp * 1,700 9,456
H.B. Fuller Co 2,500 113,906
Harsco Corp 6,600 168,300
Hexcel Corp 3,100 29,450
Hughes Supply Inc 3,900 77,025
Insignia Financial Group Inc * 3,000 30,000
Insituform Tech Inc 'A' * 3,100 84,088
Integrated Electrical Services * 4,700 24,088
Interface Inc 'A' 7,600 28,975
International Specialty Products Inc * 2,400 13,650
Ivex Packaging Corp * 2,600 28,925
Jacobs Engineering Group * 4,100 134,019
Jones Lang Lasalle Inc * 4,000 53,500
Kaiser Aluminum Corp * 1,800 7,200
Kaydon Corp 5,300 111,300
Lennox International Inc 5,400 71,550
Lilly Industries Inc 'A' 3,700 111,231
Liqui-Box Corp 500 24,750
LNR Property Corp 3,700 72,150
Lone Star Technologies Inc * 4,200 194,250
Longview Fibre Co 8,500 94,031
Louisiana-Pacific Corp 17,100 185,963
LTV Corp 19,400 55,775
Lubrizol Corp 8,800 184,800
M.A. Hanna Co 8,100 72,900
MacDermid Inc 2,000 47,000
Maverick Tube Corp * 2,900 84,463
Metals USA Inc 2,200 10,313
Millennium Chemicals Inc 10,900 185,300
Minerals Technologies 3,400 156,400
Mobile Mini Inc * 900 19,856
Morrison Knudsen Corp * 4,800 34,800
Mueller Industries Inc * 5,700 159,600
Myers Industries Inc 2,500 26,875
National Steel Corp 'B' 3,300 13,819
NCH Corp 600 21,713
NCI Building Systems Inc * 3,000 60,750
New England Business Service 2,000 32,500
NL Industries Inc 3,500 53,375
Nortek Inc 900 17,775
NS Group Inc 3,300 69,094
Olin Corp 6,000 99,000
OM Group Inc 3,900 171,600
Omnova Solutions Inc 3,100 19,375
Owens Corning 7,300 67,525
P.H. Glatfelter Co 4,300 43,806
---------------------------------------------------------------
Market
Shares Value
------ ------
Packaging Corp of America * 6,100 $61,763
Pactiv Corp * 27,700 218,138
Paxar Corp * 4,800 57,300
Penn Engineering & Manufacturing Corp 500 17,625
Polymer Group 3,300 30,525
Pope & Talbot Inc 1,500 24,000
Potlatch Corp 4,700 155,688
Precision Castparts Corp 4,000 181,000
Quanex Corp 2,400 35,700
Rayonier Inc 4,900 175,788
Reliance Steel & Aluminum 3,050 58,331
Rock-Tenn Co 'A' 2,000 17,125
Rogers Corp * 2,400 84,000
RPM Inc Ohio 15,500 156,938
RTI International Metals Inc * 2,100 23,888
Ryerson Tull Inc 3,722 38,616
Schulman Inc 6,400 77,200
Scotts Co 'A' * 2,700 98,550
Seminis Inc 'A' * 4,400 11,550
Shaw Group Inc * 2,500 117,813
Simpson Manufacturing Co Inc * 1,300 62,156
SLI Inc 1,700 20,613
Solutia Inc 17,800 244,750
Southern Peru Copper 4,000 48,750
Spartech Corp 1,900 51,300
SPS Technologies Inc * 1,700 69,806
Standard Register 2,100 29,925
Steel Dynamics Inc * 8,400 76,125
Stepan Co 900 20,925
Stillwater Mining Co * 6,300 175,613
Symyx Technologies Inc * 3,100 132,089
Tejon Ranch Co 300 6,769
Texas Industries Inc 3,500 101,063
Timken Co 8,300 154,588
Trammell Crow Co * 2,700 29,025
Tredegar Industries Corp 3,700 70,300
Trex Co Inc * 800 40,000
U.S. Can Corp * 1,400 24,325
UCAR International Inc * 7,700 100,581
Unifi Inc 9,400 116,325
Uniroyal Technology Corp * 1,400 15,488
Universal Forest Products 1,100 15,125
URS Corp 2,000 30,500
US Aggregates Inc 100 1,813
USEC Inc 17,600 81,400
Valence Technology Inc * 4,200 77,438
Valmont Industries 2,300 45,713
Valspar Corp 6,100 205,875
W.R. Grace & Co * 10,800 130,950
Watsco Inc 2,300 28,750
Wausau-Mosinee Paper Corp 8,500 72,781
WD-40 Co 2,200 45,650
Weirton Steel Corp * 2,800 9,100
Wellman Inc 5,900 95,506
Wolverine Tube Inc * 1,400 23,800
Worthington Industries Inc 11,700 122,850
York International Corp New 5,600 141,400
-------------
12,793,668
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-54
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Other - 1.01%
Carlisle Cos Inc 5,000 $225,000
Carter-Wallace Inc 3,300 66,412
Federal Signal Corp 7,500 123,750
Foster Wheeler Corp 7,800 67,275
GenCorp Inc 5,500 44,000
GenTek Inc 1,060 11,859
Justin Industries Inc 2,700 59,062
Kaman Corp 3,700 39,544
Lancaster Colony Corp 5,900 115,050
National Service Industries 7,100 138,450
Ogden Corp 8,200 73,800
Sequa Corp 'A' * 1,000 38,188
Teleflex Inc 6,200 221,650
Terremark Worlide Inc * 17,500 86,406
Trinity Industries Inc 6,500 120,250
U.S. Industries Inc 13,400 162,475
Valhi Corp 1,300 13,488
Walter Industries Inc 5,500 62,906
--------------
1,669,565
--------------
Other Energy - 2.99%
Arch Coal Inc 2,800 21,525
Atwood Oceanics Inc * 1,800 79,875
Barrett Resources Corp * 5,100 155,231
Basin Exploration Inc * 2,900 51,838
Belco Oil & Gas Corp * 2,500 21,250
Berry Petroleum 'A' 2,400 40,800
Cabot Oil & Gas Corp 4,400 93,225
Cal Dive International Inc * 2,300 124,631
Callon Petroleum Co * 100 1,488
Carbo Ceramics Inc 1,300 45,663
Chesapeake Energy * 17,200 133,300
Clayton Williams Energy Inc * 300 9,581
Comstock Resources Inc * 4,700 37,600
CONSOL Energy Inc 3,200 48,400
Cross Timbers Oil Co 7,500 165,938
Denbury Resources Inc * 200 1,038
Dril-Quip Inc * 1,500 70,125
EEX Corp * 4,800 27,900
Evergreen Resources Inc * 2,700 79,988
Forcenergy Inc * 2,600 52,325
Forest Oil Corp * 5,400 86,063
Friede Goldman International * 6,108 54,590
Frontier Oil Corp 2,700 21,600
FuelCell Energy Inc * 500 34,531
Grey Wolf Inc * 26,200 131,000
Gulf Island Fabrication Inc * 400 6,800
Horizon Offshore Inc * 2,300 35,650
Houston Exploration * 1,400 35,175
HS Resources Inc * 3,300 99,000
Input/Output Inc * 6,300 53,156
Key Energy Services Inc * 12,500 120,313
Key Production Inc * 2,400 42,000
Louis Dreyfus Natural Gas Corp * 3,200 100,200
McMoRan Exploration Co * 1,600 26,400
Meridian Resource Corp * 2,500 14,219
---------------------------------------------------------------
Market
Shares Value
------ ------
Midcoast Energy Resources Inc 2,700 $42,525
Mitchell Energy & Development 'A' 3,300 106,013
National Oilwell Inc * 1,320 43,400
Newpark Resources Inc * 11,400 107,588
Nuevo Energy Co * 3,300 62,288
Oceaneering International Inc * 3,400 64,600
Parker Drilling * 13,200 81,675
Patina Oil and Gas Corp 2,600 53,950
Patterson Energy Inc * 5,500 156,750
Penn Virginia Corp 500 12,313
Pennaco Energy Inc * 1,800 29,475
Pioneer Natural Resources Co 16,400 209,100
Plains Resources Inc * 2,500 40,000
Pogo Producing Co 6,300 139,388
Prima Energy Corp * 1,400 74,900
Pure Resources Inc 7,600 135,850
RPC Inc 3,500 36,969
Seacor SMIT Inc * 2,850 110,259
Seitel Inc * 3,000 24,375
Spinnaker Exploration Co * 600 15,375
St Mary Land & Exploration 2,700 113,569
Stone Energy Corp * 2,700 161,325
Superior Energy Services Inc * 8,700 90,263
Swift Energy Co * 3,700 104,988
Syntroleum Corp * 4,500 77,063
Thermo Ecotek Corp * 400 3,750
Tom Brown Inc * 5,200 119,925
TransMontaigne Inc * 4,100 25,113
Trico Marine Services Inc * 4,600 58,650
Unit Corp * 5,100 68,850
Universal Compression Holdings Inc * 1,400 46,900
UTI Energy Corp * 2,700 108,338
Veritas DGC Inc * 3,800 98,800
Vintage Petroleum Inc 8,000 180,500
--------------
4,927,245
--------------
Producer Durables - 8.61%
Adaptive Broadband Corp * 6,200 227,850
ADE Corp * 900 17,213
Advanced Energy Industries * 1,700 100,194
AGCO Corp 11,100 135,975
AirNet Communications Corp * 1,300 33,963
Allen Telecom Inc * 4,600 81,363
Alliant Techsystems Inc * 1,600 107,900
American Superconductor Corp * 2,900 139,925
American Technical Ceramics Corp * 700 19,512
AMETEK Inc 'W' 5,300 92,750
Applied Industrial 3,300 54,038
Applied Power 6,400 214,400
Applied Science & Technology Inc * 2,300 59,513
Arguss Holdings Inc * 2,200 41,525
Artesyn Technologies Inc * 5,300 147,406
Astec Industries Inc * 2,500 63,438
Asyst Technologies Inc * 4,600 157,550
ATMI Inc * 3,600 167,400
Audiovox Corp * 3,000 66,188
Baldor Electric Co 4,100 76,363
Belden Inc 4,000 102,500
See Notes to Financial Statements See explanation of symbols on D-88
D-55
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Blount International Inc * 1,870 $14,376
Briggs & Stratton Corp 3,300 113,025
Brooks Automation Inc 2,900 185,419
C&D Technologies Inc 4,200 237,300
Cable Design Technologies * 4,700 157,450
California Amplifier Inc * 2,300 105,225
C-COR.net Corp * 4,300 116,100
Centex Corp 9,700 227,950
Champion Enterprises Inc 7,800 38,025
Clayton Homes Inc 16,300 130,400
Cohu Inc 3,000 80,906
Columbus McKinnon Corp 1,200 16,650
Com21 Inc * 3,900 97,500
Crossman Communities Inc * 300 4,950
CTS Corp 4,600 207,000
Cummins Engine Co Inc 6,800 185,300
CUNO Inc * 2,900 67,063
Curtiss-Wright Corp 800 29,750
Cymer Inc * 4,800 229,200
Detroit Diesel Corp 500 7,375
Dionex Corp * 3,600 96,300
Donaldson Co Inc 5,800 114,550
DR Horton Inc 9,100 123,419
DuPont Photomasks Inc * 800 54,800
Electro Scientific Industries Inc * 4,600 202,544
Electroglas Inc * 3,400 73,100
EMCORE Corp * 2,000 240,000
Esterline Technologies Corp 2,700 40,163
FEI Co * 2,600 79,300
Flowserve Corp 7,100 106,944
Franklin Electric Co Inc 500 33,875
FSI International Inc * 4,700 101,931
Gardner Denver Inc * 1,300 23,238
GaSonics International Corp * 2,500 98,594
General Cable Corp 5,000 40,625
Genlyte Group Inc * 1,300 27,381
GenRad Inc 4,400 39,600
Graco Inc 3,300 107,250
Heico Corp 2,200 31,350
Helix Technology Corp 4,000 156,000
HON Industries Inc 8,800 206,800
Ibis Technology Corp * 1,600 96,600
Idex Corp 4,400 138,875
InterDigital Communications Corp * 8,700 144,094
Inter-Tel Inc 3,500 56,219
Ionics Inc * 2,700 82,688
Jason Inc * 500 4,812
JLG Industries Inc 6,800 80,750
Kaufman & Broad Home Corp 8,700 172,369
Kennametal Inc 5,000 107,188
Kent Electronics Corp * 4,500 134,156
Kimball International 'B' 5,200 76,700
Kulicke and Soffa Industries * 4,000 237,500
Lennar Corp 8,730 176,783
Lincoln Electric Holdings Co 5,700 81,225
Lindsay Manufacturing Co 2,000 39,250
LTX Corp * 7,600 265,525
Magnetek Inc * 3,100 24,800
---------------------------------------------------------------
Market
Shares Value
------ ------
Manitowoc Co Inc 4,150 $111,013
Mark IV Industries Inc 8,400 175,350
Mattson Technologies Inc * 2,300 74,750
MCK Communications Inc * 1,200 27,750
MDC Holdings Inc 3,400 63,325
Metawave Comunications * 700 18,681
Mettler-Toledo International * 6,400 256,000
Micros Systems Inc * 3,300 61,256
Milacron 6,000 87,000
Mine Safety Appliances Co 900 21,600
MKS Instruments Inc * 800 31,300
Moog Inc 'A' 800 21,100
NACCO Industries Inc 1,500 52,688
Nanometrics Inc * 1,000 41,188
Netrix Corp * 4,700 57,869
Newport News Shipbuilding Inc 4,800 176,400
Nordson Corp 2,300 116,438
NVR Inc * 1,500 85,500
Optical Cable Corp * 400 12,100
Orbital Sciences Corp * 6,200 75,563
Palm Harbor Homes Inc * 2,900 42,050
Photon Dynamics Inc * 1,700 126,969
Photronics Inc * 2,900 82,288
Plantronics Inc * 2,700 311,850
Presstek Inc * 4,600 75,038
PRI Automation Inc * 3,300 215,789
Pulte Corp 4,900 105,963
Rayovac Corp * 5,100 114,113
Regal-Beloit Corp 3,500 56,219
Robbins & Myers Inc 1,200 27,375
Robotic Vision Systems Inc 6,200 111,600
Roper Industries Inc 5,000 128,125
Rudolf Technology Inc * 1,100 42,625
Scott Technologies Inc * 2,100 36,094
Semitool Inc 3,000 51,938
Silicon Valley Group Inc * 5,500 142,313
Skyline Corp 500 10,750
Somera Communications Inc 4,000 54,500
Specialty Equipment * 1,300 35,263
SpectraLink Corp * 2,400 35,100
SpeedFam-IPEC Inc * 4,700 85,481
Standard Pacific Corp 3,900 39,000
Standex International Corp 1,900 30,163
Stewart & Stevenson Services 5,700 85,856
Superior TeleCom Inc 1,546 15,363
Symmetricom Inc * 3,100 78,275
Technitrol Inc 1,900 184,063
Tecumseh Products Co 2,600 99,288
Teledyne Technologies * 3,600 60,300
Tennant Co 1,500 56,250
Terex Corp * 4,200 59,325
The Ryland Group Inc 2,400 53,100
Therma-Wave Inc * 1,400 31,238
Thermo Fibertek Inc * 1,000 4,750
Thomas Industries Inc 2,200 38,913
Toll Brothers Inc * 3,400 69,700
Tollgrade Communications * 1,900 251,750
Triumph Group Inc * 1,800 50,175
See Notes to Financial Statements See explanation of symbols on D-88
D-56
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Tut Systems Inc * 2,600 $149,175
Ultratech Stepper * 4,300 63,963
Varian Semiconductor Equipment * 5,100 320,344
Veeco Instruments Inc * 3,900 285,675
Vicor Corp * 3,000 104,438
Watts Industries Inc 'A' 2,700 34,088
Wesco International Inc * 3,200 30,600
Woodhead Industries Inc 1,100 20,075
Woodward Governor Co 700 19,819
X-Rite Inc 1,500 13,688
Zygo Corp * 2,300 208,869
--------------
14,191,785
--------------
Technology - 19.18%
3Dfx Interactive Inc * 4,600 35,794
About.com Inc * 2,200 69,300
Accrue Software Inc * 3,200 113,600
ACT Manufacturing Inc * 2,000 92,875
Actel Corp * 3,900 177,938
Active Software Inc * 2,800 217,525
Actuate Software Corp * 4,600 245,525
Adept Technology Inc * 1,700 79,475
Advanced Digital Information Corp * 9,000 143,438
Aeroflex Inc * 3,400 168,938
Allaire Corp * 3,700 135,975
Alliance Semiconductor Corp 4,300 105,619
American Management Systems Inc * 7,100 233,080
American Xtal Technology Inc * 2,800 121,100
ANADIGICS Inc * 4,850 165,203
Analogic Corp 1,000 40,000
Analysts International Corp 3,300 30,731
Anaren Microwave Inc * 1,900 249,345
Ancor Communications Inc * 4,800 171,675
Anixter International Inc * 3,500 92,750
AnswerThink Consulting Group * 4,800 79,800
Apex PC Solutions Inc * 2,500 109,375
AppliedTheory Corp * 1,700 25,500
AppNet Inc * 5,600 201,600
AremisSoft Corp * 1,300 40,463
Aspen Technology Inc * 4,300 165,550
Avant Corp 7,100 133,014
Avid Technology Inc * 4,800 57,600
AVT Corp * 5,700 42,038
Aware Inc/Mass * 2,500 127,813
AXENT Technologies Inc * 5,200 129,025
Bel Fuse Inc 900 24,075
Benchmark Electronics Inc * 2,300 84,094
BindView Development Corp * 5,700 68,400
Black Box Corp * 3,300 261,267
Blaze Software Inc * 1,100 14,988
Bluestone Software Inc * 2,500 64,219
Bottomline Technologies Inc * 1,300 44,444
Braun Consulting Inc * 1,000 21,125
Breakaway Solutions Inc * 1,400 37,800
Brio Technology Inc * 2,400 50,850
Broadbase Software Inc * 4,800 147,000
Brooktrout Technology Inc * 2,400 52,350
BSQUARE Corp * 2,300 51,606
---------------------------------------------------------------
Market
Shares Value
------ ------
CACI International Inc 'A' * 1,700 $33,150
CAIS Internet Inc * 1,100 15,469
Caldera Systems Inc * 1,500 19,594
Calico Commerce Inc * 3,200 52,000
Caliper Technologies Corp * 500 23,000
Cambridge Technology Partners Inc * 8,600 74,981
Caminus Corp * 1,100 26,950
Carreker Corp * 500 4,500
Carrier Access Corp * 1,600 84,600
C-bridge Internet Solutions Inc * 200 3,475
C-Cube Microsystems Inc * 6,800 133,450
Celeritek Inc * 1,300 53,056
Centillium Communications * 800 55,200
Checkpoint Systems Inc 5,500 41,250
Cherry Corp * 1,600 42,100
Chordiant Software Inc * 1,300 21,613
CIBER Inc * 7,600 100,700
Cirrus Logic Inc * 9,800 156,800
Clarent Corp * 3,200 228,800
Clarus Corp * 2,000 77,750
Click2learn.com Inc * 900 15,862
Cobalt Networks Inc * 4,600 266,225
Cognizant Technology Solutions Corp * 1,200 39,825
Coherent Inc * 4,100 343,888
Complete Business Solutions * 3,800 66,738
Computer Horizons Corp * 5,200 69,875
Computer Network Technology Corp * 4,600 79,925
Concord Communications Inc * 3,000 119,625
Concurrent Computer Corp * 7,600 99,750
Convergant Communications Inc * 900 7,200
Corillian Corp * 1,100 18,288
Corsair Communications Inc * 3,200 92,000
Crossroads Systems Inc * 1,200 30,300
CyberOptics Corp * 1,400 64,750
Cybex Computer Products Inc * 2,900 124,700
Cylink Corp * 2,900 48,575
Cysive Inc * 200 4,775
Daleen Technologies Inc * 1,100 16,981
Data Return Corp * 2,500 72,500
Datastream Systems * 2,800 35,000
Davox Corp * 2,700 34,931
DDI Corp * 2,400 68,400
Deltathree.Com Inc * 2,300 33,494
Digimarc Corp * 1,700 65,450
Digital Island Inc * 10,600 515,425
Digital River Inc * 4,200 32,288
Digitas Inc * 1,000 16,312
Documentum Inc * 2,600 232,375
Dot Hill Systems Corp * 900 9,900
DSET Corp * 1,900 57,713
DSL.net Inc * 5,400 55,687
DSP Group Inc * 4,400 246,400
eGain Communications * 4,000 48,500
Elantec Semiconductor Inc * 3,200 222,800
eLoyalty Corporation * 7,700 98,175
eMachines Inc * 1,000 2,688
eMagin Corp * 2,300 29,469
Embarcadero Technologies Inc * 1,100 32,313
See Notes to Financial Statements See explanation of symbols on D-88
D-57
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
e-MedSoft.com * 5,300 $42,400
Envision Development Corp * 200 4,400
EpicEdge Inc * 1,100 25,300
ePlus Inc * 400 10,575
ePresence Inc * 3,700 26,825
Eprise Corp * 100 1,644
ESCO Electronics Corp * 1,000 17,000
eSpeed Inc * 1,700 73,844
ESS Technology * 3,700 53,650
Exar Corp * 3,050 265,922
Excalibur Technologies Corp * 2,100 83,869
Excel Technology Inc * 1,800 90,562
eXcelon Corp * 5,200 41,275
Exchange Applications Inc * 4,300 114,488
Extended Systems Inc * 1,100 105,600
Extensity Inc * 400 13,700
F5 Networks Inc * 2,900 158,231
FiberNet Telecom Group * 600 10,200
FileNet Corp * 5,600 102,900
FirePond Inc * 400 14,400
FirstWorld Communications Inc * 800 8,400
Forrester Research Inc * 1,600 116,500
FutureLink Corp * 4,800 34,500
Gadzoox Networks Inc * 1,200 16,425
Gartner Group Inc 'A' 11,000 132,000
General Semiconductor Inc * 5,800 85,550
Geoworks Corp * 1,400 22,050
Gerber Scientific Inc 4,100 47,150
Glenayre Technologies * 10,600 111,963
Global Sources Ltd * 1 13
Globix Corp * 2,700 79,144
Go2Net Inc * 4,500 226,406
Great Plains Software Inc * 2,400 47,100
GRIC Communications Inc * 1,200 21,525
hi/fn Inc * 1,400 62,125
High Speed Access Corp * 6,400 42,000
HNC Software Inc * 4,100 253,175
Hutchinson Tech * 4,100 58,425
Hyperion Solutions Corp * 5,400 175,163
Identix Inc * 3,725 58,436
IDX Systems Corp * 1,800 25,425
iGate Capital Corp * 5,300 72,875
II-VI Inc * 500 24,188
Imation Corp * 6,400 188,000
Immersion Corp * 2,400 72,000
IMRglobal Corp * 3,200 41,800
Indus International Inc * 900 7,706
InFocus Corp * 4,100 131,969
Informatica Corp * 3,900 319,556
Information Architects Corp * 4,600 31,913
Inforte Corp * 100 3,600
Inprise Corp * 8,700 53,288
Integrated Circuit Systems * 1,500 25,688
Integrated Silicon Solution * 3,600 136,800
Intelect Communications Inc * 9,100 21,044
Interact Commerce * 2,200 25,988
Interactive Intelligence Inc * 400 15,000
Intergraph Corp * 7,500 56,719
---------------------------------------------------------------
Market
Shares Value
------ ------
Interlink Electronics Inc * 2,000 $83,750
International Fibercom Inc * 4,100 104,550
internet.com Corp * 1,400 27,562
InterTrust Technologies * 10,000 205,625
InterVoice Inc * 5,300 34,781
InterWorld Corp * 3,500 71,750
Interwoven Inc * 2,800 307,956
IntraNet Solutions Inc * 2,800 107,450
Intraware Inc * 2,900 46,581
Intrusion.com Inc * 1,300 14,706
Iomega Corp * 44,600 178,400
ITXC Corp * 700 24,784
iVillage Inc * 4,700 39,656
iXL Enterprises Inc * 6,300 91,350
IXYS Corp * 600 32,025
J.D. Edwards & Co * 8,100 122,006
JDA Software Group Inc * 3,300 63,319
JNI Corp * 700 22,138
Juno Online Services Inc * 3,700 39,775
Keithley Instruements Inc 1,500 130,688
Keynote Systems Inc * 2,800 197,575
Lante Corp * 400 8,175
Latitude Communications Inc * 2,900 32,444
LCC International Inc * 2,100 57,356
Legato Systems Inc * 14,200 214,775
Level 8 Systems Inc * 500 10,531
LightPath Technology Inc * 2,200 87,587
Littelfuse Inc * 3,500 171,500
Loudeye Technologies Inc * 300 5,231
Manhattan Associates Inc * 500 12,500
Manugistics Group Inc * 3,400 158,950
MapInfo Corp * 1,800 73,125
Marimba Inc * 2,800 39,025
MatrixOne Inc * 600 24,375
Maxtor Corp * 10,400 109,850
McAfee.com Corp * 1,400 36,488
Meade Instruements Corp * 1,000 25,125
Mechanical Technology Inc * 3,800 57,000
Media 100 Inc * 1,300 33,475
MedicaLogic/Medscape Inc * 300 2,775
MEMC Electronic Materials Inc * 5,100 91,800
Mentor Graphics Corp 11,400 226,575
Mercator Software * 4,040 277,750
Mercury Computer Systems Inc * 3,300 106,631
MetaCreations Corp * 3,100 37,200
MetaSolv Software Inc * 1,400 61,600
Methode Electronics 5,800 224,025
Miami Computer Supply Corp * 2,200 56,925
Micron Electronics Inc * 6,700 83,750
Microsemi Corp * 2,100 71,269
MicroStrategy Inc * 4,500 135,000
MIPS Technologies Inc 'A' * 2,400 102,000
MMC Networks Inc * 5,000 267,188
MRV Communications Inc * 8,100 544,733
MSI Holdings Inc * 5,100 46,219
MTI Technology * 6,100 48,800
National Computer Systems 5,700 280,725
National Information Consortium Inc * 2,000 22,750
See Notes to Financial Statements See explanation of symbols on D-88
D-58
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Natural Microsystems Corp * 2,700 $303,581
Neon Systems Inc * 700 13,125
Net Perceptions Inc * 2,600 41,275
net.Genesis Corp * 300 5,419
Net2Phone Inc * 1,400 49,963
Netgrity Inc * 2,800 210,875
netGuru Inc * 300 5,363
NetIQ Corp * 4,100 244,463
NetObjects Inc * 2,700 24,638
Netopia Inc * 2,200 88,550
Netpliance Inc * 100 913
Netro Corp * 5,600 321,300
NetScout Systems Inc * 1,500 19,313
NETsilicon Inc * 1,300 42,575
Netsol International * 300 10,650
NetSolve Inc * 600 15,600
Network Access Solutions Corp * 2,000 19,125
Network Commerce Inc * 6,000 33,000
Network Equipment Technologies Inc * 3,500 35,219
Network Peripherals Inc * 3,000 50,250
NetZero Inc * 3,800 19,831
New Era of Networks Inc * 4,200 178,815
NHancement Technologies Inc * 2,200 29,288
Niku Corp * 1,000 33,750
Northeast Optic Network Inc * 1,100 67,788
Novadigm Inc * 1,400 27,650
Nuance Communications * 600 49,988
Numerical Technologies Inc * 700 34,038
NYFIX Inc * 3,700 155,169
Oak Technologies Inc 6,100 131,531
Objective Systems Integrators Inc * 4,100 43,819
On2.com Inc * 1,900 9,738
OneMain.com Inc * 4,700 52,875
ONYX Software Corp * 3,200 95,000
Open Market Inc * 6,300 87,019
Osicom Technologies Inc * 1,500 126,938
OTG Software Inc * 500 14,281
Packteer Inc * 3,000 87,375
Paradyne Networks Inc * 2,300 74,894
Park Electrochemical Corp 1,700 61,306
P-Com Inc * 12,700 72,231
PC-Tel Inc * 2,300 87,400
Peregrine Systems Inc * 3,750 130,078
Pericom Semiconductor Corp * 1,500 102,000
Perot Systems Corp 'A' * 8,100 89,100
Persistence Software Inc * 1,200 21,750
Phoenix Technologies Ltd * 4,500 73,406
Pinnacle Systems Inc * 6,600 148,397
Pioneer Standard Electronics 5,400 79,650
Pixelworks Inc * 1,400 31,850
Plexus Corp * 2,900 327,700
PLX Technology * 2,500 103,750
Power Integrations Inc * 4,500 106,031
Predictive Systems Inc * 400 14,375
Primex Technologies Inc 1,500 33,000
Primus Knowledge Solutions Inc 2,100 94,500
Procom Technology 600 31,013
ProcureNet Inc * 700 105
---------------------------------------------------------------
Market
Shares Value
------ ------
Progress Software Corp * 5,600 $100,450
Project Software & Development Inc * 2,100 37,800
Proxim Inc * 2,100 207,834
Puma Technology Inc 4,800 128,700
PurchasePro.com Inc 2,000 82,000
Quantum Effect Devices Inc * 400 22,800
QuickLogic Corp 2,800 62,300
Quintus Corp 3,600 71,494
Radiant Systems Inc * 2,650 63,600
RadiSys Corp * 2,050 116,338
Rainbow Technologies Inc 1,900 92,388
Ramp Networks Inc 3,000 35,625
Razorfish Inc * 1,824 29,298
Register.com Inc * 600 18,337
REMEC Inc * 4,100 171,688
Remedy Corp * 4,300 239,725
Research Frontiers Inc 1,300 39,000
Retek Inc 600 19,200
Rhythms NetConnections Inc * 9,500 119,344
S3 Inc * 14,700 216,825
Saba Software Inc 300 6,300
SAGA Systems Inc * 4,500 55,969
Sagent Technology Inc * 3,700 52,725
Sanchez Computer Associates * 2,000 47,500
SatCon Technology Corp 1,700 43,456
Savvis Communication Corp * 1,900 24,819
SBS Technologies Inc 1,200 44,325
SCM Microsystems Inc * 2,100 127,181
SeaChange International Inc 2,400 69,300
Secure Computing Corp 3,400 63,963
Selectica Inc * 500 35,031
Sensormatic Electronics Corp 11,600 183,425
Sequoia Software Corp 1,500 24,563
Serena Software Inc * 2,500 113,516
Silicon Graphics Inc * 29,100 109,125
Silicon Image Inc * 2,400 119,700
SilverStream Software Inc 1,700 98,175
Sipex Corp * 3,200 88,600
SmartDisk Corp 800 22,000
SoftNet Systems Inc * 4,600 44,275
Software Technologies 400 12,275
Sonic Foundary Inc 2,200 46,200
Spectra-Physics Lasers Inc * 400 27,975
SPSS Inc * 1,400 40,775
Spyglass Inc * 2,700 84,544
Standard Microsystems Corp * 1,300 19,988
Stanford Microdevices * 1,000 43,438
StarBase Corp * 5,700 60,563
Storage Technology Corp * 15,400 168,438
Structural Dynamics Research Corp * 5,900 88,869
Superconductor Technologies Inc * 2,600 102,213
Supertex Inc * 1,600 80,400
SVI Holdings Inc * 2,200 11,275
Sykes Enterprises Inc * 4,700 60,513
Syntel Inc * 900 9,000
Systems & Computer Technology * 5,000 100,000
Tanning Technologies Corp * 1,500 28,875
Technology Solutions * 7,200 44,550
See Notes to Financial Statements See explanation of symbols on D-88
D-59
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Telaxis Communications Corp * 900 $28,125
TelCom Semiconductor Inc * 2,400 96,150
Telocity Delaware Inc * 400 1,825
Telxon Corp 3,100 55,413
Tenfold Corp * 1,700 27,944
The Hard Disk Drive Group * 13,900 153,769
The TriZetto Group Inc * 2,700 43,706
The ViaLink Co * 1,900 19,594
Thermedics Inc * 3,900 38,756
Three-Five Systems Inc * 3,500 206,500
Transaction Systems Architects 'A' * 5,900 101,038
Tricord Systems Inc * 3,400 61,413
Trimble Navigation * 3,900 190,369
Tumbleweed Communications Corp * 1,200 61,050
Ulticom Inc * 300 7,205
Unify Corp * 3,500 29,969
Unigraphics Solutions Inc * 700 13,650
Universal Display Corp * 1,700 50,469
Unova Inc * 7,100 51,919
US Interactive Inc * 2,100 27,169
US Wireless Corp * 1,000 21,375
VASCO Data Security International Inc * 1,200 16,425
Ventro Corp * 3,200 60,400
Verity Inc * 4,500 171,000
Versata Inc * 500 20,156
Vertel Corp * 5,000 87,500
Vertex Interactive Inc * 1,000 10,625
VIA NET.WORKS Inc * 1,900 29,331
Viador Inc * 2,400 38,100
Viant Corp * 6,200 183,675
ViaSat Inc * 1,500 81,375
Viasystems Group * 6,600 106,837
Visual Networks Inc * 4,000 114,000
Vyyo Inc * 800 21,600
WatchGuard Technologies * 1,600 87,900
Wave Systems Corp 'A' * 7,600 120,175
Websense Inc * 400 10,050
WebTrends Corp * 2,100 81,244
Westell Technologies Inc 'A' * 2,900 43,500
Western Digital Corp * 22,600 113,000
White Electronic * 1,500 19,031
WorldGate Communications Inc * 2,500 44,375
Xircom * 4,400 209,000
Xpedior Inc * 900 12,431
Xybernaut Corp * 6,000 67,125
Zebra Technologies Corp 'A' * 4,300 190,544
Zixit Corp * 2,900 133,581
Zomax Optical Media * 5,300 69,563
Zoran Corp * 2,100 138,469
--------------
31,601,101
--------------
Utilities - 6.84%
Adelphia Business Solutions Inc * 4,700 108,981
Advanced Radio Telecom Corp * 4,700 68,738
AGL Resources Inc 8,900 141,844
AirGate PCS Inc * 1,700 89,356
Alamosa PCS Holdings Inc * 1,200 25,050
Alaska Communications Systems * 900 9,338
---------------------------------------------------------------
Market
Shares Value
------ ------
Allied Riser Communications * 9,000 $127,125
American States Water Co 1,300 38,675
American Telesource International Inc * 7,400 46,712
Arch Communications Group * 6,700 43,550
Atmos Energy Corp 5,200 91,000
Avista Corp 7,800 136,013
Azurix Corp * 4,200 29,400
Black Hills Corp 3,500 78,969
California Water Service Group 1,900 46,075
CapRock Communications Corp * 5,900 115,050
Cascade Natural Gas 1,800 30,038
Centennial Commuc Corp 'A' * 400 5,500
CFW Communication Co 2,200 82,500
CH Energy Group Inc 3,100 105,206
Choice One Communications Inc * 900 36,731
CLECO Corp 3,700 123,950
CMP Group Inc 5,800 170,013
Commonwealth Telephone Enterprises * 1,700 80,006
Comsat Corp 8,200 192,700
Conectiv Inc 14,800 230,325
CT Communications Inc 2,600 73,938
CTC Communications Corp * 2,450 88,200
CTG Resources Inc 1,800 66,038
Cypress Communications Inc * 800 5,800
e.spire Communications Inc * 10,300 69,525
eGlobe Inc * 7,300 21,900
El Paso Electric Co * 8,800 98,450
Electric Lightwave Inc 'A' * 2,000 37,375
Empire District Electric Co 2,900 63,981
Energen Corp 4,400 95,975
EnergyNorth Inc 300 17,775
E'town Corp 1,700 112,944
FirstCom Corp * 4,700 70,794
General Communication 'A' * 4,200 21,525
GoAmerica Inc * 2,500 38,594
Golden Telecom Inc * 1,200 35,700
Hawaiian Electric Industries 5,700 187,031
Hickory Tech Corp 1,200 14,625
iBasis Inc * 2,100 90,431
ICG Communications Inc * 8,000 176,500
IDACORP Inc 6,200 199,950
IDT Corp * 3,900 132,356
Illuminet Holdings Inc * 3,200 162,800
IMPSAT Fiber Networks Inc * 1,400 23,450
Intermedia Communications * 8,100 240,975
ITC Deltacom Inc * 8,700 194,119
Kansas City Power & Light Co 10,700 240,750
Laclede Gas Co 3,000 57,750
Leap Wireless International Inc * 4,200 197,400
LodgeNet Entertainment Corp * 1,500 36,375
Madison Gas & Electric Co 2,600 51,350
MDU Resources Group 10,000 216,250
Mediacom Communications Corp * 4,200 64,575
Metricom Inc * 3,200 89,200
Metrocall Inc * 13,900 125,100
MGC Communications Inc * 5,200 311,675
Minnesota Power Inc 12,100 209,481
Motient Corp * 6,300 98,831
See Notes to Financial Statements See explanation of symbols on D-88
D-60
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
Net2000 Communications * 2,200 $36,025
Network Plus Corp * 2,200 31,213
New Jersey Resources 3,200 121,800
Nextlink Communications Inc 'A' * 10,294 390,529
North Pittsburgh Systems 2,500 36,875
Northwest Natural Gas Co 4,500 100,688
Northwestern Corp 3,300 76,313
Nucentrix Broadband Networks * 900 22,950
NUI Corp 2,200 59,400
OGE Energy Corp 13,600 251,600
ONEOK Inc 4,900 127,094
Otter Tail Power Inc 3,800 79,800
Pac-West Telecomm Inc * 2,400 48,000
Peoples Energy Corp 5,800 187,775
Philadelphia Suburban Corp 5,700 116,850
Piedmont Natural Gas 4,600 122,188
Price Communications Corp * 7,470 176,012
Primus Telecommunications * 4,500 111,938
Providence Energy Corp 600 24,300
Public Service Co of North Carolina 6,500 100,344
RGS Energy Group Inc 5,800 129,050
Rural Cellular Corp 1,400 107,188
SBA Communications Corp 3,900 202,556
SEMCO Energy Inc 3,000 39,000
Sierra Pacific Resources 12,966 162,885
SJW Corp 300 35,663
South Jersey Industries Inc 1,900 49,400
Southern Union Co * 4,848 76,661
Southwest Gas Corp 5,200 91,000
Southwestern Energy Co 4,100 25,625
TALK.com Inc * 11,300 65,681
Teligent Inc * 2,800 66,150
UGI Corp 4,500 92,250
UniSource Energy Corp 5,000 75,000
United Illuminating Co 2,400 105,000
United Water Resources Inc 4,100 142,988
US LEC Corp 'A' * 2,000 34,000
Vectren Corp 10,032 173,052
Viatel Inc * 8,223 234,869
VoiceStream Wireless Corp * 1 58
Washington Gas Light Co 7,700 185,281
Weblink Wireless Inc * 8,700 115,275
Western Gas Resources Inc 4,000 84,000
Western Resources Inc 12,200 189,100
World Access Inc * 9,100 100,669
WorldPages.Com Inc * 4,400 26,400
WPS Resources 3,900 117,245
Z-Tel Technologies Inc * 1,800 21,600
--------------
11,261,673
--------------
Total Common Stocks
(Cost $158,757,601) 157,340,084
--------------
---------------------------------------------------------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENTS - 11.25%
U.S. TREASURY BILLS - 1.33%
5.530% due 07/06/00 ** $2,000,000 $1,998,464
5.580% due 07/06/00 ** 195,000 194,849
-------------
Total U.S. Treasury Bills 2,193,313
-------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 9.92%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $16,348,149; collateralized by U.S.
Treasury Note--market value
$16,667,875 and due 02/15/05) 16,341,000 16,341,000
-------------
Total Securities Held Under Repurchase
Agreement 16,341,000
-------------
Total Short-Term Investments
(Cost $18,534,313) 18,534,313
-------------
TOTAL INVESTMENTS - 106.74%
(COST $177,293,534) 175,874,937
OTHER ASSETS AND
LIABILITIES, NET - (6.74%) (11,115,581)
-------------
NET ASSETS - 100.00% $164,759,356
=============
See Notes to Financial Statements See explanation of symbols on D-88
D-61
<PAGE>
PACIFIC SELECT FUND
SMALL-CAP INDEX PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$2,193,313 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Number of Unrealized
Type Contracts Appreciation
--------------------------------------------------------------------------------
Russell 2000/500 (9/00) 14 $7,187
--------------
(b) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $177,293,534
--------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $11,922,654
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (13,341,251)
--------------
Net unrealized depreciation ($1,418,597)
==============
See Notes to Financial Statements
D-62
<PAGE>
PACIFIC SELECT FUND
REIT PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ ------
COMMON STOCKS - 96.04%
Consumer Discretionary - 0.38%
Hilton Hotels Corp 26,400 $247,500
Interstate Hotels Corp * 1,360 3,995
Wyndham International Inc 'A' * 40,700 101,750
--------------
353,245
--------------
Financial Services - 91.73%
Acadia Realty Trust 1,700 9,669
AMLI Residential Properties 61,600 1,451,450
Archstone Communities Trust 103,800 2,186,287
Arden Realty Inc 214,655 5,044,392
AvalonBay Apartment Communities Inc 122,100 5,097,675
Boston Properties Inc 123,600 4,774,050
Brandywine Realty Trust 24,300 464,737
BRE Properties Inc 21,900 632,362
Brookfield Properties Corp 335,300 4,463,681
Burnham Pacific Properties Inc 54,240 372,900
Cabot Industrial Trust 8,500 167,344
CarrAmerica Realty Corp 152,100 4,030,650
Chateau Communities Inc 102,400 2,892,800
Equity Office Properties 239,822 6,610,105
Equity Residential Properties Trust 94,800 4,360,800
Essex Property Trust Inc 38,200 1,604,400
Federal Realty Investment Trust 138,700 2,774,000
Great Lakes REIT Inc 42,623 724,591
JDN Realty Corp 130,900 1,333,544
Manufactured Home Communities Inc 90,400 2,163,950
MEDITrust Corp 54,600 204,750
Pacific Gulf Properties Inc 15,423 386,539
Pan Pacific Retail Properties 30,300 609,788
Pennsylvania REIT 9,400 160,975
Prentiss Properties Trust 12,300 295,200
Prime Group Realty Trust 8,986 136,475
Prologis Trust 149,380 3,183,661
PS Business Parks Inc 98,100 2,354,400
Public Storage Inc 219,124 5,135,719
Simon Property Group Inc 251,700 5,584,594
Smith Charles E Residential Realty 42,100 1,599,800
Starwood Hotels & Resorts Worldwide 170,333 5,546,468
Summit Properties Inc 53,000 1,113,000
Taubman Centers Inc 146,645 1,613,095
Trizec Hahn Corp 246,900 4,413,338
Vornado Realty Trust 68,700 2,387,325
--------------
85,884,514
--------------
Materials & Processing - 3.93%
Rouse Co 148,500 3,675,375
--------------
Total Common Stocks
(Cost $84,870,481) 89,913,134
--------------
-------------------------------------------------------------------------------
Principal
Amount Value
------ ------
SHORT-TERM INVESTMENT - 7.73%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.73%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $7,244,168; collateralized by U.S.
Treasury Note--market value
$7,389,769 and due 03/31/03) $7,241,000 $7,241,000
-------------
Total Securities Held Under Repurchase
Agreement 7,241,000
-------------
Total Short-Term Investment
(Cost $7,241,000) 7,241,000
-------------
TOTAL INVESTMENTS - 103.77%
(Cost $92,111,481) 97,154,134
OTHER ASSETS AND
LIABILITIES, NET - (3.77%) (3,526,088)
-------------
NET ASSETS - 100.00% $93,628,046
-------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $92,111,481
-------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $6,880,833
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (1,838,180)
-------------
Net unrealized appreciation $5,042,653
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-63
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL VALUE PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 88.29%
Australia - 1.82%
Amp Ltd 84,000 $854,158
Brambles Industries Ltd 44,150 1,355,698
Broken Hill Proprietary 196,923 2,326,342
Commonwealth Bank of Australia 180,850 2,995,378
CSL Ltd 37,000 731,116
Fosters Brewing Group 712,800 2,003,898
Lend Lease Corp Ltd 103,350 1,317,235
Macquarie Corp Tel * 848,800 1,040,805
National Australian Bank Ltd 228,550 3,813,857
News Corp Ltd 395,100 5,435,568
Normandy Mining 1,773,600 954,791
Qantas Airways Ltd 362,000 731,872
Rio Tinto Ltd Npv 146,750 2,424,355
Solution 6 Holdings Ltd * 601,750 1,169,794
Telstra Corp Ltd 630,100 2,555,343
Westpac Banking Corp 369,900 2,666,131
-------------
32,376,341
-------------
Belgium - 0.19%
Mobistar SA * 101,310 3,367,028
-------------
Denmark - 0.11%
Tele Danmark AS 28,360 1,911,637
-------------
Finland - 1.21%
Nokia Oyj 345,480 17,650,636
Sampo Insurance Co 'A' 94,514 3,839,501
-------------
21,490,137
-------------
France - 8.71%
Alcatel 290,350 19,066,383
Aventis SA 170,620 12,280,494
Axa Uap 94,552 14,912,292
Banque National De Paris ** 116,935 11,266,650
Castorama Dubois Investissements 12,070 2,988,111
CNP Assurances ** 293,318 10,009,138
DANONE Group ** 71,868 9,548,609
Michelin (CGDE) B Ord Compagne ** 127,007 4,080,242
Pernod-Ricard ** 105,873 5,768,326
Rhone-Poulenc 'A' 264,150 19,302,691
Sanofi-Synthelabo SA 54,720 2,609,975
Schneider SA ** 130,545 9,109,045
Television Franchise TF1 18,220 1,271,338
Thomson Multimedia * 40,230 2,607,171
Total Fina SA ** 193,375 29,684,901
------------
154,505,366
-------------
Germany - 4.39%
Adidas Salomon AG 68,010 3,744,424
BASF AG ** 94,220 3,827,558
BAYER 47,822 1,832,997
Bayer Hypo-Vereinsbank A 124,279 8,137,258
--------------------------------------------------------------
Market
Shares Value
------ -----
Bayerische Motoren Werke 121,710 $3,711,134
Deutsche Telekom AG ** 253,297 14,623,682
Fresenius AG Pref ** 40,238 9,234,604
Henkel Kgaa 155,643 8,926,282
Hugo Boss Pref 26,527 4,614,762
SAP AG 47,480 7,188,787
Schering-Plough Corp 63,240 3,448,556
Siemens AG 42,620 6,387,770
Software AG 25,370 2,315,867
-------------
77,993,681
-------------
Hong Kong - 1.77%
Asia Satellite Telecom 515,900 1,763,653
Cable & Wireless HKT Ltd 1,173,500 2,581,652
Cathay Pacific Airways 656,700 1,217,266
Cheung Kong Holdings 193,300 2,138,658
China Telecom * 611,100 5,389,338
Hong Kong & China Gas 1,220,400 1,369,811
HSBC Holdings PLC 165,604 1,890,651
Hutchison Whampoa 570,900 7,176,895
Li & Fung Ltd 711,900 3,561,509
Smartone Telecommunications 279,200 617,810
Sun Hung Kai Properties 282,300 2,027,913
Swire Pacific Ltd 'A' 110,400 645,780
Television Broadcasts 163,800 1,092,616
-------------
31,473,552
-------------
Italy - 2.50%
Banca Poploare Di Bergamo ** 378,060 7,003,324
ENI Spa Reg 1,542,420 8,919,649
Marzotto (Gaetano) Spa 140,847 1,151,075
Mediaset Spa 237,200 3,627,642
Telecom Italia Mobile Spa 410,582 4,199,266
Telecom Italia Spa ** 1,046,253 14,400,877
Unicredito Italiano 1,058,970 5,071,205
-------------
44,373,038
-------------
Japan - 27.10%
Aiwa Co Ltd 154,300 2,467,870
Amada Co 780,000 6,612,349
Bank of Tokyo-Mitsubishi 170,000 2,051,241
Canon Inc 332,000 16,511,656
Casio Computer 655,000 7,341,873
Dai Nippon Printing 386,000 6,795,403
Daicel Chemical Industries 1,302,000 4,194,264
Daifuku 689,000 7,632,120
Daikin Industries 619,000 14,372,298
Family Mart 159,300 6,122,018
Fuji Machine Manufacturing Co 186,800 9,800,556
Fuji Photo Film 310,000 12,672,726
Fujitec Co Ltd 388,000 3,373,277
Fujitsu Ltd 494,000 17,077,003
Furukawa Electric Co Ltd 317,000 6,613,809
Hitachi Credit Corp 427,900 11,567,588
Hitachi Ltd 973,000 14,022,418
House Foods * 165,000 2,548,863
Kaneka Corp 849,000 9,348,476
Kurita Water Industries 309,000 6,796,166
See Notes to Financial Statements See explanation of symbols on D-88
D-64
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Market
Shares Value
------ -----
Kyocera Corp 76,800 $13,014,006
Kyuodenko Co Ltd 149,000 447,709
Lintec Inc 412,000 4,288,231
Matsushita Electric 542,000 14,039,467
Minebea Co Ltd 568,000 7,115,716
Mitsubishi Chemical Corp 850,000 3,482,786
Mitsubishi Estate 469,000 5,513,229
Mitsubishi Heavy Industries 1,780,000 7,880,186
Mitsubishi Logistics 189,000 1,709,038
Mitsumi Electric Co Ltd 362,000 13,298,168
NEC Corp 698,000 21,893,656
Nessei Sangyo Co Ltd 213,000 3,109,782
NIFCO 383,000 4,884,679
Nintendo Corp Inc 103,500 18,055,103
Nippon Meat Packers 315,000 4,598,973
Nippon Telegraph & Telephone 1,021 13,560,119
Nissan Motor Co Ltd 1,388,000 8,171,243
Nissha Printing 147,000 1,014,939
Ono Pharmaceuticals Co 223,000 9,557,293
Ricoh Co 738,000 15,605,991
Rinnai Corp 191,000 4,254,839
Rohm & Haas Co 30,400 8,876,748
Ryosan Co 179,000 4,046,531
Sangetsu Co Ltd 79,000 1,302,218
Sankyo Co Ltd 407,000 9,181,604
Sanwa Shutter 849,000 2,750,963
Sekisui Chemical Co 952,000 3,658,607
Sekisui House Ltd 699,000 6,458,993
Shin-Etsu Polymer Co 661,000 5,466,566
Sony Corp 194,800 18,165,309
Suzuki Motor Co 433,000 5,579,466
TDK Corp 111,000 15,934,065
Tokyo Electric Power 158,000 3,847,125
Toshiba 1,683,000 18,975,660
Toyota Motor Corp 225,000 10,236,424
Tsubakimoto Chain 952,000 4,842,274
Yamaha Corp 495,000 5,403,900
Yamaouchi Pharmaceutica 233,000 12,707,295
-------------
480,850,875
-------------
Netherlands - 4.57%
ABN Amro Holding NV 128,370 3,148,545
AKZO Nobel NV ** 207,715 8,835,225
ASM Lithography Holdings * 56,310 2,423,153
Buhrmann NV 144,208 4,128,344
Fortis (NL) NV 117,750 3,431,690
Getronics NV 169,520 2,616,876
Heineken NV 42,760 2,605,599
ING Groep NV ** 169,601 11,477,609
Laurus NV ** 372,290 4,465,960
Royal Dutch Petroleum 94,870 5,903,365
Royal KPN NV 103,900 4,652,805
Royal Philips Electronics NV ** 534,254 25,226,934
United Pan-Europe Comm NV * 83,310 2,181,117
-------------
81,097,222
-------------
--------------------------------------------------------------
Market
Shares Value
------ -----
New Zealand - 0.06%
Telecom Corp of New Zealand 323,200 $1,129,397
-------------
Portugal - 0.40%
Banco Commercial Portugues 642,450 3,346,768
Telecel Comunicacoes Pessoais SA * 242,310 3,682,631
-------------
7,029,399
-------------
Singapore - 1.30%
Chartered Semiconductor * 153,000 1,336,592
Chartered Semiconductor ADR * 3,800 342,000
City Developments 273,000 1,058,201
DBS Bank 327,812 4,210,255
Keppel Communications PTE Ltd * 290,000 627,481
Natsteel Electronics Ltd 260,000 797,223
Neptune Orient Lines * 730,000 675,730
Overseas Chinese Banking 193,600 1,332,855
Overseas Union Bank 143,702 557,017
Sembcorplogistics 248,000 1,391,727
Singapore Airline Ltd 155,000 1,533,410
Singapore Press 153,000 2,389,933
Singapore Telecom 863,000 1,263,170
ST Assembly Test Services * 456,000 1,171,328
United O/S Bank 234,248 1,531,387
Venture Manufacturing Singapore 272,000 2,769,569
-------------
22,987,878
-------------
Spain - 2.10%
Amadeus Global Travel 'A' * 341,150 3,896,754
Banco Popular Espanol 119,248 3,693,056
Bco Bilbao Vizcaya 401,640 6,008,154
Endesa SA ** 309,581 6,004,075
Telefonica De Espana SA ** 794,561 17,088,325
Telefonica Publicidad Info 55,990 529,293
-------------
37,219,657
-------------
Sweden - 3.96%
Assa Abloy AB 'B' 325,750 6,559,658
Autoliv Inc 228,070 5,604,610
Ericsson 'B' 533,550 10,592,392
Foreningssparbanken AB 316,565 4,645,967
Nordbanken Holding AB 1,797,775 13,601,303
Scandic Hotels AB 289,290 3,488,693
Securitas AB 'B' 401,540 8,542,675
Skandia Forsakrings AB 92,030 2,439,545
Svedala Industri AB 258,700 4,944,577
Svenska Cellulosa 151,380 2,884,741
Svenska Handelsbanken 'A' 427,060 6,219,026
Tele1 Europe Holding * 54,590 670,749
-------------
70,193,936
-------------
Switzerland - 5.83%
Adecco SA Namen 5,460 4,643,672
Givaudan * 3,429 1,044,702
Holderbank Finan Glaris Bearer ** 6,186 7,591,814
See Notes to Financial Statements See explanation of symbols on D-88
D-65
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Market
Shares Value
------ -----
Nestle SA Bearer Reg ** 15,656 $31,366,760
Novartis AG Reg ** 8,595 13,628,374
Richemont (Fin) ** 7,706 20,782,297
Roche Holding 629 6,129,242
Schindler Holding AG 2,925 4,487,160
UBS AG Reg 93,486 13,710,400
-------------
103,384,421
-------------
United Kingdom - 22.27%
Allied Domecq PLC ** 3,170,800 16,875,117
Allied Zurich ** 381,110 4,504,403
AstraZeneca PLC 170,240 7,940,886
BAA PLC 556,800 4,436,523
BAE SYSTEMS PLC ** 759,500 4,741,680
Bank of Scotland ** 409,958 3,838,373
Barclays PLC ** 536,766 13,347,492
BBA Group PLC 498,400 3,268,398
BG PLC 1,210,188 7,816,877
Blue Circle Industries ** 822,800 5,339,602
BOC Group PLC ** 305,120 4,388,123
BP Amoco 967,400 9,299,640
British Airways 301 1,735
British American Tobacco 938,980 6,292,880
British Telecommunications ** 1,575,931 20,406,376
Cadbury Schwepps PLC ** 1,422,100 9,363,555
Capital Radio PLC ** 46,351 1,084,064
Centrica PLC 961,930 3,194,173
Diageo PLC 1,444,507 12,955,233
Egg PLC * 786,600 2,045,450
Emap PLC 151,300 2,395,026
GKN PLC 263,100 3,356,957
Glaxo Holdings 651,600 19,018,779
Granada Group PLC 1,522,585 15,006,027
Great Universal Stores PLC 1,039,240 6,503,898
Halma PLC 1,065,600 1,623,795
Imperial Tobacco Group ** 1,113,300 10,659,980
Kingfisher PLC 238,600 2,170,664
Lloyds TSB Group 393,600 3,735,943
Marconi Corp PLC 459,600 5,982,616
Prudential PLC 1,298,500 19,058,474
Reckitt & Benckisen PLC ** 1,871,995 20,833,947
Reed International 480,300 4,194,748
Rentokil Initial PLC * 1,647,700 3,753,734
RMC Group PLC 214,254 2,767,830
Rolls Royce PLC 1,823,900 6,533,466
Sainsbury PLC 348,000 1,577,688
Scottish Hydro 794,820 7,200,746
Shell Transport & Trading ** 2,079,470 17,530,660
Smith & Newphew PLC 437,438 1,591,837
Smithkline Beecham PLC 595,200 7,833,457
Smiths Industries 283,200 3,673,534
SSL International 852,600 9,210,878
Telewest PLC * 1,024,478 3,537,788
Tesco PLC 995,700 3,098,721
Vodafone AirTouch PLC 10,055,997 40,863,047
Wolseley PLC 646,900 3,565,434
--------------------------------------------------------------
Market
Shares Value
------ -----
Woolwich PLC 635,500 $2,685,971
WPP Group PLC ** 955,300 13,898,104
Zeneca Group 218,955 10,245,227
-------------
395,249,556
-------------
Total Common Stocks
(Cost $1,344,783,144) 1,566,633,121
-------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENT - 9.16%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 9.16%
State Street Bank and Trust
5.250% due 07/03/00 **
(Dated 06/30/00, repurchase price
of $162,581,887; collateralized by U.S.
Treasury Notes and Bonds--market value
$32,668,188 and due 11/15/27,
market value
$48,962,227 and due 08/15/03,
market value
$35,178,975 and due 08/15/27,
and market value
$48,960,706 and due 02/28/03) $162,510,788 162,510,788
-------------
Total Securities Held Under Repurchase
Agreement 162,510,788
-------------
Total Short-Term Investment
(Cost $162,510,788) 162,510,788
-------------
TOTAL INVESTMENTS - 97.45%
(Cost $1,507,293,932) 1,729,143,909
OTHER ASSETS AND
LIABILITIES, NET - 2.55% 45,284,879
-------------
NET ASSETS - 100.00% $1,774,428,788
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-66
<PAGE>
PACIFIC SELECT FUND
INTERNATIONAL VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of
$343,953,701 have been segregated with the custodian to cover
margin requirements for the following open futures contracts
at June 30, 2000:
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
--------------------------------------------------------------
CAC 40 Index Future (9/00) 407 ($705,898)
DAX 30 Index Future (9/00) 171 (1,217,905)
FTSE 100 Index Future (9/00) 563 (1,262,176)
MIB 30 Index Future (9/00) 59 (43,076)
OPIX TSE Index Future (9/00) 269 860,437
-------------
($2,368,618)
-------------
(b) Forward foreign currency contracts outstanding at June 30, 2000,
were summarized as follows:
Principal
Contracts Amount Unrealized
to Buy or Covered by Expiration Appreciation
to Sell Currency Contracts Month (Depreciation)
--------------------------------------------------------------------------------
Buy BP 36,118,725 9/00 $346,344
Buy ED 71,449,070 9/00 364,811
Buy JY 4,246,489 9/00 (288,461)
-------------
$422,694
-------------
Principal amount denoted in the indicated currency:
BP - British Pound
ED - Euro Dollar
JY - Japanese Yen (in thousands)
(c) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $1,507,293,932
---------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $288,901,812
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (67,051,835)
-------------
Net unrealized appreciation $221,849,977
-------------
See Notes to Financial Statements
D-67
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
CORPORATE BONDS & NOTES - 11.77%
Financial Services - 11.20%
Associates Corp North America
6.780% due 04/23/01 $1,100,000 $1,096,743
6.880% due 05/17/02 8,500,000 8,499,294
CIT Group Holding
5.875% due 06/18/01 4,100,000 4,045,872
Dresdner Funding Trust
8.151% due 06/30/31 4,500,000 3,930,251
First USA Bank NA
6.125% due 06/25/01 10,000,000 9,894,060
J.P. Morgan & Co Inc
5.750% due 02/25/04 4,000,000 3,783,072
Key Bank NA
6.052% due 04/24/03 4,500,000 4,344,813
Merrill Lynch & Co Inc
6.823% due 09/25/00 2,900,000 2,900,339
Morgan Stanley Dean Witter Co
5.625% due 01/20/04 3,800,000 3,570,024
7.750% due 06/15/05 9,000,000 9,056,079
--------------
51,120,547
--------------
Technology - 0.57%
TCI Communications Inc
6.935% due 09/11/00 2,600,000 2,599,496
--------------
Total Corporate Bonds & Notes
(Cost $54,985,723) 53,720,043
--------------
MORTGAGE-BACKED SECURITIES - 56.96%
Collateralized Mortgage Obligations - 7.27%
Bear Stearns Mortgage Securities Inc
7.000% due 03/25/27 " 1,000,000 944,695
Citibank
8.000% due 07/25/18 " 6,319 6,364
Countrywide Inc
7.901% due 03/25/24 " 57,476 57,373
8.600% due 11/25/24 " 7,344 7,421
DLJ Mortgage Acceptance Corp
6.750% due 07/25/29 " 2,972,247 2,745,702
GE Capital Mortgage Corp
5.500% due 02/25/09 " 240,113 237,795
Greenwich Capital Acceptance Inc
6.715% due 02/01/09 " + ~ 9,257,612 8,700,709
7.619% due 01/25/22 " 6,956 6,929
Home Savings of America
5.793% due 05/25/27 " 223,017 213,084
Imperial Savings & Loan Association
8.846% due 07/25/17 " 7,749 7,724
9.900% due 02/25/18 " 39,355 39,449
Mellon Residential Funding Corp
6.460% due 07/25/29 " 3,271,419 3,250,701
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
NationsLink Funding Corp
5.805% due 02/10/01 " $2,850,888 $2,825,871
6.480% due 04/10/07 " 4,554,085 4,555,702
Prudential Home Mortgage Securities Co
6.600% due 08/25/23 " 996,569 981,187
Residential Accredited Loans Inc
7.500% due 03/25/27 " 3,000,000 2,972,235
Residential Funding Mtg Securities Inc
6.500% due 04/25/29 " 500,000 453,303
8.424% due 03/25/25 " 54,094 54,585
Ryland Mortgage Securities Corp
5.000% due 11/25/31 " 58,544 53,503
6.496% due 10/25/18 " 154,704 152,296
6.546% due 10/01/27 " + 809,651 810,157
Salomon Brothers Mtg Securities VII Inc
6.960% due 07/25/29 " 3,506,108 3,509,631
SASCO Commercial Mortgage Trust
7.051% due 11/20/01 " ~ 619,413 620,406
--------------
33,206,822
--------------
Federal Home Loan Mortgage Corporation - 2.44%
5.663% due 02/15/02 " 1,300,000 1,274,897
5.800% due 06/15/19 " 463,816 460,521
6.000% due 12/15/17 " 1,507,756 1,489,655
6.250% due 11/15/15 " 4,120,799 4,102,895
6.500% due 08/15/23 " 3,248,815 3,198,358
6.750% due 02/01/08 " 984 973
7.400% due 07/25/19 " + 422,403 420,621
7.430% due 07/01/21 " 168,134 168,018
--------------
11,115,938
--------------
Federal National Mortgage Association - 1.71%
6.000% due 12/25/08 " 340,214 337,273
6.210% due 02/01/17 " 369,244 360,542
6.216% due 06/01/18 " 131,674 128,524
6.217% due 03/01/24 " 125,633 122,456
6.217% due 08/01/24 " 301,988 294,352
6.217% due 07/01/26 " 119,884 116,828
6.217% due 10/01/27 " 140,003 136,421
6.252% due 08/01/17 " 1,913,644 1,842,709
6.332% due 03/01/18 " 1,551,743 1,496,646
6.500% due 04/18/20 " 624,210 622,200
6.900% due 09/01/09 " 1,092,422 1,062,994
7.000% due 08/18/21 " 542,710 541,405
7.346% due 12/01/22 " 323,825 334,463
7.392% due 01/01/25 " 391,758 401,442
--------------
7,798,255
--------------
Government National Mortgage Association - 45.54%
5.650% due 10/20/18 " 3,746,799 3,653,635
6.000% due 07/24/30 " # 12,600,000 11,603,844
6.375% due 05/20/23 " 128,556 128,751
6.375% due 05/20/26 " 738,304 736,779
6.500% due 07/24/30 " # 48,590,000 46,114,825
6.500% due 10/01/33 " 3,618,864 3,347,326
6.550% due 07/15/40 " 11,853,789 11,810,677
6.550% due 07/15/40 " + 564,511 550,992
See Notes to Financial Statements See explanation of symbols on D-88
D-68
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
6.750% due 09/20/22 " $1,685,214 $1,692,671
6.750% due 09/20/23 " 75,995 76,258
6.750% due 07/20/25 " 1,278,055 1,280,703
7.125% due 10/20/24 " 643,495 644,193
7.125% due 11/20/26 " 826,563 826,075
7.125% due 12/20/26 " 552,999 552,654
7.375% due 02/20/25 " 621,242 622,281
7.375% due 01/20/27 " 890,232 890,593
7.500% due 07/24/30 " # 124,200,000 123,307,001
9.000% due 01/15/17 " 78,819 81,967
--------------
207,921,225
--------------
Stripped Mortgage-Backed Security - 0.00%
Federal Home Loan Mortgage Corp (Interest Only)
6.500% due 09/15/18 " 339,665 18,105
--------------
Total Mortgage-Backed Securities
(Cost $260,557,524) 260,060,345
--------------
OTHER ASSET-BACKED SECURITIES - 12.94%
Americredit Automobile Receivables
5.304% due 10/12/02 " 3,185,580 3,168,903
Banc One Auto Grantor Trust
6.290% due 07/20/04 " 1,621,905 1,607,916
Banc One Home Equity Loan Trust
6.460% due 06/25/29 " 2,225,167 2,212,094
Champion Home Equity Loan Trust
7.411% due 05/25/28 " 676,504 677,508
Conseco Financial
8.480% due 12/01/31 " + 12,000,000 12,142,530
Contimortgage Home Equity Loan Trust
6.150% due 03/15/11 " 1,199,976 1,195,794
6.791% due 06/15/28 " 1,001,342 999,765
6.861% due 08/15/28 " 71,235 71,108
Countrywide Home Equity Loan Trust
6.763% due 08/15/25 " 1,524,869 1,526,264
Empire Funding Home Loan Owner Trust
6.260% due 06/25/10 " 940,052 934,746
EQCC Home Equity Loan Trust
5.770% due 03/20/29 " 1,732,187 1,720,261
First Plus Home Loan Owner Trust
6.040% due 10/10/13 " 2,242,368 2,237,962
Ford Credit Auto Owner Trust
5.770% due 11/15/01 " 4,981,426 4,968,748
IKON Office Solutions Inc
5.600% due 05/15/05 " 3,525,332 3,494,679
ONYX Acceptance Grantor Trust
6.300% due 05/15/04 " 1,897,139 1,884,836
Option One Mortgage Loan Trust
6.625% due 02/25/29 " 7,001,149 7,008,185
Premier Auto Trust
5.510% due 07/08/01 " 1,228,417 1,226,887
Racers
7.119% due 03/03/03 " + ~ 3,200,000 3,200,000
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
Residential Asset Securities Corp
6.750% due 12/25/13 " $1,536,017 $1,535,948
Salomon Brothers Mtg Services VII Inc
6.355% due 02/25/27 " + 636,367 634,579
Southern Pacific Secured Assets Corp
6.780% due 06/25/28 " 1,135,715 1,126,260
The Money Store Home Equity
6.040% due 08/15/17 " 3,286,026 3,268,659
WESTCO Financial Owner Trust
6.250% due 03/20/03 " 2,250,174 2,243,705
--------------
Total Other Asset-Backed Securities
(Cost $59,154,565) 59,087,337
--------------
U.S. TREASURY INFLATION INDEX BONDS - 4.10%
3.375% due 01/15/07 ** 2,485,157 2,385,750
3.625% due 07/15/02 2,992,929 2,974,223
3.625% due 01/15/08 11,762,006 11,409,146
3.875% due 01/15/09 1,983,299 1,954,789
--------------
Total U.S. Treasury Inflation Index Bonds
(Cost $18,604,206) 18,723,908
--------------
U.S. TREASURY NOTE - 0.54%
5.125% due 08/31/00 ** 2,485,000 2,481,119
--------------
Total U.S. Treasury Note
(Cost $2,481,034) 2,481,119
--------------
U.S. TREASURY STRIPPED - 0.69%
0.000% due 05/15/20 10,900,000 3,160,128
--------------
Total U.S. Treasury Stripped
(Cost $3,157,073) 3,160,128
--------------
FOREIGN BOND - 0.41%
Philippines - 0.41%
Asian Development Bank
5.820% due 06/16/28 2,050,000 1,881,330
--------------
Total Foreign Bond
(Cost $2,050,000) 1,881,330
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-69
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
FOREIGN GOVERNMENT BONDS - 0.35%
Germany - 0.35%
Bundesrepublic Deutschland
6.250% due 01/04/24 $360,000 $373,011
6.250% due 01/04/30 1,130,000 1,207,348
--------------
(All principal in Euro)
1,580,359
--------------
Total Foreign Government Bonds
(Cost $1,479,359) 1,580,359
--------------
Value
-----
SHORT-TERM INVESTMENTS - 52.29%
COMMERCIAL PAPER - 1.05%
Conoco Inc
6.490% due 07/12/00 4,800,000 4,790,481
--------------
Total Commercial Paper 4,790,481
--------------
SHORT-TERM MORTGAGE-BACKED SECURITIES - 49.84%
Federal Home Loan Mortgage Corporation - 47.38%
6.350% due 07/05/00 " 21,000,000 20,982,379
6.360% due 07/05/00 " 69,900,000 69,850,604
6.400% due 07/05/00 " 13,800,000 13,790,187
6.420% due 07/05/00 " 4,800,000 4,796,577
6.420% due 07/11/00 " 6,000,000 5,989,300
6.430% due 07/18/00 " 100,000 99,696
6.440% due 07/26/00 " 53,000,000 52,762,972
6.450% due 07/19/00 " 1,300,000 1,295,807
6.480% due 09/08/00 " 1,200,000 1,185,096
6.554% due 07/07/00 " 45,600,000 45,551,285
--------------
216,303,903
--------------
Federal National Mortgage Association - 2.45%
6.440% due 08/22/00 " 11,300,000 11,194,885
--------------
Total Short-Term Mortgage-Backed Securities 227,498,788
--------------
U.S. TREASURY BILL - 0.01%
5.660% due 09/21/00 ** 20,000 19,749
--------------
Total U.S. Treasury Bill 19,749
--------------
--------------------------------------------------------------
Principal
Amount Value
------ -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 1.40%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $6,410,804; collateralized by U.S.
Treasury Bonds--market value
$6,538,675 and due 11/15/27) $6,412,000 $6,412,000
--------------
Total Securities Held Under Repurchase
Agreement 6,412,000
--------------
Total Short-Term Investments
(Cost $238,721,011) 238,721,018
--------------
TOTAL INVESTMENTS - 140.05%
(Cost $641,190,495) 639,415,587
OTHER ASSETS AND
LIABILITIES, NET - (40.05%) (182,848,686)
--------------
NET ASSETS - 100.00% $456,566,901
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-70
<PAGE>
PACIFIC SELECT FUND
GOVERNMENT SECURITIES PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an
approximate aggregate market
value of $2,600,243 have been
segregated with the custodian
to cover margin requirements
for the following open futures
contracts at June 30, 2000:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
-------------------------------------------------------------------------------------
<S> <C> <C>
Euro-Bond Futures (9/00) 15 $4,512
Muni-Bond Futures (9/00) 45 97,269
U.S. 10-Year FNMA (9/00) 130 91,407
U.S. Treasury 10-Year Notes (9/00) 1,218 1,548,118
U.S. Treasury 30-Year Bonds (9/00) 45 (46,055)
--------------
$1,695,251
--------------
</TABLE>
(b) Swap agreements outstanding at June 30, 2000:
<TABLE>
<CAPTION>
Unrealized
Notional Appreciation
Type Amount Depreciation)
------------------------------------------------------------------------------------
<S> <C> <C>
Receive floating rate based on 6-month JY-LIBOR and
pay fixed rate equal to 1.6692%.
Broker: Goldman Sachs
Exp. 05/18/07 JY 875,000,000 ($285)
Receive floating rate based on 6-month ED-LIBOR and
pay fixed rate equal to 6.1750%.
Broker: Goldman Sachs
Exp. 05/22/30 ED 1,270,000 (19,379)
Receive floating rate based on 6-month ED-LIBOR minus
0.5400% and pay fixed rate equal to 6.2500%.
Broker: J.P. Morgan
Exp. 01/04/24 ED 360,000 826
Receive floating rate based on 6-month ED-LIBOR plus
0.4990% and pay fixed rate equal to 6.0000%.
Broker: J.P. Morgan
Exp. 01/04/09 ED 1,690,000 30,237
-------------
$11,399
-------------
</TABLE>
--------------------------------------------------------------------------------
(c) Premiums received on written options:
<TABLE>
<CAPTION>
Type Contracts Premium Value
-----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CME Euro Dollar March Futures
Strike @ 93.25 Exp 3/19/2001 10 $2,821 $2,750
Call - CBOT U.S. Treasury Note September Futures
Strike @ 100.00 Exp 8/19/2000 253 98,873 94,875
Call - OTC Euro Dollar September Swap
Strike @ 7.00 Exp 9/15/2000 970 11,398 8,129
Call - OTC Euro Dollar September Swap
Strike @ 7.00 Exp 9/22/2000 900 11,700 9,626
Call - OTC Euro Dollar September Swap
Strike @ 7.00 Exp 9/28/2000 800 9,600 15,312
Put - CBOT U.S. Treasury Bond September Futures
Strike @ 94.00 Exp 8/19/2000 29 14,797 10,422
------------------------------
$149,189 $141,114
------------------------------
</TABLE>
(d) Forward foreign currency contracts outstanding at June 30, 2000, were
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount
to Buy or Covered by Expiration Unrealized
to Sell Currency Contracts Month Depreciation
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell ED 388,000 7/00 ($12)
-------------
</TABLE>
(e) Notional and principal amount denoted in the indicated currency:
ED- Euro Dollar
JY- Japanese Yen
(f) At June 30, 2000, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $641,190,495
-------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $1,387,072
Aggregate gross unrealized depreciation for all investments
in which there was an excess of
tax cost over value (3,161,980)
-------------
Net unrealized depreciation ($1,774,908)
-------------
</TABLE>
See Notes to Financial Statements
71
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
CORPORATE BONDS & NOTES - 42.76%
Autos & Transportation - 3.44%
Continental Airlines Inc
7.256% due 03/15/20 $248,013 $235,530
DaimlerChrysler North America
Holdings
6.670% due 09/25/01 13,000,000 12,893,335
Ford Motor Co
7.500% due 03/15/05 22,700,000 22,564,027
Northwest Airlines Corp
10.530% due 01/15/09 4,162,553 4,548,671
United Airlines Inc
9.210% due 01/21/17 800,000 754,120
9.560% due 10/19/18 1,650,000 1,531,406
10.850% due 02/19/15 1,000,000 1,057,925
--------------
43,585,014
--------------
Consumer Discretionary - 0.33%
Amerco
7.200% due 04/01/02 1,700,000 1,626,407
Clear Channel Communications Inc
6.625% due 06/15/08 250,000 231,641
Hansol Paper Co Ltd
7.934% due 05/24/01 600,000 606,000
McDonald's Corp
5.900% due 05/11/01 300,000 296,674
Time Warner Entertainment Co
9.625% due 05/01/02 300,000 311,093
Time Warner Pass
6.100% due 12/30/01 ~ 650,000 638,418
USA Waste Services
7.000% due 10/01/04 300,000 278,492
Wal-Mart Stores
8.625% due 04/01/01 250,000 252,800
--------------
4,241,525
--------------
Consumer Staples - 2.58%
Coca Cola Enterprises Inc
6.375% due 08/01/01 250,000 248,442
J Seagram & Sons
6.250% due 12/15/01 7,000,000 6,886,817
Nabisco Inc
6.125% due 02/01/33 13,800,000 13,023,267
Philip Morris Cos Inc
8.750% due 06/01/01 12,230,000 12,290,685
Procter & Gamble Co
6.875% due 09/15/09 175,000 170,827
--------------
32,620,038
--------------
Financial Services - 25.32%
Amer Health Prop
7.050% due 01/15/02 200,000 194,529
American General Finance
6.875% due 12/14/01 13,100,000 13,004,331
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
Associates Corp
6.250% due 11/01/08 $150,000 $134,681
Associates Corp North America
6.450% due 09/15/00 ~ 4,800,000 4,789,963
AT&T Capital Corp
5.860% due 04/26/02 10,500,000 10,248,798
6.600% due 05/15/05 2,200,000 2,126,197
7.110% due 09/13/01 4,200,000 4,191,608
Bear Stearns Cos Inc
6.150% due 03/02/04 8,100,000 7,681,554
6.631% due 11/30/04 17,100,000 17,128,352
Capital One Bank
6.760% due 07/23/02 5,200,000 5,074,607
Capital One Financial Corp
7.085% due 07/28/03 3,000,000 3,007,821
7.094% due 02/11/02 8,800,000 8,761,562
Chrysler Financial
6.768% due 01/30/02 9,700,000 9,699,602
CIT Group Inc
7.125% due 10/15/04 21,000,000 20,412,798
Countrywide Home
6.250% due 04/15/09 40,000 35,029
6.850% due 06/15/04 110,000 107,325
Credit Asset Receivable LLC
6.274% due 10/31/03 4,531,743 4,446,261
Donaldson Lufkin & Jenrette Inc
6.000% due 12/01/01 2,200,000 2,156,020
ERP Operating LP
6.550% due 11/15/01 300,000 295,169
Finova Capital Corp
5.875% due 10/15/01 2,000,000 1,818,018
6.450% due 11/06/01 7,000,000 6,520,570
Ford Motor Credit Corp
6.700% due 07/16/04 2,900,000 2,802,345
7.225% due 06/30/05 + 12,500,000 12,494,750
GMAC
6.540% due 04/05/04 15,100,000 15,065,179
6.750% due 12/10/02 14,000,000 13,795,026
6.850% due 06/17/04 1,200,000 1,174,382
7.625% due 05/05/03 2,500,000 2,510,210
Goldman Sachs Group Inc
6.390% due 12/07/01 ~ 8,000,000 8,020,712
GS Escrow Corp
6.750% due 08/01/01 2,100,000 2,040,631
7.391% due 08/01/03 8,000,000 7,619,224
Heller Financial Inc
6.500% due 07/22/02 4,000,000 3,923,304
6.526% due 06/24/02 5,000,000 5,020,474
6.605% due 04/28/03 3,400,000 3,382,531
Household Financial Corp
6.000% due 05/01/04 14,600,000 13,770,282
6.541% due 08/01/01 15,100,000 15,101,012
7.000% due 08/01/03 800,000 784,603
International Lease Finance
6.375% due 08/01/01 250,000 247,423
See Notes to Financial Statements See explanation of symbols on D-88
D-72
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
Lehman Brothers Holding Inc
6.625% due 12/27/02 $175,000 $170,425
7.190% due 04/02/02 9,600,000 9,646,397
Lehman Brothers Holding PLC
6.421% due 09/03/02 9,900,000 9,828,621
MBNA Corp
6.560% due 04/25/02 7,600,000 7,572,800
6.853% due 08/07/01 500,000 499,571
6.875% due 07/15/04 2,000,000 1,937,800
Merrill Lynch & Co Inc
5.710% due 01/15/02 130,000 127,006
Newcourt Credit Group
7.625% due 06/28/01
(Principal in Canadian Dollar) 3,200,000 2,178,308
Paine Webber Group Inc
7.362% due 11/27/00 1,700,000 1,699,869
Popular North America Inc
6.625% due 01/15/04 7,200,000 6,923,340
6.875% due 06/15/01 16,500,000 16,370,475
7.375% due 09/15/01 4,600,000 4,578,656
Salomon Smith Barney Holdings FRN
6.279% due 05/14/02 1,000,000 1,005,161
Sanwa Finance ARU
8.350% due 07/15/09 3,000,000 2,992,386
Se Manhattan Corp Global
7.875% due 06/15/10 25,000,000 25,025,025
U.S. Bancorp
8.125% due 05/15/02 350,000 354,384
--------------
320,497,107
--------------
Health Care - 0.78%
Columbia/HCA Healthcare Corp
6.730% due 07/15/45 500,000 462,423
6.870% due 09/15/03 1,700,000 1,573,748
6.875% due 07/15/01 3,650,000 3,559,506
8.020% due 08/05/02 400,000 388,129
8.130% due 08/04/03 4,000,000 3,842,592
--------------
9,826,398
--------------
Other Energy - 2.55%
Enron Corp
6.580% due 09/10/01 3,250,000 3,248,047
NRG Energy Inc
8.000% due 11/01/03 5,600,000 5,568,578
Occidental Petroleum Corp
6.400% due 04/01/03 400,000 383,637
8.500% due 11/09/01 1,439,000 1,451,217
Phillips Petroleum Co
8.500% due 05/25/05 + 6,750,000 6,936,343
R&B Falcon Corp
6.500% due 04/15/03 3,000,000 2,790,000
9.125% due 12/15/03 12,000,000 11,940,000
--------------
32,317,822
--------------
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
Producer Durables - 0.03%
Tyco International Group
6.375% due 06/15/05 $350,000 $330,931
--------------
Technology - 2.02%
Aristar Inc
7.375% due 09/01/04 500,000 487,675
Raytheon Co
6.150% due 11/01/08 350,000 311,117
WorldCom Inc
6.400% due 08/15/05 150,000 142,333
8.875% due 01/15/06 23,918,000 24,672,517
--------------
25,613,642
--------------
Utilities - 5.71%
BVPS II Funding Corp
8.330% due 12/01/07 2,988,000 3,001,267
Cleveland Electric Illuminating Co
9.200% due 06/01/01 3,000,000 3,040,728
Cleveland Electric-Toledo Edison Co
7.670% due 07/01/04 4,000,000 3,944,720
Limestone Electric Trust
8.625% due 03/15/03 ~ 17,000,000 17,148,087
Metronet Communications Corp
0.000% due 06/15/03 2,700,000 2,199,417
PP&L Capital Funding Inc
7.700% due 11/15/07 6,700,000 6,783,093
Public Services Enterprises
6.350% due 06/15/01 14,300,000 14,305,434
Texas Utilities Co
5.940% due 10/15/01 10,000,000 9,814,750
Vodafone Airtouch PLC
6.962% due 12/19/01 12,000,000 11,988,756
--------------
72,226,252
--------------
Total Corporate Bonds & Notes
(Cost $546,949,015) 541,258,729
--------------
MORTGAGE-BACKED SECURITIES - 56.81%
Collateralized Mortgage Obligations - 11.54%
American Southwest Financial Securities Corp
7.400% due 11/17/04 " 9,735,464 9,758,693
BankAmerica Mortgage Securities Inc
6.500% due 05/25/29 (1999-5-A) " 6,900,000 6,245,570
6.500% due 05/25/29 (1999-5-A20) " 2,374,709 2,206,900
Cendant Mortgage Corp
6.500% due 01/18/16 " + ~ 9,979,430 9,820,047
6.905% due 11/18/28 " + ~ 11,764,601 11,044,048
Chase Mortgage Financial Trust
6.500% due 05/25/29 " 16,700,000 15,121,433
Citibank
8.000% due 07/25/18 " 11,810 11,893
See Notes to Financial Statements See explanation of symbols on D-88
D-73
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
Countrywide Home Loans
6.500% due 09/25/13 " $2,760,390 $2,627,656
Countrywide Inc
6.750% due 05/25/24 " 1,000,000 926,438
8.600% due 11/25/24 " 7,344 7,421
GE Capital Mortgage Services Inc
6.250% due 07/25/29 " 5,500,000 5,241,968
6.500% due 04/25/24 " 4,763,320 4,582,481
6.500% due 05/25/29 " 24,107,750 21,876,457
GMAC Commercial Mortgage Security Inc
0.624% due 08/15/23 " 15,148,282 565,561
6.700% due 03/15/08 " 2,200,000 2,097,163
Greenwich Capital Acceptance Inc
7.619% due 01/25/22 " 4,637 4,620
Imperial Savings & Loan Association
9.900% due 02/25/18 " 39,355 39,449
Lehman Large Loan
0.804% due 04/12/12 " 17,003,221 501,289
Merrill Lynch Trust
9.100% due 09/20/14 " 5,335 5,335
MLCC Mortgage Investments
6.510% due 03/15/25 " 17,175,343 17,237,432
Morgan Stanley Capital Industrial Inc
6.160% due 04/03/09 " 641,073 612,101
Mortgage Capital Funding Inc
1.151% due 11/20/12 " 8,437,456 565,942
Nomura Asset Securities
6.625% due 01/25/09 " 56,528 56,186
Norwest Asset Securities Corp
7.500% due 03/25/27 " 869,905 843,230
Paine Webber Mortgage
6.900% due 08/25/08 " 20,702 20,631
Residential Accredited Loans Inc
7.500% due 03/25/27 " 1,000,000 990,745
Residential Funding Mtg Securities Inc
6.500% due 12/25/12 " 27,299 27,136
6.500% due 04/25/29 " 12,500,000 11,332,563
6.500% due 05/25/29 " 4,001,300 3,311,728
7.750% due 01/25/07 " 186,968 187,152
Resolution Trust Corp
9.450% due 05/25/24 " 536,889 534,663
Ryland Mortgage Securities Corp
14.000% due 11/25/31 " 31,002 32,133
Structured Asset
6.525% due 02/25/28 " 3,828,949 3,811,941
7.247% due 02/25/30 " + 9,684,324 9,503,973
Union Planters Corp
6.800% due 01/25/28 " 4,500,000 4,329,743
--------------
146,081,721
--------------
Federal Home Loan Mortgage Corporation - 6.14%
5.500% due 07/17/30 " + # 48,000,000 41,911,440
6.500% due 11/25/23 " 762,016 658,132
7.430% due 08/01/21 " 249,791 247,410
7.430% due 02/01/23 " 348,145 344,733
7.430% due 10/01/23 " + 9,177,817 8,785,236
7.500% due 01/15/23 " 15,745,628 15,209,852
--------------------------------------------------------------
Principal Market
Amount Value
------ -----
7.500% due 09/20/26 " $2,647,251 $2,501,639
7.500% due 01/15/27 " 8,083,875 7,869,087
7.769% due 05/01/23 " 135,437 138,043
9.000% due 11/01/01 " 4,023 4,057
9.000% due 10/01/02 " 16,242 16,483
9.000% due 12/01/04 " 17,795 18,109
--------------
77,704,221
--------------
Federal National Mortgage Association - 2.71%
5.750% due 04/15/03 " 1,300,000 1,260,485
5.850% due 01/25/17 " 203,568 202,668
6.183% due 04/01/27 " 2,211,210 2,204,340
6.500% due 09/01/05 " 3,661,208 3,594,157
7.060% due 06/01/27 " 2,290,922 2,233,319
7.250% due 06/20/02 "
(Principal in New Zealand Dollar) 2,500,000 1,161,643
7.346% due 12/01/22 " 491,880 508,038
7.380% due 11/01/23 " 56,838 57,528
7.392% due 01/01/25 " 525,979 538,981
7.498% due 01/01/23 " 1,728,736 1,787,136
7.500% due 07/14/30 " # 21,000,000 20,701,380
--------------
34,249,675
--------------
Government National Mortgage Association - 36.42%
6.000% due 07/24/30 " # 41,500,000 38,219,010
6.375% due 03/20/24 " 1,000,596 1,003,032
6.375% due 02/20/27 " 799,289 799,508
6.500% due 01/20/29 " 13,154,205 10,784,607
6.500% due 07/24/30 " # 25,400,000 24,106,124
6.500% due 11/15/33 " 3,139,182 2,903,636
6.650% due 06/15/02 " 11,105,847 11,035,858
6.650% due 10/15/40 " + # 2,055,453 1,877,207
6.750% due 07/20/25 " 1,004,186 1,006,266
6.750% due 07/20/26 " 3,451,948 3,450,812
7.125% due 11/20/23 " 4,212,503 4,219,567
7.125% due 10/20/24 " 965,242 966,290
7.125% due 11/20/26 " 4,853,302 4,850,438
7.125% due 12/20/26 " 552,999 552,654
7.500% due 07/24/30 " # 228,210,000 226,569,170
8.500% due 07/24/30 " # 125,000,000 127,988,750
9.000% due 02/15/17 " 41,051 42,691
9.000% due 02/15/20 " 163,901 170,255
9.000% due 04/15/20 " 45,887 47,666
9.500% due 08/15/17 " 18,869 19,758
9.500% due 04/15/18 " 3,049 3,193
9.500% due 09/15/18 " 16,757 17,546
10.000% due 05/15/19 " 13,917 14,678
10.000% due 07/15/22 " 153,712 162,190
10.000% due 02/15/25 " 155,578 164,163
--------------
460,975,069
--------------
Total Mortgage-Backed Securities
(Cost $728,673,732) 719,010,686
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-74
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
OTHER ASSET-BACKED SECURITIES - 4.89%
Ameriquest Mortgage
6.950% due 06/15/30 " + $5,400,000 $5,404,293
Conseco Financial Securitization Corp Inc
7.350% due 10/15/30 " 21,122,290 21,036,216
Cross Country Master Credit Card Trust
6.504% due 06/15/06 " + 6,700,000 6,700,000
Discover Card Master Trust
5.650% due 11/16/04 " 180,000 175,162
Ford Credit Auto Owner Trust
5.770% due 11/15/01 " 4,497,121 4,485,676
Green Tree Financial
7.300% due 12/15/26 " 240,835 228,266
7.900% due 04/15/27 " 250,000 145,468
MBNA Master Credit Card Trust
6.400% due 01/18/05 " 160,000 157,850
6.600% due 11/15/04 " 180,000 178,460
PP&L Transition BD LLC
6.080% due 03/25/03 " 2,117,220 2,106,687
6.410% due 12/26/03 " 1,000,000 989,535
6.600% due 03/25/05 " 1,000,000 991,205
6.720% due 12/26/05 " 1,000,000 985,775
6.830% due 03/25/07 " 1,000,000 989,495
Residential Asset Securities Corp
6.179% due 10/25/27 " 205,515 204,749
Salomon Brothers Mtg Services VII Inc
6.355% due 02/25/27 " + 1,272,734 1,269,158
6.710% due 11/15/29 9,000,000 8,999,325
The Money Store Home Equity
6.040% due 08/15/17 " 155,712 154,889
7.800% due 10/15/21 " 75,297 75,315
West Pennsylvania Funding LLC
6.320% due 06/25/03 " 6,242,349 6,208,109
WFS Financial Own
5.550% due 02/20/03 " 348,893 344,959
-------------
Total Other Asset-Backed Securities
(Cost $61,636,179) 61,830,592
-------------
U.S. TREASURY INFLATION INDEX BONDS - 5.88%
3.375% due 01/15/07 20,096,571 19,292,708
3.625% due 07/15/02 12,185,020 12,108,864
3.625% due 01/15/08 10,066,190 9,764,204
3.875% due 01/15/09 8,037,266 7,921,730
4.250% due 01/15/10 24,927,859 25,301,777
-------------
Total U.S. Treasury Inflation Index Bonds
(Cost $73,513,745) 74,389,283
-------------
--------------------------------------------------------------------------------
Principal Market
Amount Value
--------- ------
U.S. TREASURY NOTE - 0.48%
5.125% due 08/31/00 ** $6,045,000 $6,035,558
-------------
Total U.S. Treasury Note
(Cost $6,035,281) 6,035,558
-------------
U.S. TREASURY BOND - 1.57%
8.750% due 08/15/20 15,500,000 19,930,742
-------------
Total U.S. Treasury Bond
(Cost $19,892,438) 19,930,742
-------------
FOREIGN BONDS - 7.00%
Germany - 1.43%
Deutsche Telekom International Financial
7.750% due 06/15/05 17,900,000 18,044,077
-------------
Ireland - 0.63%
Allied Irish Bank
6.495% due 09/07/06 8,000,000 8,019,016
-------------
Japan - 1.04%
Bank of Tokyo
8.400% due 04/15/10 13,000,000 13,146,328
-------------
Mexico - 0.71%
Petro Mexicanos
8.402% due 07/15/05 ~ 9,000,000 9,000,000
-------------
Panama - 0.64%
Banco LatinoAmericano De Exportaciones
6.950% due 03/05/01 8,100,000 8,032,527
-------------
South Korea - 2.17%
Export Import Bank Korea
6.500% due 11/15/06 3,600,000 3,430,581
Korea Development Bank
1.875% due 02/13/02
(principal in Japanese Yen) 135,000,000 1,273,453
7.125% due 09/17/01 3,500,000 3,470,569
7.375% due 09/17/04 6,330,000 6,170,490
7.900% due 02/01/02 10,100,000 10,094,677
Korea National Housing
9.313% due 05/23/01 3,000,000 3,060,000
-------------
27,499,770
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-75
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------
Principal Market
Amount Value
--------- ------
United Kingdom - 0.38%
TXU Eastern Funding Corp
6.150% due 05/15/02 $5,000,000 $4,839,670
--------------
Total Foreign Bonds
(Cost $88,219,716) 88,581,388
--------------
FOREIGN GOVERNMENT BONDS- 1.85%
Argentina - 0.57%
Republic of Argentina
5.500% due 03/27/01
(Principal in Japanese Yen) 770,000,000 7,254,863
--------------
Brazil - 0.34%
Republic of Brazil
7.000% due 01/01/01 3,001,200 3,006,383
7.375% due 04/15/06 1,395,000 1,278,739
--------------
4,285,122
--------------
Chile - 0.59%
Republic of Chile
6.875% due 04/28/09 8,000,000 7,404,080
--------------
Germany - 0.35%
Bundesrepublic Deutschland
6.250% due 01/04/24 1,020,000 1,056,864
6.250% due 01/04/30 3,200,000 3,419,037
--------------
(All principal in Euro)
4,475,901
--------------
Total Foreign Government Bonds
(Cost $22,739,520) 23,419,966
--------------
MUNICIPAL BONDS - 0.80%
Long Island Power Authority
5.250% due 12/01/26 1,500,000 1,344,465
Minnesota Agric & Econ Dev Brd Rev
6.375% due 11/15/29 + 1,000,000 1,011,300
New York City Taxable 'B'
6.000% due 08/01/01 7,900,000 7,812,073
--------------
Total Municipal Bonds
(Cost $10,397,433) 10,167,838
--------------
--------------------------------------------------------------
Principal Market
Amount Value
--------- ------
SHORT-TERM INVESTMENTS - 16.59%
COMMERCIAL PAPER - 15.73%
American Electric Power Co Inc
6.820% due 08/30/00 $5,700,000 $5,635,210
6.850% due 08/29/00 8,000,000 7,910,189
Conoco Inc
6.490% due 07/12/00 11,700,000 11,676,798
Cox Enterprises Inc
6.810% due 07/18/00 44,800,000 44,655,931
DaimlerChrysler
6.630% due 02/04/00 2,100,000 2,068,122
Edison International
6.810% due 07/26/00 ~ 7,300,000 7,265,477
General Electric Capital Corp
6.170% due 07/18/00 600,000 598,252
6.550% due 09/11/00 + 1,000,000 986,660
6.550% due 09/12/00 1,400,000 1,381,405
6.570% due 07/24/00 7,300,000 7,269,358
6.590% due 07/18/00 2,900,000 2,890,976
General Mills Inc
6.500% due 07/05/00 2,800,000 2,797,978
GPU Capital Inc
6.810% due 07/19/00 13,200,000 13,155,054
6.850% due 07/31/00 13,900,000 13,820,654
Houston Lighting & Power
6.950% due 07/13/00 2,700,000 2,693,745
Reseau Ferre De France
6.560% due 09/13/00 21,500,000 21,205,235
SBC Communications Inc
6.600% due 09/21/00 8,000,000 7,878,560
Time Warner Entertainment Co
6.780% due 07/12/00 30,000,000 29,937,850
TRW Inc
6.820% due 08/22/00 ~ 6,100,000 6,039,908
Visteon Corp
6.850% due 07/20/00 9,300,000 9,266,378
--------------
Total Commercial Paper 199,133,740
--------------
U.S. TREASURY BILL - 0.00%
5.660% due 09/21/00 30,000 29,624
--------------
Total U.S. Treasury Bill 29,624
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-76
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Value
------ -----
<S> <C> <C>
SECURITIES HELD UNDER
REPURCHASE AGREEMENT - 0.86%
State Street Bank
and Trust
5.250% due
07/03/00
(Dated 06/30/00, repurchase price
of $10,831,737; collateralized by U.S.
Treasury Notes--
market value
$11,044,950 and
due 05/31/01) $10,827,000 $10,827,000
----------------
Total Securities Held Under Repurchase
Agreement 10,827,000
----------------
Total Short-Term
Investments
(Cost $209,996,773) 209,990,364
----------------
TOTAL INVESTMENTS - 138.63%
(Cost $1,768,053,832) 1,754,615,146
OTHER ASSETS AND
LIABILITIES, NET - (38.63%) (488,901,847)
----------------
NET ASSETS -
100.00% $1,265,713,299
----------------
</TABLE>
--------------------------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Securities with an approximate aggregate market value of $6,035,558 have
been segregated with the custodian to cover margin requirements for the
following open futures contracts at June 30, 2000:
<TABLE>
<CAPTION>
Unrealized
Number of Appreciation
Type Contracts (Depreciation)
------------------------------------------------------------------------------------
<S> <C> <C>
Euro-Bond Futures (9/00) 43 $14,177
Muni-Bond Futures (9/00) 79 336,250
U.S. Treasury 5-Year Notes (9/00) 197 (454,024)
U.S. Treasury 10-Year Notes (9/00) 2,215 1,367,228
-------------
$1,263,631
-------------
</TABLE>
(b) Swap agreements outstanding at June 30, 2000:
<TABLE>
<CAPTION>
Unrealized
Fixed Spread (%) Notional Appreciation
Type (if applicable) Amount (Depreciation)
------------------------------------------------------------------------------------
<S> <C> <C> <C>
Receive the 5-year Swap Spread and pay a fixed spread.
The 5-year Swap Spread is the difference between the
5-year Swap Rate and the 5-year Treasury Rate.
Broker: Lehman Brothers
Exp. 04/10/05 0.9500 $70,000,000 $205,457
Receive the 30-year Swap Spread and pay a fixed spread.
The 30-year Swap Spread is the difference between the
30-year Swap Rate and the 30-year Treasury Rate.
Broker: Goldman Sachs
Exp. 02/16/05 1.1120 $20,000,000 31,486
Receive floating rate based on 6-month JY-LIBOR and
pay fixed rate equal to 1.6692%.
Broker: Goldman Sachs
Exp. 05/18/07 JY 2,375,000,000 (772)
Receive floating rate based on 6-month ED-LIBOR and
pay fixed rate equal to 6.1750%.
Broker: Goldman Sachs
Exp. 05/22/30 ED 3,580,000 (54,628)
Receive floating rate based on 6-month ED-LIBOR minus
0.5400% and pay fixed rate equal to 6.2500%.
Broker: J.P. Morgan
Exp. 01/04/24 ED 1,020,000 2,345
Receive floating rate based on 6-month ED-LIBOR plus
0.4990% and pay fixed rate equal to 6.0000%.
Broker: J.P. Morgan
Exp. 01/04/09 ED 4,750,000 84,984
-------------
$268,872
-------------
</TABLE>
See Notes to Financial Statements
D-77
<PAGE>
PACIFIC SELECT FUND
MANAGED BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
--------------------------------------------------------------------------------
(c) Premiums received on written options:
<TABLE>
<CAPTION>
Number of
Type Contracts Premium Value
--------------------------------------------------------------------------------------
<S> <C> <C> <C>
Call - CME Euro Dollar March Futures
Strike @ 93.25 Exp 3/19/2001 27 $7,618 $7,425
Call - CBOT U.S. Treasury Note September Futures
Strike @ 100.00 Exp 8/19/2000 716 279,301 268,500
Call - OTC Euro Dollar September Swap
Strike @ 7.00 Exp 9/15/2000 2,850 33,487 23,883
Call - OTC Euro Dollar September Swap
Strike @ 7.00 Exp 9/22/2000 2,690 34,970 28,772
Call - OTC Euro Dollar September Swap
Strike @ 7.00 Exp 9/28/2000 2,200 26,400 42,108
Put - CBOT U.S. Treasury Bond September Futures
Strike @ 94.00 Exp 8/19/2000 82 41,841 29,469
------------------------------
$423,617 $400,157
------------------------------
</TABLE>
(d) Forward foreign currency contracts outstanding at June 30, 2000, were
summarized as follows:
<TABLE>
<CAPTION>
Principal
Contracts Amount Unrealized
to Buy or Covered by Expiration Appreciation
to Sell Currency Contracts Month (Depreciation)
--------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Sell CD 3,350,000 7/00 $11,965
Sell ED 688,000 7/00 (22)
Sell JY 229,808,000 7/00 13,572
-------------
$25,515
-------------
</TABLE>
(e) Notional and principal amount denoted in the indicated currency:
CD- Canadian Dollar
ED- Euro Dollar
JY- Japanese Yen
(f) At June 30, 2000, the net unrealized appreciation (depreciation) of
investments based on cost of investments for Federal income tax purposes was as
follows:
<TABLE>
<S> <C>
Tax cost basis $1,768,053,832
--------------
Aggregate gross unrealized appreciation for all investments in
which there was an excess of value over tax cost $6,417,004
Aggregate gross unrealized depreciation for all investments in
which there was an excess of tax cost over value (19,855,690)
--------------
Net unrealized depreciation ($13,438,686)
--------------
</TABLE>
See Notes to Financial Statements
D-78
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal
Amount Value
------ -----
SHORT-TERM INVESTMENTS - 105.13%
COMMERCIAL PAPER - 87.76%
Alcoa Inc
6.550% due 07/17/00 $40,000,000 $39,883,556
Allegheny Energy
6.540% due 08/08/00 25,000,000 24,827,417
6.560% due 07/12/00 20,750,000 20,708,408
Alliant Energy Corp
6.540% due 08/07/00 15,000,000 14,899,175
6.540% due 08/10/00 20,500,000 20,351,033
Ameren Corp
6.520% due 07/13/00 4,100,000 4,091,089
6.550% due 07/17/00 19,000,000 18,944,689
American General Finance
6.880% due 07/03/00 40,000,000 39,984,711
AT&T Capital Corp Folating Rate MTN
6.780% due 10/24/00 500,000 499,590
7.060% due 12/05/00 3,000,000 2,998,894
AT&T Corp Interest Bearing
6.780% due 06/14/01 40,000,000 40,000,000
Becton Dickinson & Co
6.540% due 07/07/00 15,000,000 14,983,650
BellSouth Corp
6.530% due 08/03/00 20,000,000 19,880,283
Bemis Co
6.520% due 07/13/00 10,107,000 10,085,034
6.530% due 08/01/00 20,000,000 19,887,539
Constellation Energy
6.842% due 06/21/01 10,000,000 10,000,000
Dean Foods Co
6.650% due 07/19/00 ~ 15,000,000 14,950,125
Edison International
6.560% due 08/02/00 20,000,000 19,883,378
6.570% due 07/13/00 ~ 10,000,000 9,978,100
Electronic Data Systems Corp
7.000% due 07/05/00 ~ 28,725,000 28,702,658
Emerson Eletric Co
6.540% due 07/05/00 ~ 6,300,000 6,295,422
Equitable Resources Inc
6.520% due 07/13/00 ~ 20,000,000 19,956,533
6.530% due 07/20/00 ~ 20,000,000 19,931,072
Ford Motor Credit
6.600% due 07/05/00 29,500,000 29,478,367
Fortune Brands Inc
6.550% due 08/14/00 20,000,000 19,839,889
GTE North America Inc
6.820% due 12/11/00 40,000,000 39,986,122
Heinz (HJ) Co
6.540% due 07/14/00 26,000,000 25,938,597
Illinois Tool Works
6.550% due 07/11/00 9,000,000 8,983,625
IPALCO Enterprises ~
6.530% due 08/08/00 ~ 7,000,000 6,951,751
6.550% due 07/06/00 ~ 9,600,000 9,591,267
6.560% due 07/10/00 ~ 12,750,000 12,729,090
---------------------------------------------------------------
Principal
Amount Value
------ -----
Monsanto Co
6.570% due 07/12/00 $11,985,000 $11,960,940
6.580% due 07/18/00 20,000,000 19,937,856
Motiva Enterprise
6.520% due 07/18/00 20,898,000 20,833,657
6.530% due 08/09/00 13,000,000 12,908,036
New York Times Co
6.500% due 07/07/00 8,881,000 8,871,379
6.980% due 07/03/00 16,650,000 16,643,544
Nike Inc
6.520% due 07/12/00 20,300,000 20,259,558
6.520% due 07/27/00 23,000,000 22,891,696
San Bernardino
8.300% due 09/02/00 15,000,000 15,037,546
SBC Communications Inc
6.550% due 07/19/00 25,000,000 24,918,125
Snap On Inc
6.550% due 08/07/00 ~ 20,000,000 19,865,361
6.560% due 07/10/00 ~ 19,250,000 19,218,430
Tribune Co
6.560% due 08/01/00 ~ 17,400,000 17,301,709
Wal-Mart Stores
5.955% due 06/01/01 ~ 10,000,000 9,869,763
Washington Post
6.510% due 07/06/00 ~ 28,000,000 27,974,683
Wisconsin Energy Corp
6.530% due 07/14/00 ~ 13,771,000 13,738,527
6.530% due 07/21/00 ~ 10,000,000 9,963,722
--------------
Total Commercial Paper 867,415,596
--------------
MORTGAGE-BACKED SECURITY - 0.71%
Federal National Mortgage Association - 0.71%
6.910% due 05/17/01 " 7,000,000 7,000,000
--------------
Total Mortgage-Backed Security 7,000,000
--------------
OTHER ASSET-BACKED SECURITIES - 11.60%
CNH Equipment Trust
6.178% due 04/09/01 " 11,032,488 11,032,488
Ford Credit Auto Trust
6.621% due 10/15/00 " 40,000,000 40,000,000
Navister Financial Corp Owner Trust
6.080% due 03/15/01 " 8,055,828 8,055,828
Nissan Motor Acceptance Corp
6.125% due 02/15/01 " 15,564,590 15,564,590
WFS Financial Auto Trust
6.910% due 05/20/01 " 40,000,000 40,000,000
-------------
Total Other Asset-Backed Securities 114,652,906
-------------
See Notes to Financial Statements See explanation of symbols on D-88
D-79
<PAGE>
PACIFIC SELECT FUND
MONEY MARKET PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal
Amount Value
------ -----
STUDENT-LOAN-BACKED SECURITIES - 5.06%
Student Loan Marketing Association - 5.06%
5.994% due 09/21/00 $30,000,000 $29,996,778
6.044% due 08/17/00 20,000,000 20,000,000
--------------
Total Student-Loan-Backed Securities 49,996,778
--------------
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.00%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 6/30/00, repurchase price
of $28,012; collateralized by U.S.
Treasury Notes--market value
$30,500 and due 02/15/21) 28,000 28,000
--------------
Total Securities Held Under Repurchase
Agreement 28,000
--------------
Total Short-Term Investments
(Cost $1,039,093,280) 1,039,093,280
--------------
TOTAL INVESTMENTS - 105.13%
(Cost $1,039,093,280) 1,039,093,280
OTHER ASSETS AND
LIABILITIES, NET - (5.13%) (50,748,062)
--------------
NET ASSETS - 100.00% $988,345,218
--------------
See Notes to Financial Statements
D-80
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
CONVERTIBLE PREFERRED STOCKS - 0.75%
Consumer Discretionary - 0.75%
CSC Holdings Inc 11,787 $1,243,529
Primedia Inc 'H' 25,000 2,156,250
--------------
3,399,779
--------------
Total Convertible Preferred Stocks
(Cost $3,244,653) 3,399,779
--------------
COMMON STOCK WARRANT - 0.01%
Utilities - 0.01%
Metricom Inc * 3,000 60,000
--------------
Total Common Stock Warrant
(Cost $5) 60,000
--------------
Principal
Amount
------
CORPORATE BONDS & NOTES - 78.47%
Autos & Transportation - 3.87%
Accuride Corp
9.250% due 02/01/08 $4,500,000 3,802,500
Amtran Inc
9.625% due 12/15/05 3,000,000 2,632,500
10.500% due 08/01/04 1,000,000 927,500
Delco Remy International Inc
10.625% due 08/01/06 2,000,000 1,970,000
Federal-Mogul Corp
7.750% due 07/01/06 2,000,000 1,455,000
Hayes Lemmerz International Inc
8.250% due 12/15/08 2,500,000 2,125,000
Hayes Wheels International Inc
9.125% due 07/15/07 2,500,000 2,250,000
Holt Group Inc
9.750% due 01/15/06 700,000 70,000
MascoTech Inc
4.500% due 12/15/03 1,000,000 751,250
Westinghouse Air Brake Co
9.375% due 06/15/05 1,500,000 1,455,000
--------------
17,438,750
--------------
Consumer Discretionary - 26.17%
Allied Waste Industries Inc
7.875% due 01/01/09 2,500,000 2,143,750
10.000% due 08/01/09 4,000,000 3,360,000
Anvil Knitwear
10.875% due 03/15/07 1,000,000 882,500
Avis Rent A Car Inc
11.000% due 05/01/09 4,500,000 4,713,750
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Capstar Hotel Co
8.750% due 08/15/07 $1,500,000 $1,372,500
Chancellor Media Corp
9.000% due 10/01/08 3,000,000 3,097,500
Citadel Communications Corp
9.250% due 11/15/08 3,750,000 3,656,250
CKE Restaurants Inc
9.125% due 05/01/09 1,500,000 1,012,500
CSC Holdings Inc
9.250% due 11/01/05 2,000,000 2,022,500
Exodus Communications Inc
11.375% due 07/15/08 ~
(Principal in European Dollar) 6,000,000 5,882,219
Ferrellgas Partners
9.375% due 06/15/06 2,000,000 1,930,000
Foodmaker Inc
8.375% due 04/15/08 3,000,000 2,805,000
Fox Family Worldwide
9.250% due 11/01/07 3,000,000 2,715,000
Garden State Newspapers Inc
8.625% due 07/01/11 1,500,000 1,312,500
8.750% due 10/01/09 2,000,000 1,780,000
Globalstar/LP Capital Corp
10.750% due 11/01/04 ~ 1,500,000 427,500
11.375% due 02/15/04 2,250,000 675,000
Gray Communications Systems
10.625% due 10/01/06 1,000,000 1,000,000
Harrahs Operating Co Inc
7.875% due 12/15/05 2,000,000 1,885,000
HMH Properties Inc
7.875% due 08/01/08 2,000,000 1,805,000
Hollinger International Inc
9.250% due 03/15/07 1,000,000 990,000
Hollywood Park Inc
9.250% due 02/15/07 1,000,000 1,000,000
Host Marriott Corp
8.375% due 02/15/06 1,000,000 935,000
International Game Technology
7.875% due 05/15/04 2,000,000 1,930,000
8.375% due 05/15/09 4,000,000 3,800,000
Iron Mountain Inc
10.125% due 10/01/06 2,000,000 2,010,000
IT Group Inc
11.250% due 04/01/09 1,000,000 900,000
John Q Hammons Hotels LP
8.875% due 02/15/04 500,000 442,500
9.750% due 10/01/05 3,000,000 2,655,000
Loral Space & Communications
9.500% due 01/15/06 2,000,000 1,460,000
MGM Grand Inc
9.750% due 06/01/07 4,000,000 4,090,000
Mohegan Tribal Gaming Authority
8.750% due 01/01/09 1,500,000 1,432,500
Nebraska Book Co Inc
8.750% due 02/15/08 4,000,000 3,100,000
Pegasus Communications Corp
9.625% due 10/15/05 2,000,000 1,940,000
9.750% due 12/01/06 2,500,000 2,418,750
See Notes to Financial Statements See explanation of symbols on D-88
D-81
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
----------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
Premier Parks Inc
9.250% due 04/01/06 $2,500,000 $2,362,500
9.750% due 06/15/07 2,500,000 2,428,125
Prime Hospitality Inc
9.750% due 04/01/07 3,000,000 2,910,000
Primedia Inc
8.500% due 02/01/06 2,500,000 2,375,000
Rent A Center Inc
11.000% due 08/15/08 4,250,000 4,143,750
Rose Hills Acquisition Corp
9.500% due 11/15/04 3,500,000 2,292,500
SFX Entertainment Inc
9.125% due 02/01/08 3,500,000 3,535,000
Sinclair Broadcast Group 'A'
8.750% due 12/15/07 1,000,000 885,000
9.000% due 07/15/07 3,000,000 2,707,500
Sleepmaster LLC
11.000% due 05/15/09 2,500,000 2,375,000
Stater Brothers Holdings Inc
10.750% due 08/15/06 1,500,000 1,327,500
Station Casinos Inc
8.875% due 12/01/08 3,000,000 2,872,500
9.875% due 07/01/10 ~ 1,500,000 1,511,250
10.125% due 03/15/06 1,000,000 1,017,500
Sun International Hotels
8.625% due 12/15/07 1,000,000 910,000
9.000% due 03/15/07 3,750,000 3,510,937
T/SF COMM Corp
10.375% due 11/01/07 1,000,000 935,000
TV Guide Inc
8.125% due 03/01/09 3,000,000 3,007,500
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 1,272,500
-------------
118,021,281
-------------
Consumer Staples - 2.59%
7-Eleven Inc
5.000% due 12/15/03 350,000 304,937
Aurora Foods Inc
9.875% due 02/15/07 2,900,000 1,696,500
B&G Foods Inc
9.625% due 08/01/07 1,000,000 705,000
Carrols Corp
9.500% due 12/01/08 2,500,000 2,100,000
Chiquita Brands International Inc
9.125% due 03/01/04 500,000 397,500
10.250% due 11/01/06 1,500,000 1,200,000
Eagle Family Foods Inc
8.750% due 01/15/08 3,000,000 1,785,000
Imperial Holly Corp
9.750% due 12/15/07 3,000,000 588,750
Riverwood International
10.250% due 04/01/06 2,000,000 1,930,000
10.625% due 08/01/07 1,000,000 975,000
-------------
11,682,687
-------------
----------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
Financial Services - 2.91%
Bank United Corp
8.875% due 05/01/07 $2,000,000 $1,790,000
Bear Island
10.000% due 12/01/07 2,000,000 1,760,000
Sovereign Bancorp Inc
10.250% due 05/15/04 1,000,000 992,500
10.500% due 11/15/06 2,500,000 2,481,250
United Rentals Inc
9.000% due 04/01/09 4,000,000 3,560,000
Willis Corroon Corp
9.000% due 02/01/09 3,000,000 2,535,000
-------------
13,118,750
-------------
Health Care - 1.94%
Lifepoint Hospitals Inc
10.750% due 05/15/09 2,000,000 2,070,000
Tenet Healthcare Corp
8.125% due 12/01/08 3,000,000 2,760,000
8.625% due 01/15/07 3,000,000 2,880,000
9.250% due 09/01/10 ~ 1,000,000 1,012,500
-------------
8,722,500
-------------
Integrated Oils - 1.67%
Frontier Oil Corp
11.750% due 11/15/09 2,000,000 2,010,000
Giant Industries
9.750% due 11/15/03 2,000,000 1,955,000
Tesoro Petroleum Corp
9.000% due 07/01/08 3,750,000 3,581,250
-------------
7,546,250
-------------
Materials & Processing - 8.95%
AK Steel Holding Corp
7.875% due 02/15/09 2,000,000 1,785,000
9.125% due 12/15/06 1,000,000 962,500
Atrium Cos Inc
10.500% due 05/01/09 4,000,000 3,390,000
Ispat Inland LP Senior Security Credit 'B'
8.351% due 07/14/05 2,456,250 2,425,547
Ispat Inland LP Senior Security Credit 'C'
8.851% due 07/14/06 2,456,250 2,425,547
Lyondell Chemical Co
9.625% due 05/01/07 4,000,000 3,950,000
Morrison Knudsen Corp
11.000% due 07/01/10 ~ 5,000,000 5,000,000
Nortek Inc
8.875% due 08/01/08 3,375,000 3,071,250
P&L Coal Holdings
8.875% due 05/15/08 3,000,000 2,842,500
9.625% due 05/15/08 2,000,000 1,865,000
Polymer Group Inc
9.000% due 07/01/07 3,000,000 2,565,000
Rogers Corp
8.300% due 10/01/07 3,000,000 2,947,500
10.000% due 12/01/07 1,000,000 1,027,500
See Notes to Financial Statements See explanation of symbols on D-88
D-82
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
Ryerson Tull Inc
9.125% due 07/15/06 $1,000,000 $1,041,250
Wesco Distributor
9.125% due 06/01/08 3,000,000 2,760,000
Wheeling Pittsburgh Corp
9.250% due 11/15/07 3,000,000 2,310,000
------------
40,368,594
------------
Other Energy - 6.31%
AES Corp
8.000% due 12/31/08 1,000,000 895,000
8.500% due 11/01/07 4,500,000 4,128,750
10.250% due 07/15/06 4,000,000 4,010,000
Calpine Corp
8.750% due 07/15/07 1,000,000 976,250
10.500% due 05/15/06 1,500,000 1,567,500
Chesapeake Energy Co
9.625% due 05/01/05 3,000,000 2,925,000
Comstock Resources Inc
11.250% due 05/01/07 2,000,000 2,042,500
Cross Timbers Oil Co
8.750% due 11/01/09 2,500,000 2,387,500
DI Industries
8.875% due 07/01/07 1,750,000 1,671,250
HS Resources Inc
9.250% due 11/15/06 2,500,000 2,443,750
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 3,030,000
------------
28,433,375
------------
Producer Durables - 4.52%
BE Aerospace Inc
9.875% due 02/01/06 2,500,000 2,387,500
Blount Inc
13.000% due 08/01/09 2,500,000 2,562,500
Columbus McKinnon Corp
8.500% due 04/01/08 3,500,000 3,027,500
Crown Castle International Corp
10.750% due 08/01/11 2,000,000 1,232,500
Crown Castle International Corp Step-up
0.000% due 05/15/04 1,000,000 1,018,750
Graham Packaging Co
9.845% due 01/15/08 3,500,000 2,957,500
L-3 Communications Holdings Inc
8.000% due 08/01/08 1,500,000 1,331,250
8.500% due 05/15/08 3,500,000 3,237,500
Portala Packing Inc
10.750% due 10/01/05 2,000,000 1,630,000
Tekni-Plex Inc
12.750% due 06/15/10 ~ 1,000,000 1,005,000
------------
20,390,000
------------
Technology - 3.80%
Amkor Technologies
9.250% due 05/01/06 2,000,000 1,982,500
Globix Corp
12.500% due 02/01/10 1,500,000 1,237,500
------------------------------------------------------------------------
Principal Market
Amount Value
------ -----
MetroMedia Fiber Network Inc
10.000% due 11/15/08 $1,500,000 $1,485,000
NorthPoint Communications
12.875% due 02/15/10 ~ 1,000,000 725,000
Orion Network
11.250% due 01/15/07 1,250,000 762,500
PSINet Inc
10.000% due 02/15/05 2,000,000 1,850,000
10.500% due 12/01/06 500,000 465,000
11.500% due 11/01/08 1,000,000 950,000
Rhythms NetConnections Inc
14.000% due 02/15/10 ~ 1,000,000 730,000
SpectraSite Holdings
10.750% due 03/15/10 ~ 1,500,000 1,503,750
12.875% due 03/15/10 ~ 2,800,000 1,540,000
Verio Inc
10.625% due 11/15/09 ~ 1,500,000 1,670,625
11.250% due 12/01/08 2,000,000 2,255,000
------------
17,156,875
------------
Utilities - 15.74%
Adelphia Communications Corp
8.375% due 02/01/08 3,000,000 2,666,250
Advanstar Communications
9.250% due 05/01/08 3,500,000 3,377,500
Alamosa PCS Holdings Inc Step-up
0.000% due 02/15/05 5,000,000 2,625,000
Azurix Corp
10.375% due 02/15/07 ~ 1,500,000 1,455,000
10.750% due 02/15/10 ~ 1,500,000 1,451,250
BTI Telecom Corp
10.500% due 09/15/07 2,000,000 1,532,500
Call-Net Enterprises Inc
9.375% due 05/15/09 5,000,000 3,100,000
CapRock Communications Corp
11.500% due 05/01/09 4,000,000 3,620,000
Charter Communications Holdings
8.625% due 04/01/09 3,000,000 2,651,250
10.000% due 04/01/09 2,000,000 1,940,000
Dobson Communications Corp
10.875% due 07/01/10 ~ 2,000,000 2,020,000
Fairpoint Communications
12.500% due 05/01/10 ~ 2,500,000 2,537,500
GT Group Telecom Inc Step-up
0.000% due 02/01/10 ~ 2,750,000 1,540,000
Hermes Euro Rail
11.500% due 08/15/07 3,500,000 3,080,000
ICG Services Inc Step-up
0.000% due 02/15/03 2,000,000 1,050,000
Leap Wireless International Inc
12.500% due 04/15/10 ~ 3,500,000 3,097,500
Level 3 Communications Inc
10.750% due 03/15/08 ~
(Principal in Euro) 3,000,000 2,709,835
11.000% due 03/15/08 ~ 3,000,000 2,985,000
McLeodUSAInc
9.250% due 07/15/07 3,000,000 2,910,000
See Notes to Financial Statements See explanation of symbols on D-88
D-83
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Metricom Inc
13.000% due 02/15/10 $1,000,000 $690,000
Nextel Communications Inc
9.375% due 11/15/09 6,500,000 6,240,000
NEXTLINK Communications Inc
10.750% due 11/15/08 1,000,000 990,000
10.750% due 06/01/09 3,000,000 2,970,000
NEXTLINK Communications Inc Step-up
0.000% due 12/01/04 ~ 1,750,000 1,015,000
NTL Inc
0.000% due 04/01/03 3,000,000 1,920,000
10.000% due 02/15/07 3,000,000 2,850,000
RCN Corp
10.125% due 01/15/10 500,000 418,750
SBA Communications Corp Step-up
0.000% due 03/01/03 ~ 2,000,000 1,420,000
Telecorp PCS Inc
11.625% due 04/15/04 2,000,000 1,315,000
Triton PCS Inc Step-Up
0.000% due 05/01/03 2,000,000 1,460,000
VoiceStream Wireless Corp Step-up
0.000% due 11/15/04 2,000,000 1,355,000
Williams Communications Group Inc
10.875% due 10/01/09 2,000,000 1,965,000
--------------
70,957,335
--------------
Total Corporate Bonds & Notes
(Cost $404,445,021) 353,836,397
--------------
CONVERTIBLE CORPORATE BONDS & NOTES - 0.32%
Producer Durables - 0.10%
FMC Corp
6.750% due 01/16/05 500,000 440,000
--------------
Utilities - 0.22%
Rogers Corp
2.000% due 11/26/05 1,000,000 980,000
--------------
Total Convertible Corporate Bonds & Notes
(Cost $1,162,479) 1,420,000
--------------
U.S. TREASURY BOND - 0.65%
5.625% due 02/15/06 3,000,000 2,910,000
--------------
Total U.S. Treasury Bond
(Cost $3,056,895) 2,910,000
--------------
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
FOREIGN BONDS - 12.51%
Bermuda - 1.72%
Global Crossing Holdings Ltd
9.125% due 11/15/06 $3,500,000 $3,368,750
9.500% due 11/15/09 1,000,000 970,000
9.625% due 05/15/08 3,500,000 3,412,500
--------------
7,751,250
--------------
Brazil - 0.38%
Globo Communicaco
10.625% due 12/05/08 ~ 2,000,000 1,700,000
--------------
Canada - 1.16%
Clearnet Communications
0.000% due 05/01/04 3,000,000 1,815,000
MDC Corp
10.500% due 12/01/06 1,500,000 1,447,500
Pacifica Papers Inc
10.000% due 03/15/09 2,000,000 1,975,000
--------------
5,237,500
--------------
China - 0.35%
APP China Group Ltd
14.000% due 03/15/10 ~ 2,500,000 1,581,250
--------------
Germany - 0.98%
Callahan Nordrhein Westfalen
14.000% due 07/15/10 ~ 3,000,000 3,000,000
Fresensius Med Care Capital Trust
9.000% due 12/01/06 1,500,000 1,428,750
--------------
4,428,750
--------------
Indonesia - 0.27%
Indah Kiat Pulp & Paper Corp
10.000% due 07/01/07 2,000,000 1,232,500
--------------
Mexico - 1.87%
Alestra Sa De Rl De Cv
12.625% due 05/15/09 2,000,000 1,812,500
Maxcom Telecommunications
13.750% due 04/01/07 ~ 2,500,000 2,231,250
Monterrey Power SA
9.625% due 11/15/09 ~ 2,500,000 2,350,000
Petro Mexicanos
9.500% due 09/15/27 2,000,000 2,025,000
--------------
8,418,750
--------------
Netherlands - 2.40%
Kappa Beheer BV
10.625% due 07/15/09 2,000,000 2,040,000
United Pan Europe Communications NV
10.875% due 11/01/07 2,000,000 1,840,000
10.875% due 08/01/09 2,000,000 1,780,000
See Notes to Financial Statements See explanation of symbols on D-88
D-84
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Versatel Telecom International BV
13.250% due 05/15/08 $3,750,000 $3,834,375
Versatel Telecom International NV
11.250% due 03/30/10 ~
(Principal in Euro) 1,500,000 1,333,411
--------------
10,827,786
--------------
Philippines - 0.35%
Philippines Long Distance
8.350% due 03/06/17 1,000,000 670,559
9.250% due 06/30/06 1,000,000 888,392
--------------
1,558,951
--------------
Poland - 1.11%
Netia Holdings BV
10.250% due 11/01/07 3,000,000 2,508,750
13.125% due 06/15/09 1,000,000 955,000
PTC International Finance
11.250% due 12/01/09 1,500,000 1,530,000
--------------
4,993,750
--------------
Singapore - 0.22%
Flextronics International
9.875% due 07/01/10 ~ 1,000,000 1,012,500
--------------
United Kingdom - 1.70%
Regional Independent Media Group
10.500% due 07/01/08 1,500,000 1,507,500
Swiss Life Finance
2.000% due 05/20/03 ~ 500,000 498,125
Telewest Communications PLC
0.000% due 04/15/04 750,000 421,875
9.625% due 10/01/06 4,000,000 3,820,000
9.875% due 02/01/10 ~ 1,000,000 935,000
11.250% due 11/01/08 500,000 502,500
--------------
7,685,000
--------------
Total Foreign Bonds
(Cost $40,138,563) 56,427,987
--------------
FOREIGN GOVERNMENT BONDS - 2.07%
Argentina - 0.65%
Republic of Argentina
6.312% due 03/31/05 3,200,000 2,928,000
--------------
Brazil - 0.50%
Brazil 'C' Bond Var Brady
8.000% due 04/15/14 3,078,525 2,270,412
--------------
---------------------------------------------------------------
Principal Market
Amount Value
------ -----
Bulgaria - 0.18%
Bulgaria IAB
6.500% due 07/28/11 $1,000,000 $800,000
--------------
Russia - 0.38%
Russian Federation
12.750% due 06/24/28 2,000,000 1,730,000
--------------
Turkey - 0.23%
Republic of Turkey
11.750% due 06/15/10 1,000,000 1,025,000
--------------
Venezuela - 0.13%
Venezuela
7.000% due 12/18/07 714,280 582,138
--------------
Total Foreign Government Bonds
(Cost $8,460,528) 9,335,550
--------------
Value
-----
SHORT-TERM INVESTMENTS - 4.85%
COMMERCIAL PAPER - 4.84%
AT&T Corp
6.680% due 07/11/00 3,500,000 3,493,505
Baltimore Gas & Electric
6.650% due 07/13/00 2,500,000 2,494,458
BellSouth Corp
6.550% due 07/07/00 4,355,000 4,350,246
Edison International
6.700% due 07/10/00 ~ 2,030,000 2,026,600
Ford Motor Credit
6.600% due 07/05/00 2,500,000 2,498,167
Nike Inc
6.520% due 07/27/00 2,000,000 1,990,582
Nordstrom Inc
6.700% due 07/11/00 3,000,000 2,994,417
Washington Post
6.510% due 07/06/00 ~ 2,000,000 1,998,192
--------------
Total Commercial Paper 21,846,167
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-85
<PAGE>
PACIFIC SELECT FUND
HIGH YIELD BOND PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Principal
Amount Value
------ -----
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 0.01%
State Street Bank and Trust
5.250% due 07/03/00
(Dated 06/30/00, repurchase price
of $47,021; collateralized by U.S.
Treasury Bonds--market value
$50,125 and due 04/15/29) $47,000 $47,000
--------------
Total Securities Held Under Repurchase
Agreement 47,000
--------------
Total Short-Term Investments
(Cost $21,893,167) 21,893,167
--------------
TOTAL INVESTMENTS - 99.63%
(Cost $482,401,311) 449,282,880
OTHER ASSETS AND
LIABILITIES, NET - 0.37% 1,645,988
--------------
NET ASSETS - 100.00% $450,928,868
--------------
---------------------------------------------------------------
Notes to Schedule of Investments
--------------------------------
(a) Swap agreements outstanding at June 30, 2000:
Notional Unrealized
Type Amount Appreciation
-------------------------------------------------------------------------
Receive fixed rate equal to 12.875% and the
Portfolio will pay to the counterparty at par
in the event of default of Level 3 Communications
Inc 10.750% due 03/15/08.
Broker: Morgan Stanley
Exp. 03/15/08 $3,000,000 $201,000
Receive fixed rate equal to 14.050% and the
Portfolio will pay to the counterparty at par
in the event of default of Versatel Telecom
International NV 11.250% due 03/30/10.
Broker: Morgan Stanley
Exp. 03/30/10 1,500,000 77,000
--------------
$278,000
--------------
(b) At June 30, 2000, the net unrealized
appreciation (depreciation) of investments
based on cost of investments for Federal income
tax purposes was as follows:
Tax cost basis $482,401,311
--------------
Aggregate gross unrealized appreciation for all
investments in which there was an excess of value
over tax cost $3,267,717
Aggregate gross unrealized depreciation for all
investments in which there was an excess of tax
cost over value (36,386,148)
--------------
Net unrealized depreciation ($33,118,431)
--------------
See Notes to Financial Statements
D-86
<PAGE>
PACIFIC SELECT FUND
LARGE-CAP VALUE PORTFOLIO
Schedule of Investments
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
COMMON STOCKS - 87.57%
Consumer Discretionary - 8.81%
AT&T Corp - Liberty Media Group 'A' * 85,800 $2,080,650
Costco Wholesale Corp * 126,100 4,161,300
Delhaize America Inc 74,900 1,324,794
Federated Department Stores * 92,600 3,125,250
Kimberly-Clark Corp 53,000 3,040,875
McDonalds Corp 50,400 1,660,050
Target Corp 54,200 3,143,600
--------------
18,536,519
--------------
Consumer Staples - 14.72%
Albertson's Inc 25,200 837,900
Coca-Cola Enterprises Inc 133,000 2,169,562
Nabisco Group Holdings Corp 'A' 213,700 5,542,844
Pepsi Bottling Group Inc 165,200 4,821,775
PepsiCo Inc 56,800 2,524,050
Philip Morris Cos Inc 134,900 3,583,281
Ralston Purina Group 139,400 2,779,287
RJ Reynolds Tobacco Holdings 94,600 2,642,887
Safeway Inc * 103,400 4,665,925
Tyson Foods Inc 'A' 162,300 1,420,125
--------------
30,987,636
--------------
Financial Services - 16.68%
American Express Co 36,300 1,892,137
American General Corp 29,000 1,769,000
Associates First Capital Corp 92,100 2,054,981
Bank of New York Co Inc 99,600 4,631,400
Chase Manhattan Corp 71,900 3,311,894
Comerica Inc 45,400 2,037,325
Equity Office Properties 37,800 1,041,862
FHLMC 45,400 1,838,700
FleetBoston Financial Corp 83,800 2,849,200
Household International Inc 97,100 4,035,719
MBNA Corp 98,400 2,669,100
Morgan Stanley Dean Witter Co 37,800 3,146,850
U.S. Bancorp 46,000 885,500
Washington Mutual Inc 102,200 2,951,025
--------------
35,114,693
--------------
Health Care - 8.07%
Abbott Laboratories Inc 55,500 2,473,219
American Home Products Corp 46,700 2,743,625
Lilly (Eli) & Co 20,200 2,017,475
Merck & Co Inc 50,400 3,861,900
Pharmacia Corp 86,700 4,481,306
Schering-Plough Corp 27,700 1,398,850
--------------
16,976,375
--------------
Integrated Oils - 3.78%
Amerada Hess Corp 37,800 2,334,150
Coastal Corp 31,600 1,923,650
Conoco Inc 'A' 119,800 2,635,600
USX-Marathon Group 42,000 1,052,625
--------------
7,946,025
--------------
---------------------------------------------------------------
Market
Shares Value
------ -----
Materials & Processing - 3.67%
Alcatel Alsthom SA 33,000 $2,194,500
Alcoa Inc 94,600 2,743,400
International Paper Co 93,300 2,781,506
--------------
7,719,406
--------------
Other - 1.59%
Honeywell International Inc 99,600 3,355,275
--------------
Other Energy - 2.46%
Burlington Resources Inc 63,600 2,432,700
Williams Cos Inc 65,600 2,734,700
--------------
5,167,400
--------------
Producer Durables - 1.94%
Applied Materials Inc * 22,700 2,057,188
Ingersoll-Rand Co 50,400 2,028,600
--------------
4,085,788
--------------
Technology - 17.10%
3Com Corp * 78,600 4,529,325
Compaq Computer Corp 153,900 3,934,069
Computer Associates International Inc 46,700 2,390,456
Corning Inc 4,300 1,160,463
General Motors 'H' * 12,100 1,061,775
Hewlett-Packard Co 22,700 2,834,663
IBM Corp 42,900 4,700,231
Intel Corp 18,900 2,526,694
Micron Technology Inc 27,702 2,439,506
Motorola Inc 37,700 1,095,656
National Semiconductor Corp * 84,500 4,795,375
Seagate Technology Inc * 41,600 2,288,000
Tellabs Inc * 32,800 2,244,750
--------------
36,000,963
--------------
Utilities - 8.75%
Alltel Corp 37,800 2,341,238
Bell Atlantic Corp 71,900 3,653,419
GTE Corp 60,500 3,766,125
SBC Communications Inc 107,200 4,636,400
WorldCom Inc * 87,700 4,023,238
--------------
18,420,420
--------------
Total Common Stocks
(Cost $174,052,656) 184,310,500
--------------
FOREIGN COMMON STOCKS - 7.83%
Australia - 1.71%
News Corp Ltd 75,700 3,595,750
--------------
See Notes to Financial Statements See explanation of symbols on D-88
D-87
<PAGE>
PACIFIC SELECT FUND
LARGE-CAP VALUE PORTFOLIO
Schedule of Investments (Continued)
June 30, 2000 (Unaudited)
---------------------------------------------------------------
Market
Shares Value
------ -----
Canada - 1.83%
Canadian National Railway Co 70,600 $2,060,637
Canadian Pacific Ltd 68,100 1,783,369
--------------
3,844,006
--------------
France - 1.70%
Total Fina SA 46,700 3,587,144
--------------
Netherlands - 1.51%
Royal Dutch Petroleum Guilder 51,700 3,182,781
--------------
Switzerland - 1.08%
Novartis AG - ADR 56,800 2,272,000
--------------
Total Foreign Common Stocks
(Cost $14,554,085) 16,481,681
--------------
Principal
Amount
------
CONVERTIBLE CORPORATE BONDS & NOTES - 0.49%
Utilities - 0.49%
NTL Inc
5.750% due 12/15/09 ~ $750,000 592,500
7.000% due 12/15/08 275,000 441,375
--------------
1,033,875
--------------
Total Convertible Corporate Bonds & Notes
(Cost $1,095,666) 1,033,875
--------------
SHORT-TERM INVESTMENT - 7.29%
SECURITIES HELD UNDER REPURCHASE
AGREEMENT - 7.29%
State Street Bank and Trust
6.400% due 07/03/00
(Dated 06/30/00, repurchase price
of $15,351,183; collateralized by U.S.
Treasury Bonds--market value
$15,655,406 and due 08/15/25) 15,343,000 15,343,000
--------------
Total Securities Held Under Repurchase
Agreement 15,343,000
--------------
Total Short-Term Investment
(Cost $15,343,000) 15,343,000
--------------
---------------------------------------------------------------
Value
-----
TOTAL INVESTMENTS - 103.18%
(Cost $205,045,407) $217,169,056
OTHER ASSETS AND
LIABILITIES, NET - (3.18%) (6,684,928)
-------------
NET ASSETS - 100.00 % $210,484,128
-------------
Notes to Schedule of Investments
--------------------------------
(a) At June 30, 2000, the net unrealized appreciation (depreciation)
of investments based on cost of investments for Federal income tax
purposes was as follows:
Tax cost basis $205,045,407
-------------
Aggregate gross unrealized appreciation for all investments
in which there was an excess of value over tax cost $23,642,176
Aggregate gross unrealized depreciation for all investments
in which there was an excess of tax cost over value (11,518,527)
-------------
Net unrealized appreciation $12,123,649
-------------
--------------------------------------------------------------
Explanation of Symbols for Schedules of Investments
---------------------------------------------------
~ Securities purchased in a private placement transaction;
resale to the public may require registration.
# Forward buy contract.
+ Securities are valued under procedures established by
the Board of Trustees.
* Non-income producing securities.
** Securities have been fully/partially segregated with the
custodian to cover margin requirements for open futures
contracts as of June 30, 2000.
" 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-88
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS
(Unaudited)
1. ORGANIZATION
The Pacific Select Fund (the ''Fund'') is registered under the Investment
Company Act of 1940, as amended, as an open-end, diversified management
investment company, organized as a Massachusetts business trust on May 4, 1987.
The Fund currently consists of twenty-one separate portfolios (the
''Portfolios''): the Aggressive Equity Portfolio, the Emerging Markets
Portfolio, the Diversified Research Portfolio, the Small-Cap Equity Portfolio
(formerly the Growth Portfolio), the International Large-Cap Portfolio, the
Bond and Income Portfolio, the Equity Portfolio, the I-Net Tollkeeper
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 Value
Portfolio (formerly 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>
<C> <S>
Aggressive Capital appreciation.
Equity
--------------------------------------------------------------------------------
Emerging Markets Long-term growth of capital.
--------------------------------------------------------------------------------
Diversified Long-term growth of capital.
Research
--------------------------------------------------------------------------------
Small-Cap Equity Growth of capital.
--------------------------------------------------------------------------------
International Long-term growth of capital.
Large-Cap
--------------------------------------------------------------------------------
Bond and Income Total return and income consistent with prudent investment
management.
--------------------------------------------------------------------------------
Equity Capital appreciation. Current income is of secondary
importance.
--------------------------------------------------------------------------------
I-Net Tollkeeper Long-term growth of capital.
--------------------------------------------------------------------------------
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 U.S.
--------------------------------------------------------------------------------
Small-Cap Index Investment results that correspond to the total return of an
index of small capitalization companies.
--------------------------------------------------------------------------------
REIT Current income and long-term capital appreciation.
--------------------------------------------------------------------------------
International Long-term capital appreciation primarily through investment
Value in equity securities of corporations domiciled in countries
other than the U.S.
--------------------------------------------------------------------------------
Government Maximize total return consistent with prudent investment
Securities 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 June 30, 2000, 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, Separate
Account B, and Pacific Corinthian Variable Separate Account of Pacific Life
Insurance Company (''Pacific Life''), and Pacific Select Exec Separate Account
of Pacific Life & Annuity Company, a wholly-owned subsidiary of 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, the
Diversified Research Portfolio and the International Large-Cap Portfolio which
commenced operations on January 3, 2000, the I-Net Tollkeeper Portfolio which
commenced operations on May 1, 2000, 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
accounting principles generally accepted in the United States of America 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 4% and 7% of the Government Securities and Managed Bond
Portfolios' investments, respectively, at June 30, 2000). Money market
instruments are valued at amortized cost, which approximates market value.
E-1
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
B. Securities Transactions and Investment Income
Securities transactions are recorded on a trade date basis. Dividend income is
recorded on the ex-dividend date or, for certain foreign dividends, as soon as
the Portfolio becomes aware of the dividends. Interest income is recorded on
the accrual basis. Realized gains and losses from securities transactions are
recorded on the basis of identified cost.
C. Foreign Currency Translation
Foreign securities, which are not traded in U.S. currency, are recorded in the
financial statements after translation to U.S. dollars based on the applicable
exchange rates at the end of the period. Related dividends, interest and
withholding taxes are accrued at the rates of exchange prevailing on the
respective dates of such transactions. Pursuant to U.S. Federal income tax
regulations, the Fund computes the effect of changes in foreign exchange rates
from the fluctuations arising from changes in market prices on the sale of
foreign currency denominated debt obligations. This foreign exchange component
of the net gains or losses realized on the sales and maturities of such debt
obligations is treated as ordinary income or loss for Federal income tax
purposes.
The Fund isolates that portion of the results of operations resulting from
changes in foreign exchange rates on investments from the fluctuations arising
from changes in market prices of securities held. Such fluctuations are
reported as net realized and unrealized foreign exchange gain or loss.
Reported net realized foreign exchange gains and losses arise from sales of
portfolio securities, sales and maturities of short-term securities, sales of
foreign currencies, currency gains or losses realized between the trade and
settlement dates on securities transactions, the difference between the amounts
of dividends, interest, and foreign withholding taxes recorded on the Fund's
books, and the U.S. dollar equivalent of the amounts actually received or paid.
Net unrealized foreign exchange gains and losses arise from changes in the
value of assets and liabilities, including investments in securities at the
period-end, resulting from changes in the exchange rate. 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 for the period ended June 30,
2000 is shown net of foreign taxes withheld on dividends from foreign
securities. Foreign taxes withheld were as follows: Emerging Markets
Portfolio--$166,912; Diversified Research Portfolio--$1,299; Small-Cap Equity
Portfolio--$2,781; International Large-Cap Portfolio--$82,879; Bond and Income
Portfolio--$108; Multi-Strategy Portfolio--$26,449; Equity Income Portfolio--
$67,464; Growth LT Portfolio--$317,815; Equity Index Portfolio--$76,406; Small-
Cap Index Portfolio--$224; REIT Portfolio--$8,998; International Value
Portfolio--$1,639,775; Large-Cap Value Portfolio--$8,568.
F. Expense Allocation
General expenses of the Fund (including trustees, legal and audit fees, and
proxy and shareholder meeting costs) are allocated among the Portfolios in
proportion to their relative average daily net assets. Expenses, which relate
exclusively to a particular, Portfolio (including advisory fees, registration
fees, brokerage commissions, interest expenses and certain taxes) are borne
directly by the particular Portfolio.
G. Organization Costs
Expenses incurred in connection with the Fund's organization and establishment
of the Aggressive Equity Portfolio and the Emerging Markets Portfolio in 1996
and the public offering of the shares of those Portfolios aggregated
approximately $23,410 per Portfolio. These costs have been deferred and are
being amortized over a period of five years at the rates of 10%, 15%, and 25%
in years one, two, and three through five, respectively. At June 30, 2000, the
unamortized balance of such expenses amounted to $2,945 each for the Aggressive
Equity Portfolio and the Emerging Markets Portfolio.
Expenses incurred in connection with the Fund's organization and establishment
of the Diversified Research Portfolio and the International Large-Cap Portfolio
in 1999, and the I-Net Tollkeeper Portfolio in 2000 and the public offering of
the shares of those Portfolios, aggregated approximately $19,733 per Portfolio
for the Diversified Research Portfolio and the International Large-Cap
Portfolio and $40,804 for the I-Net Tollkeeper Portfolio. These costs were
expensed as incurred.
H. Equalization
The Fund follows the accounting practice known as equalization, by which a
portion of the proceeds from sales and costs of repurchases of Fund shares,
equivalent on a per share basis to the amount of distributable investment
income on the date of the transaction, is credited or charged
E-2
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
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 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 period ended June 30, 2000. 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. Swaps
Certain Portfolios may enter into interest rate, total return and currency
exchange swap agreements in order to obtain a desired return at a lower cost
than if the Portfolios had invested directly in the asset that yielded the
desired return. Swaps involve commitments to exchange components of income
(generally interest or returns) pegged to the underlying assets based on a
notional principal amount. Swaps are ''marked to market'' daily based upon
quotations from market makers and the change, if any, is recorded as
unrealized gains or losses in the Statements of Operations. A Portfolio bears
the risk of loss of the amount expected to be received under a swap agreement
in the event of the default or bankruptcy of a counterparty.
M. 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 Diversified Research Portfolio, an annual rate of
.90% of the average daily net assets of the Portfolio; for the Small-
E-3
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
Cap Equity, Equity, Multi-Strategy, and Equity Income Portfolios, an annual
rate of .65% of average daily net assets of each of the Portfolios; for the
International Large-Cap Portfolio, an annual rate of 1.05% of average daily net
assets of the Portfolio; for the I-Net Tollkeeper Portfolio, an annual rate of
1.50% of average daily net assets of the Portfolio; 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 Value, 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
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 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 nineteen of the twenty-one 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 Select Distributors, Inc. (formerly 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,
International Large-Cap Portfolio, and the International Value 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 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
Portfolios Carryover Expiration
---------------------- ------------- ------------
<S> <C> <C>
Emerging Markets $15,713,797 2005-2007
Bond and Income 9,699,780 2007
Government Securities 13,364,044 2007
Managed Bond 39,011,629 2007
High Yield Bond 20,194,620 2006-2007
</TABLE>
E-4
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
<TABLE>
<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 984,656 48,047
Equity 2,102,696 --
Multi-Strategy 7,877,515 --
Equity Income 30,008,234 --
Growth LT 1,276,730 --
Mid-Cap Value 153,113 --
Equity Index 3,550 --
Small-Cap Index 3,479 --
REIT 129,075 --
International Value 78 360,220
Government Securities 1,233,743 --
Managed Bond 1,419,519 --
High Yield Bond 1,867,364 --
Large-Cap Value 63,642 --
</TABLE>
6. TRANSACTIONS WITH AFFILIATES
The Fund has incurred $54,230,589 of investment advisory fees and $149,705 of
support services expenses to Pacific Life for the period ended June 30, 2000
(Note 3). At June 30, 2000, $9,538,422 and $85,525 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, 2001. For the
period ended June 30, 2000, the operating expenses for each of the Portfolios,
except for the I-Net Tollkeeper Portfolio, were below the .25% expense cap and
Pacific Life had reimbursed the I-Net Tollkeeper Portfolio $27,082.
In addition, the Fund has entered into an arrangement with its custodian
whereby credits realized as a result of uninvested cash balances were used to
reduce a portion of the Fund's custodian fees and expenses. During the period
ended June 30, 2000, the Fund's custodian fees and expenses were reduced by
$157,713 under this arrangement.
Both the adviser reimbursement 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 Investment Income on the
Statements of Operations. At June 30, 2000, the market value of securities
loaned by the Fund was $1,319,755,438 for which the Fund received collateral of
$1,364,450,634. For the period ended June 30, 2000, total income generated from
securities lending by the Fund were as follows:
<TABLE>
<CAPTION>
Portfolios Income
---------------- ------------
<S> <C>
Aggressive
Equity $153,115
Emerging Markets 62,123
Diversified
Research 125
Small-Cap Equity 306,836
International Large-Cap 518
Bond and Income 360
Equity 43,680
I-Net Tollkeeper 515
Multi-Strategy 18,668
Equity Income 45,251
Growth LT 970,175
Mid-Cap Value 11,419
Equity Index 111,076
Small-Cap Index 68,689
REIT 6,626
Government
Securities 3,274
Managed Bond 7,720
High Yield Bond 30,188
Large-Cap Value 19,717
------------
Total $1,860,075
------------
</TABLE>
9. PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities (excluding short-term investments and the
Money Market Portfolio since it trades exclusively in short-term debt
securities) for the period ended June 30, 2000 are summarized in the following
tables:
<TABLE>
<CAPTION>
U.S. Government Securities
Portfolios Purchases Sales
---------------------- ------------- -------------
<S> <C> <C>
Bond and Income $44,661,512 $32,949,642
Multi-Strategy 678,201,242 674,257,393
Government Securities 1,129,084,642 1,081,891,669
Managed Bond 2,756,290,690 2,520,211,317
High Yield Bond -- 3,029,688
</TABLE>
E-5
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
Other Securities
Portfolios Purchases Sales
----------------- ------------- -------------
<S> <C> <C>
Aggressive
Equity $218,285,757 $182,162,714
Emerging Markets 231,418,549 183,774,481
Diversified
Research 69,901,418 1,904,429
Small-Cap Equity 315,408,204 124,496,453
International
Large-Cap 245,390,262 15,543,419
Bond and Income 16,943,671 32,717,446
Equity 645,234,086 414,260,373
I-Net Tollkeeper 79,621,695 2,914,792
Multi-Strategy 184,393,629 157,528,017
Equity Income 631,905,907 413,641,268
Growth LT 1,414,587,071 1,145,277,562
Mid-Cap Value 163,662,983 96,932,735
Equity Index 340,752,933 47,128,927
Small-Cap Index 140,893,371 90,948,594
REIT 43,680,999 10,154,585
International
Value 622,275,026 476,134,591
Government
Securities 27,492,089 14,514,135
Managed Bond 215,371,874 145,779,490
High Yield Bond 175,059,288 143,459,720
Large-Cap Value 125,972,339 97,185,644
</TABLE>
10. SHARES OF BENEFICIAL INTEREST
Transactions in Fund shares for the period ended June 30, 2000 and the year
ended December 31, 1999 were as follows:
<TABLE>
<CAPTION>
Aggressive Equity Portfolio Emerging Markets Portfolio
2000 1999 2000 1999
--------------- --------------- ------------------ ------------------
<S> <C> <C> <C> <C>
Beginning
Balances 32,051,084 17,279,799 20,716,155 15,561,552
Shares sold 19,783,734 30,692,189 14,402,139 14,786,105
Distributions
reinvested 1,220,712 2,131,938 12,579 69,889
Shares redeemed (16,366,491) (18,052,842) (10,973,350) (9,701,391)
-------------------------------- --------------------------------------
Ending Balances 36,689,039 32,051,084 24,157,523 20,716,155
-------------------------------- --------------------------------------
<CAPTION>
Diversified Research Portfolio (1)
2000 1999
------------------ ------------------
<S> <C> <C>
Beginning
Balances -- --
Shares sold 6,972,786 --
Distributions
reinvested -- --
Shares redeemed (246,944) --
-------------------------------------
Ending Balances 6,725,842 --
-------------------------------------
<CAPTION>
Small-Cap Equity Portfolio (2) International Large-Cap Portfolio (1)
2000 1999 2000 1999
--------------- --------------- ------------------ ------------------
<S> <C> <C> <C> <C>
Beginning
Balances 14,271,488 11,690,001 -- --
Shares sold 14,104,068 7,047,037 31,327,339 --
Distributions
reinvested 1,718,585 1,509,779 -- --
Shares redeemed (6,528,025) (5,975,329) (4,154,625) --
-------------------------------- --------------------------------------
Ending Balances 23,566,116 14,271,488 27,172,714 --
-------------------------------- --------------------------------------
<CAPTION>
Bond and Income Portfolio
2000 1999
------------------ ------------------
<S> <C> <C>
Beginning
Balances 17,884,521 13,875,071
Shares sold 1,739,279 6,833,974
Distributions
reinvested 584,127 1,699,355
Shares redeemed (2,670,606) (4,523,879)
-------------------------------------
Ending Balances 17,537,321 17,884,521
-------------------------------------
</TABLE>
-------------------
(1) Portfolio commenced operations on January 3, 2000.
(2) Small-Cap Equity Portfolio was formerly named Growth Portfolio.
E-6
<PAGE>
PACIFIC SELECT FUND
NOTES TO FINANCIAL STATEMENTS (Continued)
(Unaudited)
<TABLE>
<CAPTION>
Multi-Strategy
Equity Portfolio I-Net Tollkeeper Portfolio (1) Portfolio
2000 1999 2000 1999 2000 1999
---------------- ---------------- --------------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Beginning
Balances 27,801,137 17,171,798 -- -- 43,552,060 33,278,592
Shares sold 9,406,138 13,352,058 8,940,203 -- 4,518,408 12,093,687
Distributions
reinvested 2,409,200 1,640,643 -- -- 4,313,064 3,304,978
Shares redeemed (3,631,065) (4,363,362) (545,433) -- (3,310,420) (5,125,197)
---------------------------------- -------------------------------- ------------------------
Ending Balances 35,985,410 27,801,137 8,394,770 -- 49,073,112 43,552,060
---------------------------------- -------------------------------- ------------------------
<CAPTION>
Equity Income Portfolio Growth LT Portfolio Mid-Cap Value Portfolio
2000 1999 2000 1999 2000 1999
---------------- ---------------- --------------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Beginning
Balances 65,340,547 46,933,977 76,688,443 48,842,241 10,233,286 --
Shares sold 9,373,007 20,377,767 21,577,358 33,304,753 7,267,114 12,093,830
Distributions
reinvested 6,942,772 5,013,402 16,465,097 4,956,150 197,921 21,753
Shares redeemed (3,039,159) (6,984,599) (7,630,589) (10,414,701) (1,056,877) (1,882,297)
---------------------------------- -------------------------------- ------------------------
Ending Balances 78,617,167 65,340,547 107,100,309 76,688,443 16,641,444 10,233,286
---------------------------------- -------------------------------- ------------------------
<CAPTION>
Equity Index Portfolio Small-Cap Index Portfolio REIT Portfolio
2000 1999 2000 1999 2000 1999
---------------- ---------------- --------------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Beginning
Balances 63,103,484 46,287,946 9,797,673 -- 5,224,471 --
Shares sold 10,852,731 22,381,370 9,604,918 11,493,981 5,163,760 5,890,570
Distributions
reinvested 1,104,441 864,106 102,772 152,986 85,644 187,629
Shares redeemed (4,094,703) (6,429,938) (5,690,450) (1,849,294) (1,993,739) (853,728)
---------------------------------- -------------------------------- ------------------------
Ending Balances 70,965,953 63,103,484 13,814,913 9,797,673 8,480,136 5,224,471
---------------------------------- -------------------------------- ------------------------
<CAPTION>
International Value Portfolio (2) Government Securities Portfolio Managed Bond Portfolio
2000 1999 2000 1999 2000 1999
---------------- ---------------- --------------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Beginning
Balances 91,028,462 63,043,233 42,389,214 17,345,804 105,646,246 67,320,096
Shares sold 126,624,318 209,009,130 7,629,846 26,362,638 19,173,439 41,200,933
Distributions
reinvested 2,876,293 3,588,759 1,209,730 1,984,037 3,534,865 7,178,650
Shares redeemed (118,969,363) (184,612,660) (6,674,817) (3,303,265) (7,293,857) (10,053,433)
---------------------------------- -------------------------------- ------------------------
Ending Balances 101,559,710 91,028,462 44,553,973 42,389,214 121,060,693 105,646,246
---------------------------------- -------------------------------- ------------------------
<CAPTION>
Large-Cap Value
Money Market Portfolio High Yield Bond Portfolio Portfolio
2000 1999 2000 1999 2000 1999
---------------- ---------------- --------------- --------------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Beginning
Balances 104,868,817 47,651,670 50,920,270 41,704,121 15,285,450 --
Shares sold 322,894,264 474,649,690 13,108,173 21,750,241 10,126,893 17,958,311
Distributions
reinvested 2,823,450 3,539,561 2,476,992 4,074,562 144,451 69,081
Shares redeemed (332,593,990) (420,972,104) (12,196,020) (16,608,654) (8,016,464) (2,741,942)
---------------------------------- -------------------------------- ------------------------
Ending Balances 97,992,541 104,868,817 54,309,415 50,920,270 17,540,330 15,285,450
---------------------------------- -------------------------------- ------------------------
</TABLE>
-------------------
(1) Portfolio commenced operations on May 1, 2000.
(2) International Value Portfolio was formerly named International Portfolio.
--------------
E-7
<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 January 14, 2000, representing 106,197,859.98 shares
of the Managed Bond Portfolio and 42,444,085.70 shares of the Government
Securities Portfolio, were notified that a Special Meeting of Shareholders
(the ''Meeting'') would be held at the offices of the Fund on March 13, 2000.
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 below:
<TABLE>
<CAPTION>
Total Outstanding
Votes For Votes Against Abstentions Shares
--------- ------------- ----------- -----------------
Number Percent * Number Percent * Number Percent * Number
------ --------- ------ --------- ------ --------- ------
Proposal #1
-----------
To approve or disapprove a new Portfolio Management Agreement with Pacific Investment Management Company LLC (''PIMCO'').
<S> <C> <C> <C> <C> <C> <C> <C>
Managed Bond............ 98,683,665.89 92.92% 1,736,264.94 1.64% 5,777,929.15 5.44% 106,197,859.98
Government Securities... 39,294,441.85 92.58% 770,566.98 1.82% 2,379,076.87 5.60% 42,444,085.70
</TABLE>
* Based on total outstanding shares
----------------
F-1
<PAGE>
Semi-Annual Report -----------------
as of June 30, 2000 PRESORTED
STANDARD
U.S. POSTAGE PAID
. Pacific Select Fund PACIFIC LIFE
-----------------
Accountants
Deloitte & Touche LLP
695 Town Center Drive
Suite 1200
Costa Mesa, CA 92626
Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006-2401
Pacific Life Insurance Company
700 Newport Center Drive
P.O. Box 7500
Newport Beach, California 92658-7500
ADDRESS SERVICE REQUESTED
Form No. 15-20803-03
Form No. 357-0A
