UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT
COMPANIES
Investment Company Act file number 811-10385
Pacific Funds Series Trust
(Exact name of registrant as specified in charter)
700 Newport Center Drive, P.O. Box 7500
Newport Beach, CA 92660
(Address of principal executive offices) (Zip code)
Robin S. Yonis
Vice President, General Counsel and Assistant Secretary of Pacific Funds Series Trust
700 Newport Center Drive, P.O. Box 9000
Newport Beach, CA 92660
(Name and address of agent for service)
Copies to:
Anthony H. Zacharski, Esq.
Dechert LLP
90 State House Square
Hartford, CT 06103
Registrant’s telephone number, including area code: 949-219-6767
Date of fiscal year end: March 31
Date of reporting period: March 31, 2016
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270 30e-1).
March 31, 2016
ANNUAL REPORT
PACIFIC FUNDS
ANNUAL REPORT
AS OF MARCH 31, 2016
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| Financial Statements: |
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PACIFIC FUNDS
We are pleased to share with you the Annual Report dated March 31, 2016 for Pacific Funds Series Trust (“Pacific Funds” or the “Trust”). Pacific Funds is comprised of 42 Funds, 18 of which are included in this report (each individually, a “Fund” and collectively, the “Funds”) and are available for direct investment. Pacific Life Fund Advisors LLC (PLFA), as Adviser to the Funds, manages Pacific FundsSM Portfolio Optimization Conservative, Pacific FundsSM Portfolio Optimization Moderate-Conservative, Pacific FundsSM Portfolio Optimization Moderate, Pacific FundsSM Portfolio Optimization Growth, Pacific FundsSM Portfolio Optimization Aggressive-Growth (together, the “Portfolio Optimization Funds”) and Pacific FundsSM Diversified Alternatives. Each of the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives is an asset allocation “Fund of Funds” and invests in certain other Funds (PF Underlying Funds) of the Trust. PLFA supervises the management of the PF Underlying Funds which are only available for investment by the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives and are included in a separate PF Underlying Funds Annual Report. Please see “Where to Go for More Information” for instructions on how to obtain the PF Underlying Funds’ Annual Report. PLFA also does business under the name “Pacific Asset Management” and manages Pacific FundsSM Short Duration Income, Pacific FundsSM Core Income, Pacific FundsSM Strategic Income, Pacific FundsSM Floating Rate Income, Pacific FundsSM Limited Duration High Income, and Pacific FundsSM High Income under that name.
Pacific FundsSM Large-Cap, Pacific FundsSM Large-Cap Value, Pacific FundsSM Small/Mid-Cap, Pacific FundsSM Small-Cap, Pacific FundsSM Small-Cap Value and Pacific FundsSM Small-Cap Growth (together, the “PF U.S. Equity Funds”) commenced operations on January 11, 2016. Each PF U.S. Equity Fund acquired the assets of and assumed the performance, financial and other historical information of the Rothschild U.S. Large-Cap Core Fund, Rothschild U.S. Large-Cap Value Fund, Rothschild U.S. Small/Mid-Cap Core Fund, Rothschild U.S. Small-Cap Core Fund, Rothschild U.S. Small-Cap Value Fund, and Rothschild U.S. Small-Cap Growth Fund, respectively, each a series of Professionally Managed Portfolios (each a “Predecessor Fund,” together the “Predecessor Funds”), in reorganization transactions that occurred on that same date. Accordingly, information provided in this report for the PF U.S. Equity Funds for periods prior to January 11, 2016 is that of the Predecessor Funds. The PF U.S. Equity Funds changed their financial reporting and tax fiscal year end from November 30 to March 31, effective for the fiscal year ended March 31, 2016. Each PF U.S. Equity Fund’s investment objectives (goals), policies, guidelines, and restrictions are substantially the same as those of its respective Predecessor Fund. PLFA has retained Rothschild Asset Management Inc. to manage the PF U.S. Equity Funds.
The Adviser, Pacific Asset Management and Rothschild Asset Management Inc. (together, the “Managers”) and their Funds as of March 31, 2016 are listed below:
| Manager | Fund | Page Number | ||
| Pacific Life Fund Advisors LLC (PLFA) | Pacific FundsSM Portfolio Optimization Conservative | A-5 | ||
| Pacific FundsSM Portfolio Optimization Moderate-Conservative | A-7 | |||
| Pacific FundsSM Portfolio Optimization Moderate | A-9 | |||
| Pacific FundsSM Portfolio Optimization Growth | A-11 | |||
| Pacific FundsSM Portfolio Optimization Aggressive-Growth | A-13 | |||
| Pacific FundsSM Diversified Alternatives | A-14 | |||
| Pacific Asset Management | Pacific FundsSM Short Duration Income | A-15 | ||
| Pacific FundsSM Core Income | A-16 | |||
| Pacific FundsSM Strategic Income | A-17 | |||
| Pacific FundsSM Floating Rate Income | A-18 | |||
| Pacific FundsSM Limited Duration High Income | A-19 | |||
| Pacific FundsSM High Income | A-20 | |||
| Rothschild Asset Management Inc. (Rothschild) | Pacific FundsSM Large-Cap | A-21 | ||
| Pacific FundsSM Large-Cap Value | A-22 | |||
| Pacific FundsSM Small/Mid-Cap | A-23 | |||
| Pacific FundsSM Small-Cap | A-24 | |||
| Pacific FundsSM Small-Cap Value | A-25 | |||
| Pacific FundsSM Small-Cap Growth | A-26 |
We appreciate your confidence in the Trust and look forward to serving your financial needs in the years to come.
Sincerely,
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| James T. Morris | Mary Ann Brown | |
| Chairman of the Board | Chief Executive Officer | |
| Pacific Funds Series Trust | Pacific Funds Series Trust |
A-1
PACIFIC FUNDS PERFORMANCE DISCUSSION
This Annual Report is provided for the general information of investors with beneficial interests in the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus, as supplemented, which contains information about the Trust and each of its Funds, including their investment objectives, risks, charges and expenses. You should read the prospectus carefully before investing. There is no assurance that a Fund will achieve its investment objective. Each Fund is subject to market risk. The net asset value (NAV) of a Fund changes as the value of its assets go up or down. The value of a Fund’s shares will fluctuate, and when redeemed, may be worth more or less than their original cost. The total return for each Fund includes reinvestment of all dividends and capital gain distributions, if any, and does not include deductions of any applicable sales charges. Past performance is not predictive of future performance.
This report shows you the performance of the Funds compared to benchmark indices. Index performance is provided for illustrative and comparative purposes only and does not predict or depict the performance of the Funds. Indices are unmanaged, do not incur transaction costs, do not include fees and expenses, and cannot be purchased directly by investors. Index returns include reinvested dividends.
The composite benchmarks for the Portfolio Optimization Funds are composed of up to four broad-based indices. The percentage amounts of each broad-based index within each composite benchmark are based on each Fund’s target asset class allocations in effect during the reporting period. The percentages attributed to a broad-based index within a composite benchmark will change if a Fund’s target asset class allocations change.
PLFA has written the general market conditions commentary, which expresses PLFA’s opinions and views on how the market generally performed for the year ended March 31, 2016. PLFA does business under the name “Pacific Asset Management” and manages the Pacific Funds Short Duration Income, Pacific Funds Core Income, Pacific Funds Strategic Income, Pacific Funds Floating Rate Income, Pacific Funds Limited Duration High Income, Pacific Funds High Income Funds under that name.
All views are subject to change at any time based upon market or other conditions, and the Trust, its Adviser, Pacific Asset Management and Rothschild Asset Management Inc. disclaim any responsibility to update such views. Any references to “we”, “I”, or “ours” are references to the Managers. Any sectors referenced are provided by the applicable Manager and could be different from the sectors listed in the Schedules of Investments if obtained from another source. The Managers may include statements that constitute “forward-looking statements” under the United States (U.S.) securities laws. Forward-looking statements include information concerning possible or assumed future results of the Trust’s investment operations, asset levels, earnings, expenses, industry or market conditions, regulatory developments and other aspects of the Trust’s operations or general economic conditions. In addition, when used in this report, predictive verbs such as “believes”, “expects”, “anticipates”, “intends”, “plans”, “estimates”, “projects” and future or conditional verbs such as “will”, “may”, “could”, “should”, and “would”, or any other statement that necessarily depends on future events, are intended to identify forward- looking statements. Forward-looking statements are not guarantees of performance or economic results. They involve risks, uncertainties and assumptions. Although such statements are based on expectations that the Managers believe to be reasonable, actual results may differ materially from expectations. Investors must not rely on any forward-looking statements.
In connection with any forward-looking statements and any investment in the Trust, investors should carefully consider the investment objectives, policies and risks described in the Trust’s current prospectus, as supplemented, and Statement of Additional Information, as supplemented, as filed with the Securities and Exchange Commission (SEC), which may be obtained from the SEC’s website at www.sec.gov.
Market Conditions (for the year ended March 31, 2016)
Executive Summary
Global equity markets nervously bounced around during the reporting period, but most of the damage dissipated by the end of the reporting period. This bout of market volatility stemmed primarily from three main themes: China, oil and central banks. While concerns of a slowing China and plunging oil prices caused markets to tumble earlier in the reporting period, signs of stabilization and a more dovish Federal Reserve System (Fed) eased some fears.
On top of experiencing a manufacturing slowdown, the economy in China stumbled upon one difficulty after another. The Chinese stock market experienced significant volatility over the past several quarters. After a sudden surge in the earlier part of 2015, which was fueled by excessive use of margin debt, the Chinese stock market went into correction mode that started in June 2015. In an attempt to control market volatility, Chinese regulators initiated circuit breakers that halted and closed the market when it fell by 5% and 7%, respectively, in one day. The plan backfired as market participants rushed to exit when the market began approaching these levels, which only exacerbated the selloff. Investors around the world interpreted the wild selloff as a crisis brewing in China. Regulators quickly terminated the circuit breakers.
Investors also focused on the price of oil as the Organization of Petroleum Exporting Countries’ (OPEC) reluctance to cut back production led to growing concerns over the global slowdown and potential for rising default levels. In fact, the correlation between oil prices and equity markets has spiked in recent quarters as they began to move in tandem. Amid the environment of unsustainably low oil prices, sovereign wealth funds of oil producing nations began liquidating their assets, which put further downward pressure on stocks.
The monetary stimulus policies of central banks continued to impact markets—both positively and negatively. While earlier stimulus announcements in Europe and Japan had helped lift their respective markets, investors generally reacted adversely to the announcement of negative interest rates. Central banks have been resorting to unconventional methods to provide life support to struggling economies. Such attempts have only increased uncertainty as fears of instability mounted. In the U.S., investors clenched onto every word from the Fed. A dovish statement drove equity markets higher, while a hawkish tone pulled them down.
A-2
See benchmark definitions on A-27 and A-28
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Fixed Income
The broad domestic bond market (as defined by the Barclays U.S. Aggregate Bond Index) returned 1.96% over the reporting period. Long-term Treasury bonds were among the top performers as the 10-year Treasury yield fell. Interest rates came down as expectations of the next Fed hike were pushed back. Expectations of a delay in Fed hikes also caused the U.S. dollar to fall during the first quarter of 2016 after rising during the prior couple of quarters. Emerging markets debt benefitted from the depreciating U.S. dollar and performed well over reporting period. On the other hand, high yield bonds faced headwinds as concerns about the energy sector contributed to broadly rising credit spreads, which move in the opposite direction as prices.
Domestic Equity
Domestic equities regained positive territory after going through two corrections, with the S&P 500 Index (a common measurement of the broad U.S. equity market) gaining 1.78% over the reporting period. Large cap stocks outpaced small cap stocks, while growth outperformed value. Value styles tend to have a higher exposure to the energy sector, which was a drag on performance. Investors favored equities with high dividend yields as interest rates fell. Real estate investment trusts (REITs), which are associated with a high dividend payout, were thus bid up in this environment.
International Equity
International equities generally struggled during the reporting period, but performances have been relatively mixed. Foreign developed markets (as defined by the broad-based MSCI EAFE Index) returned -8.27% over the reporting period. International small-cap stocks (as defined by the S&P Developed Ex-U.S. SmallCap Index), on the other hand, were positive. Much of this disparity stemmed from smaller financial stocks holding up much better than their larger counterparts during this environment of unconventional central bank actions. Emerging market equities also struggled over the reporting period.
Outlook
We believe that the outlook for domestic equities depends on how quickly earnings can rebound from recent misses, whether the U.S. economy can continue its modest growth, and most of all on how the Fed communicates its intentions for hiking rates. Two of the biggest factors for earnings are developments in energy and financials, as low oil prices have affected U.S. producers and persistently low interest rates have squeezed profit margins at big U.S. banks. We anticipate that the global move toward the balance of oil supply and demand should continue to provide a boost to rebounding energy shares in the U.S., and believe that financials in turn should benefit from rate hikes by the Fed expected later in 2016. The market is increasingly sensitive to the language of the Fed’s statements, and any missteps or surprises from the Fed may have a negative impact. Additionally, the strong U.S. dollar has contributed to falling exports and profits. However, the dollar has recently depreciated and could fall further. A weaker dollar may provide some support for U.S. exports, which could be a tailwind for U.S. companies and profits.
International equities look mixed as the markets adjust to economic numbers coming out of Europe and Japan. While there are some headwinds for emerging markets, we feel that valuations have now fallen to attractive levels. There have been signs of opportunity in emerging markets from a continued rebound in commodity prices and weakening of the U.S. dollar, which provide some breathing room on their export revenues and ability to pay their U.S. dollar-denominated debts. We expect to see continued overseas volatility as these markets digest the effects of novel central bank stimulus efforts and anticipate the potential for gains as international markets recover from their recent lows.
We believe the outlook for fixed income hinges on the pace of rate hikes and the anticipation of further equity market volatility. Bonds with long durations appear to be the riskier bet in the face of Fed tightening, but recent stock market volatility showed the role fixed income plays as the safe-haven asset. The reduction in projected rate hikes also reduces the downside for fixed income. On the other hand, credit spreads have widened, even outside the troubled energy sector, and government bonds are priced at expensive levels, two factors that could provide headwinds to fixed income.
Alternatives could provide some support if volatility continues to be persistent. Central bank divergence between the U.S., the Eurozone, Japan and the United Kingdom (U.K.) has provided ample opportunities for currency managers to buck the downturn in equities and generate uncorrelated returns. The differing direction on interest rates and currencies provides the opportunity for positive returns in global macro type strategies. Disparities in the marketplace present opportunities for long/short strategies. Given the level of uncertainties throughout the globe, a well-diversified approach may provide some protection.
Performance of the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives
The performance of the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives are composites of the performance of each of the PF Underlying Funds in which each invests (which may include bonds, domestic and/or international equities). The Portfolio Optimization Funds are compared to two broad-based indices; however, to further assist in performance comparisons, composite benchmarks were constructed for the Portfolio Optimization Funds. Each composite benchmark is comprised of up to four broad-based indices shown below. The composite benchmarks were constructed with allocations to each asset class that correspond to the target allocations for Portfolio Optimization Funds. However, the actual allocations of any Portfolio Optimization Fund will naturally vary from these targets as a result of market
| See benchmark definitions on A-27 and A-28 |
A-3
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
performance over time. Pacific Funds Diversified Alternatives does not have a composite benchmark. The one-year performance for these broad-based indices is shown in the following table.
| Broad Based Indices |
One Year (as of 3-31-16) |
|||
| S&P 500 Index (U.S. Stocks) |
1.78% | |||
| Morgan Stanley Capital International (MSCI) EAFE Index (Net) (International Stocks) |
(8.27% | ) | ||
| Barclays U.S. Aggregate Bond Index (Fixed Income) |
1.96% | |||
| BofA Merrill Lynch U.S. 3-Month T-Bill Index (Cash) |
0.12% | |||
| See benchmark definitions on A-27 and A-28 |
A-4
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Portfolio Optimization Conservative (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Portfolio Optimization Conservative’s Class A (without sales charge) returned -1.73%, compared to a 1.96% return for the Barclays U.S. Aggregate Bond Index, a 1.78% return for the S&P 500 Index and a 1.14% return for the Pacific Funds Portfolio Optimization Conservative Composite Benchmark (Current). The Fund’s composite benchmark was changed on or about July 29, 2015 due to new asset class allocations. Both the former and current composite benchmarks are presented below.
The following graph compares the performance of a hypothetical $10,000 investment in Class A shares of the Fund to its benchmarks for the ten-year period ended March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class B, C, R and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
| See benchmark definitions on A-27 and A-28 |
A-5
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class A underperformed the Pacific Funds Portfolio Optimization Conservative Composite Benchmark (Current). The Fund was primarily comprised of various fixed income strategies, with a smaller allocation to equity and alternative underlying funds, during the reporting period. Fixed income investments included underlying funds comprised of intermediate-term bonds, short duration securities, inflation-protected bonds, emerging markets bonds, and floating rate loans. The equity segment mainly encompassed domestic and foreign large-capitalization funds. Alternatives included two absolute return strategies and an equity long/short fund.
While the domestic equity group was negative for the reporting period, the international equity group was the largest detractor over that period. The fixed income group was also negative for the same period. On the other hand, the alternatives group contributed positively.
Among the fixed income lineup, holdings of emerging markets bonds were a solid contributor to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. The drag on performance over the reporting period stemmed from exposure to credit (i.e., Pacific Funds High Income and the PF Absolute Return Fund). High yield bonds suffered from anxiety over plunging crude oil prices given the abundance of energy companies that issued high yield debt.
As for domestic equities, exposure to value stocks was a drag on performance over the reporting period, although these stocks recaptured more upside during the first quarter of 2016 as compared to their growth counterparts. For instance, the PF Small-Cap Value Fund was a strong contributor as it outperformed its benchmark index, the Russell 2000 Value Index, over the reporting period. The outperformance stemmed from solid stock selection in industrial, insurance and retail. On the other hand, several underperforming managers dragged performance over the reporting period. The PF Comstock Fund’s overweight to banks and underweight to utilities hurt performance. Additionally, the PF Large-Cap Growth Fund’s higher growth and momentum exposures in consumer discretionary and information technology hurt performance.
Exposure to international equities was a drag on returns over the reporting period. In particular, the PF International Value Fund underperformed its benchmark index, the MSCI EAFE Index (Net), for the reporting period. Value stocks have also been lagging in foreign markets. An overweight to financials was another key detractor from performance for this underlying fund as European and Japanese banks have struggled to eke out revenue in a negative interest rate environment.
Throughout this volatile environment, alternatives have been a consistent positive contributor. The PF Equity Long/Short Fund has been the top performing underlying fund since it was added in April 2015. Between its inception date and March 31, 2016, this underlying fund surged 20%, while the S&P 500 Index returned -0.28% over that same period.
| See benchmark definitions on A-27 and A-28 |
A-6
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Portfolio Optimization Moderate-Conservative (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Portfolio Optimization Moderate-Conservative’s Class A (without sales charge) returned -1.87%, compared to a 1.96% return for the Barclays U.S. Aggregate Bond Index, a 1.78% return for the S&P 500 Index and a 1.01% return for the Pacific Funds Portfolio Optimization Moderate-Conservative Composite Benchmark.
The following graph compares the performance of a hypothetical $10,000 investment in Class A shares of the Fund to its benchmarks for the ten-year period ended March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class B, C, R and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class A underperformed the Pacific Funds Portfolio Optimization Moderate-Conservative Composite Benchmark. The Fund had a diversified allocation mix that was modestly tilted to fixed income during the reporting period. Fixed income investments included underlying funds that consisted of intermediate-term bonds as well as short duration securities, inflation-protected bonds, emerging markets bonds, and floating rate loans. The equity exposure was diversified across style (growth/value), market capitalization and region (including an allocation to foreign small-capitalization and emerging markets strategies). Alternatives included two absolute return strategies and an equity long/short strategy.
| See benchmark definitions on A-27 and A-28 |
A-7
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
While the domestic equity group was negative for the reporting period, the international equity group was the largest detractor over that period. The fixed income group was also negative for the same period. On the other hand, the alternatives group contributed positively.
Among the fixed income lineup, holdings of emerging markets bonds were a solid contributor to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. The drag on performance over the reporting period stemmed from exposure to credit (i.e., Pacific Funds High Income and the PF Absolute Return Fund). High yield bonds suffered from anxiety over plunging crude oil prices given the abundance of energy companies that issued high yield debt.
As for domestic equities, exposure to value stocks was a drag on performance over the reporting period, although these stocks recaptured more upside during the first quarter of 2016 when compared to their growth counterparts. For instance, the PF Small-Cap Value Fund was a strong contributor as it outperformed its benchmark index, the Russell 2000 Value Index, over the reporting period. The outperformance stemmed from solid stock selection in industrial, insurance and retail. On the other hand, several underperforming managers dragged performance over the reporting period. The PF Comstock Fund’s overweight to banks and underweight to utilities hurt performance. Additionally, the PF Large-Cap Growth Fund’s higher growth and momentum exposures in consumer discretionary and information technology hurt performance.
Exposure to international equities was a drag on returns over the reporting period. In particular, the PF International Value Fund underperformed its benchmark index, the MSCI EAFE Index (Net), for the reporting period. Value stocks have also been lagging in foreign markets. An overweight to financials was another key detractor from performance for this underlying fund as European and Japanese banks have struggled to eke out revenue in a negative interest rate environment.
Throughout this volatile environment, alternatives have been a consistent positive contributor. The PF Equity Long/Short Fund has been the top performing underlying fund since it was added in April 2015. Between its inception date and March 31, 2016, this underlying fund surged 20% while the S&P 500 Index returned -0.28% over that same period.
| See benchmark definitions on A-27 and A-28 |
A-8
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Portfolio Optimization Moderate (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Portfolio Optimization Moderate’s Class A (without sales charge) returned -2.50%, compared to a 1.78% return for the S&P 500 Index, a 1.96% return for the Barclays U.S. Aggregate Bond Index and a 0.52% return for the Pacific Funds Portfolio Optimization Moderate Composite Benchmark.
The following graph compares the performance of a hypothetical $10,000 investment in Class A shares of the Fund to its benchmarks for the ten-year period ended March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class B, C, R and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class A underperformed the Pacific Funds Portfolio Optimization Moderate Composite Benchmark. The Fund maintained a mix of equity and fixed income underlying funds. The equity exposure was diversified across style (growth/value), market capitalization and region (including allocations to foreign small-capitalization and emerging markets stocks). The Fund also maintained exposure to select market sectors such as publicly-traded REITs. Fixed income investments included intermediate-term bonds, short duration securities, inflation-protected bonds, emerging markets bonds, and floating rate loans. Alternatives consisted of two absolute return strategies and an equity long/short strategy.
| See benchmark definitions on A-27 and A-28 |
A-9
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
While the domestic equity group was negative for the reporting period, the international equity group was the largest detractor over that period. The fixed income group was also negative for the same period. On the other hand, the alternatives group contributed positively.
As for domestic equities, exposure to value stocks was a drag on performance over the reporting period, although these stocks recaptured more upside during the first quarter of 2016 when compared to their growth counterparts. For instance, the PF Small-Cap Value Fund was a strong contributor as it outperformed its benchmark index, the Russell 2000 Value Index, over the reporting period. The outperformance stemmed from solid stock selection in industrial, insurance and retail. On the other hand, several underperforming managers dragged performance over the reporting period. The PF Comstock Fund’s overweight to banks and underweight to utilities hurt performance. Additionally, the PF Large-Cap Growth Fund’s higher growth and momentum exposures in consumer discretionary and information technology hurt performance. The PF Small-Cap Growth Fund likewise hurt performance due to its exposure to aggressive growth stocks in information technology.
Exposure to international equities was a drag on returns over the reporting period. In particular, the PF International Value Fund underperformed its benchmark index, the MSCI EAFE Index (Net), for the reporting period. Value stocks have also been lagging in foreign markets. An overweight to financials was another key detractor from performance for this underlying fund as European and Japanese banks have struggled to eke out revenue in a negative interest rate environment. Allocation to emerging markets was a headwind, but the PF Emerging Market Fund outperformed its benchmark and cushioned some of the drag.
Among the fixed income lineup, holdings of emerging markets bonds were a solid contributor to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. The drag on performance over the reporting period stemmed from exposure to credit (i.e., Pacific Funds High Income and the PF Absolute Return Fund). High yield bonds suffered from anxiety over plunging crude oil prices given the abundance of energy companies that issued high yield debt.
Throughout this volatile environment, alternatives have been a consistent positive contributor. The PF Equity Long/Short Fund has been the top performing underlying fund since it was added in April 2015. Between its inception date and March 31, 2016, this underlying fund surged 20% while the S&P 500 Index returned -0.28% over that same period.
| See benchmark definitions on A-27 and A-28 |
A-10
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Portfolio Optimization Growth (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Portfolio Optimization Growth’s Class A (without sales charge) returned -3.35%, compared to a 1.78% return for the S&P 500 Index, a 1.96% return for the Barclays U.S. Aggregate Bond Index and a -0.08% return for the Pacific Funds Portfolio Optimization Growth Composite Benchmark.
The following graph compares the performance of a hypothetical $10,000 investment in Class A shares of the Fund to its benchmarks for the ten-year period ended March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class B, C, R and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class A underperformed the Pacific Funds Portfolio Optimization Growth Composite Benchmark. The Fund had a diversified allocation mix that was tilted to equity. The equity exposure was diversified across style (growth/value), market capitalization and region (including allocations to foreign small capitalization and emerging markets stocks). The Fund also maintained exposure to select market sectors such as publicly-traded REITs. Fixed income investments included intermediate-term bonds as well as specific strategies such as short duration, inflation-protected bonds and emerging markets bonds. Alternatives included two absolute return strategies and an equity long/short strategy.
While the domestic equity group was negative for the reporting period, the international equity group was the largest detractor over that period. The fixed income group was also negative for the same period. On the other hand, the alternatives group contributed positively.
| See benchmark definitions on A-27 and A-28 |
A-11
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
As for domestic equities, exposure to value stocks was a drag on performance over the reporting period, although these stocks recaptured more upside during the first quarter of 2016 when compared to their growth counterparts. For instance, the PF Small-Cap Value Fund was a strong contributor as it outperformed its benchmark index, the Russell 2000 Value Index, over the reporting period. The outperformance stemmed from solid stock selection in industrial, insurance and retail. On the other hand, several underperforming managers dragged performance over the reporting period. The PF Comstock Fund’s overweight to banks and underweight to utilities hurt performance. Additionally, the PF Large-Cap Growth Fund’s higher growth and momentum exposures in consumer discretionary and information technology hurt performance. The PF Small-Cap Growth Fund likewise hurt performance due to its exposure to aggressive growth stocks in information technology.
Exposure to international equities was a drag on returns over the reporting period. In particular, the PF International Value Fund underperformed its benchmark index, the MSCI EAFE Index (Net), for the reporting period. Value stocks have also been lagging in foreign markets. An overweight to financials was another key detractor from performance as European and Japanese banks have struggled to eke out revenue in a negative interest rate environment. Allocation to emerging markets was a headwind, but the PF Emerging Markets Fund outperformed its benchmark and cushioned some of the drag. On the other hand, exposure to international small-caps offered some positive support to performance.
Among the fixed income lineup, holdings of emerging markets bonds were a solid contributor to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. The drag on performance over the reporting period stemmed from exposure to credit (i.e., Pacific Funds High Income and the PF Absolute Return Fund). High yield bonds suffered from anxiety over plunging crude oil prices given the abundance of energy companies that issued high yield debt.
Throughout this volatile environment, alternatives have been a consistent positive contributor. The PF Equity Long/Short Fund has been the top performing underlying fund since it was added in April 2015. Between its inception date and March 31, 2016, this underlying fund surged 20% while the S&P 500 Index returned -0.28% over that same period.
| See benchmark definitions on A-27 and A-28 |
A-12
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Portfolio Optimization Aggressive-Growth (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Portfolio Optimization Aggressive-Growth’s Class A (without sales charge) returned -4.37%, compared to a 1.78% return for the S&P 500 Index, a 1.96% return for the Barclays U.S. Aggregate Bond Index and a -1.28% return for the Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark (Current). The Fund’s composite benchmark was changed on or about July 29, 2015 due to new asset class allocations. Both the former and current composite benchmarks are presented below.
The following graph compares the performance of a hypothetical $10,000 investment in Class A shares of the Fund to its benchmarks for the ten-year period ended March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class B, C, R and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
| See benchmark definitions on A-27 and A-28 |
A-13
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class A underperformed the Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark (Current). The Fund primarily allocated to domestic and international equity funds that are diversified across style (growth/value), market capitalization and region (which included allocations to foreign small-capitalization and emerging markets stocks). The Fund also maintained exposure to select sectors, such as publicly-traded REITs, as well as a small allocation to intermediate-term fixed income securities. Alternatives included two absolute return strategies and an equity long/short strategy.
While the domestic equity group was negative for the reporting period, the international equity group was the largest detractor over that period. The fixed income group was roughly flat for the same period. On the other hand, the alternatives group contributed positively.
As for domestic equities, exposure to value stocks was a drag on performance over the reporting period, although these stocks recaptured more upside during the first quarter of 2016 when compared to their growth counterparts. For instance, the PF Small-Cap Value Fund was a strong contributor as it outperformed its benchmark index, the Russell 2000 Value Index, over the reporting period. The outperformance stemmed from solid stock selection in industrial, insurance and retail. On the other hand, several underperforming managers dragged performance over the reporting period. The PF Comstock Fund’s overweight to banks and underweight to utilities hurt performance. Additionally, the PF Large-Cap Growth Fund’s higher growth and momentum exposures in consumer discretionary and information technology hurt performance. The PF Small-Cap Growth Fund likewise hurt performance due to its exposure to aggressive growth stocks in information technology.
Exposure to international equities was a drag on returns over the reporting period. In particular, the PF International Value Fund underperformed its benchmark index, the MSCI EAFE Index (Net), for the reporting period. Value stocks have also been lagging in foreign markets. An overweight to financials was another key detractor from performance as European and Japanese banks have struggled to eke out revenue in a negative interest rate environment. Allocation to emerging markets was a headwind, but the PF Emerging Markets Fund outperformed its benchmark and cushioned some of the drag. On the other hand, exposure to international small-caps offered some positive support to performance.
Among the fixed income lineup, holdings of emerging markets bonds were a solid contributor to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. The drag on performance over the reporting period stemmed from exposure to credit from its allocation to the PF Managed Bond Fund and PF Absolute Return Fund.
Throughout this volatile environment, alternatives have been a consistent positive contributor. The PF Equity Long/Short Fund has been the top performing underlying fund since it was added in April 2015. Between its inception date and March 31, 2016, this underlying fund surged 20% while the S&P 500 Index returned -0.28% over that same period.
Pacific Funds Diversified Alternatives (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Diversified Alternatives’ Class A (without sales charge) returned 0.55%, compared to a 0.06% return for its benchmark, the Citigroup 1-Month U.S. T-Bill Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class A shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class C and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. | ||
| See benchmark definitions on A-27 and A-28 |
A-14
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class A outperformed the benchmark. The Fund is primarily comprised of underlying funds which, in turn, invest in a number of different alternative investment strategies or non-traditional asset classes. The allocations to underlying funds primarily include currency and long/short equity strategies, and absolute return strategies. The Fund also invests through its underlying funds in real estate, emerging markets debt and equity, bank loans and inflation-indexed debt instruments.
The Fund’s allocation to the PF Equity Long/Short and PF Emerging Markets Debt Funds were the top contributors to Fund performance. The PF Equity Long/Short Fund has been the top performing underlying fund since it was added in April 2015. Between its inception date and March 31, 2016, this underlying fund surged 20% while the S&P 500 Index returned -0.28% over that same period. For the PF Emerging Markets Debt Fund, an overweight to U.S. dollar-denominated bonds benefitted performance.
While the PF Emerging Markets Debt Fund helped performance with its exposure to U.S. dollar-denominated bonds, the PF Emerging Markets Fund detracted from performance. Many developing regions were hurt by the sharp decline in oil prices and fear of a sharp slowdown in China. The PF Global Absolute Return Fund also dragged down the Fund’s performance due to its positions in South America, including interest rate exposure in Brazil and credit exposure in Ecuador, which weighed on returns as Latin American economies struggled to cope with falling commodities prices and a rising U.S. dollar.
Pacific Funds Short Duration Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Short Duration Income’s Class I (without sales charge) returned 0.54%, compared to a 1.04% return for its benchmark, the Barclays 1-3 Year U.S. Government/Credit Bond Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class I shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I underperformed the benchmark. The Fund employs a short-term corporate debt focused strategy. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts.
During the reporting period, the Fund underperformed the benchmark primarily due to the Fund’s focus on BBB rated corporate debt securities, which underperformed government-related securities given higher levels of volatility and a lack of investor risk appetite. The Fund’s allocation to high yield bonds and floating rate loans also detracted from performance. The Fund’s underweight to energy-related companies contributed to performance as energy companies underperformed during the reporting period. Duration management was neutral to performance.
| See benchmark definitions on A-27 and A-28 |
A-15
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Core Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Core Income’s Class I (without sales charge) returned 0.03%, compared to a 1.96% return for its benchmark, the Barclays U.S. Aggregate Bond Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class I shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, P and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I underperformed the benchmark. The Fund employs an intermediate term corporate debt focused strategy. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts.
During the reporting period, the Fund underperformed the benchmark primarily due to the Fund’s focus on BBB rated intermediate term corporate debt securities, which underperformed government-related securities given higher levels of volatility and lack of investor risk appetite. The Fund’s allocation to high yield bonds and floating rate loans also detracted from performance. The Fund’s underweight to energy-related companies contributed to performance as energy companies underperformed during the reporting period. Duration management was neutral to performance.
| See benchmark definitions on A-27 and A-28 |
A-16
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Strategic Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Strategic Income’s Class I (without sales charge) returned -1.98%, compared to a 1.96% return for its benchmark, the Barclays U.S. Aggregate Bond Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class I shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I underperformed the benchmark. The Fund seeks a high level of income by investing broadly across the credit spectrum with an emphasis on non-investment grade securities. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts.
During the reporting period, the Fund underperformed the benchmark primarily due to the Fund’s focus on non-investment grade securities, which underperformed government bonds given elevated levels of volatility, deteriorating macro conditions, and a lack of investor risk appetite. During the reporting period, weakening growth outlooks and concerns toward the credit cycle negatively impacted non-investment grade issuers. The Fund’s exposure to high yield bonds, which was the primary asset allocation of the Fund’s net assets during the reporting period, was the primary detractor from relative results.
| See benchmark definitions on A-27 and A-28 |
A-17
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Floating Rate Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Floating Rate Income’s Class I (without sales charge) returned 1.02%, compared to a -1.11% return for its benchmark, the Credit Suisse Leveraged Loan Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class I shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, P and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I outperformed the benchmark. Pacific Asset Management’s team of portfolio managers and research analysts look for investment opportunities in floating rate loans and debt securities with a focus on the large-capitalization issuers within the bank loan universe.
The Fund outperformed the benchmark for the reporting period due to security selection and sector allocations. The significant underweight or no exposure to energy, media/telecommunication, utility and metals/minerals relative to the benchmark were the primary drivers of relative outperformance. The overweight to retail and manufacturing detracted from performance. The focus on large-capitalization issuers was negative to performance as smaller companies outperformed. Overweights to the bank loan debt of Landmark Aviation, Altice, and Level 3 Communications were strong contributors to performance while Neiman Marcus, Accudyne, and Brickman Group were detractors.
At the end of the reporting period, the Fund was overweight in housing, forest products/containers, and food and drug while underweight technology, health care, and media/telecommunication. During the market sell-off in the latter half of the reporting period, Pacific Asset Management selectively added high yield bonds, most of which were first-lien bonds. Since the third quarter of 2015 the Fund has held no energy-related issuers. Due to the capital destruction in commodity companies and likely surge in defaults/distressed situations, Pacific Asset Management is cautious on commodity related sectors.
| See benchmark definitions on A-27 and A-28 |
A-18
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Limited Duration High Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Limited Duration High Income’s Class I (without sales charge) returned -3.19%, compared to a -4.52% return for its benchmark, the Barclays U.S. 1-5 Year High-Yield Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class I shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I outperformed the benchmark. The Fund seeks a high level of income by investing primarily in high yield and bank loan instruments. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts.
During the reporting period, the Fund outperformed the benchmark due to its overweight to bank loan instruments. The Fund invests broadly in bank loans and high yield bonds. The Fund held an overweight to bank loans versus the benchmark during the reporting period. Bank loans saw less volatility relative to high yield bonds during the reporting period. High yield bonds were also more susceptible to the weakening macro conditions, poor technicals, and concerns towards the credit cycle. Bank loans also benefited from their lower overall exposure during the reporting period to commodity related sectors. The Fund’s underweight to the energy sector benefited performance given the significant declines seen in oil prices.
| See benchmark definitions on A-27 and A-28 |
A-19
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds High Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds High Income’s Class I (without sales charge) returned -5.57%, compared to a -3.66% return for its benchmark, the Barclays U.S. High-Yield 2% Issuer Capped Bond Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class I shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, P and Advisor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class I underperformed the benchmark. The Fund seeks a high level of income by investing in non-investment grade debt instruments. Using a fundamental approach with a top-down overlay, Pacific Asset Management’s team of portfolio managers and research analysts look at the relative value of each security and assess the macro environment and marketplace for tailwinds and catalysts.
During the reporting period, the Fund underperformed the benchmark primarily due to an overweight to CCC and B rated bonds, which underperformed BB rated bonds given higher levels of volatility, deteriorating macro conditions, and a lack of investor risk appetite. BB rated bonds returned 0.13% versus CCC rated bonds returning -10.60%. Weakening growth outlooks and concerns toward the credit cycle negatively impacted lower-quality high yield bonds.
The Fund’s overweight position in gaming, building materials, and packaging benefited performance, while underweight positions in banking, cable & satellite, and technology detracted from performance.
| See benchmark definitions on A-27 and A-28 |
A-20
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Large-Cap (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Large-Cap’s Investor Class (without sales charge) returned -2.97%, compared to a 1.78% return for its benchmark, the S&P 500 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Investor Class shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, Advisor and Institutional Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Investor Class underperformed the benchmark. We at Rothschild implement the Fund’s strategy by investing in common stocks and other equity securities of large capitalization U.S. companies. We invest in securities that we believe are attractively valued with the potential to exceed investor expectations. We analyze a variety of quantitative and fundamental inputs in making stock decisions, and seek to build a portfolio that is well diversified at the issuer level and by economic sector.
Stock returns differed widely across sectors, with telecommunication services, utilities, and consumer staples contributing to the Fund’s performance. In contrast, the Fund’s positions in materials, health care, and energy stocks suffered declines. An underweight to energy, along with modest overweight positions to telecommunication services and consumer discretionary stocks contributed to performance, while an underweight to consumer staples and an overweight to health care detracted from Fund performance. Although stock selection in the energy and industrials sectors contributed to performance, it was more than offset by detractors in health care, consumer discretionary and information technology.
Our detractors included Western Digital. The disk-drive manufacturer saw personal computer (PC) sales spike in 2014 as the expiration of Microsoft XP led to commercial consumer purchasing to support upgrade to new operating system, but sales slowed more than expected in 2015, as it became more apparent that the 2014 PC recovery was tied more to the XP expiration than a replacement cycle. Western Digital’s acquisition of flash memory maker SanDisk was not well-received by the market. Mallinckrodt declined during the reporting period, coupled with concerns over the company’s reliance on controversial specialty pharmacies for product distribution, weighed heavily on the stock. McKesson was hurt by the general negative sentiment towards drug distributors following several indicators of a slowing generic inflation environment, which had been a tailwind for the group. This led to a material reduction in guidance in January. We sold all three of these stocks during the reporting period.
On a stock-specific basis, one of the biggest contributors to relative performance was Microsoft. The stock rallied as the market continues to respond positively to steps taken by the company’s new leadership. Utility stock Edison International significantly exceeded earnings expectations and raised guidance on future earnings, anchored by strong rate base growth expectations. The results also provided greater confidence in Edison’s ability to deliver above-average dividend growth going forward. Another strong contributor was Raytheon, as investors concerned about an industrial slowdown in the U.S. economy moved to the less cyclical defense sector. As geopolitical tensions rose, Raytheon and other defense stocks benefitted. Due to the stock’s strong performance and our desire to trim exposure to the sector, the stock was sold.
| See benchmark definitions on A-27 and A-28 |
A-21
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Large-Cap Value (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Large-Cap Value’s Investor Class (without sales charge) returned -1.38%, compared to a -1.54% return for its benchmark, the Russell 1000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Investor Class shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, Advisor and Institutional Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Investor Class outperformed the benchmark. We at Rothschild implement the Fund’s strategy by investing in common stocks and other equity securities of large capitalization U.S. companies. We invest in securities that we believe are attractively valued with the potential to exceed investor expectations. We analyze a variety of quantitative and fundamental inputs in making stock decisions, and the team seeks to build a portfolio that is well diversified at the issuer level and by economic sector.
Stock returns differed widely across sectors, with telecommunication services, utilities, and industrials stocks fueling the Fund’s performance, as the Fed’s “lower-for-longer” outlook for interest rates led investors to drive the price of dividend-paying stocks up. Stocks in the industrials sector also drove positive performance in the Fund. In contrast, energy, materials, and financials stocks suffered declines. Underweights to financials and energy, along with a slight overweight to utilities stocks, contributed to performance. However, these were offset by underweights in telecommunication services and consumer staples, along with an overweight to consumer discretionary. Overall, stock selection was strong, with stocks in the industrials, consumer discretionary and energy sectors contributing to performance. This was partially offset by detractors in the materials and information technology sectors.
On a stock-specific basis, one of the biggest contributors to relative performance included Public Storage. Public Storage is the largest owner of self-storage facilities in the U.S. Microsoft rallied as the market continues to respond positively to steps taken by the company’s new leadership. Defense contractor Northrop Grumman rose as geopolitical tensions increased. The company is less exposed to the cyclical dynamics of world economies, with its fortunes more closely tied to U.S. military budgets.
Large detractors included Marathon Oil, which declined as oil prices plummeted and the stock was sold. Retailer Macy’s Inc. became oversold in the fourth quarter of 2015, but expectations have been drastically cut and the stock bounced back during the next quarter. We continue to hold the stock in the Fund, as it looks attractive on a valuation basis, and the company recently announced it will take steps to monetize its real estate holdings. Ameriprise Financial declined alongside many other financials stocks, which are hurt by the persistent outlook for low interest rates.
| See benchmark definitions on A-27 and A-28 |
A-22
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Small/Mid-Cap (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Small/Mid-Cap’s Institutional Class (without sales charge) returned -6.17%, compared to a -7.31% return for its benchmark, the Russell 2500 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Institutional Class shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, Advisor and Investor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Institutional Class outperformed the benchmark. We at Rothschild implement the Fund’s strategy by investing in common stocks and other equity securities of small and medium capitalization U.S. companies. We invest in securities that we believe are attractively valued with the potential to exceed investor expectations. We analyze a variety of quantitative and fundamental inputs in making stock decisions, and seek to build a portfolio that is well diversified at the issuer level and by economic sector.
Stock returns differed widely across sectors. Sectors that contributed to performance for the Fund were utilities and, to a lesser degree, financials. On the other hand, energy, industrials, and consumer discretionary stocks underperformed. An underweight to energy and an overweight to information technology contributed to performance. These were more than offset by an overweight to health care and an underweight to utilities, which detracted from performance. Stock selection was strong, particularly in information technology, health care, and financials, partially offset by detractors in industrials, energy, and consumer staples.
On a stock-specific basis, one of the biggest contributors to relative performance was Stamps.com. The shipping software company reported significantly better than expected results and raised guidance driven by synergies from its accretive acquisitions. Market Axess Holdings, an operator of an electronic trading platform for fixed-income securities, benefitted from strong market share growth throughout the reporting period. Ingram Micro Inc., a wholesale provider of technology products and supply chain management services, agreed to be acquired by a Tianjin Tianhai, a Chinese logistics company, for about a 30% premium.
Our detractors included names in the biotech industry, which came under pressure due to fears of additional regulation of drug pricing. Community Health, an operator of non-urban hospitals, reported disappointing results, due in part to a troubled acquisition. AMAG Pharmaceuticals, a specialty biopharmaceutical company, was impacted by the U.S. Food and Drug Administration (FDA) approval of a generic drug that investors feared would compete with the company’s flagship drug Makena, which prevents risks of preterm birth. However, the FDA later released the generic drug label, which appears to have eliminated the competitive threat. Another detractor was Horizon Pharma, a specialty biopharmaceutical company. The company in-licenses and acquires underutilized assets, and as part of its strategy has raised prices in some instances. Given recent criticism of this business model and concerns over industry pricing, Horizon Pharma’s valuation was disproportionately impacted.
| See benchmark definitions on A-27 and A-28 |
A-23
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Small-Cap (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Small-Cap’s Institutional Class (without sales charge) returned -8.18%, compared to a -9.76% return for its benchmark, the Russell 2000 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Institutional Class shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, Advisor and Investor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Institutional Class outperformed the benchmark. We at Rothschild implement the Fund’s strategy by investing in common stocks and other equity securities of small capitalization U.S. companies. We invest in securities that we believe are attractively valued with the potential to exceed investor expectations. We analyze a variety of quantitative and fundamental inputs in making stock decisions, and seek to build a portfolio that is well diversified at the issuer level and by economic sector.
Stock returns differed widely across sectors. Leading sectors for the Fund for the reporting period were utilities and information technology. Conversely, energy, consumer staples, and materials stocks experienced significant declines. An overweight in information technology and an underweight in energy contributed to performance, while underweights to utilities and financials, along with a slight overweight to health care, detracted from performance. Stock selection was strong, particularly in the health care, consumer discretionary, and information technology sectors, while partially offset by detractors in the consumer staples, energy and industrials sectors.
On a stock-specific basis, one of the biggest contributors to relative performance was Take-Two Interactive Software, a developer of video games. The company reported better than expected results, as “gamers” continue to upgrade their libraries due to next generation console purchases. Market Axess Holdings, an operator of an electronic trading platform for fixed-income securities, benefitted from strong market share growth throughout the reporting period. Black Hills Corporation, a diversified energy services company, just completed an acquisition of SourceGas, which should enhance future earnings. The company is also awaiting approval to provide its own natural gas directly to customers.
The Fund’s detractors included SUPERVALU, a grocery wholesaler and retailer. The stock declined in response to continued weak customer traffic as well as margin compression caused by food price deflation. As we could see no real positive catalyst in the near future, and we had some concerns about a change in management, we sold the stock. AMAG Pharmaceuticals was impacted by the FDA approval of a generic drug that investors feared would compete with the company’s flagship drug Makena, which prevents risks of preterm birth. However, the FDA later released the generic drug label, which appears to have eliminated the competitive threat. Another detractor included INSYS Therapeutics, Inc., a specialty pharmaceutical company. INSYS submitted additional safety/equivalence data to the FDA, requiring a 3-month extension for the FDA to further review. The extended review date should have a greater impact on the timing of the approval, rather than the approval itself. Based on valuation, we believe that approval alone provides upside for the stock.
| See benchmark definitions on A-27 and A-28 |
A-24
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Small-Cap Value (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Small–Cap Value’s Institutional Class (without sales charge) returned -6.67%, compared to a -7.72% return for its benchmark, the Russell 2000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Institutional Class shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, Advisor and Investor Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Institutional Class outperformed the benchmark. We at Rothschild implement the Fund’s strategy by investing in common stocks and other equity securities of small capitalization U.S. companies. We invest in securities that we believe are attractively valued with the potential to exceed investor expectations. We analyze a variety of quantitative and fundamental inputs in making stock decisions, and seek to build a portfolio that is well diversified at the issuer level and by economic sector.
Stock returns differed widely across sectors. Leading sectors for the Fund for the reporting period were utilities, and health care. Conversely, energy, consumer staples, and materials stocks experienced significant declines. An underweight in energy and an overweight in information technology stocks contributed to performance, while underweights to utilities, financials, and consumer staples detracted from performance. Stock selection was strong, particularly in the consumer discretionary, health care, and financials sectors, while partially offset by detractors in the consumer staples, industrials, and energy sectors.
On a stock-specific basis, one of the biggest contributors to relative performance in the reporting period included Air Transport Services Group, Inc. The company provides aircraft leasing, operations and maintenance services to the air cargo transportation and package delivery industries. The stock outperformed as the company announced an agreement with Amazon to operate an air cargo network servicing their U.S. customers, increasing forward EBITDA expectations and improving the expected quality and predictability of earnings. Children’s Place, Inc., a maker of children’s apparel, rose on much better than expected results and guidance. The company also enjoyed stronger than expected same-store sales. Black Hills Corporation, a diversified energy services company, just completed an acquisition of SourceGas, which should enhance future earnings. The company is also awaiting approval to provide its own natural gas directly to customers.
Our detractors included SUPERVALU, a grocery wholesaler and retailer. The stock declined in response to continued weak customer traffic as well as margin compression caused by food price deflation. As we could see no real positive catalyst in the near future, and we had some concerns about a change in management, we sold the stock. Stage Stores, a small market department store chain, reported solid results, but the company’s exposure to Texas and other energy-producing markets has caused some investor concern. American Equity Investment Life, a leader in the development and sale of annuity products, declined on a combination of concerns over the Department of Labor’s ruling on fiduciary duty, investment leverage, and the low interest rate environment, which is causing investment spreads to narrow.
| See benchmark definitions on A-27 and A-28 |
A-25
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Small-Cap Growth (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, Pacific Funds Small–Cap Growth’s Investor Class (without sales charge) returned -9.50%, compared to a -11.84% return for its benchmark, the Russell 2000 Growth Index.
The following graph compares the performance of a hypothetical $10,000 investment in Investor Class shares of the Fund to its benchmark for the period from inception through March 31, 2016. For comparison purposes, the performance of all classes for the periods ended March 31, 2016 are also shown in the table below. Performance data for Class A, C, Advisor and Institutional Class shares will vary due to differences in fees and sales charges. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
|
Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. The table does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. |
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Investor Class outperformed the benchmark. We at Rothschild implement the Fund’s strategy by investing in common stocks and other equity securities of small capitalization U.S. companies. We invest in securities that we believe are attractively valued with the potential to exceed investor expectations. We analyze a variety of quantitative and fundamental inputs in making stock decisions, and seek to build a portfolio that is well diversified at the issuer level and by economic sector.
Stock returns differed widely across sectors. Leading sectors for the Fund for the reporting period were materials, consumer staples, and financials. Conversely, energy, health care, and industrials stocks experienced significant declines. An overweight in information technology and underweights in energy and health care contributed to performance, while underweights to financials, telecommunications, and industrials detracted from performance. Stock selection was strong, particularly in the consumer discretionary, information technology, and materials sectors, while partially offset by detractors in the industrials and energy sectors.
On a stock-specific basis, one of the biggest contributors to relative performance was Stamps.com. The shipping software company reported significantly better than expected results and raised guidance driven by synergies from its accretive acquisitions. Market Axess Holdings, an operator of an electronic trading platform for fixed-income securities, benefitted from strong market share growth throughout the reporting period. Euronet Worldwide, an ATM and prepaid processor and money transfer company, posted much better than expected second quarter of 2015 results and third quarter of 2015 guidance across all three of its business segments.
Our detractors included names in the Biotech industry, such as Puma Biotechnology, Inc., an oncology biotech company. The company filed a 3-month extension for the FDA’s further review. Because the extension had no impact on outcome of the clinical data presented to the FDA, we continue to hold the stock. AMAG Pharmaceuticals was impacted by the FDA approval of a generic drug that investors feared would compete with the company’s flagship drug Makena, which prevents risks of preterm birth. However, the FDA later released the generic drug label, which appears to have eliminated the competitive threat. Aratana Therapeutics, a development stage biopharmaceutical company that in-licenses companion animal drugs, announced that it would discontinue its oncology portfolio, after interim analysis suggested failure to add significant progression-free survival in canine T-Cell lymphoma.
| See benchmark definitions on A-27 and A-28 |
A-26
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Benchmark Definitions
Barclays 1-3 Year U.S. Government/Credit Bond Index measures performance of U.S. dollar-denominated U.S. Treasuries, government-related, and investment grade U.S. corporate securities with maturities of one to three years. Results include the reinvestment of all distributions.
Barclays U.S. 1-5 Year High-Yield Index is an index that covers the universe of fixed-rate, non-investment-grade debt with maturities between one and five years. Results include the reinvestment of all distributions.
Barclays U.S. Aggregate Bond Index measures the performance of the U.S. investment grade bonds market, which includes investment grade U.S. government bonds, investment grade corporate bonds, mortgage pass-through securities and asset-backed securities that are publicly offered for sale in the U.S. The securities in the index must have at least 1 year remaining to maturity. In addition, the securities must be denominated in U.S. dollars and must be fixed rate, non-convertible, and taxable. Results include the reinvestment of all distributions.
Barclays U.S. High-Yield 2% Issuer Capped Bond Index is an index that is an issuer-constrained version for the U.S. Corporate High-Yield Index that covers the U.S. dollar-denominated, non-investment grade fixed-rate taxable corporate bond market and limits issuer exposures to a maximum of 2% and redistributes the excess market value index-wide on a pro-rata basis. The total return is equal to the change in price plus the coupon return. Results include the reinvestment of all distributions.
BofA Merrill Lynch U.S. 3-Month Treasury Bill (T-Bill) Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue. Results include the reinvestment of all distributions.
Citigroup 1-Month U.S. Treasury Bill (T-Bill) Index is a market value-weighted index of public obligations of the U.S. Treasury with maturities of one month. Results include the reinvestment of all distributions.
Credit Suisse Leveraged Loan Index tracks the investable market of the U.S. dollar-denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries. Results include the reinvestment of all distributions.
Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. As of March 31, 2016, the MSCI EAFE Index (Net) consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The word “(Net)” in the index name means the net total return for the index, which includes the reinvestment of dividends after the deduction of withholding tax, applying the tax rate to non-resident individuals who do not benefit from double taxation treaties.
Pacific Funds Portfolio Optimization Conservative Composite Benchmark (Current) is 64% Barclays U.S. Aggregate Bond; 23% S&P 500; 6% BofA Merrill Lynch U.S. 3-Month Treasury Bill; and 7% MSCI EAFE (Net) Indices. The Pacific Funds Portfolio Optimization Conservative Composite Benchmark (Current) reflects the current broad debt and equity asset class allocations for the Pacific Funds Portfolio Optimization Conservative Fund and thus has replaced the Pacific Funds Portfolio Optimization Conservative Composite Benchmark (Former) (which consisted of 73% Barclays U.S. Aggregate Bond, 15% S&P 500, 7% BofA Merrill Lynch U.S. 3-Month T-Bill, and 5% MSCI EAFE (Net) Indices). Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Moderate-Conservative Composite Benchmark is 55% Barclays U.S. Aggregate Bond; 30% S&P 500; 10% MSCI EAFE (Net), and 5% BofA Merrill Lynch U.S. 3-Month Treasury Bill Indices. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Moderate Composite Benchmark is 45% S&P 500; 38% Barclays U.S. Aggregate Bond; 15% MSCI EAFE (Net), and 2% BofA Merrill Lynch U.S. 3-Month Treasury Bill Indices. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Growth Composite Benchmark is 60% S&P 500; 20% Barclays U.S. Aggregate Bond; and 20% MSCI EAFE (Net) Indices. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark (Current) is 69% S&P 500; 26% MSCI EAFE (Net); and 5% Barclays U.S. Aggregate Bond Indices. The Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark (Current) reflects the current broad debt and equity asset class allocations for the Pacific Funds Portfolio Optimization Aggressive-Growth Fund and thus has replaced the Pacific Funds Portfolio Optimization Aggressive Composite Benchmark (Former) (which consisted of 65% S&P 500, 25% MSCI EAFE (Net), and 10% Barclays U.S. Aggregate Bond Indices). Results include the reinvestment of all distributions.
Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. The Russell 1000 Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. Results include the reinvestment of all distributions.
Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000 Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000 Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set. Results include the reinvestment of all distributions.
Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values. The Russell 2000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the small-cap growth segment. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect growth characteristics. Results include the reinvestment of all distributions.
A-27
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Russell 2000 Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Value Index is constructed to provide a comprehensive and unbiased barometer for the small-cap value segment. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics. Results include the reinvestment of all distributions.
Russell 2500 Index measures the performance of the small to mid-cap segment of the U.S. equity universe, commonly referred to as smid cap. The Russell 2500 Index is a subset of the Russell 3000 Index. It includes approximately 2,500 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2500 Index is constructed to provide a comprehensive and unbiased barometer for the small to mid-cap segment. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small to mid-cap opportunity set. Results include the reinvestment of all distributions.
S&P 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Results include the reinvestment of all distributions.
A-28
| (b) | The Funds’ investments are affiliated mutual funds (See Note 7C in Notes to Financial Statements). |
| (c) | Fair Value Measurements |
The following is a summary of the Funds’ investments as categorized under the three-tier hierarchy of inputs used in valuing the Funds’ assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$377,198,309 | $377,198,309 | $— | $— | |||||||||||||
| Short-Term Investment |
4,662 | 4,662 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$377,202,971 | $377,202,971 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$535,184,448 | $535,184,448 | $— | $— | |||||||||||||
| Short-Term Investment |
6,768 | 6,768 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$535,191,216 | $535,191,216 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-1
| (b) | The Funds’ investments are affiliated mutual funds (See Note 7C in Notes to Financial Statements). |
| (c) | Fair Value Measurements |
The following is a summary of the Funds’ investments as categorized under the three-tier hierarchy of inputs used in valuing the Funds’ assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$1,517,118,693 | $1,517,118,693 | $— | $— | |||||||||||||
| Short-Term Investment |
19,075 | 19,075 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,517,137,768 | $1,517,137,768 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Pacific Funds Portfolio Optimization Growth |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$1,070,985,408 | $1,070,985,408 | $— | $— | |||||||||||||
| Short-Term Investment |
13,197 | 13,197 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,070,998,605 | $1,070,998,605 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-2
| (b) | The Funds’ investments are affiliated mutual funds (See Note 7C in Notes to Financial Statements). |
| (c) | Fair Value Measurements |
The following is a summary of the Funds’ investments as categorized under the three-tier hierarchy of inputs used in valuing the Funds’ assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$315,528,901 | $315,528,901 | $— | $— | |||||||||||||
| Short-Term Investment |
3,925 | 3,925 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$315,532,826 | $315,532,826 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Pacific Funds Diversified Alternatives |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$6,279,201 | $6,279,201 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-3
PACIFIC FUNDS
PACIFIC FUNDSSM SHORT DURATION INCOME
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-4
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-5
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-6
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$196,509,595 | $— | $196,509,595 | $— | |||||||||||||
| Senior Loan Notes |
26,384,380 | — | 26,384,380 | — | ||||||||||||||
| Mortgage-Backed Securities |
468,592 | — | 468,592 | — | ||||||||||||||
| Asset-Backed Securities |
1,482,775 | — | 1,482,775 | — | ||||||||||||||
| U.S. Treasury Obligations |
9,692,688 | — | 9,692,688 | — | ||||||||||||||
| Short-Term Investment |
12,621,487 | 12,621,487 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$247,159,517 | $12,621,487 | $234,538,030 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-7
PACIFIC FUNDS
PACIFIC FUNDSSM CORE INCOME
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-8
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-9
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-10
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$386,379,054 | $— | $386,379,054 | $— | |||||||||||||
| Senior Loan Notes |
107,348,942 | — | 107,348,942 | — | ||||||||||||||
| Mortgage-Backed Securities |
2,860,366 | — | 2,860,366 | — | ||||||||||||||
| Asset-Backed Securities |
8,418,867 | — | 8,418,867 | — | ||||||||||||||
| U.S. Government Agency Issues |
10,149,550 | — | 10,149,550 | — | ||||||||||||||
| U.S. Treasury Obligations |
65,969,330 | — | 65,969,330 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
15,628,488 | — | 15,628,488 | — | ||||||||||||||
| Short-Term Investment |
11,813,520 | 11,813,520 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$608,568,117 | $11,813,520 | $596,754,597 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-11
PACIFIC FUNDS
PACIFIC FUNDSSM STRATEGIC INCOME
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-12
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-13
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-14
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-15
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2016
| (c) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$4,811,978 | $4,811,978 | $— | $— | |||||||||||||
| Closed-End Mutual Funds |
3,315,078 | 3,315,078 | — | — | ||||||||||||||
| Corporate Bonds & Notes |
166,730,325 | — | 166,730,325 | — | ||||||||||||||
| Senior Loan Notes |
21,797,307 | — | 21,797,307 | — | ||||||||||||||
| Mortgage-Backed Securities |
225,626 | — | 225,626 | — | ||||||||||||||
| Asset-Backed Securities |
1,491,528 | — | 1,491,528 | — | ||||||||||||||
| Short-Term Investment |
11,830,422 | 11,830,422 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$210,202,264 | $19,957,478 | $190,244,786 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-16
PACIFIC FUNDS
PACIFIC FUNDSSM FLOATING RATE INCOME
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-17
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-18
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$49,247,053 | $— | $49,247,053 | $— | |||||||||||||
| Senior Loan Notes |
621,053,876 | — | 621,053,876 | — | ||||||||||||||
| Short-Term Investment |
24,207,588 | 24,207,588 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$694,508,517 | $24,207,588 | $670,300,929 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-19
PACIFIC FUNDS
PACIFIC FUNDSSM LIMITED DURATION HIGH INCOME
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-20
PACIFIC FUNDS
PACIFIC FUNDS LIMITED DURATION HIGH INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-21
PACIFIC FUNDS
PACIFIC FUNDS LIMITED DURATION HIGH INCOME
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$14,644,593 | $— | $14,644,593 | $— | |||||||||||||
| Senior Loan Notes |
17,585,470 | — | 17,585,470 | — | ||||||||||||||
| Short-Term Investment |
747,215 | 747,215 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$32,977,278 | $747,215 | $32,230,063 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-22
PACIFIC FUNDS
PACIFIC FUNDSSM HIGH INCOME
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-23
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-24
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-25
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-26
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2016
| (c) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Total Return Swaps
| Receive Total Return | Pay | Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||
| iBoxx Liquid High Yield Index |
3-month USD-LIBOR |
MSC | 12/20/16 | $2,000,000 | $92,460 | $— | $92,460 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (d) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$2,219,429 | $2,219,429 | $— | $— | |||||||||||||
| Closed-End Mutual Funds |
1,992,524 | 1,992,524 | — | — | ||||||||||||||
| Corporate Bonds & Notes |
112,730,716 | — | 112,730,716 | — | ||||||||||||||
| Senior Loan Notes |
3,097,468 | — | 3,097,468 | — | ||||||||||||||
| Short-Term Investment |
8,039,295 | 8,039,295 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
92,460 | — | 92,460 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| $128,171,892 | $12,251,248 | $115,920,644 | $— | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-27
PACIFIC FUNDS
PACIFIC FUNDSSM LARGE-CAP
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-28
PACIFIC FUNDS
PACIFIC FUNDS LARGE-CAP
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$3,971,601 | $3,971,601 | $— | $— | |||||||||||||
| Short-Term Investment |
332,093 | 332,093 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$4,303,694 | $4,303,694 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-29
PACIFIC FUNDS
PACIFIC FUNDSSM LARGE-CAP VALUE
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-30
PACIFIC FUNDS
PACIFIC FUNDS LARGE-CAP VALUE
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$2,262,497 | $2,262,497 | $— | $— | |||||||||||||
| Short-Term Investment |
221,479 | 221,479 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$2,483,976 | $2,483,976 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-31
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL/MID-CAP
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-32
PACIFIC FUNDS
PACIFIC FUNDS SMALL/MID-CAP
Schedule of Investments (Continued)
March 31, 2016
| (c) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Rights |
$158 | $— | $— | $158 | |||||||||||||
| Common Stocks |
7,186,751 | 7,186,751 | — | — | ||||||||||||||
| Short-Term Investment |
443,485 | 443,485 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$7,630,394 | $7,630,236 | $— | $158 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-33
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-34
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$1,019,132 | $1,019,132 | $— | $— | |||||||||||||
| Exchange-Traded Fund |
5,200 | 5,200 | — | — | ||||||||||||||
| Short-Term Investment |
60,094 | 60,094 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,084,426 | $1,084,426 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-35
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP VALUE
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-36
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP VALUE
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$1,404,383 | $1,404,383 | $— | $— | |||||||||||||
| Exchange-Traded Fund |
30,200 | 30,200 | — | — | ||||||||||||||
| Short-Term Investment |
239,679 | 239,679 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,674,262 | $1,674,262 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-37
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP GROWTH
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-38
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP GROWTH
Schedule of Investments (Continued)
March 31, 2016
| (c) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Rights |
$416 | $— | $— | $416 | |||||||||||||
| Common Stocks |
1,468,249 | 1,468,249 | — | — | ||||||||||||||
| Short-Term Investment |
253,520 | 253,520 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,722,185 | $1,721,769 | $— | $416 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-40 |
B-39
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms
March 31, 2016
See Notes to Financial Statements
B-40
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2016
| Pacific Funds Portfolio Optimization | Pacific
Funds Diversified Alternatives |
|||||||||||||||||||||||||||
| Conservative | Moderate- Conservative |
Moderate | Growth | Aggressive- Growth |
||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments in affiliated mutual funds, at cost |
$368,700,460 | $511,171,032 | $1,412,091,195 | $973,568,396 | $272,298,546 | $6,396,815 | ||||||||||||||||||||||
| Investments, at cost |
4,662 | 6,768 | 19,075 | 13,197 | 3,925 | — | ||||||||||||||||||||||
| Investments in affiliated mutual funds, at value |
$377,198,309 | $535,184,448 | $1,517,118,693 | $1,070,985,408 | $315,528,901 | $6,279,201 | ||||||||||||||||||||||
| Investments, at value |
4,662 | 6,768 | 19,075 | 13,197 | 3,925 | — | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Fund shares sold |
594,640 | 749,771 | 1,600,248 | 716,127 | 368,085 | 3,500 | ||||||||||||||||||||||
| Securities sold |
233,200 | 224,807 | 521,528 | 364,501 | 24,960 | — | ||||||||||||||||||||||
| Due from adviser |
14,915 | 32,156 | 54,838 | 59,949 | 24,522 | — | ||||||||||||||||||||||
| Prepaid expenses and other assets |
25,214 | 20,716 | 30,516 | 27,073 | 19,003 | 9,338 | ||||||||||||||||||||||
| Total Assets |
378,070,940 | 536,218,666 | 1,519,344,898 | 1,072,166,255 | 315,969,396 | 6,292,039 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
1,173,549 | 1,129,090 | 3,709,890 | 2,022,214 | 584,345 | 5,887 | ||||||||||||||||||||||
| Securities purchased |
— | — | — | — | — | 3,500 | ||||||||||||||||||||||
| Due to adviser |
— | — | — | — | — | 6,875 | ||||||||||||||||||||||
| Accrued advisory fees |
63,417 | 89,635 | 253,164 | 178,082 | 52,357 | 1,046 | ||||||||||||||||||||||
| Accrued administration fees |
47,562 | 67,226 | 189,874 | 133,562 | 39,267 | 784 | ||||||||||||||||||||||
| Accrued support service expenses |
11,352 | 16,737 | 47,155 | 32,892 | 9,606 | 87 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
5,833 | 8,835 | 25,234 | 17,571 | 4,806 | 49 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
47,514 | 69,943 | 197,002 | 137,371 | 40,115 | 374 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
2,334 | 2,349 | 5,869 | 3,813 | 1,026 | — | ||||||||||||||||||||||
| Accrued distribution and/or service fees |
27,317 | 36,544 | 98,219 | 67,469 | 19,201 | 158 | ||||||||||||||||||||||
| Accrued other |
26,069 | 38,893 | 120,282 | 87,402 | 19,393 | 109 | ||||||||||||||||||||||
| Total Liabilities |
1,404,947 | 1,459,252 | 4,646,689 | 2,680,376 | 770,116 | 18,869 | ||||||||||||||||||||||
| NET ASSETS |
$376,665,993 | $534,759,414 | $1,514,698,209 | $1,069,485,879 | $315,199,280 | $6,273,170 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$370,337,118 | $507,032,487 | $1,377,990,814 | $946,236,065 | $271,082,414 | $6,605,554 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
(399,812 | ) | (851,862 | ) | (2,596,320 | ) | (2,167,134 | ) | (657,084 | ) | (1,315 | ) | ||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(1,769,162 | ) | 4,565,373 | 34,276,217 | 27,999,936 | 1,543,595 | (213,455 | ) | ||||||||||||||||||||
| Net unrealized appreciation (depreciation) on investments |
8,497,849 | 24,013,416 | 105,027,498 | 97,417,012 | 43,230,355 | (117,614 | ) | |||||||||||||||||||||
| NET ASSETS |
$376,665,993 | $534,759,414 | $1,514,698,209 | $1,069,485,879 | $315,199,280 | $6,273,170 | ||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$154,762,202 | $255,375,553 | $771,852,714 | $570,266,887 | $170,873,531 | $3,136,188 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
14,552,715 | 21,765,597 | 59,426,322 | 41,517,766 | 11,622,795 | 325,742 | ||||||||||||||||||||||
| Net Asset Value per share* |
$10.63 | $11.73 | $12.99 | $13.74 | $14.70 | $9.63 | ||||||||||||||||||||||
| Sales Charge — Maximum is 5.50% of offering price |
0.62 | 0.68 | 0.76 | 0.80 | 0.86 | 0.56 | ||||||||||||||||||||||
| Maximum offering price per share |
$11.25 | $12.41 | $13.75 | $14.54 | $15.56 | $10.19 | ||||||||||||||||||||||
| Class B Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$33,675,210 | $47,539,778 | $142,921,120 | $102,000,922 | $30,038,375 | |||||||||||||||||||||||
| Shares of beneficial interest outstanding |
3,223,625 | 4,110,974 | 11,104,920 | 7,503,943 | 2,081,170 | |||||||||||||||||||||||
| Net Asset Value per share* |
$10.45 | $11.56 | $12.87 | $13.59 | $14.43 | |||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$173,136,542 | $221,192,429 | $554,660,567 | $366,805,376 | $100,572,748 | $660,560 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
16,581,038 | 19,140,146 | 43,167,268 | 27,065,428 | 6,978,974 | 69,204 | ||||||||||||||||||||||
| Net Asset Value per share* |
$10.44 | $11.56 | $12.85 | $13.55 | $14.41 | $9.55 | ||||||||||||||||||||||
| Class R Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$10,115,808 | $5,760,992 | $25,429,166 | $18,328,278 | $7,035,792 | |||||||||||||||||||||||
| Shares of beneficial interest outstanding |
956,913 | 493,343 | 1,961,322 | 1,336,860 | 481,031 | |||||||||||||||||||||||
| Net Asset Value per share |
$10.57 | $11.68 | $12.97 | $13.71 | $14.63 | |||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||
| Net Assets |
$4,976,231 | $4,890,662 | $19,834,642 | $12,084,416 | $6,678,834 | $2,476,422 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
467,375 | 416,100 | 1,526,115 | 878,518 | 454,038 | 256,582 | ||||||||||||||||||||||
| Net Asset Value per share |
$10.65 | $11.75 | $13.00 | $13.76 | $14.71 | $9.65 | ||||||||||||||||||||||
| * | Redemption price per share is equal to the Net Asset Value per share less any applicable contingent deferred sales charge. |
See Notes to Financial Statements
C-1
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2016
| Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific
Funds Strategic Income |
Pacific Funds Floating Rate Income |
Pacific Funds Limited Duration High Income |
Pacific Funds High Income |
|||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments, at cost |
$245,787,992 | $600,837,388 | $220,273,275 | $703,200,375 | $34,142,810 | $137,511,137 | ||||||||||||||||||||||
| Investments, at value |
$247,159,517 | $608,568,117 | $210,202,264 | $694,508,517 | $32,977,278 | $128,079,432 | ||||||||||||||||||||||
| Cash |
11,950 | 98,333 | 18,304 | 852,254 | 34,215 | 17,345 | ||||||||||||||||||||||
| Foreign currency held, at value (1) |
— | — | 5,129 | — | — | 641 | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
1,070,570 | 4,914,613 | 2,914,915 | 3,136,506 | 350,607 | 2,370,796 | ||||||||||||||||||||||
| Fund shares sold |
3,538,334 | 1,412,644 | 566,507 | 7,550,849 | 65,297 | 81,229 | ||||||||||||||||||||||
| Securities sold |
2,125,456 | 705,693 | 3,881,699 | 40,021,359 | 540,424 | 2,159,808 | ||||||||||||||||||||||
| Due from adviser |
42,304 | 109,039 | 38,447 | 95,122 | 1,962 | 10,060 | ||||||||||||||||||||||
| Swap agreement, at value |
— | — | — | — | — | 92,460 | ||||||||||||||||||||||
| Prepaid expenses and other assets |
24,076 | 18,245 | 16,930 | 26,683 | 12,416 | 14,247 | ||||||||||||||||||||||
| Total Assets |
253,972,207 | 615,826,684 | 217,644,195 | 746,191,290 | 33,982,199 | 132,826,018 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
1,099,644 | 1,771,223 | 636,057 | 2,983,312 | 80,481 | 76,738 | ||||||||||||||||||||||
| Securities purchased |
7,829,196 | 7,035,202 | 3,791,974 | 65,611,735 | 62,617 | 2,180,407 | ||||||||||||||||||||||
| Income distributions |
34,212 | 256,043 | 56,756 | 142,954 | 1,157 | 1,106 | ||||||||||||||||||||||
| Accrued advisory fees |
80,463 | 256,141 | 105,248 | 368,492 | 17,910 | 65,723 | ||||||||||||||||||||||
| Accrued administration fees |
60,133 | 151,214 | 52,505 | 158,320 | 5,858 | 18,461 | ||||||||||||||||||||||
| Accrued support service expenses |
6,113 | 18,629 | 6,986 | 21,540 | 873 | 4,075 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
1,217 | 3,811 | 1,366 | 5,155 | 578 | 785 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
3,372 | 10,263 | 3,888 | 11,958 | 486 | 2,268 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
25,343 | 77,776 | 29,026 | 90,080 | 3,680 | 16,856 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
4 | — | — | — | — | — | ||||||||||||||||||||||
| Accrued distribution and/or service fees |
6,675 | 20,671 | 6,243 | 22,937 | 543 | 757 | ||||||||||||||||||||||
| Accrued other |
19,015 | 46,585 | 26,938 | 83,629 | 8,775 | 21,177 | ||||||||||||||||||||||
| Total Liabilities |
9,165,387 | 9,647,558 | 4,716,987 | 69,500,112 | 182,958 | 2,388,353 | ||||||||||||||||||||||
| NET ASSETS |
$244,806,820 | $606,179,126 | $212,927,208 | $676,691,178 | $33,799,241 | $130,437,665 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$246,664,820 | $621,272,096 | $233,430,380 | $735,750,671 | $38,439,878 | $147,000,004 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
28,467 | 118,060 | 64,893 | 179,836 | 10,174 | (166,803 | ) | |||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(3,257,992 | ) | (22,941,759 | ) | (10,495,542 | ) | (50,547,471 | ) | (3,485,279 | ) | (7,056,144 | ) | ||||||||||||||||
| Net unrealized appreciation (depreciation) on
investments and |
1,371,525 | 7,730,729 | (10,072,523 | ) | (8,691,858 | ) | (1,165,532 | ) | (9,339,392 | ) | ||||||||||||||||||
| NET ASSETS |
$244,806,820 | $606,179,126 | $212,927,208 | $676,691,178 | $33,799,241 | $130,437,665 | ||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$69,477,058 | $196,296,622 | $52,218,187 | $191,376,393 | $7,502,835 | $10,391,345 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
6,772,016 | 18,780,654 | 5,176,310 | 19,614,318 | 846,561 | 1,101,320 | ||||||||||||||||||||||
| Net Asset Value per share* |
$10.26 | $10.45 | $10.09 | $9.76 | $8.86 | $9.44 | ||||||||||||||||||||||
| Sales Charge (2) |
0.32 | 0.46 | 0.45 | 0.30 | 0.27 | 0.42 | ||||||||||||||||||||||
| Maximum offering price per share |
$10.58 | $10.91 | $10.54 | $10.06 | $9.13 | $9.86 | ||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$44,180,019 | $140,656,787 | $44,196,233 | $161,325,581 | $3,103,943 | $4,323,706 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
4,314,535 | 13,455,369 | 4,388,971 | 16,560,463 | 350,915 | 458,694 | ||||||||||||||||||||||
| Net Asset Value per share* |
$10.24 | $10.45 | $10.07 | $9.74 | $8.85 | $9.43 | ||||||||||||||||||||||
| Class I Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$1,694,808 | $3,584,694 | $948,152 | $91,984,189 | $21,217,115 | $58,369 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
165,425 | 342,699 | 94,489 | 9,414,004 | 2,393,884 | 6,228 | ||||||||||||||||||||||
| Net Asset Value per share |
$10.25 | $10.46 | $10.03 | $9.77 | $8.86 | $9.37 | ||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$15,963,764 | $568,093 | $113,997,812 | |||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,521,550 | 58,177 | 12,178,549 | |||||||||||||||||||||||||
| Net Asset Value per share |
$10.49 | $9.76 | $9.36 | |||||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||
| Net Assets |
$129,454,935 | $249,677,259 | $115,564,636 | $231,436,922 | $1,975,348 | $1,666,433 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
12,616,968 | 23,837,500 | 11,453,910 | 23,644,337 | 223,007 | 176,478 | ||||||||||||||||||||||
| Net Asset Value per share |
$10.26 | $10.47 | $10.09 | $9.79 | $8.86 | $9.44 | ||||||||||||||||||||||
| * | Redemption price per share is equal to the Net Asset Value per share less any applicable contingent deferred sales charge. |
| (1) | The cost of foreign currency for Pacific Funds Strategic Income and Pacific Funds High Income was $6,641 and $788, respectively. |
| (2) | The Class A shares of Pacific Funds Short Duration Income, Pacific Funds Floating Rate Income, and Pacific Funds Limited Duration High Income are subject to a maximum 3.00% front-end sales charge. The Class A shares of Pacific Funds Core Income, Pacific Funds Strategic Income, and Pacific Funds High Income are subject to a maximum 4.25% front-end sales charge. |
See Notes to Financial Statements
C-2
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2016
| Pacific Funds Large-Cap |
Pacific Funds Large-Cap Value |
Pacific Funds Small/Mid-Cap |
Pacific Funds Small-Cap |
Pacific Funds Small-Cap Value |
Pacific Funds Small-Cap Growth |
|||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments, at cost |
$4,220,519 | $2,391,832 | $7,330,894 | $1,056,951 | $1,638,127 | $1,716,529 | ||||||||||||||||||||||
| Investments, at value |
$4,303,694 | $2,483,976 | $7,630,394 | $1,084,426 | $1,674,262 | $1,722,185 | ||||||||||||||||||||||
| Cash |
19,870 | 15,318 | 15,951 | 16,025 | 15,537 | 17,710 | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
4,190 | 2,855 | 5,071 | 933 | 1,902 | 432 | ||||||||||||||||||||||
| Fund shares sold |
141,585 | 167,789 | 478,098 | 77,510 | 247,985 | 204,434 | ||||||||||||||||||||||
| Securities sold |
53,694 | 77,082 | — | — | — | — | ||||||||||||||||||||||
| Prepaid expenses and other assets |
53,421 | 54,806 | 55,445 | 52,275 | 52,774 | 51,692 | ||||||||||||||||||||||
| Total Assets |
4,576,454 | 2,801,826 | 8,184,959 | 1,231,169 | 1,992,460 | 1,996,453 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
— | — | 146 | — | — | — | ||||||||||||||||||||||
| Due to adviser |
23,720 | 26,781 | 27,737 | 29,562 | 26,105 | 29,434 | ||||||||||||||||||||||
| Securities purchased |
301,251 | 247,849 | 361,403 | 34,068 | 209,719 | 220,056 | ||||||||||||||||||||||
| Accrued advisory fees |
1,940 | 1,197 | 4,258 | 766 | 975 | 1,062 | ||||||||||||||||||||||
| Accrued administration fees |
7,532 | 7,340 | 8,412 | 7,203 | 7,166 | 7,258 | ||||||||||||||||||||||
| Accrued support service expenses |
958 | 613 | 306 | 38 | 613 | 38 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
2,878 | 131 | 560 | 603 | 1,478 | 457 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
6,443 | 3,390 | 3,344 | 3,139 | 3,021 | 2,842 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
27,928 | 27,193 | 26,192 | 25,316 | 27,193 | 25,316 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
53 | 51 | 110 | — | 197 | — | ||||||||||||||||||||||
| Accrued distribution and/or service fees |
2,265 | 1,847 | 168 | 21 | 18 | 3,765 | ||||||||||||||||||||||
| Accrued other |
8,253 | 7,640 | 8,949 | 8,732 | 8,920 | 7,818 | ||||||||||||||||||||||
| Total Liabilities |
383,221 | 324,032 | 441,585 | 109,448 | 285,405 | 298,046 | ||||||||||||||||||||||
| NET ASSETS |
$4,193,233 | $2,477,794 | $7,743,374 | $1,121,721 | $1,707,055 | $1,698,407 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$4,244,725 | $2,391,320 | $7,443,618 | $1,102,263 | $1,687,252 | $1,713,021 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
— | 5,447 | 5,447 | 4,922 | 3,958 | 3,309 | ||||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(134,667 | ) | (11,117 | ) | (5,191 | ) | (12,939 | ) | (20,290 | ) | (23,579 | ) | ||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
83,175 | 92,144 | 299,500 | 27,475 | 36,135 | 5,656 | ||||||||||||||||||||||
| NET ASSETS |
$4,193,233 | $2,477,794 | $7,743,374 | $1,121,721 | $1,707,055 | $1,698,407 | ||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$550,557 | $499,118 | $2,254,003 | $323,533 | $147,505 | $43,175 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
56,984 | 52,739 | 227,085 | 33,428 | 15,572 | 4,491 | ||||||||||||||||||||||
| Net Asset Value per share* |
$9.66 | $9.46 | $9.93 | $9.68 | $9.47 | $9.61 | ||||||||||||||||||||||
| Sales Charge — Maximum is 4.25% of offering price |
0.43 | 0.42 | 0.44 | 0.43 | 0.42 | 0.43 | ||||||||||||||||||||||
| Maximum offering price per share |
$10.09 | $9.88 | $10.37 | $10.11 | $9.89 | $10.04 | ||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$524,992 | $476,649 | $527,371 | $129,909 | $120,621 | $33,604 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
54,415 | 50,464 | 53,218 | 13,453 | 12,748 | 3,498 | ||||||||||||||||||||||
| Net Asset Value per share* |
$9.65 | $9.45 | $9.91 | $9.66 | $9.46 | $9.61 | ||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||
| Net Assets |
$563,901 | $777,465 | $1,965,359 | $153,052 | $261,428 | $234,114 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
58,314 | 82,103 | 198,082 | 15,814 | 27,567 | 24,297 | ||||||||||||||||||||||
| Net Asset Value per share |
$9.67 | $9.47 | $9.92 | $9.68 | $9.48 | $9.64 | ||||||||||||||||||||||
| Investor Class: |
||||||||||||||||||||||||||||
| Net Assets |
$674,454 | $514,236 | $2,285,867 | $18,232 | $59,463 | $976,526 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
69,906 | 54,343 | 230,581 | 1,886 | 6,278 | 101,511 | ||||||||||||||||||||||
| Net Asset Value per share |
$9.65 | $9.46 | $9.91 | $9.67 | $9.47 | $9.62 | ||||||||||||||||||||||
| Institutional Class: |
||||||||||||||||||||||||||||
| Net Assets |
$1,879,329 | $210,326 | $710,774 | $496,995 | $1,118,038 | $410,988 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
194,493 | 22,212 | 71,661 | 51,380 | 118,000 | 42,681 | ||||||||||||||||||||||
| Net Asset Value per share |
$9.66 | $9.47 | $9.92 | $9.67 | $9.47 | $9.63 | ||||||||||||||||||||||
| * | Redemption price per share is equal to the Net Asset Value per share less any applicable contingent deferred sales charge. |
See Notes to Financial Statements
C-3
PACIFIC FUNDS
FOR THE YEAR ENDED MARCH 31, 2016
| Pacific Funds Portfolio Optimization | Pacific Funds Diversified Alternatives |
|||||||||||||||||||||||||||
| Conservative | Moderate- Conservative |
Moderate | Growth | Aggressive- Growth |
||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends from affiliated mutual fund investments |
$10,219,707 | $14,927,379 | $38,683,453 | $20,884,164 | $5,316,631 | $256,256 | ||||||||||||||||||||||
| Dividends from mutual fund investments |
— | — | 685 | 949 | 2,150 | — | ||||||||||||||||||||||
| Total Investment Income |
10,219,707 | 14,927,379 | 38,684,138 | 20,885,113 | 5,318,781 | 256,256 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
789,207 | 1,118,725 | 3,160,700 | 2,214,005 | 653,184 | 11,391 | ||||||||||||||||||||||
| Administration fees |
591,905 | 839,044 | 2,370,525 | 1,660,504 | 489,888 | 8,543 | ||||||||||||||||||||||
| Support services expenses |
57,994 | 82,426 | 232,237 | 161,693 | 47,376 | 687 | ||||||||||||||||||||||
| Shareholder report expenses |
33,777 | 48,779 | 119,209 | 98,893 | 29,779 | 571 | ||||||||||||||||||||||
| Distribution and/or service fees (1) |
||||||||||||||||||||||||||||
| Class A |
400,366 | 667,766 | 2,017,338 | 1,464,825 | 433,897 | 4,662 | ||||||||||||||||||||||
| Class B |
352,429 | 492,694 | 1,504,809 | 1,090,586 | 325,260 | |||||||||||||||||||||||
| Class C |
1,824,700 | 2,309,693 | 5,767,633 | 3,810,940 | 1,046,336 | 6,985 | ||||||||||||||||||||||
| Class R |
53,702 | 31,601 | 125,857 | 96,937 | 39,603 | |||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
32,436 | 47,044 | 132,149 | 92,059 | 25,742 | 383 | ||||||||||||||||||||||
| Registration fees |
67,992 | 75,299 | 82,994 | 85,398 | 74,982 | 38,775 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
63,772 | 92,803 | 261,391 | 182,154 | 53,236 | 581 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
17,096 | 24,335 | 68,440 | 47,602 | 13,953 | 202 | ||||||||||||||||||||||
| Recoupment of adviser reimbursement (2) |
— | — | — | — | — | 8,686 | ||||||||||||||||||||||
| Other |
16,931 | 22,550 | 58,000 | 40,982 | 13,934 | 2,016 | ||||||||||||||||||||||
| Total Expenses |
4,302,307 | 5,852,759 | 15,901,282 | 11,046,578 | 3,247,170 | 83,482 | ||||||||||||||||||||||
| Adviser Expense Reimbursement (2) |
(289,997 | ) | (393,236 | ) | (954,419 | ) | (708,782 | ) | (259,000 | ) | (37,661 | ) | ||||||||||||||||
| Net Expenses |
4,012,310 | 5,459,523 | 14,946,863 | 10,337,796 | 2,988,170 | 45,821 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
6,207,397 | 9,467,856 | 23,737,275 | 10,547,317 | 2,330,611 | 210,435 | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions in affiliated mutual funds |
(4,070,975 | ) | (3,544,068 | ) | (167,508 | ) | 6,254,328 | (1,706,883 | ) | (181,296 | ) | |||||||||||||||||
| Investment security transactions |
291 | 407 | 1,161 | 816 | 239 | 4 | ||||||||||||||||||||||
| Capital gain distributions from affiliated mutual fund investments |
10,895,879 | 17,690,520 | 61,263,699 | 51,572,586 | 16,482,450 | 13,750 | ||||||||||||||||||||||
| Net Realized Gain (Loss) |
6,825,195 | 14,146,859 | 61,097,352 | 57,827,730 | 14,775,806 | (167,542 | ) | |||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities in affiliated mutual funds |
(22,221,300 | ) | (37,664,761 | ) | (132,517,065 | ) | (111,596,219 | ) | (33,442,284 | ) | (34,634 | ) | ||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(22,221,300 | ) | (37,664,761 | ) | (132,517,065 | ) | (111,596,219 | ) | (33,442,284 | ) | (34,634 | ) | ||||||||||||||||
| NET GAIN (LOSS) |
(15,396,105 | ) | (23,517,902 | ) | (71,419,713 | ) | (53,768,489 | ) | (18,666,478 | ) | (202,176 | ) | ||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
($9,188,708 | ) | ($14,050,046 | ) | ($47,682,438 | ) | ($43,221,172 | ) | ($16,335,867 | ) | $8,259 | |||||||||||||||||
| (1) | The Advisor Class shares are not subject to distribution and service fees (see Notes 1 and 6 in Notes to Financial Statements). |
| (2) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-4
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2016
| Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific Funds Strategic Income |
Pacific Funds Floating Rate Income |
Pacific Funds Limited Duration High Income |
Pacific Funds High Income |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends |
$4,061 | $14,961 | $315,969 | $29,502 | $1,709 | $177,527 | ||||||||||||||||||||||
| Interest |
4,344,997 | 24,653,954 | 10,909,314 | 36,572,985 | 1,989,019 | 7,832,811 | ||||||||||||||||||||||
| Other |
— | 280 | — | 15,765 | — | — | ||||||||||||||||||||||
| Total Investment Income |
4,349,058 | 24,669,195 | 11,225,283 | 36,618,252 | 1,990,728 | 8,010,338 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
702,994 | 3,187,904 | 1,283,400 | 4,724,702 | 234,379 | 787,387 | ||||||||||||||||||||||
| Administration fees |
524,682 | 1,884,031 | 639,738 | 2,036,341 | 75,947 | 218,982 | ||||||||||||||||||||||
| Support services expenses |
22,849 | 92,389 | 30,385 | 108,071 | 5,100 | 21,607 | ||||||||||||||||||||||
| Custodian fees and expenses |
6,145 | 23,292 | 7,803 | 33,313 | 3,008 | 5,371 | ||||||||||||||||||||||
| Shareholder report expenses |
15,433 | 64,601 | 22,823 | 57,925 | 2,781 | 11,937 | ||||||||||||||||||||||
| Distribution and/or service fees (1) |
||||||||||||||||||||||||||||
| Class A |
138,691 | 529,535 | 146,212 | 509,671 | 16,968 | 17,690 | ||||||||||||||||||||||
| Class C |
368,781 | 1,718,416 | 452,876 | 1,706,424 | 34,129 | 47,712 | ||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
13,806 | 54,493 | 18,401 | 64,202 | 3,035 | 12,270 | ||||||||||||||||||||||
| Registration fees |
72,340 | 134,192 | 65,194 | 87,529 | 49,459 | 48,835 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
31,162 | 103,296 | 37,112 | 134,953 | 5,165 | 22,564 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
6,905 | 27,313 | 9,197 | 32,055 | 1,524 | 6,057 | ||||||||||||||||||||||
| Interest expense and commitment fee |
— | — | — | 137,250 | — | — | ||||||||||||||||||||||
| Other |
27,218 | 52,422 | 42,076 | 51,584 | 21,272 | 38,834 | ||||||||||||||||||||||
| Total Expenses |
1,931,006 | 7,871,884 | 2,755,217 | 9,684,020 | 452,767 | 1,239,246 | ||||||||||||||||||||||
| Advisory Fee Waiver (2) |
— | — | — | — | (7,212 | ) | — | |||||||||||||||||||||
| Adviser Expense Reimbursement (3) |
(369,896 | ) | (1,162,780 | ) | (445,582 | ) | (1,185,282 | ) | (105,916 | ) | (124,097 | ) | ||||||||||||||||
| Net Expenses |
1,561,110 | 6,709,104 | 2,309,635 | 8,498,738 | 339,639 | 1,115,149 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
2,787,948 | 17,960,091 | 8,915,648 | 28,119,514 | 1,651,089 | 6,895,189 | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
(3,090,621 | ) | (19,731,308 | ) | (9,377,645 | ) | (40,657,299 | ) | (3,190,377 | ) | (6,734,733 | ) | ||||||||||||||||
| Swap transactions |
— | — | — | — | — | (625,917 | ) | |||||||||||||||||||||
| Net Realized Gain (Loss) |
(3,090,621 | ) | (19,731,308 | ) | (9,377,645 | ) | (40,657,299 | ) | (3,190,377 | ) | (7,360,650 | ) | ||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities |
1,156,485 | (2,012,536 | ) | (6,372,243 | ) | 16,316,885 | 329,629 | (9,180,011 | ) | |||||||||||||||||||
| Swaps |
— | — | — | — | — | 33,159 | ||||||||||||||||||||||
| Foreign currencies |
— | — | (132 | ) | — | — | (16 | ) | ||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
1,156,485 | (2,012,536 | ) | (6,372,375 | ) | 16,316,885 | 329,629 | (9,146,868 | ) | |||||||||||||||||||
| NET GAIN (LOSS) |
(1,934,136 | ) | (21,743,844 | ) | (15,750,020 | ) | (24,340,414 | ) | (2,860,748 | ) | (16,507,518 | ) | ||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$853,812 | ($3,783,753 | ) | ($6,834,372 | ) | $3,779,100 | ($1,209,659 | ) | ($9,612,329 | ) | ||||||||||||||||||
| (1) | Class I, Class P, and Advisor Class shares are not subject to distribution and service fees (see Notes 1 and 6 in Notes to Financial Statements). |
| (2) | See Note 6 in Notes to Financial Statements. |
| (3) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-5
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
| Pacific Funds Large-Cap (1) | Pacific Funds Large-Cap Value (1) | Pacific Funds Small/Mid-Cap (1) | ||||||||||||||||||||||||||
| Period Ended March 31, 2016 |
Period Ended November 30, 2015 |
Period Ended March 31, 2016 |
Period Ended November 30, 2015 |
Period Ended March 31, 2016 |
Period Ended November 30, 2015 |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$21,393 | $30,838 | $11,123 | $10,974 | $10,074 | $5,388 | ||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
25 | 15 | 36 | 8 | 49 | 12 | ||||||||||||||||||||||
| Total Investment Income |
21,418 | 30,853 | 11,159 | 10,982 | 10,123 | 5,400 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
5,657 | 7,358 | 2,349 | 2,494 | 6,275 | 4,079 | ||||||||||||||||||||||
| Administration fees |
5,770 | 32,727 | 4,762 | 32,100 | 5,813 | 32,946 | ||||||||||||||||||||||
| Fund accounting fees (2) |
3,016 | 22,483 | 2,612 | 21,985 | 3,086 | 25,415 | ||||||||||||||||||||||
| Transfer agency fees and expenses (2) |
4,153 | 25,282 | 1,684 | 14,610 | 1,691 | 14,659 | ||||||||||||||||||||||
| Support services expenses |
958 | 613 | 306 | |||||||||||||||||||||||||
| Custodian fees and expenses |
2,477 | 8,156 | 51 | 1,425 | 277 | 3,042 | ||||||||||||||||||||||
| Shareholder report expenses |
— | 2,845 | — | 1,667 | — | 1,697 | ||||||||||||||||||||||
| Distribution and/or service fees (3) |
||||||||||||||||||||||||||||
| Class A |
119 | 151 | 586 | |||||||||||||||||||||||||
| Class C |
385 | 560 | 333 | |||||||||||||||||||||||||
| Investor Class |
575 | 1,948 | 459 | 1,588 | 454 | |||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
535 | 342 | 171 | |||||||||||||||||||||||||
| Registration fees |
17,377 | 17,320 | 14,137 | 17,204 | 15,480 | 17,770 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
6,283 | 24,155 | 5,113 | 24,547 | 4,544 | 24,547 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
2,391 | 7,360 | 2,286 | 7,340 | 2,198 | 7,340 | ||||||||||||||||||||||
| Chief compliance officer fees (2) |
— | 11,000 | — | 6,417 | — | 6,417 | ||||||||||||||||||||||
| Offering expenses |
5,533 | 5,533 | 5,533 | |||||||||||||||||||||||||
| Other |
540 | 5,571 | 1,687 | 5,257 | 83 | 5,292 | ||||||||||||||||||||||
| Total Expenses |
55,769 | 166,205 | 42,339 | 136,634 | 46,830 | 143,204 | ||||||||||||||||||||||
| Fee and expense waiver (2) |
(16,498 | ) | (155,562 | ) | (9,044 | ) | (132,099 | ) | (9,757 | ) | (138,405 | ) | ||||||||||||||||
| Advisory Fee Waiver (4) |
(635 | ) | — | — | ||||||||||||||||||||||||
| Adviser Expense Reimbursement (5) |
(31,382 | ) |
|
|
(29,093 | ) |
|
|
(27,939 | ) |
|
|
||||||||||||||||
| Net Expenses |
7,254 | 10,643 | 4,202 | 4,535 | 9,134 | 4,799 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
14,164 | 20,210 | 6,957 | 6,447 | 989 | 601 | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
(86,266 | ) | (48,401 | ) | (7,797 | ) | (3,320 | ) | (5,191 | ) | 2,560 | |||||||||||||||||
| Net Realized Gain (Loss) |
(86,266 | ) | (48,401 | ) | (7,797 | ) | (3,320 | ) | (5,191 | ) | 2,560 | |||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities |
55,075 | 28,100 | 95,006 | (2,862 | ) | 278,645 | 20,855 | |||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
55,075 | 28,100 | 95,006 | (2,862 | ) | 278,645 | 20,855 | |||||||||||||||||||||
| NET GAIN (LOSS) |
(31,191 | ) | (20,301 | ) | 87,209 | (6,182 | ) | 273,454 | 23,415 | |||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
($17,027 | ) | ($91 | ) | $94,166 | $265 | $274,443 | $24,016 | ||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$17 | $14 | $2 | $5 | $— | $— | ||||||||||||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the following periods are shown for the Fund: (i) the period from December 31, 2014 through November 30, 2015, which reflects the fiscal year end for the Predecessor Fund prior to the reorganization and (ii) the period from December 1, 2015 through March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 in Notes to Financial Statements). |
| (2) | These expense items apply to the Predecessor Funds prior to January 11, 2016 (the date of reorganization). |
| (3) | The Advisor and Institutional Class shares are not subject to distribution and service fees (see Notes 1 and 6 in Notes to Financial Statements). |
| (4) | See Note 6 in Notes to Financial Statements. |
| (5) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-6
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
| Pacific Funds Small-Cap (1) | Pacific Funds Small-Cap Value (1) | Pacific Funds Small-Cap Growth (1) | ||||||||||||||||||||||||||
| Period Ended March 31, 2016 |
Period Ended November 30, 2015 |
Period Ended March 31, 2016 |
Period Ended November 30, 2015 |
Period Ended March 31, 2016 |
Period Ended November 30, 2015 |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends |
$3,443 | $5,826 | $6,183 | $8,628 | $2,061 | $5,304 | ||||||||||||||||||||||
| Interest |
16 | 14 | 85 | 8 | 11 | 6 | ||||||||||||||||||||||
| Total Investment Income |
3,459 | 5,840 | 6,268 | 8,636 | 2,072 | 5,310 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
1,823 | 4,000 | 2,352 | 4,519 | 2,923 | 8,148 | ||||||||||||||||||||||
| Administration fees |
4,284 | 32,984 | 4,318 | 32,789 | 4,614 | 32,812 | ||||||||||||||||||||||
| Fund accounting fees (2) |
3,374 | 25,596 | 3,078 | 24,700 | 2,865 | 23,355 | ||||||||||||||||||||||
| Transfer agency fees and expenses (2) |
1,561 | 14,647 | 1,414 | 12,415 | 1,409 | 13,271 | ||||||||||||||||||||||
| Support services expenses |
38 | 613 | 38 | |||||||||||||||||||||||||
| Custodian fees and expenses |
— | 2,977 | 1,958 | 4,597 | — | 2,188 | ||||||||||||||||||||||
| Shareholder reporting expense |
— | 1,682 | — | 1,745 | — | 3,097 | ||||||||||||||||||||||
| Distribution and/or service fees (3) |
||||||||||||||||||||||||||||
| Class A |
46 | 45 | 19 | |||||||||||||||||||||||||
| Class C |
145 | 70 | 35 | |||||||||||||||||||||||||
| Investor Class |
5 | 26 | 907 | 3,354 | ||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
21 | 342 | 21 | |||||||||||||||||||||||||
| Registration fees |
4,032 | 18,136 | 14,534 | 18,350 | 17,959 | 35,762 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
2,613 | 24,547 | 5,546 | 24,547 | 3,667 | 24,547 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
2,309 | 7,340 | 2,286 | 7,340 | 2,129 | 7,368 | ||||||||||||||||||||||
| Chief compliance officer fees (2) |
— | 6,417 | — | 6,417 | — | 6,417 | ||||||||||||||||||||||
| Offering expenses |
5,533 | 5,533 | 5,533 | |||||||||||||||||||||||||
| Other |
2,532 | 5,283 | 2,188 | 5,325 | 1,737 | 6,449 | ||||||||||||||||||||||
| Total Expenses |
28,316 | 143,609 | 44,303 | 142,744 | 43,856 | 166,768 | ||||||||||||||||||||||
| Fee and expense waiver (2) |
— | (138,886 | ) | (11,964 | ) | (137,428 | ) | (13,802 | ) | (154,786 | ) | |||||||||||||||||
| Adviser Expense Reimbursement (4) |
(25,943 | ) |
|
|
(29,397 | ) |
|
|
(25,758 | ) |
|
|
||||||||||||||||
| Net Expenses |
2,373 | 4,723 | 2,942 | 5,316 | 4,296 | 11,982 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
1,086 | 1,117 | 3,326 | 3,320 | (2,224 | ) | (6,672 | ) | ||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
(10,991 | ) | (1,948 | ) | (20,102 | ) | 6,946 | (23,579 | ) | 480 | ||||||||||||||||||
| Net Realized Gain (Loss) |
(10,991 | ) | (1,948 | ) | (20,102 | ) | 6,946 | (23,579 | ) | 480 | ||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities |
10,916 | 16,559 | 31,275 | 4,860 | (43,014 | ) | 48,670 | |||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
10,916 | 16,559 | 31,275 | 4,860 | (43,014 | ) | 48,670 | |||||||||||||||||||||
| NET GAIN (LOSS) |
(75 | ) | 14,611 | 11,173 | 11,806 | (66,593 | ) | 49,150 | ||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$1,011 | $15,728 | $14,499 | $15,126 | ($68,817 | ) | $42,478 | |||||||||||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the following periods are shown for the Fund: (i) the period from December 31, 2014 through November 30, 2015, which reflects the fiscal year end for the Predecessor Fund prior to the reorganization and (ii) the period from December 1, 2015 through March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 in Notes to Financial Statements). |
| (2) | These expense items apply to the Predecessor Funds prior to January 11, 2016 (the date of reorganization). |
| (3) | The Advisor and Institutional Class shares are not subject to distribution and service fees (see Notes 1 and 6 in Notes to Financial Statements). |
| (4) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-7
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
| Pacific Funds Portfolio |
Pacific Funds Portfolio |
Pacific Funds Portfolio |
||||||||||||||||||||||||||||||
|
Year Ended |
Year
Ended |
Year Ended |
Year
Ended |
Year Ended |
Year
Ended |
|||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$6,207,397 | $4,477,619 | $9,467,856 | $5,896,543 | $23,737,275 | $15,219,942 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
6,825,195 | 10,799,223 | 14,146,859 | 20,824,581 | 61,097,352 | 75,283,829 | ||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(22,221,300 | ) | (859,050 | ) | (37,664,761 | ) | (2,549,050 | ) | (132,517,065 | ) | (12,216,526 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(9,188,708 | ) | 14,417,792 | (14,050,046 | ) | 24,172,074 | (47,682,438 | ) | 78,287,245 | |||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
(3,904,624 | ) | (3,454,200 | ) | (6,508,735 | ) | (5,469,373 | ) | (16,790,588 | ) | (19,048,743 | ) | ||||||||||||||||||||
| Class B |
(705,520 | ) | (551,909 | ) | (932,057 | ) | (748,105 | ) | (2,304,983 | ) | (2,475,913 | ) | ||||||||||||||||||||
| Class C |
(3,620,549 | ) | (2,836,796 | ) | (4,371,819 | ) | (3,539,176 | ) | (8,854,712 | ) | (9,326,320 | ) | ||||||||||||||||||||
| Class R |
(233,548 | ) | (231,328 | ) | (138,296 | ) | (124,908 | ) | (450,122 | ) | (552,031 | ) | ||||||||||||||||||||
| Advisor Class |
(135,864 | ) | (180,858 | ) | (149,204 | ) | (123,283 | ) | (499,724 | ) | (590,308 | ) | ||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||
| Class A |
(1,464,958 | ) | (3,847,918 | ) | (7,380,485 | ) | (4,251,615 | ) | (33,710,166 | ) | (10,959,626 | ) | ||||||||||||||||||||
| Class B |
(334,902 | ) | (858,598 | ) | (1,376,966 | ) | (813,848 | ) | (6,330,818 | ) | (2,103,854 | ) | ||||||||||||||||||||
| Class C |
(1,747,944 | ) | (4,437,897 | ) | (6,468,248 | ) | (3,769,105 | ) | (24,455,786 | ) | (7,871,227 | ) | ||||||||||||||||||||
| Class R |
(97,645 | ) | (277,370 | ) | (172,228 | ) | (106,079 | ) | (1,001,296 | ) | (364,076 | ) | ||||||||||||||||||||
| Advisor Class |
(47,371 | ) | (189,503 | ) | (158,780 | ) | (84,413 | ) | (914,566 | ) | (311,818 | ) | ||||||||||||||||||||
| Net Decrease from Dividends
and |
(12,292,925 | ) | (16,866,377 | ) | (27,656,818 | ) | (19,029,905 | ) | (95,312,761 | ) | (53,603,916 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||
| Class A |
39,128,909 | 39,424,777 | 47,922,900 | 57,136,981 | 116,741,636 | 161,286,327 | ||||||||||||||||||||||||||
| Class B |
6,925,517 | 5,275,231 | 6,535,490 | 5,813,297 | 15,856,471 | 18,369,022 | ||||||||||||||||||||||||||
| Class C |
39,002,555 | 42,394,356 | 35,754,897 | 48,443,966 | 84,727,408 | 114,956,328 | ||||||||||||||||||||||||||
| Class R |
1,932,425 | 2,826,989 | 1,375,825 | 2,453,292 | 7,577,848 | 7,304,490 | ||||||||||||||||||||||||||
| Advisor Class |
1,610,009 | 8,408,322 | 2,225,824 | 5,267,750 | 8,588,539 | 18,681,701 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||
| Class A |
5,250,529 | 6,963,735 | 13,595,937 | 9,515,668 | 49,999,360 | 29,629,842 | ||||||||||||||||||||||||||
| Class B |
977,663 | 1,311,259 | 2,244,758 | 1,516,125 | 8,445,179 | 4,487,672 | ||||||||||||||||||||||||||
| Class C |
5,115,687 | 6,918,706 | 10,460,939 | 7,038,176 | 32,355,435 | 16,585,274 | ||||||||||||||||||||||||||
| Class R |
331,193 | 508,698 | 310,524 | 230,987 | 1,451,418 | 914,621 | ||||||||||||||||||||||||||
| Advisor Class |
106,229 | 256,778 | 218,922 | 150,779 | 1,168,221 | 757,402 | ||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||
| Class A |
(51,179,411 | ) | (66,336,969 | ) | (63,408,157 | ) | (67,483,303 | ) | (167,614,855 | ) | (173,568,973 | ) | ||||||||||||||||||||
| Class B |
(10,241,258 | ) | (7,501,235 | ) | (8,755,562 | ) | (8,834,053 | ) | (27,549,588 | ) | (21,763,033 | ) | ||||||||||||||||||||
| Class C |
(52,611,485 | ) | (60,180,762 | ) | (48,371,128 | ) | (44,903,331 | ) | (111,070,721 | ) | (104,739,176 | ) | ||||||||||||||||||||
| Class R |
(3,425,328 | ) | (2,537,604 | ) | (2,347,409 | ) | (2,886,897 | ) | (9,685,326 | ) | (12,304,519 | ) | ||||||||||||||||||||
| Advisor Class |
(4,339,090 | ) | (4,551,008 | ) | (2,670,632 | ) | (2,749,236 | ) | (9,838,319 | ) | (17,739,998 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(21,415,856 | ) | (26,818,727 | ) | (4,906,872 | ) | 10,710,201 | 1,152,706 | 42,856,980 | |||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(42,897,489 | ) | (29,267,312 | ) | (46,613,736 | ) | 15,852,370 | (141,842,493 | ) | 67,540,309 | ||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
419,563,482 | 448,830,794 | 581,373,150 | 565,520,780 | 1,656,540,702 | 1,589,000,393 | ||||||||||||||||||||||||||
| End of Year |
$376,665,993 | $419,563,482 | $534,759,414 | $581,373,150 | $1,514,698,209 | $1,656,540,702 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($399,812 | ) | ($667,199 | ) | ($851,862 | ) | ($1,398,171 | ) | ($2,596,320 | ) | ($3,653,078 | ) | ||||||||||||||||||||
See Notes to Financial Statements
C-8
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Portfolio Optimization Growth |
Pacific Funds
Portfolio Optimization Aggressive-Growth |
Pacific Funds Diversified Alternatives |
||||||||||||||||||||||||||||||
| Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended |
Year
Ended |
|||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$10,547,317 | $8,137,090 | $2,330,611 | $2,090,801 | $210,435 | $144,500 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
57,827,730 | 70,260,635 | 14,775,806 | 23,648,517 | (167,542 | ) | (14,721 | ) | ||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(111,596,219 | ) | (12,970,340 | ) | (33,442,284 | ) | (7,113,846 | ) | (34,634 | ) | (81,547 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(43,221,172 | ) | 65,427,385 | (16,335,867 | ) | 18,625,472 | 8,259 | 48,232 | ||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
(9,672,579 | ) | (12,802,326 | ) | (3,216,598 | ) | (3,417,354 | ) | (97,476 | ) | (33,830 | ) | ||||||||||||||||||||
| Class B |
(1,162,795 | ) | (1,696,168 | ) | (347,881 | ) | (463,722 | ) | ||||||||||||||||||||||||
| Class C |
(4,178,994 | ) | (5,812,228 | ) | (1,159,802 | ) | (1,415,231 | ) | (19,607 | ) | (11,976 | ) | ||||||||||||||||||||
| Class R |
(283,644 | ) | (413,678 | ) | (124,319 | ) | (149,889 | ) | ||||||||||||||||||||||||
| Advisor Class |
(252,100 | ) | (200,361 | ) | (201,505 | ) | (131,420 | ) | (98,021 | ) | (108,736 | ) | ||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||
| Class A |
(34,069,914 | ) | — | (2,096,384 | ) | — | (5,998 | ) | (2,139 | ) | ||||||||||||||||||||||
| Class B |
(6,327,240 | ) | — | (392,900 | ) | — | ||||||||||||||||||||||||||
| Class C |
(22,532,059 | ) | — | (1,274,589 | ) | — | (2,348 | ) | (807 | ) | ||||||||||||||||||||||
| Class R |
(1,116,465 | ) | — | (93,025 | ) | — | ||||||||||||||||||||||||||
| Advisor Class |
(821,857 | ) | — | (116,716 | ) | — | (9,253 | ) | (6,673 | ) | ||||||||||||||||||||||
| Net Decrease from Dividends
and |
(80,417,647 | ) | (20,924,761 | ) | (9,023,719 | ) | (5,577,616 | ) | (232,703 | ) | (164,161 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||
| Class A |
83,995,286 | 110,958,304 | 29,404,009 | 34,237,966 | 2,050,406 | 1,625,520 | ||||||||||||||||||||||||||
| Class B |
9,907,249 | 13,329,240 | 4,362,107 | 4,208,529 | ||||||||||||||||||||||||||||
| Class C |
50,635,083 | 67,260,544 | 20,706,552 | 29,878,462 | 285,780 | 893,601 | ||||||||||||||||||||||||||
| Class R |
4,037,759 | 5,867,487 | 1,818,983 | 2,503,562 | ||||||||||||||||||||||||||||
| Advisor Class |
10,834,944 | 9,050,980 | 5,273,055 | 4,554,186 | 376,294 | 2,277,040 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||
| Class A |
43,328,751 | 12,642,428 | 5,249,516 | 3,370,198 | 64,767 | 33,151 | ||||||||||||||||||||||||||
| Class B |
7,294,906 | 1,647,341 | 730,892 | 455,352 | ||||||||||||||||||||||||||||
| Class C |
25,933,496 | 5,630,979 | 2,352,130 | 1,363,502 | 15,094 | 12,783 | ||||||||||||||||||||||||||
| Class R |
1,400,109 | 413,678 | 217,344 | 149,889 | ||||||||||||||||||||||||||||
| Advisor Class |
879,861 | 138,194 | 289,976 | 112,694 | 107,274 | 115,409 | ||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||
| Class A |
(100,116,980 | ) | (94,405,382 | ) | (27,787,173 | ) | (29,088,540 | ) | (371,869 | ) | (157,665 | ) | ||||||||||||||||||||
| Class B |
(22,060,055 | ) | (20,163,774 | ) | (8,359,195 | ) | (8,060,413 | ) | ||||||||||||||||||||||||
| Class C |
(65,186,413 | ) | (65,174,978 | ) | (24,540,419 | ) | (27,114,900 | ) | (171,556 | ) | (340,442 | ) | ||||||||||||||||||||
| Class R |
(6,399,820 | ) | (6,069,366 | ) | (3,269,903 | ) | (2,250,245 | ) | ||||||||||||||||||||||||
| Advisor Class |
(8,143,181 | ) | (4,474,665 | ) | (4,514,480 | ) | (1,063,634 | ) | (1,652,131 | ) | (547,945 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
36,340,995 | 36,651,010 | 1,933,394 | 13,256,608 | 704,059 | 3,911,452 | ||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(87,297,824 | ) | 81,153,634 | (23,426,192 | ) | 26,304,464 | 479,615 | 3,795,523 | ||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
1,156,783,703 | 1,075,630,069 | 338,625,472 | 312,321,008 | 5,793,555 | 1,998,032 | ||||||||||||||||||||||||||
| End of Year |
$1,069,485,879 | $1,156,783,703 | $315,199,280 | $338,625,472 | $6,273,170 | $5,793,555 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($2,167,134 | ) | ($906,281 | ) | ($657,084 | ) | $1,366,929 | ($1,315 | ) | $— | ||||||||||||||||||||||
See Notes to Financial Statements
C-9
PACIFIC LIFE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific Funds Strategic Income |
||||||||||||||||||||||||||||||
| Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
|||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$2,787,948 | $2,068,788 | $17,960,091 | $13,913,274 | $8,915,648 | $5,231,459 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
(3,090,621 | ) | (41,337 | ) | (19,731,308 | ) | (414,889 | ) | (9,377,645 | ) | (158,485 | ) | ||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
1,156,485 | (474,354 | ) | (2,012,536 | ) | 6,159,452 | (6,372,375 | ) | (5,321,037 | ) | ||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
853,812 | 1,553,097 | (3,783,753 | ) | 19,657,837 | (6,834,372 | ) | (248,063 | ) | |||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
(892,384 | ) | (921,923 | ) | (6,187,597 | ) | (6,103,604 | ) | (2,415,258 | ) | (1,935,936 | ) | ||||||||||||||||||||
| Class C |
(321,233 | ) | (297,655 | ) | (3,695,540 | ) | (3,306,524 | ) | (1,539,797 | ) | (1,195,002 | ) | ||||||||||||||||||||
| Class I |
(32,531 | ) | (24,460 | ) | (123,656 | ) | (68,112 | ) | (57,518 | ) | (72,586 | ) | ||||||||||||||||||||
| Class P |
(477,842 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(1,529,240 | ) | (817,824 | ) | (7,477,502 | ) | (4,398,333 | ) | (4,879,588 | ) | (1,994,352 | ) | ||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||
| Class A |
— | (124,939 | ) | — | — | — | (481,859 | ) | ||||||||||||||||||||||||
| Class C |
— | (75,249 | ) | — | — | — | (391,679 | ) | ||||||||||||||||||||||||
| Class I |
— | (2,655 | ) | — | — | — | (18,329 | ) | ||||||||||||||||||||||||
| Class P |
— | |||||||||||||||||||||||||||||||
| Advisor Class |
— | (120,604 | ) | — | — | — | (680,224 | ) | ||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(2,775,388 | ) | (2,385,309 | ) | (17,962,137 | ) | (13,876,573 | ) | (8,892,161 | ) | (6,769,967 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||
| Class A |
52,194,546 | 40,962,087 | 72,011,353 | 78,759,630 | 31,501,290 | 39,361,105 | ||||||||||||||||||||||||||
| Class C |
24,749,265 | 18,412,180 | 30,629,713 | 89,090,031 | 17,608,826 | 27,647,819 | ||||||||||||||||||||||||||
| Class I |
812,407 | 1,099,458 | 1,241,695 | 3,503,148 | 329,627 | 428,123 | ||||||||||||||||||||||||||
| Class P |
17,836,568 | |||||||||||||||||||||||||||||||
| Advisor Class |
120,974,490 | 98,991,225 | 163,576,472 | 195,687,916 | 123,228,346 | 97,600,567 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||
| Class A |
774,312 | 901,978 | 5,746,936 | 5,645,816 | 2,252,968 | 2,282,659 | ||||||||||||||||||||||||||
| Class C |
305,231 | 358,020 | 3,369,932 | 3,027,883 | 1,448,846 | 1,525,454 | ||||||||||||||||||||||||||
| Class I |
32,247 | 25,161 | 123,113 | 67,987 | 55,406 | 87,714 | ||||||||||||||||||||||||||
| Class P |
477,842 | |||||||||||||||||||||||||||||||
| Advisor Class |
1,296,101 | 792,572 | 5,474,042 | 3,647,082 | 4,414,462 | 2,109,031 | ||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||
| Class A |
(31,534,279 | ) | (52,934,068 | ) | (92,528,818 | ) | (89,896,818 | ) | (28,395,048 | ) | (26,173,927 | ) | ||||||||||||||||||||
| Class C |
(11,966,152 | ) | (10,786,625 | ) | (70,900,945 | ) | (32,922,963 | ) | (14,506,198 | ) | (8,222,460 | ) | ||||||||||||||||||||
| Class I |
(640,633 | ) | (582,486 | ) | (1,455,198 | ) | (972,802 | ) | (710,751 | ) | (728,314 | ) | ||||||||||||||||||||
| Class P |
(1,721,609 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(43,939,996 | ) | (57,091,123 | ) | (131,518,326 | ) | (50,564,507 | ) | (70,036,812 | ) | (39,772,549 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
113,057,539 | 40,148,379 | 2,362,770 | 205,072,403 | 67,190,962 | 96,145,222 | ||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
111,135,963 | 39,316,167 | (19,383,120 | ) | 210,853,667 | 51,464,429 | 89,127,192 | |||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
133,670,857 | 94,354,690 | 625,562,246 | 414,708,579 | 161,462,779 | 72,335,587 | ||||||||||||||||||||||||||
| End of Year |
$244,806,820 | $133,670,857 | $606,179,126 | $625,562,246 | $212,927,208 | $161,462,779 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$28,467 | $15,907 | $118,060 | $120,106 | $64,893 | $35,443 | ||||||||||||||||||||||||||
See Notes to Financial Statements
C-10
PACIFIC LIFE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Floating Rate Income |
Pacific Funds Limited Duration High Income |
Pacific Funds High Income |
||||||||||||||||||||||||||||||
| Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
|||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$28,119,514 | $39,940,002 | $1,651,089 | $1,764,487 | $6,895,189 | $1,648,228 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
(40,657,299 | ) | (9,871,223 | ) | (3,190,377 | ) | (205,536 | ) | (7,360,650 | ) | (41,177 | ) | ||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
16,316,885 | (29,616,921 | ) | 329,629 | (1,984,190 | ) | (9,146,868 | ) | (1,038,960 | ) | ||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
3,779,100 | 451,858 | (1,209,659 | ) | (425,239 | ) | (9,612,329 | ) | 568,091 | |||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
(8,001,104 | ) | (12,127,562 | ) | (301,881 | ) | (423,413 | ) | (344,925 | ) | (353,304 | ) | ||||||||||||||||||||
| Class C |
(5,426,961 | ) | (7,355,422 | ) | (127,205 | ) | (144,206 | ) | (173,195 | ) | (232,457 | ) | ||||||||||||||||||||
| Class I |
(4,062,226 | ) | (5,054,910 | ) | (1,025,782 | ) | (1,064,169 | ) | (9,340 | ) | (379,218 | ) | ||||||||||||||||||||
| Class P |
(20,218 | ) | (22,232 | ) | (5,793,264 | ) | (446,705 | ) | ||||||||||||||||||||||||
| Advisor Class |
(10,641,012 | ) | (15,444,787 | ) | (205,543 | ) | (143,013 | ) | (131,878 | ) | (236,773 | ) | ||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||
| Class A |
— | (649,099 | ) | — | (46,119 | ) | — | (103,589 | ) | |||||||||||||||||||||||
| Class C |
— | (522,838 | ) | — | (18,602 | ) | — | (87,190 | ) | |||||||||||||||||||||||
| Class I |
— | (428,173 | ) | — | (98,118 | ) | — | (143,010 | ) | |||||||||||||||||||||||
| Class P |
— | (1,780 | ) | — | — | |||||||||||||||||||||||||||
| Advisor Class |
— | (747,931 | ) | — | (9,217 | ) | — | (65,262 | ) | |||||||||||||||||||||||
| Net Decrease from Dividends
and |
(28,151,521 | ) | (42,354,734 | ) | (1,660,411 | ) | (1,946,857 | ) | (6,452,602 | ) | (2,047,508 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||
| Class A |
57,572,103 | 84,228,276 | 4,475,132 | 4,088,773 | 13,088,825 | 5,033,954 | ||||||||||||||||||||||||||
| Class C |
35,227,123 | 57,551,269 | 982,447 | 2,586,718 | 985,964 | 2,097,278 | ||||||||||||||||||||||||||
| Class I |
30,632,229 | 98,998,416 | 28,368 | 17,400 | 9,700 | 9,150 | ||||||||||||||||||||||||||
| Class P |
302,213 | 524,364 | 107,612,767 | 38,271,087 | ||||||||||||||||||||||||||||
| Advisor Class |
108,596,290 | 205,301,412 | 3,629,483 | 4,776,545 | 906,132 | 8,799,370 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||
| Class A |
7,543,692 | 11,852,624 | 278,229 | 423,408 | 335,187 | 445,733 | ||||||||||||||||||||||||||
| Class C |
4,943,539 | 7,078,030 | 123,103 | 157,493 | 170,845 | 314,637 | ||||||||||||||||||||||||||
| Class I |
3,960,071 | 5,315,410 | 1,025,782 | 1,162,287 | 9,340 | 522,188 | ||||||||||||||||||||||||||
| Class P |
20,218 | 24,012 | 5,793,190 | 446,705 | ||||||||||||||||||||||||||||
| Advisor Class |
9,527,717 | 13,801,533 | 203,536 | 148,906 | 128,245 | 264,192 | ||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||
| Class A |
(82,208,193 | ) | (245,143,310 | ) | (3,854,454 | ) | (5,462,415 | ) | (8,242,638 | ) | (5,476,880 | ) | ||||||||||||||||||||
| Class C |
(53,027,060 | ) | (90,101,400 | ) | (1,390,787 | ) | (1,267,105 | ) | (1,755,791 | ) | (1,836,091 | ) | ||||||||||||||||||||
| Class I |
(27,869,021 | ) | (105,822,602 | ) | (35,989 | ) | (113,000 | ) | (166,524 | ) | (8,980,068 | ) | ||||||||||||||||||||
| Class P |
(434,287 | ) | (82,233 | ) | (23,831,252 | ) | (470,826 | ) | ||||||||||||||||||||||||
| Advisor Class |
(148,263,600 | ) | (302,300,704 | ) | (7,144,202 | ) | (1,004,771 | ) | (2,827,087 | ) | (7,918,952 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(53,476,966 | ) | (258,774,903 | ) | (1,679,352 | ) | 5,514,239 | 92,216,903 | 31,521,477 | |||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(77,849,387 | ) | (300,677,779 | ) | (4,549,422 | ) | 3,142,143 | 76,151,972 | 30,042,060 | |||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
754,540,565 | 1,055,218,344 | 38,348,663 | 35,206,520 | 54,285,693 | 24,243,633 | ||||||||||||||||||||||||||
| End of Year |
$676,691,178 | $754,540,565 | $33,799,241 | $38,348,663 | $130,437,665 | $54,285,693 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$179,836 | $211,843 | $10,174 | $13,298 | ($166,803 | ) | $6,650 | |||||||||||||||||||||||||
See Notes to Financial Statements
C-11
PACIFIC LIFE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Large-Cap (1) | Pacific Funds Large-Cap Value (1) | Pacific Funds Small/Mid-Cap (1) | ||||||||||||||||||||||||||||||
|
Period Ended |
Period Ended November 30, 2015 |
Period Ended |
Period Ended November 30, 2015 |
Period Ended |
Period Ended November 30, 2015 |
|||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$14,164 | $20,210 | $6,957 | $6,447 | $989 | $601 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
(86,266 | ) | (48,401 | ) | (7,797 | ) | (3,320 | ) | (5,191 | ) | 2,560 | |||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
55,075 | 28,100 | 95,006 | (2,862 | ) | 278,645 | 20,855 | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(17,027 | ) | (91 | ) | 94,166 | 265 | 274,443 | 24,016 | ||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
(8,940 | ) | — | (13,490 | ) | — | — | |||||||||||||||||||||||||
| Institutional Class |
(30,967 | ) | — | — | (1,676 | ) | — | |||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
— | — | — | — | — | |||||||||||||||||||||||||||
| Institutional Class |
— | — | — | (2,560 | ) | — | ||||||||||||||||||||||||||
| Return of Capital |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
(696 | ) | — | — | — | — | ||||||||||||||||||||||||||
| Institutional Class |
(2,409 | ) | — | — |
|
|
— | — | ||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(43,012 | ) | — | (13,490 | ) | — | (4,236 | ) | — | |||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||
| Class A |
632,295 | 468,856 | 2,151,274 | |||||||||||||||||||||||||||||
| Class C |
513,265 | 455,798 | 556,105 | |||||||||||||||||||||||||||||
| Advisor Class |
555,638 | 725,406 | 1,889,964 | |||||||||||||||||||||||||||||
| Investor Class |
58,500 | 635,284 | 26,102 | 500,000 | 2,210,352 | |||||||||||||||||||||||||||
| Institutional Class |
31,500 | 1,902,333 | 210,000 | 210,000 | 500,000 | |||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
9,636 | — | 13,490 | — | — | |||||||||||||||||||||||||||
| Institutional Class |
33,376 | — | — | 4,236 | — | |||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||
| Class A |
(104,757 | ) | — | (22,479 | ) | |||||||||||||||||||||||||||
| Class C |
(2,811 | ) | (2,799 | ) | (50,000 | ) | ||||||||||||||||||||||||||
| Advisor Class |
— | — | (301 | ) | ||||||||||||||||||||||||||||
| Investor Class |
— | (5,030 | ) | — | — | — | ||||||||||||||||||||||||||
| Institutional Class |
— | (5,866 | ) | — |
|
|
— | — | ||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
1,726,642 | 2,526,721 | 1,896,853 | 500,000 | 6,949,151 | 500,000 | ||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
1,666,603 | 2,526,630 | 1,977,529 | 500,265 | 7,219,358 | 524,016 | ||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Period |
2,526,630 | — | 500,265 | — | 524,016 | — | ||||||||||||||||||||||||||
| End of Period |
$4,193,233 | $2,526,630 | $2,477,794 | $500,265 | $7,743,374 | $524,016 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$— | $20,210 | $5,447 | $6,447 | $5,447 | $601 | ||||||||||||||||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the following periods are shown for the Fund: (i) the period from December 31, 2014 through November 30, 2015, which reflects the fiscal year end for the Predecessor Fund prior to the reorganization and (ii) the period from December 1, 2015 through March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 in Notes to Financial Statements). |
See Notes to Financial Statements
C-12
PACIFIC LIFE FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Small-Cap (1) | Pacific Funds Small-Cap Value (1) | Pacific Funds Small-Cap Growth (1) | ||||||||||||||||||||||||||||||
|
Period Ended |
Period Ended |
Period Ended |
Period Ended |
Period Ended |
Period Ended |
|||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$1,086 | $1,117 | $3,326 | $3,320 | ($2,224 | ) | ($6,672 | ) | ||||||||||||||||||||||||
| Net realized gain (loss) |
(10,991 | ) | (1,948 | ) | (20,102 | ) | 6,946 | (23,579 | ) | 480 | ||||||||||||||||||||||
|
Change in net unrealized appreciation (depreciation) |
10,916 | 16,559 | 31,275 | 4,860 | (43,014 | ) | 48,670 | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
1,011 | 15,728 | 14,499 | 15,126 | (68,817 | ) | 42,478 | |||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
— | — | — | — | ||||||||||||||||||||||||||||
| Institutional Class |
(2,814 | ) | — | (8,220 | ) | — | — | |||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
— | — | — | — | ||||||||||||||||||||||||||||
| Institutional Class |
— | — | (7,135 | ) | — | — |
|
|
||||||||||||||||||||||||
| Net Decrease from Dividends and Distributions to Shareholders |
(2,814 | ) | — | (15,355 | ) | — | — | — | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||
| Class A |
314,370 | 135,641 | 41,238 | |||||||||||||||||||||||||||||
| Class C |
121,394 | 114,721 | 32,377 | |||||||||||||||||||||||||||||
| Advisor Class |
162,664 | 242,304 | 226,672 | |||||||||||||||||||||||||||||
| Investor Class |
17,601 | 54,000 | 10,000 | 1,004,459 | ||||||||||||||||||||||||||||
| Institutional Class |
10,000 | 500,000 | 440,308 | 698,654 | 410,000 | |||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | |||||||||||||||||||||||||||||
| Investor Class |
— | — | — | — | ||||||||||||||||||||||||||||
| Institutional Class |
2,814 | — | 15,355 | — | — | |||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||
| Class A |
— | — | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
(21,047 | ) | — | — | ||||||||||||||||||||||||||||
| Investor Class |
— | — | — | — | ||||||||||||||||||||||||||||
| Institutional Class |
— | — | (340 | ) | (7,858 | ) | — |
|
|
|||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
607,796 | 500,000 | 1,001,989 | 690,796 | 720,287 | 1,004,459 | ||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
605,993 | 515,728 | 1,001,133 | 705,922 | 651,470 | 1,046,937 | ||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Period |
515,728 | — | 705,922 | — | 1,046,937 | — | ||||||||||||||||||||||||||
| End of Period |
$1,121,721 | $515,728 | $1,707,055 | $705,922 | $1,698,407 | $1,046,937 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$4,922 | $1,117 | $3,958 | $3,320 | $3,309 | $— | ||||||||||||||||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the following periods are shown for the Fund: (i) the period from December 31, 2014 through November 30, 2015, which reflects the fiscal year end for the Predecessor Fund prior to the reorganization and (ii) the period from December 1, 2015 through March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 in Notes to Financial Statements). |
See Notes to Financial Statements
C-13
PACIFIC FUNDS
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $11.22 | $0.22 | ($0.43 | ) | ($0.21 | ) | ($0.28 | ) | ($0.10 | ) | ($0.38 | ) | $10.63 | 0.67% | 0.60% | 1.99% | (1.73 | %) | $154,762 | 42 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.29 | 0.16 | 0.26 | 0.42 | (0.23 | ) | (0.26 | ) | (0.49 | ) | 11.22 | 0.68% | 0.60% | 1.44% | 3.71 | % | 169,945 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.40 | 0.10 | 0.10 | 0.20 | (0.15 | ) | (0.16 | ) | (0.31 | ) | 11.29 | 0.70% | 0.60% | 0.90% | 1.78 | % | 190,492 | 11 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.07 | 0.23 | 0.49 | 0.72 | (0.34 | ) | (0.05 | ) | (0.39 | ) | 11.40 | 0.71% | 0.60% | 2.01% | 6.57 | % | 230,646 | 27 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.87 | 0.22 | 0.29 | 0.51 | (0.28 | ) | (0.03 | ) | (0.31 | ) | 11.07 | 0.73% | 0.60% | 1.99% | 4.80 | % | 182,912 | 10 | % | |||||||||||||||||||||||||||||||
| Class B |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $11.05 | $0.13 | ($0.41 | ) | ($0.28 | ) | ($0.22 | ) | ($0.10 | ) | ($0.32 | ) | $10.45 | 1.42% | 1.35% | 1.24% | (2.51 | %) | $33,675 | 42 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.14 | 0.08 | 0.25 | 0.33 | (0.16 | ) | (0.26 | ) | (0.42 | ) | 11.05 | 1.43% | 1.35% | 0.69% | 3.00 | % | 37,979 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.27 | 0.02 | 0.10 | 0.12 | (0.09 | ) | (0.16 | ) | (0.25 | ) | 11.14 | 1.45% | 1.35% | 0.15% | 1.06 | % | 39,160 | 11 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.96 | 0.14 | 0.50 | 0.64 | (0.28 | ) | |
(0.05 |
) |
(0.33 | ) | 11.27 | 1.46% | 1.35% | 1.27% | 5.89 | % | 41,999 | 27 | % | ||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.78 | 0.13 | 0.29 | 0.42 | (0.21 | ) | (0.03 | ) | (0.24 | ) | 10.96 | 1.48% | 1.35% | 1.24% | 4.02 | % | 33,122 | 10 | % | |||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $11.05 | $0.13 | ($0.42 | ) | ($0.29 | ) | ($0.22 | ) | ($0.10 | ) | ($0.32 | ) | $10.44 | 1.42% | 1.35% | 1.24% | (2.51 | %) | $173,137 | 42 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.13 | 0.08 | 0.26 | 0.34 | (0.16 | ) | (0.26 | ) | (0.42 | ) | 11.05 | 1.43% | 1.35% | 0.69% | 3.09 | % | 191,946 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.26 | 0.02 | 0.10 | 0.12 | (0.09 | ) | (0.16 | ) | (0.25 | ) | 11.13 | 1.45% | 1.35% | 0.15% | 1.04 | % | 204,180 | 11 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.96 | 0.14 | 0.49 | 0.63 | (0.28 | ) | (0.05 | ) | (0.33 | ) | 11.26 | 1.46% | 1.35% | 1.22% | 5.84 | % | 220,688 | 27 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.77 | 0.13 | 0.30 | 0.43 | (0.21 | ) | (0.03 | ) | (0.24 | ) | 10.96 | 1.48% | 1.35% | 1.24% | 4.08 | % | 158,748 | 10 | % | |||||||||||||||||||||||||||||||
| Class R |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $11.16 | $0.19 | ($0.42 | ) | ($0.23 | ) | ($0.26 | ) | ($0.10 | ) | ($0.36 | ) | $10.57 | 0.92% | 0.85% | 1.74% | (2.05 | %) | $10,116 | 42 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.24 | 0.14 | 0.25 | 0.39 | (0.21 | ) | (0.26 | ) | (0.47 | ) | 11.16 | 0.93% | 0.85% | 1.19% | 3.48 | % | 11,820 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.36 | 0.07 | 0.10 | 0.17 | (0.13 | ) | (0.16 | ) | (0.29 | ) | 11.24 | 0.95% | 0.85% | 0.65% | 1.52 | % | 11,132 | 11 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.03 | 0.20 | 0.50 | 0.70 | (0.32 | ) | (0.05 | ) | (0.37 | ) | 11.36 | 0.96% | 0.85% | 1.79% | 6.38 | % | 12,357 | 27 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.83 | 0.19 | 0.29 | 0.48 | (0.25 | ) | (0.03 | ) | (0.28 | ) | 11.03 | 0.98% | 0.85% | 1.74% | 4.58 | % | 10,522 | 10 | % | |||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $11.23 | $0.25 | ($0.43 | ) | ($0.18 | ) | ($0.30 | ) | ($0.10 | ) | ($0.40 | ) | $10.65 | 0.42% | 0.35% | 2.24% | (1.53 | %) | $4,976 | 42 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.29 | 0.19 | 0.26 | 0.45 | (0.25 | ) | (0.26 | ) | (0.51 | ) | 11.23 | 0.43% | 0.35% | 1.69% | 4.01 | % | 7,872 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.41 | 0.12 | 0.09 | 0.21 | (0.17 | ) | (0.16 | ) | (0.33 | ) | 11.29 | 0.45% | 0.40% | 1.10% | 1.87 | % | 3,867 | 11 | % | |||||||||||||||||||||||||||||||
| 12/31/2012 - 3/31/2013 | 11.18 | (0.01 | ) | 0.24 | 0.23 | — | — | — | 11.41 | 0.48% | 0.40% | (0.40%) | 2.06 | % | 1,366 | 27 | % | |||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $12.61 | $0.25 | ($0.50 | ) | ($0.25 | ) | ($0.29 | ) | ($0.34 | ) | ($0.63 | ) | $11.73 | 0.67% | 0.60% | 2.07% | (1.87 | %) | $255,376 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 12.48 | 0.18 | 0.40 | 0.58 | (0.25 | ) | (0.20 | ) | (0.45 | ) | 12.61 | 0.67% | 0.60% | 1.40% | 4.69 | % | 276,898 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.10 | 0.11 | 0.50 | 0.61 | (0.18 | ) | (0.05 | ) | (0.23 | ) | 12.48 | 0.69% | 0.60% | 0.89% | 5.08 | % | 274,899 | 5 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.56 | 0.18 | 0.64 | 0.82 | (0.28 | ) | — | (0.28 | ) | 12.10 | 0.71% | 0.60% | 1.58% | 7.22 | % | 246,609 | 24 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.25 | 0.18 | 0.35 | 0.53 | (0.22 | ) | — | (0.22 | ) | 11.56 | 0.73% | 0.60% | 1.62% | 4.87 | % | 188,660 | 10 | % | ||||||||||||||||||||||||||||||||
| Class B |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $12.46 | $0.16 | ($0.49 | ) | ($0.33 | ) | ($0.23 | ) | ($0.34 | ) | ($0.57 | ) | $11.56 | 1.42% | 1.35% | 1.32% | (2.61 | %) | $47,540 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 12.36 | 0.08 | 0.40 | 0.48 | (0.18 | ) | (0.20 | ) | (0.38 | ) | 12.46 | 1.42% | 1.35% | 0.65% | 3.91 | % | 51,223 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.99 | 0.02 | 0.51 | 0.53 | (0.11 | ) | (0.05 | ) | (0.16 | ) | 12.36 | 1.44% | 1.35% | 0.14% | 4.47 | % | 52,285 | 5 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.46 | 0.10 | 0.63 | 0.73 | (0.20 | ) | — | (0.20 | ) | 11.99 | 1.46% | 1.35% | 0.85% | 6.46 | % | 49,372 | 24 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.17 | 0.10 | 0.35 | 0.45 | (0.16 | ) | — | (0.16 | ) | 11.46 | 1.48% | 1.35% | 0.87% | 4.07 | % | 40,812 | 10 | % | ||||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $12.45 | $0.16 | ($0.48 | ) | ($0.32 | ) | ($0.23 | ) | ($0.34 | ) | ($0.57 | ) | $11.56 | 1.42% | 1.35% | 1.32% | (2.61 | %) | $221,192 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 12.35 | 0.08 | 0.40 | 0.48 | (0.18 | ) | (0.20 | ) | (0.38 | ) | 12.45 | 1.42% | 1.35% | 0.65% | 3.93 | % | 240,803 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.99 | 0.02 | 0.51 | 0.53 | (0.12 | ) | (0.05 | ) | (0.17 | ) | 12.35 | 1.44% | 1.35% | 0.14% | 4.41 | % | 228,445 | 5 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.47 | 0.09 | 0.64 | 0.73 | (0.21 | ) | — | (0.21 | ) | 11.99 | 1.46% | 1.35% | 0.81% | 6.41 | % | 196,123 | 24 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.16 | 0.10 | 0.36 | 0.46 | (0.15 | ) | — | (0.15 | ) | 11.47 | 1.48% | 1.35% | 0.87% | 4.20 | % | 144,900 | 10 | % | ||||||||||||||||||||||||||||||||
| Class R |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $12.56 | $0.22 | ($0.49 | ) | ($0.27 | ) | ($0.27 | ) | ($0.34 | ) | ($0.61 | ) | $11.68 | 0.92% | 0.85% | 1.82% | (2.15 | %) | $5,761 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 12.44 | 0.14 | 0.41 | 0.55 | (0.23 | ) | (0.20 | ) | (0.43 | ) | 12.56 | 0.92% | 0.85% | 1.15% | 4.43 | % | 6,881 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.06 | 0.08 | 0.51 | 0.59 | (0.16 | ) | (0.05 | ) | (0.21 | ) | 12.44 | 0.94% | 0.85% | 0.64% | 4.91 | % | 7,000 | 5 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.52 | 0.16 | 0.63 | 0.79 | (0.25 | ) | — | (0.25 | ) | 12.06 | 0.96% | 0.85% | 1.39% | 6.92 | % | 6,482 | 24 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.22 | 0.15 | 0.35 | 0.50 | (0.20 | ) | — | (0.20 | ) | 11.52 | 0.98% | 0.85% | 1.37% | 4.53 | % | 6,301 | 10 | % | ||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-14
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative (Continued) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $12.62 | $0.28 | ($0.49 | ) | ($0.21 | ) | ($0.32 | ) | ($0.34 | ) | ($0.66 | ) | $11.75 | 0.42% | 0.35% | 2.32% | (1.60 | %) | $4,891 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 12.49 | 0.21 | 0.40 | 0.61 | (0.28 | ) | (0.20 | ) | (0.48 | ) | 12.62 | 0.42% | 0.35% | 1.65% | 4.89 | % | 5,568 | 17 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.10 | 0.13 | 0.51 | 0.64 | (0.20 | ) | (0.05 | ) | (0.25 | ) | 12.49 | 0.44% | 0.40% | 1.09% | 5.32 | % | 2,892 | 5 | % | |||||||||||||||||||||||||||||||
| 12/31/2012 - 3/31/2013 | 11.68 | (0.01 | ) | 0.43 | 0.42 | — | — | — | 12.10 | 0.46% | 0.40% | (0.40%) | 3.60 | % | 880 | 24 | % | |||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.20 | $0.25 | ($0.60 | ) | ($0.35 | ) | ($0.28 | ) | ($0.58 | ) | ($0.86 | ) | $12.99 | 0.66% | 0.60% | 1.85% | (2.50 | %) | $771,853 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 13.98 | 0.18 | 0.55 | 0.73 | (0.32 | ) | (0.19 | ) | (0.51 | ) | 14.20 | 0.66% | 0.60% | 1.28% | 5.30 | % | 844,759 | 19 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.06 | 0.11 | 1.00 | 1.11 | (0.19 | ) | — | (0.19 | ) | 13.98 | 0.69% | 0.60% | 0.84% | 8.51 | % | 814,707 | 1 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.26 | 0.15 | 0.86 | 1.01 | (0.21 | ) | — | (0.21 | ) | 13.06 | 0.70% | 0.60% | 1.20% | 8.36 | % | 654,158 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.88 | 0.14 | 0.42 | 0.56 | (0.18 | ) | — | (0.18 | ) | 12.26 | 0.72% | 0.60% | 1.18% | 4.82 | % | 517,945 | 7 | % | ||||||||||||||||||||||||||||||||
| Class B |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.10 | $0.15 | ($0.60 | ) | ($0.45 | ) | ($0.20 | ) | ($0.58 | ) | ($0.78 | ) | $12.87 | 1.41% | 1.35% | 1.10% | (3.21 | %) | $142,921 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 13.89 | 0.07 | 0.55 | 0.62 | (0.22 | ) | (0.19 | ) | (0.41 | ) | 14.10 | 1.41% | 1.35% | 0.53% | 4.49 | % | 159,975 | 19 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.96 | 0.01 | 1.01 | 1.02 | (0.09 | ) | — | (0.09 | ) | 13.89 | 1.44% | 1.35% | 0.09% | 7.90 | % | 156,450 | 1 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.18 | 0.06 | 0.85 | 0.91 | (0.13 | ) | — | (0.13 | ) | 12.96 | 1.45% | 1.35% | 0.47% | 7.49 | % | 136,411 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.80 | 0.05 | 0.43 | 0.48 | (0.10 | ) | — | (0.10 | ) | 12.18 | 1.47% | 1.35% | 0.43% | 4.13 | % | 115,513 | 7 | % | ||||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.08 | $0.15 | ($0.60 | ) | ($0.45 | ) | ($0.20 | ) | ($0.58 | ) | ($0.78 | ) | $12.85 | 1.41% | 1.35% | 1.10% | (3.22 | %) | $554,661 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 13.87 | 0.07 | 0.55 | 0.62 | (0.22 | ) | (0.19 | ) | (0.41 | ) | 14.08 | 1.41% | 1.35% | 0.53% | 4.51 | % | 601,814 | 19 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.95 | 0.01 | 1.01 | 1.02 | (0.10 | ) | — | (0.10 | ) | 13.87 | 1.44% | 1.35% | 0.09% | 7.89 | % | 566,257 | 1 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.17 | 0.06 | 0.85 | 0.91 | (0.13 | ) | — | (0.13 | ) | 12.95 | 1.45% | 1.35% | 0.46% | 7.50 | % | 445,932 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.78 | 0.05 | 0.43 | 0.48 | (0.09 | ) | — | (0.09 | ) | 12.17 | 1.47% | 1.35% | 0.43% | 4.18 | % | 366,753 | 7 | % | ||||||||||||||||||||||||||||||||
| Class R |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.18 | $0.22 | ($0.60 | ) | ($0.38 | ) | ($0.25 | ) | ($0.58 | ) | ($0.83 | ) | $12.97 | 0.91% | 0.85% | 1.60% | (2.70 | %) | $25,429 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 13.96 | 0.15 | 0.54 | 0.69 | (0.28 | ) | (0.19 | ) | (0.47 | ) | 14.18 | 0.91% | 0.85% | 1.03% | 5.00 | % | 28,097 | 19 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.03 | 0.08 | 1.00 | 1.08 | (0.15 | ) | — | (0.15 | ) | 13.96 | 0.94% | 0.85% | 0.59% | 8.33 | % | 31,641 | 1 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.24 | 0.11 | 0.86 | 0.97 | (0.18 | ) | — | (0.18 | ) | 13.03 | 0.95% | 0.85% | 0.93% | 8.02 | % | 29,715 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.84 | 0.11 | 0.43 | 0.54 | (0.14 | ) | — | (0.14 | ) | 12.24 | 0.97% | 0.85% | 0.93% | 4.67 | % | 23,321 | 7 | % | ||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.20 | $0.29 | ($0.60 | ) | ($0.31 | ) | ($0.31 | ) | ($0.58 | ) | ($0.89 | ) | $13.00 | 0.41% | 0.35% | 2.10% | (2.24 | %) | $19,835 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 13.98 | 0.22 | 0.55 | 0.77 | (0.36 | ) | (0.19 | ) | (0.55 | ) | 14.20 | 0.41% | 0.35% | 1.53% | 5.54 | % | 21,896 | 19 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.06 | 0.14 | 1.00 | 1.14 | (0.22 | ) | — | (0.22 | ) | 13.98 | 0.44% | 0.40% | 1.04% | 8.73 | % | 19,945 | 1 | % | ||||||||||||||||||||||||||||||||
| 12/31/2012 - 3/31/2013 | 12.41 | (0.01 | ) | 0.66 | 0.65 | — | — | — | 13.06 | 0.45% | 0.40% | (0.40%) | 5.24 | % | 3,396 | 25 | % | |||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.34 | $0.19 | ($0.69 | ) | ($0.50 | ) | ($0.23 | ) | ($0.87 | ) | ($1.10 | ) | $13.74 | 0.66% | 0.60% | 1.29% | (3.35 | %) | $570,267 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.74 | 0.16 | 0.77 | 0.93 | (0.33 | ) | — | (0.33 | ) | 15.34 | 0.66% | 0.60% | 1.07% | 6.36 | % | 607,360 | 21 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.33 | 0.09 | 1.51 | 1.60 | (0.19 | ) | — | (0.19 | ) | 14.74 | 0.69% | 0.60% | 0.66% | 12.01 | % | 555,319 | 1 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.41 | 0.10 | 0.96 | 1.06 | (0.14 | ) | — | (0.14 | ) | 13.33 | 0.71% | 0.60% | 0.83% | 8.62 | % | 436,055 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.05 | 0.10 | 0.38 | 0.48 | (0.12 | ) | — | (0.12 | ) | 12.41 | 0.72% | 0.60% | 0.82% | 4.13 | % | 365,426 | 8 | % | ||||||||||||||||||||||||||||||||
| Class B |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.22 | $0.08 | ($0.69 | ) | ($0.61 | ) | ($0.15 | ) | ($0.87 | ) | ($1.02 | ) | $13.59 | 1.41% | 1.35% | 0.54% | (4.13 | %) | $102,001 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.62 | 0.05 | 0.77 | 0.82 | (0.22 | ) | — | (0.22 | ) | 15.22 | 1.41% | 1.35% | 0.32% | 5.61 | % | 119,159 | 21 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.22 | (0.01 | ) | 1.50 | 1.49 | (0.09 | ) | — | (0.09 | ) | 14.62 | 1.44% | 1.35% | (0.09%) | 11.25 | % | 119,506 | 1 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.30 | 0.01 | 0.96 | 0.97 | (0.05 | ) | — | (0.05 | ) | 13.22 | 1.46% | 1.35% | 0.09% | 7.92 | % | 105,757 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.93 | 0.01 | 0.40 | 0.41 | (0.04 | ) | — | (0.04 | ) | 12.30 | 1.47% | 1.35% | 0.07% | 3.50 | % | 95,937 | 8 | % | ||||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.18 | $0.08 | ($0.69 | ) | ($0.61 | ) | ($0.15 | ) | ($0.87 | ) | ($1.02 | ) | $13.55 | 1.41% | 1.35% | 0.54% | (4.13 | %) | $366,805 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.59 | 0.05 | 0.76 | 0.81 | (0.22 | ) | — | (0.22 | ) | 15.18 | 1.41% | 1.35% | 0.32% | 5.59 | % | 398,716 | 21 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.19 | (0.01 | ) | 1.50 | 1.49 | (0.09 | ) | — | (0.09 | ) | 14.59 | 1.44% | 1.35% | (0.09%) | 11.33 | % | 375,368 | 1 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.27 | 0.01 | 0.96 | 0.97 | (0.05 | ) | — | (0.05 | ) | 13.19 | 1.46% | 1.35% | 0.09% | 7.95 | % | 295,615 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.91 | 0.01 | 0.39 | 0.40 | (0.04 | ) | — | (0.04 | ) | 12.27 | 1.47% | 1.35% | 0.07% | 3.39 | % | 257,114 | 8 | % | ||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-15
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth (Continued) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.32 | $0.15 | ($0.68 | ) | ($0.53 | ) | ($0.21 | ) | ($0.87 | ) | ($1.08 | ) | $13.71 | 0.91% | 0.85% | 1.04% | (3.60 | %) | $18,328 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.72 | 0.12 | 0.77 | 0.89 | (0.29 | ) | — | (0.29 | ) | 15.32 | 0.91% | 0.85% | 0.82% | 6.10 | % | 21,383 | 21 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.32 | 0.06 | 1.49 | 1.55 | (0.15 | ) | — | (0.15 | ) | 14.72 | 0.94% | 0.85% | 0.41% | 11.67 | % | 20,326 | 1 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.40 | 0.07 | 0.96 | 1.03 | (0.11 | ) | — | (0.11 | ) | 13.32 | 0.96% | 0.85% | 0.55% | 8.38 | % | 17,844 | 25 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.03 | 0.07 | 0.40 | 0.47 | (0.10 | ) | — | (0.10 | ) | 12.40 | 0.97% | 0.85% | 0.57% | 3.97 | % | 14,710 | 8 | % | ||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.35 | $0.22 | ($0.68 | ) | ($0.46 | ) | ($0.26 | ) | ($0.87 | ) | ($1.13 | ) | $13.76 | 0.41% | 0.35% | 1.54% | (3.10 | %) | $12,084 | 34 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.75 | 0.19 | 0.78 | 0.97 | (0.37 | ) | — | (0.37 | ) | 15.35 | 0.41% | 0.35% | 1.32% | 6.61 | % | 10,165 | 21 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.34 | 0.12 | 1.51 | 1.63 | (0.22 | ) | — | (0.22 | ) | 14.75 | 0.44% | 0.40% | 0.86% | 12.21 | % | 5,111 | 1 | % | ||||||||||||||||||||||||||||||||
| 12/31/2012 - 3/31/2013 | 12.50 | (0.01 | ) | 0.85 | 0.84 | — | — | — | 13.34 | 0.45% | 0.40% | (0.40%) | 6.72 | % | 2,470 | 25 | % | |||||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.85 | $0.16 | ($0.85 | ) | ($0.69 | ) | ($0.28 | ) | ($0.18 | ) | ($0.46 | ) | $14.70 | 0.68% | 0.60% | 1.03% | (4.37 | %) | $170,874 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 15.23 | 0.15 | 0.79 | 0.94 | (0.32 | ) | — | (0.32 | ) | 15.85 | 0.68% | 0.60% | 0.97% | 6.18 | % | 177,171 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.50 | 0.08 | 1.77 | 1.85 | (0.12 | ) | — | (0.12 | ) | 15.23 | 0.71% | 0.60% | 0.58% | 13.70 | % | 161,858 | 5 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.56 | 0.07 | 0.96 | 1.03 | (0.09 | ) | — | (0.09 | ) | 13.50 | 0.73% | 0.60% | 0.57% | 8.30 | % | 133,265 | 30 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.29 | 0.06 | 0.27 | 0.33 | (0.06 | ) | — | (0.06 | ) | 12.56 | 0.74% | 0.60% | 0.52% | 2.73 | % | 122,397 | 13 | % | ||||||||||||||||||||||||||||||||
| Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.57 | $0.04 | ($0.84 | ) | ($0.80 | ) | ($0.16 | ) | ($0.18 | ) | ($0.34 | ) | $14.43 | 1.43% | 1.35% | 0.28% | (5.15 | %) | $30,038 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.94 | 0.03 | 0.80 | 0.83 | (0.20 | ) | — | (0.20 | ) | 15.57 | 1.43% | 1.35% | 0.22% | 5.55 | % | 35,840 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.22 | (0.02 | ) | 1.76 | 1.74 | (0.02 | ) | — | (0.02 | ) | 14.94 | 1.46% | 1.35% | (0.17%) | 13.13 | % | 37,704 | 5 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.28 | (0.02 | ) | 0.96 | 0.94 | (0.00 | )(6) | — | (0.00 | )(6) | 13.22 | 1.48% | 1.35% | (0.17%) | 7.69 | % | 33,013 | 30 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.03 | (0.03 | ) | 0.28 | 0.25 | — | — | — | 12.28 | 1.49% | 1.35% | (0.23%) | 2.08 | % | 31,969 | 13 | % | |||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.55 | $0.04 | ($0.83 | ) | ($0.79 | ) | ($0.17 | ) | ($0.18 | ) | ($0.35 | ) | $14.41 | 1.43% | 1.35% | 0.28% | (5.13 | %) | $100,573 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.93 | 0.03 | 0.79 | 0.82 | (0.20 | ) | — | (0.20 | ) | 15.55 | 1.43% | 1.35% | 0.22% | 5.54 | % | 110,241 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.22 | (0.02 | ) | 1.75 | 1.73 | (0.02 | ) | — | (0.02 | ) | 14.93 | 1.46% | 1.35% | (0.17%) | 13.12 | % | 101,888 | 5 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.28 | (0.02 | ) | 0.97 | 0.95 | (0.01 | ) | — | (0.01 | ) | 13.22 | 1.48% | 1.35% | (0.18%) | 7.71 | % | 81,754 | 30 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.03 | (0.03 | ) | 0.28 | 0.25 | — | — | — | 12.28 | 1.49% | 1.35% | (0.23%) | 2.08 | % | 76,613 | 13 | % | |||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.77 | $0.12 | ($0.84 | ) | ($0.72 | ) | ($0.24 | ) | ($0.18 | ) | ($0.42 | ) | $14.63 | 0.93% | 0.85% | 0.78% | (4.59 | %) | $7,036 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 15.15 | 0.11 | 0.79 | 0.90 | (0.28 | ) | — | (0.28 | ) | 15.77 | 0.93% | 0.85% | 0.72% | 5.94 | % | 8,893 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.43 | 0.05 | 1.75 | 1.80 | (0.08 | ) | — | (0.08 | ) | 15.15 | 0.96% | 0.85% | 0.33% | 13.45 | % | 8,151 | 5 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.48 | 0.04 | 0.97 | 1.01 | (0.06 | ) | — | (0.06 | ) | 13.43 | 0.98% | 0.85% | 0.33% | 8.17 | % | 7,251 | 30 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.22 | 0.03 | 0.26 | 0.29 | (0.03 | ) | — | (0.03 | ) | 12.48 | 0.99% | 0.85% | 0.27% | 2.43 | % | 6,662 | 13 | % | ||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $15.86 | $0.19 | ($0.84 | ) | ($0.65 | ) | ($0.32 | ) | ($0.18 | ) | ($0.50 | ) | $14.71 | 0.43% | 0.35% | 1.28% | (4.13 | %) | $6,679 | 35 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 15.23 | 0.19 | 0.79 | 0.98 | (0.35 | ) | — | (0.35 | ) | 15.86 | 0.43% | 0.35% | 1.22% | 6.50 | % | 6,480 | 20 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.51 | 0.11 | 1.76 | 1.87 | (0.15 | ) | — | (0.15 | ) | 15.23 | 0.46% | 0.40% | 0.78% | 13.84 | % | 2,719 | 5 | % | ||||||||||||||||||||||||||||||||
| 12/31/2012 - 3/31/2013 | 12.56 | (0.01 | ) | 0.96 | 0.95 | — | — | — | 13.51 | 0.48% | 0.40% | (0.40%) | 7.56 | % | 222 | 30 | % | |||||||||||||||||||||||||||||||||
| Pacific Funds Diversified Alternatives |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.00 | $0.35 | ($0.31 | ) | $0.04 | ($0.37 | ) | ($0.04 | ) | ($0.41 | ) | $9.63 | 1.36% | 0.85% | 3.65% | 0.55 | % | $3,136 | 73 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 9.99 | 0.38 | (0.06 | ) | 0.32 | (0.29 | ) | (0.02 | ) | (0.31 | ) | 10.00 | 2.83% | 0.85% | 3.77% | 3.19 | % | 1,465 | 23 | % | ||||||||||||||||||||||||||||||
| 12/31/2013 - 3/31/2014 | 10.00 | (0.01 | ) | (0.00 | )(6) | (0.01 | ) | — | — | — | 9.99 | 3.36% | 0.85% | (0.34%) | (0.10 | %) | 10 | 1 | % | |||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.92 | $0.28 | ($0.31 | ) | ($0.03 | ) | ($0.30 | ) | ($0.04 | ) | ($0.34 | ) | $9.55 | 2.11% | 1.60% | 2.90% | (0.19 | %) | $661 | 73 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 9.97 | 0.30 | (0.06 | ) | 0.24 | (0.27 | ) | (0.02 | ) | (0.29 | ) | 9.92 | 3.58% | 1.60% | 3.02% | 2.39 | % | 558 | 23 | % | ||||||||||||||||||||||||||||||
| 12/31/2013 - 3/31/2014 | 10.00 | (0.03 | ) | (0.00 | )(6) | (0.03 | ) | — | — | — | 9.97 | 4.11% | 1.60% | (1.09%) | (0.30 | %) | 10 | 1 | % | |||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-16
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Diversified Alternatives (Continued) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.01 | $0.39 | ($0.33 | ) | $0.06 | ($0.38 | ) | ($0.04 | ) | ($0.42 | ) | $9.65 | 1.11% | 0.60% | 3.90% | 0.86 | % | $2,476 | 73 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 9.99 | 0.41 | (0.08 | ) | 0.33 | (0.29 | ) | (0.02 | ) | (0.31 | ) | 10.01 | 2.58% | 0.60% | 4.02% | 3.37 | % | 3,771 | 23 | % | ||||||||||||||||||||||||||||||
| 12/31/2013 - 3/31/2014 | 10.00 | (0.00 | )(6) | (0.01 | ) | (0.01 | ) | — | — | — | 9.99 | 3.11% | 0.60% | (0.09%) | (0.10 | %) | 1,978 | 1 | % | |||||||||||||||||||||||||||||||
| Pacific Funds Short Duration Income |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.41 | $0.17 | ($0.15 | ) | $0.02 | ($0.17 | ) | $— | ($0.17 | ) | $10.26 | 1.06% | 0.85% | 1.62% | 0.15 | % | $69,477 | 41 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.46 | 0.19 | (0.03 | ) | 0.16 | (0.18 | ) | (0.03 | ) | (0.21 | ) | 10.41 | 1.09% | 0.85% | 1.77% | 1.51 | % | 48,685 | 78 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.46 | 0.17 | 0.04 | 0.21 | (0.18 | ) | (0.03 | ) | (0.21 | ) | 10.46 | 1.14% | 0.85% | 1.68% | 2.00 | % | 60,012 | 98 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.20 | 0.16 | 0.32 | 0.48 | (0.15 | ) | (0.07 | ) | (0.22 | ) | 10.46 | 1.24% | 0.85% | 2.02% | 4.78 | % | 22,589 | 146 | % | |||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.39 | $0.09 | ($0.15 | ) | ($0.06 | ) | ($0.09 | ) | $— | ($0.09 | ) | $10.24 | 1.81% | 1.60% | 0.87% | (0.58 | %) | $44,180 | 41 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.45 | 0.11 | (0.03 | ) | 0.08 | (0.11 | ) | (0.03 | ) | (0.14 | ) | 10.39 | 1.84% | 1.60% | 1.02% | 0.68 | % | 31,569 | 78 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.45 | 0.10 | 0.03 | 0.13 | (0.10 | ) | (0.03 | ) | (0.13 | ) | 10.45 | 1.89% | 1.60% | 0.93% | 1.28 | % | 23,769 | 98 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.20 | 0.10 | 0.33 | 0.43 | (0.11 | ) | (0.07 | ) | (0.18 | ) | 10.45 | 1.99% | 1.60% | 1.27% | 4.28 | % | 10,307 | 146 | % | |||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.39 | $0.20 | ($0.14 | ) | $0.06 | ($0.20 | ) | $— | ($0.20 | ) | $10.25 | 0.66% | 0.55% | 1.92% | 0.54 | % | $1,695 | 41 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.45 | 0.21 | (0.03 | ) | 0.18 | (0.21 | ) | (0.03 | ) | (0.24 | ) | 10.39 | 0.69% | 0.57% | 2.05% | 1.70 | % | 1,516 | 78 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.45 | 0.21 | 0.02 | 0.23 | (0.20 | ) | (0.03 | ) | (0.23 | ) | 10.45 | 0.74% | 0.60% | 1.93% | 2.20 | % | 979 | 98 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.14 | 0.23 | 0.38 | 0.61 | (0.23 | ) | (0.07 | ) | (0.30 | ) | 10.45 | 1.08% | 0.60% | 2.27% | 6.10 | % | 13,280 | 146 | % | |||||||||||||||||||||||||||||||
| 12/19/2011 - 3/31/2012 | 10.00 | 0.06 | 0.15 | 0.21 | (0.07 | ) | — | (0.07 | ) | 10.14 | 2.04% | 0.60% | 2.06% | 2.10 | % | 12,251 | 73 | % | ||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.41 | $0.19 | ($0.15 | ) | $0.04 | ($0.19 | ) | $— | ($0.19 | ) | $10.26 | 0.81% | 0.60% | 1.87% | 0.40 | % | $129,455 | 41 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.46 | 0.21 | (0.02 | ) | 0.19 | (0.21 | ) | (0.03 | ) | (0.24 | ) | 10.41 | 0.83% | 0.60% | 2.02% | 1.78 | % | 51,901 | 78 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.46 | 0.20 | 0.03 | 0.23 | (0.20 | ) | (0.03 | ) | (0.23 | ) | 10.46 | 0.89% | 0.60% | 1.93% | 2.25 | % | 9,595 | 98 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.20 | 0.18 | 0.31 | 0.49 | (0.16 | ) | (0.07 | ) | (0.23 | ) | 10.46 | 0.99% | 0.60% | 2.27% | 4.85 | % | 3,148 | 146 | % | |||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.79 | $0.31 | ($0.34 | ) | ($0.03 | ) | ($0.31 | ) | $— | ($0.31 | ) | $10.45 | 1.14% | 0.95% | 2.92% | (0.27 | %) | $196,297 | 74 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.66 | 0.31 | 0.13 | 0.44 | (0.31 | ) | — | (0.31 | ) | 10.79 | 1.14% | 0.93% | 2.93% | 4.17 | % | 218,368 | 53 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.92 | 0.32 | (0.09 | ) | 0.23 | (0.33 | ) | (0.16 | ) | (0.49 | ) | 10.66 | 1.16% | 0.90% | 3.03% | 2.27 | % | 221,086 | 120 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.61 | 0.30 | 0.55 | 0.85 | (0.29 | ) | (0.25 | ) | (0.54 | ) | 10.92 | 1.17% | 0.90% | 2.76% | 8.13 | % | 333,987 | 171 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.16 | 0.30 | 0.48 | 0.78 | (0.30 | ) | (0.03 | ) | (0.33 | ) | 10.61 | 1.35% | 0.90% | 2.94% | 7.79 | % | 247,522 | 199 | % | |||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.79 | $0.23 | ($0.34 | ) | ($0.11 | ) | ($0.23 | ) | $— | ($0.23 | ) | $10.45 | 1.89% | 1.70% | 2.17% | (1.03 | %) | $140,657 | 74 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.66 | 0.23 | 0.13 | 0.36 | (0.23 | ) | — | (0.23 | ) | 10.79 | 1.89% | 1.68% | 2.18% | 3.42 | % | 183,952 | 53 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.93 | 0.24 | (0.10 | ) | 0.14 | (0.25 | ) | (0.16 | ) | (0.41 | ) | 10.66 | 1.91% | 1.65% | 2.28% | 1.41 | % | 122,946 | 120 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.62 | 0.22 | 0.55 | 0.77 | (0.21 | ) | (0.25 | ) | (0.46 | ) | 10.93 | 1.92% | 1.65% | 2.01% | 7.37 | % | 160,472 | 171 | % | |||||||||||||||||||||||||||||||
| 6/30/2011 - 3/31/2012 | 10.32 | 0.17 | 0.33 | 0.50 | (0.17 | ) | (0.03 | ) | (0.20 | ) | 10.62 | 2.07% | 1.65% | 2.17% | 4.89 | % | 76,726 | 199 | % | |||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.80 | $0.34 | ($0.34 | ) | $0.00 | ($0.34 | ) | $— | ($0.34 | ) | $10.46 | 0.74% | 0.65% | 3.22% | 0.03 | % | $3,585 | 74 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.67 | 0.34 | 0.13 | 0.47 | (0.34 | ) | — | (0.34 | ) | 10.80 | 0.73% | 0.65% | 3.21% | 4.46 | % | 3,806 | 53 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.93 | 0.35 | (0.09 | ) | 0.26 | (0.36 | ) | (0.16 | ) | (0.52 | ) | 10.67 | 0.76% | 0.65% | 3.28% | 2.53 | % | 1,187 | 120 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.62 | 0.33 | 0.55 | 0.88 | (0.32 | ) | (0.25 | ) | (0.57 | ) | 10.93 | 0.77% | 0.65% | 3.01% | 8.39 | % | 1,794 | 171 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.16 | 0.36 | 0.44 | 0.80 | (0.31 | ) | (0.03 | ) | (0.34 | ) | 10.62 | 0.95% | 0.65% | 3.42% | 7.95 | % | 1,292 | 199 | % | |||||||||||||||||||||||||||||||
| Class P |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/27/2015 - 3/31/2016 | $10.88 | $0.31 | ($0.39 | ) | ($0.08 | ) | ($0.31 | ) | $— | ($0.31 | ) | $10.49 | 0.74% | 0.70% | 3.17% | (0.75 | %) | $15,964 | 74 | % | ||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.81 | $0.33 | ($0.34 | ) | ($0.01 | ) | ($0.33 | ) | $— | ($0.33 | ) | $10.47 | 0.89% | 0.70% | 3.17% | (0.02 | %) | $249,677 | 74 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.68 | 0.34 | 0.13 | 0.47 | (0.34 | ) | — | (0.34 | ) | 10.81 | 0.88% | 0.69% | 3.17% | 4.43 | % | 219,437 | 53 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.95 | 0.35 | (0.10 | ) | 0.25 | (0.36 | ) | (0.16 | ) | (0.52 | ) | 10.68 | 0.91% | 0.65% | 3.28% | 2.53 | % | 69,489 | 120 | % | ||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.79 | 0.24 | 0.41 | 0.65 | (0.24 | ) | (0.25 | ) | (0.49 | ) | 10.95 | 0.94% | 0.67% | 2.99% | 5.97 | % | 93,966 | 171 | % | |||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-17
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Strategic Income |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.75 | $0.43 | ($0.66 | ) | ($0.23 | ) | ($0.43 | ) | $— | ($0.43 | ) | $10.09 | 1.26% | 1.05% | 4.20% | (2.17 | %) | $52,218 | 94 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.20 | 0.46 | (0.37 | ) | 0.09 | (0.44 | ) | (0.10 | ) | (0.54 | ) | 10.75 | 1.28% | 1.05% | 4.18% | 0.84 | % | 51,175 | 157 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.23 | 0.48 | 0.30 | 0.78 | (0.49 | ) | (0.32 | ) | (0.81 | ) | 11.20 | 1.43% | 1.05% | 4.34% | 7.25 | % | 37,896 | 190 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.53 | 0.38 | 0.98 | 1.36 | (0.36 | ) | (0.30 | ) | (0.66 | ) | 11.23 | 1.47% | 1.05% | 4.55% | 13.12 | % | 20,963 | 353 | % | |||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.73 | $0.36 | ($0.67 | ) | ($0.31 | ) | ($0.35 | ) | $— | ($0.35 | ) | $10.07 | 2.01% | 1.80% | 3.45% | (2.90 | %) | $44,196 | 94 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.19 | 0.38 | (0.38 | ) | — | (0.36 | ) | (0.10 | ) | (0.46 | ) | 10.73 | 2.03% | 1.80% | 3.43% | 0.03 | % | 42,684 | 157 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.22 | 0.40 | 0.30 | 0.70 | (0.41 | ) | (0.32 | ) | (0.73 | ) | 11.19 | 2.18% | 1.80% | 3.59% | 6.51 | % | 23,451 | 190 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.53 | 0.32 | 0.98 | 1.30 | (0.31 | ) | (0.30 | ) | (0.61 | ) | 11.22 | 2.22% | 1.80% | 3.80% | 12.52 | % | 7,948 | 353 | % | |||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.70 | $0.46 | ($0.67 | ) | ($0.21 | ) | ($0.46 | ) | $— | ($0.46 | ) | $10.03 | 0.86% | 0.75% | 4.50% | (1.98 | %) | $948 | 94 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.15 | 0.49 | (0.37 | ) | 0.12 | (0.47 | ) | (0.10 | ) | (0.57 | ) | 10.70 | 0.88% | 0.77% | 4.46% | 1.13 | % | 1,381 | 157 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.18 | 0.52 | 0.28 | 0.80 | (0.51 | ) | (0.32 | ) | (0.83 | ) | 11.15 | 1.03% | 0.80% | 4.59% | 7.51 | % | 1,686 | 190 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.40 | 0.52 | 1.09 | 1.61 | (0.53 | ) | (0.30 | ) | (0.83 | ) | 11.18 | 1.22% | 0.80% | 4.80% | 15.94 | % | 22,099 | 353 | % | |||||||||||||||||||||||||||||||
| 12/19/2011 - 3/31/2012 | 10.00 | 0.14 | 0.38 | 0.52 | (0.12 | ) | — | (0.12 | ) | 10.40 | 1.78% | 0.80% | 4.84% | 5.22 | % | 17,796 | 156 | % | ||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.76 | $0.46 | ($0.68 | ) | ($0.22 | ) | ($0.45 | ) | $— | ($0.45 | ) | $10.09 | 1.01% | 0.80% | 4.45% | (2.01 | %) | $115,565 | 94 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.20 | 0.48 | (0.35 | ) | 0.13 | (0.47 | ) | (0.10 | ) | (0.57 | ) | 10.76 | 1.03% | 0.80% | 4.43% | 1.20 | % | 66,223 | 157 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.24 | 0.51 | 0.29 | 0.80 | (0.52 | ) | (0.32 | ) | (0.84 | ) | 11.20 | 1.18% | 0.80% | 4.59% | 7.42 | % | 9,302 | 190 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.53 | 0.40 | 0.97 | 1.37 | (0.36 | ) | (0.30 | ) | (0.66 | ) | 11.24 | 1.24% | 0.82% | 4.78% | 13.31 | % | 1,575 | 353 | % | |||||||||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.08 | $0.39 | ($0.32 | ) | $0.07 | ($0.39 | ) | $— | ($0.39 | ) | $9.76 | 1.30% | 1.12% | 3.92% | 0.72 | % | $191,376 | 99 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.51 | 0.44 | (0.40 | ) | 0.04 | (0.44 | ) | (0.03 | ) | (0.47 | ) | 10.08 | 1.29% | 1.07% | 4.20% | 0.38 | % | 215,160 | 80 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.46 | 0.40 | 0.04 | 0.44 | (0.37 | ) | (0.02 | ) | (0.39 | ) | 10.51 | 1.30% | 1.05% | 3.86% | 4.30 | % | 375,848 | 123 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.07 | 0.46 | 0.46 | 0.92 | (0.43 | ) | (0.10 | ) | (0.53 | ) | 10.46 | 1.43% | 1.05% | 4.46% | 9.36 | % | 125,007 | 186 | % | |||||||||||||||||||||||||||||||
| 12/30/2011 - 3/31/2012 | 9.81 | 0.13 | 0.24 | 0.37 | (0.11 | ) | — | (0.11 | ) | 10.07 | 1.55% | 1.05% | 5.33% | 3.79 | % | 12,071 | 139 | % | ||||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.06 | $0.31 | ($0.31 | ) | $0.00 | ($0.32 | ) | $— | ($0.32 | ) | $9.74 | 2.05% | 1.87% | 3.17% | (0.04 | %) | $161,326 | 99 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.50 | 0.36 | (0.40 | ) | (0.04 | ) | (0.37 | ) | (0.03 | ) | (0.40 | ) | 10.06 | 2.04% | 1.82% | 3.45% | (0.46 | %) | 179,798 | 80 | % | |||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.45 | 0.33 | 0.04 | 0.37 | (0.30 | ) | (0.02 | ) | (0.32 | ) | 10.50 | 2.05% | 1.80% | 3.11% | 3.57 | % | 214,365 | 123 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.07 | 0.38 | 0.46 | 0.84 | (0.36 | ) | (0.10 | ) | (0.46 | ) | 10.45 | 2.18% | 1.80% | 3.71% | 8.56 | % | 63,045 | 186 | % | |||||||||||||||||||||||||||||||
| 12/30/2011 - 3/31/2012 | 9.81 | 0.11 | 0.25 | 0.36 | (0.10 | ) | — | (0.10 | ) | 10.07 | 2.30% | 1.80% | 4.61% | 3.68 | % | 3,372 | 139 | % | ||||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.09 | $0.42 | ($0.32 | ) | $0.10 | ($0.42 | ) | $— | ($0.42 | ) | $9.77 | 0.90% | 0.82% | 4.22% | 1.02 | % | $91,984 | 99 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.53 | 0.46 | (0.40 | ) | 0.06 | (0.47 | ) | (0.03 | ) | (0.50 | ) | 10.09 | 0.89% | 0.81% | 4.46% | 0.55 | % | 88,508 | 80 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.47 | 0.43 | 0.05 | 0.48 | (0.40 | ) | (0.02 | ) | (0.42 | ) | 10.53 | 0.90% | 0.80% | 4.11% | 4.65 | % | 96,635 | 123 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.08 | 0.48 | 0.46 | 0.94 | (0.45 | ) | (0.10 | ) | (0.55 | ) | 10.47 | 1.03% | 0.80% | 4.71% | 9.56 | % | 10,726 | 186 | % | |||||||||||||||||||||||||||||||
| 6/30/2011 - 3/31/2012 | 10.00 | 0.34 | 0.06 | 0.40 | (0.32 | ) | — | (0.32 | ) | 10.08 | 1.24% | 0.80% | 4.60% | 4.11 | % | 41,834 | 139 | % | ||||||||||||||||||||||||||||||||
| Class P |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.09 | $0.41 | ($0.33 | ) | $0.08 | ($0.41 | ) | $— | ($0.41 | ) | $9.76 | 0.90% | 0.87% | 4.17% | 0.97 | % | $568 | 99 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.52 | 0.45 | (0.38 | ) | 0.07 | (0.47 | ) | (0.03 | ) | (0.50 | ) | 10.09 | 0.89% | 0.83% | 4.44% | 0.64 | % | 691 | 80 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.47 | 0.43 | 0.04 | 0.47 | (0.40 | ) | (0.02 | ) | (0.42 | ) | 10.52 | 0.90% | 0.80% | 4.11% | 4.53 | % | 249 | 123 | % | |||||||||||||||||||||||||||||||
| 12/31/2012 - 3/31/2013 | 10.29 | 0.12 | 0.16 | 0.28 | (0.10 | ) | — | (0.10 | ) | 10.47 | 0.99% | 0.80% | 4.70% | 2.74 | % | 14 | 186 | % | ||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.11 | $0.41 | ($0.32 | ) | $0.09 | ($0.41 | ) | $— | ($0.41 | ) | $9.79 | 1.05% | 0.87% | 4.17% | 0.96 | % | $231,437 | 99 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.54 | 0.46 | (0.39 | ) | 0.07 | (0.47 | ) | (0.03 | ) | (0.50 | ) | 10.11 | 1.04% | 0.82% | 4.45% | 0.63 | % | 270,383 | 80 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.49 | 0.43 | 0.04 | 0.47 | (0.40 | ) | (0.02 | ) | (0.42 | ) | 10.54 | 1.05% | 0.80% | 4.11% | 4.54 | % | 368,122 | 123 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.12 | 0.36 | 0.45 | 0.81 | (0.34 | ) | (0.10 | ) | (0.44 | ) | 10.49 | 1.15% | 0.80% | 4.70% | 8.13 | % | 35,648 | 186 | % | |||||||||||||||||||||||||||||||
| Pacific Funds Limited Duration High Income |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.60 | $0.41 | ($0.74 | ) | ($0.33 | ) | ($0.41 | ) | $— | ($0.41 | ) | $8.86 | 1.45% | 1.08% | 4.44% | (3.48 | %) | $7,503 | 48 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.22 | 0.45 | (0.58 | ) | (0.13 | ) | (0.45 | ) | (0.04 | ) | (0.49 | ) | 9.60 | 1.49% | 1.08% | 4.51% | (1.27 | %) | 7,094 | 49 | % | |||||||||||||||||||||||||||||
| 7/31/2013 - 3/31/2014 | 10.00 | 0.26 | 0.22 | 0.48 | (0.25 | ) | (0.01 | ) | (0.26 | ) | 10.22 | 1.67% | 1.08% | 3.94% | 4.85 | % | 8,677 | 53 | % | |||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-18
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Limited Duration High Income (Continued) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.58 | $0.34 | ($0.73 | ) | ($0.39 | ) | ($0.34 | ) | $— | ($0.34 | ) | $8.85 | 2.20% | 1.83% | 3.69% | (4.10 | %) | $3,104 | 48 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.20 | 0.37 | (0.57 | ) | (0.20 | ) | (0.38 | ) | (0.04 | ) | (0.42 | ) | 9.58 | 2.21% | 1.83% | 3.76% | (1.99 | %) | 3,664 | 49 | % | |||||||||||||||||||||||||||||
| 7/31/2013 - 3/31/2014 | 10.00 | 0.21 | 0.22 | 0.43 | (0.22 | ) | (0.01 | ) | (0.23 | ) | 10.20 | 2.42% | 1.83% | 3.19% | 4.28 | % | 2,442 | 53 | % | |||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.60 | $0.44 | ($0.74 | ) | ($0.30 | ) | ($0.44 | ) | $— | ($0.44 | ) | $8.86 | 1.05% | 0.78% | 4.74% | (3.19 | %) | $21,217 | 48 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.22 | 0.48 | (0.58 | ) | (0.10 | ) | (0.48 | ) | (0.04 | ) | (0.52 | ) | 9.60 | 1.09% | 0.80% | 4.79% | (0.89 | %) | 21,921 | 49 | % | |||||||||||||||||||||||||||||
| 7/31/2013 - 3/31/2014 | 10.00 | 0.28 | 0.21 | 0.49 | (0.26 | ) | (0.01 | ) | (0.27 | ) | 10.22 | 1.27% | 0.83% | 4.19% | 4.87 | % | 22,227 | 53 | % | |||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.60 | $0.44 | ($0.75 | ) | ($0.31 | ) | ($0.43 | ) | $— | ($0.43 | ) | $8.86 | 1.20% | 0.83% | 4.69% | (3.24 | %) | $1,975 | 48 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.21 | 0.46 | (0.55 | ) | (0.09 | ) | (0.48 | ) | (0.04 | ) | (0.52 | ) | 9.60 | 1.18% | 0.83% | 4.76% | (0.92 | %) | 5,669 | 49 | % | |||||||||||||||||||||||||||||
| 7/31/2013 - 3/31/2014 | 10.00 | 0.28 | 0.21 | 0.49 | (0.27 | ) | (0.01 | ) | (0.28 | ) | 10.21 | 1.42% | 0.83% | 4.19% | 4.89 | % | 1,860 | 53 | % | |||||||||||||||||||||||||||||||
| Pacific Funds High Income |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.48 | $0.50 | ($1.10 | ) | ($0.60 | ) | ($0.44 | ) | $— | ($0.44 | ) | $9.44 | 1.28% | 1.05% | 5.05% | (5.79 | %) | $10,391 | 54 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.22 | 0.54 | (0.60 | ) | (0.06 | ) | (0.52 | ) | (0.16 | ) | (0.68 | ) | 10.48 | 1.50% | 1.05% | 4.90% | (0.49 | %) | 5,900 | 60 | % | |||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.16 | 0.56 | 0.25 | 0.81 | (0.55 | ) | (0.20 | ) | (0.75 | ) | 11.22 | 1.67% | 1.05% | 5.03% | 7.50 | % | 6,441 | 99 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.57 | 0.46 | 0.84 | 1.30 | (0.44 | ) | (0.27 | ) | (0.71 | ) | 11.16 | 1.87% | 1.05% | 5.57% | 12.59 | % | 3,497 | 154 | % | |||||||||||||||||||||||||||||||
| Class C |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.47 | $0.43 | ($1.10 | ) | ($0.67 | ) | ($0.37 | ) | $— | ($0.37 | ) | $9.43 | 2.03% | 1.80% | 4.30% | (6.52 | %) | $4,324 | 54 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.21 | 0.45 | (0.59 | ) | (0.14 | ) | (0.44 | ) | (0.16 | ) | (0.60 | ) | 10.47 | 2.24% | 1.80% | 4.15% | (1.22 | %) | 5,419 | 60 | % | |||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.16 | 0.47 | 0.25 | 0.72 | (0.47 | ) | (0.20 | ) | (0.67 | ) | 11.21 | 2.42% | 1.80% | 4.28% | 6.65 | % | 5,245 | 99 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.57 | 0.40 | 0.85 | 1.25 | (0.39 | ) | (0.27 | ) | (0.66 | ) | 11.16 | 2.62% | 1.80% | 4.82% | 12.11 | % | 2,203 | 154 | % | |||||||||||||||||||||||||||||||
| Class I |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.41 | $0.54 | ($1.11 | ) | ($0.57 | ) | ($0.47 | ) | $— | ($0.47 | ) | $9.37 | 0.88% | 0.75% | 5.35% | (5.57 | %) | $58 | 54 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.14 | 0.57 | (0.61 | ) | (0.04 | ) | (0.53 | ) | (0.16 | ) | (0.69 | ) | 10.41 | 1.10% | 0.77% | 5.18% | (0.30 | %) | 241 | 60 | % | |||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.09 | 0.58 | 0.24 | 0.82 | (0.57 | ) | (0.20 | ) | (0.77 | ) | 11.14 | 1.27% | 0.80% | 5.28% | 7.72 | % | 9,493 | 99 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.58 | 0.63 | 0.82 | 1.45 | (0.67 | ) | (0.27 | ) | (0.94 | ) | 11.09 | 1.78% | 0.80% | 5.82% | 14.21 | % | 8,810 | 154 | % | |||||||||||||||||||||||||||||||
| 12/19/2011 - 3/31/2012 | 10.00 | 0.20 | 0.55 | 0.75 | (0.17 | ) | — | (0.17 | ) | 10.58 | 2.82% | 0.80% | 6.73% | 7.50 | % | 7,523 | 93 | % | ||||||||||||||||||||||||||||||||
| Class P |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.40 | $0.52 | ($1.09 | ) | ($0.57 | ) | ($0.47 | ) | $— | ($0.47 | ) | $9.36 | 0.88% | 0.80% | 5.30% | (5.60 | %) | $113,998 | 54 | % | ||||||||||||||||||||||||||||||
| 1/14/2015 - 3/31/2015 | 10.22 | 0.11 | 0.19 | 0.30 | (0.12 | ) | — | (0.12 | ) | 10.40 | 1.06% | 0.80% | 5.15% | 2.94 | % | 38,919 | 60 | % | ||||||||||||||||||||||||||||||||
| Advisor Class |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.49 | $0.53 | ($1.12 | ) | ($0.59 | ) | ($0.46 | ) | $— | ($0.46 | ) | $9.44 | 1.03% | 0.80% | 5.30% | (5.66 | %) | $1,666 | 54 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 11.23 | 0.57 | (0.60 | ) | (0.03 | ) | (0.55 | ) | (0.16 | ) | (0.71 | ) | 10.49 | 1.24% | 0.80% | 5.15% | (0.23 | %) | 3,807 | 60 | % | |||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.18 | 0.58 | 0.24 | 0.82 | (0.57 | ) | (0.20 | ) | (0.77 | ) | 11.23 | 1.42% | 0.80% | 5.28% | 7.67 | % | 3,064 | 99 | % | |||||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.57 | 0.48 | 0.85 | 1.33 | (0.45 | ) | (0.27 | ) | (0.72 | ) | 11.18 | 1.63% | 0.81% | 5.81% | 12.87 | % | 279 | 154 | % | |||||||||||||||||||||||||||||||
| Pacific Funds Large-Cap (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | $0.03 | $0.53 | $0.56 | $— | $— | $— | $9.66 | 6.07% | 1.00% | 1.35% | 6.15 | % | $551 | 27 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | $0.01 | $0.54 | $0.55 | $— | $— | $— | $9.65 | 6.82% | 1.75% | 0.60% | 6.04 | % | $525 | 27 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | $0.03 | $0.54 | $0.57 | $— | $— | $— | $9.67 | 5.82% | 0.75% | 1.60% | 6.26 | % | $564 | 27 | % | ||||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.07 | $0.04 | ($0.31 | ) | ($0.27 | ) | ($0.15 | )(8) | $— | ($0.15 | ) | $9.65 | 6.37% | 1.00% | 1.35% | (2.68 | %) | $674 | 27 | % | ||||||||||||||||||||||||||||||
| 12/31/2014 - 11/30/2015 | 10.00 | 0.12 | (0.05 | ) | 0.07 | — | — | — | 10.07 | 15.97% | 1.00% | 1.20% | 0.70 | % | 631 | 45 | % | |||||||||||||||||||||||||||||||||
| Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.09 | $0.05 | ($0.30 | ) | ($0.25 | ) | ($0.18 | )(8) | $— | ($0.18 | ) | $9.66 | 5.99% | 0.65% | 1.70% | (2.54 | %) | $1,879 | 27 | % | ||||||||||||||||||||||||||||||
| 3/20/2015 - 11/30/2015 | 10.26 | 0.12 | (0.29 | ) | (0.17 | ) | — | — | — | 10.09 | 9.85% | 0.65% | 1.72% | (1.66 | %) | 1,895 | 45 | % | ||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-19
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Large-Cap Value (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.97 | $0.04 | $0.45 | $0.49 | $— | $— | $— | $9.46 | 10.34% | 1.10% | 1.92% | 5.46 | % | $499 | 48 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.97 | $0.02 | $0.46 | $0.48 | $— | $— | $— | $9.45 | 11.09% | 1.85% | 1.17% | 5.35 | % | $477 | 48 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.97 | $0.04 | $0.46 | $0.50 | $— | $— | $— | $9.47 | 10.09% | 0.85% | 2.17% | 5.57 | % | $777 | 48 | % | ||||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.01 | $0.06 | ($0.34 | ) | ($0.28 | ) | ($0.27 | ) | $— | ($0.27 | ) | $9.46 | 12.77% | 1.07% | 1.95% | (2.76 | %) | $514 | 48 | % | ||||||||||||||||||||||||||||||
| 12/31/2014 - 11/30/2015 | 10.00 | 0.13 | (0.12 | ) | 0.01 | — | — | — | 10.01 | 30.13% | 1.00% | 1.42% | 0.10 | % | 500 | 44 | % | |||||||||||||||||||||||||||||||||
| Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.97 | $0.04 | $0.46 | $0.50 | $— | $— | $— | $9.47 | 9.93% | 0.75% | 2.27% | 5.57 | % | $210 | 48 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.33 | $0.00 | (6) | $0.60 | $0.60 | $— | $— | $— | $9.93 | 5.43% | 1.30% | 0.07% | 6.43 | % | $2,254 | 11 | % | |||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.33 | ($0.01 | ) | $0.59 | $0.58 | $— | $— | $— | $9.91 | 6.18% | 2.05% | (0.68%) | 6.22 | % | $527 | 11 | % | |||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.33 | $0.01 | $0.58 | $0.59 | $— | $— | $— | $9.92 | 5.18% | 1.05% | 0.32% | 6.32 | % | $1,965 | 11 | % | ||||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.33 | $0.00 | (6) | $0.58 | $0.58 | $— | $— | $— | $9.91 | 5.43% | 1.35% | 0.02% | 6.22 | % | $2,286 | 11 | % | |||||||||||||||||||||||||||||||||
| Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.48 | $0.01 | ($0.49 | ) | ($0.48 | ) | ($0.03 | ) | ($0.05 | ) | ($0.08 | ) | $9.92 | 9.62% | 1.00% | 0.37% | (4.55 | %) | $711 | 11 | % | |||||||||||||||||||||||||||||
| 12/31/2014 - 11/30/2015 | 10.00 | 0.01 | 0.47 | 0.48 | — | — | — | 10.48 | 29.84% | 1.00% | 0.12% | 4.80 | % | 524 | 30 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Small-Cap (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | $0.01 | $0.57 | $0.58 | $— | $— | $— | $9.68 | 17.67% | 1.30% | 0.31% | 6.37 | % | $324 | 27 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | ($0.01 | ) | $0.57 | $0.56 | $— | $— | $— | $9.66 | 18.42% | 2.05% | (0.44%) | 6.15 | % | $130 | 27 | % | |||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | $0.01 | $0.57 | $0.58 | $— | $— | $— | $9.68 | 17.42% | 1.05% | 0.56% | 6.37 | % | $153 | 27 | % | ||||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.10 | $0.01 | $0.56 | $0.57 | $— | $— | $— | $9.67 | 17.67% | 1.35% | 0.26% | 6.26 | % | $18 | 27 | % | ||||||||||||||||||||||||||||||||||
| Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.31 | $0.02 | ($0.60 | ) | ($0.58 | ) | ($0.06 | ) | $— | ($0.06 | ) | $9.67 | 10.38% | 1.00% | 0.61% | (5.68 | %) | $497 | 27 | % | ||||||||||||||||||||||||||||||
| 12/31/2014 - 11/30/2015 | 10.00 | 0.02 | 0.29 | 0.31 | — | — | — | 10.31 | 30.41% | 1.00% | 0.24% | 3.10 | % | 516 | 27 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Small-Cap Value (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.80 | $0.02 | $0.65 | $0.67 | $— | $— | $— | $9.47 | 15.99% | 1.30% | 0.97% | 7.73 | % | $148 | 17 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.80 | $0.00 | (6) | $0.66 | $0.66 | $— | $— | $— | $9.46 | 16.74% | 2.05% | 0.22% | 7.50 | % | $121 | 17 | % | |||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.80 | $0.02 | $0.66 | $0.68 | $— | $— | $— | $9.48 | 15.74% | 1.05% | 1.22% | 7.84 | % | $261 | 17 | % | ||||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $8.80 | $0.02 | $0.65 | $0.67 | $— | $— | $— | $9.47 | 15.99% | 1.35% | 0.92% | 7.73 | % | $59 | 17 | % | ||||||||||||||||||||||||||||||||||
| Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.14 | $0.04 | ($0.49 | ) | ($0.45 | ) | ($0.12 | ) | ($0.10 | ) | ($0.22 | ) | $9.47 | 16.02% | 1.00% | 1.27% | (4.37 | %) | $1,118 | 17 | % | |||||||||||||||||||||||||||||
| 12/31/2014 - 11/30/2015 | 10.00 | 0.06 | 0.08 | 0.14 | — | — | — | 10.14 | 26.85% | 1.00% | 0.63% | 1.40 | % | 706 | 29 | % | ||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-21 |
C-20
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund |
|
Selected Per Share Data |
|
Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended (1) |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (2) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (3) | Expenses After Reductions (3), (4) | Net Investment Income (Loss) (3) | Total Returns (5) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| Pacific Funds Small-Cap Growth (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.27 | ($0.01 | ) | $0.35 | $0.34 | $— | $— | $— | $9.61 | 12.44% | 1.30% | (0.70%) | 3.88 | % | $43 | 7 | % | |||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.27 | ($0.03 | ) | $0.37 | $0.34 | $— | $— | $— | $9.61 | 13.19% | 2.05% | (1.45%) | 3.67 | % | $34 | 7 | % | |||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.27 | ($0.01 | ) | $0.38 | $0.37 | $— | $— | $— | $9.64 | 12.19% | 1.05% | (0.45%) | 3.99 | % | $234 | 7 | % | |||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 12/1/2015 - 3/31/2016 | $10.42 | ($0.02 | ) | ($0.78 | ) | ($0.80 | ) | $— | $— | $— | $9.62 | 12.79% | 1.25% | (0.65%) | (7.68 | %) | $977 | 7 | % | |||||||||||||||||||||||||||||||
| 12/31/2014 - 11/30/2015 | 10.00 | (0.07 | ) | 0.49 | 0.42 | — | — | — | 10.42 | 17.40% | 1.25% | (0.70%) | 4.20 | % | 1,047 | 34 | % | |||||||||||||||||||||||||||||||||
| Institutional Class | ||||||||||||||||||||||||||||||||||||||||||||||||||
| 1/11/2016 - 3/31/2016 | $9.27 | ($0.00 | )(6) | $0.36 | $0.36 | $— | $— | $— | $9.63 | 12.04% | 0.90% | (0.29%) | 3.88 | % | $411 | 7 | % | |||||||||||||||||||||||||||||||||
| (1) | For share classes that commenced operations after April 1, 2011, the first date reported represents the commencement date of operations for that share class. |
| (2) | Net investment income (loss) per share has been calculated using the average shares method. |
| (3) | The ratios are annualized for periods of less than one full year. |
| (4) | The ratios of expenses after expense reductions to average net assets are after advisory fee waivers and adviser expense reimbursements, if any, as discussed in Notes 6 and 7B in Notes to Financial Statements. The expense ratios for all the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives do not include fees and expenses of the underlying funds (see Note 1 in Notes to Financial Statements) in which the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives invest. |
| (5) | The total returns include reinvestment of all dividends and capital gains distributions, if any, and do not include deductions of any applicable sales charges. Total returns are not annualized for periods less than one full year. |
| (6) | Reflects an amount rounding to less than $0.01 per share. |
| (7) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the following periods are shown for the Fund: (i) the period from December 31, 2014 through November 30, 2015, which reflects the fiscal year end for the Predecessor Fund prior to the reorganization and (ii) the period from December 1, 2015 or class commencement date through March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 in Notes to Financial Statements). |
| (8) | Includes $0.01 per share return of capital distribution. |
| See Notes to Financial Statements |
C-21
PACIFIC FUNDS
1. ORGANIZATION
Pacific Funds Series Trust (which may be referred to as “Pacific Funds” or the “Trust”) is registered under the Investment Company Act of 1940 (“1940 Act”), as amended, as an open-end, management investment company, and is organized as a Delaware statutory trust. Pacific Life Fund Advisors LLC (“PLFA” or “Investment Adviser”) serves as investment adviser to the Trust. As of March 31, 2016, the Trust was comprised of forty-two separate funds, eighteen of which are presented in these financial statements (each individually a “Fund”, and collectively the “Funds”):
| Fund | Fund | |
| Pacific FundsSM Portfolio Optimization Conservative (1) | Pacific FundsSM Floating Rate Income (2) | |
| Pacific FundsSM Portfolio Optimization Moderate-Conservative (1) | Pacific FundsSM Limited Duration High Income (2) | |
| Pacific FundsSM Portfolio Optimization Moderate (1) | Pacific FundsSM High Income (2) | |
| Pacific FundsSM Portfolio Optimization Growth (1) | Pacific FundsSM Large-Cap (3) | |
| Pacific FundsSM Portfolio Optimization Aggressive-Growth (1) | Pacific FundsSM Large-Cap Value (3) | |
| Pacific FundsSM Diversified Alternatives | Pacific FundsSM Small/Mid-Cap (3) | |
| Pacific FundsSM Short Duration Income (2) | Pacific FundsSM Small-Cap (3) | |
| Pacific FundsSM Core Income (2) | Pacific FundsSM Small-Cap Value (3) | |
| Pacific FundsSM Strategic Income (2) | Pacific FundsSM Small-Cap Growth (3) |
| (1) | These Funds are collectively known as the “Portfolio Optimization Funds”. |
| (2) | These Funds are collectively known as the “PF Fixed Income Funds”. |
| (3) | These Funds are collectively known as the “PF U.S. Equity Funds”. |
Each PF U.S. Equity Fund acquired the assets of and assumed the performance, financial, and other historical information of the respective predecessor funds listed in the table below, each a series of Professionally Managed Portfolios (each a “Predecessor Fund”, together the “Predecessor Funds”), in reorganization transactions that occurred on January 11, 2016. Accordingly, information provided in this report for the PF U.S. Equity Funds for periods prior to January 11, 2016 is that of the Predecessor Funds, which commenced operations on December 31, 2014. With the reorganizations, the PF U.S. Equity Funds changed their financial reporting fiscal year end from November 30 to March 31, effective for the fiscal year ended March 31, 2016. Each PF U.S. Equity Fund’s investment objectives (goals), policies, guidelines, and restrictions are substantially the same as those of its respective Predecessor Fund.
| Fund | Predecessor Fund | |
| Pacific Funds Large-Cap | Rothschild U.S. Large-Cap Core Fund | |
| Pacific Funds Large-Cap Value | Rothschild U.S. Large-Cap Value Fund | |
| Pacific Funds Small/Mid-Cap | Rothschild U.S. Small/Mid-Cap Core Fund | |
| Pacific Funds Small-Cap | Rothschild U.S. Small-Cap Core Fund | |
| Pacific Funds Small-Cap Value | Rothschild U.S. Small-Cap Value Fund | |
| Pacific Funds Small-Cap Growth | Rothschild U.S. Small-Cap Growth Fund |
The Portfolio Optimization Funds offer Class A, Class B, Class C, Class R, and Advisor Class shares. Pacific Funds Diversified Alternatives offers Class A, Class C, and Advisor Class shares. Each class is distinguished by its applicable sales charges and level of distribution and/or service fees (see Note 6) and in general: (i) Class A shares are subject to a maximum 5.50% front-end sales charge; (ii) Class B shares are subject to a maximum 5.00% contingent deferred sales charge (“CDSC”); (iii) Class C shares are subject to a maximum 1.00% CDSC; and (iv) Class R and Advisor Class shares are sold at net asset value without a sales charge. The sales charge for Class A shares is reduced for purchases of $50,000 or more and may be waived in certain circumstances. There is no sales charge for Class A shares for purchases of $1 million or more, although there is a CDSC of 1.00% on redemptions of such Class A shares within one year of purchase, which may be waived in certain circumstances.
The PF Fixed Income Funds offer Class A, Class C, Class I, and Advisor Class shares. Additionally, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income offer Class P shares. Each class is distinguished by its applicable sales charges and level of distribution and/or service fees (see Note 6) and in general: (i) Class A shares of Pacific Funds Short Duration Income, Pacific Funds Floating Rate Income, and Pacific Funds Limited Duration High Income are subject to a maximum 3.00% front-end sales charge, and Class A shares of Pacific Funds Core Income, Pacific Funds Strategic Income, and Pacific Funds High Income are subject to a maximum 4.25% front-end sales charge; (ii) Class C shares are subject to a maximum 1.00% CDSC; and (iii) Class I, Class P, and Advisor Class shares are sold at net asset value without a sales charge. The sales charge for Class A shares is reduced for purchases of $100,000 or more and may be waived in certain circumstances. There is no sales charge for Class A shares for purchases of $500,000 or more, although there is a CDSC of 1.00% of such Class A shares within one year of purchase, which may be waived in certain circumstances.
The PF U.S. Equity Funds offer Class A, Class C, Advisor Class, Investor Class, and Institutional Class shares. Institutional Class shares of the PF U.S. Equity Funds are only available for investment by shareholders of the Predecessor Funds and employees of the subsidiaries of Rothschild North America Inc., including employees of the subsidiaries and employees of the sub-adviser to the PF U.S. Equity Funds. Each class is distinguished by its applicable sales charges and level of distribution and/or service fees (see Note 6) and in general: (i) Class A shares are subject to a maximum 4.25% front-end sales charge; (ii) Class C shares are subject to a maximum 1.00% CDSC; and (iii) Advisor
D-1
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Class, Investor Class, and Institutional Class shares are sold at net asset value without a sales charge. The sales charge for Class A shares is reduced for purchases of $100,000 or more and may be waived in certain circumstances. There is no sales charge for Class A shares for purchases of $500,000 or more, although there is a CDSC of 1.00% of such Class A shares within one year of purchase, which may be waived in certain circumstances.
The Trust’s distributor receives all net commissions (front-end sales charges and CDSCs) from the sales of all applicable share classes (see Note 6).
The Portfolio Optimization Funds invest their assets in Class P shares of certain other funds of the Trust (collectively, the “PF Underlying Funds”) as well as Class P shares of Pacific Funds Core Income and Pacific Funds High Income. Pacific Funds Diversified Alternatives invests all of its assets in certain PF Underlying Funds and Class P shares of Pacific Funds Floating Rate Income.
There is a separate annual report containing the financial statements for the PF Underlying Funds, which is available without charge. For information on how to obtain the annual report for the PF Underlying Funds, see the Where to Go for More Information section of this report on page F-24.
On April 27, 2015, the PF Precious Metals Fund (a PF Underlying Fund) was liquidated pursuant to a plan of liquidation approved by the Trust’s Board of Trustees. Because the PF Precious Metals Fund was liquidated prior to March 31, 2016, no financial information is presented in this report except for in the Transactions with Affiliates disclosure under Investments in Affiliated Funds (see Note 7C).
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (United States Generally Accepted Accounting Principles, or “U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to the Investment Companies Topic of U.S. GAAP.
A. INVESTMENT TRANSACTIONS AND INCOME
Investment transactions are recorded on a trade date basis. Securities purchased or sold on a when-issued or delayed-delivery basis as well as certain loan transactions and mortgage securities (such as Government National Mortgage Association (“GNMA”) securities) may be settled a month or more after the trade date. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities, which are recorded as soon as a Fund is informed of the ex-dividend date or upon receipt of the dividend. A Fund’s estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gains distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Interest income, adjusted for amortization of premium and accretion of discount, is recorded daily on an accrual basis. Investment income is recorded net of foreign taxes withheld, if any. A Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. A Fund will accrue such taxes and reclaims as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in which that Fund invests. Facility fees and other fees (such as origination fees) received from floating rate senior loan notes purchased (see Note 4) by a Fund are amortized over the expected term of each applicable senior loan. Commitment fees received by a Fund relating to unfunded senior loan commitments are amortized to income over the period of the commitment. Consent fees, which are compensation for agreeing to changes in the terms of debt instruments, are recorded as interest income when received. Realized gains and losses from investment transactions are recorded on the basis of identified cost. Gains and losses realized on principal paydowns from mortgage-backed and asset-backed securities are recorded as interest income. Litigation settlements on securities that were previously held are recorded as realized gains on investment securities.
B. DISTRIBUTIONS TO SHAREHOLDERS
For the Portfolio Optimization Funds, Pacific Funds Diversified Alternatives, and PF U.S. Equity Funds, dividends on net investment income, if any, are generally declared and paid annually. For the PF Fixed Income Funds, dividends on net investment income, if any, are generally declared and paid monthly. Dividends may be declared more or less frequently if advantageous to the specific Fund and its shareholders.
All realized capital gains are distributed at least annually for each Fund. Dividends and distributions paid to shareholders are recorded on the ex-dividend date.
C. FOREIGN CURRENCY TRANSLATION
The Trust’s accounting records are maintained in U.S. dollars. The market value of investments and other assets and liabilities, which are denominated in non-U.S. currencies, are translated into U.S. dollars based on the applicable exchange rates at the end of each business day. Purchases and sales of investments and income and expenses, denominated in foreign currencies, are translated into U.S. dollars at the exchange rates in effect on the transaction date.
None of the Funds separately report the effect of changes in foreign exchange rates from changes in market prices of investments held. Such changes are included with the net realized gain or loss and change in net unrealized appreciation or depreciation on investments. Other foreign currency transactions resulting in realized and unrealized gain or loss, if any, are reported separately as net realized gain or loss on foreign currency transactions and change in net unrealized appreciation or depreciation on foreign currencies.
D. ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES
Income, non-class specific expenses, and realized and unrealized gains and losses are allocated on a daily basis to each class of shares based upon the relative portion of net assets of each class. Certain Trust expenses directly attributable to a particular Fund are charged to that
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NOTES TO FINANCIAL STATEMENTS (Continued)
Fund (such as fund-specific transactional fees, proxies, liquidations, litigation, and organizational/start-up costs) and class-specific fees and expenses are charged directly to the respective share class within each Fund. Generally, other Trust expenses are allocated proportionately among all the Funds in relation to the net assets of each Fund.
E. OFFERING COSTS
A new Fund bears all costs (or the applicable pro-rata share if there is more than one new Fund) associated with the offering expenses of the Fund including legal, printing, and support services (see Notes 6 and 7A). All such costs are amortized as an expense of the new Fund on a straight-line basis over twelve months from commencement of operations.
3. VALUATION AND FAIR VALUE MEASUREMENTS
A. VALUATION POLICY
The Trust’s Board of Trustees (the “Board”) has adopted a policy (“Valuation Policy”) for determining the value of the Trust’s investments each business day. Under the Valuation Policy, the Board has delegated certain functions to the Trustee Valuation Committee (“TVC”) and/or the Valuation Oversight Committee (“VOC”) or its delegate to determine the fair value of certain investments, which includes using third party pricing services. Each valuation committee that values the Funds’ investments does so in accordance with the Valuation Policy. Notes 3B and 3C below describe in greater detail the methodologies used to value each Fund’s investments.
B. NET ASSET VALUE
Each Fund presented in these financial statements is divided into shares and share classes. The price per share of each class of a Fund’s shares is called the net asset value (“NAV”). The NAV forms the basis for all transactions involving buying, selling, exchanging or reinvesting shares. Each Fund’s NAV is calculated by taking the total value of a Fund’s assets, subtracting a Fund’s liabilities, and dividing by the total number of shares outstanding.
Each Fund’s NAV is calculated once per day, every day the New York Stock Exchange (“NYSE”) is open, including days when foreign markets and/or bond markets are closed. For purposes of calculating the NAV, the value of investments held by each Fund is generally determined as of the scheduled closing time of the NYSE, which is usually 4:00 p.m. Eastern Time. Information that becomes known to the Trust or its agents after the scheduled close of the NYSE on a particular day will not normally be used to retroactively adjust the price of an investment for that same business day. Such information may include late dividend notifications, legal or regulatory matters, corporate actions, and corrected/adjusted last sales prices or official closing prices from an exchange.
Each Fund’s NAV will not be calculated on days when the NYSE is closed. There may be a delay in calculating the NAV if: (i) the NYSE is closed on a day other than a regular holiday or weekend, (ii) trading on the NYSE is restricted, (iii) an emergency exists (as determined by the U.S. Securities and Exchange Commission (“SEC”)), making the sale of investments or determinations of NAV not practicable, or (iv) the SEC permits a delay for the protection of shareholders.
Certain Funds may hold investments that are primarily listed on foreign exchanges. Because those investments trade on weekends and other days when the Funds do not calculate their NAVs, the value of those investments may change on days when a shareholder will not be able to purchase or redeem shares of those Funds.
C. INVESTMENT VALUATION
The value of each security or other investment is the amount which a Fund might reasonably expect to receive for the investment upon its current sale in the ordinary course of business. For purposes of calculating the NAV, the value of investments held by each Fund is based primarily on pricing data obtained from various sources approved by the Board.
Domestic Equity Investments
For domestic equity investments (including exchange-traded funds), the Trust generally uses the official closing price or last reported sale price from an exchange as of the scheduled closing time of the NYSE and does not normally take into account trading, clearances or settlements that take place after the scheduled close of the NYSE. Investments for which no official closing price or last reported sales price are reported are generally valued at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers.
Over-the-Counter (“OTC”) Investments
OTC investments (including swaps and options) are generally valued by approved pricing services that use evaluated prices from various observable market and other factors. Certain OTC swap agreements are generally valued using industry pricing models, broker quotes or other methodologies pursuant to the Valuation Policy.
Domestic and Foreign Debt Investments
Debt investments are generally valued using the mean between bid and ask prices provided by approved pricing and quotation services, which are based upon evaluated prices determined from various observable market and other factors. Certain debt investments are valued by using a benchmark, matrix, or other pricing methodology approved pursuant to the Valuation Policy.
Portfolio Optimization Funds
The investments of each Portfolio Optimization Fund consist of Class P shares of the applicable PF Underlying Funds, Pacific Funds Core Income, and Pacific Funds High Income, which are valued at their respective NAVs.
Pacific Funds Diversified Alternatives
The investments of Pacific Funds Diversified Alternatives consist of Class P shares of the applicable PF Underlying Funds and Pacific Funds Floating Rate Income, which are valued at their respective NAVs.
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NOTES TO FINANCIAL STATEMENTS (Continued)
Investments in Other Investment Companies
Fund investments in other investment companies are valued at their respective NAVs.
Investment Values Determined by a Valuation Committee
The Trust’s Valuation Policy includes methodologies approved for valuing investments in circumstances where market quotations are not readily available. In such circumstances, the Valuation Policy provides that the value of such investments may be determined in accordance with Board approved formulas and methodologies (“Alternate Valuation Methodologies”). Under the Valuation Policy these Alternate Valuation Methodologies may include, among others, amortized cost, the use of broker quotes, the use of purchase prices, and benchmark and matrix pricing. In the event market quotations or Alternate Valuation Methodologies are not readily available or are determined to be unreliable, the value of the investments will be determined in good faith by the TVC or determined by the VOC or its delegate pursuant to the Valuation Policy and then subsequently submitted for approval or ratification to either the TVC or the Board. Valuations determined by the TVC or the VOC or its delegate may require subjective inputs about the value of such investments. While these valuations are intended to estimate the value a Fund might reasonably expect to receive upon the current sale of the investments in the ordinary course of business, such values may differ from the value that a Fund would actually realize if the investments were sold or values that would be obtained if a different valuation methodology had been used.
Market quotations are considered not readily available if: (i) the market quotations received are deemed unreliable or inaccurate, (ii) approved pricing services do not provide a valuation for a particular investment, or (iii) material events occur after the close of the principal market for a particular investment but prior to the scheduled close of the NYSE.
D. FAIR VALUE MEASUREMENTS AND DISCLOSURES
The Trust characterizes its investments as Level 1, Level 2 or Level 3 based upon the various inputs or methodologies used to value the investments. Under the Valuation Policy, the VOC determines the level in which each investment is characterized. The VOC includes investment, legal, and compliance members of the Trust’s Investment Adviser, accounting members of the Trust’s Administrator (see Note 6), and the Trust’s Chief Compliance Officer (“CCO”). The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
| • Level 1 - Quoted | prices (unadjusted) in active markets for identical investments |
| • Level 2 - Significant | observable market-based inputs, other than Level 1 quoted prices, or unobservable inputs that are corroborated by market data |
| • Level 3 - Significant | unobservable inputs that are not corroborated by observable market data |
The VOC reviews the Valuation Policy periodically (at least annually) to determine the appropriateness of the pricing methodologies used to value each Fund’s investments. The VOC also periodically evaluates how the Trust’s investments are characterized within the three-tier hierarchy and the appropriateness of third party pricing sources. The VOC also periodically (at least annually) conducts back-testing of the value of various Level 2 and Level 3 investments to evaluate the effectiveness of the pricing methodologies including the unobservable inputs used to value those investments. Such back-testing includes comparing Level 2 and Level 3 investment values to subsequently available exchange-traded prices, transaction prices, and/or observable vendor prices. All changes to the Valuation Policy are reported to the Board on a quarterly basis with material changes, as determined by the Trust’s CCO, requiring approval by the Board.
The inputs or methodologies used for characterizing each Fund’s investments within the three-tier hierarchy are not necessarily an indication of the relative risks associated with investing in those investments. Foreign equity investments that are valued with the assistance of a statistical research service approved by the Board and based on significant observable inputs (as described in Note 3C) are reflected as Level 2. Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. Transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the end of the reporting period. A summary of each Fund’s investments as of March 31, 2016, as categorized under the three-tier hierarchy of inputs, can be found in the Notes to Schedule of Investments section of each Fund’s Schedule of Investments.
The following is a description of valuation inputs and techniques that the Trust currently utilizes to fair value each major category of assets and liabilities:
Equity Securities (Common and Preferred Stock) and Mutual Funds
Equity securities (foreign or domestic) that are actively traded on a securities exchange are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to these securities, they are categorized as Level 1. Equity securities traded on inactive markets are fair valued using significant other observable inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from pricing vendors that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable and timely, the fair values of these securities would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Investments in registered mutual funds, including affiliated registered mutual funds, are valued at their respective NAV and are categorized as Level 1.
U.S. Treasury Obligations
U.S. Treasuries are fair valued based on pricing models that evaluate the mean between the most recently published bid and ask price from market data sources. The models also take into consideration yield curves and data received from active market makers and inter-dealer brokers. Yield curves change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable and timely, the fair values of U.S. Treasury obligations would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Mortgage-Backed Securities and Asset-Backed Securities
Mortgage-backed securities, including government sponsored enterprises, are fair valued using pricing models based on inputs that include issuer type, coupon, and cash flows, mortgage prepayment projection tables and adjustable rate mortgage evaluations that incorporate index data, periodic, and life caps, the next coupon reset date, and the convertibility of the bond. To the extent that these inputs are observable and timely, the fair values of mortgage-backed securities would be categorized as Level 2; otherwise the fair value would be categorized as Level 3.
Asset-backed securities and collateralized mortgage obligations are fair valued using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable and timely, the fair values of asset-backed securities and collateralized mortgage obligations would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Foreign Government Bonds and Notes
Foreign government bonds and notes are fair valued based on discounted cash flow models that incorporate option adjusted spreads along with benchmark curves and credit spreads. In addition, international bond markets are monitored daily for information pertaining to the issuer and/or the specific issue. To the extent that these inputs are observable and timely, the fair values of foreign government bonds and notes would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Corporate Bonds and Notes and U.S. Government Agency Issues
Corporate bonds held by a Fund are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are reported at fair value using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, issuer credit information, and option-adjusted spread models where applicable. Fair values for high yield bonds are based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds, and sector-specific trends. To the extent that these inputs are observable and timely, the fair values of corporate bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
U.S. Government Agency Issues are reported at fair value using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer, issuer credit information, and option-adjusted spread models where applicable. To the extent that these inputs are observable and timely, the fair values of U.S. Government Agency Issues would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Swap Agreements
Total Return Swaps – Total return swaps that are actively traded and cleared on a securities exchange or swap execution facility are fair valued based on quoted prices from the applicable exchange and are categorized as Level 2. Total Return swaps traded over-the-counter are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Senior Loan Notes
Floating rate senior loan notes (“Senior Loans”) are fair valued based on a quoted price received from a single broker-dealer or an average of quoted prices received from multiple broker-dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable. To the extent that these inputs are observable, the fair values of Senior Loans would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
4. INVESTMENTS AND RISKS
General Investment Risks
An investment in each Fund represents an indirect investment in the assets owned by that Fund. As with any mutual fund, the value of the assets owned by each Fund may move up or down, and as a result, an investment in a Fund at any point in time may be worth more or less than the original amount invested.
A Fund’s transactions in listed securities are settled/paid for upon delivery to or from their counterparties; therefore, the risk of counterparty default for listed securities is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligations.
Market and Regulatory Risks
Events in the financial markets and economy may cause volatility and uncertainty and affect Fund performance. Market events may affect a single issuer, industry, sector, or the market as a whole. In addition, because of interdependencies between markets, events in one market may adversely impact other markets or issuers in which a Fund invests in unforeseen ways. Traditionally liquid investments may experience periods of diminished liquidity. During a general downturn in the financial markets, multiple asset classes may decline in value and a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests. Governmental and regulatory actions, including tax law changes, may also impair Fund management and have unexpected or adverse consequences on particular markets, strategies, or investments. Future market or regulatory events may impact a Fund in unforeseen ways, such as causing the Fund to alter its existing strategies or potentially, to liquidate and close.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Fund of Funds Investments
The Portfolio Optimization Funds are exposed to the same risks as the applicable PF Underlying Funds, Pacific Funds Core Income, and Pacific Funds High Income in direct proportion to the allocation of assets among those funds. This annual report contains information about the risks associated with investing in Pacific Funds Core Income and Pacific Funds High Income. The annual report for the PF Underlying Funds contains information about the risks associated with investing in the PF Underlying Funds. Allocations among the PF Underlying Funds, Pacific Funds Core Income, and Pacific Funds High Income are determined using an asset allocation process, which seeks to optimize returns by allocating among different asset classes given various levels of risk tolerance. The allocations of the Portfolio Optimization Funds may not effectively decrease risk or increase returns for investors, and the selection and weighting of allocations to asset classes and/or PF Underlying Funds, Pacific Funds Core Income, and Pacific Funds High Income may cause them to underperform other mutual funds with a similar investment objective. Although the Portfolio Optimization Funds seek to provide diversification across major asset classes, they may invest a significant portion of their assets in any one or several PF Underlying Funds, Pacific Funds Core Income, and Pacific Funds High Income (See Note 7C).
Pacific Funds Diversified Alternatives is exposed to the same risks as the PF Underlying Funds and Pacific Funds Floating Rate Income in direct proportion to the allocation of assets among those funds. This annual report contains information about the risks associated with investing in Pacific Funds Floating Rate Income. The annual report for the PF Underlying Funds contains information about the risks associated with investing in the PF Underlying Funds. Allocations among the PF Underlying Funds and Pacific Funds Floating Rate Income are determined using an asset allocation process, which seeks to provide performance that has a low to moderate correlation with the performance of traditional equity and fixed income asset classes over long-term periods. The allocations of Pacific Funds Diversified Alternatives may not effectively decrease risk or increase returns for investors, and the selection and weighting of allocations to asset classes and/or the PF Underlying Funds and Pacific Funds Floating Rate Income may cause them to underperform other mutual funds with a similar investment objective. Pacific Funds Diversified Alternatives may invest a significant portion of its assets in any one or several PF Underlying Funds and Pacific Funds Floating Rate Income (See Note 7C).
Equity Investments
Stock markets are volatile. Equity investments tend to go up or down in value, sometimes rapidly and unpredictably, in response to many factors, including a company’s historical and prospective earnings, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. Due to the complexities of markets, events in one market or sector may adversely impact other markets or sectors.
Debt Investments
Debt investments are subject to many risks, including, but not limited to, interest rate risk, credit risk, market and regulatory risk, price volatility, and liquidity risk, which may affect their value. There is a risk that an issuer or guarantor of a debt investment might be unable or unwilling to meet its financial obligations and might not make interest or principal payments on an instrument when those payments are due (“default”). Defaults may potentially reduce a Fund’s income or ability to recover amounts due and may reduce the value of the debt investment, sometimes dramatically. High yield/high risk or “junk” securities may be more volatile than higher rated securities. High yield/high risk securities (including loans) are typically issued by companies that are highly leveraged, less creditworthy or financially distressed and are considered to be mostly speculative in nature (high risk), subject to greater liquidity risk, and subject to a greater risk of default than higher rated securities, especially during periods of economic uncertainty or during economic downturns. Debt investments, including bonds, fixed rate loans, and short-term instruments may be affected by changes in interest rates. Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise. Certain debt investments may be difficult to value, purchase, and sell, particularly during adverse market conditions, because there is a limited market for the investment or there are restrictions on resale.
Given the historically low interest rate environment in the U.S., risks associated with rising interest rates are heightened. The negative impact on debt investments from potential interest rate increases could be swift and significant, including falling market values, increased redemptions and reduced liquidity. Substantial redemptions from bond and other income funds may worsen that impact. Additionally, regulations applicable to and changing business practices of broker-dealers that make markets in debt investments may result in those broker-dealers restricting their market making activities for certain debt investments, which may reduce the liquidity and increase the volatility of such debt investments.
Certain asset-backed instruments, such as collateralized debt obligations, collateralized mortgage obligations, and other mortgage-related securities, structured investment vehicles, and other debt investments may have exposure to subprime loans or subprime mortgages, which are loans to persons with lower credit ratings. These instruments may present credit risk that is not transparent and that is greater than indicated by their ratings. The value of these instruments may be more acutely affected by downturns in the credit markets or the real estate market than certain other investments, and it may be difficult to value these instruments because of a thin secondary market.
Foreign and Emerging Markets Investments
Exposure to foreign markets can involve additional risks relating to market, economic, political, regulatory, geopolitical, or other conditions. These factors can make foreign investments more volatile and less liquid than U.S. investments. In addition, foreign markets can react differently to these conditions than the U.S. market. Markets and economies throughout the world are becoming increasingly interconnected, and conditions or events in one market, country or region may adversely impact investments or issuers in another market, country or region. Investments in or exposure to investments in emerging market countries may be riskier than investments in or exposure to investments in U.S. and certain developed markets.
The countries listed in the Schedules of Investments for individual investment holdings (each a “Holding”) are each considered the country of risk to which a Holding, and therefore the Fund, is exposed. Each Holding’s country of risk is obtained from a third-party source that uses factors
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
such as reporting currency, sales/revenue and location of management of the Holding’s issuer to determine country of risk. The country of risk may not be exclusive, however, as there may be other countries of risk to which a Holding is exposed that are not disclosed, although the country identified is expected to be the primary country of risk for that Holding. A Holding is generally subject to greater country risk based on where it conducts business or is economically tied to rather than where it is formed or incorporated. Foreign markets risks may include currency risk, market and regulatory risk, liquidity risk, emerging markets risk and geographic focus risk, among other risks.
Senior Loan Participations and Assignments
Certain Funds may invest in Senior Loans of domestic or foreign corporations, partnerships, and other entities (“Borrowers”), the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates. Senior Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, London Interbank Offered Rates (“LIBOR”) or certificates of deposit rates. Senior Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Senior Loans are exempt from registration under the Securities Act of 1933, may contain certain restrictions on resale, and cannot be sold publicly. A Fund’s investments in Senior Loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Fund purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender.
When a Fund purchases a participation of a Senior Loan interest, the Fund typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in Senior Loans includes the right to receive payments of principal, interest, and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Fund generally has no right to enforce compliance with the terms of the loan agreement. As a result, the Fund assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Fund and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in receiving payment or may suffer a loss of principal and/or interest. As of March 31, 2016, no participation interest in Senior Loans was held by any of the Funds presented in these financial statements.
U.S. Government Securities
Certain Funds may invest in securities issued by U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of, and in certain cases, guaranteed by the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury Bills, Treasury Notes, Treasury Bonds, and securities guaranteed by GNMA (or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. Securities not backed by the full faith and credit of the U.S. Government may be subject to a greater risk of default. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA and FHLMC are government-sponsored corporations, the common stocks of which are owned entirely by private stockholders. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions, and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.
Segregation and Collateral
If a Fund engages in certain transactions, such as derivative investments or repurchase agreements, it may require collateral in the form of cash or investments to be held in segregated accounts at the Trust’s custodian, with an exchange or clearing member firm, or segregated on the Fund’s books and records maintained by the custodian and/or the manager of the Fund. In each instance that segregation of collateral is required, it is done so in accordance with the 1940 Act and/or any interpretive guidance issued by the SEC. In the event of the counterparty default on the transaction, a Fund has the right to liquidate the collateral and apply the proceeds to the counterparty’s obligations to that Fund. Upon an event of default, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed, limited or wholly denied. There is also a possibility that a Fund could experience a delay in selling investments that are segregated as collateral.
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NOTES TO FINANCIAL STATEMENTS (Continued)
5. DERIVATIVE INVESTMENTS AND RISKS, AND ENFORCEABLE MASTER NETTING ARRANGEMENTS
A. PRINCIPAL MARKET RISKS MANAGED BY INVESTING IN DERIVATIVES
Derivative instruments are investments whose values are tied to the value of an underlying security or asset, a group of assets, interest rates, exchange rates, currency or an index. Certain Funds are permitted to invest in derivative instruments, including, but not limited to, futures contracts, option contracts, forward foreign currency contracts and swap agreements. Derivatives may have little or no initial cash investment value relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This is sometimes referred to as leverage. Leverage can magnify a Fund’s gains and losses and therefore increase its volatility. A Fund’s investments in derivatives may increase, decrease or change the level or types of exposure to certain risk factors. The primary risks a Fund may attempt to manage through investing in derivative instruments include, but are not limited to, interest rate, foreign investments and currency, price volatility, and credit (including counterparty) risks.
Interest Rate Risk – A Fund may be exposed to interest rate risk through investments in debt securities. Interest rate risk is the risk that debt securities will decline in value as a result of changes in interest rates. For example, the value of bonds, fixed rate loans and short-term money market instruments may decline in value when interest rates rise. In a low interest rate environment, the risks associated with rising interest rates are heightened. Debt securities with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt securities with shorter durations or money market instruments. Therefore, duration is a potentially useful tool to measure the sensitivity of a debt security’s yield (market price to interest rate movement). To manage these risks, certain Funds may invest in derivative instruments tied to interest rates.
Foreign Investments and Currency Risk – A Fund may be exposed to foreign investments and/or currency risk through direct investment in securities or through options, futures or currency transactions. The prices of foreign securities that are denominated in foreign currencies are affected by the value of the U.S. dollar. With respect to securities denominated in foreign currencies, in general, as the value of the U.S. dollar rises, the U.S. dollar price of a foreign security will fall. As the value of the U.S. dollar falls, the U.S. dollar value of the foreign security will rise. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons. Foreign investments may be riskier than U.S. investments for many reasons, including changes in currency exchange rates, unstable political and economic conditions, a lack of adequate and timely company information, differences in the way securities markets operate, relatively lower market liquidity, less stringent financial reporting and accounting guidance and controls, less secure foreign banks or securities depositories than those in the U.S., foreign taxation issues, and foreign controls on investments. As a result, a Fund’s investments in foreign currency-denominated securities and other foreign investments may reduce the returns of the Fund. To manage these risks, certain Funds may invest in derivative instruments tied to foreign investments and/or currencies.
Price Volatility Risk – Derivatives tied to equity and debt securities are exposed to potential price volatility. Debt securities are affected by many factors, including prevailing interest rates, market conditions, and market liquidity. Volatility of below investment grade debt securities (including loans) may be relatively greater than for investment grade debt securities. Equity securities tend to go up or down in value, sometimes rapidly and unpredictably. The prices of equity securities change in response to many factors, including a company’s historical and prospective earnings, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. Due to the complexities of markets, events in one market or sector may adversely impact other markets or sectors. To manage these risks, certain Funds may invest in various derivative instruments. Derivative instruments may be used to manage a Fund’s exposure to price volatility risk but may also be subject to greater price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
Credit and Counterparty Risk – Credit risk is the risk that a debt security’s issuer (or borrower or counterparty) will be unable or unwilling to meet its financial obligations (e.g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or may go bankrupt. This is also sometimes described as counterparty risk. A Fund may lose money if the issuer or guarantor of debt security, or counterparty of a derivative contract, repurchase or reverse repurchase agreement, or a loan of Fund securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. A Fund may attempt to minimize concentrations of credit risk by undertaking transactions with a large number of borrowers or counterparties on recognized and reputable exchanges. A Fund’s investments in debt investments may range in quality from those rated in the lowest category in which it is permitted to invest to those rated in the highest category by a rating agency, or if unrated, determined by the manager to be of comparable quality.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. Financial assets of counterparties, which potentially expose a Fund to counterparty risk, consist mainly of cash due from counterparties and investments. Certain managers may attempt to minimize credit risks to the Funds by performing extensive reviews of each counterparty, entering into transactions with counterparties that the manager believes to be creditworthy at the time of the transaction and requiring the posting of collateral in applicable transactions. To manage these risks, certain Funds may invest in derivative instruments tied to a security issuers’ financial strength.
B. DERIVATIVE INVESTMENTS
In addition to managing the market risks described above, certain Funds, if permitted by their investment objectives, may also invest in derivatives for purposes of hedging, duration management, to gain exposure to specific investment opportunities, as a substitute for securities, to enhance returns, or to otherwise help achieve a Fund’s investment goal. Each derivative instrument and the reasons a Fund invested in derivatives during the reporting period are discussed in further detail below. The Portfolio Optimization Funds and Pacific Funds Diversified Alternatives are exposed to the same derivative risks as the applicable PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income and/or Pacific Funds High Income in direct proportion to the allocation of assets among those funds. The annual report of
D-8
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
the PF Underlying Funds discusses in further detail the derivative instruments and the reasons a PF Underlying Fund invested in derivatives during the reporting period.
Swap Agreements – Swap agreements are bilaterally negotiated agreements between the Funds and their counterparties to exchange swap investment cash flows, assets, foreign currencies or market-linked returns at specified intervals. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other execution facility platform, such as a registered commodities exchange (“centrally cleared swaps”). In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Swaps are marked-to-market daily based upon values received from third party vendors or quotations from market makers. Market values greater than zero are recorded as an asset and market values less than zero are recorded as a liability. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is recorded as unrealized appreciation or depreciation. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable. OTC swap payments received or made at the beginning of the measurement period are recorded as an asset or liability and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gain or loss when the swap is closed. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss. Net periodic payments received by a Fund are recorded as realized gain.
Total Return Swaps – A Fund investing in total return swaps is subject to the risk that there is no liquid market for these agreements, that the counterparties may default on their obligations to perform or that there may be unfavorable changes in the value of the underlying index or reference instrument (generally caused by changes in interest rates or declines in credit quality). A total return swap agreement is one in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying index or reference instrument, which includes both the income it generates and any capital gains. To the extent the total return of the index or reference instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. A Fund’s maximum risk of loss from counterparty credit risk related to total return swaps is the discounted net value of the cash flows to be received from or paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover a Fund’s exposure to the counterparty.
A Fund may enter into fully funded total return swaps which involves one party making an initial payment equal to the estimated value of the reference instrument. The parties to the swap then exchange respective commitments to pay or receive a net amount based on the change in the fair value of a reference instrument and a specified notional amount.
During the reporting period, Pacific Funds High Income entered into total return swaps on credit indices to obtain long exposure to the broader high yield market, primarily for purposes of liquidity.
The following is a summary of the location of fair value amounts of derivative investments, if any, disclosed in the Trust’s Statements of Assets and Liabilities:
| Location on the Statements of Assets and Liabilities | ||||
| Derivative Investments Risk Type | Asset Derivative Investments | Liability Derivative Investments | ||
| Interest rate contracts |
Swap agreements, at value | Swap agreements, at value | ||
The following is a summary of fair values of derivative investments disclosed in Pacific Funds High Income’s Statement of Assets and Liabilities, categorized by primary risk exposure as of March 31, 2016:
| Derivative Investments Risk Type | Total Value at March 31, 2016 |
|||
| Interest rate contracts (Asset) |
$92,460 | |||
The following is a summary of the location of realized gains and losses and changes in net unrealized appreciation and depreciation of derivative investments, if any, disclosed in the Trust’s Statements of Operations:
| Derivative Investments Risk Type | Location of Gain (Loss) on Derivative Investments Recognized in the Statements of Operations | |
| Interest rate contracts |
Net realized gain (loss) on swap transactions Change in net unrealized appreciation (depreciation) on swaps |
The following is a summary of Pacific Funds High Income’s net realized gain or loss and change in net unrealized appreciation or depreciation on derivative investments recognized in its Statement of Operations categorized by primary risk exposure for the year ended March 31, 2016:
| Derivative Investments Risk Type | Realized Gain (Loss) |
Change in Net Unrealized Appreciation (Depreciation) |
||||||
| Interest rate contracts |
($625,917 | ) | $33,159 | |||||
For financial reporting purposes, the Trust does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
The average number of positions and value of derivative investments in interest rate contracts held by Pacific Funds High Income for the year ended March 31, 2016 were 1 and ($60,814), respectively. The average number of positions and value of derivative investments and the amounts of net realized gain or loss and changes in net unrealized appreciation or depreciation on derivative investments as disclosed in its Statement of Operations serve as indicators of volume of financial derivative activity for Pacific Funds High Income for the year ended March 31, 2016.
D-9
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
C. ENFORCEABLE MASTER NETTING ARRANGEMENTS
Master Agreements and Netting Arrangements – Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions. The netting arrangements are generally tied to credit related events that if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, which typically ranges from $0 to $250,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Trust, the Trust’s Custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements) for Pacific Funds High Income as of March 31, 2016:
| Gross Amounts Presented in the Statements of Assets and Liabilities |
Gross Amounts Not Offset in the Statements of Assets and Liabilities |
Gross Amounts Presented in the Statements of Assets and Liabilities |
Gross Amounts Not Offset in the Statements of Assets and Liabilities |
|||||||||||||||||||||||||||||||
| Description |
Financial Instruments |
Collateral Received |
Net Amount |
Financial Instruments |
Collateral Pledged |
Net Amount |
||||||||||||||||||||||||||||
| Assets | Liabilities | |||||||||||||||||||||||||||||||||
| Swaps |
$92,460 | $— | $— | $92,460 | $— | $— | $— | $— | ||||||||||||||||||||||||||
6. INVESTMENT ADVISORY, ADMINISTRATION AND SHAREHOLDER SERVICES, SUPPORT SERVICES, AND DISTRIBUTION AGREEMENTS
Pursuant to an Investment Advisory Agreement, PLFA, a wholly-owned subsidiary of Pacific Life Insurance Company (“Pacific Life”), serves as Investment Adviser to each Fund of the Trust. PLFA manages the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives. PLFA also manages the PF Fixed Income Funds under the name Pacific Asset Management. For the PF U.S. Equity Funds, PLFA has retained another investment management firm to sub-advise each Fund, as discussed later in this section. PLFA receives investment advisory fees from each Fund based on the following advisory fee rates, which are based on an annual percentage of average daily net assets of each Fund:
| Fund | Advisory Fee Rate | |
| Pacific Funds Portfolio Optimization Conservative (1) Pacific Funds Portfolio Optimization Moderate-Conservative (1) Pacific Funds Portfolio Optimization Moderate (1) Pacific Funds Portfolio Optimization Growth (1) Pacific Funds Portfolio Optimization Aggressive-Growth (1) Pacific Funds Diversified Alternatives (1) |
0.20% | |
| Pacific Funds Short Duration Income (2) | 0.40% | |
| Pacific Funds Core Income (2) | 0.50% | |
| Pacific Funds Strategic Income (2) Pacific Funds High Income (2) |
0.60% | |
| Pacific Funds Floating Rate Income (2) Pacific Funds Limited Duration High Income (2), (3) Pacific Funds Large-Cap (4) Pacific Funds Large-Cap Value |
0.65% | |
| Pacific Funds Small/Mid-Cap Pacific Funds Small-Cap Pacific Funds Small-Cap Value Pacific Funds Small-Cap Growth |
0.85% |
| (1) | PLFA has agreed to waive the following amounts from the advisory fee rate through July 31, 2016: 1) 0.025% on net assets above $2 billion through $3 billion; 2) 0.050% on net assets above $3 billion through $5 billion; 3) 0.075% on net assets above $5 billion through $7.5 billion; and 4) 0.100% on net assets above $7.5 billion. The fee waiver agreement will terminate: (i) if the investment advisory agreement is terminated; (ii) upon approval of the Board and 90 days’ prior written notice to PLFA; (iii) upon 90 days’ written notice by PLFA prior to the beginning of the next one-year term; or (iv) if PLFA’s advisory fee rate for a Fund changes. There is no guarantee that PLFA will continue such waiver after July 31, 2016. |
D-10
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| (2) | PLFA has agreed to waive the following amounts from the advisory fee rate through July 31, 2016: 1) 0.025% on net assets above $1 billion through $2 billion; 2) 0.050% on net assets above $2 billion through $3 billion; and 3) 0.075% on net assets above $3 billion. The fee waiver agreement will terminate: (i) if the investment advisory agreement is terminated; (ii) upon approval of the Board and 90 days’ prior written notice to PLFA; (iii) upon 90 days’ written notice by PLFA prior to the beginning of the next one-year term; or (iv) if PLFA’s advisory fee rate for a Fund changes. There is no guarantee that PLFA will continue such waiver after July 31, 2016. |
| (3) | PLFA agreed to waive 0.02% of its advisory fee through July 31, 2016 for Pacific Funds Limited Duration High Income. The fee waiver agreement will terminate: (i) if the investment advisory agreement is terminated; or (ii) upon approval by the Board and 90 days’ prior written notice to PLFA. There is no guarantee that PLFA will continue such waiver after that date. |
| (4) | PLFA agreed to waive 0.10% of its advisory fee through January 10, 2018 for Pacific Funds Large-Cap. The fee waiver agreement will terminate: (i) if the investment advisory agreement is terminated; or (ii) if the sub-advisory agreement with Rothschild Asset Management Inc. is terminated. There is no guarantee that PLFA will continue such waiver after that date. |
Pursuant to a Subadvisory Agreement, the Trust and PLFA engaged Rothschild Asset Management Inc. under PLFA’s supervision to act as sub-adviser for the PF U.S. Equity Funds. PLFA, as Investment Adviser to each PF U.S. Equity Fund, pays management fees to Rothschild Asset Management Inc. as compensation for its sub-advisory services provided to each PF U.S. Equity Fund.
Pursuant to an Administration and Shareholder Services Agreement (the “Administration Agreement”), Pacific Life serves as administrator (the “Administrator”) to the Trust. The administration fee is for procuring or providing administrative, transfer agency, and shareholder services. In addition, Pacific Life and PLFA provide support services to the Trust that are outside the scope of the Administrator’s and Investment Adviser’s responsibilities under the Administration Agreement and Investment Advisory Agreement. Under the Support Services Agreement, the Trust compensates Pacific Life and PLFA for their expenses in providing support services to the Trust in connection with various matters, some of which include the time spent by legal, accounting, and compliance personnel of Pacific Life and PLFA (including individuals who may be officers or Trustees of the Trust), to attend meetings of the Board and to provide assistance with the coordination and supervision in connection with the services procured for the Trust under the Administration Agreement. Support services do not include services for which PLFA is responsible pursuant to the Investment Advisory Agreement. The Trust reimburses Pacific Life and PLFA for these support services on an approximate cost basis.
Pacific Life receives an administration fee from each Fund and share class presented in these financial statements based on the following administration fee rates, which are based on an annual percentage of average daily net assets of each Fund:
| Fund | Share Class | Administration Fee Rate | ||
| Portfolio Optimization Funds | A, B, C, R, and Advisor |
0.15% | ||
| Pacific Funds Diversified Alternatives | A, C, and Advisor | 0.15% | ||
| Pacific Funds Short Duration Income Pacific Funds Strategic Income |
A, C, and Advisor | 0.30% | ||
| Pacific Funds Limited Duration High Income | I | 0.15% | ||
| Pacific Funds Core Income Pacific Funds Floating Rate Income Pacific Funds High Income |
A, C, and Advisor | 0.30% | ||
| I and P | 0.15% | |||
| PF U.S. Equity Funds | A, C, Advisor, and Investor |
0.30% | ||
| Institutional | 0.15% |
Pursuant to a Distribution Agreement, Pacific Select Distributors, LLC (the “Distributor”), a wholly-owned subsidiary of Pacific Life, serves as distributor of the Trust’s shares. Under the Distribution Agreement, the Distributor bears all expenses of providing services, including costs of sales presentations, mailings, advertisements, and other marketing efforts by the Distributor in connection with the distribution or sale of the Trust’s shares and makes distribution and/or service payments to selling groups in connection with the sale of certain of the Trust’s shares and subsequent servicing needs of shareholders provided by selling groups. The Distributor receives distribution and service fees pursuant to class-specific distribution and service plans, each adopted in accordance with Rule 12b-1 (“12b-1”) under the 1940 Act (together the “12b-1 Plans”) for Class B, C, R, and Investor Class shares. The Distributor also receives service fees pursuant to a non-12b-1 Class A Service Plan (“Class A Plan”). The Distributor receives distribution and/or service fees from each Fund and applicable share class presented in these financial statements based on the following distribution and service fee rates, which are based on an annual percentage of average daily net assets:
| Plan | Share Class |
Distribution Fee Rate |
Service Fee Rate | |||||
| 12b-1 Plans |
B and C | 0.75% | 0.25% | |||||
| R | 0.25% | 0.25% | ||||||
| Investor | 0.25% | |||||||
| Class A Plan |
A | 0.25% | ||||||
There are no distribution and service fees for Class I, Class P, Advisor Class, and Institutional Class shares. The distribution and service fees are accrued daily. For the year ended March 31, 2016, the Distributor, acting as underwriter, received net commissions (front-end sales charges) of $11,344,805 from the sale of Class A shares and received $479,915 in CDSC from redemptions of Class A, B, and C shares.
D-11
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Prior to January 11, 2016, each of the Predecessor Funds of the PF U.S. Equity Funds paid the following rates, which were based on an annual percentage of average daily net assets of each Predecessor Fund:
| Predecessor Fund | Advisory Fee Rate (1) |
Service Fee Rate (2) (Investor Class shares only) |
Distribution Fee
Rate (3) (Investor Class shares only) | |||
| Rothschild U.S. Large-Cap Core Fund |
0.55% | Up to 0.10% | Up to 0.25% | |||
| Rothschild U.S. Large-Cap Value Fund |
||||||
| Rothschild U.S. Small/Mid-Cap Core Fund |
0.85% | |||||
| Rothschild U.S. Small-Cap Core Fund |
||||||
| Rothschild U.S. Small-Cap Value Fund |
||||||
| Rothschild U.S. Small-Cap Growth Fund |
Up to 0.10% | Up to 0.25% |
| (1) | The advisory fee was paid to Rothschild Asset Management Inc. pursuant to an Investment Advisory Agreement between Professionally Managed Portfolios and Rothschild Asset Management Inc. |
| (2) | The service fee was paid to Rothschild Asset Management Inc. pursuant to a Shareholder Servicing Plan adopted by the Board of Trustees of Professionally Managed Portfolios. |
| (3) | The distribution fee was paid to Quasar Distributors, LLC pursuant to a Distribution Plan adopted by the Board of Trustees of Professionally Managed Portfolios. |
7. TRANSACTIONS WITH AFFILIATES
A. ADVISORY FEES, ADMINISTRATION FEES, DISTRIBUTION AND/OR SERVICE FEES, AND EXPENSES FOR SUPPORT SERVICES
The Investment Adviser, the Distributor, and Pacific Life are related parties. The advisory fees earned by the Investment Adviser, including any advisory fee waiver, the administration fees earned by Pacific Life, the distribution and/or service fees earned by the Distributor, and expenses for support services recovered by PLFA and Pacific Life (see Note 6) from each Fund presented in these financial statements for the year ended March 31, 2016 are presented in the Statements of Operations. The amounts of each of these fees that remained payable as of March 31, 2016 are presented in the Statements of Assets and Liabilities.
B. EXPENSE LIMITATION AGREEMENTS
To help limit the Trust’s expenses, PLFA has entered into expense limitation agreements with the Trust and has contractually agreed to reimburse each Fund presented in these financial statements for certain operating expenses that exceed an annual rate based on a percentage of a Fund’s average daily net assets. These operating expenses include, but are not limited to: administration fees; organizational expenses; custody expenses; expenses for audit, tax, and certain legal services; preparation, printing, filing, and distribution to existing shareholders of proxies, prospectuses and shareholder reports, and other regulatory documents, as applicable; independent trustees’ fees and expenses; and establishing, overseeing and administering the Trust’s compliance program. These operating expenses do not include: investment advisory fees; distribution and/or service fees; dividends on securities sold short; acquired fund fees and expenses; interest (including commitment fees, if any); taxes (including foreign taxes on dividends, interest or gains); brokerage commissions and other transactional expenses, and extraordinary expenses such as litigation expenses and other expenses not incurred in the ordinary course of each Fund’s business. The expense caps for each Fund and share class presented in these financial statements are as follows:
| Fund | Share Class | Expense Caps | ||
| Portfolio Optimization Funds | A, B, C, R, and Advisor | 0.15% through 7/31/2016 and 0.30% thereafter through 7/31/2023 | ||
| Pacific Funds Short Duration Income Pacific Funds Core Income Pacific Funds Strategic Income Pacific Funds Floating Rate Income Pacific Funds Limited Duration High Income Pacific Funds High Income |
A, C, and Advisor | 0.20% through 7/31/2016 | ||
| I | 0.15% through 7/31/2016 | |||
| Pacific Funds Core Income Pacific Funds Floating Rate Income Pacific Funds High Income |
P | 0.20% through 7/31/2016 | ||
| Pacific Funds Diversified Alternatives | A, C, and Advisor | 0.40% through 7/31/2017 | ||
| Pacific Funds Large-Cap Pacific Funds Large-Cap Value |
A, C, Advisor, and Investor | 0.20% through 1/10/2019 | ||
| Institutional | 0.10% through 1/10/2019 | |||
| Pacific Funds Small/Mid-Cap Pacific Funds Small-Cap Pacific Funds Small-Cap Value |
A, C, and Advisor | 0.20% through 1/10/2019 | ||
| Investor | 0.25% through 1/10/2019 | |||
| Institutional | 0.15% through 1/10/2019 | |||
| Pacific Funds Small-Cap Growth | A, C, and Advisor | 0.20% through 1/10/2019 | ||
| Investor | 0.15% through 1/10/2019 | |||
| Institutional | 0.05% through 1/10/2019 |
There is no guarantee that PLFA will continue to reimburse expenses for a Fund upon the expiration of the expense cap. In addition, any expense reimbursements made by PLFA to a Fund are subject to recoupment by PLFA from such Fund for a period as permitted under regulatory and accounting guidance (currently three years from the end of the fiscal year in which the reimbursement took place) to the extent such recoupment would not cause the Fund to exceed the expense cap that was in effect at the time of the reimbursement. Any amounts repaid to PLFA will have the effect of increasing such expenses of a Fund, but not above the expense cap. The amounts of adviser reimbursement to each of the applicable Funds presented in these financial statements for the year ended March 31, 2016 are presented in the Statements of Operations. Any amounts that remained due from the Investment Adviser as of March 31, 2016 are presented in the Statements of Assets and Liabilities.
D-12
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The cumulative expense reimbursement amounts, if any, as of March 31, 2016 that are subject to recoupment by PLFA from the Funds presented in these financial statements are as follows:
| Fund | 3/31/2017 | 3/31/2018 | 3/31/2019 | |||||||||
| Pacific Funds Portfolio Optimization Conservative |
$485,486 | $341,046 | $289,997 | |||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
509,594 | 412,969 | 393,236 | |||||||||
| Pacific Funds Portfolio Optimization Moderate |
1,236,620 | 1,039,248 | 954,419 | |||||||||
| Pacific Funds Portfolio Optimization Growth |
857,348 | 722,497 | 708,782 | |||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
297,159 | 255,368 | 259,000 | |||||||||
| Pacific Funds Diversified Alternatives |
— | 77,075 | 37,661 | |||||||||
| Pacific Funds Short Duration Income |
192,031 | 287,988 | 369,896 | |||||||||
| Pacific Funds Core Income |
1,326,276 | 1,007,441 | 1,162,780 | |||||||||
| Pacific Funds Strategic Income |
181,996 | 294,682 | 445,582 | |||||||||
| Pacific Funds Floating Rate Income |
1,642,470 | 1,908,310 | 1,185,282 | |||||||||
| Pacific Funds Limited Duration High Income |
82,357 | 119,970 | 105,916 | |||||||||
| Pacific Funds High Income |
98,786 | 124,757 | 124,097 | |||||||||
| Pacific Funds Large-Cap |
31,382 | |||||||||||
| Pacific Funds Large-Cap Value |
29,093 | |||||||||||
| Pacific Funds Small/Mid-Cap |
27,939 | |||||||||||
| Pacific Funds Small-Cap |
25,943 | |||||||||||
| Pacific Funds Small-Cap Value |
29,397 | |||||||||||
| Pacific Funds Small-Cap Growth |
25,758 | |||||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$6,910,123 | $6,591,351 | $6,206,160 | |||||||||
|
|
|
|
|
|
|
|||||||
During the year ended March 31, 2016, PLFA recouped $8,686 from Pacific Funds Diversified Alternatives. There was no recoupment of expense reimbursement by PLFA from any other Funds presented in these financial statements for the year ended March 31, 2016.
C. INVESTMENTS IN AFFILIATED FUNDS
As of March 31, 2016, each of the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives (aggregate of all share classes) owned Class P shares in each of the applicable affiliated PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and/or Pacific Funds High Income. A summary of holdings and transactions with affiliated mutual fund investments as of and for the year ended March 31, 2016 is as follows:
| Fund/Underlying Fund | Beginning Value as of April 1, 2015 |
Purchase Cost (1) |
Distributions Received and Reinvested (2) |
Sales Proceeds |
Net Realized Gain (Loss) (3) |
Change in Unrealized Appreciation (Depreciation) |
As of March 31, 2016 | |||||||||||||||||||||||||
| Ending Value |
Shares Balance |
|||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative | ||||||||||||||||||||||||||||||||
| PF Floating Rate Loan |
$27,309,681 | $1,339,656 | $1,047,991 | $7,289,123 | ($130,000 | ) | ($1,430,102 | ) | $20,848,103 | 2,280,974 | ||||||||||||||||||||||
| PF Inflation Managed |
31,902,949 | 995,396 | — | 23,019,337 | (2,945,085 | ) | 2,595,771 | 9,529,694 | 1,091,603 | |||||||||||||||||||||||
| PF Managed Bond |
145,722,279 | 2,995,544 | 2,431,275 | 49,988,668 | 3,593,382 | (5,040,017 | ) | 99,713,795 | 9,433,661 | |||||||||||||||||||||||
| PF Short Duration Bond |
58,014,980 | 834,361 | 657,603 | 27,416,949 | (183,221 | ) | (352,735 | ) | 31,554,039 | 3,206,711 | ||||||||||||||||||||||
| Pacific Funds Core Income |
— | 4,399,641 | 114,005 | 593,118 | (23,457 | ) | (129,452 | ) | 3,767,619 | 359,163 | ||||||||||||||||||||||
| Pacific Funds High Income |
— | 26,368,552 | 1,032,511 | 3,395,526 | (306,714 | ) | (2,286,066 | ) | 21,412,757 | 2,287,688 | ||||||||||||||||||||||
| PF Emerging Markets Debt |
29,215,298 | 1,643,418 | 16,117 | 15,477,587 | (1,635,488 | ) | 2,364,458 | 16,126,216 | 1,764,356 | |||||||||||||||||||||||
| PF Comstock |
14,795,989 | 5,937,669 | 375,067 | 4,562,648 | 2,152,759 | (3,662,609 | ) | 15,036,227 | 1,100,749 | |||||||||||||||||||||||
| PF Growth |
6,523,446 | 4,918,524 | 43,938 | 2,669,963 | 494,204 | (529,505 | ) | 8,780,644 | 466,559 | |||||||||||||||||||||||
| PF Large-Cap Growth |
8,739,156 | 6,546,646 | — | 4,140,885 | 1,717,558 | (2,290,342 | ) | 10,572,133 | 1,144,170 | |||||||||||||||||||||||
| PF Large-Cap Value |
21,090,455 | 9,003,752 | 384,272 | 3,730,641 | 1,742,619 | (2,595,909 | ) | 25,894,548 | 1,751,999 | |||||||||||||||||||||||
| PF Main Street Core |
6,423,991 | 6,435,060 | 128,626 | 3,466,616 | 1,583,701 | (1,625,008 | ) | 9,479,754 | 779,585 | |||||||||||||||||||||||
| PF Mid-Cap Equity |
6,691,356 | 254,782 | 41,973 | 2,953,140 | 998,672 | (1,216,154 | ) | 3,817,489 | 359,124 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
4,391,022 | 289,132 | 2,409 | 2,892,495 | 310,798 | (489,872 | ) | 1,610,994 | 226,581 | |||||||||||||||||||||||
| PF Mid-Cap Value |
— | 21,168,292 | 99,409 | 2,145,516 | (88,707 | ) | (498,066 | ) | 18,535,412 | 1,906,935 | ||||||||||||||||||||||
| PF Small-Cap Value |
— | 4,330,915 | 5,570 | 429,104 | 6,221 | 46,539 | 3,960,141 | 390,546 | ||||||||||||||||||||||||
| PF International Large-Cap |
14,930,761 | 7,735,194 | 150,850 | 5,247,369 | (18,972 | ) | (1,565,121 | ) | 15,985,343 | 957,780 | ||||||||||||||||||||||
| PF International Value |
8,933,268 | 2,254,704 | 122,489 | 2,180,923 | (114,074 | ) | (898,933 | ) | 8,116,531 | 972,040 | ||||||||||||||||||||||
| PF Absolute Return |
— | 17,616,490 | 230,721 | 2,182,643 | (83,677 | ) | (1,370,135 | ) | 14,210,756 | 1,561,622 | ||||||||||||||||||||||
| PF Currency Strategies |
12,246,116 | 2,281,662 | 200,469 | 5,151,596 | (115,656 | ) | (64,852 | ) | 9,396,143 | 963,707 | ||||||||||||||||||||||
| PF Equity Long/Short |
— | 12,858,270 | 1,504,793 | 4,416,279 | 204,883 | 303,248 | 10,454,915 | 1,014,056 | ||||||||||||||||||||||||
| PF Global Absolute Return |
21,233,974 | 4,486,319 | 1,629,619 | 7,050,210 | (38,044 | ) | (1,866,602 | ) | 18,395,056 | 2,034,851 | ||||||||||||||||||||||
| PF Precious Metals (4) |
1,711,613 | 91,701 | — | 1,886,680 | (296,798 | ) | 380,164 | — | — | |||||||||||||||||||||||
| $419,876,334 | $144,785,680 | $10,219,707 | $182,287,016 | $6,824,904 | ($22,221,300 | ) | $377,198,309 | |||||||||||||||||||||||||
D-13
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Fund/Underlying Fund | Beginning Value as of April 1, 2015 |
Purchase Cost (1) |
Distributions Received and Reinvested (2) |
Sales Proceeds |
Net Realized Gain (Loss) (3) |
Change in Unrealized Appreciation (Depreciation) |
As of March 31, 2016 | |||||||||||||||||||||||||
| Ending Value |
Shares Balance |
|||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative | ||||||||||||||||||||||||||||||||
| PF Floating Rate Loan |
$34,655,118 | $604,613 | $1,290,781 | $9,816,015 | ($345,968 | ) | ($1,555,637 | ) | $24,832,892 | 2,716,947 | ||||||||||||||||||||||
| PF Inflation Managed |
41,093,121 | 895,780 | — | 29,605,705 | (3,968,156 | ) | 3,509,793 | 11,924,833 | 1,365,960 | |||||||||||||||||||||||
| PF Managed Bond |
138,740,124 | 7,869,081 | 2,812,503 | 34,353,237 | 3,818,568 | (5,113,619 | ) | 113,773,420 | 10,763,805 | |||||||||||||||||||||||
| PF Short Duration Bond |
57,583,655 | 676,887 | 513,446 | 34,200,945 | (246,221 | ) | (148,960 | ) | 24,177,862 | 2,457,100 | ||||||||||||||||||||||
| Pacific Funds Core Income |
— | 4,853,818 | 130,695 | 468,621 | (20,144 | ) | (152,676 | ) | 4,343,072 | 414,020 | ||||||||||||||||||||||
| Pacific Funds High Income |
— | 29,107,316 | 1,230,461 | 2,336,318 | (233,452 | ) | (2,978,317 | ) | 24,789,690 | 2,648,471 | ||||||||||||||||||||||
| PF Emerging Markets Debt |
28,756,672 | 742,312 | 22,072 | 9,112,298 | (1,140,521 | ) | 1,728,124 | 20,996,361 | 2,297,195 | |||||||||||||||||||||||
| PF Comstock |
28,998,538 | 1,078,877 | 601,800 | 5,768,756 | 3,043,468 | (5,540,742 | ) | 22,413,185 | 1,640,790 | |||||||||||||||||||||||
| PF Growth |
16,163,662 | 405,378 | 73,767 | 2,383,262 | 783,094 | (519,228 | ) | 14,523,411 | 771,701 | |||||||||||||||||||||||
| PF Large-Cap Growth |
19,850,162 | 671,044 | — | 3,392,606 | 2,264,779 | (2,665,245 | ) | 16,728,134 | 1,810,404 | |||||||||||||||||||||||
| PF Large-Cap Value |
43,423,289 | 1,516,044 | 599,090 | 5,659,444 | 2,906,532 | (4,084,716 | ) | 38,700,795 | 2,618,457 | |||||||||||||||||||||||
| PF Main Street Core |
29,505,804 | 436,357 | 225,753 | 14,436,684 | 5,975,938 | (5,316,774 | ) | 16,390,394 | 1,347,894 | |||||||||||||||||||||||
| PF Mid-Cap Equity |
18,423,135 | 204,450 | 173,950 | 3,119,208 | 952,613 | (1,798,079 | ) | 14,836,861 | 1,395,753 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
6,044,402 | 69,704 | 6,700 | 1,927,043 | 473,521 | (947,714 | ) | 3,719,570 | 523,146 | |||||||||||||||||||||||
| PF Mid-Cap Value |
— | 31,265,192 | 154,371 | 2,085,152 | (142,814 | ) | (794,693 | ) | 28,396,904 | 2,921,492 | ||||||||||||||||||||||
| PF Small-Cap Growth |
6,273,994 | 151,199 | — | 3,704,598 | 1,100,911 | (1,712,187 | ) | 2,109,319 | 215,237 | |||||||||||||||||||||||
| PF Small-Cap Value |
6,119,771 | 6,284,135 | 16,484 | 1,299,032 | (20,296 | ) | (106,427 | ) | 10,994,635 | 1,084,283 | ||||||||||||||||||||||
| PF Emerging Markets |
11,560,237 | 538,738 | 64,278 | 4,737,024 | (441,957 | ) | (523,326 | ) | 6,460,946 | 534,404 | ||||||||||||||||||||||
| PF International Large-Cap |
16,983,923 | 14,866,194 | 265,638 | 2,586,861 | (138,675 | ) | (3,073,030 | ) | 26,317,189 | 1,576,824 | ||||||||||||||||||||||
| PF International Small-Cap |
12,025,083 | 2,297,791 | 356,973 | 2,781,878 | 86,369 | (474,380 | ) | 11,509,958 | 1,120,736 | |||||||||||||||||||||||
| PF International Value |
11,123,271 | 4,847,976 | 212,887 | 1,269,687 | (128,557 | ) | (1,842,626 | ) | 12,943,264 | 1,550,091 | ||||||||||||||||||||||
| PF Real Estate |
— | 2,918,646 | 42,455 | 226,215 | 188,590 | 1,382 | 2,924,858 | 182,918 | ||||||||||||||||||||||||
| PF Absolute Return |
— | 19,958,994 | 277,180 | 1,655,550 | (73,305 | ) | (1,641,280 | ) | 16,866,039 | 1,853,411 | ||||||||||||||||||||||
| PF Currency Strategies |
22,458,560 | 719,722 | 355,487 | 6,603,338 | (136,458 | ) | (223,607 | ) | 16,570,366 | 1,699,525 | ||||||||||||||||||||||
| PF Equity Long/Short |
— | 19,812,882 | 3,109,684 | 1,998,607 | (40,369 | ) | 597,219 | 21,480,809 | 2,083,493 | |||||||||||||||||||||||
| PF Global Absolute Return |
29,281,032 | 6,092,144 | 2,390,924 | 8,523,802 | (91,529 | ) | (2,689,088 | ) | 26,459,681 | 2,926,956 | ||||||||||||||||||||||
| PF Precious Metals (4) |
2,448,773 | 119,510 | — | 2,689,846 | (279,509 | ) | 401,072 | — | — | |||||||||||||||||||||||
| $581,512,326 | $159,004,784 | $14,927,379 | $196,741,732 | $14,146,452 | ($37,664,761 | ) | $535,184,448 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate | ||||||||||||||||||||||||||||||||
| PF Floating Rate Loan |
$65,095,653 | $383,853 | $1,763,294 | $30,594,533 | ($735,478 | ) | ($1,793,710 | ) | $34,119,079 | 3,732,941 | ||||||||||||||||||||||
| PF Inflation Managed |
41,758,590 | 1,995,409 | — | 18,171,405 | (1,559,352 | ) | 987,080 | 25,010,322 | 2,864,871 | |||||||||||||||||||||||
| PF Managed Bond |
258,754,419 | 2,450,908 | 4,132,462 | 93,224,620 | 6,426,694 | (8,488,295 | ) | 170,051,568 | 16,088,133 | |||||||||||||||||||||||
| PF Short Duration Bond |
86,788,689 | 642,098 | 421,623 | 67,367,845 | (317,671 | ) | 31,531 | 20,198,425 | 2,052,686 | |||||||||||||||||||||||
| Pacific Funds Core Income |
— | 8,583,099 | 233,142 | 659,860 | (27,321 | ) | (278,685 | ) | 7,850,375 | 748,367 | ||||||||||||||||||||||
| Pacific Funds High Income |
16,354,018 | 51,274,925 | 2,686,808 | 11,518,786 | (619,675 | ) | (6,201,990 | ) | 51,975,300 | 5,552,917 | ||||||||||||||||||||||
| PF Emerging Markets Debt |
81,551,868 | 555,453 | 49,946 | 36,688,826 | (3,674,925 | ) | 6,067,380 | 47,860,896 | 5,236,422 | |||||||||||||||||||||||
| PF Comstock |
115,316,171 | 3,802,693 | 2,368,986 | 22,671,378 | 12,252,461 | (22,021,670 | ) | 89,047,263 | 6,518,833 | |||||||||||||||||||||||
| PF Growth |
59,239,445 | 2,532,430 | 244,244 | 14,573,488 | 4,092,148 | (2,943,784 | ) | 48,590,995 | 2,581,881 | |||||||||||||||||||||||
| PF Large-Cap Growth |
76,539,280 | 3,622,546 | — | 19,362,259 | 8,908,122 | (9,870,124 | ) | 59,837,565 | 6,475,927 | |||||||||||||||||||||||
| PF Large-Cap Value |
147,894,145 | 6,125,253 | 1,841,139 | 32,600,122 | 12,893,171 | (16,076,858 | ) | 120,076,728 | 8,124,271 | |||||||||||||||||||||||
| PF Main Street Core |
100,421,674 | 5,746,965 | 1,126,693 | 26,285,055 | 16,314,489 | (14,647,231 | ) | 82,677,535 | 6,799,139 | |||||||||||||||||||||||
| PF Mid-Cap Equity |
69,495,072 | 161,213 | 618,054 | 14,058,727 | 4,726,365 | (7,754,015 | ) | 53,187,962 | 5,003,571 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
34,200,413 | 252,875 | 44,668 | 6,446,283 | 2,502,664 | (5,550,941 | ) | 25,003,396 | 3,516,652 | |||||||||||||||||||||||
| PF Mid-Cap Value |
— | 107,640,003 | 533,134 | 5,916,018 | (352,421 | ) | (2,815,819 | ) | 99,088,879 | 10,194,329 | ||||||||||||||||||||||
| PF Small-Cap Growth |
26,635,313 | 263,273 | — | 11,543,148 | 2,706,034 | (6,299,713 | ) | 11,761,759 | 1,200,179 | |||||||||||||||||||||||
| PF Small-Cap Value |
51,944,969 | 29,959,813 | 111,262 | 5,494,658 | 88,790 | (1,644,748 | ) | 74,965,428 | 7,393,040 | |||||||||||||||||||||||
| PF Emerging Markets |
57,505,615 | 10,282,379 | 396,027 | 21,702,883 | (2,416,943 | ) | (3,986,233 | ) | 40,077,962 | 3,314,968 | ||||||||||||||||||||||
| PF International Large-Cap |
85,501,471 | 56,060,275 | 1,120,049 | 17,762,229 | 1,816,250 | (14,884,578 | ) | 111,851,238 | 6,701,692 | |||||||||||||||||||||||
| PF International Small-Cap |
51,075,364 | 5,250,881 | 1,489,711 | 7,860,913 | 524,830 | (2,034,705 | ) | 48,445,168 | 4,717,154 | |||||||||||||||||||||||
| PF International Value |
55,908,117 | 13,052,130 | 858,855 | 9,661,963 | 244,606 | (7,774,033 | ) | 52,627,712 | 6,302,720 | |||||||||||||||||||||||
| PF Real Estate |
16,173,730 | 9,730,942 | 361,972 | 1,889,178 | 1,626,374 | (766,112 | ) | 25,237,728 | 1,578,344 | |||||||||||||||||||||||
| PF Absolute Return |
— | 50,781,204 | 477,534 | 18,810,724 | (409,856 | ) | (2,855,290 | ) | 29,182,868 | 3,206,909 | ||||||||||||||||||||||
| PF Currency Strategies |
79,299,144 | 1,254,805 | 1,010,462 | 32,250,741 | (604,583 | ) | (837,501 | ) | 47,871,586 | 4,909,906 | ||||||||||||||||||||||
| PF Equity Long/Short |
— | 71,941,135 | 11,361,316 | 5,807,591 | (39,525 | ) | 2,271,423 | 79,726,758 | 7,732,954 | |||||||||||||||||||||||
| PF Global Absolute Return |
66,258,258 | 16,530,884 | 5,432,072 | 21,127,400 | (87,149 | ) | (6,212,467 | ) | 60,794,198 | 6,725,022 | ||||||||||||||||||||||
| PF Precious Metals (4) |
13,859,883 | 463,768 | — | 15,005,766 | (3,181,908 | ) | 3,864,023 | — | — | |||||||||||||||||||||||
| $1,657,571,301 | $461,341,212 | $38,683,453 | $569,056,399 | $61,096,191 | ($132,517,065 | ) | $1,517,118,693 | |||||||||||||||||||||||||
D-14
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Fund/Underlying Fund | Beginning Value as of April 1, 2015 |
Purchase Cost (1) |
Distributions Received and Reinvested (2) |
Sales Proceeds |
Net Realized Gain (Loss) (3) |
Change in Unrealized Appreciation (Depreciation) |
As of March 31, 2016 | |||||||||||||||||||||||||
| Ending Value |
Shares Balance |
|||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth | ||||||||||||||||||||||||||||||||
| PF Inflation Managed |
$11,050,432 | $705,434 | $— | $6,015,485 | ($205,843 | ) | $39,499 | $5,574,037 | 638,492 | |||||||||||||||||||||||
| PF Managed Bond |
90,200,780 | 1,247,163 | 914,690 | 53,442,540 | 1,402,153 | (2,362,378 | ) | 37,959,868 | 3,591,284 | |||||||||||||||||||||||
| PF Short Duration Bond |
11,027,497 | 10,352 | — | 11,048,131 | 144,902 | (134,620 | ) | — | — | |||||||||||||||||||||||
| Pacific Funds High Income |
22,565,894 | 861,917 | 843,484 | 6,580,621 | (76,791 | ) | (1,800,422 | ) | 15,813,461 | 1,689,472 | ||||||||||||||||||||||
| PF Emerging Markets Debt |
16,840,969 | 6,674,548 | 23,544 | 1,477,945 | (230,330 | ) | 780,460 | 22,611,246 | 2,473,878 | |||||||||||||||||||||||
| PF Comstock |
85,538,619 | 3,888,562 | 1,785,226 | 16,328,620 | 8,746,810 | (16,101,215 | ) | 67,529,382 | 4,943,586 | |||||||||||||||||||||||
| PF Growth |
52,511,875 | 3,427,921 | 190,892 | 19,013,180 | 4,328,842 | (3,297,926 | ) | 38,148,424 | 2,027,015 | |||||||||||||||||||||||
| PF Large-Cap Growth |
73,862,683 | 4,854,035 | — | 30,898,034 | 9,071,548 | (9,340,332 | ) | 47,549,900 | 5,146,093 | |||||||||||||||||||||||
| PF Large-Cap Value |
102,261,261 | 5,438,419 | 1,339,180 | 18,877,974 | 7,915,380 | (10,306,609 | ) | 87,769,657 | 5,938,407 | |||||||||||||||||||||||
| PF Main Street Core |
104,153,810 | 6,913,931 | 1,072,530 | 35,222,909 | 16,131,754 | (14,188,051 | ) | 78,861,065 | 6,485,285 | |||||||||||||||||||||||
| PF Mid-Cap Equity |
94,642,106 | 501,543 | 873,959 | 16,188,104 | 4,983,429 | (9,207,844 | ) | 75,605,089 | 7,112,426 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
29,476,799 | 454,996 | 36,375 | 6,950,886 | 2,359,361 | (4,851,839 | ) | 20,524,806 | 2,886,752 | |||||||||||||||||||||||
| PF Mid-Cap Value |
— | 84,039,733 | 417,525 | 4,033,682 | (222,640 | ) | (2,227,313 | ) | 77,973,623 | 8,021,978 | ||||||||||||||||||||||
| PF Small-Cap Growth |
36,733,465 | 11,733,323 | — | 22,518,908 | 3,580,859 | (9,499,672 | ) | 20,029,067 | 2,043,782 | |||||||||||||||||||||||
| PF Small-Cap Value |
63,308,583 | 26,543,448 | 122,548 | 5,293,008 | 153,457 | (1,967,331 | ) | 82,867,697 | 8,172,357 | |||||||||||||||||||||||
| PF Emerging Markets |
45,297,817 | 35,445,816 | 515,509 | 20,811,714 | (2,480,822 | ) | (5,339,026 | ) | 52,627,580 | 4,352,984 | ||||||||||||||||||||||
| PF International Large-Cap |
80,538,988 | 46,553,473 | 981,538 | 18,176,390 | 1,617,669 | (12,724,666 | ) | 98,790,612 | 5,919,150 | |||||||||||||||||||||||
| PF International Small-Cap |
47,313,934 | 840,284 | 1,301,449 | 5,839,315 | 903,106 | (1,964,354 | ) | 42,555,104 | 4,143,632 | |||||||||||||||||||||||
| PF International Value |
52,792,009 | 12,129,964 | 794,380 | 9,806,802 | 47,007 | (6,871,016 | ) | 49,085,542 | 5,878,508 | |||||||||||||||||||||||
| PF Real Estate |
22,561,435 | 8,022,199 | 426,500 | 1,889,303 | 1,905,248 | (1,034,152 | ) | 29,991,927 | 1,875,668 | |||||||||||||||||||||||
| PF Absolute Return |
— | 17,794,345 | 126,612 | 9,194,948 | (182,382 | ) | (761,223 | ) | 7,782,404 | 855,209 | ||||||||||||||||||||||
| PF Currency Strategies |
54,919,006 | 1,359,798 | 952,430 | 10,836,068 | (225,523 | ) | (683,515 | ) | 45,486,128 | 4,665,244 | ||||||||||||||||||||||
| PF Equity Long/Short |
— | 47,494,629 | 6,245,503 | 11,341,777 | 505,517 | 1,266,496 | 44,170,368 | 4,284,226 | ||||||||||||||||||||||||
| PF Global Absolute Return |
45,908,693 | 98,797 | 1,920,290 | 24,174,357 | 187,685 | (2,262,687 | ) | 21,678,421 | 2,398,055 | |||||||||||||||||||||||
| PF Precious Metals (4) |
14,369,611 | 605,150 | — | 15,684,796 | (2,533,482 | ) | 3,243,517 | — | — | |||||||||||||||||||||||
| $1,157,876,266 | $327,639,780 | $20,884,164 | $381,645,497 | $57,826,914 | ($111,596,219 | ) | $1,070,985,408 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth | ||||||||||||||||||||||||||||||||
| PF Managed Bond |
$10,531,485 | $212,370 | $— | $10,641,420 | $285,784 | ($388,219 | ) | $— | — | |||||||||||||||||||||||
| PF Emerging Markets Debt |
4,853,343 | 70,607 | — | 5,035,866 | (373,013 | ) | 484,929 | — | — | |||||||||||||||||||||||
| PF Comstock |
25,000,795 | 2,470,335 | 548,557 | 4,974,669 | 2,369,955 | (4,616,835 | ) | 20,798,138 | 1,522,558 | |||||||||||||||||||||||
| PF Growth |
13,420,882 | 1,444,419 | 64,140 | 2,458,369 | 716,880 | (504,862 | ) | 12,683,090 | 673,916 | |||||||||||||||||||||||
| PF Large-Cap Growth |
20,226,335 | 1,985,529 | — | 5,626,225 | 2,387,803 | (2,694,871 | ) | 16,278,571 | 1,761,750 | |||||||||||||||||||||||
| PF Large-Cap Value |
29,837,369 | 2,733,183 | 421,566 | 4,626,649 | 2,011,295 | (2,812,510 | ) | 27,564,254 | 1,864,970 | |||||||||||||||||||||||
| PF Main Street Core |
30,273,022 | 2,865,848 | 332,350 | 9,761,374 | 4,963,565 | (4,443,074 | ) | 24,230,337 | 1,992,626 | |||||||||||||||||||||||
| PF Mid-Cap Equity |
28,917,400 | 908,230 | 257,107 | 6,703,412 | 1,368,722 | (2,647,579 | ) | 22,100,468 | 2,079,066 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
11,857,662 | 691,958 | 13,995 | 3,686,748 | 989,473 | (1,949,137 | ) | 7,917,203 | 1,113,531 | |||||||||||||||||||||||
| PF Mid-Cap Value |
— | 29,343,920 | 145,026 | 1,710,669 | (107,782 | ) | (762,762 | ) | 26,907,733 | 2,768,285 | ||||||||||||||||||||||
| PF Small-Cap Growth |
14,069,404 | 1,391,987 | — | 4,749,222 | 2,042,687 | (4,448,507 | ) | 8,306,349 | 847,587 | |||||||||||||||||||||||
| PF Small-Cap Value |
24,364,411 | 4,950,214 | 39,470 | 2,206,264 | 58,023 | (700,116 | ) | 26,505,738 | 2,613,978 | |||||||||||||||||||||||
| PF Emerging Markets |
23,270,146 | 5,521,856 | 180,840 | 7,684,145 | (1,101,905 | ) | (1,699,901 | ) | 18,486,891 | 1,529,106 | ||||||||||||||||||||||
| PF International Large-Cap |
22,929,475 | 21,032,187 | 364,232 | 3,011,709 | (369,911 | ) | (4,096,742 | ) | 36,847,532 | 2,207,761 | ||||||||||||||||||||||
| PF International Small-Cap |
17,097,278 | 778,704 | 483,886 | 2,180,448 | 268,889 | (697,969 | ) | 15,750,340 | 1,533,626 | |||||||||||||||||||||||
| PF International Value |
13,951,960 | 8,235,250 | 290,670 | 1,603,741 | (222,384 | ) | (2,582,976 | ) | 18,068,779 | 2,163,926 | ||||||||||||||||||||||
| PF Real Estate |
10,379,767 | 2,400,008 | 175,721 | 1,031,157 | 758,010 | (443,920 | ) | 12,238,429 | 765,380 | |||||||||||||||||||||||
| PF Absolute Return |
— | 1,745,590 | — | 1,714,475 | (31,115 | ) | — | — | — | |||||||||||||||||||||||
| PF Currency Strategies |
17,300,088 | 603,709 | 140,134 | 11,082,590 | (249,786 | ) | (77,894 | ) | 6,633,661 | 680,375 | ||||||||||||||||||||||
| PF Equity Long/Short |
— | 14,021,089 | 1,576,447 | 5,096,494 | 233,993 | 318,133 | 11,053,168 | 1,072,082 | ||||||||||||||||||||||||
| PF Global Absolute Return |
13,506,118 | 92,499 | 282,490 | 10,454,409 | 109,602 | (378,080 | ) | 3,158,220 | 349,361 | |||||||||||||||||||||||
| PF Precious Metals (4) |
7,414,919 | 271,756 | — | 8,054,065 | (1,333,218 | ) | 1,700,608 | — | — | |||||||||||||||||||||||
| $339,201,859 | $103,771,248 | $5,316,631 | $114,094,120 | $14,775,567 | ($33,442,284 | ) | $315,528,901 | |||||||||||||||||||||||||
| Pacific Funds Diversified Alternatives | ||||||||||||||||||||||||||||||||
| PF Inflation Managed |
$322,386 | $54,346 | $— | $209,695 | ($5,308 | ) | $5,271 | $167,000 | 19,129 | |||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
691,239 | 302,215 | 20,217 | 434,287 | (12,530 | ) | 1,533 | 568,387 | 58,177 | |||||||||||||||||||||||
| PF Emerging Markets Debt |
781,749 | 256,687 | 538 | 499,349 | (35,489 | ) | 69,882 | 574,018 | 62,803 | |||||||||||||||||||||||
| PF Emerging Markets |
585,662 | 512,104 | 3,865 | 650,359 | (79,961 | ) | 64,078 | 435,389 | 36,012 | |||||||||||||||||||||||
| PF International Small-Cap |
— | 471,570 | 8,834 | 122,653 | (6,668 | ) | (23,344 | ) | 327,739 | 31,912 | ||||||||||||||||||||||
| PF Real Estate |
360,686 | 181,336 | 4,068 | 240,939 | 19,759 | (14,728 | ) | 310,182 | 19,398 | |||||||||||||||||||||||
| PF Absolute Return |
— | 924,163 | 9,432 | 224,865 | (6,743 | ) | (51,857 | ) | 650,130 | 71,443 | ||||||||||||||||||||||
| PF Currency Strategies |
1,390,230 | 562,513 | 23,650 | 689,343 | (19,631 | ) | (5,572 | ) | 1,261,847 | 129,420 | ||||||||||||||||||||||
| PF Equity Long/Short |
— | 761,408 | 78,833 | 231,048 | 1,105 | 19,305 | 629,603 | 61,067 | ||||||||||||||||||||||||
| PF Global Absolute Return |
1,476,711 | 594,780 | 106,819 | 693,869 | (13,949 | ) | (115,586 | ) | 1,354,906 | 149,879 | ||||||||||||||||||||||
| PF Precious Metals (4) |
166,805 | 935 | — | 175,993 | (8,131 | ) | 16,384 | — | — | |||||||||||||||||||||||
| $5,775,468 | $4,622,057 | $256,256 | $4,172,400 | ($167,546 | ) | ($34,634 | ) | $6,279,201 | ||||||||||||||||||||||||
| (1) | Purchase cost excludes distributions received and reinvested, if any. |
| (2) | Distributions received include distributions from net investment income, if any, from the PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and/or Pacific Funds High Income. |
| (3) | Net realized gain (loss) includes distributions from capital gains, if any, from the PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, and Pacific Funds High Income. |
| (4) | The PF Precious Metals Fund was liquidated on April 27, 2015. |
D-15
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
As of March 31, 2016, Pacific Life owned the following percentages of the total shares outstanding (aggregate of all share classes) of each of the following Funds:
| Fund | Ownership Percentage |
|||
| Pacific Funds Limited Duration High Income |
62.44% | |||
| Pacific Funds Diversified Alternatives |
33.06% | |||
D. INDEPENDENT TRUSTEES
The Trust pays each independent trustee of the Board retainer fees and specified amounts for various Board and committee services and for chairing those committees. The fees and expenses of the independent trustees of the Board are presented in the Statements of Operations. Each independent trustee of the Board is eligible to participate in the Trust’s Deferred Compensation Plan (the “Plan”). The Plan allows each independent trustee to voluntarily defer receipt of all or a percentage of fees, which otherwise would be payable for services performed. Amounts in the deferral account are obligations of each Fund at the time of such deferral and are payable in accordance with the Plan. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain Funds. An independent trustee who defers compensation has the option to select credit rate options that track the performance, at NAV without a sales load, of Class A shares of the Portfolio Optimization Funds, Pacific Funds Short Duration Income, Pacific Funds Core Income, Pacific Funds Strategic Income, Pacific Funds Floating Rate Income, Pacific Funds Limited Duration High Income, Pacific Funds High Income, and/or Pacific Funds Diversified Alternatives, and/or Class P shares of the PF Underlying Funds. The obligation of each Fund under the Plan (the “DCP Liability”) is recorded as a liability (accrued trustees’ fees and expenses and deferred compensation). Accordingly, the market value appreciation or depreciation on a Fund’s DCP Liability account will cause the expenses of that Fund to increase or decrease due to market fluctuation. The change in net unrealized appreciation or depreciation on a Fund’s DCP Liability account is recorded as an increase or decrease to expenses (trustees’ fees and expenses). For the year ended March 31, 2016, such expenses decreased by $210 for all applicable Funds presented in these financial statements as a result of the market value depreciation on such accounts. As of March 31, 2016, the total amount in the DCP Liability accounts for all applicable Funds presented in these financial statements was $15,806.
E. OFFICERS OF THE TRUST
None of the officers of the Trust received compensation from the Trust.
F. INDEMNIFICATIONS
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of performance of their duties to the Trust. In addition, the Trust entered into an agreement with each of the trustees which provides that the Trust will indemnify and hold harmless each trustee against any expenses actually and reasonably incurred by any trustee in any proceeding arising out of or in connection with the trustee’s services to the Trust, to the fullest extent permitted by the Trust’s Declaration of Trust and By-Laws, the general trust law of the State of Delaware, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. In the normal course of business, the Trust enters into contracts with service providers and others that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements and agreements is dependent on future claims that may be made against the Trust and/or the trustees and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
8. UNFUNDED SENIOR LOAN COMMITMENTS
Unfunded loan commitments on senior loan participations and assignments (see Note 4), if any, are marked to market daily and valued according to the Trust’s valuation policies and procedures. Any outstanding unfunded loan commitments are presented in the Notes to Schedules of Investments section of each applicable Fund’s Schedule of Investments. Any applicable net unrealized appreciation or depreciation at the end of the reporting period is recorded as an asset (unfunded loan commitment appreciation) or a liability (unfunded loan commitment depreciation) and any change in net unrealized appreciation or depreciation for the reporting period is recorded as a change in net unrealized appreciation or depreciation on unfunded loan commitment. As of March 31, 2016, no unfunded loan commitments were held by any Funds presented in these financial statements.
9. COMMITTED LINE OF CREDIT
The Trust has an unsecured $75,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”), which is renewed annually. The committed line of credit applies to Pacific Funds Floating Rate Income only. The interest rate on borrowing is the higher of the Federal funds effective rate or the overnight Eurodollar rate, plus 1.20%. Pacific Funds Floating Rate Income pays the Bank a commitment fee equal to 0.18% per annum on the daily unused portion of the committed line up to a maximum of $135,000. As of March 31, 2016, the actual interest rate on borrowing by the Trust was 1.58%. The commitment fees and interest incurred by Pacific Funds Floating Rate Income are recorded as an expense. For the year ended March 31, 2016, Pacific Funds Floating Rate Income had no loans outstanding in connection with this line of credit.
D-16
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
10. PURCHASES AND SALES OF INVESTMENTS
The cost of purchases and proceeds from sales of investments (excluding short-term investments) for the year or period ended March 31, 2016, are summarized in the following table:
| U.S. Government Securities | Other Securities | |||||||||||||||
| Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
| Pacific Funds Portfolio Optimization Conservative | $— | $— | $165,901,266 | $182,287,016 | ||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative | — | — | 191,622,683 | 196,741,732 | ||||||||||||
| Pacific Funds Portfolio Optimization Moderate | — | — | 561,288,364 | 569,056,399 | ||||||||||||
| Pacific Funds Portfolio Optimization Growth | — | — | 400,096,530 | 381,645,497 | ||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth | — | — | 125,570,329 | 114,094,120 | ||||||||||||
| Pacific Funds Diversified Alternatives | — | — | 4,892,063 | 4,172,400 | ||||||||||||
| Pacific Funds Short Duration Income | 8,506,582 | — | 166,005,510 | 68,950,353 | ||||||||||||
| Pacific Funds Core Income | 62,752,422 | 49,558,232 | 407,434,011 | 405,408,969 | ||||||||||||
| Pacific Funds Strategic Income | — | — | 252,463,727 | 187,736,979 | ||||||||||||
| Pacific Funds Floating Rate Income | — | — | 705,593,477 | 757,967,039 | ||||||||||||
| Pacific Funds Limited Duration High Income | — | — | 16,626,421 | 18,813,252 | ||||||||||||
| Pacific Funds High Income | — | — | 150,471,805 | 64,812,793 | ||||||||||||
| Pacific Funds Large-Cap (1) | — | — | 2,316,395 | 776,379 | ||||||||||||
| Pacific Funds Large-Cap Value (1) | — | — | 2,243,672 | 554,471 | ||||||||||||
| Pacific Funds Small/Mid-Cap (1) | — | — | 6,660,218 | 260,538 | ||||||||||||
| Pacific Funds Small-Cap (1) | — | — | 700,570 | 181,708 | ||||||||||||
| Pacific Funds Small-Cap Value (1) | — | — | 877,777 | 149,999 | ||||||||||||
| Pacific Funds Small-Cap Growth (1) | — | — | 584,529 | 77,043 | ||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the cost of purchases and proceeds from sales of investments for the PF U.S. Equity Funds are shown for the period December 1, 2015 to March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 on page D-1). |
11. FEDERAL INCOME TAX INFORMATION
Each Fund intends to qualify each year as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code (the “Code”). A Fund that qualifies as a RIC does not have to pay income tax as long as it distributes sufficient taxable income and net capital gains. Each Fund declared and paid sufficient dividends on net investment income and capital gains distributions during the year or period ended March 31, 2016, to qualify as a RIC and is not required to pay Federal income tax under the Code. Accordingly, no provision for Federal income taxes is required in the financial statements. Required distributions are based on net investment income and net realized gains determined in accordance with income tax regulations, which may differ from U.S. GAAP for financial reporting purposes. These differences are primarily due to differing treatments for short-term capital gain distributions received, late year ordinary and post-October capital losses, capital loss carryforwards, and losses deferred due to wash sales. Permanent book and tax differences relating to shareholder distributions will result in reclassifications of capital accounts. In addition, the year in which amounts are distributed may differ from the year in which the net investment income is earned and the net gains are realized by each Fund.
The following table shows the accumulated capital losses and components of distributable earnings on a tax basis, and late year ordinary losses and post-October capital losses deferred, if any, for tax purposes as of March 31, 2016:
| Distributable Earnings | Late-Year Ordinary and Post-October Losses Deferrals |
|||||||||||||||||||||||||||||
| Fund | Accumulated Capital Losses |
Undistributed Ordinary Income |
Undistributed Long-Term Capital Gains |
Late-Year Ordinary Losses |
Short-Term Capital Losses |
Long-Term Capital Losses |
Total | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$— | $— | $4,462,849 | $397,368 | $34,888 | $— | $432,256 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
— | — | 11,434,100 | 849,355 | — | — | 849,355 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
— | — | 49,691,999 | 2,590,025 | — | — | 2,590,025 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
— | — | 46,720,893 | 2,163,031 | 1,815,592 | — | 3,978,623 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
— | — | 14,352,367 | 655,972 | — | — | 655,972 | |||||||||||||||||||||||
| Pacific Funds Diversified Alternatives |
(99,352 | ) | — | — | 1,315 | — | — | 1,315 | ||||||||||||||||||||||
| Pacific Funds Short Duration Income |
(3,257,988 | ) | 62,679 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Core Income |
(22,936,324 | ) | 374,103 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Strategic Income |
(10,502,568 | ) | 190,962 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
(50,433,166 | ) | 322,790 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Limited Duration High Income |
(3,485,277 | ) | 11,331 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds High Income |
(7,048,170 | ) | 1,273 | — | 28,012 | — | — | 28,012 | ||||||||||||||||||||||
| Pacific Funds Large-Cap |
(114,257 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Large-Cap Value |
(6,611 | ) | 5,447 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap |
(5,137 | ) | 5,447 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Small-Cap |
(11,176 | ) | 4,922 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Small-Cap Value |
(16,244 | ) | 4,467 | — | — | — | — | — | ||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
(23,507 | ) | 3,309 | — | — | — | — | — | ||||||||||||||||||||||
D-17
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Accumulated capital losses represent net capital loss carryovers as of March 31, 2016 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. The following table shows the amounts of capital loss carryover, if any, by each of the applicable Funds as of March 31, 2016 and capital loss carryover from prior years utilized during the year or period ended March 31, 2016:
| Unlimited Period of Net | Accumulated Capital Loss Carryover |
Capital Loss Carryover Utilized During the Year Ended March 31, 2016 |
||||||||||||||
| Capital Loss Carryover | ||||||||||||||||
| Fund | Short Term | Long Term | ||||||||||||||
| Pacific Funds Diversified Alternatives |
($85,633 | ) | ($13,719 | ) | ($99,352 | ) | $— | |||||||||
| Pacific Funds Short Duration Income |
(287,569 | ) | (2,970,419 | ) | (3,257,988 | ) | — | |||||||||
| Pacific Funds Core Income |
(5,819,104 | ) | (17,117,220 | ) | (22,936,324 | ) | — | |||||||||
| Pacific Funds Strategic Income |
(3,184,103 | ) | (7,318,465 | ) | (10,502,568 | ) | — | |||||||||
| Pacific Funds Floating Rate Income |
(8,464,831 | ) | (41,968,335 | ) | (50,433,166 | ) | — | |||||||||
| Pacific Funds Limited Duration High Income |
(322,042 | ) | (3,163,235 | ) | (3,485,277 | ) | — | |||||||||
| Pacific Funds High Income |
(4,882,353 | ) | (2,165,817 | ) | (7,048,170 | ) | — | |||||||||
| Pacific Funds Large-Cap |
(107,134 | ) | (7,123 | ) | (114,257 | ) | — | |||||||||
| Pacific Funds Large-Cap Value |
— | (6,611 | ) | (6,611 | ) | 2,731 | ||||||||||
| Pacific Funds Small/Mid-Cap |
(747 | ) | (4,390 | ) | (5,137 | ) | — | |||||||||
| Pacific Funds Small-Cap |
(8,658 | ) | (2,518 | ) | (11,176 | ) | — | |||||||||
| Pacific Funds Small-Cap Value |
(8,039 | ) | (8,205 | ) | (16,244 | ) | — | |||||||||
| Pacific Funds Small-Cap Growth |
(8,557 | ) | (14,950 | ) | (23,507 | ) | — | |||||||||
The aggregate cost of investments and the composition of unrealized appreciation and depreciation on investments for Federal income tax purposes as of March 31, 2016, were as follows:
| Fund | Total Cost of Investments on Tax Basis (1) |
Gross Unrealized |
Gross Unrealized |
Net Unrealized Appreciation (Depreciation) on Investments |
||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$374,902,245 | $22,418,657 | ($20,117,931 | ) | $2,300,726 | |||||||||||
|
Pacific Funds Portfolio Optimization Moderate-Conservative |
518,046,527 | 41,020,350 | (23,875,661 | ) | 17,144,689 | |||||||||||
| Pacific Funds Portfolio Optimization Moderate |
1,427,526,052 | 144,861,354 | (55,249,638 | ) | 89,611,716 | |||||||||||
| Pacific Funds Portfolio Optimization Growth |
990,486,958 | 123,787,217 | (43,275,570 | ) | 80,511,647 | |||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
285,111,243 | 49,832,359 | (19,410,776 | ) | 30,421,583 | |||||||||||
| Pacific Funds Diversified Alternatives |
6,510,918 | 94,999 | (326,716 | ) | (231,717 | ) | ||||||||||
| Pacific Funds Short Duration Income |
245,787,996 | 1,979,394 | (607,873 | ) | 1,371,521 | |||||||||||
| Pacific Funds Core Income |
600,842,823 | 13,126,670 | (5,401,376 | ) | 7,725,294 | |||||||||||
| Pacific Funds Strategic Income |
220,335,562 | 3,070,389 | (13,203,687 | ) | (10,133,298 | ) | ||||||||||
| Pacific Funds Floating Rate Income |
703,314,680 | 2,573,412 | (11,379,575 | ) | (8,806,163 | ) | ||||||||||
| Pacific Funds Limited Duration High Income |
34,142,812 | 214,019 | (1,379,553 | ) | (1,165,534 | ) | ||||||||||
| Pacific Funds High Income |
137,565,331 | 1,434,573 | (10,920,472 | ) | (9,485,899 | ) | ||||||||||
| Pacific Funds Large-Cap |
4,240,929 | 205,472 | (142,707 | ) | 62,765 | |||||||||||
| Pacific Funds Large-Cap Value |
2,396,338 | 128,019 | (40,381 | ) | 87,638 | |||||||||||
| Pacific Funds Small/Mid-Cap |
7,330,948 | 419,015 | (119,569 | ) | 299,446 | |||||||||||
| Pacific Funds Small-Cap |
1,058,714 | 81,692 | (55,980 | ) | 25,712 | |||||||||||
| Pacific Funds Small-Cap Value |
1,642,939 | 95,992 | (64,669 | ) | 31,323 | |||||||||||
| Pacific Funds Small-Cap Growth |
1,716,601 | 119,888 | (114,304 | ) | 5,584 | |||||||||||
| (1) | The difference between the total cost of investments on tax basis and investments, at cost, as presented in the Statements of Assets and Liabilities is primarily due to wash sale loss deferrals. |
Each Fund recognizes the financial statement effects of a tax position taken or expected to be taken in a tax return when it is more likely than not, based on the technical merits, that the position will be sustained upon examination by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax liability for unrecognized tax benefits with a corresponding income tax expense. Management has analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions and has determined that no provision for income tax is required in the financial statements. Each Fund remains subject to examination by Federal and State tax authorities for the returns filed for tax years ended as of and after March 31, 2012.
D-18
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
12. TAX CHARACTER OF DISTRIBUTIONS
The tax character of income and capital gains distributions to shareholders during the year or period ended March 31, 2016 and 2015, were as follows:
| For the Year or Period Ended March 31, 2016 | For the Year or Period Ended March 31, 2015 | |||||||||||||||||||||||||||||
| Fund | Ordinary Income |
Long-Term Capital Gains |
Return of Capital |
Total Distributions |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
|||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$8,600,105 | $3,692,820 | $— | $12,292,925 | $7,338,787 | $9,527,590 | $16,866,377 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
12,100,111 | 15,556,707 | — | 27,656,818 | 10,004,845 | 9,025,060 | 19,029,905 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
28,900,129 | 66,412,632 | — | 95,312,761 | 31,993,315 | 21,610,601 | 53,603,916 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
17,018,783 | 63,398,864 | — | 80,417,647 | 20,924,761 | — | 20,924,761 | |||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
5,050,105 | 3,973,614 | — | 9,023,719 | 5,577,616 | — | 5,577,616 | |||||||||||||||||||||||
| Pacific Funds Diversified Alternatives |
215,205 | 17,498 | — | 232,703 | 163,758 | 403 | 164,161 | |||||||||||||||||||||||
| Pacific Funds Short Duration Income |
2,772,117 | — | — | 2,772,117 | 2,221,977 | 140,319 | 2,362,296 | |||||||||||||||||||||||
| Pacific Funds Core Income |
17,888,580 | — | — | 17,888,580 | 13,788,833 | — | 13,788,833 | |||||||||||||||||||||||
| Pacific Funds Strategic Income |
8,892,313 | — | — | 8,892,313 | 6,132,667 | 586,980 | 6,719,647 | |||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
28,249,565 | — | — | 28,249,565 | 42,313,767 | 257,129 | 42,570,896 | |||||||||||||||||||||||
| Pacific Funds Limited Duration High Income |
1,665,149 | — | — | 1,665,149 | 1,942,957 | — | 1,942,957 | |||||||||||||||||||||||
| Pacific Funds High Income |
6,452,996 | — | — | 6,452,996 | 1,787,150 | 260,279 | 2,047,429 | |||||||||||||||||||||||
| Pacific Funds Large-Cap (1) |
39,907 | — | 3,105 | 43,012 | ||||||||||||||||||||||||||
| Pacific Funds Large-Cap Value (1) |
13,490 | — | — | 13,490 | ||||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap (1) |
4,091 | 145 | — | 4,236 | ||||||||||||||||||||||||||
| Pacific Funds Small-Cap (1) |
2,814 | — | — | 2,814 | ||||||||||||||||||||||||||
| Pacific Funds Small-Cap Value (1) |
15,144 | 211 | — | 15,355 | ||||||||||||||||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the tax character of income and capital gains distributions to shareholders for the PF U.S. Equity Funds are shown for the period from December 1, 2015 to March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 on page D-1). There were no distributions for the U.S. Equity Funds for the period from December 31, 2014 through November 30, 2015. |
13. RECLASSIFICATION OF ACCOUNTS
During the year ended March 31, 2016, reclassifications as shown in the following table have been made in each Fund’s capital accounts to report these balances on a tax basis, excluding certain temporary differences, as of March 31, 2016. Additional adjustments may be required in subsequent reporting periods. These reclassifications, which have no impact on the NAV of the Funds, are primarily attributable to non-deductible expenses, swap income, redesignation of dividends paid, and short-term capital gains received under Federal tax rules versus U.S. GAAP. The calculation of net investment income per share in the financial highlights excludes these adjustments.
| Fund | Paid-In Capital | Undistributed/ Accumulated Net Investment Income (Loss) |
Undistributed/ Accumulated Net Realized Gain (Loss) |
|||||||||
| Pacific Funds Portfolio Optimization Conservative |
$— | $2,660,095 | ($2,660,095 | ) | ||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
— | 3,178,564 | (3,178,564 | ) | ||||||||
| Pacific Funds Portfolio Optimization Moderate |
— | 6,219,612 | (6,219,612 | ) | ||||||||
| Pacific Funds Portfolio Optimization Growth |
— | 3,741,942 | (3,741,942 | ) | ||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
— | 695,481 | (695,481 | ) | ||||||||
| Pacific Funds Diversified Alternatives |
— | 3,354 | (3,354 | ) | ||||||||
| Pacific Funds Strategic Income |
— | 5,963 | (5,963 | ) | ||||||||
| Pacific Funds Limited Duration High Income |
(6,198 | ) | 6,198 | — | ||||||||
| Pacific Funds High Income |
— | (616,040 | ) | 616,040 | ||||||||
| Pacific Funds Large-Cap |
(5,533 | ) | 5,533 | — | ||||||||
| Pacific Funds Large-Cap Value |
(5,533 | ) | 5,533 | — | ||||||||
| Pacific Funds Small/Mid-Cap |
(5,533 | ) | 5,533 | — | ||||||||
| Pacific Funds Small-Cap |
(5,533 | ) | 5,533 | — | ||||||||
| Pacific Funds Small-Cap Value |
(5,533 | ) | 5,532 | 1 | ||||||||
| Pacific Funds Small-Cap Growth |
(5,533 | ) | 5,533 | — | ||||||||
D-19
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
14. SHARES OF BENEFICIAL INTEREST
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with no par value. Changes in shares of beneficial interest of each Fund for the year or period ended March 31, 2016 and 2015, were as follows:
| Pacific Funds
Portfolio Optimization Conservative |
Pacific Funds Portfolio Optimization Moderate-Conservative |
Pacific Funds Portfolio Optimization Moderate |
Pacific Funds Portfolio Optimization Growth |
|||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
|||||||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
3,633,577 | 3,466,839 | 3,922,430 | 4,511,260 | 8,525,601 | 11,346,310 | 5,737,542 | 7,344,971 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
491,817 | 622,256 | 1,140,832 | 757,388 | 3,756,608 | 2,098,409 | 3,056,609 | 840,587 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(4,718,950 | ) | (5,817,823 | ) | (5,256,201 | ) | (5,328,482 | ) | (12,359,512 | ) | (12,205,209 | ) | (6,877,332 | ) | (6,259,190 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(593,556 | ) | (1,728,728 | ) | (192,939 | ) | (59,834 | ) | (77,303 | ) | 1,239,510 | 1,916,819 | 1,926,368 | |||||||||||||||||||||||||
| Beginning shares outstanding |
15,146,271 | 16,874,999 | 21,958,536 | 22,018,370 | 59,503,625 | 58,264,115 | 39,600,947 | 37,674,579 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
14,552,715 | 15,146,271 | 21,765,597 | 21,958,536 | 59,426,322 | 59,503,625 | 41,517,766 | 39,600,947 | ||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
655,456 | 472,427 | 543,586 | 464,335 | 1,166,266 | 1,304,004 | 687,285 | 891,716 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
93,093 | 118,848 | 190,754 | 121,983 | 639,633 | 319,592 | 520,286 | 110,190 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(961,807 | ) | (670,159 | ) | (733,734 | ) | (706,515 | ) | (2,045,097 | ) | (1,543,812 | ) | (1,533,018 | ) | (1,347,223 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(213,258 | ) | (78,884 | ) | 606 | (120,197 | ) | (239,198 | ) | 79,784 | (325,447 | ) | (345,317 | ) | ||||||||||||||||||||||||
| Beginning shares outstanding |
3,436,883 | 3,515,767 | 4,110,368 | 4,230,565 | 11,344,118 | 11,264,334 | 7,829,390 | 8,174,707 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
3,223,625 | 3,436,883 | 4,110,974 | 4,110,368 | 11,104,920 | 11,344,118 | 7,503,943 | 7,829,390 | ||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
3,628,313 | 3,788,707 | 2,962,178 | 3,870,804 | 6,246,680 | 8,169,466 | 3,497,011 | 4,516,157 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
487,227 | 627,274 | 890,155 | 566,755 | 2,455,140 | 1,182,463 | 1,855,250 | 377,665 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(4,912,299 | ) | (5,377,695 | ) | (4,046,632 | ) | (3,593,542 | ) | (8,273,695 | ) | (7,439,579 | ) | (4,550,331 | ) | (4,363,712 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(796,759 | ) | (961,714 | ) | (194,299 | ) | 844,017 | 428,125 | 1,912,350 | 801,930 | 530,110 | |||||||||||||||||||||||||||
| Beginning shares outstanding |
17,377,797 | 18,339,511 | 19,334,445 | 18,490,428 | 42,739,143 | 40,826,793 | 26,263,498 | 25,733,388 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
16,581,038 | 17,377,797 | 19,140,146 | 19,334,445 | 43,167,268 | 42,739,143 | 27,065,428 | 26,263,498 | ||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
180,040 | 248,444 | 114,189 | 194,385 | 575,996 | 513,876 | 277,763 | 388,812 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
31,188 | 45,682 | 26,152 | 18,454 | 109,181 | 64,834 | 98,983 | 27,523 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(313,416 | ) | (225,527 | ) | (194,816 | ) | (227,585 | ) | (705,440 | ) | (863,813 | ) | (435,562 | ) | (401,135 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(102,188 | ) | 68,599 | (54,475 | ) | (14,746 | ) | (20,263 | ) | (285,103 | ) | (58,816 | ) | 15,200 | ||||||||||||||||||||||||
| Beginning shares outstanding |
1,059,101 | 990,502 | 547,818 | 562,564 | 1,981,585 | 2,266,688 | 1,395,676 | 1,380,476 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
956,913 | 1,059,101 | 493,343 | 547,818 | 1,961,322 | 1,981,585 | 1,336,860 | 1,395,676 | ||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
148,874 | 734,195 | 179,522 | 414,065 | 623,594 | 1,307,013 | 735,080 | 602,354 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
9,972 | 22,922 | 18,320 | 11,994 | 87,961 | 53,648 | 65,360 | 9,189 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(392,461 | ) | (398,554 | ) | (222,826 | ) | (216,504 | ) | (727,487 | ) | (1,244,886 | ) | (584,241 | ) | (295,816 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(233,615 | ) | 358,563 | (24,984 | ) | 209,555 | (15,932 | ) | 115,775 | 216,199 | 315,727 | |||||||||||||||||||||||||||
| Beginning shares outstanding |
700,990 | 342,427 | 441,084 | 231,529 | 1,542,047 | 1,426,272 | 662,319 | 346,592 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
467,375 | 700,990 | 416,100 | 441,084 | 1,526,115 | 1,542,047 | 878,518 | 662,319 | ||||||||||||||||||||||||||||||
D-20
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Portfolio Optimization Aggressive-Growth |
Pacific
Funds Diversified Alternatives |
Pacific
Funds Short Duration Income |
Pacific Funds Core Income (1) |
|||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
|||||||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,921,981 | 2,201,261 | 210,477 | 157,611 | 5,082,145 | 3,918,230 | 6,848,241 | 7,322,424 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
348,261 | 216,733 | 6,764 | 3,341 | 75,644 | 86,530 | 550,455 | 524,939 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(1,828,161 | ) | (1,867,373 | ) | (38,035 | ) | (15,416 | ) | (3,064,452 | ) | (5,061,616 | ) | (8,857,927 | ) | (8,341,806 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
442,081 | 550,621 | 179,206 | 145,536 | 2,093,337 | (1,056,856 | ) | (1,459,231 | ) | (494,443 | ) | |||||||||||||||||||||||||||
| Beginning shares outstanding |
11,180,714 | 10,630,093 | 146,536 | 1,000 | 4,678,679 | 5,735,535 | 20,239,885 | 20,734,328 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
11,622,795 | 11,180,714 | 325,742 | 146,536 | 6,772,016 | 4,678,679 | 18,780,654 | 20,239,885 | ||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
292,021 | 276,076 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
49,222 | 29,761 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(562,213 | ) | (526,825 | ) | ||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(220,970 | ) | (220,988 | ) | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
2,302,140 | 2,523,128 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
2,081,170 | 2,302,140 | ||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,388,768 | 1,957,244 | 28,836 | 87,119 | 2,410,872 | 1,766,299 | 2,910,285 | 8,301,714 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
158,652 | 89,177 | 1,586 | 1,296 | 29,747 | 34,464 | 322,200 | 281,557 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(1,657,897 | ) | (1,780,108 | ) | (17,468 | ) | (33,165 | ) | (1,165,417 | ) | (1,036,872 | ) | (6,826,299 | ) | (3,062,232 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(110,477 | ) | 266,313 | 12,954 | 55,250 | 1,275,202 | 763,891 | (3,593,814 | ) | 5,521,039 | ||||||||||||||||||||||||||||
| Beginning shares outstanding |
7,089,451 | 6,823,138 | 56,250 | 1,000 | 3,039,333 | 2,275,442 | 17,049,183 | 11,528,144 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
6,978,974 | 7,089,451 | 69,204 | 56,250 | 4,314,535 | 3,039,333 | 13,455,369 | 17,049,183 | ||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
78,942 | 105,386 | 117,545 | 325,300 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
3,160 | 2,418 | 11,782 | 6,319 | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
(62,572 | ) | (55,548 | ) | (139,080 | ) | (90,359 | ) | ||||||||||||||||||||||||||||||
| Net increase (decrease) |
19,530 | 52,256 | (9,753 | ) | 241,260 | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
145,895 | 93,639 | 352,452 | 111,192 | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
165,425 | 145,895 | 342,699 | 352,452 | ||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,640,627 | |||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
45,678 | |||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(164,755 | ) | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
1,521,550 | |||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | |||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,521,550 | |||||||||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
120,259 | 161,755 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
14,473 | 9,683 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(217,758 | ) | (145,571 | ) | ||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(83,026 | ) | 25,867 | |||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
564,057 | 538,190 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
481,031 | 564,057 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
341,548 | 290,948 | 37,578 | 221,961 | 11,770,870 | 9,479,480 | 15,561,364 | 18,154,740 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
19,234 | 7,247 | 11,170 | 11,619 | 126,478 | 76,163 | 523,393 | 338,574 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(315,435 | ) | (67,997 | ) | (168,703 | ) | (55,043 | ) | (4,268,163 | ) | (5,484,758 | ) | (12,543,745 | ) | (4,700,822 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
45,347 | 230,198 | (119,955 | ) | 178,537 | 7,629,185 | 4,070,885 | 3,541,012 | 13,792,492 | |||||||||||||||||||||||||||||
| Beginning shares outstanding |
408,691 | 178,493 | 376,537 | 198,000 | 4,987,783 | 916,898 | 20,296,488 | 6,503,996 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
454,038 | 408,691 | 256,582 | 376,537 | 12,616,968 | 4,987,783 | 23,837,500 | 20,296,488 | ||||||||||||||||||||||||||||||
D-21
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Strategic Income |
Pacific Funds Floating Rate Income |
Pacific Funds Limited Duration High Income |
Pacific Funds High Income (1) |
|||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
Year Ended 3/31/2016 |
Year Ended 3/31/2015 |
|||||||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
2,992,625 | 3,534,856 | 5,817,413 | 8,110,113 | 497,063 | 405,840 | 1,355,959 | 458,964 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
220,166 | 208,390 | 764,716 | 1,150,085 | 30,499 | 42,690 | 34,332 | 41,249 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(2,795,296 | ) | (2,367,604 | ) | (8,313,361 | ) | (23,664,874 | ) | (419,721 | ) | (558,876 | ) | (851,898 | ) | (511,372 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
417,495 | 1,375,642 | (1,731,232 | ) | (14,404,676 | ) | 107,841 | (110,346 | ) | 538,393 | (11,159 | ) | ||||||||||||||||||||||||||
| Beginning shares outstanding |
4,758,815 | 3,383,173 | 21,345,550 | 35,750,226 | 738,720 | 849,066 | 562,927 | 574,086 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
5,176,310 | 4,758,815 | 19,614,318 | 21,345,550 | 846,561 | 738,720 | 1,101,320 | 562,927 | ||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,690,276 | 2,496,412 | 3,567,173 | 5,548,363 | 105,316 | 256,137 | 98,726 | 191,835 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
141,648 | 139,977 | 501,282 | 689,369 | 13,419 | 15,995 | 17,382 | 29,261 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(1,419,233 | ) | (756,671 | ) | (5,374,260 | ) | (8,792,080 | ) | (150,146 | ) | (129,219 | ) | (175,000 | ) | (171,371 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
412,691 | 1,879,718 | (1,305,805 | ) | (2,554,348 | ) | (31,411 | ) | 142,913 | (58,892 | ) | 49,725 | ||||||||||||||||||||||||||
| Beginning shares outstanding |
3,976,280 | 2,096,562 | 17,866,268 | 20,420,616 | 382,326 | 239,413 | 517,586 | 467,861 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
4,388,971 | 3,976,280 | 16,560,463 | 17,866,268 | 350,915 | 382,326 | 458,694 | 517,586 | ||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
32,262 | 38,888 | 3,075,593 | 9,568,161 | 3,064 | 1,764 | 1,035 | 842 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
5,416 | 8,031 | 400,965 | 516,742 | 111,810 | 117,558 | 942 | 48,549 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(72,334 | ) | (68,999 | ) | (2,831,035 | ) | (10,493,871 | ) | (4,047 | ) | (11,785 | ) | (18,913 | ) | (878,631 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(34,656 | ) | (22,080 | ) | 645,523 | (408,968 | ) | 110,827 | 107,537 | (16,936 | ) | (829,240 | ) | |||||||||||||||||||||||||
| Beginning shares outstanding |
129,145 | 151,225 | 8,768,481 | 9,177,449 | 2,283,057 | 2,175,520 | 23,164 | 852,404 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
94,489 | 129,145 | 9,414,004 | 8,768,481 | 2,393,884 | 2,283,057 | 6,228 | 23,164 | ||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
30,716 | 50,628 | 10,233,579 | 3,744,725 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
2,046 | 2,348 | 593,136 | 42,964 | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
(43,092 | ) | (8,145 | ) | (2,390,465 | ) | (45,390 | ) | ||||||||||||||||||||||||||||||
| Net increase (decrease) |
(10,330 | ) | 44,831 | 8,436,250 | 3,742,299 | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
68,507 | 23,676 | 3,742,299 | — | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
58,177 | 68,507 | 12,178,549 | 3,742,299 | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
11,745,239 | 8,799,280 | 10,921,186 | 19,718,929 | 382,323 | 495,955 | 92,191 | 784,324 | ||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
432,539 | 193,732 | 961,149 | 1,335,612 | 21,960 | 15,223 | 12,874 | 24,534 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(6,880,766 | ) | (3,666,388 | ) | (14,982,811 | ) | (29,226,022 | ) | (772,008 | ) | (102,640 | ) | (291,615 | ) | (718,744 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
5,297,012 | 5,326,624 | (3,100,476 | ) | (8,171,481 | ) | (367,725 | ) | 408,538 | (186,550 | ) | 90,114 | ||||||||||||||||||||||||||
| Beginning shares outstanding |
6,156,898 | 830,274 | 26,744,813 | 34,916,294 | 590,732 | 182,194 | 363,028 | 272,914 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
11,453,910 | 6,156,898 | 23,644,337 | 26,744,813 | 223,007 | 590,732 | 176,478 | 363,028 | ||||||||||||||||||||||||||||||
D-22
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific
Funds Large-Cap (1), (2) |
Pacific Funds Large-Cap Value (1), (2) |
Pacific
Funds Small/Mid-Cap (1), (2) |
Pacific
Funds Small-Cap (1), (2) |
|||||||||||||||||||||||||||||||||||
| Period Ended 3/31/2016 |
Period Ended 11/30/2015 |
Period Ended 3/31/2016 |
Period Ended 11/30/2015 |
Period Ended 3/31/2016 |
Period Ended 11/30/2015 |
Period Ended 3/31/2016 |
Period Ended 11/30/2015 |
|||||||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
| |||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
68,623 | 52,739 | 229,396 | 33,428 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
(11,639 | ) | — | (2,311 | ) | — | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
56,984 | 52,739 | 227,085 | 33,428 | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
56,984 | 52,739 | 227,085 | 33,428 | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
54,726 | 50,780 | 58,641 | 13,453 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
(311 | ) | (316 | ) | (5,423 | ) | — | |||||||||||||||||||||||||||||||
| Net increase (decrease) |
54,415 | 50,464 | 53,218 | 13,453 | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
54,415 | 50,464 | 53,218 | 13,453 | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
58,314 | 82,103 | 198,112 | 18,179 | ||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Shares repurchased |
— | — | (30 | ) | (2,365 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
58,314 | 82,103 | 198,082 | 15,814 | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
58,314 | 82,103 | 198,082 | 15,814 | ||||||||||||||||||||||||||||||||||
| Investor Class |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
6,203 | 63,215 | 2,948 | 50,000 | 230,581 | 1,886 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
978 | — | 1,395 | — | — | — | ||||||||||||||||||||||||||||||||
| Shares repurchased |
— | (490 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
| Net increase (decrease) |
7,181 | 62,725 | 4,343 | 50,000 | 230,581 | 1,886 | ||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
62,725 | — | 50,000 | — | — | — | ||||||||||||||||||||||||||||||||
| Ending shares outstanding |
69,906 | 62,725 | 54,343 | 50,000 | 230,581 | 1,886 | ||||||||||||||||||||||||||||||||
| Institutional Class |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
3,335 | 188,368 | 22,212 | 21,244 | 50,000 | 1,099 | 50,000 | |||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
3,385 | — | — | 417 | — | 281 | — | |||||||||||||||||||||||||||||||
| Shares repurchased |
— | (595 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||
| Net increase (decrease) |
6,720 | 187,773 | 22,212 | 21,661 | 50,000 | 1,380 | 50,000 | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
187,773 | — | — | 50,000 | — | 50,000 | — | |||||||||||||||||||||||||||||||
| Ending shares outstanding |
194,493 | 187,773 | 22,212 | 71,661 | 50,000 | 51,380 | 50,000 | |||||||||||||||||||||||||||||||
D-23
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Small-Cap Value (1), (2) |
Pacific Funds Small-Cap Growth (1), (2) |
|||||||||||||||||
| Period Ended 3/31/2016 |
Period Ended 11/30/2015 |
Period Ended 3/31/2016 |
Period Ended 11/30/2015 |
|||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||
| Class A |
||||||||||||||||||
| Shares sold |
15,572 | 4,491 | ||||||||||||||||
| Dividends and distribution reinvested |
— | — | ||||||||||||||||
| Shares repurchased |
— | — | ||||||||||||||||
| Net increase (decrease) |
15,572 | 4,491 | ||||||||||||||||
| Beginning shares outstanding |
— | — | ||||||||||||||||
| Ending shares outstanding |
15,572 | 4,491 | ||||||||||||||||
| Class C |
||||||||||||||||||
| Shares sold |
12,748 | 3,498 | ||||||||||||||||
| Dividends and distribution reinvested |
— | — | ||||||||||||||||
| Shares repurchased |
— | — | ||||||||||||||||
| Net increase (decrease) |
12,748 | 3,498 | ||||||||||||||||
| Beginning shares outstanding |
— | — | ||||||||||||||||
| Ending shares outstanding |
12,748 | 3,498 | ||||||||||||||||
| Advisor Class |
||||||||||||||||||
| Shares sold |
27,567 | 24,297 | ||||||||||||||||
| Dividends and distribution reinvested |
— | — | ||||||||||||||||
| Shares repurchased |
— | — | ||||||||||||||||
| Net increase (decrease) |
27,567 | 24,297 | ||||||||||||||||
| Beginning shares outstanding |
— | — | ||||||||||||||||
| Ending shares outstanding |
27,567 | 24,297 | ||||||||||||||||
| Investor Class |
||||||||||||||||||
| Shares sold |
6,278 | 1,078 | 100,433 | |||||||||||||||
| Dividends and distribution reinvested |
— | — | — | |||||||||||||||
| Shares repurchased |
— | — | — | |||||||||||||||
| Net increase (decrease) |
6,278 | 1,078 | 100,433 | |||||||||||||||
| Beginning shares outstanding |
— | 100,433 | — | |||||||||||||||
| Ending shares outstanding |
6,278 | 101,511 | 100,433 | |||||||||||||||
| Institutional Class |
||||||||||||||||||
| Shares sold |
46,852 | 70,356 | 42,681 | |||||||||||||||
| Dividends and distribution reinvested |
1,593 | — | — | |||||||||||||||
| Shares repurchased |
(38 | ) | (763 | ) | — | |||||||||||||
| Net increase (decrease) |
48,407 | 69,593 | 42,681 | |||||||||||||||
| Beginning shares outstanding |
69,593 | — | — | |||||||||||||||
| Ending shares outstanding |
118,000 | 69,593 | 42,681 | |||||||||||||||
| (1) | See footnote (1) in Financial Highlights from pages C-14 through C-21 for the commencement date of operations of each share class. |
| (2) | Because of the change in fiscal year end from November 30 to March 31 for the Fund, the following periods are shown for the Fund: (i) the period from December 31, 2014 through November 30, 2015, which reflects the fiscal year end for the Predecessor Fund prior to the reorganization and (ii) the period from December 1, 2015 through March 31, 2016, which reflects the change in fiscal year end for the Fund upon the reorganization (see Note 1 on page D-1). |
D-24
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
Pacific Funds Series Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Pacific FundsSM Portfolio Optimization Conservative, Pacific FundsSM Portfolio Optimization Moderate-Conservative, Pacific FundsSM Portfolio Optimization Moderate, Pacific FundsSM Portfolio Optimization Growth, Pacific FundsSM Portfolio Optimization Aggressive-Growth, Pacific FundsSM Diversified Alternatives, Pacific FundsSM Short Duration Income, Pacific FundsSM Core Income, Pacific FundsSM Strategic Income, Pacific FundsSM Floating Rate Income, Pacific FundsSM Limited Duration High Income, Pacific FundsSM High Income, Pacific FundsSM Large-Cap, Pacific FundsSM Large-Cap Value, Pacific FundsSM Small/Mid-Cap, Pacific FundsSM Small-Cap, Pacific FundsSM Small-Cap Value, and Pacific FundsSM Small-Cap Growth (collectively the “Funds”) (eighteen of forty-two funds comprising Pacific Funds Series Trust) as of March 31, 2016, the related statements of operations for the year then ended (as to Pacific FundsSM Large-Cap, Pacific FundsSM Large-Cap Value, Pacific FundsSM Small/Mid-Cap, Pacific FundsSM Small-Cap, Pacific FundsSM Small-Cap Value, and Pacific FundsSM Small-Cap Growth, for the period from December 1, 2015 through March 31, 2016), the statements of changes in net assets for each of the two years in the period then ended (as to Pacific FundsSM Large-Cap, Pacific FundsSM Large-Cap Value, Pacific FundsSM Small/Mid-Cap, Pacific FundsSM Small-Cap, Pacific FundsSM Small-Cap Value, and Pacific FundsSM Small-Cap Growth, for the period from December 1, 2015 through March 31, 2016), and the financial highlights for each of the periods presented (as to Pacific FundsSM Large-Cap, Pacific FundsSM Large-Cap Value, Pacific FundsSM Small/Mid-Cap, Pacific FundsSM Small-Cap, Pacific FundsSM Small-Cap Value, and Pacific FundsSM Small-Cap Growth, for the period from December 1, 2015 through March 31, 2016). These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial statements of the Pacific FundsSM Large-Cap (formerly Rothschild U.S. Large-Cap Core Fund), Pacific FundsSM Large-Cap Value (formerly Rothschild U.S. Large-Cap Value Fund), Pacific FundsSM Small/Mid-Cap (formerly Rothschild U.S. Small/Mid-Cap Core Fund), Pacific FundsSM Small-Cap (formerly Rothschild U.S. Small-Cap Core Fund), Pacific FundsSM Small-Cap Value (formerly Rothschild U.S. Small-Cap Value Fund), and Pacific FundsSM Small-Cap Growth (formerly Rothschild U.S. Small-Cap Growth Fund) for the period from December 31, 2014 (commencement of operations) through November 30, 2015 were audited by other auditors whose report, dated January 28, 2016, expressed an unqualified opinion on those statements.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of investments owned as of March 31, 2016, by correspondence with the custodian, agent banks, transfer agent, and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Funds as of March 31, 2016, and the results of their operations, the changes in their net assets, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
May 26, 2016
E-1
PACIFIC FUNDS
(Unaudited)
For corporate shareholders, the percentage of investment income (dividend income and short-term gains, if any) for each of the Funds that qualify for the dividends-received deductions for the year or period ended March 31, 2016 is as follows:
| Fund | Percentage | |||
| Pacific Funds Portfolio Optimization Conservative |
11.43% | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
13.87% | |||
| Pacific Funds Portfolio Optimization Moderate |
21.07% | |||
| Pacific Funds Portfolio Optimization Growth |
30.31% | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
42.78% | |||
| Pacific Funds Diversified Alternatives |
0.08% | |||
| Pacific Funds Strategic Income |
2.46% | |||
| Pacific Funds High Income |
2.03% | |||
| Pacific Funds Large-Cap |
53.01% | |||
| Pacific Funds Large-Cap Value |
36.82% | |||
| Pacific Funds Small/Mid-Cap |
26.28% | |||
| Pacific Funds Small-Cap |
23.39% | |||
| Pacific Funds Small-Cap Value |
14.28% | |||
For the year or period ended March 31, 2016, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Tax Relief Reconciliation Act of 2003. Of the distributions made by the following Funds, the corresponding percentages represent the amount of each distribution which may qualify for the 15% dividend income tax rate.
| Fund | Percentage | |||
| Pacific Funds Portfolio Optimization Conservative |
18.20% | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
25.27% | |||
| Pacific Funds Portfolio Optimization Moderate |
41.86% | |||
| Pacific Funds Portfolio Optimization Growth |
62.43% | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
88.96% | |||
| Pacific Funds Diversified Alternatives |
5.19% | |||
| Pacific Funds Strategic Income |
0.88% | |||
| Pacific Funds High Income |
0.68% | |||
| Pacific Funds Large-Cap |
53.01% | |||
| Pacific Funds Large-Cap Value |
36.70% | |||
| Pacific Funds Small/Mid-Cap |
26.28% | |||
| Pacific Funds Small-Cap |
23.73% | |||
| Pacific Funds Small-Cap Value |
10.61% | |||
Shareholders should not use the above tax information to prepare their tax returns. The information will be included with your Form 1099 DIV which will be sent to you separately in January 2017. The Funds intend to pass through the maximum allowable percentages to shareholders.
The following Funds designated the listed amounts as long-term capital gains distributions during the year or period ended March 31, 2016. Distributable long-term gains are based on net realized long-term gains determined on a tax basis and may differ from such amounts for financial reporting purposes.
| Fund | Amount | |||
| Pacific Funds Portfolio Optimization Conservative |
$4,462,949 | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
15,556,707 | |||
| Pacific Funds Portfolio Optimization Moderate |
66,412,632 | |||
| Pacific Funds Portfolio Optimization Growth |
63,398,864 | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
14,389,214 | |||
| Pacific Funds Diversified Alternatives |
17,498 | |||
| Pacific Funds Small/Mid-Cap |
145 | |||
| Pacific Funds Small-Cap Value |
211 | |||
F-1
PACIFIC FUNDS
(Unaudited)
See explanation of references on page F-4
F-2
PACIFIC FUNDS
DISCLOSURE OF FUND EXPENSES (Continued)
(Unaudited)
| See explanation of references on page F-4 |
F-3
PACIFIC FUNDS
DISCLOSURE OF FUND EXPENSES (Continued)
(Unaudited)
F-4
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION
The business and affairs of the Pacific Funds Series Trust (which may be referred to as “Pacific Funds” or the “Trust”) are managed under the direction of the Board of Trustees under the Declaration of Trust. Information pertaining to the trustees and officers of the Trust is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the 1940 Act, are referred to as “Independent Trustees.” Certain trustees and officers are deemed to be “interested persons” of the Trust and thus are referred to as “Interested Persons”, because of their positions with Pacific Life Insurance Company (“Pacific Life”) and Pacific Life Fund Advisors LLC, a wholly-owned subsidiary of Pacific Life. The Trust’s Statement of Additional Information includes additional information about the trustees. For information on availability of the Trust’s Statement of Additional Information, refer to the WHERE TO GO FOR MORE INFORMATION section of this report.
The address of each trustee and officer is c/o Pacific Funds Series Trust, 700 Newport Center Drive, Newport Beach, CA 92660.
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) (and certain additional occupation information) During Past 5 years |
Number of Funds in Fund Complex Overseen** | |||
| INDEPENDENT TRUSTEES | ||||||
| Frederick L. Blackmon Year of birth 1952 |
Trustee since 9/13/05 | Trustee (1/05 to present) of Pacific Select Fund; Director (2005 to present) of Trustmark Mutual Holding Company; Former Executive Vice President and Chief Financial Officer (1995 to 2003) of Zurich Life; Former Executive Vice President and Chief Financial Officer (1989 to 1995) of Alexander Hamilton Life Insurance Company (subsidiary of Household International); Member of Board of Trustees (2010 to present) of Cranbrook Educational Community; Former Member of Board of Governors (1994 to 1999) of Cranbrook Schools; and Former Member of Board of Regents (1993 to 1996) Eastern Michigan University. | 98 | |||
| Gale K. Caruso Year of birth 1957 |
Trustee since 1/01/06 | Trustee (1/06 to present) of Pacific Select Fund; Independent Trustee (2015 to present) of Matthews Asia Funds; Former Member of the Board of Directors (2005 to 2009) of LandAmerica Financial Group, Inc.; Former President and Chief Executive Officer (1999 to 2003) of Zurich Life; Former Chairman, President and Chief Executive Officer (1994 to 1999) of Scudder Canada Investor Services, Ltd. and Managing Director (1986 to 1999) of Scudder Kemper Investments; Former Member of the Advisory Council to the Trust (2006 to 2009) for Public Land in Maine; and Former Member of the Board of Directors (2005 to 2012) of Make-A-Wish of Maine. | 98 | |||
| Lucie H. Moore Year of birth 1956 |
Trustee since 6/13/01 | Trustee (10/98 to present) of Pacific Select Fund; Former Partner (1984 to 1994) with Gibson, Dunn & Crutcher (Law); Member of Board of Trustee (2014 to present) of Azusa Pacific University; Former Member of the Board of Trustees (2007 to 2011) of Sage Hill School; Former Member (2000 to 2009) of the Board of Trustees of The Pegasus School; Former Member of the Board of Directors (2005 to 2010) of HomeWord (non-profit donor supported ministry); and Former Member of the Advisory Board (1993 to 2004) of Court Appointed Special Advocates (CASA) of Orange County. | 98 | |||
| Nooruddin (Rudy) S. Veerjee Year of birth 1958 |
Trustee since 9/13/05 | Trustee (1/05 to present) of Pacific Select Fund; Former President (1997 to 2000) of Transamerica Insurance and Investment Group; Former President (1994 to 1997) of Transamerica Asset Management; Former Chairman and Chief Executive Officer (1995 to 2000) of Transamerica Premier Funds (Mutual Fund); and Former Director (1994 to 2000) of various Transamerica Life Companies. | 98 | |||
| G. Thomas Willis Year of birth 1942 |
Trustee since 2/24/04 | Trustee (11/03 to present) of Pacific Select Fund; Certified Public Accountant in California (1967 to present); Former Partner (Audit) (1976 to 2002) of PricewaterhouseCoopers LLP (Accounting and Auditing). | 98 | |||
F-5
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) (and certain additional occupation information) During Past 5 years |
Number of Funds in Fund Complex Overseen** | |||
| INTERESTED PERSONS |
||||||
| James T. Morris Year of birth 1960 |
Chairman of the Board and Trustee since 1/11/07, (Chief Executive Officer 1/11/07 to 12/31/09) | Director (4/07 to present), Chairman (5/08 to present), Chief Executive Officer (4/07 to present) and President (4/07 to 3/12; 1/16 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Director (4/07 to present), Chairman (5/08 to present), Chief Executive Officer (4/07 to present) and President (4/07 to 3/12; 1/16 to present) of Pacific Life; Chief Executive Officer (5/07 to 10/15) and President (5/07 to 3/12) of Pacific Life Fund Advisors LLC; and Chairman of the Board and Trustee (1/07 to present) and Chief Executive Officer (1/07 to 12/09) of Pacific Select Fund. | 98 | |||
| Mary Ann Brown Year of birth 1951 |
Chief Executive Officer since 1/01/10, (President 1/11/07 to 12/31/09) | Executive Vice President (4/10 to present) and Senior Vice President (5/06 to 3/10) of Pacific LifeCorp; Executive Vice President (4/10 to present) and Senior Vice President (3/05 to 3/10) of Pacific Life; Executive Vice President (4/10 to present) and Senior Vice President (5/07 to 3/10) of Pacific Life Fund Advisors LLC; and Chief Executive Officer (1/10 to present) and President (1/07 to 12/09) of Pacific Select Fund. | 98 | |||
| Howard T. Hirakawa Year of birth 1962 |
Senior Vice President since 12/10/14 (Vice President since 06/20/06 to 12/09/14) | Senior Vice President (4/14 to present), Vice President (5/07 to 3/14) of Pacific Life Fund Advisors LLC; and Senior Vice President (12/14 to present) and Vice President (6/06 to 12/14) of Pacific Select Fund. | 98 | |||
| Robin S. Yonis Year of birth 1954 |
Vice President and General Counsel since 6/13/01 and Assistant Secretary since 9/17/15 | Vice President, Fund Advisor General Counsel and Assistant Secretary (5/07 to present) of Pacific Life Fund Advisors LLC; and Vice President and General Counsel (4/05 to present) and Assistant Secretary (9/15 to present) of Pacific Select Fund. | 98 | |||
| Eddie D. Tung Year of birth 1957 |
Vice President since 11/14/05 and Treasurer since 9/17/15 (Assistant Treasurer 11/05 to 9/15) | Vice President (4/15 to present) and Assistant Vice President (4/03 to 3/15) of Pacific Life; Vice President (4/15 to 10/15) and Assistant Vice President (5/07 to 3/15) of Pacific Life Fund Advisors LLC; and Vice President and Treasurer (9/15 to present), Assistant Vice President and Assistant Treasurer (11/05 to 9/15) of Pacific Select Fund. | 98 | |||
| Sharon E. Pacheco Year of birth 1957 |
Vice President and Chief Compliance Officer since 6/04/04 | Vice President and Chief Compliance Officer (11/03 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Vice President (2/00 to present) and Chief Compliance Officer (1/03 to present) of Pacific Life; Vice President and Chief Compliance Officer (5/07 to present) of Pacific Life Fund Advisors LLC; and Vice President and Chief Compliance Officer (6/04 to present) of Pacific Select Fund. | 98 | |||
| Jane M. Guon Year of birth 1964 |
Vice President and Secretary since 1/01/11 | Vice President and Secretary (1/11 to present), Assistant Vice President (4/06 to 12/10) and Assistant Secretary (6/98 to 12/10) of Pacific Mutual Holding Company and Pacific LifeCorp; Director, Vice President, and Secretary (1/11 to present), Assistant Vice President (4/06 to 12/10) and Assistant Secretary (2/95 to 12/10) of Pacific Life; Vice President and Secretary (1/11 to present), and Assistant Vice President and Assistant Secretary (05/07 to 12/10) of Pacific Life Fund Advisors LLC; Vice President and Secretary (1/11 to present), Assistant Vice President (5/06 to 12/10) and Assistant Secretary (5/99 to 12/10) of Pacific Select Distributors, LLC; and Vice President and Secretary (1/11 to present) of Pacific Select Fund. | 98 | |||
F-6
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) (and certain additional occupation information) During Past 5 years |
Number of Funds in Fund Complex Overseen** | |||
| INTERESTED PERSONS (Continued) | ||||||
| Laurene E. MacElwee Year of birth 1966 |
Vice President since 4/04/05 and Assistant Secretary since 6/13/01 | Vice President (4/11 to present), Assistant Secretary (5/07 to present) and Assistant Vice President (5/07 to 3/11) of Pacific Life Fund Advisors LLC; and Vice President (12/11 to present), Assistant Secretary (4/05 to present) and Assistant Vice President (4/05 to 12/11) of Pacific Select Fund. | 98 | |||
| Carleton J. Muench Year of birth 1973 |
Vice President since 11/30/06 | Vice President (4/14 to present), Assistant Vice President (5/07 to 3/14) of Pacific Life Fund Advisors LLC; and Vice President (12/14 to present) and Assistant Vice President (11/06 to 12/14) of Pacific Select Fund. | 98 | |||
| Kevin W. Steiner Year of birth 1975 |
Vice President since 1/01/13 | Assistant Vice President (4/12 to present), Mutual Funds Compliance Director (4/08 to 3/12) and Mutual Funds Compliance Manager (10/06 to 3/08) of Pacific Life Fund Advisors LLC; and Assistant Vice President (1/13 to present) of Pacific Select Fund. | 98 | |||
| Audrey L. Cheng Year of birth 1975 |
Vice President since 12/11/13 | Assistant Vice President (9/11 to present) of Pacific Life; Vice President and Attorney (6/08 to 8/11) of Pacific Investment Management Company LLC (“PIMCO”); and Assistant Vice President (12/13 to present) of Pacific Select Fund. | 98 | |||
| Trevor T. Smith Year of birth 1975 |
Vice President and Assistant Treasurer since 3/23/16 | Director of Variable Products Accounting (04/09 to present) of Pacific Life; and Assistant Vice President and Assistant Treasurer (3/16 to present) of Pacific Select Fund. | 98 | |||
| * | A trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. |
| ** | As of March 31, 2016, the “Fund Complex” consisted of Pacific Select Fund (56 funds) and Pacific Funds (42 funds). |
F-7
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS
(Unaudited)
I. Introduction and Background
The Board of Trustees (the “Trustees” or “Board”) of Pacific Funds Series Trust (“Pacific Funds” or the “Trust”) oversees the management of each of the separate funds of the Trust (each a “Fund” and collectively, the “Funds”) and, as required by Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), initially approves and, after the initial period, determines annually whether to renew the investment advisory agreement (the “Advisory Agreement”) with Pacific Life Fund Advisors LLC (“PLFA”) and each sub-advisory agreement (the “Sub-Advisory Agreements,” together with the Advisory Agreement, the “Agreements”) with the various sub-advisers (the “Sub-Advisers”). PLFA serves as the investment adviser for all of the Funds and directly manages Pacific Funds Short Duration Income, Pacific Funds Core Income, Pacific Funds Strategic Income, Pacific Funds Floating Rate Income, Pacific Funds Limited Duration High Income and Pacific Funds High Income (the “PAM Managed Funds”) under the name Pacific Asset Management (“PAM”); Pacific Funds Portfolio Optimization Conservative, Pacific Funds Portfolio Optimization Moderate-Conservative, Pacific Funds Portfolio Optimization Moderate, Pacific Funds Portfolio Optimization Growth and Pacific Funds Portfolio Optimization Aggressive-Growth (the “Portfolio Optimization Funds”); and Pacific Funds Diversified Alternatives (together with the Portfolio Optimization Funds, the “Asset Allocation Funds” and together with the Portfolio Optimization Funds and PAM Managed Funds, the “Directly Managed Funds”). For all other Funds, PLFA has retained other firms to serve as Sub-Advisers under PLFA’s supervision. The Board, including all of the Trustees who are not “interested persons,” as that term is defined in the 1940 Act (“Independent Trustees”), last renewed the Agreements at an in-person meeting of the Trustees held on December 9, 2015.1
At this meeting and other meetings, the Board considered information (both written and oral) provided to assist it in its review of the Agreements and made assessments with respect to each Agreement. The Board requested, received and reviewed written materials from PLFA and each Sub-Adviser that were submitted in response to requests from the Independent Trustees and supporting materials relating to those questions and responses. In addition, the Board received in-person presentations about the Funds throughout the year, and the Independent Trustees were advised by independent legal counsel with respect to these and other relevant matters. The Board reviewed a variety of factors and considered a significant amount of information, including information received on an ongoing basis at Board and committee meetings, including reports on Fund performance, expenses, fee comparisons, investment advisory, compliance, and other services provided to the Funds by PLFA and the Sub-Advisers. The Board also reviewed financial and profitability information regarding PLFA and the Sub-Advisers and information regarding the organization and operations of each entity, such as their compliance monitoring, portfolio trading and brokerage practices and the personnel providing investment management and administrative services to each Fund. The Board considered the services provided to the Funds under the Agreements and the fees and expenses incurred by and charged to the Funds under the Agreements. The Board took into account that PLFA and its affiliates provide additional services to the Funds under other affiliated service agreements that are essential for the operation of the Funds and that although PLFA and its affiliates are separately compensated under those affiliated service agreements, these additional services are provided in connection with PLFA’s advisory relationship with the Funds. The Board reviewed data provided by PLFA that was gathered from various independent providers of investment company data to provide the Board with information concerning the Funds’ investment performance, management fees and expense information. Additionally, the Independent Trustees retained an independent consultant (“Independent Consultant”), with substantial industry experience in providing fund boards of directors with analysis to assist them in their annual 15(c) review process, to assist the Trustees with certain of their analyses and to provide other relevant information. In connection with the analysis, the Independent Consultant utilized and provided the Independent Trustees with information obtained from independent service providers as well as from other sources.
The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. In reviewing the materials presented and in considering the information in the management presentations, the Trustees did not identify any single issue or particular information that, in isolation, would be a controlling factor in making a final decision regarding the proposed Agreements. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. The following summary describes the most important, but not all, of the factors considered by the Trustees in approving the Agreements, and in the case of the Independent Trustees, certain factors were considered in light of the legal advice furnished to them by independent legal counsel and information from the Independent Consultant that they had retained. This discussion is not intended to be all-inclusive.
II. Annual Consideration and Approval of Investment Advisory and Sub-Advisory Agreements
In evaluating the Advisory Agreement and each Sub-Advisory Agreement, the Board, including all the Independent Trustees, considered the following factors, among others:
A. Nature, Extent and Quality of Services
PLFA – The Trustees considered the depth and quality of PLFA’s investment management process, including its monitoring and oversight of the Sub-Advisers and PAM, and the benefits to shareholders of retaining PLFA and continuing the Advisory Agreement in light of the nature, extent, and quality of the services that have been provided by PLFA, including PAM. The Trustees considered the overall financial strength and stability of PLFA and its ability to provide a high level and quality of services to the Funds. They also considered PLFA’s responsiveness to questions or concerns raised by the Trustees, including PLFA’s willingness to consider and implement investment and operational changes designed to improve investment results and the services provided to the Funds and their shareholders.
The Trustees noted that PLFA’s officers and employees regularly consult with, and report to, the Board regarding the investment management services provided to the Funds. The Trustees considered the experience, capability and integrity of PLFA’s senior management
| 1 | At the December 9th meeting, the Board did not consider the continuance of the Advisory Agreement and Sub-Advisory Agreements relating to the PF Mid-Cap Value, PF International Small-Cap, PF Absolute Return and PF Equity Long/Short Funds, and the Sub-Advisory Agreement with Western Asset Management Company relating to the PF Inflation Managed Fund, as those agreements were not up for renewal at that time. |
F-8
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
and other personnel and the low turnover rates of its key personnel. The Trustees noted that the investment, legal, compliance and accounting professionals of PLFA and its affiliates have access to and utilize a variety of resources and systems relating to investment management, compliance, trading, performance and risk analysis, security valuation and fund accounting. The Trustees took into account the scope of services provided by PLFA under the Advisory Agreement. The Trustees considered that although PLFA is separately compensated at approximate cost for time spent on Fund matters by certain legal, compliance and accounting professionals of PLFA and its affiliates for services outside of the scope of the Advisory Agreement, these services are being provided as a result of PLFA’s advisory relationship with the Funds. The Trustees further considered PLFA’s continuing need and ability to attract and retain qualified personnel and to maintain and enhance its resources and systems to provide appropriate investment management, compliance and monitoring services for the Funds. The Trustees also considered the additional resources that PLFA has invested to enhance its management and oversight of the Funds, including the addition of experienced personnel with asset allocation and risk management expertise.
Directly Managed Funds – The Trustees considered the services provided by PLFA in rendering investment management services for those Funds for which the day-to-day investment management is provided by PLFA, including PAM (the “Directly Managed Funds”). The Trustees considered that PLFA, including PAM, is responsible for identifying investments for each Directly Managed Fund and determining when and what securities, cash and/or other investments to purchase, retain, or sell for each Directly Managed Fund. The Trustees also considered that PLFA, including PAM, is responsible for the valuation of portfolio securities, including, but not limited to, the review of custodian pricing files, research and analysis related to fair valued securities and due diligence oversight of pricing vendors. The Trustees additionally noted that PLFA is responsible for evaluating and voting proxies for portfolio holdings of the Directly Managed Funds. With respect to the Asset Allocation Funds, the Trustees also considered, among other things, PLFA’s experience, resources and expertise in analyzing the composition of the various Underlying Funds that serve as investment options for the Asset Allocation Funds and in developing an asset allocation appropriate to each Asset Allocation Fund’s investment objectives and risk profile. The Trustees considered, in this regard, the tools and resources used by PLFA in constructing an asset allocation, including the role and costs of consultants engaged by PLFA for assistance in the construction of asset allocation models. With respect to the PAM Managed Funds, the Trustees also considered the investment oversight and monitoring of PAM discussed below under “Sub-Advised Funds.”
The Trustees also considered that PLFA provides services to the Funds outside of the scope of the Advisory Agreement at approximate cost and that such services are essential for the administration and operation of the Funds, including administration of the Funds’ compliance program. In this regard, the Trustees considered PLFA’s policies, procedures and systems to ensure compliance with applicable laws and regulations with respect to the Directly Managed Funds, its attention to matters that may involve conflicts of interest between itself and a Fund, and that PLFA’s asset allocation models are presented to an internal conflicts review committee that considers and evaluates any potential conflicts of interest. The Trustees reviewed information provided throughout the year on PLFA’s compliance policies and procedures, its compliance history, and reports from the Trust’s Chief Compliance Officer (“CCO”) on compliance by PLFA with applicable laws and regulations. The Trustees also reviewed information on any responses by PLFA to regulatory and compliance developments throughout the year. The Trustees further noted the compliance monitoring conducted by PLFA and PAM on an ongoing basis and also noted the development of procedures and systems necessary to maintain compliance with applicable laws and regulations as well as the resources that PLFA dedicates to these programs. The Trustees considered that the CCO has in place a systematic process for periodically reviewing PLFA’s written compliance policies and procedures, including the assessment of PLFA’s compliance program as required under Rule 38a-1 of the 1940 Act and PLFA’s code of ethics. The Trustees also considered that PLFA continues to cooperate with the CCO in reviewing its compliance operations.
Sub-Advised Funds – The Trustees considered PLFA’s responsibilities in rendering services to the Sub-Advised Funds and the fact that PLFA monitors and evaluates the performance of the Sub-Advisers in comparison to each Fund’s investment objective as well as to appropriate benchmark indices and peer funds. The Trustees also considered that PLFA monitors the Sub-Advised Funds for adherence to the investment objectives and policies of each Fund. The Trustees noted that PLFA provides the Board with periodic and special reports related to such performance and investment monitoring and evaluation. The Trustees also considered PLFA’s process in continuously analyzing and, from time to time as necessary and appropriate, recommending for consideration by the Board, the termination of a Sub-Advisory Agreement with a Sub-Adviser and the replacement of a Sub-Adviser.
The Trustees considered the high quality of the products, information, analysis and services provided by PLFA to the Funds, including return analysis, attribution analysis, risk analysis, preparation of periodic performance and other reports, assessment of liquidity, analysis of derivatives, and coordination and oversight of other service providers to the Trust. The Trustees also noted that PLFA regularly informs the Trustees about matters relevant to the Trust and its shareholders, including relationships with financial intermediaries.
The Trustees considered the analyses conducted by PLFA of the Underlying Funds and a Sub-Adviser’s management of an Underlying Fund in the broader context of asset allocation strategies intended to target certain return and risk characteristics. The Trustees noted that PLFA has historically recommended new Underlying Funds that PLFA believed would contribute to the Asset Allocation Funds’ targeted return and risk objectives. The Trustees also took into account PLFA’s continuing analysis of the Underlying Funds and a Sub-Adviser’s investment performance for the impact on broader asset allocation strategies for the Asset Allocation Funds.
The Trustees considered the depth and quality of PLFA’s monitoring and oversight of the Sub-Advisers and PAM. The Board noted that PLFA monitors numerous investment, performance, and risk metrics for the Funds. The Trustees considered PLFA’s continued investment in, and development of, its research and analytical capabilities, including investments in personnel and enhanced analytical tools for assessing Fund performance and the performance of the Sub-Advisers, including analytical tools relating to return analysis, risk analysis, and Fund performance attribution and reporting on such matters to the Trustees. The Trustees noted that PLFA uses these tools to analyze a Fund’s performance and risk profile and identify Funds that are underperforming as well as those that are performing well, and to analyze the Funds’
F-9
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
performance records against various measures. The Board considered that PLFA also conducts various analyses to try to assess the sources of and reasons for performance. The Trustees noted that PLFA has developed, and continues to enhance, processes to oversee and monitor the performance of Sub-Advisers, including the use of analytical methods to review Fund performance and execution of investment strategies. The Board noted that PLFA provides the Board with analyses of this data over rolling periods to assist the Board in identifying trends in Fund performance and other areas, and periodically provides the Trustees with information on economic and market trends to provide a context for assessing recent performance. The Trustees also noted that PLFA has developed effective methods for monitoring the Sub-Advisers’ investment style consistency, for analyzing the use of derivatives by Sub-Advisers and for tracking Fund liquidity. With respect to the PAM Managed Funds, the Board considered that PLFA provides oversight, diligence and reporting with regard to its PAM unit that is similar to the process it employs with regard to the Sub-Advisers. In making their assessments, the Trustees considered that PLFA has historically exercised diligence in monitoring the performance of the Sub-Advisers and PAM, and has recommended and taken measures to attempt to remedy relative underperformance by a Fund when PLFA and the Trustees believed it to be appropriate. The Trustees also considered the significant work performed by PLFA in conducting searches for new Sub-Advisers to replace existing Sub-Advisers where appropriate or to manage new Funds in the Trust.
The Board also noted that PLFA conducts periodic due diligence on Sub-Advisers involving onsite visits, in-person meetings and telephonic meetings to gather information that PLFA uses to gain an in-depth understanding of a Sub-Adviser’s investment process and to seek to identify issues that may be relevant to a Sub-Adviser’s services to a Fund or a Fund’s performance, including, but not limited to, a Sub-Adviser’s investment process, investment capabilities, resources and personnel, the financial strength of a Sub-Adviser, significant staffing changes that could affect a Fund, material changes in a Sub-Adviser’s assets under management, compliance and regulatory concerns, best execution review and portfolio security valuation support.
The Trustees considered the time and attention paid by PLFA to matters involving the valuation of Fund securities. The Trustees considered that PLFA has established a Valuation Oversight Committee that is responsible for, among other things, researching and evaluating information concerning securities that are not actively or publicly traded, valuing securities subject to a trading halt or for which a market quotation is not readily available, the valuation of equity securities traded in foreign markets, oversight of and due diligence on pricing vendors and the development of alternate valuation methodologies.
The Trustees considered PLFA’s oversight, review and analysis of trade execution reports and trends in trade execution for the Funds. The Trustees noted that PLFA works with a third-party transaction cost analysis consultant that provides statistical analysis on portfolio trading, and that PLFA presents information about the Funds’ portfolio trading costs to the Board annually and, where warranted, engages in a dialogue with personnel of a Sub-Adviser on trading costs and the quality of execution. The Board also noted that PLFA conducts regular review and analysis of each Sub-Adviser’s use of soft dollars and presents information about the Sub-Advisers’ use of soft dollars to the Board annually.
The Trustees also considered PLFA’s implementation of transition management programs when handling significant changes in the Funds, such as cash movements between the Funds arising from reallocations by funds of funds and the transition of Fund assets from one Sub-Adviser to another, including steps taken by PLFA to reduce transaction costs associated with a Fund transition. The Trustees considered that PLFA coordinates the onboarding process for new Sub-Advisers and oversees the establishment of necessary accounts and documentation for the Sub-Advisers to begin managing Fund assets.
In addition to the services described above, the Trustees also considered the compliance monitoring that PLFA and its affiliates conduct on the Sub-Advisers and the commitment of PLFA and its affiliates to those programs and PLFA’s efforts to keep the Trustees informed about the compliance programs of Sub-Advisers. In this regard, the Trustees reviewed information and reports from the Trust’s CCO on compliance by the Sub-Advisers with applicable laws and regulations. The Trustees considered that the CCO has in place a systematic process for periodically reviewing each Sub-Adviser’s written compliance policies and procedures, including the assessment of each Sub-Adviser’s compliance program as required under Rule 38a-1 of the 1940 Act and each Sub-Adviser’s code of ethics. The Trustees considered that PLFA is compensated at approximate cost for the administration of the Funds’ compliance program. The Trustees also considered that each Sub-Adviser continues to cooperate with the CCO in reviewing its compliance operations.
Sub-Advisers. The Trustees considered the benefits to shareholders of retaining each Sub-Adviser and continuing the Sub-Advisory Agreements, particularly in light of the nature, extent, and quality of the services that have been provided by the Sub-Advisers. The Trustees considered the services provided by each Sub-Adviser in rendering investment management services to a Sub-Advised Fund. The Trustees considered that each Sub-Adviser is responsible for identifying investments for a Sub-Advised Fund and determining when and what securities, cash and/or other investments to purchase, retain, or sell for a Sub-Advised Fund. The Trustees also considered that each Sub-Adviser is responsible for evaluating and voting proxies for portfolio holdings of a Sub-Advised Fund. The Trustees considered the quality of the portfolio management services which have benefited and should continue to benefit the Sub-Advised Funds and their shareholders, the organizational depth and resources of the Sub-Advisers, including the background and experience of each Sub-Adviser’s management personnel, and the expertise of each Sub-Adviser’s portfolio management team, as well as the investment methodology used by the Sub-Adviser. The Trustees also considered that the Sub-Advisers provide PLFA with information that assists PLFA in performing its oversight role.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PLFA and the Sub-Advisers.
B. Investment Results
The Trustees considered the investment results of each Fund in light of its objective, strategies and market conditions. The Trustees compared each Fund’s total returns with the total returns of each Fund’s primary benchmark index and the total returns of appropriate peer
F-10
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
funds. The peer funds for each Fund were selected by an Independent Consultant using data from Morningstar (each a “Selected Performance Peer Group”), and the Trustees reviewed a description of the Independent Consultant’s methodology for selecting the peer funds in each Selected Performance Peer Group. The information provided to the Trustees included each Fund’s performance record for the one-, three-, five- and ten-year or since inception periods ended September 30, 2015, as available, compared to the applicable primary benchmark and Selected Performance Peer Group.
The Trustees considered the performance of each Fund on a case-by-case basis and noted that some Funds had outperformed their Selected Performance Peer Group over certain periods and/or exceeded the return of their respective primary benchmark while others underperformed their Selected Performance Peer Group over certain periods and/or trailed the return of their respective primary benchmark. In considering each Fund’s investment results, the Board placed greater emphasis on each Fund’s long-term performance track record rather than shorter-term performance. The Board also took into account that each Fund’s track record is measured as of a specific date, and that track records can vary as of different measurement dates. Therefore, in reviewing Funds that are currently underperforming, the Trustees also considered the broader perspective of the Fund’s performance over varying time periods, the market conditions experienced during the periods under review, as well as the outlook for the Fund going forward in light of expected future market conditions. In the case of the Underlying Funds, the Board also considered the views of PLFA about the role of a particular Fund within a broader asset allocation strategy for the Asset Allocation Funds. The Board also considered the performance of the current Sub-Adviser to each Fund where there has been a change in Sub-Adviser. The Trustees discussed with PLFA the fact that certain periods of underperformance may be transitory while other periods of underperformance may be reflective of broader issues that may warrant consideration of corrective action. The Trustees discussed these Funds with representatives of PLFA, including an assessment of the approach used by the Sub-Advisers, and the approach used by PLFA and PAM with respect to the Directly Managed Funds, as well as the oversight and monitoring by PLFA as the investment adviser, to gain an understanding of underperformance and to assess whether any actions would be appropriate. In addition, the Board considered any specific actions that PLFA, PAM or a Sub-Adviser have taken, or agreed to take, to enhance the investment performance of a Fund, and the results of those actions. In reviewing the performance of each Fund, the Board took into account, among other things, each Fund’s performance track record. A summary of each Fund’s track record is provided below.
Comstock Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and ten-year periods and outperformed for the five-year period; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fifth quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three- and five-year periods and the fourth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the one-year underperformance is primarily attributable to an overweight allocation to the energy sector and that recent performance has improved.
Growth Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods and underperformed for the five- and ten-year periods; (2) outperformed its primary benchmark for the one-year period and underperformed for the three-, five- and ten-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period and the fourth quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013.
Large-Cap Growth Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and underperformed for the ten-year period; (2) outperformed its primary benchmark for the one-year period and underperformed for the three-, five- and ten-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period, the first quintile for the five-year period and the fifth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013.
Large-Cap Value Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-, five- and ten-year periods and underperformed for the three-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-, three- and ten-year periods and the first quintile for the five-year period.
Main Street Core Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-year period and underperformed for the three-, five- and ten-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-year period, the second quintile for the three- and five-year periods and the third quintile for the ten-year period.
Mid-Cap Equity Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period and underperformed for the three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period and the fourth quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013.
F-11
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Mid-Cap Growth Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and outperformed for the ten-year period; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one- and three-year periods, the fifth quintile for the five-year period and the third quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013 and is therefore not responsible for the Fund’s relative underperformance prior to that time. The Board also considered that PLFA had advised that the one-year underperformance is primarily attributable to the Sub-Adviser’s investment style and security selection, that the Sub-Adviser has a strong long-term track record in managing this investment strategy and that PLFA will continue to closely monitor the Fund to determine if future remedial actions are necessary or appropriate.
Small-Cap Growth Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and the fifth quintile for the three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2014 and has a strong long-term track record in managing this strategy.
Small-Cap Value Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods; (2) outperformed its primary benchmark for the one-, three- and five-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period and the second quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2014.
Emerging Markets Debt Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) underperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the underperformance is primarily attributable to the Sub-Adviser’s investment style and that recent performance has improved.
Emerging Markets Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-, five- and ten-year periods; and (3) is ranked in the fifth quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period, the second quintile for the five-year period and the first quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that one-year underperformance is primarily attributable to the Sub-Adviser’s security selection, but that long-term performance remains strong and that the Fund’s most recent short-term performance has shown signs of improvement.
International Large-Cap Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-, five- and ten-year periods and underperformed for the three-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and the third quintile for the three-, five- and ten-year periods.
International Value Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods, the fourth quintile for the five-year period and the fifth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2011.
Pacific Funds Diversified Alternatives
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Board considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record.
Currency Strategies Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Board considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record, that one of the Fund’s co-Sub-Advisers was the sole Sub-Adviser from the Fund’s inception until 2014, and that the other co-Sub-Adviser has managed the Fund since 2014.
Global Absolute Return Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period. In evaluating
F-12
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
the performance of the Fund, the Board considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record and that the Selected Performance Peer Group was of limited usefulness due to the diversity of investment approaches of funds in the peer group.
Real Estate Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and outperformed for the ten-year period; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods, the fourth quintile for the five-year period and the second quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the underperformance is primarily attributable to the Sub-Adviser’s investment style, which tends to be more conservative and more focused on relative value than peers. The Board also considered that the Fund’s peer universe is small, that the level of relative underperformance was small and that recent performance has improved.
Pacific Funds Core Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-year period; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-year period; and (3) is ranked in the fifth quintile of its Selected Performance Peer Group for the one-year period and the first quintile for the three-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the one-year underperformance is primarily attributable to security selection but that longer-term performance remains strong.
Pacific Funds Floating Rate Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-year period; (2) underperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period and the first quintile for the three-year period.
Pacific Funds High Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) underperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and the third quintile for the three-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to security selection in 2014.
Pacific Funds Limited Duration High Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Trustees considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record.
Pacific Funds Short Duration Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period and the first quintile for the three-year period.
Pacific Funds Strategic Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-year period; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and first quintile for the three-year period.
Floating Rate Loan Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods; (2) underperformed its primary benchmark for the one-, three- and five-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period, the fifth quintile for the three-year period and the fourth quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2010, that PLFA had advised that the underperformance is primarily attributable to the Sub-Adviser’s investment style, which tends to favor higher quality loans, and that the Sub-Adviser has performed as expected in more volatile markets and managed the strategy successfully during the 2008 liquidity crisis.
Inflation Managed Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one- and three-year periods and outperformed for the five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one- and three-year periods and the first quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that recent underperformance is primarily attributable to portfolio positioning but that longer-term performance remains competitive. The Board also considered that a co-Sub-Adviser was added in January 2015, and, therefore, the Sub-Advisory Agreement with respect to that co-Sub-Adviser was not up for renewal at this time.
Managed Bond Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and ten-year periods, performed in line with its median for the three-year period and underperformed for the five-year period; (2) underperformed its primary benchmark for the one-, three- and five-
F-13
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
year periods and outperformed for the ten-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period, the fourth quintile for the five-year period and the first quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that one of the Fund’s co-Sub-Advisers was the sole Sub-Adviser from the Fund’s inception until 2014, and that the other co-Sub-Adviser has managed the Fund since 2014. The Board also considered that PLFA had advised that underperformance is primarily attributable to one of the Sub-Adviser’s interest rate and sector positioning in 2011, 2013 and 2014, that recent performance has improved, and that PLFA will continue to closely monitor the Fund.
Short Duration Bond Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three- and ten-year periods and performed in line with its primary benchmark for the five-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-, three- and ten-year periods and the fifth quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2011 and that PLFA had advised that underperformance is primarily attributable to the Sub-Adviser’s investment style, which tends to be more conservative than peers.
Pacific Funds Portfolio Optimization Conservative
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period, the fifth quintile for the three- and five-year periods and the fourth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an underweight to equities and an allocation to alternative asset classes, that the Fund was more conservatively managed than many of its peers, that the Fund’s equity allocation was increased in 2015 and that recent performance has improved.
Pacific Funds Portfolio Optimization Moderate-Conservative
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-, five- and ten-year periods and the fourth quintile for the three-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an allocation to alternative asset classes and emerging market equities and that recent performance has improved.
Pacific Funds Portfolio Optimization Moderate
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one- and ten-year periods and the fifth quintile for the three- and five-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an underweight to equities, particularly domestic growth stocks, and an allocation to alternative and emerging market asset classes, that the Fund was more conservatively managed than many of its peers, that the Fund’s equity allocation was increased in 2015 and that recent performance has improved.
Pacific Funds Portfolio Optimization Growth
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period and underperformed for the three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and ten-year periods, the fifth quintile for the three-year period and the fourth quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an underweight to domestic equities and an allocation to alternative asset classes, that the Fund was more conservatively managed than many of its peers and that recent performance has improved.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Fund: (1) underperformed its Selected Performance Peer Group for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period and the fourth quintile for the three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an allocation to alternative asset classes, and that recent performance has improved.
The Trustees reviewed the monitoring of each Sub-Advisers’ investment results by PLFA, including PLFA’s historical practice of recommending to the Trustees the use of a new sub-adviser if performance lagged and the prospects for improvement within a reasonable timeframe were not promising, and reviewed the monitoring of the PAM unit’s investment results by PLFA. Generally, the Trustees noted that there continues to be a record of well-managed Funds that work well in the Asset Allocation Funds and that the Asset Allocation Funds provide a range of professionally managed asset allocation investment options. The Trustees considered the steps PLFA has taken to seek to improve performance of the Asset Allocation Funds, including ongoing assessment of asset allocation determinations, diversifying asset class investment options by adding additional underlying Funds, and adding or changing Sub-Advisers to the underlying Funds. The Trustees also noted that the Funds continue to deliver the investment style as disclosed to shareholders. The Trustees also noted the use by investors of the Asset Allocation Funds and the benefits the Asset Allocation Funds provide for shareholders generally.
F-14
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
The Board concluded that PLFA continues to have a long record of effectively managing a multi-manager fund group and asset allocation funds designed to give shareholders a reasonable array of choices through which to implement their investment programs. The Board further concluded that PLFA was implementing each Fund’s investment objective either directly or through the selection of Sub-Advisers and that PLFA’s record in managing each Fund indicates that its continued management, as well as the continuation of the respective Sub-Advisory Agreements, will benefit each Fund and its shareholders.
C. Advisory Fees and Total Expense Ratios
The Trustees requested, received and reviewed information from PLFA relating to the advisory fees paid by the Funds and the sub-advisory fees paid by PLFA, including the portion of the advisory fees paid to each Sub-Adviser as compared to the portion retained by PLFA. The Trustees considered the nature and quality of the services provided by PLFA and also considered the nature and quality of services provided by each Sub-Adviser. The Independent Trustees also requested and reviewed information from the Independent Consultant along with the Independent Consultant’s analysis of advisory fees, sub-advisory fees and certain Fund expenses, excluding any applicable service or distribution fees that were selected by the Independent Consultant for purposes of the peer group expense comparisons (“Operating Expenses”). The Trustees reviewed the advisory fees, sub-advisory fees and Operating Expenses of each Fund and compared such amounts with the fees and expense levels of applicable peer funds identified by the Independent Consultant (each a “Selected Expense Peer Group”). The Trustees reviewed a description of the Independent Consultant’s methodology for constructing the Selected Expense Peer Groups, noting that each Selected Expense Peer Group includes a group of similarly-sized funds with comparable strategies from a universe of funds that (i) included both sub-advised and directly managed funds; (ii) excluded funds that are managed with non-standard business models and expense structures; and (iii) excluded index funds. With respect to the Portfolio Optimization Funds, the Trustees also compared the net expense ratio with the average net expense ratio of funds in the Morningstar Category that PLFA determined to be similar to the relevant Portfolio Optimization Fund (“Comparable Peer Fund Average”).
A summary of some of the comparative fee and expense information considered by the Trustees for each Fund is provided below.
Comstock Fund
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.015% of its advisory fee.
Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Large-Cap Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.045% of its advisory fee.
Large-Cap Value Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
Main Street Core Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Mid-Cap Equity Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Mid-Cap Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.05% of its advisory fee.
F-15
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Small-Cap Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Small-Cap Value Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Emerging Markets Debt Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Emerging Markets Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
International Large-Cap Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
International Value Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Pacific Funds Diversified Alternatives
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fifth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels. The Trustees further noted that PLFA had advised that it did not consider the Selected Expense Peer Group to be an appropriate category for the Fund and that, when compared to what PLFA considers to be the appropriate category, the Operating Expenses for the Fund are below the category average.
Currency Strategies Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
Global Absolute Return Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
Real Estate Fund
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
F-16
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Core Income
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Floating Rate Income
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are in line with the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds High Income
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Limited Duration High Income
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.02% of its advisory fee. The Trustees further noted that the Independent Trustees had negotiated an additional fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Short Duration Income
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Strategic Income
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fifth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fifth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels. The Trustees further noted that PLFA had advised that it did not consider the Selected Expense Peer Group to be an appropriate category for the Fund and that, when compared to what PLFA considers to be the appropriate category, the Operating Expenses for the Fund are in line with the category average.
Floating Rate Loan Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are in line with the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.10% of its advisory fee and that the advisory fee is in line with peers when the contractual waiver is taken into account.
F-17
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Inflation Managed Fund
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group.
Managed Bond Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Short Duration Bond Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group.
Pacific Funds Portfolio Optimization Conservative
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was higher than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Moderate-Conservative
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was higher than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Moderate
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was higher than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Growth
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was lower than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was lower than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
F-18
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
During their review, the Trustees noted that all of the Funds were subject to contractual expense limitations on certain operating expenses agreed to by PLFA.
The Trustees also considered information from the Sub-Advisers regarding the comparative sub-advisory fees charged under other investment advisory contracts for similarly managed accounts, such as contracts of each Sub-Adviser with other similarly managed registered investment companies or other types of clients. The Trustees noted that in many cases there were differences in the level of services provided to the Funds by the Sub-Advisers and that the level of services provided by these Sub-Advisers on these other accounts differed due to the nature of the accounts or because there were other reasons to support the difference in fees, such as an affiliation between the Sub-Adviser and the account. These differences often explained variations in fee schedules. The Trustees were mindful that, with regard to the Sub-Advised Funds, the fee rates were the result of arms’-length negotiations between PLFA and the Sub-Advisers, and that any sub-advisory fees are paid by PLFA and are not paid directly by a Fund.
The Board concluded that the advisory fees, sub-advisory fees and total expenses of each Fund were fair and reasonable.
D. Costs, Level of Profits and Economies of Scale
The Trustees reviewed information provided by PLFA regarding PLFA’s costs of sponsoring and operating the Funds and information regarding the profitability of PLFA from each Fund. For purposes of analyzing PLFA’s costs and profitability with respect to the Funds, the Trustees assigned credibility to PLFA’s view that little weight should be given to the fees of Pacific Select Fund, another open-end investment company advised by PLFA that consists of multiple funds, on the basis that there are significant differences between Pacific Funds and Pacific Select Fund, including differences in fund size and platforms on which the funds are offered. For the Sub-Advised Funds, the Trustees also reviewed information provided by the Sub-Advisers regarding their costs in managing the Sub-Advised Funds and their profitability from the Funds.
PLFA and the Sub-Advisers’ Costs and Profitability. The Trustees noted that, based on the data available, PLFA appears to be providing and operating products that are competitively priced with other funds, especially other multi-manager and asset allocation funds. The Trustees noted PLFA’s willingness to build its investment capabilities and to sponsor new funds that PLFA believed would benefit the Asset Allocation Funds, despite the potential subsidies required by PLFA during a new fund’s start-up phase. The Trustees also noted that the analysis of the Trust’s profitability to PLFA supported a conclusion that PLFA’s costs and profitability are reasonable, whether considered inclusive or exclusive of distribution costs.
The Trustees also reviewed information provided regarding the structure and manner in which PLFA’s investment professionals were compensated and their respective views of the relationship of such compensation to the attraction and retention of quality personnel. The Trustees considered PLFA’s willingness to invest in technology, infrastructure and staff to reinforce and offer new services and to accommodate changing regulatory requirements. The Trustees also considered the organizational strengths of the Sub-Advisers and their ability to attract and retain investment personnel over time and to sustain the staffing of investment teams that provide services to the Sub-Advised Funds.
With respect to the Sub-Advisers, the Trustees noted that it was difficult in many cases to accurately determine or evaluate the Sub-Advisers’ costs and the profitability of the Sub-Advisory Agreements to the Sub-Advisers because of, among other things, the differences in the types and content of information provided by the Sub-Advisers, the fact that many Sub-Advisers manage substantial assets other than the Funds and, further, that any such assessment would involve assumptions regarding the Sub-Advisers’ expense allocation policies, capital structure, cost of capital, business mix and other factors.
Accordingly, in the case of the Sub-Advisers, the Trustees considered the data described above in light of the arms’-length nature of the relationship (for the Sub-Advised Funds) between PLFA and such Sub-Advisers with respect to the negotiation of fund sub-advisory fees and the fact that such fees are paid by PLFA.
Economies of Scale. The Trustees noted and considered the extent to which economies of scale are realized by PLFA and the Sub-Advisers as each Fund grows, and whether advisory fee levels reflect economies of scale if the Funds grow in size. The Trustees noted PLFA’s commitment to competitive total expenses of the Funds through expense limitation agreements and, for certain Asset Allocation and PAM-Managed Funds, through advisory fee waivers. The Trustees also noted PLFA’s and its affiliates’ consistent reinvestment in the business in the form of adding to investment capabilities and resources, improvements in technology, product innovations and customer service. The Trustees considered information relating to economies of scale provided by PLFA, PLFA’s willingness to discuss and evaluate the topic of economies of scale with the Trustees, and PLFA’s agreement to enter into advisory fee waivers for certain PAM-Managed Funds and Asset Allocation Funds that create effective breakpoints at asset levels at which PLFA believes it will have attained a level of profit that can be shared with these Funds.
With respect to the Sub-Advised Funds, the Trustees considered that the advisory fee for each Fund was originally set at an amount that was intended to be lower than peers to attract assets at the Fund’s inception. The Trustees noted that because fees for the Funds started relatively low from the first dollar under management in relation to peers, economies of scale will be realized at higher asset levels than would otherwise be the case. The Trustees also considered that some Sub-Advisers have agreed to breakpoints in their sub-advisory fees schedules that are not passed on to the Sub-Advised Funds through matching breakpoints in PLFA’s advisory fee schedule. The Trustees noted that in setting its advisory fees relatively low at inception as compared to peers, and in subsidizing the expenses of the Funds from their inception and for many years, PLFA’s economics from the Sub-Advised Funds should be considered separate and apart from the economics of the Sub-Advisers. The Trustees noted PLFA’s view that the sub-advisory fee breakpoints were important for PLFA’s economics to overcome its expenses from the Funds. The Trustees also noted that shareholders will benefit from effective breakpoints for the Asset Allocation Funds.
The Trustees also considered PLFA’s willingness to reduce its own fees through certain advisory fee waivers and expense limitation agreements, whereby PLFA will reimburse the Funds for certain expenses that exceed stated expense caps. The Trustees further noted that
F-19
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PLFA has agreed to reduce its own fees as assets grow through advisory fee waivers effective through July 31, 2016 for the pertinent Asset Allocation Funds and PAM-Managed Funds. The Trustees considered that these advisory fee waivers will effectively implement breakpoints in PLFA’s advisory fees at higher asset levels of these Funds, which are intended to share future economies of scale that PLFA believes it will attain.
The Trustees noted that PLFA and its affiliates had consistently reinvested in the business in the form of improvements in technology, product innovations, personnel and resources. In particular, the Trustees noted that PLFA had created new positions responsible for asset allocation and risk management during the prior year and had hired experienced personnel to fill these positions.
The Trustees additionally noted that economies of scale were difficult to measure with precision, particularly on a Fund by Fund basis. This analysis is complicated by the additional services and content provided by PLFA and its affiliates through reinvestment in the business, as discussed above. The Trustees considered that the Funds are well managed, and provide shareholders with sophisticated asset allocation investment options at reasonable fee levels. The Board noted that PLFA had taken steps to ensure that shareholders benefit by negotiating favorable terms with service providers, and to provide certain support services, including, but not limited to, legal, compliance and accounting services, to the Funds on an approximate cost basis as opposed to an asset-based charge.
The Board determined that PLFA and its affiliates are sharing economies of scale given its agreement to reduce its own fees through fee waivers as assets grow for certain Funds, its commitment to competitive total expenses of the Funds, and the consistent reinvestment in the business in the form of improvements in technology and other resources and investments in personnel. The Board considered that PLFA has not yet attained levels of profitability that warrant sharing of economies of scale for some Funds, including the Sub-Advised Funds, but noted that shareholders will benefit in the future from the effective breakpoints for the Asset Allocation Funds. The Board further considered that it will continue to review whether there are additional economies of scale that will be realized as the Funds grow that can be shared with shareholders. The Board concluded that the Funds’ cost structures were reasonable and that overall profitability appeared reasonable at the current time. The Board further concluded that PLFA was sharing economies of scale with each Fund and its shareholders to their benefit.
E. Ancillary Benefits
The Trustees requested and received from PLFA and the Sub-Advisers information concerning other benefits received by PLFA, Pacific Life, the Sub-Advisers, and their affiliates as a result of their respective relationship with the Funds, including various service arrangements with PLFA affiliates and reimbursement at an approximate cost basis for support services in the case of PLFA, as well as commissions paid to broker-dealers affiliated with certain Sub-Advisers and the use of soft-dollars by certain of the Sub-Advisers. The Trustees also considered ancillary benefits received by Pacific Life and its affiliates from the Funds. The Trustees considered information concerning other significant economic relations between the Sub-Advisers and their affiliates and with PLFA and its affiliates and noted PLFA’s processes and procedures to identify and disclose such relationships to the Board. The Trustees also considered PLFA’s and each Sub-Adviser’s strong practices and procedures with regard to managing conflicts of interest and ensuring that such conflicts do not prevent PLFA or the Sub-Advisers from acting in the best interests of the Funds and their shareholders.
The Board concluded that such benefits were consistent with those generally derived by investment advisers to mutual funds or were otherwise not unusual.
F. Conclusion
Based on their review, including their consideration of each of the factors referred to above, and assisted by the advice of the Independent Consultant and independent counsel to the Independent Trustees, the Board, including the Independent Trustees, concluded that the Advisory Agreement and each applicable Sub-Advisory Agreement are fair and reasonable with respect to each Fund and its shareholders, and that the renewal of the Advisory Agreement and each applicable Sub-Advisory Agreement would be in the best interests of the Funds and their shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Advisory Agreement and each applicable Sub-Advisory Agreement, but indicated that the Board based its determination on the total mix of information available to it.
III. Other Investment Advisory and Sub-Advisory Agreement Approvals
In addition to considering the renewal of the Advisory Agreement and existing Sub-Advisory Agreements during the period, the Board considered and approved the Advisory Agreement and Sub-Advisory Agreement with respect to six new Funds as discussed below.
Pacific Funds Large-Cap, Pacific Funds Large-Cap Value, Pacific Funds Small/Mid-Cap, Pacific Funds Small-Cap, Pacific Funds Small-Cap Value and Pacific Funds Small-Cap Growth
At an in-person meeting on September 17, 2015, the Board, including all the Independent Trustees, approved the establishment and designation of six newly-organized Funds of the Trust, Pacific Funds Large-Cap, Pacific Funds Large-Cap Value, Pacific Funds Small/Mid-Cap, Pacific Funds Small-Cap, Pacific Funds Small-Cap Value and Pacific Funds Small-Cap Growth, effective on or about January 11, 2016. In connection with this approval, the Board also approved, effective on or about January 11, 2016, the Advisory Agreement with PLFA with respect to the new Funds (the “PF U.S. Equity Funds Advisory Agreement”) and the Sub-Advisory Agreement with Rothschild Asset Management Inc. (“Rothschild”) (the “Rothschild Sub-Advisory Agreement”).
In evaluating the PF U.S. Equity Funds Advisory Agreement and the Rothschild Sub-Advisory Agreement, the Board, including all the Independent Trustees, considered the following factors, among others:
A. Nature, Extent and Quality of Services to be Provided
Fund Oversight and Supervision – PLFA, its personnel and its resources. The Trustees considered the depth and quality of PLFA’s investment management process, including its sophisticated monitoring and oversight of Sub-Advisers; the experience, capability and integrity
F-20
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
of its senior management and other personnel; the low turnover rates of its key personnel; and the overall financial strength and stability of its organization. The Trustees considered the high quality of the products and services provided by PLFA and its affiliates, such as the many educational services and tools offered to assist intermediaries in effectively understanding and meeting shareholder needs. The Trustees also noted that PLFA regularly informs them about matters relevant to the Trust, its shareholders and investing.
The Trustees also considered that PLFA’s investment, legal, compliance and accounting professionals have access to and utilize a variety of resources and systems relating to investment management, compliance, trading, performance analysis, security valuation and portfolio accounting. The Trustees further considered PLFA’s continuing need to attract and retain qualified personnel and to maintain and enhance its resources and systems.
The Trustees considered the benefits to shareholders of retaining PLFA to serve as the investment adviser to the Funds in light of the nature, extent, and quality of services expected to be provided by PLFA. The Trustees considered PLFA’s ability to provide an appropriate level of support and resources to the Funds, and that PLFA has sufficiently qualified personnel to provide the appropriate investment management, compliance and monitoring services required for the Funds. The Trustees based this review on information and materials provided to them throughout the year by PLFA. The Trustees considered PLFA’s continued development and use of analytical tools for assessing fund performance and the performance of Sub-Advisers, conducting an attribution analysis on performance and reporting on performance to the Trustees. The Trustees noted that PLFA uses these tools to monitor and identify underperformance relative to applicable benchmarks or peer groups, and then conducts various analyses to try to assess the sources of and reasons for underperformance. The Trustees noted that PLFA has developed processes to oversee and monitor a Sub-Adviser’s execution of investment strategies. The Trustees noted that PLFA provides the Board with analysis of this data over rolling periods to assist the Board in identifying trends in fund performance and other areas, and periodically provides the Trustees with information on economic and market trends to provide a context for assessing recent performance.
The Trustees also noted that PLFA conducts periodic due diligence on Sub-Advisers involving on-site visits, in-person meetings and telephonic meetings to gather information that PLFA uses to attempt to gain an in-depth understanding of a Sub-Adviser’s investment process and to seek to identify issues that may be relevant to a Sub-Adviser’s services to a fund or a fund’s performance. The Trustees also considered the background and experience of PLFA’s senior management, and the experience of and amount of attention expected to be given to the Funds by PLFA’s management and staff.
The Trustees also considered PLFA’s compliance operations with respect to the Trust, including the measures taken by PLFA to assist the Trust in complying with Rule 38a-1 under the 1940 Act. The Trustees further considered the monitoring and additional services that would be provided by PLFA to the Funds, including assistance with performance evaluation, risk management oversight, preparation of periodic performance and financial reports, review of trade execution and coordination of the services of other service providers to the Trust.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services to be provided by PLFA to the Funds under the PF U.S. Equity Funds Advisory Agreement.
Rothschild. The Trustees considered the benefits to shareholders of retaining Rothschild as sub-adviser to the Funds, particularly in light of the nature, extent, and quality of the services expected to be provided by Rothschild to each Fund. In this regard, the Trustees considered various materials relating to Rothschild, including copies of the proposed Rothschild Sub-Advisory Agreement; copies of Rothschild’s Form ADV; financial information; and other information deemed relevant to the Trustees’ evaluation, including comprehensive assessments from senior management of PLFA.
The Trustees considered that under the Rothschild Sub-Advisory Agreement, Rothschild would be responsible for providing the investment management services for the Funds’ assets, including investment research, advice and supervision, and determining which securities would be purchased or sold by the Funds. The Trustees considered the quality of the management services expected to be provided to the Funds over both the short- and long-term, the organizational depth and resources of Rothschild, including the background and experience of Rothschild’s management and the expertise of the portfolio management team, as well as the investment strategies, processes and philosophy to be used with respect to the Funds’ investment strategies.
In addition, the Trustees considered that the Trust’s CCO had reviewed the written compliance policies and procedures of Rothschild. The Trustees also considered the CCO’s assessment of Rothschild’s compliance program required under Rule 38a-1 of the 1940 Act and its code of ethics, prior to the effectiveness of the Rothschild Sub-Advisory Agreement.
The Trustees took note of the due diligence PLFA conducted with respect to Rothschild and were aided by the assessment and recommendation of PLFA and the in-person presentation and materials provided by Rothschild.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services anticipated to be provided to the Funds by PLFA under the PF U.S. Equity Funds Advisory Agreement and Rothschild under the Rothschild Sub-Advisory Agreement.
B. Performance
The Trustees considered PLFA’s efforts to identify advisory firms that are qualified to manage domestic equity strategies and PLFA’s identification of Rothschild to serve as sub-adviser with regard to the Funds’ day-to-day investment activities. The Trustees considered that the Funds would adopt the performance histories of six existing open-end mutual funds, each a series of the Professionally Managed Portfolios (the “Acquired Funds”), through reorganization transactions, subject to shareholder approval of the Acquired Funds. The Trustees considered that the Acquired Funds are managed by Rothschild, and that the investment processes and techniques used by Rothschild for the Acquired Funds are substantially similar to the investment processes and techniques to be used by Rothschild for the Funds. The Trustees considered
F-21
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Rothschild’s experience managing domestic equity strategies, as well as other factors concerning performance in connection with their consideration of this matter and in connection with approval of the Rothschild Sub-Advisory Agreement, including the factors described below.
The Trustees considered information about the historical performance of accounts managed by the same Rothschild portfolio management teams that would manage the Funds using similar investment strategies (the “Rothschild Comparable Performance”). The Trustees considered that this information included a comparison of the Rothschild Comparable Performance against a pertinent benchmark and against the applicable peer group for the year-to-date, one-, three-, five- and ten-year periods, as applicable, as of June 30, 2015. The Trustees also considered that this information included a comparison of the Rothschild Comparable Performance against a pertinent benchmark and an applicable peer group for each of the previous seven calendar years. Additionally, the Trustees considered the standard deviation, risk-adjusted returns and upside/downside capture ratio of the Rothschild Comparable Performance during certain periods.
The Trustees considered additional information about the historical performance of each Acquired Fund against a pertinent benchmark for the since inception periods as of June 30, 2015. In addition, the Trustees considered the need for Rothschild to adhere to the Funds’ general investment mandates in order to function appropriately in the Portfolio Optimization Funds.
The Board determined that Rothschild’s performance record with respect to the Acquired Funds and similarly managed accounts was acceptable.
C. Advisory and Sub-Advisory Fees
PLFA. The Trustees requested, received and reviewed information from PLFA relating to the proposed advisory fee and total operating expenses for each Fund. The Trustees reviewed the proposed advisory fee for each Fund compared with the average fees of other funds in an applicable peer group. The Trustees also noted that Pacific Funds Large-Cap would be subject to a contractual fee waiver agreed to by PLFA. The Trustees considered that the proposed advisory fees were in line with industry averages for similar investment products based on the data presented to the Board.
The Board concluded that the compensation payable to PLFA under the PF U.S. Equity Funds Advisory Agreement is fair and reasonable.
Rothschild. The Trustees considered information regarding the comparative advisory fees charged under other investment advisory contracts of Rothschild with regard to other funds and accounts with substantially similar investment strategies as the Funds. In comparing the proposed sub-advisory fees to be paid by the Funds to fees charged by Rothschild for the other similarly-managed accounts, the Trustees noted that there were differences in the nature of the Funds and those accounts, the services provided to each and the competitive landscape surrounding each that could reasonably be expected to account for differences in fee schedules.
The Trustees noted that the fee rates were the result of arms’-length negotiations between PLFA and Rothschild, and that the Funds’ sub-advisory fees are paid by PLFA and are not paid directly by the Funds.
The Board concluded that the compensation payable under the Rothschild Sub-Advisory Agreement is fair and reasonable.
D. Costs, Level of Profits and Economies of Scale
Costs and Profitability. The Trustees reviewed information regarding PLFA’s projected costs of sponsoring the Funds and information regarding the anticipated projected profitability of each proposed Fund to PLFA. The Trustees considered the projected cost of services to be provided and projected profits to be realized by PLFA from the relationship with each Fund based on the projected assets, income and expenses of PLFA in its relationship with the Fund. The Trustees noted that this projected information contains estimates because there is no actual operating history for the Funds. The Trustees also considered the overall financial soundness of PLFA.
The Trustees considered information regarding the projected profitability of the Rothschild Sub-Advisory Agreement to Rothschild, to the extent practicable based on the information provided by Rothschild regarding its firm-level profitability. The Trustees noted that any assessment of projected profitability would involve assumptions regarding expense allocations and other factors. Given the arms’-length nature of the relationship between PLFA and Rothschild with respect to the negotiation of Fund sub-advisory fees, the fact that such fees are paid by PLFA, and the fact that the projected profitability of the Rothschild Sub-Advisory Agreement to Rothschild is an estimate because it had not yet begun to manage the Funds, the Trustees considered that profitability information provided by Rothschild was of limited utility at this time.
Economies of Scale. The Trustees considered the extent to which economies of scale may be realized by the Funds as assets grow. The Trustees considered the current asset levels in the Acquired Funds, which would be transferred to the Funds upon closing of the reorganizations. The Trustees considered that although the advisory fee schedules for the Funds do not contain breakpoints, the projected net expense ratios for the Funds are competitive with peers. The Trustees considered that there would be an advisory fee waiver agreement in place for Pacific Funds Large-Cap for a period of two years from the closing date of the reorganizations of the Acquired Funds into the Funds. The Trustees considered the expense limitation arrangements for the Funds.
The Board concluded that the Funds’ fee structures reflected in the PF U.S. Equity Funds Advisory Agreement and Rothschild Sub-Advisory Agreement are fair and reasonable.
E. Ancillary Benefits
The Trustees received information from PLFA and Rothschild concerning other benefits that may be received by PLFA and Rothschild and their affiliates as a result of their relationship with the Funds, including commissions that may be paid to broker-dealers affiliated with Rothschild and the anticipated use of soft-dollars by Rothschild. In this regard, the Trustees noted that Rothschild represented that it does not anticipate utilizing an affiliated broker-dealer and that it anticipates using soft dollar credits generated by Fund commissions to pay for research services.
F-22
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
With respect to PLFA, the Trustees considered that the potential benefits that may be derived by PLFA from its relationship with the Funds could include larger assets under management and reputational benefits, which are consistent with those generally derived by investment advisers to mutual funds. The Trustees also considered benefits that may be derived by affiliates of PLFA, including Pacific Life and Pacific Select Distributors, LLC (“PSD”), including the marketing support payments from Rothschild to PSD. The Trustees also considered potential benefits to be derived by Rothschild and that such benefits were consistent with those generally derived by sub-advisers to mutual funds or were otherwise not unusual.
F. Conclusion
Based on their review, including the consideration of each of the factors referred to above, the Board found that: (i) the PF U.S. Equity Funds Advisory Agreement and Rothschild Sub-Advisory Agreement are in the best interests of each Fund and its shareholders; and (ii) the compensation payable by each Fund under the PF U.S. Equity Funds Advisory Agreement and Rothschild Sub-Advisory Agreement is fair and reasonable. No single factor was determinative of the Board’s findings, but rather the Trustees based their determination on the total mix of information available to them.
F-23
PACIFIC FUNDS
WHERE TO GO FOR MORE INFORMATION
(Unaudited)
Availability of Quarterly Holdings
The Trust files Form N-Q (complete schedules of fund holdings) with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year not later than 60 days after the close of the applicable quarter end. The Trust’s Form N-Q, (when required) is filed pursuant to applicable regulations and is available after filing (i) on the SEC’s website at http://www.sec.gov; (ii) for review and copying at the SEC’s Public Reference Room in Washington, D.C. (information on the operation of the Public Reference Room may be obtained by calling the SEC at 1-800-SEC-0330); and (iii) on the Trust’s website at https://www.pacificlife.com/pacificfunds.html. The SEC may charge you a fee for this information.
Availability of Proxy Voting Record
By August 31 of each year, the Trust files information regarding how the Trust’s managers voted proxies relating to fund securities during the most recent twelve-month period ended June 30. Such information is available after filing on the Trust’s’ website and on the SEC’s website noted below.
Information Relating to Investments Held by the Trust
For complete descriptions of the various securities and other instruments held by the Trust and their risks, please see the Trust’s prospectus and Statement of Additional Information (“SAI”). The prospectus and SAI are available as noted below.
Availability of Proxy Voting Policies
A description of the Proxy Voting Policies and Procedures that the Trust uses to determine how to vote proxies relating to fund securities is described in the Trust’s SAI.
How to obtain Information
The Trust’s prospectus, SAI (including Proxy Voting Policies) and annual and semi-annual reports are available:
| • | On the Trust’s website at https://www.pacificlife.com/pacificfunds.html |
| • | On the SEC’s website at http://www.sec.gov |
| • | Upon request by calling, without charge, 1-800-722-2333, 7 a.m. through 5 p.m. Pacific Time |
F-24
PF Underlying Funds
Annual Report
As of March 31, 2016
PACIFIC FUNDS
ANNUAL REPORT
AS OF MARCH 31, 2016
| A-2 | ||
| B-1 | ||
| Financial Statements: |
||
| C-1 | ||
| C-5 | ||
| C-9 | ||
| C-13 | ||
| C-14 | ||
| D-1 | ||
| E-1 | ||
| F-1 | ||
| F-2 | ||
| F-4 | ||
| F-7 | ||
| F-20 | ||
Pacific Funds Series Trust, which is a Delaware statutory trust, may be referred to as “Pacific Funds” or the “Trust”.
PACIFIC FUNDS
| Sub-Adviser | PF Underlying Fund | Page Number | ||
| Eaton Vance Investment Managers (Eaton Vance) | PF Floating Rate Loan Fund | A-3 | ||
| Pacific Investment Management Company LLC (PIMCO)/ Western Asset Management Company (Western Asset) | PF Inflation Managed Fund | A-4 | ||
| Pacific Investment Management Company LLC (PIMCO)/ Western Asset Management Company (Western Asset) | PF Managed Bond Fund | A-6 | ||
| T. Rowe Price Associates, Inc. (T. Rowe Price) | PF Short Duration Bond Fund | A-7 | ||
| Ashmore Investment Management Limited (Ashmore) | PF Emerging Markets Debt Fund | A-8 | ||
| Invesco Advisers, Inc. (Invesco) | PF Comstock Fund | A-9 | ||
| MFS Investment Management (MFS) | PF Growth Fund | A-10 | ||
| BlackRock Investment Management, LLC (BlackRock) | PF Large-Cap Growth Fund | A-11 | ||
| ClearBridge Investments, LLC (ClearBridge) | PF Large-Cap Value Fund | A-12 | ||
| OppenheimerFunds, Inc. (Oppenheimer) | PF Main Street® Core Fund | A-13 | ||
| Scout Investments, Inc. (Scout) | PF Mid-Cap Equity Fund | A-15 | ||
| Ivy Investment Management Company (Ivy) | PF Mid-Cap Growth Fund | A-16 | ||
| Boston Partners | PF Mid-Cap Value Fund | A-17 | ||
| Lord, Abbett & Co. LLC (Lord Abbett) | PF Small-Cap Growth Fund | A-18 | ||
| AllianceBernstein L.P. (AllianceBernstein) | PF Small-Cap Value Fund | A-19 | ||
| OppenheimerFunds, Inc. (Oppenheimer) | PF Emerging Markets Fund | A-20 | ||
| MFS Investment Management (MFS) | PF International Large-Cap Fund | A-21 | ||
| QS Batterymarch Financial Management, Inc. (QS Batterymarch) | PF International Small-Cap Fund | A-22 | ||
| J.P. Morgan Investment Management Inc. (JPMorgan) | PF International Value Fund | A-23 | ||
| Morgan Stanley Investment Management Inc. (Morgan Stanley) | PF Real Estate Fund | A-24 | ||
| BlueBay Asset Management LLP (BlueBay) | PF Absolute Return Fund | A-25 | ||
| Macro Currency Group (MCG)/ UBS Asset Management (Americas) Inc. (UBS) |
PF Currency Strategies Fund | A-27 | ||
| AQR Capital Management, LLC (AQR) | PF Equity Long/Short Fund | A-28 | ||
| Eaton Vance Investment Managers (Eaton Vance) | PF Global Absolute Return Fund | A-29 |
A-1
PACIFIC FUNDS PERFORMANCE DISCUSSION
This Annual Report is provided for the general information of investors with beneficial interests in Pacific Funds Series Trust (Trust). This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus, as supplemented, which contains information about the Trust and each of its Funds, including their investment objectives, risks, charges and expenses. You should read the prospectus carefully before investing. There is no assurance that a Fund will achieve its investment objective. Each Fund is subject to market risk. The net asset value (NAV) of a Fund changes as the value of its assets go up or down. The value of a Fund’s shares will fluctuate, and when redeemed, may be worth more or less than original cost. The total return for each Fund includes reinvestment of all dividends and capital gain distributions, if any, and does not include deductions of any applicable sales charges. Past performance is not predictive of future performance.
This report shows you the performance of the Funds compared to benchmark indices. Index performance is provided for illustrative and comparative purposes only and does not predict or depict the performance of the Funds. Indices are unmanaged, do not incur transaction costs, do not include fees or expenses and cannot be purchased directly by investors. Index returns include reinvested dividends.
Pacific Life Fund Advisors LLC (PLFA/Adviser) supervises the management of all of the Funds above, subject to the oversight of the Trust’s Board of Trustees (Board). PLFA has written the general market conditions commentary, which expresses PLFA’s opinions and views on how the market generally performed for the year ended March 31, 2016. All views are subject to change at any time based upon market or other conditions, and the Trust, its Adviser and the Fund sub-advisers disclaim any responsibility to update such views. Any references to “we”, “I”, or “ours” are references to the Adviser or the applicable Fund sub-adviser. Any sectors referenced are provided by the applicable Fund sub-adviser(s), and could be different from the sectors listed in the Schedules of Investments if obtained from another source. The Adviser and Fund sub-advisers may include statements that constitute “forward-looking statements” under the United States (U.S.) securities laws. Forward-looking statements include information concerning possible or assumed future results of the Trust’s investment operations, asset levels, earnings, expenses, industry or market conditions, regulatory developments and other aspects of the Trust’s operations or general economic conditions. In addition, when used in this report, predictive verbs such as “believes”, “expects”, “anticipates”, “intends”, “plans”, “estimates”, “projects” and future or conditional verbs such as “will”, “may”, “could”, “should” and “would” or any other statement that necessarily depends on future events, are intended to identify forward-looking statements. Forward-looking statements are not guarantees of performance or economic results. They involve risks, uncertainties and assumptions. Although such statements are based on expectations that the Adviser or Fund sub-adviser believes to be reasonable, actual results may differ materially from expectations. Investors must not rely on any forward- looking statements.
In connection with any forward-looking statements and any investment in the Trust, investors should carefully consider the investment objectives, policies and risks described in the Trust’s current prospectus, as supplemented, and Statement of Additional Information, as supplemented, as filed with the Securities and Exchange Commission (SEC), which may be obtained from the SEC’s website at www.sec.gov.
Market Conditions (for the year ended March 31, 2016)
Executive Summary
Global equity markets nervously bounced around during the reporting period, but most of the damage dissipated by the end of the reporting period. This bout of market volatility stemmed primarily from three main themes: China, oil and central banks. While concerns of a slowing China and plunging oil prices caused markets to tumble earlier in the reporting period, signs of stabilization and a more dovish Federal Reserve System (Fed) eased some fears.
On top of experiencing a manufacturing slowdown, the economy in China stumbled upon one difficulty after another. The Chinese stock market experienced significant volatility over the past several quarters. After a sudden surge in the earlier part of 2015, which was fueled by excessive use of margin debt, the Chinese stock market went into correction mode that started in June 2015. In an attempt to control market volatility, Chinese regulators initiated circuit breakers that halted and closed the market when it fell by 5% and 7%, respectively, in one day. The plan backfired as market participants rushed to exit when the market began approaching these levels, which only exacerbated the selloff. Investors around the world interpreted the wild selloff as a crisis brewing in China. Regulators quickly terminated the circuit breakers.
Investors also focused on the price of oil as the Organization of Petroleum Exporting Countries’ (OPEC) reluctance to cut back production led to growing concerns over the global slowdown and potential for rising default levels. In fact, the correlation between oil prices and equity markets has spiked in recent quarters as they began to move in tandem. Amid the environment of unsustainably low oil prices, sovereign wealth funds of oil producing nations began liquidating their assets, which put further downward pressure on stocks.
The monetary stimulus policies of central banks continued to impact markets—both positively and negatively. While earlier stimulus announcements in Europe and Japan had helped lift their respective markets, investors generally reacted adversely to the announcement of negative interest rates. Central banks have been resorting to unconventional methods to provide life support to struggling economies. Such attempts have only increased uncertainty as fears of instability mounted. In the U.S., investors clenched onto every word from the Fed. A dovish statement drove equity markets higher, while a hawkish tone pulled them down.
Fixed Income
The broad domestic bond market (as defined by the Barclays U.S. Aggregate Bond Index) returned 1.96% over the reporting period. Long-term Treasury bonds were among the top performers as the 10-year Treasury yield fell. Interest rates came down as expectations of the next Fed hike were pushed back. Expectations of a delay in Fed hikes also caused the U.S. dollar to fall during the first quarter of 2016 after rising during the prior couple of quarters. Emerging markets debt benefitted from the depreciating U.S. dollar and performed well over reporting period. On the other hand, high yield bonds faced headwinds as concerns about the energy sector contributed to broadly rising credit spreads, which move in the opposite direction as prices.
Domestic Equity
Domestic equities regained positive territory after going through two corrections, with the S&P 500 Index (a common measurement of the broad U.S. equity market) gaining 1.78% over the reporting period. Large cap stocks outpaced small cap stocks, while growth outperformed value. Value styles tend to have a higher exposure to the energy sector, which was a drag on performance. Investors favored equities with high dividend yields as interest rates fell. Real estate investment trusts (REITs), which are associated with a high dividend payout, were thus bid up in this environment.
| See benchmark definitions on A-30 – A-32 |
A-2
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
International Equity
International equities generally struggled during the reporting period, but performances have been relatively mixed. Foreign developed markets (as defined by the broad-based MSCI EAFE Index (Net)) returned -8.27% over the reporting period. International small-cap stocks (as defined by the S&P Developed Ex-U.S. SmallCap Index), on the other hand, were positive. Much of this disparity stemmed from smaller financial stocks holding up much better than their larger counterparts during this environment of unconventional central bank actions. Emerging market equities also struggled over the reporting period.
Outlook
We believe that the outlook for domestic equities depends on how quickly earnings can rebound from recent misses, whether the U.S. economy can continue its modest growth, and most of all on how the Fed communicates its intentions for hiking rates. Two of the biggest factors for earnings are developments in energy and financials, as low oil prices have affected U.S. producers and persistently low interest rates have squeezed profit margins at big U.S. banks. We anticipate that the global move toward the balance of oil supply and demand should continue to provide a boost to rebounding energy shares in the U.S., and believe that financials in turn should benefit from rate hikes by the Fed expected later in 2016. The market is increasingly sensitive to the language of the Fed’s statements, and any missteps or surprises from the Fed may have a negative impact. Additionally, the strong U.S. dollar has contributed to falling exports and profits. However, the dollar has recently depreciated and could fall further. A weaker dollar may provide some support for U.S. exports, which could be a tailwind for U.S. companies and profits.
International equities look mixed as the markets adjust to economic numbers coming out of Europe and Japan. While there are some headwinds for emerging markets, we feel that valuations have now fallen to attractive levels. There have been signs of opportunity in emerging markets from a continued rebound in commodity prices and weakening of the U.S. dollar, which provide some breathing room on their export revenues and ability to pay their U.S. dollar-denominated debts. We expect to see continued overseas volatility as these markets digest the effects of novel central bank stimulus efforts and anticipate the potential for gains as international markets recover from their recent lows.
We believe the outlook for fixed income hinges on the pace of rate hikes and the anticipation of further equity market volatility. Bonds with long durations appear to be the riskier bet in the face of Fed tightening, but recent stock market volatility showed the role fixed income plays as the safe-haven asset. The reduction in projected rate hikes also reduces the downside for fixed income. On the other hand, credit spreads have widened, even outside the troubled energy sector, and government bonds are priced at expensive levels, two factors that could provide headwinds to fixed income.
Alternatives could provide some support if volatility continues to be persistent. Central bank divergence between the U.S., the Eurozone, Japan and the United Kingdom (U.K.) has provided ample opportunities for currency managers to buck the downturn in equities and generate uncorrelated returns. The differing direction on interest rates and currencies provides the opportunity for positive returns in global macro type strategies. Disparities in the marketplace present opportunities for long/short strategies. Given the level of uncertainties throughout the globe, a well-diversified approach may provide some protection.
PF Floating Rate Loan Fund (sub-advised by Eaton Vance Investment Managers)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Floating Rate Loan Fund’s Class P returned -2.40%, compared to a -1.25% return for its benchmark, the S&P/LSTA Leveraged Loan Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Eaton Vance Investment Managers began managing the Fund on August 1, 2013. Eaton Vance Management, an affiliate of Eaton Vance Investment Managers, managed the Fund from July 1, 2010 to July 31, 2013. Another firm managed the Fund before July 1, 2010, and some investment policies changed at that time. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||
| See benchmark definitions on A-30 – A-32 |
A-3
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. Relative to the benchmark, the Fund maintains a greater focus on higher-quality loans in seeking to invest in a portfolio of floating rate loans of domestic and foreign borrowers that we believe will be less volatile over time than the general loan market, while maintaining broad borrower and industry diversification among the Fund’s senior loans. We at Eaton Vance maintain the Fund’s strategy by employing a rigorous, bottom-up credit research process where loan selection drives Fund performance. During the reporting period, the more speculative areas of the floating-rate loan market were the worst-performing segments, with the lower quality CCC, second lien, and defaulted loan groups registering returns of -10.82%, -8.42%, and -43.44%, respectively. The BB and B loan categories saw more favorable returns of 1.66% and -1.26%, respectively. The Fund’s underexposure to the CCC, second lien, and defaulted loan categories contributed to relative performance results during the reporting period.
Although more actively traded loans generally outperformed less liquid issues during the first quarter of 2016, this outperformance was not enough to offset underperformance in the final three quarters of 2015 as more widely held and actively traded issues generally took the brunt of the selling pressure from investors exiting the asset class during that period. The S&P/LSTA Leveraged Loan 100 Index, a barometer of the largest loans within the Fund’s benchmark, underperformed the broader loan market during the reporting period, returning -2.14% vs. the benchmark’s return of -1.25%. As the portfolio management team tends to favor loans issued by larger, more durable companies, we believe positioning in larger loans was a relative detractor to performance versus the benchmark.
Most industry segments delivered low single digit positive returns during the reporting period, but a select group of industries produced outsized negative returns, which weighed on the performance results of the benchmark. These industries included oil & gas, forest products, nonferrous metals/minerals, and utilities, which delivered returns of -32.86%, -31.73%, -28.97%, and -16.40%, respectively. The Fund’s underweight exposure to the utilities industry contributed to relative performance, while an overweight exposure to the underperforming oil and gas industry and underweight exposure to the lodging & casino industry detracted from relative performance.
At the individual issuer position level, the Fund’s avoidance of the defaulted loans of utilities firm Energy Future Holdings (formerly “TXU”) was the largest individual contributor to relative performance. Among the largest detractors were loan positions in oil & gas firms Sheridan Production Partners, Bronco Midstream Funding, and Fieldwood Energy.
The cornerstones of the strategy’s investment philosophy are intense, internal credit research and broad diversification. As of the end of the reporting period, the Fund maintained an overweight position in BB-rated loans and modest exposure to the more distressed loan categories rated below B. Given the floating-rate nature of the asset class, the Fund was exposed to minimal interest rate risk as the loans in the Fund reset their coupons every 61 days on average as of the reporting period end, which resulted in a portfolio duration of roughly 0.17 years.
PF Inflation Managed Fund (co-sub-advised by Pacific Investment Management Company LLC and Western Asset Management Company)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Inflation Managed Fund’s Class P returned -0.80%, compared to a 1.51% return for its benchmark, the Barclays U.S. TIPS Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Western Asset Management Company became co-sub-adviser to the Fund on January 15, 2015, and some investment policies changed at that time. Pacific Investment Management Company LLC was the sole sub-adviser to the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. The Fund is co-sub-advised by PIMCO and Western Asset. The following are separate discussions from each co-sub-adviser.
| See benchmark definitions on A-30 – A-32 |
A-4
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
PIMCO
We at PIMCO implement the investment strategies of our portion of the Fund by investing in bonds and derivative instruments. Exposure to longer-dated U.S. inflation breakeven exposure (breakevens are the difference between nominal and real yields) facilitated partially through the use of pay fix interest rate swaps, detracted from performance as breakevens fell alongside oil prices. An overweight position to the belly of the TIPS curve, through cash bonds, was positive for our portion of the Fund’s performance as the real yield curve steepened during the calendar year. Within currencies, our portion of the Fund’s U.S. dollar bias, namely positions against the euro, detracted from returns, as this currency appreciated relative to the U.S. dollar. Security and sector selection within investment grade credit was positive for performance; however, select high yield holdings more than offset those gains as spreads widened over the reporting period. An allocation to select non-agency mortgage-backed securities (MBS) was positive for performance given that the sector continued to benefit from the ongoing housing recovery. Defensive exposure to U.K. inflation-linked bonds (ILBs), partially through pay fix longer-dated U.K. Retail Price Index (RPIs) swaps, was positive for our portion of the Fund’s performance as inflation expectations fell. Lastly, favorable selection among U.S. dollar denominated emerging market debt contributed to our portion of the Fund’s performance as those holdings outperformed.
During the reporting period our portion of the Fund sold credit protection through credit default swaps to obtain exposure to the credit risk of individual securities or to the investment grade sector through the use of credit default swaps on credit indices. Our portion of the Fund entered into interest rate swaps to manage nominal or real interest rate exposure in various global markets or as a substitute for cash bond exposure. Our portion of the Fund entered into futures contracts to manage interest rate exposure, as a substitute for cash bond exposure, or for purposes of liquidity. Interest rate swaps and futures allow the portfolio managers to effectively manage risk and gain or reduce exposure by targeting specific markets and areas of the yield curve that may not otherwise be accessible through the use of cash bonds. Our portion of the Fund sold/wrote options and swaptions on futures, currencies, volatility, and swaps as a means of capitalizing on anticipated changes in market volatility, or to generate income. Our portion of the Fund also sold/wrote inflation caps to hedge duration in our portion of the Fund. Our portion of the Fund purchased and sold foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities or as a part of a tactical investment strategy. Lastly, our portion of the Fund held volatility swaps, tactical positions designed to take a small position on the volatility of currencies.
Western Asset
We at Western Asset maintained a portion of the Fund’s strategy of holding a mixture of TIPS, derivatives, and ILBs issued by foreign governments. Non-U.S. dollar ILBs (linkers) were chosen based on their relative value to TIPS of a corresponding maturity. Derivatives, including bond futures and options and interest rate futures, were utilized to achieve desired levels of interest rate risk and yield curve exposures, or to capture relative value opportunities. Generally, they assisted in the management of duration and yield curve exposures.
Our portion of the Fund underperformed the index in the early part of the reporting period, as TIPS performed strongly in the second quarter of 2015 on the strong rebound in oil. Our portion of the Fund’s strategic underweight to TIPS caused the bulk of the underperformance in the first quarter of 2016, but over the reporting period our preference for nominal bonds over TIPS was a positive as break evens fell along with commodities. We maintained very little foreign bond exposure in our portion of the Fund, focusing on Canadian linkers, which were a small contributor to performance. We attempted to employ the new latitudes, including foreign exchange strategies, but with limited success, resulting in a detractor from performance.
The main detractors were duration and yield curve strategies, especially in the second quarter of 2015. We mistakenly thought the Greek crisis was solved and were called out of our strategic short duration position as bond yields squeezed sharply lower in late July. Over the reporting period, our portion of the Fund’s option strategies were positive contributors and helped control overall risk levels. In keeping with Western Asset’s optimism on the economy and confidence in the Fed normalizing interest rates, we maintained a flattening yield curve bias, particularly via short positions in 2015 euro-dollar futures, both of which were detractors from performance. With the absence of a 2015 winter “polar vortex” and continued boost from low energy prices, we anticipated a more “risk on” tone to financial markets, continued tightening by the Fed, and higher bond yields. Instead, the economy surprised on the downside with almost no growth as European stresses re-emerged, causing banking stocks to underperform and consequently causing government bond yields to fall sharply. These volatility inducing events correctly presaged a more dovish stance from the Fed and detracted from the Fund’s underperformance.
| See benchmark definitions on A-30 – A-32 |
A-5
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
PF Managed Bond Fund (co-sub-advised by Pacific Investment Management Company LLC and Western Asset Management Company)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Managed Bond Fund’s Class P returned 1.31%, compared to a 1.96% return for its benchmark, the Barclays U.S. Aggregate Bond Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Western Asset Management Company became co-sub-adviser to the Fund on August 1, 2014, and some investment policies changed at that time. Pacific Investment Management Company LLC was the sole sub-adviser to the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. The Fund is co-sub-advised by PIMCO and Western Asset. The following are separate discussions from each co-sub-adviser.
PIMCO
We at PIMCO implement the investment strategies of our portion of the Fund by investing in bonds and derivative instruments. An underweight position to U.S. duration, implemented through the use of cash bonds and tactical use of interest rate swaps, detracted from performance as rates fell. An underweight to investment grade corporate securities during the year was positive for returns, as spreads widened. An overweight to agency MBS, specifically select Fannie Mae MBS along the coupon stack, was negative for performance as spreads widened.
In Europe, an allocation to core rates in the European periphery, specifically Italy and Spain, contributed to performance as rates fell for the year. Conversely, positions in German nominal debt were negative for performance as the yield curve steepened. A short to U.K. duration detracted as rates fell. Exposure to emerging local interest rates in Mexico added to performance by providing attractive yield to our portion of the Fund. Exposure to TIPS was negative for returns as breakeven inflation levels (the difference between nominal and real yields) narrowed over the year. Within currencies, while our portion of the Fund’s defensive stance against the euro hurt performance; this was offset by a short to a basket of emerging market currencies as these currencies depreciated versus the U.S. dollar.
During the reporting period, our portion of the Fund sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities or to the broader investment grade, high yield, or emerging market sectors through the use of credit default swaps on credit indices. Our portion of the Fund also purchased credit protection during the reporting period to reduce credit exposure to individual issuers, reduce broader credit risk, or to take advantage of the basis between the credit default swap and cash bond market. Our portion of the Fund entered into interest rate swaps to manage nominal or real interest rate exposure in various global markets or as a substitute for cash bond exposure. Our portion of the Fund entered into futures contracts to manage interest rate exposure, as a substitute for cash bond exposure, or for purposes of liquidity. Interest rate swaps and futures allow the portfolio manager to effectively manage risk and gain or reduce exposure by targeting specific markets and areas of the yield curve that may not otherwise be accessible through the use of cash bonds. Our portion of the Fund sold/wrote options and swaptions on futures, currencies, volatility, and swaps as a means of capitalizing on anticipated changes in market volatility or to generate income. Our portion of the Fund purchased and sold foreign currency contracts in connection with settling planned purchases or sales of securities, to hedge the currency exposure associated with some or all of a Fund’s securities, or as a part of a tactical investment strategy.
| See benchmark definitions on A-30 – A-32 |
A-6
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Western Asset
We at Western Asset maintained a portion of the Fund’s strategy by utilizing a global investment platform to build a diversified portfolio of investment grade bonds with opportunistic allocations to high yield, emerging markets and non-U.S. dollar securities to enhance returns. Value is added through sector rotation, yield curve positioning, issue selection and duration management
Our allocation to high yield corporates and emerging markets debt were detractors from performance as worries over global growth, declines in commodity prices, and U.S. dollar strength hurt these sectors. Our overweight to commercial MBS was a detractor to performance as spreads widened over the last quarter of the reporting period. Our underweight to agency MBS was also a detractor as this sector produced positive excess returns over this period. Our portion of the Fund’s yield curve positioning was a significant contributor to performance as our portion of the Fund had an overweight to long-dated bonds and an underweight to short dated bonds during the periods when the curve flattened significantly. Our portion of the Fund’s tactical duration positioning had a positive effect on performance, as we were largely overweight duration during the periods when yields declined. Non-agency MBS exposure added to performance as an improved housing market and mortgage fundamentals improved pricing in the sector. An overweight to the investment grade financials sub-sector added to performance on mildly positive economic data and continued improvements in banking fundamentals.
PF Short Duration Bond Fund (sub-advised by T. Rowe Price Associates, Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Short Duration Bond Fund’s Class P returned 0.35%, compared to a 1.04% return for its benchmark, the Barclays 1-3 Year U.S. Government/Credit Bond Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | T. Rowe Price Associates, Inc. began managing the Fund on July 1, 2011, and some investment policies changed at that time. Another firm managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We at T.Rowe Price maintain the Fund’s investment strategy by investing in debt securities (including derivatives on such securities). In our attempt to seek current income, the strategy focuses on high quality, investment grade securities, generally expecting to track the duration of the benchmark (plus or minus a half-year), as well as using futures, forwards and swaps. In addition to making active sector allocation and security selection decisions, the sub-adviser also monitors Fund duration as part of its management of this Fund. Duration is often used to measure a bond’s sensitivity to interest rates. The longer a Fund’s duration, the more sensitive it is to interest rate risk. The shorter a Fund’s duration, the less sensitive it is to interest rate risk.
The primary driver of relative underperformance was security selection, specifically, security selection within the investment-grade sector. Select energy names underperformed amid sustained price weakness in energy and commodity markets. An overweight allocation to short-dated, investment-grade corporate debt produced positive absolute returns but was a modest drag on relative results. The corporate market experienced technical pressures in 2015 on the heels of record supply brought on by low rates and elevated merger and acquisitions activity. This pressure somewhat abated during the first quarter of 2016.
The Fund’s out-of-benchmark exposure to MBS was a detractor from relative results for the reporting period. While producing positive absolute returns, this relatively defensive segment lagged a rally in higher-yielding sectors near the end of the reporting period. MBS was also pressured by above-average levels of new supply.
Our yield curve positioning added to relative performance as our overweight allocation to the intermediate portion of the curve and modest out-of-benchmark exposure to longer maturities performed well, as the curve flattened at the front end over the reporting period as investors prepared for rising rates.
| See benchmark definitions on A-30 – A-32 |
A-7
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Asset allocation decisions contributed to relative results. Our strategic underweight to U.S. Treasury securities helped relative returns, as the anticipation leading up to the eventual Fed rate hike resulted in increased yields, especially at the short end of the yield curve. Spread sectors generally outperformed Treasuries as the impact of the Fed hike was largely priced in.
The Fund’s out-of-benchmark allocation to high yield corporates also contributed to performance despite the sector’s underperformance in 2015. The sector produced strong returns in the first quarter of 2016 as investors’ appetite for risk increased and commodities prices stabilized.
As of the end of the reporting period, the Fund held interest rate futures that generated a net exposure equivalent to approximately 14% of the Fund’s net assets. The futures were held at various points throughout the reporting period. Currency forwards were also held at various points throughout the reporting period. As of reporting period end, interest rate futures decreased in duration. The estimated return impact from employing currency forwards was 0.08% and -0.12% for the reporting period.
PF Emerging Markets Debt Fund (sub-advised by Ashmore Investment Management Limited)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Emerging Markets Debt Fund’s Class P returned 2.93%, compared to a 4.19% return for the broad-based J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index and 1.68% for the Emerging Markets Debt Composite Benchmark.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmarks for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the broad-based J.P. Morgan EMBI Global Diversified Index but outperformed the Emerging Markets Debt Composite Benchmark. We at Ashmore tactically manage exposure to emerging market hard currency sovereign debt, local currency sovereign debt and corporate debt in seeking to maximize total returns consistent with prudent investment management. The Fund invests its assets in debt instruments that are economically tied to emerging market countries, which are issued by governments (sovereigns), government-guaranteed or majority government owned entities (quasi-sovereigns), government agencies and corporate issuers, and may be denominated in any currency, including the local currency of the issuer.
Over the course of the reporting period, the Fund’s allocation to external debt increased, starting the period at 50% and ending at around 56% of the Fund’s net assets. During the same period, the Fund’s exposure to corporate debt decreased, starting the year at 21.4% and ending at around 20.6% of the Fund’s net assets. Finally, the Fund’s exposure to local currency debt increased, starting the year at 39% and ending at around 52% of the Fund’s net assets. Market exposures in excess of 100% are the result of investments in forward contracts in currencies of emerging market countries.
The Fund’s relative underweight position versus the Fund’s broad-based benchmark in local currency sovereign debt contributed to performance over the reporting period. The security selection in external debt contributed to performance, while the off-benchmark allocation to corporate debt was a detractor over the reporting period. The largest country contributors were Ukraine, Russia, Venezuela, and Ecuador.
The largest country detractors over the reporting period were overweights to Colombia and Jamaica and underweights to Czech Republic and Indonesia. Security selection in Colombia was the main detractor from Fund performance relative to the Fund’s broad-based benchmark. Security selection in China was positive relative to the Fund’s broad-based benchmark.
In general, external debt outperformed local currency debt with a return of 4.19% for the Fund’s broad-based benchmark versus -1.65% for the JP Morgan Government Bond Index-Emerging Markets Global Diversified (GBI-EM GD) (one year return ending March 31, 2016). Ukraine, Russia, Indonesia, Argentina, and Venezuela were the largest country contributors to performance in the Fund’s broad-based benchmark for the
| See benchmark definitions on A-30 – A-32 |
A-8
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
reporting period. Ukraine and Russia rebounded strongly following the negative performance in 2014. Bonds in Ukraine, in particular, benefited from a better-than-expected restructuring agreement at the end of August. Russian economic activity has been positive as investment and industrial production beat expectations; the weaker currency has helped stimulate exports and increase competitiveness as oil prices trended lower.
Argentinian bonds rallied in anticipation of a regime change. Under the leadership of the newly elected President Mauricio Macri, the Central Bank of Argentina lifted currency controls on the Argentine peso. President Macri also orchestrated the settlement of the long running dispute with the holders of its restructured bonds, which are expected to eventually allow Argentina to re-access financial markets.
In the local currency markets, South Africa, Colombia, and Mexico were the largest detractors from performance for the reporting year. Emerging market foreign exchange movements were the main culprit to this negative Fund performance. On a foreign exchange level, these countries returned -11.9%, -9.6%, and -8.5% respectively. A worsening macroeconomic environment on the back of the commodities slump and political turmoil drove returns in South Africa to the worst index performance. President Zuma surprised markets with the dismissal of trusted Finance Minister Nene, only to replace his successor after the ensuing market retreat with the well-known former Finance Minister Pravin Gordhan. Colombia has been adversely impacted by falling oil prices, and its currency moved downward as part of the necessary macroeconomic adjustment. This was mainly also the reason for the decline of the Mexican peso, although here other factors such as a technical overhang at the beginning of the reporting period along with the Mexican peso’s place as one of the most liquid emerging markets currencies also play a role.
PF Comstock Fund (sub-advised by Invesco Advisers, Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Comstock Fund’s Class P returned -7.54%, compared to a -1.54% return for its benchmark, the Russell 1000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Invesco Advisers, Inc. began managing the Fund on June 1, 2010. Another firm managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. As financial markets tend to focus on short-term factors, stock prices often fail to reflect the intrinsic value of companies. We at Invesco believe that longer-term investors can take advantage of these pricing anomalies by purchasing stocks of companies that are currently underpriced. We employ a strategy that aims to exploit these market inefficiencies by investing in companies that appear undervalued relative to the market in general. Ultimately, we believe that the market will recognize the value in these companies and will sell them as their stock price begins to reflect their intrinsic value. Sector performance within the Fund’s benchmark was mixed for the reporting period, with sectors like energy, financials and health care posting negative returns, while defensive sectors, such as telecommunication services and utilities, posted double-digit positive returns.
On the positive side of sector performance, stock selection in the consumer staples sector contributed to relative performance. In the food, beverage and tobacco industry, Coca-Cola Company and ConAgra Foods were notable contributors, with ConAgra Foods performing strongly after an activist investor took a large stake in the company and sought seats on the company’s board of directors. The company also reported earnings that exceeded analysts’ estimates, causing the stock to post double-digit returns for the reporting period. Strong stock selection in the industrials sector also helped the Fund’s relative performance during the reporting period. Caterpillar Inc., a relatively new holding in the Fund, and Emerson Electric Co. were two of the largest relative contributors in the sector. Some of the Fund’s relative performance contribution also came from not owning certain poorly-performing companies held in the benchmark, such as United Technologies and CSX.
| See benchmark definitions on A-30 – A-32 |
A-9
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
On the negative side, stock selection in the financials sector was a large detractor from Fund performance. Within banks, Citigroup, and within diversified financials, Morgan Stanley underperformed the sector and benchmark, posting double-digit negative returns. Although Morgan Stanley reported profits and revenues that beat analysts’ estimates, financial stocks in general declined in the latter part of the reporting period due to concerns about a prolonged low interest rate environment. Weak stock selection in the health care sector was also a large detractor from the Fund’s relative performance. Notably, Express Scripts Holding Co., a pharmacy benefits manager, and Novartis AG, a major European pharmaceuticals firm, were large detractors, both posting steep declines for the reporting period. Also, not owning select pharmaceutical stocks, such as Johnson & Johnson, hurt the Fund’s relative performance, as that stock posted returns outperforming the sector and benchmark. A material underweight in utilities weighed on relative performance, as utilities was the benchmark’s second best performing sector. However, the Fund has remained materially underweight in utilities because management feels that utilities are generally overvalued, as investors have driven up stock prices in a quest for yield in a low-interest rate environment. Stock selection in and overweight exposure to the energy sector also hurt Fund performance, mainly due to the declining price of oil. Weatherford International and Royal Dutch Shell were two of the largest relative detractors within the sector. Despite having a strong balance sheet and maintaining an attractive dividend, Royal Dutch Shell’s—not a constituent of the benchmark, but a top Fund holding—stock declined during the reporting period.
We used forward foreign currency contracts during the reporting period solely for the purpose of hedging currency exposure of non-U.S.-based companies held in the Fund. The use of currency forward contracts had a negative impact on the Fund’s relative performance versus the benchmark for the reporting period. This was mainly due to a decline in the U.S. dollar compared to the foreign currencies in which the Fund’s non-U.S. holdings were denominated during the last quarter of the reporting period.
PF Growth Fund (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Growth Fund’s Class P returned 2.17%, compared to a 2.52% return for its benchmark, the Russell 1000 Growth Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | MFS Investment Management began managing the Fund on May 1, 2013, and some investment policies changed at that time. Another firm managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. The strategy is to be an actively managed, research-driven growth portfolio. We at MFS build the portfolio from the bottom up, selecting companies with the best opportunities for growth two to three years into the future. When applying the Fund’s valuation analysis, we consider the magnitude and potential growth rate of a company against what the market has discounted. At the sector level, we typically limit significant over- and under-weights relative to the benchmark, allowing bottom-up stock selection to drive performance results over time.
An underweight allocation and security selection within the consumer staples sector weakened relative performance. Within this sector, not holding tobacco company Altria Group and beverage maker Coca-Cola hindered relative results as shares of both companies outperformed the benchmark over the reporting period.
Security selection in the health care sector further weighed on relative performance. Holding Canadian pharmaceutical company Valeant Pharmaceuticals (not a benchmark constituent; not held at reporting period end) and overweighting biotechnology company Biogen and health services and information technology company McKesson detracted from relative returns.
| See benchmark definitions on A-30 – A-32 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Stocks in other sectors that dampened relative results included the Fund’s underweight position in software giant Microsoft, overweighting professional online networking service provider LinkedIn and not holding fast-food giant McDonald’s, telecommunications company Verizon Communications and home improvement retailer Home Depot.
Strong stock selection in the technology and industrials goods & services sectors contributed positively to performance relative to the benchmark. Within technology, overweight positions in internet search company Alphabet (Google’s parent company), social networking service provider Facebook and software company Adobe and an underweight position in computer and personal electronics maker Apple boosted relative returns. Within the industrial goods & services sector, overweighting industrial and consumer products and services company Danaher lifted relative results as shares outpaced the benchmark during the reporting period.
The Fund’s overweight position in the retailing sector further aided relative performance. Overweighting apparel retailer Ross Stores benefited relative results as the stock posted strong results over the reporting period.
In other sectors, overweighting shares of internet TV show and movie subscription services provider Netflix, global payments technology company Visa, and beer, wine and spirits maker Constellation Brands and not holding natural gas pipelines operator Williams Cos. supported relative performance.
PF Large-Cap Growth Fund (sub-advised by BlackRock Investment Management, LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Large-Cap Growth Fund’s Class P returned -2.67%, compared to a 2.52% return for its benchmark, the Russell 1000 Growth Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | BlackRock Investment Management, LLC began managing the Fund on May 1, 2013, and some investment policies changed at that time. Other firms managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We, the BlackRock portfolio management team, implement the Fund’s investment strategy by investing in large-capitalization companies that possess dominant market positions or franchises, a major technological edge, or a unique competitive advantage.
Despite strong relative performance for the nine months in 2015, the Fund was not immune to the broader risk-off environment and momentum reversal that gripped markets at the start of 2016.
In sector terms, health care was the prime detractor from the Fund’s relative performance, driven by weakness in pharmaceuticals and biotechnology. Stock selection in consumer discretionary and information technology also detracted, as did an underweight and stock selection in consumer staples. The main contributor to performance was materials, led by chemicals. Energy benefited as well.
At the stock level, health care holdings United Therapeutics, Vertex Pharmaceuticals and Perrigo were among the largest individual detractors. United Therapeutics and Vertex Pharmaceuticals underperformed amid the wider market rotation away from volatility, momentum and growth in early 2016, which had a particularly negative impact on the biotechnology segment. Vertex shares were further pressured by several near-term downward estimate revisions on the company’s newly-launched drug Orkambi (though peak sales for the drug remain constant). Perrigo’s stock declined amid a failed, hostile takeover bid for the company (an outcome the investment adviser viewed positively overall). More recently, shares came under pressure following a fourth-quarter of 2015 earnings miss and reduced 2016 guidance.
Positions in Restoration Hardware and Alliance Data Systems also detracted over the reporting period. Restoration Hardware was engulfed in a broader re-rate downward of specialty retailers towards the end of 2015. In addition, the company failed to deliver operationally on its modern line launch in the fourth quarter of 2015, which proved highly disappointing to investors. Given the supply chain issues (that are expected to take
| See benchmark definitions on A-30 – A-32 |
A-11
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
the course of 2016 to fix) and the uncertain economic environment for high-end consumers, the investment adviser sold the position. IT services company Alliance Data Systems reported an in-line fourth quarter 2015 and reiterated 2016 guidance, but its guidance included higher credit losses than previously forecasted due to 2015 coming in better than expected (the company is using the same end point in 2016). Given Alliance Data’s exposure to credit losses in a potential downturn and the higher increase in losses relative to 2015 (albeit the actual level of losses forecast was the same), the stock sold off primarily on macro worries.
The top individual contributors were Netflix and Facebook. Online video streaming service provider Netflix outperformed in the first half of 2015 as global subscriber growth came in materially above expectations. Positive momentum continued later in the reporting period, with the company continuing to report strong subscriber growth, both domestically and internationally. Social networking service provider Facebook outperformed as the company showed accelerating growth in its core platform and material progress with monetizing its emerging growth properties (Instagram, Facebook Messenger and WhatsApp).
The position in internet search company Alphabet (Google’s parent company) also added value. Alphabet gained as Google showed acceleration in owned and operated (Google.com) revenues, excluding foreign exchange. This, combined with year-over-year margin improvement, drove positive earnings revisions and multiple expansion for the stock.
We remain constructive on U.S. stocks as domestic economic data has remained relatively firm and, in some cases, has seen an uptick. Meanwhile, we have recently seen economic indicators in China inflect higher, reducing the risk of a devaluation in the intermediate term. On the corporate earnings front, a stabilized U.S. dollar and improved commodity prices reduce a significant headwind to growth, while extremely low expectations set the stage for upside surprises. Taken together, we believe the U.S. should continue its slow-growth trajectory, allowing U.S. equities to move higher. Downside risks remain, but overall we believe the opportunities and risks are fairly balanced at present.
From a positioning standpoint, at the end of the reporting period, the Fund’s largest sector overweight relative to the benchmark was information technology, driven by an emphasis on strong growth companies that we believe can continue to perform well. Due to shifts in early 2016, the Fund was overweight in financials and energy as well. The largest sector underweight was industrials.
PF Large-Cap Value Fund (sub-advised by ClearBridge Investments, LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Large-Cap Value Fund’s Class P returned -1.29%, compared to a -1.54% return for its benchmark, the Russell 1000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | ClearBridge Investments, LLC assumed management of the Fund on October 1, 2006. Salomon Brothers Asset Management Inc., predecessor firm of ClearBridge, managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. We, the ClearBridge large-capitalization value team, utilize an interactive, research-driven approach to identify companies with strong business franchises and attractive valuations. We look for companies with proven business models and sustainable competitive advantages capable of generating superior returns over time across a range of potential scenarios. We place a heavy emphasis on higher certainty of near- and medium-term cash flows, while discounting earnings from emerging business models or products. We consider valuations relative to normalized earnings power.
On an absolute basis, the Fund had positive returns in three out of the ten economic sectors in which it was invested during the reporting period. The greatest contributions to the Fund’s performance return came from the consumer staples, industrials and information technology
| See benchmark definitions on A-30 – A-32 |
A-12
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
sectors. Relative to the benchmark, the Fund’s overall security selection contributed to its performance for the reporting period. Security selection within consumer staples, industrials, and energy had a positive impact on the Fund’s performance. An underweight position in energy and an overweight position in the consumer staples sector positively impacted relative performance for the reporting period. In terms of individual holdings, the leading contributors to Fund performance included positions in Time Warner Cable, General Electric, Philip Morris International, Microsoft and Reynolds American.
Relative to the benchmark, the overall sector allocation detracted from the Fund’s performance for the reporting period. An underweight position in utilities and telecommunication services as well as an overweight in consumer discretionary detracted from Fund performance for the reporting period. Additionally, security selection within health care and materials detracted from the Fund’s performance. On an individual holding basis, the leading detractors from Fund performance included positions in DISH Network, American Express, Freeport-McMoRan, National Oilwell Varco and Time Warner.
During the reporting period, we opportunistically added to the Fund’s existing holdings and established new Fund positions in Reynolds American (acquired shares through ownership in Lorillard), Schlumberger and UnitedHealth Group. We also sold the Fund’s full positions in Altria Group, Lorillard (acquired by Reynolds American) and Vodafone Group. The proceeds were reinvested in areas where we believe there to be better risk-adjusted return opportunities.
We believe our disciplined investment philosophy and consistent approach positions us to generate competitive, risk-adjusted returns over the long term. We also believe that high quality companies, with sustainable competitive advantages, strong balance sheets and attractive valuations should outperform the market over time.
PF Main Street Core Fund (sub-advised by OppenheimerFunds, Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Main Street Core Fund’s Class P returned 2.87%, compared to a 1.78% return for its benchmark, the S&P 500 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. We, the Oppenheimer Main Street Core team, aim to build “all weather” portfolios by targeting companies with: 1) sustainable competitive advantages; 2) skilled management with a proven track record of executing effectively; and 3) financial resources to generate improving profitability, gain market share, and/or return significant cash to shareholders. During times of economic volatility as during this reporting period, such companies frequently widen their lead over weaker competitors. We seek to invest in companies, characterized by the above qualities, at compelling valuations and believe this disciplined approach is essential to generating superior long-term performance. We use fundamental research and quantitative models to select securities for the Fund, which is comprised of both growth and value stocks.
The Fund outperformed its benchmark in eight out of ten sectors, led by stronger relative stock selection in the materials, energy, industrials and health care sectors. The Fund underperformed the benchmark within the information technology sector due to an underweight position and stock selection, and in the telecommunication services sector, as a result of an underweight position.
During the reporting period, the top contributors to Fund performance included Alphabet, Inc. (information technology), General Electric Co. (industrials), Philip Morris International, Inc. (consumer staples), Facebook, Inc. (information technology), and Mondelez International, Inc. (consumer staples). Alphabet—the parent company of Google—posted quarterly results that showed evidence of improved cost control.
| See benchmark definitions on A-30 – A-32 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Furthermore, the company announced plans to enhance financial disclosures to investors, thereby providing greater transparency into the drivers of value creation. With the recent arrival of a new Chief Financial Officer, investors have gained conviction in greater cost controls and more effective capital allocation—both of which could lead to rising profitability. In addition, the company announced a stock buyback over the fourth quarter of 2015. While small in magnitude, this move reinforced the view that management is committed to driving shareholder value rather than growth at any cost. All of this is against the backdrop of Google maintaining a dominant position in search and the continued migration of advertising dollars from traditional media to online. General Electric continued to make progress in slimming down its GE Capital subsidiary via asset sales, focusing the company’s attention on its core industrials businesses. We continue to believe this shift in focus—and the accompanying improvement in execution and market valuation—is in the early innings. For its part, Philip Morris, the world’s second largest tobacco company, reported continued favorable trends in regards to pricing and market share, while volumes were less of a drag. Strength was apparent across most, if not all regions. With operations almost entirely outside the U.S., Phillip Morris is the portfolio holding most sensitive to changes in the value of the U.S. dollar. The fact that the dollar gave back some of its gains during the reporting period no doubt aided performance during the reporting period. Facebook, the world’s largest social-networking site, had a strong performance during the reporting period. Not only did it grow profit and revenue during the reporting period, but it also increased its already massive user base and mobile advertising, as well as usage of its non-Facebook apps like Instagram, Messenger and WhatsApp. Mondelez manufactures and sells global consumer products—primarily in the snack food and confection categories, including brand names such as Oreos, Cadbury and Trident. Operating margins continued to expand, surprising investors favorably.
The most significant detractors from performance included Citigroup, Inc. (financials), Noble Energy, Inc. (energy), Express Scripts Holding Co. (health care), Apple, Inc. (information technology), and Western Digital Corp. (information technology). Over the first half of the reporting period, Citigroup, along with other large banking companies, underperformed largely as a result of inaction by the Fed. Net interests margins—a key metric of profitability—were under pressure as interest rates remained low. Investors had expected that with a rise in short-term rates, this measure of profitability would expand, providing a boost to earnings growth over the near- to-mid-term. Though the Fed indeed raised rates in December, weak economic data greatly decreased the likelihood that more rate hikes are forthcoming in the near term, pressuring Citigroup and its peers. The stock of global exploration and production energy company Noble Energy detracted from performance largely due to energy sector weakness that resulted from a further decline in oil prices. The stock of pharmacy benefit manager Express Scripts Holding suffered due to a dispute between the company and its largest customer, Anthem, over pricing. We believe the company’s stock price reflects the potential loss of Anthem and the dispute should only have a modest impact on Express’ selling season. With Apple, the market has become fixated on the short-term success of this interim phone product cycle given the very difficult year over year comparable created by the massive success of the iPhone 6. While there is no evidence of Apple losing unit market share, there are concerns of trading down within the iPhone lineup (buying 6 instead of 6S) as well as a potential lengthening of the upgrade cycle. We remain bullish on Apple’s continued growth and stickiness of its ecosystem and installed base given the secular shift to a mobile-first world. With continued innovation on the application side, we see opportunity for Apple to drive hardware (iPhone) and software (iOS) innovation. We believe drivers like mobile video, virtual reality, personal sensor data, etc. could enable iPhone innovation for years to come, with this more evident in the iPhone 7 launch later this year. Looking at the valuation on the stock, it is hardly heroic; meaning Apple only has to generate little growth for this to be a winning long-term investment. With Western Digital, a manufacturer of computer disk drives and other data storage solutions, the company continued to be negatively impacted by weak fundamentals, particularly low demand for personal computers. Further, the stock reacted unfavorably when management announced the acquisition of SanDisk at a substantial price premium. Moreover, U.S. regulators caused a deal to be scrapped that called for a Chinese investment in Western Digital at a meaningful premium, an unmitigated negative event for the company. We believe acquiring SanDisk likely makes sense from a long-term perspective, as it allows the company to vertically integrate into NAND flash storage. NAND flash memory is a type of storage technology that does not require power to retain data. An important goal of NAND flash development has been to reduce the cost per bit and increase maximum chip capacity so that flash memory can compete with magnetic storage devices like hard disks. That said, the deal is not without elevated risks and costs. We continue to monitor the situation closely.
| See benchmark definitions on A-30 – A-32 |
A-14
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
PF Mid-Cap Equity Fund (sub-advised by Scout Investments, Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Mid-Cap Equity Fund’s Class P returned -3.79%, compared to a -4.04% return for its benchmark, the Russell Midcap Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Scout Investments, Inc. began managing the Fund on January 1, 2013, and some investment policies changed at that time. Another firm managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. We at Scout maintain the Fund’s strategy, which is keenly focused on individual stock selection, by investing Fund assets primarily in equity securities of companies with medium market capitalization. Even at the stock level, buying and selling is often done incrementally. The strategy favors stocks with positive cash flows, strong balance sheets, attractive valuations, and fundamental top down (macroeconomic or political changes) or bottom up (company-specific) catalysts to unlock that value, while selecting away from those stocks that the strategy perceives to be exposed to unnecessary risk factors.
Stock selection added to the Fund’s value in seven out of ten market sectors and was particularly strong in the energy, technology, and utilities sectors. These gains more than offset underperformance in materials, health care, and consumer staples. The average cash balance in the Fund of near 2.6% was a small drag on performance due to the timing of cash balances. The Fund benefited from increased merger activities due to easy credit conditions in the U.S. and improving business fundamentals in certain sectors of the economy. As a result, several of the Fund’s holdings received takeover offers during the reporting period, including Cameron International Corp., Omnicare Inc., Conway Corp., IGATE Corp., and Catamaran Corp.
Energy added the most relative value to the Fund’s performance during the reporting period, driven almost entirely by stock selection. Cameron International received a takeover bid from Slumberger LTD, so this was the top contributor to relative performance in the energy sector. Among technology stocks, Computer Sciences was a standout performer as it continued to benefit from improved profit margins and restructuring actions, including a split into two separate companies and the payment of a special cash dividend. Public Storage performed strongly as it capitalized on its leading branded position in the storage sub-industry of REITs, which is contained within the financials sector of the benchmark. Public Storage also benefited from continuing low market interest rates, a strong balance sheet, and increased demand for its storage services driven by greater demand for urban living in smaller apartments and aging demographic trends. Finally, the largest holding, Atmos Energy, performed well as gas utilities remained in favor due to several takeover deals in the industry during 2015, and for its steady dividend growth potential in a low interest rate environment.
In contrast, some of the Fund’s main detractors on a total contribution basis were in the materials, health care, and consumer staples sectors. In materials, Allegheny Technologies, Inc., a specialty metals producer, fell on reports of weakness in the Chinese economy, which triggered declines in commodity stocks. In health care, contact lens maker Cooper Companies suffered under the pressure of a higher U.S. dollar since it has substantial overseas sales that can be lowered due to currency translation. Hain Celestial, the maker of Celestial Seasonings Tea and other organic and natural food products traded down due to a slowdown in the construction of new organic food stores, and from the success of traditional grocery stores which are increasingly offering competing lines of organic foods. These factors slowed sales growth and hurt the stock performance. Other significant detractors from relative performance included three companies from the financials sector, namely Affiliated Managers Group which posted disappointing performance due in part to generally weak global equity markets, and also due to the sudden halt of redemptions from their Third Avenue Focused Credit Fund caused by liquidity issues in this Fund’s holdings. Outfront Media declined on
| See benchmark definitions on A-30 – A-32 |
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PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
general economic uncertainty in the U.S., which impacted outdoor advertising market conditions. Finally, banking company Citizens Financial Group was hurt by lower interest rates and general fears about energy loans in the sector, despite having a relatively low exposure to energy loans.
The Fund continues to overweight utilities, a sector that generally relies less on strong economic growth. The Fund is also overweight in financials, more specifically banks, due to our expectation that the cyclical rise in U.S. economic growth and employment trends will cause short-term interest rates to rise, even if at a slow or moderate pace. Finally, the Fund is overweight in industrials due to company-specific opportunities in airlines and defense companies, but also due to aggressive monetary stimulus in China and the EU that helps support U.S. exporters. Portfolio weights in consumer staples, materials, and technology are near the benchmark level. The technology and materials sectors, and semiconductors in particular, continue to suffer from weak global capital spending.
In contrast, the Fund is underweighting stocks in the consumer discretionary, health care, and energy sectors. Certain retailers and restaurant stocks may face profit margin pressures from rising wages, particularly as competition with Amazon is fierce. While rising health care costs may lead to reduced consumer spending, other factors, including a decline in meat prices, should help to improve restaurant margins. The Fund continues to invest in health care to capture growth as the population ages, although the pharmaceutical and biotech industries has come under political fire from certain presidential candidates, so exposure has been trimmed in that particular industry. This caution has resulted in an underweight position in the health care sector despite favorable long-term demand trends that should aid sales growth over time. Finally, we believe energy stocks will likely continue their relative weakness for the time being, as U.S. oil production declines are insufficient to offset uncertain global demand growth and near-record production from Russia and the OPEC nations.
PF Mid-Cap Growth Fund (sub-advised by Ivy Investment Management Company)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Mid-Cap Growth Fund’s Class P returned -10.01%, compared to a -4.75% return for its benchmark, the Russell Midcap Growth Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Ivy Investment Management Company began managing the Fund on November 1, 2013, and some investment policies changed at that time. Other firms managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We at Ivy maintain the Fund’s strategy by investing primarily in equity securities of technology companies and technology related companies around the globe. The Fund may also invest in companies that, in our opinion, utilize technology as an agent of change to significantly enhance their business opportunities (or are expected to benefit from the use or commercial application of technology). The Fund’s strategy aims to identify strong, secular trends within industries and then apply a bottom-up stock selection process by considering a number of factors in selecting securities, including growth and earnings potential, quality of management, valuation, financial statements, industry/market size potential, and applicable market and economic conditions.
Relative underperformance during the reporting period was primarily driven by both sector allocations and individual stock selection. The primary factors in the Fund’s relative underperformance for the reporting period were stock selection issues in the consumer discretionary and consumer staples sectors. We were underweight in the underperforming consumer discretionary sector, but the Fund’s exposure to retail and related sectors detracted from performance in a year when e-commerce activity accelerated, taking market share and requiring many retailers to step up investment to try to maintain competitiveness and relevance to consumers. These costs and higher labor expense pressured the profitability of many companies in the Fund. An overweight position in the poorly performing energy sector was a significant, but lesser factor contributing to the
| See benchmark definitions on A-30 – A-32 |
A-16
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Fund’s relative underperformance. Stock selection in the information technology sector detracted from performance during the reporting period. The Fund’s small cash allocation averaged approximately 1.8% during the reporting period and detracted from performance.
All other sectors contributed positively to relative performance, with the greatest positive impacts from the financials, materials, health care, and industrials sectors. The Fund’s lack of exposure to the telecommunications sector also generated positive relative performance for the reporting period as this segment of the benchmark was one of the worst performing during the reporting period. The Fund’s financials names made the largest positive contribution to performance over the reporting period. They outperformed their benchmark by a wide margin, delivering a positive absolute return against a negative return for the sector in the benchmark. Two of our bank stocks led the outperformance, based on strong growth in their businesses and a more favorable interest rate environment.
The top three securities detracting from Fund performance for the reporting period were Pandora Media, Alkermes and Urban Outfitters.
The top three securities contributing to the Fund’s performance for the reporting period were Mattel Inc., Fastenal Co. and Valspar.
PF Mid-Cap Value Fund (sub-advised by Boston Partners)
Q. How did the Fund perform for the period ended March 31, 2016?
A. The PF Mid-Cap Value Fund commenced operations on July 29, 2015. For the period from inception through March 31, 2016, the Fund’s Class P returned -2.30%, compared to a -1.21% return for its benchmark, the Russell Midcap Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the period, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the period from inception through March 31, 2016, the Fund’s Class P underperformed the benchmark. Under normal market conditions, the Fund invests primarily in common stock of mid-capitalization U.S. companies that we, the management team at Boston Partners, identify as having value characteristics along with strong business fundamentals and positive business momentum. In selecting investments for the Fund, various factors are examined in order to determine the value characteristics of an issuer, including price-to-book value ratios and price-to-earnings ratios. These value characteristics are examined in the context of the issuer’s fundamentals and business momentum, such operating return on operating assets, earnings growth and cash flow. Securities for the Fund are selected based on a continuous study of trends in industries and companies, including the anticipated stability of earnings.
During the reporting period, the Fund maintained just over half the exposure to utilities as compared to its benchmark, which was a large detractor from relative performance; while many utilities companies do not surpass our business fundamentals or valuation criteria, utilities was the best-performing sector within the benchmark during the reporting period. Additionally, security selection within the financials sector was a detractor, as positions in financial services firms such as Raymond James and TD Ameritrade were negatively affected by the Fed’s decision to raise rates more gradually than the market had anticipated amid an increasingly calamitous global economic backdrop. Security selection within the technology sector also detracted from the Fund’s relative performance, as slowing PC hardware sales negatively affected the Fund’s positions in Western Digital and Seagate Technology.
The Fund benefitted from security selection within the health care sector, as the avoidance of several biotechnology and health care services companies aided relative performance. Relative performance was also strengthened by maintaining an underweight allocation to energy relative to the benchmark, as well as owning several companies that we believe to be better positioned than peers, including Parsley Energy, RSP Permian, and Diamondback Energy. Additionally, owning what we perceive as less cyclical companies compared to peers within the industrials sector—Masco, Huntington Ingalls, and Raytheon—benefitted relative performance. Lastly, Fund holdings within the consumer discretionary sector outperformed their benchmark peers, as several companies in the media, automobile components, and retailing segments of the sector posted strong returns amid an overall negative return environment for consumer discretionary stocks.
| See benchmark definitions on A-30 – A-32 |
A-17
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
During the reporting period, which was marked by significant volatility, areas within the benchmark that offered high dividend yields performed the strongest, namely utilities, consumer staples, and telecommunications. The Fund maintained underweight exposure to those areas primarily due to valuation and/or business momentum reasons, but we were able to partially offset that headwind to relative performance by generating positive security selection for the reporting period.
PF Small-Cap Growth Fund (sub-advised by Lord, Abbett & Co. LLC)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Small-Cap Growth Fund’s Class P returned -23.59%, compared to a -11.84% return for its benchmark, the Russell 2000 Growth Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Lord, Abbett & Co. LLC began managing the Fund on May 1, 2014, and some investment policies changed at that time. Other firms managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. The Fund seeks to own small-capitalization growth companies that we at Lord Abbett believe have above-average, long-term growth potential, including companies that can transform markets through innovative products and services.
The leading detractor from Fund performance relative to the benchmark during the reporting period was stock selection within the information technology sector. Within this sector, the Fund’s position in GrubHub, Inc., an online and mobile platform for restaurant pick-up and delivery orders, was a primary detractor. Shares of GrubHub faced headwinds during the reporting period as the company attempted to combat competitive pressure by investing more in delivery, which led to disappointing earnings in the third quarter of 2015. Another large detractor within the sector was the Fund’s position in Nimble Storage, Inc., an engineer of a data storage platform. The stock fell as the company reported third quarter 2015 revenue below consensus estimates and previous guidance, and management indicated that they no longer expected to reach positive operating income by the end of 2015 as they had previously anticipated.
Stock selection in the health care sector was another detractor from Fund performance relative to the benchmark during the reporting period. Within this sector, the Fund’s holdings of Spark Therapeutics, Inc., a gene therapy company focused on rare-blindness conditions, detracted most. Broad-based biotech weakness weighed on shares during the reporting period, a phenomenon that was exemplified by the muted market response to positive data from a phase 3 trial for one of Spark’s rare blindness treatments in October. Another detractor within the health care sector was the Fund’s position in Fluidigm Corp., a manufacturer of life science tools. Early in the reporting period, Fluidigm reported revenues below consensus estimates, which led management to reduce full year guidance.
The industrials sector also detracted from Fund performance relative to the benchmark during the reporting period. Within this sector, the Fund’s holdings of Builders FirstSource, Inc., a supplier and manufacturer of building products for residential new construction, detracted most. Shares faced headwinds during the reporting period due to market caution towards levered stocks, such as Builders FirstSource. Another detractor within the industrials sector was the Fund’s position in Astronics Corp., a supplier of products to the aerospace, defense, consumer electronics, and semi-conductor industries. Shares of the company were weighed down by the company’s failure to announce the renewal of a large test contract prior to the end of 2015.
The two largest contributors to Fund performance relative to the benchmark during the reporting period were underweight positions in the energy and materials sectors. These were two of the three worst performing sectors in the benchmark and minimizing the Fund’s exposure to these troubled areas proved prudent.
| See benchmark definitions on A-30 – A-32 |
A-18
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
At the individual security level, the largest contributor to Fund performance relative to the benchmark during the reporting period was the Fund’s position in Skechers USA, Inc., a designer and marketer of lifestyle footwear. The company’s shares rose 35% in the month following its first quarter of 2016 earnings report, beating consensus earnings estimates despite some currency headwinds. Another large individual contributor was the Fund’s position in Ultragenyx Pharmaceutical, Inc., a clinical-stage biopharmaceutical company. In early July 2015, Ultragenyx reported impressive data from a phase 2 trial for one of its treatments, which helped the case for its accelerated approval. The Fund’s position in MarketAxess Holdings, Inc., an electronic trading platform, was another strong contributor during the reporting period. MarketAxess continued to execute, consistently growing its market share to the point where it was responsible for more than 20% of the average daily volume in the high-grade market (excluding 144A securities) in December, which represented a record level for the company.
PF Small-Cap Value Fund (sub-advised by AllianceBernstein L.P.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Small-Cap Value Fund’s Class P returned -2.29%, compared to a -7.72% return for its benchmark, the Russell 2000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | AllianceBernstein L.P. began managing the Fund on May 1, 2014 and some investment policies changed at that time. Another firm managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. We at AllianceBernstein maintain the Fund’s investment objective by seeking long-term growth of capital. The Fund seeks out-of-favor small-capitalization stocks with attractive long-term earnings prospects that the Fund’s investment team believes are undervalued. We believe that small-capitalization stocks offer greater opportunity for fundamental stock selection since they’re covered by fewer industry analysts. The Fund invests primarily in a portfolio of equity securities of small-capitalization U.S. companies.
During the reporting period, the Fund fell in absolute terms but outperformed the benchmark. Overall security selection contributed to its performance led by the Fund’s industrials and financials holdings. Stock selection in the consumer-discretionary, energy and consumer-staples sectors also contributed to the Fund’s performance during the reporting period. Stock selection in the technology and materials sectors detracted from its relative performance.
Overall sector allocation had a negative effect on performance for the reporting period. Underweight positions in financials and utilities counteracted the positive effects of an overweight in technology and an underweight in energy.
The leading contributor to Fund performance was StanCorp Financial, a U.S.-based provider of employee insurance and annuity products. StanCorp was acquired at a substantial premium by Japanese company Meiji Yasuda, which was attracted to its strong U.S. franchise. In the technology sector, Fairchild Semiconductor shares rose following an announcement that ON Semiconductor intended to acquire Fairchild for $20 per share in cash, a premium over where Fairchild Semiconductor shares had been trading earlier this fall. Despite market anxiety surrounding U.S. retailers in general, The Children’s Place (specialty retailer of children’s apparel and accessories) stock outperformed, driven by stronger-than-expected earnings and same-store sales. Investors reacted positively to the company’s operating margin expansion, which came from continued success of its merchandising and inventory optimization strategy.
The declining oil prices and sluggishness in the energy sector drove down shares of exploration & production companies. Detracting from Fund performance was the Fund’s holding in SM Energy, which underperformed along with other U.S. oil and gas producers due to expectations of continued weakness in oil and gas prices.
| See benchmark definitions on A-30 – A-32 |
A-19
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Also detracting from Fund performance was home décor retailer, Pier 1 Imports, which reported disappointing sales and margins as the company faced headwinds from increasing online competition and rising inventory levels. The retailer also experienced sales drag from higher than expected cannibalization of its retail store sales by its own online store offerings. Bloomin’ Brands, an operator of restaurant chains such as Outback Steakhouse and Carrabba’s Italian Grill, also underperformed, detracting from Fund performance. The company reported store sales below expectations, fueling fears that revenue growth pressure would offset the company’s efficiency initiatives.
PF Emerging Markets Fund (sub-advised by OppenheimerFunds, Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Emerging Markets Fund’s Class P returned -10.09%, compared to a -12.03% return for its benchmark, the MSCI Emerging Markets Index (Net).
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. We, the Oppenheimer emerging markets team, are long-term investors in what we view as extraordinary companies that have massive competitive advantages and real options that manifest themselves over many years. The Fund mainly invests in common stocks of issuers in developing or emerging markets throughout the world, and focuses on companies with above-average earnings growth. While cyclical slowdowns can hurt all companies, extraordinary companies can often emerge from difficult periods with even greater competitive advantages. This is because such companies tend to have the cash flow and balance sheet flexibility to invest their businesses even during tough times. Using our long term, bottom-up focus, we seek to take advantage of dislocations in the market and to buy these companies at compelling valuations.
Macro driven turbulence dominated the market’s performance during the reporting period. Whether it was decelerating growth in China, dramatic currency and commodity price movements, and the Fed’s decision to raise interest rates, there was no shortage of macroeconomic headlines during the reporting period. This made for a volatile period for emerging markets.
Relative to the benchmark, the Fund’s outperformance during this reporting stemmed primarily from stock selection in China. Stock selection in the Philippines, Malaysia and Thailand also benefited the Fund’s performance relative to the benchmark, as well as an overweight position in Hong Kong and an underweight position in South Korea. From a sector perspective, consumer discretionary, information technology, financials and industrials holdings drove the Fund’s outperformance versus the benchmark. The Fund underperformed the benchmark within the consumer staples, materials and telecommunication services sectors as a result of stock selection.
During the reporting period, the top individual contributors to performance included New Oriental Education & Technology Group, Inc. (consumer discretionary) (China), BM&FBovespa (financials) (Brazil), Tencent Holdings Ltd. (information technology) (China), Taiwan Semiconductor Manufacturing Co., Ltd. (information technology) (Taiwan), and Lojas Americanas S.A. (consumer discretionary) (Brazil). New Oriental Education & Technology Group is a private education company in China. We believe the company is well-positioned to benefit from the increase in education spending in China, as parents invest in their children’s success. New Oriental has made impressive investments to embed technology into its classrooms and the stock has done well following the launch of its new online-to-offline service offering. BM&FBovespa holds a monopoly position in the trading and post-trading operations for cash equities and derivative securities in Brazil. Brazil has relatively underdeveloped capital markets, with relatively few companies listed compared to other stock exchanges around the world. Over the long term, we believe the company should benefit as the number of companies listed grows and the velocity of shares traded increases. The company’s shares rallied dramatically as Brazilian equities returned to favor and trading volumes increased. Rumors that BM&FBovespa would merge with Cetip, a Brazilian securities depository and clearinghouse, also bolstered the shares. Tencent Holdings, a Chinese Internet social networking
| See benchmark definitions on A-30 – A-32 |
A-20
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
company, has an online community nearly the size of Facebook’s. Users can access Tencent offerings through desktop and mobile devices. This platform, with its extensive size and ease of access, enables Tencent to offer an increasing number of services. The company monetizes some of the services by selling accompanying ad space and by offering subscription services to users. The company reported strong fourth quarter of 2015 earnings due in part to growth in online games and social networking revenue. Taiwan Semiconductor is a global manufacturer of discrete semiconductor devices whose shares rallied after delivering a better-than-expected outlook. Excess inventories have been wound down and demand appears to be picking up. Lojas Americanas is a Brazilian retailer that had a strong reporting period. The company sells a diversified mix of products and has a loyal following. Penetration of quality formal retail is still relatively low in Brazil, which leaves room for Lojas to expand its store base. The business tends to be very resilient and has fared relatively well in the challenging Brazilian macroeconomic environment.
The most significant detractors from performance this reporting period included Housing Development Finance Corporation Ltd. (financials) (India), Prada S.p.A. (consumer discretionary) (Hong Kong), Companhia Brasileira de Distribuicao (consumer staples) (Brazil), MediaTek, Inc. (information technology) (Taiwan), Tingyi (Cayman Islands) Holding Corp. (consumer staples) (China). Housing Development Finance Corp. (HDFC) is the leading provider of mortgages in India—a country with an underpenetrated housing market. HDFC also has holdings in a leading insurance company and asset manager in India. The company is facing a period of sluggish loan growth. Prada suffered along with the rest of the luxury goods industry with a difficult consumption environment, particularly in non-Japan Asia. These issues do not change the fact that Prada operates in an industry with high barriers to entry, strong secular tailwinds and strong pricing power for their brands. Companhia Brasileira de Distribuicao is a Brazilian retailer that experienced declines this reporting period. The central business district operates food and non-food formats. Its food segment has done moderately well as consumers gravitated to formats offering discounts and deals. However, other segments have been challenged, with traffic and sales down dramatically at one of its non-food formats. Profitability has also been squeezed with the better performance of the lower margin food business. As a result, we have trimmed the position.
MediaTek is a Taiwanese semiconductor chip designer and integrated circuit maker. The company’s products are used in smartphones, particularly the “white label” products, which are less expensive versions that are manufactured in China. Sluggish smartphone demand and intensified competition have hurt pricing and margins. We expect the company to face long-term headwinds and have exited the position. Tingyi (Cayman Islands) Holding Corp., along with its subsidiaries, is the largest instant noodle producer in China. The company reported a decline in profit for 2015. The sales in Tingyi’s instant noodle business declined following price hikes that weren’t replicated by the competition, resulting in a loss of market share. Additionally, its products in the beverage segment were not properly positioned. We have seen some volume recover in the first quarter of 2016 and are monitoring developments closely.
PF International Large-Cap Fund (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF International Large-Cap Fund’s Class P returned -8.93%, compared to a -8.27% return for its benchmark, the MSCI EAFE Index (Net).
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We, the MFS investment management team, use a bottom-up investment style, involving the research of the fundamentals of each individual opportunity and analyzing certain aspects of a company such as earnings, cash flows, growth potential and management abilities. In managing the Fund, we invest primarily in the securities of foreign issuers with large market capitalizations.
| See benchmark definitions on A-30 – A-32 |
A-21
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Stock selection in the health care and industrial goods & services sectors detracted from relative performance. Within health care, owning Canadian pharmaceutical company Valeant Pharmaceuticals (not a benchmark constituent; not held at reporting period end) and overweight positions in pharmaceutical companies Bayer (Germany) and Merck weighed on relative returns as shares of all three companies fell during the reporting period. Within the industrial goods & services sector, the Fund’s overweight position in power for aircraft, ships and land applications provider Rolls-Royce (U.K.) hindered relative results.
The Fund’s underweight allocation to the utilities & communications sector also dampened relative performance. However, there were no individual securities within this sector that were among the top relative detractors for the reporting period.
Individual stocks that detracted from relative results included overweight positions in industrial gas supplier Linde (Germany), banking group Standard Chartered (not held at reporting period end) (U.K.), global sourcing and supply chain management company Li & Fung (Hong Kong) and oil and gas exploration company INPEX (Japan), as these stocks performed poorly during the reporting period. Additionally, holding South Korean microchip and electronics manufacturer Samsung Electronics (not a benchmark constituent; not held at reporting period end) and avoiding tobacco distributor British American Tobacco (U.K.) held back relative returns.
During the reporting period, the Fund’s currency exposure, resulting primarily from differences between the Fund’s and the benchmark’s exposures to holdings of securities denominated in foreign currencies, was another detractor from relative performance. As our investment decisions are primarily driven by the fundamentals of each individual opportunity, it is common for our Funds to have different currency exposures than the benchmark.
Strong stock selection in the technology sector benefited performance relative to the benchmark. Within this sector, the Fund’s holdings of semiconductor company Taiwan Semiconductor Manufacturing (not a benchmark constituent) (Taiwan) aided relative returns as the stock outpaced the index during the reporting period.
An overweight allocation to the consumer staples sector further supported relative performance. Overweight positions in Japanese tobacco company Japan Tobacco, household products manufacturer Reckitt Benckiser (U.K.) and French international food company Danone boosted relative results.
Stock selection and an overweight allocation in the leisure sector also lifted relative performance. The Fund’s overweight position in U.K.-based advertising and marketing firm WPP Group and owning shares of fast food restaurant company Yum! Brands (not a benchmark constituent) elevated relative returns.
In other sectors, the Fund’s overweight positions in medical products and equipment manufacturer Terumo (Japan) and catering company Compass Group (U.K.) helped relative returns. Avoiding mining giant BHP Billiton (U.K.) and Spanish financial services firm Banco Santander further aided relative results as shares of these companies lagged the benchmark during the reporting period.
PF International Small-Cap Fund (sub-advised by QS Batterymarch Financial Management, Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF International Small-Cap Fund’s Class P returned 0.22%, compared to a 1.96% return for its benchmark, the S&P Developed Ex-U.S. SmallCap Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
| See benchmark definitions on A-30 – A-32 |
A-22
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We at QS Batterymarch maintain a well-diversified, style neutral Fund with modest region and sector allocations versus the benchmark through the combination of bottom up stock selection based on fundamentals and implemented with quantitative tools, risk controls and cost efficient trading. Our focus is securities of companies with small market capitalization that are located in developed, foreign countries. The Fund continues to invest in more than 200 companies and generally expects to invest in about the same number of non-U.S. countries as the benchmark.
For the reporting period, stock selection results were mixed at the region and sector level and had little impact on relative performance overall. Stock selection was strong in continental Europe, especially in the consumer staples and industrials sectors, and in the U.K., led by materials.
At the security level, an overweight to Spanish manufacturing company Gamesa Corporacion Tecnologica was the largest contributor to relative performance. The firm is involved with the fabrication of wind turbines and the construction of wind farms. An overweight to Toronto-based specialty packaging company CCL Industries Inc. was also a strong contributor. The company reported record fourth quarter of 2015 and annual results in February, and in March acquired Zephyr Company (Private) Limited, a privately held company headquartered in Singapore, and its two Malaysian subsidiaries pushing up the firm’s stock price. Construction firm Kyudenko Corporation was also a strong contributor, returning over 120% for the reporting period following better than expected orders in its solar segment and improved margins across most of its construction businesses.
Stock selection in Japan was the biggest detractor from relative performance, primarily in industrials and financials. Stock selection also detracted from relative return in the commodity-sensitive countries of Australia, New Zealand and Canada, despite strong results in the financials sector.
At the stock level, the largest detractor was an overweight to Canada’s leading coal export facility, Westshore Terminals Investment Corporation. The stock was a poor performer following the decision by several customers to reduce their export volumes due to weak coal prices. Overweights to South Korea’s Mirae Asset Securities Co., Ltd., which specializes in investment banking and securities trading and was impacted by a slowdown in trading globally, and Japan Aviation Electronics Industry, Limited, which sells electronic components and was hurt by slowing sales of the latest iPhone model, also detracted, with both holdings posting negative returns significantly below benchmark.
Region and sector allocation detracted modestly from relative performance, primarily due to an underweight in Australia, New Zealand and Canada where benchmark results were relatively strong. This negative impact was largely mitigated by an underweight to developed Asia ex Japan.
PF International Value Fund (sub-advised by J.P. Morgan Investment Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF International Value Fund’s Class P returned -10.87%, compared to a -8.27% return for its benchmark, the MSCI EAFE Index (Net).
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | J.P. Morgan Investment Management, Inc. began managing the Fund on January 1, 2011, and some investment policies changed at that time. Other firms managed the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
| See benchmark definitions on A-30 – A-32 |
A-23
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We at J.P. Morgan seek to add value to client’s portfolios by capitalizing on what we believe are mis-valuations that arise within and across the world’s equity markets. We do this by investing primarily in equity securities of relatively large non-U.S. companies that we believe to be undervalued securities, as identified by in-house valuation tools and research analysts. Our process is dominated by bottom-up stock selection.
From a sector perspective, an underweight allocation to the consumer non-durable sector, and stock selection in banks and health care had a negative impact on Fund performance, while stock selection in telecommunication services, industrial cyclicals and energy aided returns. Regionally, stock selection in Continental Europe, Japan and the Pacific Rim detracted from performance, while stock selection in the U.K. and an overweight allocation to Japan contributed.
At the stock level, Credit Suisse, the Swiss bank, had a difficult period. European banks in general struggled as falling energy prices, stricter capital requirements, weaker growth in emerging markets, stock market turbulence and an ultra-low interest rate environment raised questions about the industry’s ability to meet profitability targets. Large banks, and banks with significant investment banking units in particular, are being subjected to more stringent capital requirements. Credit Suisse’s new CEO, Tidjane Thiam (formerly the head of Prudential plc) is seeking to bolster Credit Suisse’s profitability by expanding its wealth management operations, cutting costs and scaling back its investment banking unit. Thanks to raising additional capital late last year, we believe the bank should have the financial headroom to pursue its new strategic plans while ensuring that it can meet stricter capital requirements scheduled to take effect over the next few years.
On the upside, BG Group, the U.K. oil and gas producer, was a strong performer. The stock surged on the back of a $70 billion takeover offer from Royal Dutch Shell. Holders of BG received a combination of cash and shares of the new combined entity as payment. We view the combined entity as a potentially attractive investment. In addition to being able to generate significant cost savings, the new company will have a stake in Brazil’s deep-water fields (one of the largest developments in the world) and arguably be the leading global liquid natural gas (LNG) company. Shell is betting LNG will play an increasing role in emerging markets seeking alternatives to dirtier energy sources like coal.
Derivatives are used to manage currency deviations relative to the benchmark, e.g., our stock selection process could lead us to significantly underweight the Japanese market, which in turn could effectively cause us to underweight the yen. In such a situation, we may, where practical, seek to reduce that yen underweight through the use of currency forwards. Please note that we do not seek to add value via active currency management, but strive simply to reduce currency deviations versus the benchmark as a method of risk management. This means that currency does not materially add or subtract value from the Portfolio relative to the benchmark. The currency exposure in all our portfolios is managed by our separate currency overlay team. The use of currency forwards was a modest positive contributor over the reporting period.
PF Real Estate Fund (sub-advised by Morgan Stanley Investment Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Real Estate Fund’s Class P returned 3.61%, compared to a 1.78% return for the broad-based S&P 500 Index and a 4.43% return for the sector-specific benchmark, the FTSE NAREIT Equity REITs Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmarks for the ten-year period ended March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Morgan Stanley Investment Inc. manages the Fund and formerly did business in certain instances under the name Van Kampen, and managed the Fund under the Van Kampen name from the Fund’s inception until May 31, 2010. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
| See benchmark definitions on A-30 – A-32 |
A-24
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the broad-based S&P 500 Index but underperformed the sector-specific FTSE NAREIT Equity REITs Index. We, the managers at Morgan Stanley have maintained our core investment philosophy as a real estate value investor, resulting in the ownership of stocks whose share prices we believe provide real estate exposure at the best valuation relative to their underlying asset values. Our company-specific research leads us to an overweighting in the Fund to a group of companies that are focused in the ownership of high quality malls, primary central business district (CBD) office assets, full-service hotels, apartments, and a number of out-of-favor companies and an underweighting to companies concentrated in the ownership of data center, health care, and net lease assets.
From a bottom-up perspective, stock selection contributed to Fund performance relative to the sector specific index. Stock selection in the primary CBD office, health care, net lease, retail, and secondary CBD/suburban office sectors positively impacted relative performance. This was partially offset by stock selection in the hotel and data center sectors, which detracted from the Fund’s relative performance.
From a top-down perspective, sector allocation detracted from Fund performance relative to the sector specific index. The underweight to the diversified, health care and secondary CBD/suburban office sectors, as well as the overweight to the apartment sector, contributed to the Fund’s relative performance. However, this was more than offset by relative losses from the underweight to the data center and storage sectors, and the overweight to the hotel and primary CBD office sectors.
The Fund outperformed the broader equity markets, as measured by the broad-based index, as U.S. property stocks benefited from continued improvements in underlying property fundamentals and continued evidence of strong asset valuations in the underlying real estate markets. While the Fund outperformed the broad-based index for the reporting period, in the second quarter of 2015 the Fund meaningfully underperformed broader equity markets, generally coinciding with increases in interest rates.
PF Absolute Return Fund (sub-advised by BlueBay Asset Management LLP)
Q. How did the Fund perform for the period ended March 31, 2016?
A. The PF Absolute Return Fund commenced operations on April 27, 2015. For the period from inception through March 31, 2016, the Fund’s Class P returned -7.59%, compared to a 0.06% return for its benchmark, the Citigroup 1-Month U.S. T-Bill Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the period, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the period from inception through March 31, 2016, the Fund’s Class P underperformed the benchmark. We at BlueBay maintain the Fund’s strategy by seeking to provide positive total return. The Fund looks to generate performance from six main areas of decision: term structure, sovereign credit alpha, sovereign credit beta, corporate credit alpha, corporate credit beta and currencies.
Term structure decisions overall had a limited impact on Fund performance over the reporting period. Performance was lost in June when the Fund had a relative value call to be long European duration versus short duration in the front end of the U.S. curve (via eurodollar futures) to play divergence in monetary policy. The Fund was also outright long German bunds as protection against the potential exit of Greece from the euro monetary union (known as ‘Grexit’). Furthermore, during November, Fund performance was impacted from a U.S. swap spread widening position, as 10-year swap spreads moved negative. During the final three months of the reporting period, term structure decisions benefited performance, as the Fund was positioned meaningfully long duration early in 2016, while core government yields fell on the back of risk-off sentiment, lower oil prices and increasingly dovish central banks.
We implemented bottom-up selection in sovereign credit (sovereign credit alpha), which detracted from Fund performance. Our positioning into the summer months of 2015 was long emerging market sovereigns versus short the European periphery in Europe via Italian Buoni del Tesoro Poliennali (BTP) futures (Italian government bond futures). We believed there was a real risk of Grexit. Meanwhile emerging markets
| See benchmark definitions on A-30 – A-32 |
A-25
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
assets in euros appeared cheap and therefore we believed should benefit from the hunt-for-yield from European government bond investors, on the back of quantitative easing (QE) from the European Central Bank (ECB). In fact, Grexit was averted at the last minute causing spreads in BTPs to tighten, while concerns over China escalated causing emerging markets spreads to widen. In September, credit spreads generally saw weakness and again the Fund’s positions in emerging markets issuers, led by Mexico, were meaningfully wider. The Fund’s performance saw a meaningful recovery as markets bounced back in October, but performance was again affected later in the calendar year as oil and commodity price falls hurt emerging markets sentiment. Towards the end of the reporting period our positioning in sovereign credit detracted meaningfully as our long positions in the European periphery, led by Cyprus and Spain, and in emerging markets credits like Mexico, suffered from the risk-off tone in January and February, and failed to recover fully as risk assets recovered in March.
Sovereign credit beta was positive, adding to Fund performance. The beta element is effectively the performance from the decision on whether to be long or short sovereign credit. The Fund was long for a good part of 2015 and flat during the middle of last year, which proved beneficial to performance. However, clearly from the breakdown in performance between bottom-up and top-down positioning, the bottom-up positioning was far more important to get right than the overall direction of travel over the reporting period.
Corporate credit (bottom-up) alpha, detracted from performance meaningfully over the reporting period. The sector that experienced the majority of volatility through 2015 was energy and commodities. With meaningful weakness through the second half of 2015, the Fund’s long positions in energy names detracted from performance. Long positions included Atwood, Teck Resources, Continental, Noble Corp, Kinder Morgan and WPX. Although the Fund did offset some of these positions with short positions, through credit default swaps in names like Anglo American, Glencore, Anadarko and Repsol, the resources names still cost well over half of the Fund’s performance drag through the end of 2015 from bottom-up corporate positioning. Away from the commodity space, Seagate Technology, the U.S. technology company, detracted from performance following the company’s October profit warning, and the Fund’s long position in General Motors detracted further from Fund performance. Additional drags on Fund performance came from European corporate hybrid names such as EDF, Orange and TDC. However, performance from subordinated financial positions such as Lloyds Bank and senior RBS bonds added to Fund performance. The first quarter of 2016 saw a shift in market performance at the sector level, with a reversal of trends seen during the second half of 2015, with commodity sectors leading the way, but with subordinated financials the significant underperformer. As such the Fund’s long subordinated bank positions led by RBS, Barclays and Intesa were meaningful detractors, driving much of the bottom-up corporate underperformance over the final three months of the reporting period.
The top-down call on credit was also negative (corporate credit beta) and detracted from Fund performance. The Fund maintained an overweight credit position for much of 2015 as we believed that supportive monetary policy would benefit corporate spreads. In fact, the tightest levels seen in European credit spreads was at the start of March 2015, on the day that the ECB started their QE bond buying. Spreads from that point forward were meaningfully wider by calendar year end. However, we moved positioning from long corporate risk to short corporate risk gradually through January and February 2016. This shift proved to be premature as spreads recovered from early-year widening on the back of a recovery in oil prices and dovish central bank moves.
The contribution from currencies was also negative for Fund performance over the reporting period. Fund positions were implemented using foreign exchange forwards. During the third quarter of 2015, the Fund increased risk to several emerging markets currencies including the Mexican peso, Malaysian ringgit and Hungarian forint, following the emerging markets weakness in late August. While this benefited the Fund in the last few days of August, with emerging markets currencies weakening in September on Chinese and general emerging markets concerns, we exited these positions after reaching stop-loss levels. The currency positions, as well as the Fund’s short position on China and euro positions versus the U.S. dollar, were all negative for Fund performance over the last two quarters of 2015. Toward the end of 2015 key underperforming positions were the Fund’s long Mexican peso, long Australian dollar, and long South African rand positions. These currency exposures were reduced after reaching stop losses. Moving into 2016 currencies once again dragged on performance, driven particularly by short positions in the Chinese renminbi and Saudi riyal.
| See benchmark definitions on A-30 – A-32 |
A-26
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
PF Currency Strategies Fund (co-sub-advised by Macro Currency Group and UBS Asset Management (Americas) Inc.)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Currency Strategies Fund’s Class P returned 0.35%, compared to a 0.06% return for its benchmark, the Citigroup 1-Month U.S. T-Bill Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Effective October 30, 2015, UBS Global Asset Management (Americas) Inc. changed its name to UBS Asset Management (Americas) Inc. Macro Currency Group became co-sub-adviser to the Fund on May 1, 2014, and some investment policies changed at that time. UBS Global Asset Management (Americas) Inc. was the sole sub-adviser to the Fund before that date. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P outperformed the benchmark. The Fund is co-sub-advised by MCG and UBS. The following are separate discussions from each of the co-sub-advisers.
MCG
We at MCG identify investment opportunities using both quantitative and qualitative approaches. We manage a part of our portion of the Fund under a quantitative approach that is used for its longer-term “systematic” strategy. We use this systematic strategy to seek to capture longer-term fundamental shifts in currency movements (typically a twelve-month time horizon). We manage the other part of our portion of the Fund applying a qualitative approach that is used for its shorter-term “discretionary” investment strategy. We use this discretionary strategy to seek to identify and take advantage of macroeconomic themes that influence exchange rates over the medium-term (typically a two week to six-month horizon), a shorter time horizon than the systematic strategy. Both the quantitative and qualitative approaches utilize non-deliverable currency forwards as part of the Fund’s investment strategy.
Our co-managed portion of the Fund’s discretionary sub-component contributed positively over the course of the reporting period contributing to our portion of the Fund’s performance, while the systematic sub-component’s return was negative.
Over the course of the reporting period, we held various positions, both long and short, across the G10 universe primarily through the use of derivatives, including non-deliverable forwards. The main detractors from our portion of the Fund’s performance were the New Zealand dollar and the Swiss franc. The New Zealand dollar position (predominantly long during the reporting period) was held given the country’s relatively high interest environment, while the short Swiss franc position was driven by the country’s low interest rate environment as well as Purchasing Power Parity (PPP) valuation considerations.
The long New Zealand dollar position’s underperformance was primarily driven by the currency’s sensitivity to the fall in commodity prices witnessed throughout 2015 and the slowdown in the domestic economy. The New Zealand dollar experienced particularly large moves in the second quarter of 2015. The short Swiss franc position’s negative contribution to performance during the reporting period primarily stemmed from its perceived attractiveness as a safe haven currency (disregarding multitude fundamental headwinds) and significant repatriation by domestic investors.
The three biggest contributors to our portion of the Fund’s performance were positions in the Japanese yen, the euro, and the Canadian dollar. The Japanese yen, tactically traded throughout the reporting period, was the biggest contributor to performance as we continued to successfully navigate developments within the Japanese economy under Prime Minister Abe.
| See benchmark definitions on A-30 – A-32 |
A-27
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
UBS
We at UBS maintained a portion of the Fund’s strategy by seeking to gain positive exposures to currencies that we believe are undervalued and have negative exposures to currencies that are believed to be overvalued. For the reporting period, derivatives, including non-deliverable forwards, had a positive impact on our portion of the Fund’s performance.
We retain conviction in our short Swiss franc position against euros as the currency appears to be overshot following actions from the Swiss central bank, and still appears significantly overvalued. We also maintain long positions in the Japanese yen and select emerging market currencies versus the U.S. dollar as these are attractively valued.
Our portion of the Fund held a short Swiss franc position against the euro throughout the reporting period, which was one of the largest drivers of performance. Although prior to the reporting period, the Swiss National Bank’s removal of the 1.20 EUR/CHF (euro and Swiss franc currency pairs) floor in January 2015 resulted in an immediate appreciation of the CHF Swiss franc and it remains in overvalued territory. We believe this will weigh on the Swiss economy and as a result, will continue to drive a correction in the currency.
Over the reporting period, the Australian dollar and New Zealand dollar short positions against the U.S. dollar positively impacted our portion of the Fund’s performance as monetary policy expectations for these economies dominated market sentiment and pricing. Although we closed our short Australian dollar position, we continue to hold an underweight exposure to the New Zealand dollar against the U.S. dollar as it remains overvalued and there are vulnerabilities facing the New Zealand economy.
Our portion of the Fund also held a long position in the Japanese yen against the U.S. dollar and euro given its attractive valuation. This position contributed to performance, in part benefitting from the Japanese yen’s risk-off characteristics.
Elsewhere, our portion of the Fund suffered from an overweight position in the Swedish krona against the euro. The Swedish Riksbank cut rates and expanded their QE program and the euro rebounded from its lows, causing a loss to our portion of the Fund’s value.
In emerging markets, our portion of the Fund’s long Mexican peso against Malaysian ringgit and long Indian rupee against Korean won trades were both additive to our portion of the Fund’s performance as large exposures to China caused the Malaysian ringgit and Korean won to depreciate as Chinese sentiment weakened throughout the reporting period.
However, a long Mexican peso position against KRW detracted from performance, as did the long Philippine peso against the U.S. dollar and Thai Baht due to the relative exposures during bouts of emerging market weakness.
PF Equity Long/Short Fund (sub-advised by AQR Capital Management, LLC)
Q. How did the Fund perform for the period ended March 31, 2016?
A. The PF Equity Long/Short Fund commenced operations on April 27, 2015. For the period from inception through March 31, 2016, the Fund’s Class P returned 20.01%, compared to a -6.84% return for the broad-based MSCI World Index (Net) and -3.18% for the Equity Long/Short Composite Benchmark.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmarks for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||||||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the period, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the period from inception through March 31, 2016, the Fund’s Class P outperformed both the broad-based MSCI World Index (Net) and the Equity Long/Short Composite Benchmark. We at AQR maintain the Fund’s strategy by seeking to provide higher risk-adjusted returns with lower volatility relative to global equity markets. The strategy seeks to generate returns from three different sources, including: 1) the potential gains from its long/short equity positions by generally entering into total return basket swaps, 2) overall exposure to equity markets, generally through the use of futures and currency forwards contracts, and 3) the tactical variation of its net exposure to equity markets. The strategy primarily seeks
| See benchmark definitions on A-30 – A-32 |
A-28
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
to add alpha (excess return over the broad-based benchmark) via its long/short (market-neutral) stock portfolio. It also manages its beta (a measure of the Fund’s sensitivity to broad global market movements) relative to the broad-based benchmark to a long-term target of 0.5, and within a shorter-term range of 0.3 to 0.7 (which indicates a moderate to high sensitivity to broad global market movements), depending on market views. The Fund invests both in total return basket swaps and futures contracts, as well as currency forwards, to gain economic exposure to single name equities and global equity markets. These derivative positions are responsible for substantially all the performance in the Fund.
Global developed equity markets underperformed in 2015 and also performed poorly during the last eight-month period of 2015 since the Fund’s inception, driven mainly by expectations of slower growth in China and other large emerging markets as well as poor performance in energy and mining stocks.
The stock selection strategy was responsible for all of the Fund’s outperformance. Returns were driven by strong performance of nine of our ten investment themes. In particular, the stability, country-industry selection and momentum across industries themes performed well. By sector, industrials and energy were the largest contributors to outperformance. By country, the U.S. and the U.K. were the top contributors.
The Fund did not benefit from its static long-term beta exposure of 0.5 relative to the broad-based MSCI World Index (Net). The Fund’s tactical market exposure (the desired deviation from a beta of 0.5) also detracted from returns over the reporting period, due mainly to an overweight of the broad-based MSCI World Index (Net).
The Fund ended the reporting period with a highly diversified stock portfolio of 921 long positions and 832 short positions. Securities remained globally diversified, with roughly half of the Fund invested outside of the U.S. The stock selection strategy does take small industry views. As of the end of the reporting period, the Fund’s largest sector overweights were in health care and information technology, while the largest underweights were energy and utilities.
Our tactical market view was positive at the end of the reporting period and consequently our beta (driven by the strategic beta of 0.5 and the tactical beta overweight) relative to the broad-based benchmark was 0.6. This was mostly driven by favorable valuation and fundamental momentum indicators.
PF Global Absolute Return Fund (sub-advised by Eaton Vance Investment Managers)
Q. How did the Fund perform for the year ended March 31, 2016?
A. For the year ended March 31, 2016, the PF Global Absolute Return Fund’s Class P returned -1.46%, compared to a 0.12% return for its benchmark, the BofA Merrill Lynch U.S. 3-Month T-Bill Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class P shares of the Fund to its benchmark for the period from inception through March 31, 2016. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Eaton Vance Investment Managers assumed management of the Fund on August 1, 2013. Eaton Vance Management, an affiliate of Eaton Vance Investment Managers, managed the Fund from the Fund’s inception to July 31, 2013. |
| Performance data shown represents past performance. Investment return and principal value will fluctuate so that shares of the Fund when redeemed may be worth more or less than their original cost. Past performance is not predictive of future performance. | ||
Q. Discuss both positive and negative factors that materially affected the Fund’s performance during the year, including relevant market conditions, investment strategies and techniques, and particular sectors or securities.
A. For the reporting period, the Fund’s Class P underperformed the benchmark. We at Eaton Vance maintain the Fund’s strategy by investing in securities, derivatives, and other instruments to establish long and short investment exposures around the world, typically seeking to establish such investment exposures to individual countries based on the Eaton Vance portfolio management team’s view of the investment merits of a country. In addition to gaining exposure to a country or market, derivatives can also be utilized for hedging purposes. The decision to utilize cash instruments or derivatives is based on relative value and efficiency as deemed by the portfolio management team. The Fund typically employs significant use of derivative instruments both to gain exposure as well as hedge. The Fund employs foreign exchange forward contracts and credit default swaps. It may also use interest rate swaps, interest rate futures, bond futures, equity index futures and options, among other derivative instruments.
| See benchmark definitions on A-30 – A-32 |
A-29
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Regional performance was mixed during the reporting period. The Dollar Bloc (which includes Australia, Canada, and New Zealand), Eastern Europe, the Middle East and North Africa were all positive regional contributors, while Asia, Sub-Saharan Africa, and Western Europe were negative regional contributors and Latin America was essentially flat.
In the Dollar Bloc, long New Zealand interest rates and short positions in the Australian dollar and Canadian dollar were positive contributors. There were no notable detractors within the region over the reporting period.
Positive performance in Eastern Europe was led by a long position in the Serbian dinar vs. the euro as well as a long position in Russian interest rates and both long currency and credit positions in Turkey. A handful of credit positions muted regional gains including a long position in Macedonia and short positions in both Croatia and Russia, while a long position in Poland’s zloty vs. the euro also detracted from gains.
A short interest-rate position in Saudi Arabia contributed positively in the Middle East and North Africa region, as did a long currency position in the Lebanese pound and a short currency position in the Omani rial. Notable detractors within the region included a long Iraqi credit position, a short credit position in Lebanon and a short position in the UAE dirham.
Gains on long positions in Venezuelan credit were largely offset by losses on long positions in Brazilian rates and the Mexican peso leading Latin America to be roughly flat for the reporting period. Other notable drivers of returns within the region included a gain on a long position in Argentine credit as well as losses on long Columbian interest rates and a short position in the Peruvian new sol.
In Asia, gains on local Indian corporate bonds as well as a long position in the Indonesian rupiah were overwhelmed by losses on small long positions in both Japanese and Indian equities as well as short position in Japanese interest rates. Of additional note, Chinese yuan positioning was fluid throughout the reporting period with both long and short positions at different times helping returns early during the reporting period, while the short position that remained at the end of the reporting period detracted from performance.
In Sub-Saharan Africa, losses on long positions in Zambia, both the currency and credit, outweighed gains on a long credit position in Tanzania and a short credit position in South Africa.
Gains on currency positions in Western Europe, notably driven by a short euro position vs the pound and long positions in the Norwegian krone and Swedish krona, were outweighed by losses on short positions in the euro and pound versus the dollar and a short German rates position.
Regarding exposure, the Fund maintained its net long U.S. dollar position with notable positions being versus the Chinese yuan and Singapore dollar in Asia as well as the Omani rial and United Arab Emirates dirham in the Gulf. The Fund’s credit-spread duration ended the reporting period a little shy of two years as attractive country-by-country credit opportunities have presented themselves over the past year. Additionally, the Fund’s global interest-rate duration ended the reporting period a little more than two years, with U.S. duration remaining limited accounting for a little more than 1-year, with select opportunities in countries that generally have slowing economies and easing inflationary pressures making up the remainder.
Benchmark Definitions
Barclays 1-3 Year U.S. Government/Credit Bond Index measures performance of U.S. dollar-denominated U.S. Treasuries, government-related, and investment grade U.S. corporate securities with maturities of one to three years. Results include the reinvestment of all distributions.
Barclays U.S. Aggregate Bond Index measures the performance of the U.S. investment grade bond market, which includes investment grade U.S. government bonds, investment grade corporate bonds, mortgage pass-through securities and asset-backed securities that are publicly offered for sale in the U.S. The securities in the Index must have at least 1 year remaining to maturity. In addition, the securities must be denominated in U.S. dollars and must be fixed rate, nonconvertible, and taxable. Results include the reinvestment of all distributions.
Barclays U.S. Treasury Inflation-Protected Securities (TIPS) Index is an index of all outstanding treasury inflation protected securities issued by the U.S. government. The total return is equal to the change in price plus the coupon return. Results include the reinvestment of all distributions.
BofA Merrill Lynch U.S. 3-Month Treasury Bill (T-Bill) Index is an index comprised of a single Treasury bill issue purchased at the beginning of the month and held for a full month, then sold and rolled into a newly selected Treasury bill issue. Results include the reinvestment of all distributions.
Citigroup 1-Month U.S. Treasury Bill (T-Bill) Index is a market value-weighted index of public obligations of the U.S. Treasury with maturities of one month. Results include the reinvestment of all distributions.
Emerging Markets Debt Composite Benchmark is 50% J.P. Morgan EMBI Global Diversified; 25% J.P. Morgan ELMI+; 25% J.P. Morgan GBI-EM Global Diversified. Results include the reinvestment of all distributions.
Equity Long/Short Composite Benchmark is 50% BofA Merrill Lynch U.S. 3-Month T-Bill Index and 50% MSCI World Index (Net). Results include the reinvestment of all distributions.
FTSE National Association of Real Estate Investment Trusts (NAREIT) Equity Real Estate Investment Trusts (REITs) Index is one index of a series of indices represented in the FTSE NAREIT U.S. Real Estate Index Series and is a free float adjusted market capitalization weighted index of tax-qualified REITs listed on the New York Stock Exchange (NYSE), American Stock Exchange and National Association of Securities Dealers Automated Questions (NASDAQ). Results include the reinvestment of all distributions.
J.P. Morgan Emerging Local Markets Index Plus (ELMI+) is a performance benchmark for emerging markets money market instruments and tracks total returns for local-currency-denominated money market instruments. The benchmark was introduced in June 1996 and consists of foreign exchange forward contracts laddered with maturities ranging from one to three months. Country weights are based on a trade-weighted allocation, with maximum weight of 10% for countries with convertible currencies and 2% for countries with non-convertible currencies. Results include the reinvestment of all distributions.
J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified tracks total returns of U.S. dollar-denominated debt instruments issued by emerging market sovereign and quasi-sovereign entities: Brady bonds, loans, Eurobonds. The diversified index limits the exposure of some of the larger countries. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. Results include the reinvestment of all distributions.
A-30
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
J.P. Morgan Government Bond Index-Emerging Markets (GBI-EM) Global Diversified tracks total returns of emerging markets local currency denominated fixed income instruments. The benchmark instruments of the index are regularly traded, fixed rate local sovereign bonds to which international investors can gain exposure. Country weights are based on a trade-weighted allocation, with maximum weight of 10% for countries. Results include the reinvestment of all distributions.
Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East (EAFE) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. As of March 31, 2016, the MSCI EAFE Index (Net) consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the U.K. The word “(Net)” in the index name means the net total return for the index, which includes the reinvestment of dividends after the deduction of withholding tax, applying the tax rate to non-resident individuals who do not benefit from double taxation treaties.
MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of large and mid-capitalization securities in emerging markets. As of March 31, 2016, the MSCI Emerging Markets Index (Net) consists of the following 23 emerging market country indices: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey, and United Arab Emirates. The word “(Net)” in the index name means the net total return for the index, which includes the reinvestment of dividends after the deduction of withholding tax, applying the tax rate to non-resident individuals who do not benefit from double taxation treaties.
MSCI World Index (Net) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of March 31, 2016, the MSCI World Index (Net) consists of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the U.K., and the U.S. The word “(Net)” in the index name means the net total return for the index, which includes the reinvestment of dividends after the deduction of withholding tax, applying the tax rate to non-resident individuals who do not benefit from double taxation treaties.
Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the large-cap growth segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect growth characteristics. Results include the reinvestment of all distributions.
Russell 1000 Value Index measures the performance of the large-cap value segment of the U.S. equity universe. It includes those Russell 1000 Index companies with lower price-to-book ratios and lower expected growth values. The Russell 1000 Value Index is constructed to provide a comprehensive and unbiased barometer for the large-cap value segment. The Index is completely reconstituted annually to ensure new and growing equities are included and that the represented companies continue to reflect value characteristics. Results include the reinvestment of all distributions.
Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes those Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values. The Russell 2000 Growth Index is constructed to provide a comprehensive and unbiased barometer for the small-cap growth segment. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect growth characteristics. Results include the reinvestment of all distributions.
Russell 2000 Value Index measures the performance of the small-cap value segment of the U.S. equity universe. It includes those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Value Index is constructed to provide a comprehensive and unbiased barometer for the small-cap value segment. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set and that the represented companies continue to reflect value characteristics. Results include the reinvestment of all distributions.
Russell Midcap Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values. The Russell Midcap Growth Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap growth market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap growth market. Results include the reinvestment of all distributions.
Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap is a subset of the Russell 1000 Index. It includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap represents approximately 31% of the total market capitalization of the Russell 1000 companies. The Russell Midcap Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set. Results include the reinvestment of all distributions.
Russell Midcap Value Index measures the performance of the mid-cap value segment of the U.S. equity universe. It includes those Russell Midcap Index companies with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Value Index is constructed to provide a comprehensive and unbiased barometer of the mid-cap value market. The Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap value market. Results include the reinvestment of all distributions.
S&P 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Results include the reinvestment of all distributions.
S&P Developed Ex-U.S. SmallCap Index comprises the stocks representing the lowest 15% of float-adjusted market cap in each developed country, excluding the U.S. It is a subset of the S&P Global BMI, a comprehensive, rules-based index measuring global stock market performance. Results include the reinvestment of all distributions.
A-31
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
S&P/LSTA Leveraged Loan Index is a daily total return index that uses Loan Syndications & Trading Association/Loan Pricing Corporation (LSTA/LPC) mark-to-market pricing to calculate market value change. On a real-time basis, the leveraged loan index (LLI) tracks the current outstanding balance and spread over London Interbank Offered Rate (LIBOR) for fully funded term loans. The facilities included in the LLI represent a broad cross section of leveraged loans syndicated in the U.S., including dollar-denominated loans to overseas issuers. Results include the reinvestment of all distributions.
A-32
PF FLOATING RATE LOAN FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-1
PACIFIC FUNDS
PF FLOATING RATE LOAN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-2
PACIFIC FUNDS
PF FLOATING RATE LOAN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-3
PACIFIC FUNDS
PF FLOATING RATE LOAN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-4
PACIFIC FUNDS
PF FLOATING RATE LOAN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-5
PACIFIC FUNDS
PF FLOATING RATE LOAN FUND
Schedule of Investments (Continued)
March 31, 2016
| (e) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Convertible Preferred Stocks |
$11,815 | $— | $— | $11,815 | |||||||||||||
| Common Stocks |
119,578 | — | 119,578 | — | ||||||||||||||
| Senior Loan Notes |
76,858,481 | — | 74,057,916 | 2,800,565 | ||||||||||||||
| Short-Term Investment |
3,541,701 | 3,541,701 | — | — | ||||||||||||||
| Unfunded Loan Commitments |
1,580 | — | 1,580 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$80,533,155 | $3,541,701 | $74,179,074 | $2,812,380 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
The following is a reconciliation of investments for significant unobservable inputs (Level 3) used in valuing the Fund's assets and liabilities (See Note 3D in Notes to Financial Statements) for the year ended March 31, 2016:
| Convertible Preferred Stocks |
Senior Loan Notes |
Total | ||||||||||
| Value, Beginning of Year |
$— | $302,670 | $302,670 | |||||||||
| Purchases |
— | 244,250 | 244,250 | |||||||||
| Sales (Includes Paydowns) |
— | (64,107 | ) | (64,107 | ) | |||||||
| Accrued Discounts (Premiums) |
— | 1,925 | 1,925 | |||||||||
| Net Realized Gains (Losses) |
— | (6,690 | ) | (6,690 | ) | |||||||
| Change in Net Unrealized Appreciation (Depreciation) |
— | 34,919 | 34,919 | |||||||||
| Transfers In |
11,815 | 2,287,598 | 2,299,413 | |||||||||
| Transfers Out |
— | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Value, End of Year |
$11,815 | $2,800,565 | $2,812,380 | |||||||||
|
|
|
|
|
|
|
|||||||
| Change in Net Unrealized Appreciation (Depreciation) on |
$— | $34,919 | $34,919 | |||||||||
|
|
|
|
|
|
|
|||||||
Additional information about Level 3 fair value measurements as of March 31, 2016 was as follows:
| Value at 03/31/16 |
Valuation Technique(s) | Unobservable Input(s) | Range | Weighted Average |
||||||||||
| Convertible Preferred Stocks |
$11,815 | Weighted Probability Average | Discount for lack of marketability | 30.0% - 50.0% | 40.0% | |||||||||
| Probability of default | 45.0% - 65.0% | 55.0% | ||||||||||||
| Projected revenue growth | (13.0%) - 3.6% | (2.5% | ) | |||||||||||
| Projected EBITDA growth | 0.0% - 6.7% | 3.9% | ||||||||||||
| EBITDA Multiple | 1.0 - 7.4 | 4.0 | ||||||||||||
|
|
||||||||||||||
| Common Stocks |
— | Weighted Probability Average | Discount for lack of marketability | 30.0% - 50.0% | 40.0% | |||||||||
| Probability of default | 45.0% - 65.0% | 55.0% | ||||||||||||
| Projected revenue growth | (13.0%) - 3.6% | (2.5% | ) | |||||||||||
| Projected EBITDA growth | 0.0% - 6.7% | 3.9% | ||||||||||||
| EBITDA Multiple | 1.0 - 7.4 | 4.0 | ||||||||||||
|
|
||||||||||||||
| Senior Loan Notes |
670,214 | Discounted Cash Flow | Projected distributions growth | (50.0%) - 0.0% | (10.0% | ) | ||||||||
| EBITDA Multiple | 6.4 - 13.6 | 9.3 | ||||||||||||
| Beta Multiple | 1.3 - 1.7 | 1.4 | ||||||||||||
| Equity Premium | 5.5% - 9.5% | 7.5% | ||||||||||||
|
|
|
|
|
|
||||||||||
| Weighted Probability Average | Discount for lack of marketability | 30.0% - 50.0% | 40.0% | |||||||||||
| Estimated liquidation value | 0.0% - 59.9% | 30.0% | ||||||||||||
| Probability of default | 45.0% - 65.0% | 55.0% | ||||||||||||
|
|
|
|
|
|
||||||||||
| Demand Yield Model | Spread to LIBOR | (2.6%) - 9.2% | 1.8% | |||||||||||
A significant increase in the discount for lack of marketability, probability of default, or spread to LIBOR could result in a decrease to the fair value measurement. A significant increase in estimated liquidation value, projected revenue growth, projected EBITDA growth/margin, or EBITDA multiples could result in an increase to the fair value measurement. Conversely, significant movements in the opposite direction in each of these unobservable inputs could have the inverse effect on the fair value measurement.
Weighted Probability Average: In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a senior loan note, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Factors in this model may include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale and are probability weighted based on analysis.
Demand Yield: In fair valuing a senior loan note, the investment adviser utilizes one or more of the valuation techniques to assess the likelihood that the borrower will make a full repayment of the loan underlying such senior loan note relative to yields on other senior loan notes issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the senior loan note.
All other significant unobservable inputs with a total aggregate value of $2,130,351 in senior loan notes were provided by a single broker quote.
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-6
PACIFIC FUNDS
PF FLOATING RATE LOAN FUND
Schedule of Investments (Continued)
March 31, 2016
Transfers between different levels of the fair value hierarchy during the year were as follows:
| Amount Transferred |
Level Transfer | Change in Fair Valuation Measurement Input | ||||||||||||||
| From | To | From | To | |||||||||||||
| $522,902 | 2 | 3 | Observable Single Broker Quote |
Methodology Approved By The Trustee Valuation Committee | ||||||||||||
| 128,322 | 2 | 3 | Observable Single Broker Quote |
Unobservable Single Broker Quote | ||||||||||||
| 69,556 | 2 | 3 | Vendor-Evaluated Price |
Methodology Approved By The Trustee Valuation Committee | ||||||||||||
| 31,826 | 2 | 3 | Vendor Price |
Methodology Approved By The Trustee Valuation Committee | ||||||||||||
| 1,546,807 | 2 | 3 | Vendor Price |
Unobservable Single Broker Quote | ||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-7
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-8
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-9
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| BRL | 1,124,078 | USD | 281,294 | 04/16 | DUB | $30,983 | ||||||||||||||
| BRL | 1,126,056 | USD | 316,405 | 04/16 | JPM | (3,580 | ) | |||||||||||||
| BRL | 7,504 | USD | 2,000 | 04/16 | JPM | 85 | ||||||||||||||
| EUR | 1,900,826 | USD | 2,153,340 | 04/16 | CIT | 9,873 | ||||||||||||||
| EUR | 174,000 | USD | 191,247 | 04/16 | GSC | 6,772 | ||||||||||||||
| EUR | 68,000 | USD | 76,748 | 04/16 | JPM | 638 | ||||||||||||||
| EUR | 15,896 | USD | 18,005 | 05/16 | CIT | 107 | ||||||||||||||
| EUR | 30,000 | USD | 32,832 | 05/16 | UBS | 1,350 | ||||||||||||||
| GBP | 122,000 | USD | 169,062 | 04/16 | CIT | 6,162 | ||||||||||||||
| GBP | 928,000 | USD | 1,314,315 | 04/16 | GSC | 18,539 | ||||||||||||||
| GBP | 62,000 | USD | 86,759 | 04/16 | JPM | 2,289 | ||||||||||||||
| INR | 24,149,610 | USD | 354,308 | 05/16 | CIT | 6,694 | ||||||||||||||
| JPY | 62,050,000 | USD | 534,306 | 04/16 | CIT | 17,232 | ||||||||||||||
| KRW | 2,410,800 | USD | 2,000 | 05/16 | BRC | 105 | ||||||||||||||
| KRW | 172,506,000 | USD | 143,000 | 05/16 | CIT | 7,625 | ||||||||||||||
| KRW | 116,781,500 | USD | 97,000 | 05/16 | JPM | 4,968 | ||||||||||||||
| MXN | 966,000 | USD | 55,102 | 05/16 | BRC | 551 | ||||||||||||||
| TWD | 6,687,780 | USD | 200,000 | 05/16 | JPM | 7,913 | ||||||||||||||
| USD | 315,850 | BRL | 1,124,078 | 04/16 | DUB | 3,573 | ||||||||||||||
| USD | 340,000 | BRL | 1,133,560 | 04/16 | JPM | 25,089 | ||||||||||||||
| USD | 783,284 | CAD | 1,080,000 | 04/16 | CIT | (48,297 | ) | |||||||||||||
| USD | 384,000 | CNH | 2,519,718 | 05/16 | JPM | (4,726 | ) | |||||||||||||
| USD | 64,000 | CNH | 443,008 | 01/17 | DUB | (3,950 | ) | |||||||||||||
| USD | 63,608 | CNH | 434,254 | 01/17 | JPM | (2,529 | ) | |||||||||||||
| USD | 2,336,050 | EUR | 2,142,826 | 04/16 | GSC | (102,569 | ) | |||||||||||||
| USD | 2,028,759 | EUR | 1,784,826 | 05/16 | CIT | (4,221 | ) | |||||||||||||
| USD | 404,197 | EUR | 355,000 | 05/16 | GSC | (161 | ) | |||||||||||||
| USD | 1,485,203 | EUR | 1,336,645 | 05/16 | UBS | (37,770 | ) | |||||||||||||
| USD | 1,553,645 | GBP | 1,112,000 | 04/16 | CIT | (43,481 | ) | |||||||||||||
| USD | 822,588 | GBP | 576,000 | 05/16 | GSC | (4,777 | ) | |||||||||||||
| USD | 96,655 | INR | 6,690,460 | 05/16 | CIT | (3,358 | ) | |||||||||||||
| USD | 249,000 | INR | 17,360,910 | 05/16 | JPM | (10,520 | ) | |||||||||||||
| USD | 527,029 | JPY | 62,150,000 | 04/16 | CIT | (25,398 | ) | |||||||||||||
| USD | 241,806 | KRW | 290,953,060 | 05/16 | JPM | (12,241 | ) | |||||||||||||
| USD | 375,792 | MXN | 6,698,225 | 05/16 | BRC | (10,110 | ) | |||||||||||||
| USD | 126,652 | MXN | 2,230,000 | 05/16 | CIT | (1,824 | ) | |||||||||||||
| USD | 404,614 | NZD | 611,000 | 05/16 | JPM | (16,733 | ) | |||||||||||||
| USD | 200,094 | TWD | 6,611,100 | 05/16 | JPM | (5,435 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
($191,132 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| (e) | Purchased options outstanding as of March 31, 2016 were as follows: |
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.500% | 04/06/16 | MSC | $3,200,000 | $2,960 | $— | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.500% | 04/11/16 | CIT | 8,600,000 | 7,310 | 1 | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.500% | 04/29/16 | GSC | 1,600,000 | 1,280 | — | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.000% | 06/23/16 | MSC | 2,000,000 | 3,700 | 427 | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.000% | 06/24/16 | MSC | 2,000,000 | 3,580 | 442 | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.250% | 07/05/16 | DUB | 8,300,000 | 2,656 | 310 | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.250% | 07/05/16 | MSC | 9,400,000 | 3,243 | 351 | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.500% | 07/05/16 | CIT | 4,600,000 | 1,568 | 1,288 | ||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.500% | 07/11/16 | CIT | 2,900,000 | 464 | 13 | ||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.605% | 10/17/18 | MSC | 100,000 | 9,200 | 7,373 | ||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.860% | 10/23/18 | DUB | 200,000 | 13,640 | 10,887 | ||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.600% | 03/29/19 | MSC | 900,000 | 84,894 | 75,043 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $134,495 | $96,135 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-10
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2016
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/16) |
$118.50 | 04/22/16 | CME | 52 | $11,138 | $406 | ||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/16) |
112.50 | 05/20/16 | CME | 16 | 137 | — | ||||||||||||||||
| Put - United Kingdom 90-Day LIBOR (12/16) |
GBP 98.50 | 12/21/16 | ICE | 26 | 3,109 | 117 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $14,384 | $523 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$148,879 | $96,658 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (f) | Transactions in written options for the year ended March 31, 2016 were as follows: |
| Number of Contracts |
Notional Amount in EUR |
Notional Amount in GBP |
Notional Amount in $ |
Premium | ||||||||||||||||
| Outstanding, March 31, 2015 |
— | 1,992,000 | — | 15,750,000 | $233,805 | |||||||||||||||
| Call Options Written |
145 | 1,020,000 | 400,000 | 12,509,000 | 311,243 | |||||||||||||||
| Put Options Written |
140 | 1,440,000 | 200,000 | 18,284,000 | 607,926 | |||||||||||||||
| Call Options Closed |
(6 | ) | (600,000 | ) | — | (12,200,000 | ) | (212,391 | ) | |||||||||||
| Put Options Closed |
(31 | ) | (600,000 | ) | — | (9,400,000 | ) | (563,673 | ) | |||||||||||
| Call Options Expired |
(122 | ) | (620,000 | ) | (400,000 | ) | (5,629,000 | ) | (115,791 | ) | ||||||||||
| Put Options Expired |
(56 | ) | (2,092,000 | ) | (200,000 | ) | (7,454,000 | ) | (90,186 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Outstanding, March 31, 2016 |
70 | 540,000 | — | 11,860,000 | $170,933 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (g) | Premiums received and value of written options outstanding as of March 31, 2016 were as follows: |
Credit Default Swaptions on Credit Indices – Buy Protection
| Description | Exercise Rate |
Expiration Date |
Counter- Party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Call - CDX IG 25 5Y |
0.900% | 04/20/16 | BRC | $100,000 | $100 | ($149 | ) | |||||||||||||||
| Call - CDX IG 25 5Y |
0.950% | 04/20/16 | MSC | 30,000 | 37 | (91 | ) | |||||||||||||||
| Call - iTraxx Europe 25 5Y |
0.600% | 06/15/16 | BRC | EUR 200,000 | 304 | (196 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 441 | (436 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Credit Default Swaptions on Credit Indices – Sell Protection |
||||||||||||||||||||||
| Put - CDX IG 25 5Y |
1.600% | 04/20/16 | BRC | $30,000 | 65 | (1 | ) | |||||||||||||||
| Put - CDX IG 25 5Y |
1.600% | 04/20/16 | CIT | 100,000 | 188 | (2 | ) | |||||||||||||||
| Put - CDX IG 25 5Y |
1.700% | 05/18/16 | BRC | 100,000 | 197 | (15 | ) | |||||||||||||||
| Put - iTraxx Europe 25 5Y |
1.000% | 06/15/16 | BRC | EUR 200,000 | 337 | (356 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 787 | (374 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $1,228 | ($810 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Foreign Currency Options |
||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Put - EUR versus USD |
$1.10 | 05/03/16 | JPM | EUR 140,000 | $645 | ($214 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Inflation Floor/Cap Options |
||||||||||||||||||||||||
| Description | Initial Index |
Floating Rate | Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | |||||||||||||||||
| Cap - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1+0.00%)10 |
06/01/16 | DUB | $200,000 | $168 | $— | |||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of
[(1+0.00%)10 |
03/24/20 | JPM | 700,000 | 7,910 | (6,936 | ) | ||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of
[(1+0.00%)10 |
04/07/20 | CIT | 2,000,000 | 17,720 | (1,531 | ) | ||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of
[(1+0.00%)10 |
09/29/20 | CIT | 300,000 | 3,870 | (102 | ) | ||||||||||||||||
| Cap - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of
[(1+0.00%)10 |
04/22/24 | JPM | 1,900,000 | 13,823 | (986 | ) | ||||||||||||||||
| Cap - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of
[(1+0.00%)10 |
05/16/24 | JPM | 200,000 | 1,390 | (113 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $44,881 | ($9,668 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-11
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2016
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||||
| Call - 5-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.300% | 04/19/16 | MSC | $400,000 | $1,662 | ($2,919 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.250% | 10/17/18 | MSC | 500,000 | 9,920 | (7,720 | ) | |||||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.500% | 10/23/18 | DUB | 1,000,000 | 14,080 | (11,905 | ) | |||||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.300% | 03/29/19 | MSC | 4,300,000 | 86,215 | (78,295 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| 110,215 | (97,920 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $111,877 | ($100,839 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Premium | Value | ||||||||||||||||||
| Call - 10-Year U.S. Treasury Notes (05/16) |
$130.00 | 04/22/16 | CME | 17 | $7,054 | ($13,281 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Put - 5-Year U.S. Treasury Notes (05/16) |
118.00 | 04/22/16 | CME | 26 | 3,165 | (203 | ) | |||||||||||||||||
| Put - U.S. Treasury Ultra Long Bonds (05/16) |
163.00 | 04/22/16 | CME | 1 | 1,481 | (922 | ) | |||||||||||||||||
| Put - United Kingdom 90-Day LIBOR (12/16) |
GBP 98.00 | 12/21/16 | ICE | 26 | 602 | — | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 5,248 | (1,125 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $12,302 | ($14,406 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Written Options |
$170,933 | ($125,937 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (h) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection (1)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (2) |
Notional Amount (3) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| Greek Government |
1.000% | 12/20/16 | GSC | 25.560% | $50,000 | ($1,512 | ) | ($3,750 | ) | $2,238 | ||||||||||||||||||
| Italian Government |
1.000% | 03/20/19 | DUB | 0.820% | 950,000 | 5,317 | (1,715 | ) | 7,032 | |||||||||||||||||||
| Spain Government |
1.000% | 03/20/19 | HSB | 0.590% | 200,000 | 2,471 | (1,509 | ) | 3,980 | |||||||||||||||||||
| Spain Government |
1.000% | 03/20/19 | MSC | 0.590% | 100,000 | 1,235 | (614 | ) | 1,849 | |||||||||||||||||||
| Chesapeake Energy Corp |
5.000% | 09/20/20 | GSC | 33.396% | 100,000 | (61,260 | ) | (9,973 | ) | (51,287 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($53,749 | ) | ($17,561 | ) | ($36,188 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Credit Default Swaps on Credit Indices - Sell Protection (1)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Notional Amount (3) |
Value (4) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| CMBX NA AAA 7 |
0.500% | 01/17/47 | DUB | $60,000 | ($1,865 | ) | ($1,864 | ) | ($1 | ) | ||||||||||||||||
| CMBX NA AAA 7 |
0.500% | 01/17/47 | MSC | 40,000 | (1,243 | ) | (1,242 | ) | (1 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (3,108 | ) | (3,106 | ) | (2 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||
| CDX IG 25 5Y |
1.000% | 12/20/20 | ICE | 2,900,000 | (14,768 | ) | (17,824 | ) | 3,056 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($17,876 | ) | ($20,930 | ) | $3,054 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($71,625 | ) | ($38,491 | ) | ($33,134 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (2) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate and sovereign issues as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as "Defaulted" indicates a credit event has occurred for the referenced entity or obligation. |
| (3) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-12
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2016
| (4) | The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity's credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest Rate Swaps - Pay Floating Rate
| Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| U.S. CPI Urban Consumers |
MSC | 2.058% | 05/12/25 | $700,000 | $20,972 | $— | $20,972 | |||||||||||||||||||
| France CPI Excluding Tobacco |
CIT | 1.675% | 06/15/25 | EUR 400,000 | 38,267 | — | 38,267 | |||||||||||||||||||
| GBP Retail Price |
GSC | 3.140% | 01/14/30 | GBP 650,000 | 35,961 | — | 35,961 | |||||||||||||||||||
| GBP Retail Price |
CIT | 3.190% | 04/15/30 | 300,000 | 16,213 | — | 16,213 | |||||||||||||||||||
| GBP Retail Price |
GSC | 3.320% | 05/15/30 | 100,000 | 8,492 | — | 8,492 | |||||||||||||||||||
| GBP Retail Price |
CIT | 3.430% | 06/15/30 | 200,000 | 21,985 | 138 | 21,847 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 141,890 | 138 | 141,752 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/15/18 | $1,000,000 | 6,972 | (569 | ) | 7,541 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $148,862 | ($431 | ) | $149,293 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
Interest Rate Swaps - Receive Floating Rate
| Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco |
JPM | 0.580% | 10/15/17 | EUR 100,000 | ($987 | ) | $— | ($987 | ) | |||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco |
DUB | 0.605% | 09/15/18 | 100,000 | (1,056 | ) | — | (1,056 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (2,043 | ) | — | (2,043 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.500% | 12/16/17 | $1,100,000 | (12,732 | ) | (7,229 | ) | (5,503 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.000% | 12/16/20 | 1,500,000 | (58,326 | ) | (36,731 | ) | (21,595 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.225% | 09/16/25 | 200,000 | (10,773 | ) | — | (10,773 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.233% | 09/16/25 | 100,000 | (5,464 | ) | — | (5,464 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.800% | 10/28/25 | 1,400,000 | (44,080 | ) | (5,803 | ) | (38,277 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.500% | 02/22/26 | 1,900,000 | (29,575 | ) | — | (29,575 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.400% | 03/16/26 | 550,000 | (5,835 | ) | — | (5,835 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.250% | 06/15/26 | 300,000 | (15,507 | ) | (13,912 | ) | (1,595 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.250% | 06/15/26 | 3,900,000 | (208,243 | ) | (132,800 | ) | (75,443 | ) | ||||||||||||||||
| 6-Month GBP-LIBOR |
CME | 1.500% | 09/21/26 | GBP 820,000 | (2,973 | ) | 5,771 | (8,744 | ) | |||||||||||||||||
| 6-Month GBP-LIBOR |
CME | 2.000% | 09/16/45 | 230,000 | (29,479 | ) | 22,710 | (52,189 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (422,987 | ) | (167,994 | ) | (254,993 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($425,030 | ) | ($167,994 | ) | ($257,036 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($276,168 | ) | ($168,425 | ) | ($107,743 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Swap Agreements |
($347,793 | ) | ($206,916 | ) | ($140,877 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-13
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2016
| (i) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$1,435,306 | $— | $1,435,306 | $— | |||||||||||||
| Mortgage-Backed Securities |
2,059,013 | — | 2,059,013 | — | ||||||||||||||
| Asset-Backed Securities |
2,249,464 | — | 2,249,464 | — | ||||||||||||||
| U.S. Treasury Obligations |
60,488,677 | — | 60,488,677 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
4,974,623 | — | 4,974,623 | — | ||||||||||||||
| Short-Term Investments |
851,350 | 251,423 | 599,927 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
9,023 | — | 9,023 | — | ||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
150,548 | — | 150,548 | — | ||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
121,279 | 121,279 | — | — | ||||||||||||||
| Purchased Options |
96,658 | 523 | 96,135 | — | ||||||||||||||
| Swaps |
148,862 | — | 148,862 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
366,799 | 121,802 | 244,997 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
526,370 | 121,802 | 404,568 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
72,584,803 | 373,225 | 72,211,578 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Written Options |
(810 | ) | — | (810 | ) | — | ||||||||||||
| Swaps |
(80,648 | ) | — | (80,648 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Credit Contracts |
(81,458 | ) | — | (81,458 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(341,680 | ) | — | (341,680 | ) | — | ||||||||||||
| Written Options |
(214 | ) | — | (214 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(341,894 | ) | — | (341,894 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(79,687 | ) | (79,687 | ) | — | — | ||||||||||||
| Written Options |
(124,913 | ) | (14,406 | ) | (110,507 | ) | — | |||||||||||
| Swaps |
(425,030 | ) | — | (425,030 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(629,630 | ) | (94,093 | ) | (535,537 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(1,052,982 | ) | (94,093 | ) | (958,889 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(1,052,982 | ) | (94,093 | ) | (958,889 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$71,531,821 | $279,132 | $71,252,689 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
Certain of the Fund’s liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of March 31, 2016, such liabilities are categorized within the three-tier hierarchy of inputs as follows:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Liabilities |
Sale-buyback Financing Transactions |
($18,840,729 | ) | $— | ($18,840,729 | ) | $— | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-14
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-15
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-16
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-17
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-18
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-19
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-20
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-21
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-22
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-23
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| (f) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| CAD | 1,928,000 | USD | 1,424,460 | 05/16 | CIT | $60,106 | ||||||||||||||
| CAD | 1,077,000 | USD | 796,408 | 05/16 | HSB | 32,885 | ||||||||||||||
| CNH | 3,190,000 | USD | 493,579 | 04/16 | BOA | (336 | ) | |||||||||||||
| CNY | 27,490,931 | USD | 4,255,562 | 04/16 | BRC | (7,103 | ) | |||||||||||||
| EUR | 176,000 | USD | 200,380 | 04/16 | BNP | (85 | ) | |||||||||||||
| EUR | 239,085 | USD | 260,483 | 04/16 | BOA | 11,670 | ||||||||||||||
| EUR | 4,550,764 | USD | 5,094,487 | 04/16 | BRC | 85,700 | ||||||||||||||
| EUR | 4,553,000 | USD | 5,120,864 | 04/16 | CIT | 61,869 | ||||||||||||||
| EUR | 458,000 | USD | 521,605 | 04/16 | DUB | (383 | ) | |||||||||||||
| EUR | 116,000 | USD | 132,107 | 04/16 | GSC | (95 | ) | |||||||||||||
| EUR | 1,137,692 | USD | 1,287,720 | 05/16 | BOA | 8,566 | ||||||||||||||
| EUR | 458,000 | USD | 516,864 | 05/16 | CIT | 4,981 | ||||||||||||||
| EUR | 278,000 | USD | 315,268 | 05/16 | JPM | 1,485 | ||||||||||||||
| EUR | 331,000 | USD | 372,206 | 05/16 | UBS | 4,936 | ||||||||||||||
| INR | 4,534,050 | USD | 66,521 | 05/16 | CIT | 1,257 | ||||||||||||||
| INR | 67,000,000 | USD | 997,543 | 07/16 | BOA | (4,715 | ) | |||||||||||||
| JPY | 12,714,467 | USD | 113,000 | 04/16 | BNP | (14 | ) | |||||||||||||
| JPY | 593,519,000 | USD | 5,081,542 | 04/16 | BOA | 194,011 | ||||||||||||||
| JPY | 61,316,855 | USD | 546,000 | 04/16 | GSC | (1,113 | ) | |||||||||||||
| JPY | 76,129,000 | USD | 676,298 | 05/16 | CIT | 972 | ||||||||||||||
| JPY | 70,700,000 | USD | 628,517 | 05/16 | HSB | 455 | ||||||||||||||
| JPY | 254,700,000 | USD | 2,253,357 | 05/16 | JPM | 12,541 | ||||||||||||||
| JPY | 269,700,000 | USD | 2,401,088 | 05/16 | UBS | (1,745 | ) | |||||||||||||
| KRW | 142,367,000 | USD | 118,000 | 05/16 | CIT | 6,308 | ||||||||||||||
| KRW | 14,400,000 | USD | 12,000 | 05/16 | HSB | 573 | ||||||||||||||
| KRW | 81,532,000 | USD | 68,000 | 05/16 | JPM | 3,190 | ||||||||||||||
| MXN | 26,119,506 | USD | 1,463,591 | 05/16 | BRC | 41,222 | ||||||||||||||
| MXN | 9,264,000 | USD | 514,810 | 05/16 | JPM | 18,913 | ||||||||||||||
| MYR | 607,765 | USD | 143,000 | 05/16 | BRC | 12,095 | ||||||||||||||
| MYR | 1,768,372 | USD | 414,000 | 05/16 | CIT | 37,268 | ||||||||||||||
| MYR | 2,982,375 | USD | 695,000 | 05/16 | DUB | 66,068 | ||||||||||||||
| MYR | 2,914,236 | USD | 668,892 | 05/16 | HSB | 74,788 | ||||||||||||||
| MYR | 1,767,508 | USD | 423,000 | 05/16 | JPM | 28,047 | ||||||||||||||
| MYR | 1,403,452 | USD | 330,000 | 05/16 | UBS | 28,145 | ||||||||||||||
| RUB | 91,907,509 | USD | 1,192,172 | 05/16 | JPM | 157,690 | ||||||||||||||
| TWD | 7,186,620 | USD | 213,000 | 05/16 | BRC | 10,421 | ||||||||||||||
| TWD | 7,819,320 | USD | 233,000 | 05/16 | CIT | 10,091 | ||||||||||||||
| TWD | 13,883,467 | USD | 417,215 | 05/16 | JPM | 14,402 | ||||||||||||||
| USD | 1,566,251 | BRL | 6,538,000 | 04/16 | BRC | (246,050 | ) | |||||||||||||
| USD | 2,520,261 | CAD | 3,446,000 | 05/16 | CIT | (133,170 | ) | |||||||||||||
| USD | 110,885 | CAD | 147,000 | 05/16 | HSB | (2,305 | ) | |||||||||||||
| USD | 763,392 | CAD | 1,059,000 | 05/16 | JPM | (52,042 | ) | |||||||||||||
| USD | 1,653,297 | CNH | 11,050,000 | 04/16 | CIT | (55,273 | ) | |||||||||||||
| USD | 348,992 | CNH | 2,275,254 | 05/16 | BOA | (2,383 | ) | |||||||||||||
| USD | 491,336 | CNH | 3,190,000 | 07/16 | BOA | 298 | ||||||||||||||
| USD | 4,105,739 | CNY | 27,490,931 | 04/16 | BRC | (142,721 | ) | |||||||||||||
| USD | 4,227,098 | CNY | 27,490,931 | 07/16 | BRC | (6,918 | ) | |||||||||||||
| USD | 1,500,062 | EUR | 1,379,000 | 04/16 | CIT | (69,669 | ) | |||||||||||||
| USD | 2,273,481 | EUR | 2,063,000 | 05/16 | CIT | (77,101 | ) | |||||||||||||
| USD | 6,126,784 | EUR | 5,478,000 | 05/16 | HSB | (114,847 | ) | |||||||||||||
| USD | 293,438 | EUR | 267,000 | 05/16 | JPM | (10,781 | ) | |||||||||||||
| USD | 1,114,350 | GBP | 797,000 | 04/16 | HSB | (30,352 | ) | |||||||||||||
| USD | 3,702 | JPY | 420,001 | 05/16 | BOA | (35 | ) | |||||||||||||
| USD | 1,882,361 | JPY | 213,200,000 | 05/16 | CIT | (14,339 | ) | |||||||||||||
| USD | 1,952,052 | JPY | 217,700,000 | 05/16 | DUB | 15,318 | ||||||||||||||
| USD | 4,332,227 | JPY | 490,700,000 | 05/16 | JPM | (33,208 | ) | |||||||||||||
| USD | 186,842 | KRW | 228,040,800 | 05/16 | JPM | (12,272 | ) | |||||||||||||
| USD | 3,237,538 | MXN | 58,161,393 | 04/16 | CIT | (125,129 | ) | |||||||||||||
| USD | 900,006 | MXN | 15,778,000 | 05/16 | BRC | (9,006 | ) | |||||||||||||
| USD | 785,120 | MXN | 13,748,000 | 05/16 | CIT | (6,938 | ) | |||||||||||||
| USD | 830,231 | MXN | 13,585,067 | 05/16 | GSC | 47,999 | ||||||||||||||
| USD | 662,906 | MXN | 11,962,000 | 05/16 | HSB | (26,255 | ) | |||||||||||||
| USD | 74,000 | MXN | 1,297,834 | 05/16 | RBS | (743 | ) | |||||||||||||
| USD | 1,142,163 | MYR | 4,992,856 | 05/16 | CIT | (131,957 | ) | |||||||||||||
| USD | 1,111,833 | MYR | 4,806,556 | 05/16 | HSB | (114,745 | ) | |||||||||||||
| USD | 404,080 | MYR | 1,724,545 | 05/16 | UBS | (36,004 | ) | |||||||||||||
| USD | 1,379,000 | RUB | 98,832,930 | 05/16 | DUB | (72,577 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-24
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 72,747 | TWD | 2,454,105 | 05/16 | DUB | ($3,548 | ) | |||||||||||||
| USD | 413,585 | TWD | 13,855,110 | 05/16 | HSB | (17,149 | ) | |||||||||||||
| USD | 395,372 | TWD | 13,254,220 | 05/16 | JPM | (16,680 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
($525,516 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| (g) | Purchased options outstanding as of March 31, 2016 were as follows: |
Credit Default Swaptions on Credit Indices – Sell Protection
| Description | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Call - CDX HY 25 |
0.990% | 04/20/16 | BNP | $250,000 | $2,475 | $91 | ||||||||||||||||
| Call - CDX IG 25 |
1.050% | 04/20/16 | BNP | 990,000 | 2,797 | 68 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $5,272 | $159 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Foreign Currency Options |
||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Call - EUR versus USD |
$1.14 | 06/29/16 | BRC | $5,050,000 | $100,242 | $86,920 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - GBP versus USD |
1.42 | 04/28/16 | BRC | 2,660,000 | 48,492 | 52,439 | ||||||||||||||||
| Put - BRL versus USD |
BRL 3.75 | 06/09/16 | BRC | 875,000 | 30,861 | 45,282 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 79,353 | 97,721 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $179,595 | $184,641 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||||
| Call - 2-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.100% | 01/30/18 | JPM | $2,700,000 | $38,340 | $51,513 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.580% | 05/12/16 | MSC | 1,100,000 | 35,200 | 7 | ||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.580% | 05/23/16 | MSC | 2,400,000 | 67,860 | 51 | ||||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.250% | 07/05/16 | CIT | 34,200,000 | 12,540 | 1,276 | ||||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.250% | 07/05/16 | MSC | 33,500,000 | 11,558 | 1,250 | ||||||||||||||||||
| Put - 1-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.200% | 07/18/16 | CIT | 14,500,000 | 5,075 | 1,309 | ||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.940% | 08/20/18 | GSC | 300,000 | 29,340 | 13,741 | ||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.905% | 08/20/18 | MSC | 900,000 | 88,800 | 43,184 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| 250,373 | 60,818 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $288,713 | $112,331 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/16) |
$120.50 | 04/22/16 | CME | 10 | $5,814 | $7,734 | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
128.50 | 04/22/16 | CME | 17 | 12,930 | 33,469 | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
136.50 | 04/22/16 | CME | 25 | 472 | — | ||||||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
137.00 | 04/22/16 | CME | 250 | 4,719 | — | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/16) |
163.00 | 04/22/16 | CME | 3 | 4,838 | 7,078 | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/16) |
164.00 | 04/22/16 | CME | 2 | 3,319 | 3,531 | ||||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/16) |
165.00 | 04/22/16 | CME | 3 | 3,666 | 3,797 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| 35,758 | 55,609 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| Put - EUR FX (04/16) |
1.10 | 04/08/16 | CME | 3 | 3,960 | 38 | ||||||||||||||||||||
| Put - JPY (04/16) |
87.00 | 04/08/16 | CME | 3 | 3,160 | 150 | ||||||||||||||||||||
| Put - JPY (04/16) |
88.00 | 04/08/16 | CME | 3 | 2,897 | 562 | ||||||||||||||||||||
| Put - U.S. Treasury 2-Year Notes (05/16) |
108.25 | 04/22/16 | CME | 113 | 2,133 | — | ||||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/16) |
116.25 | 04/22/16 | CME | 1,400 | 15,488 | — | ||||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/16) |
120.00 | 04/22/16 | CME | 7 | 2,921 | 328 | ||||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/16) |
128.50 | 04/22/16 | CME | 20 | 9,346 | 1,563 | ||||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/16) |
129.00 | 04/22/16 | CME | 27 | 12,119 | 3,375 | ||||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/16) |
130.00 | 04/22/16 | CME | 2 | 1,163 | 781 | ||||||||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (05/16) |
159.00 | 04/22/16 | CME | 3 | 3,432 | 516 | ||||||||||||||||||||
| Put - EUR FX (05/16) |
1.13 | 05/06/16 | CME | 2 | 2,606 | 2,050 | ||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-25
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||||||
| Put - JPY (05/16) |
$87.00 | 05/06/16 | CME | 1 | $691 | $450 | ||||||||||||||||||||
| Put - JPY (05/16) |
88.00 | 05/06/16 | CME | 5 | 5,016 | 4,063 | ||||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/16) |
111.50 | 05/20/16 | CME | 70 | 599 | — | ||||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/16) |
111.75 | 05/20/16 | CME | 38 | 325 | — | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| 65,856 | 13,876 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $101,614 | $69,485 | |||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| Total Purchased Options |
$575,194 | $366,616 | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| (h) | Transactions in written options for the year ended March 31, 2016 were as follows: |
| Number of Contracts |
Notional Amount in AUD |
Notional Amount in EUR |
Notional Amount in $ |
Premium | ||||||||||||||||
| Outstanding, March 31, 2015 |
390 | — | — | 59,400,000 | $536,974 | |||||||||||||||
| Call Options Written |
40,962 | 2,600,000 | 13,870,000 | 29,795,000 | 1,864,415 | |||||||||||||||
| Put Options Written |
75,293 | — | 5,400,000 | 85,150,000 | 1,329,091 | |||||||||||||||
| Call Options Closed |
(633 | ) | — | — | (10,200,000 | ) | (442,019 | ) | ||||||||||||
| Put Options Closed |
(5,347 | ) | — | — | (5,000,000 | ) | (179,965 | ) | ||||||||||||
| Call Options Expired |
(40,199 | ) | (1,500,000 | ) | (6,770,000 | ) | (43,270,000 | ) | (1,401,147 | ) | ||||||||||
| Put Options Expired |
(70,026 | ) | — | (1,900,000 | ) | (62,700,000 | ) | (1,040,659 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Outstanding, March 31, 2016 |
440 | 1,100,000 | 10,600,000 | 53,175,000 | $666,690 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| (i) | Premiums received and value of written options outstanding as of March 31, 2016 were as follows: |
Credit Default Swaptions on Credit Indices – Sell Protection
| Description | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Put - iTraxx Europe 24 5Y |
1.200% | 04/20/16 | BRC | EUR 3,500,000 | $10,122 | ($48 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Foreign Currency Options |
||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Call - CAD versus USD |
CAD 1.37 | 04/01/16 | HSB | $400,000 | $2,230 | $— | ||||||||||||||||
| Call - AUD versus USD |
$0.74 | 04/04/16 | HSB | AUD 200,000 | 818 | (4,886 | ) | |||||||||||||||
| Call - AUD versus USD |
0.75 | 04/21/16 | BRC | 300,000 | 1,470 | (7,182 | ) | |||||||||||||||
| Call - CAD versus USD |
CAD 1.37 | 04/21/16 | CIT | $600,000 | 3,072 | (211 | ) | |||||||||||||||
| Call - AUD versus USD |
$0.75 | 04/22/16 | CIT | AUD 600,000 | 2,635 | (13,190 | ) | |||||||||||||||
| Call - EUR versus USD |
1.14 | 04/28/16 | UBS | EUR 1,600,000 | 7,762 | (1,919 | ) | |||||||||||||||
| Call - EUR versus USD |
1.13 | 04/29/16 | UBS | 500,000 | 3,532 | (10,020 | ) | |||||||||||||||
| Call - MXN versus USD |
MXN 18.30 | 05/03/16 | JPM | $500,000 | 7,561 | (1,180 | ) | |||||||||||||||
| Call - EUR versus USD |
$1.13 | 05/04/16 | JPM | EUR 1,000,000 | 7,191 | (20,102 | ) | |||||||||||||||
| Call - MXN versus USD |
MXN 18.30 | 05/05/16 | JPM | $600,000 | 7,320 | (1,584 | ) | |||||||||||||||
| Call - BRL versus USD |
BRL 3.85 | 06/09/16 | BRC | 875,000 | 28,648 | (16,922 | ) | |||||||||||||||
| Call - RUB versus USD |
RUB 87.00 | 12/08/16 | HSB | 400,000 | 17,190 | (10,997 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 89,429 | (88,193 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - MXN versus USD |
MXN 17.80 | 04/15/16 | CIT | 900,000 | 10,006 | (27,640 | ) | |||||||||||||||
| Put - EUR versus USD |
$1.10 | 04/28/16 | UBS | EUR 1,600,000 | 11,374 | (20,196 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 21,380 | (47,836 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $110,809 | ($136,029 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Inflation Floor/Cap Options
| Description | Initial Index |
Floating Rate | Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | |||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1 + 0.00%)10 |
03/12/20 | CIT | $1,200,000 | $10,320 | ($279 | ) | ||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1 + 0.00%)10 |
09/29/20 | CIT | 600,000 | 7,740 | (204 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $18,060 | ($483 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-26
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index |
Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||
|
Call - 10-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 0.450% | 06/15/16 | CIT | EUR 1,200,000 | $4,065 | ($6,484 | ) | |||||||||||||||||
| Call - 2-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.100% | 01/30/18 | JPM | $2,700,000 | 14,040 | (18,317 | ) | |||||||||||||||||
| Call - 2-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 1.600% | 01/30/18 | JPM | 2,700,000 | 24,435 | (32,583 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| 42,540 | (57,384 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.015% | 04/11/16 | JPM | 1,100,000 | 3,603 | (6 | ) | |||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.000% | 04/25/16 | MSC | 2,300,000 | 14,433 | (587 | ) | |||||||||||||||||
|
Put - 2-Year 1-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.500% | 05/12/16 | MSC | 10,000,000 | 33,684 | (2 | ) | |||||||||||||||||
| Put - 2-Year 1-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.500% | 05/23/16 | MSC | 23,300,000 | 72,809 | (19 | ) | |||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 0.950% | 06/15/16 | CIT | EUR 1,200,000 | 4,832 | (1,821 | ) | |||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.800% | 08/20/18 | GSC | $1,200,000 | 26,727 | (8,916 | ) | |||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.800% | 08/20/18 | MSC | 3,800,000 | 84,793 | (28,233 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| 240,881 | (39,584 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
| $283,421 | ($96,968 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Premium | Value | ||||||||||||||||
| Call - EUR FX (04/16) |
$1.11 | 04/08/16 | CME | 4 | $4,837 | ($15,750 | ) | |||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/16) |
121.00 | 04/22/16 | CME | 20 | 3,513 | (8,438 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
129.50 | 04/22/16 | CME | 10 | 4,561 | (11,094 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
130.00 | 04/22/16 | CME | 50 | 21,501 | (39,063 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
130.50 | 04/22/16 | CME | 29 | 14,203 | (14,953 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/16) |
131.00 | 04/22/16 | CME | 8 | 3,521 | (2,625 | ) | |||||||||||||||
| Call - Euro-Bund (04/16) |
EUR 164.50 | 04/22/16 | CME | 9 | 6,037 | (2,355 | ) | |||||||||||||||
| Call - Euro-Bund (04/16) |
165.00 | 04/22/16 | CME | 11 | 5,771 | (1,627 | ) | |||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/16) |
$167.00 | 04/22/16 | CME | 12 | 10,867 | (7,500 | ) | |||||||||||||||
| Call - U.S. Treasury 5-Year Notes (06/16) |
121.00 | 05/20/16 | CME | 27 | 9,936 | (16,875 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/16) |
130.00 | 05/20/16 | CME | 7 | 5,024 | (7,766 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/16) |
131.00 | 05/20/16 | CME | 17 | 6,460 | (10,891 | ) | |||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/16) |
132.00 | 05/20/16 | CME | 25 | 6,934 | (8,984 | ) | |||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/16) |
167.00 | 05/20/16 | CME | 30 | 35,903 | (43,125 | ) | |||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/16) |
171.00 | 05/20/16 | CME | 1 | 3,997 | (594 | ) | |||||||||||||||
| Call - Euro-Bund (05/16) |
EUR 163.00 | 05/26/16 | CME | 4 | 1,869 | (6,281 | ) | |||||||||||||||
| Call - Eurodollar (06/16) |
$99.00 | 06/13/16 | CME | 10 | 6,093 | (7,750 | ) | |||||||||||||||
| Call - Eurodollar (06/16) |
99.25 | 06/13/16 | CME | 2 | 468 | (400 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 151,495 | (206,071 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - EUR FX (04/16) |
1.09 | 04/08/16 | CME | 7 | 3,915 | (44 | ) | |||||||||||||||
| Put - EUR FX (04/16) |
1.12 | 04/08/16 | CME | 7 | 3,777 | (394 | ) | |||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/16) |
127.50 | 04/22/16 | CME | 7 | 2,837 | (219 | ) | |||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/16) |
128.00 | 04/22/16 | CME | 2 | 775 | (94 | ) | |||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/16) |
129.25 | 04/22/16 | CME | 11 | 3,596 | (1,891 | ) | |||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/16) |
129.50 | 04/22/16 | CME | 18 | 7,218 | (3,938 | ) | |||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (05/16) |
160.00 | 04/22/16 | CME | 2 | 1,025 | (531 | ) | |||||||||||||||
| Put - Euro-Bund (04/16) |
EUR 160.50 | 04/22/16 | CME | 10 | 3,567 | (1,138 | ) | |||||||||||||||
| Put - Euro-Bund (04/16) |
161.00 | 04/22/16 | CME | 17 | 8,791 | (2,708 | ) | |||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (05/16) |
$161.00 | 04/22/16 | CME | 3 | 1,490 | (1,266 | ) | |||||||||||||||
| Put - Euro-Bund (04/16) |
EUR 162.00 | 04/22/16 | CME | 18 | 5,491 | (6,145 | ) | |||||||||||||||
| Put - EUR FX (05/16) |
$1.09 | 05/06/16 | CME | 12 | 10,911 | (1,500 | ) | |||||||||||||||
| Put - EUR FX (05/16) |
1.10 | 05/06/16 | CME | 13 | 8,920 | (2,925 | ) | |||||||||||||||
| Put - EUR FX (05/16) |
1.11 | 05/06/16 | CME | 2 | 1,331 | (775 | ) | |||||||||||||||
| Put - EUR FX (05/16) |
1.12 | 05/06/16 | CME | 3 | 1,953 | (1,500 | ) | |||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/16) |
120.50 | 05/20/16 | CME | 10 | 5,428 | (2,734 | ) | |||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/16) |
128.00 | 05/20/16 | CME | 5 | 2,703 | (938 | ) | |||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (06/16) |
160.00 | 05/20/16 | CME | 7 | 10,852 | (5,906 | ) | |||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (06/16) |
165.00 | 05/20/16 | CME | 1 | 3,247 | (2,750 | ) | |||||||||||||||
| Put - Euro-Bund (05/16) |
EUR 161.00 | 05/26/16 | CME | 9 | 4,956 | (4,916 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 92,783 | (42,312 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $244,278 | ($248,383 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Written Options |
$666,690 | ($481,911 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-27
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| (j) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Credit Default Swaps on Corporate and Sovereign Issues – Sell Protection (1)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| Brazilian Government |
1.000% | 06/20/16 | CIT | 0.596% | $700,000 | $869 | ($2,363 | ) | $3,232 | |||||||||||||||||||
| Brazilian Government |
1.000% | 09/20/16 | GSC | 0.596% | 200,000 | 453 | (1,217 | ) | 1,670 | |||||||||||||||||||
| Mexico Government |
1.000% | 09/20/16 | JPM | 0.289% | 100,000 | 374 | 577 | (203 | ) | |||||||||||||||||||
| Volkswagen International |
1.000% | 12/20/16 | CIT | 0.734% | EUR 400,000 | 1,080 | (3,701 | ) | 4,781 | |||||||||||||||||||
| Volkswagen International |
1.000% | 03/20/17 | CIT | 0.834% | 400,000 | 962 | 4,403 | (3,441 | ) | |||||||||||||||||||
| MetLife Inc |
1.000% | 03/20/19 | BRC | 0.736% | $2,700,000 | 21,758 | 30,101 | (8,343 | ) | |||||||||||||||||||
| Colombia Government |
1.000% | 03/20/19 | GSC | 1.262% | 1,800,000 | (13,120 | ) | (16,452 | ) | 3,332 | ||||||||||||||||||
| Colombia Government |
1.000% | 03/20/19 | HSB | 1.262% | 3,500,000 | (25,512 | ) | (28,642 | ) | 3,130 | ||||||||||||||||||
| AT&T Inc |
1.000% | 03/20/19 | MSC | 0.572% | 2,800,000 | 36,126 | 43,594 | (7,468 | ) | |||||||||||||||||||
| Petrobras International Co SA |
1.000% | 12/20/19 | GSC | 8.757% | 300,000 | (71,592 | ) | (32,995 | ) | (38,597 | ) | |||||||||||||||||
| Mexico Government |
1.000% | 12/20/20 | CIT | 1.454% | 400,000 | (8,088 | ) | (17,036 | ) | 8,948 | ||||||||||||||||||
| Brazilian Government |
1.000% | 12/20/20 | DUB | 3.391% | 235,000 | (23,069 | ) | (38,299 | ) | 15,230 | ||||||||||||||||||
| Mexico Government |
1.000% | 12/20/20 | DUB | 1.454% | 600,000 | (12,132 | ) | (22,434 | ) | 10,302 | ||||||||||||||||||
| Mexico Government |
1.000% | 12/20/20 | GSC | 1.454% | 200,000 | (4,044 | ) | (6,977 | ) | 2,933 | ||||||||||||||||||
| Morgan Stanley |
1.000% | 12/20/20 | GSC | 0.987% | 300,000 | 275 | (1,103 | ) | 1,378 | |||||||||||||||||||
| Citigroup Inc |
1.000% | 12/20/20 | JPM | 0.913% | 900,000 | 3,819 | 3,084 | 735 | ||||||||||||||||||||
| Telstra Corp Ltd |
1.000% | 06/20/21 | DUB | 0.674% | 1,400,000 | 24,953 | 19,630 | 5,323 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($66,888 | ) | ($69,830 | ) | $2,942 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Credit Default Swaps on Credit Indices – Buy Protection (2) | ||||||||||||||||||||||||||||
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Exchange | Notional Amount (4) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized Appreciation |
|||||||||||||||||||||
| CDX HY 25 5Y |
5.000% | 12/20/20 | ICE | $400,000 | ($11,588 | ) | ($12,125 | ) | $537 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Credit Default Swaps on Credit Indices – Sell Protection (1) | ||||||||||||||||||||||||||||
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Notional Amount (4) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| CDX IG 9 10Y |
0.548% | 12/20/17 | GSC | $96,450 | $846 | $— | $846 | |||||||||||||||||||||
| ABX HE AAA |
0.110% | 05/25/46 | BRC | 2,301,214 | (434,305 | ) | (468,153 | ) | 33,848 | |||||||||||||||||||
| CMBX NA AAA |
0.500% | 10/17/57 | DUB | 800,000 | (35,976 | ) | (41,710 | ) | 5,734 | |||||||||||||||||||
| CMBX NA BBB |
3.000% | 05/11/63 | MSC | 500,000 | (30,672 | ) | (34,529 | ) | 3,857 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (500,107 | ) | (544,392 | ) | 44,285 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
| CDX IG 23 5Y |
1.000% | 12/20/19 | CME | 990,000 | 4,798 | 13,423 | (8,625 | ) | ||||||||||||||||||||
| CDX IG 24 5Y |
1.000% | 06/20/20 | CME | 7,142,000 | 38,216 | 73,003 | (34,787 | ) | ||||||||||||||||||||
| CDX HY 24 5Y |
5.000% | 06/20/20 | CME | 2,600,730 | 135,610 | 105,084 | 30,526 | |||||||||||||||||||||
| CDX IG 25 5Y |
1.000% | 12/20/20 | ICE | 2,470,000 | 12,418 | 8,536 | 3,882 | |||||||||||||||||||||
| CDX HY 26 2Y |
5.000% | 06/20/21 | ICE | 270,000 | (7,327 | ) | 5,228 | (12,555 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 183,715 | 205,274 | (21,559 | ) | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($316,392 | ) | ($339,118 | ) | $22,726 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($394,868 | ) | ($421,073 | ) | $26,205 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (2) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (3) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate and sovereign issues as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-28
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| (4) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (5) | The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest Rate Swaps – Pay Floating Rate
| Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| 28-Day MXN TIIE |
DUB | 5.700% | 01/18/19 | MXN 10,000,000 | $14,248 | ($4,168 | ) | $18,416 | ||||||||||||||||||
| 28-Day MXN TIIE |
JPM | 5.700% | 01/18/19 | 3,000,000 | 4,326 | (1,022 | ) | 5,348 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 18,574 | (5,190 | ) | 23,764 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||
| 28-Day MXN TIIE |
CME | 4.060% | 08/24/16 | 88,300,000 | (2,829 | ) | 9,361 | (12,190 | ) | |||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.700% | 01/18/19 | 3,000,000 | 4,217 | 5,608 | (1,391 | ) | ||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.615% | 06/02/20 | 8,300,000 | 9,135 | 3,514 | 5,621 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.495% | 09/22/20 | 27,500,000 | 19,578 | — | 19,578 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.480% | 09/23/20 | 15,200,000 | 10,289 | — | 10,289 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.310% | 10/22/20 | 18,700,000 | 4,200 | 3,426 | 774 | |||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.500% | 02/02/21 | $1,300,000 | 20,079 | — | 20,079 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.095% | 02/05/21 | MXN 9,100,000 | (5,479 | ) | (511 | ) | (4,968 | ) | ||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.370% | 02/19/21 | 18,400,000 | 3,702 | — | 3,702 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.608% | 10/08/21 | 15,000,000 | 7,585 | (6,784 | ) | 14,369 | ||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.430% | 11/17/21 | 64,000,000 | (5,063 | ) | (91,899 | ) | 86,836 | |||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.375% | 01/07/22 | 7,100,000 | (2,377 | ) | 1,438 | (3,815 | ) | |||||||||||||||||
| 28-Day MXN TIIE |
CME | 6.000% | 06/07/22 | 19,800,000 | 27,278 | 12,403 | 14,875 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 6.000% | 09/02/22 | 25,800,000 | 32,866 | 73,006 | (40,140 | ) | ||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.975% | 09/16/22 | 5,700,000 | 6,690 | — | 6,690 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.825% | 01/12/23 | 14,300,000 | 7,261 | 5,177 | 2,084 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 6.530% | 06/05/25 | 6,600,000 | 15,612 | 6,795 | 8,817 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 6.360% | 06/09/25 | 4,200,000 | 6,775 | — | 6,775 | |||||||||||||||||||
| 28-Day MXN TIIE |
CME | 5.990% | 01/08/30 | 2,900,000 | (7,500 | ) | (5,080 | ) | (2,420 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| 152,019 | 16,454 | 135,565 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $170,593 | $11,264 | $159,329 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Interest Rate Swaps – Receive Floating Rate | ||||||||||||||||||||||||||
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 0.420% | 06/15/16 | $371,850,000 | ($21,380 | ) | $— | ($21,380 | ) | |||||||||||||||||
| 1-Day USD-Federal Funds |
CME | 0.500% | 06/17/16 | 1,200,000 | (320 | ) | (1,303 | ) | 983 | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 0.550% | 07/27/16 | 86,900,000 | (13,678 | ) | — | (13,678 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/15/18 | 1,100,000 | (7,669 | ) | (7,674 | ) | 5 | |||||||||||||||||
| 6-Month GBP-LIBOR |
CME | 1.000% | 09/21/18 | GBP 3,700,000 | (17,066 | ) | (8,257 | ) | (8,809 | ) | ||||||||||||||||
| 6-Month GBP-LIBOR |
CME | 1.250% | 09/21/18 | 2,900,000 | (34,047 | ) | (24,517 | ) | (9,530 | ) | ||||||||||||||||
| 6-Month GBP-LIBOR |
CME | 1.500% | 09/21/18 | 700,000 | (13,208 | ) | (1,086 | ) | (12,122 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.000% | 12/16/19 | $700,000 | (24,490 | ) | (15,635 | ) | (8,855 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.000% | 12/16/20 | 8,200,000 | (321,977 | ) | 35,291 | (357,268 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.000% | 06/15/21 | 500,000 | (18,579 | ) | (16,248 | ) | (2,331 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.000% | 06/15/21 | 7,200,000 | (270,681 | ) | (246,795 | ) | (23,886 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.897% | 08/31/22 | 10,000,000 | (341,356 | ) | — | (341,356 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.900% | 11/30/22 | 20,584,000 | (698,567 | ) | — | (698,567 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.250% | 12/16/22 | 8,900,000 | (508,294 | ) | 99,156 | (607,450 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.350% | 08/05/25 | 2,500,000 | (162,866 | ) | — | (162,866 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.500% | 12/16/25 | 1,500,000 | (120,696 | ) | (16,565 | ) | (104,131 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.250% | 06/15/26 | 3,100,000 | (165,527 | ) | 2,797 | (168,324 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.720% | 02/15/41 | 3,036,000 | (370,076 | ) | (5,036 | ) | (365,040 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.750% | 12/16/45 | 15,800,000 | (2,164,636 | ) | 920,177 | (3,084,813 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.500% | 06/15/46 | 700,000 | (52,411 | ) | (30,146 | ) | (22,265 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.500% | 06/15/46 | 400,000 | (32,474 | ) | 2,082 | (34,556 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($5,359,998 | ) | $686,241 | ($6,046,239 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($5,189,405 | ) | $697,505 | ($5,886,910 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Swap Agreements |
($5,584,273 | ) | $276,432 | ($5,860,705 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-29
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| (k) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes | $133,794,639 | $— | $133,794,639 | $— | |||||||||||||
| Senior Loan Notes | 312,727 | — | 312,727 | — | ||||||||||||||
| Mortgage-Backed Securities | 160,299,356 | — | 160,299,356 | — | ||||||||||||||
| Asset-Backed Securities | 29,106,925 | — | 28,467,385 | 639,540 | ||||||||||||||
| U.S. Government Agency Issues | 6,676,957 | — | 6,676,957 | — | ||||||||||||||
| U.S. Treasury Obligations | 108,640,986 | — | 108,640,986 | — | ||||||||||||||
| Foreign Government Bonds & Notes | 19,032,144 | — | 19,032,144 | — | ||||||||||||||
| Municipal Bonds | 9,500,987 | — | 9,500,987 | — | ||||||||||||||
| Short-Term Investments | 4,553,987 | 3,248,857 | 1,305,130 | — | ||||||||||||||
| Derivatives: | ||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Purchased Options |
159 | — | 159 | — | ||||||||||||||
| Swaps |
282,557 | — | 282,557 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Credit Contracts |
282,716 | — | 282,716 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Futures |
45,319 | 45,319 | — | — | ||||||||||||||
| Forward Foreign Currency Contracts |
1,054,270 | — | 1,054,270 | — | ||||||||||||||
| Purchased Options |
191,954 | 7,313 | 184,641 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
1,291,543 | 52,632 | 1,238,911 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
815,404 | 815,404 | — | — | ||||||||||||||
| Purchased Options |
174,503 | 62,172 | 112,331 | — | ||||||||||||||
| Swaps |
193,841 | — | 193,841 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
1,183,748 | 877,576 | 306,172 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
2,758,007 | 930,208 | 1,827,799 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
474,676,715 | 4,179,065 | 469,858,110 | 639,540 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Securities Sold Short: | |||||||||||||||||
| Mortgaged-Backed Securities |
(3,455,011 | ) | — | (3,455,011 | ) | — | ||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Written Options |
(48 | ) | — | (48 | ) | — | ||||||||||||
| Swaps |
(677,425 | ) | — | (677,425 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Credit Contracts |
(677,473 | ) | — | (677,473 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Futures |
(597,827 | ) | (597,827 | ) | — | — | ||||||||||||
| Forward Foreign Currency Contracts |
(1,579,786 | ) | — | (1,579,786 | ) | — | ||||||||||||
| Written Options |
(158,917 | ) | (22,888 | ) | (136,029 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(2,336,530 | ) | (620,715 | ) | (1,715,815 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(1,144,639 | ) | (1,144,639 | ) | — | — | ||||||||||||
| Written Options |
(322,946 | ) | (225,495 | ) | (97,451 | ) | — | |||||||||||
| Swaps |
(5,383,246 | ) | — | (5,383,246 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(6,850,831 | ) | (1,370,134 | ) | (5,480,697 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(9,864,834 | ) | (1,990,849 | ) | (7,873,985 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(13,319,845 | ) | (1,990,849 | ) | (11,328,996 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$461,356,870 | $2,188,216 | $458,529,114 | $639,540 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
Certain of the Fund’s liabilities are held at carrying amount, which approximates fair value for financial statement purposes. As of March 31, 2016 such liabilities are categorized within the three-tier hierarchy of inputs as follows:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Liabilities |
Sale-Buyback Financing Transactions |
($3,691,637 | ) | $— | ($3,691,637 | ) | $— | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-30
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-31
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-32
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-33
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-34
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-35
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Fair Value Measurements |
The following is a summary of the Fund's investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund's assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$36,903,203 | $— | $36,903,203 | $— | |||||||||||||
| Mortgage-Backed Securities |
16,674,417 | — | 16,674,417 | — | ||||||||||||||
| Asset-Backed Securities |
16,427,828 | — | 16,427,828 | — | ||||||||||||||
| U.S. Treasury Obligations |
4,256,942 | — | 4,256,942 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
222,595 | — | 222,595 | — | ||||||||||||||
| Municipal Bonds |
922,238 | — | 922,238 | — | ||||||||||||||
| Short-Term Investment |
925,013 | 925,013 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
2,774 | 2,774 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
76,335,010 | 927,787 | 75,407,223 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(2,664 | ) | (2,664 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(2,664 | ) | (2,664 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$76,332,346 | $925,123 | $75,407,223 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-36
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-37
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-38
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-39
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-40
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-41
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-42
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| ARS | 2,129,400 | USD | 130,000 | 05/16 | BNP | $9,996 | ||||||||||||||
| BRL | 2,780,323 | USD | 772,312 | 04/16 | BNP | 81 | ||||||||||||||
| BRL | 773,582 | USD | 205,792 | 04/16 | DUB | 9,114 | ||||||||||||||
| BRL | 2,052,497 | USD | 508,673 | 04/16 | GSC | 61,524 | ||||||||||||||
| BRL | 1,278,915 | USD | 346,261 | 04/16 | MER | 9,030 | ||||||||||||||
| CLP | 350,509,500 | USD | 485,000 | 04/16 | BNP | 36,864 | ||||||||||||||
| CNH | 16,770,585 | USD | 2,542,046 | 05/16 | BNP | 47,273 | ||||||||||||||
| CNH | 519,920 | USD | 78,919 | 09/16 | BNP | 827 | ||||||||||||||
| CNH | 9,316,916 | USD | 1,379,469 | 09/16 | HSB | 49,964 | ||||||||||||||
| CNH | 5,648,050 | USD | 841,201 | 10/16 | BNP | 24,098 | ||||||||||||||
| CNH | 4,321,800 | USD | 650,050 | 01/17 | HSB | 8,087 | ||||||||||||||
| CNH | 12,427,231 | USD | 1,950,616 | 03/17 | HSB | (65,837 | ) | |||||||||||||
| CNY | 17,164,752 | USD | 2,640,000 | 04/16 | ANZ | 11,992 | ||||||||||||||
| COP | 1,764,940,000 | USD | 540,000 | 04/16 | DUB | 47,741 | ||||||||||||||
| CZK | 31,771,018 | USD | 1,300,021 | 04/16 | BNP | 37,553 | ||||||||||||||
| HUF | 462,493,329 | USD | 1,591,567 | 04/16 | ING | 84,008 | ||||||||||||||
| IDR | 6,610,000,000 | USD | 500,000 | 04/16 | ANZ | (3,751 | ) | |||||||||||||
| IDR | 12,088,934,245 | USD | 882,404 | 04/16 | HSB | 25,178 | ||||||||||||||
| ILS | 1,393,639 | USD | 350,963 | 04/16 | HSB | 20,222 | ||||||||||||||
| INR | 136,004,086 | USD | 1,947,952 | 05/16 | MER | 82,490 | ||||||||||||||
| KRW | 2,882,690,793 | USD | 2,365,576 | 05/16 | ANZ | 150,959 | ||||||||||||||
| MXN | 9,145,339 | USD | 519,967 | 04/16 | BRC | 7,957 | ||||||||||||||
| MXN | 29,770,488 | USD | 1,582,763 | 04/16 | CIT | 135,769 | ||||||||||||||
| MXN | 14,076,349 | USD | 756,130 | 04/16 | DUB | 56,441 | ||||||||||||||
| MXN | 36,451,442 | USD | 1,956,704 | 04/16 | HSB | 147,492 | ||||||||||||||
| MXN | 21,988,079 | USD | 1,200,000 | 04/16 | JPM | 69,284 | ||||||||||||||
| MXN | 8,327,537 | USD | 455,000 | 04/16 | MER | 25,716 | ||||||||||||||
| MYR | 1,267,913 | USD | 285,791 | 04/16 | GSC | 38,439 | ||||||||||||||
| MYR | 6,881,900 | USD | 1,549,280 | 04/16 | UBS | 210,555 | ||||||||||||||
| MYR | 1,149,734 | USD | 271,869 | 05/16 | CIT | 21,359 | ||||||||||||||
| MYR | 1,310,400 | USD | 308,693 | 05/16 | DUB | 25,512 | ||||||||||||||
| MYR | 3,145,730 | USD | 771,163 | 06/16 | UBS | 29,317 | ||||||||||||||
| PEN | 1,288,845 | USD | 366,462 | 04/16 | BNP | 20,629 | ||||||||||||||
| PHP | 4,409,666 | USD | 94,375 | 06/16 | BNP | 923 | ||||||||||||||
| PLN | 3,733,966 | USD | 901,541 | 04/16 | JPM | 98,731 | ||||||||||||||
| PLN | 5,195,708 | USD | 1,285,060 | 04/16 | MER | 106,791 | ||||||||||||||
| PLN | 507,199 | USD | 126,750 | 04/16 | MSC | 9,121 | ||||||||||||||
| PLN | 3,347,191 | USD | 842,145 | 05/16 | DUB | 54,120 | ||||||||||||||
| PLN | 1,487,582 | USD | 387,826 | 06/16 | CIT | 10,494 | ||||||||||||||
| PLN | 1,487,582 | USD | 389,889 | 06/16 | DUB | 8,431 | ||||||||||||||
| RON | 1,373,620 | USD | 327,833 | 04/16 | CIT | 22,087 | ||||||||||||||
| RON | 1,683,746 | USD | 415,863 | 05/16 | HSB | 13,179 | ||||||||||||||
| RON | 1,481,382 | USD | 371,097 | 06/16 | DUB | 6,492 | ||||||||||||||
| RUB | 149,309,784 | USD | 1,846,979 | 04/16 | DUB | 356,132 | ||||||||||||||
| RUB | 845,660 | USD | 11,893 | 04/16 | JPM | 585 | ||||||||||||||
| RUB | 54,903,356 | USD | 701,887 | 05/16 | MER | 101,981 | ||||||||||||||
| RUB | 54,456,028 | USD | 784,839 | 06/16 | BRC | 6,731 | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-43
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| SGD | 2,801,826 | USD | 1,997,879 | 05/16 | BRC | $80,195 | ||||||||||||||
| THB | 106,721,738 | USD | 2,978,974 | 05/16 | BNP | 50,140 | ||||||||||||||
| THB | 3,327,011 | USD | 92,893 | 05/16 | CIT | 1,538 | ||||||||||||||
| TRY | 2,448,368 | USD | 792,096 | 04/16 | BNP | 69,459 | ||||||||||||||
| TRY | 2,022,620 | USD | 688,821 | 05/16 | HSB | 17,039 | ||||||||||||||
| TWD | 46,956,645 | USD | 1,452,642 | 05/16 | MER | 7,271 | ||||||||||||||
| USD | 3,561 | ARS | 54,415 | 05/16 | BNP | (16 | ) | |||||||||||||
| USD | 114,405 | ARS | 1,720,890 | 05/16 | BNP | 1,266 | ||||||||||||||
| USD | 3,602 | ARS | 55,970 | 07/16 | BNP | 69 | ||||||||||||||
| USD | 1,022,555 | BRL | 4,104,994 | 04/16 | CIT | (117,841 | ) | |||||||||||||
| USD | 475,000 | BRL | 1,730,925 | 04/16 | CSF | (5,863 | ) | |||||||||||||
| USD | 480,000 | BRL | 1,764,240 | 04/16 | HSB | (10,118 | ) | |||||||||||||
| USD | 386,246 | BRL | 1,400,914 | 04/16 | MER | (2,938 | ) | |||||||||||||
| USD | 206,150 | BRL | 752,448 | 05/16 | DUB | (1,224 | ) | |||||||||||||
| USD | 508,673 | BRL | 2,212,729 | 01/17 | GSC | (61,028 | ) | |||||||||||||
| USD | 346,261 | BRL | 1,376,907 | 01/17 | MER | (8,245 | ) | |||||||||||||
| USD | 772,312 | BRL | 3,042,137 | 03/17 | BNP | 373 | ||||||||||||||
| USD | 186,637 | CLP | 136,973,075 | 04/16 | CSF | (17,298 | ) | |||||||||||||
| USD | 2,490,000 | CNH | 16,770,585 | 05/16 | BNP | (99,319 | ) | |||||||||||||
| USD | 79,141 | CNH | 519,920 | 09/16 | BNP | (605 | ) | |||||||||||||
| USD | 1,414,483 | CNH | 9,316,916 | 09/16 | HSB | (14,714 | ) | |||||||||||||
| USD | 860,000 | CNH | 5,648,050 | 10/16 | BNP | (5,298 | ) | |||||||||||||
| USD | 630,000 | CNH | 4,321,800 | 01/17 | HSB | (28,136 | ) | |||||||||||||
| USD | 1,963,192 | CNH | 12,427,231 | 03/17 | HSB | 78,413 | ||||||||||||||
| USD | 510,879 | COP | 1,745,672,254 | 04/16 | CIT | (70,446 | ) | |||||||||||||
| USD | 499,878 | CZK | 12,281,278 | 04/16 | BNP | (17,169 | ) | |||||||||||||
| USD | 884,202 | EUR | 796,828 | 04/16 | UBS | (22,918 | ) | |||||||||||||
| USD | 149,756 | GBP | 105,192 | 04/16 | BNP | (1,333 | ) | |||||||||||||
| USD | 72,163 | GBP | 51,202 | 04/16 | CIT | (1,380 | ) | |||||||||||||
| USD | 621,800 | MXN | 10,945,110 | 04/16 | CIT | (10,018 | ) | |||||||||||||
| USD | 440,000 | MXN | 8,461,860 | 04/16 | DUB | (48,469 | ) | |||||||||||||
| USD | 1,148,850 | MXN | 20,941,727 | 04/16 | HSB | (60,033 | ) | |||||||||||||
| USD | 1,445,000 | MXN | 26,938,046 | 04/16 | JPM | (110,026 | ) | |||||||||||||
| USD | 122,020 | PLN | 455,722 | 04/16 | MER | (61 | ) | |||||||||||||
| USD | 54,690 | TRY | 170,189 | 04/16 | BNP | (5,198 | ) | |||||||||||||
| USD | 50,000 | TRY | 150,450 | 04/16 | HSB | (2,942 | ) | |||||||||||||
| USD | 271,285 | ZAR | 4,167,912 | 04/16 | BNP | (9,419 | ) | |||||||||||||
| USD | 145,351 | ZAR | 2,442,435 | 04/16 | CIT | (19,144 | ) | |||||||||||||
| USD | 421,929 | ZAR | 6,476,942 | 04/16 | MER | (14,285 | ) | |||||||||||||
| ZAR | 3,963,460 | USD | 254,025 | 04/16 | HSB | 12,909 | ||||||||||||||
| ZAR | 9,590,782 | USD | 625,601 | 04/16 | JPM | 20,326 | ||||||||||||||
| ZAR | 2,051,683 | USD | 129,343 | 04/16 | MER | 8,836 | ||||||||||||||
| ZAR | 983,874 | USD | 62,468 | 04/16 | MSC | 3,795 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
$1,817,826 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| (e) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Cross Currency Swaps – Receive Floating Rate
| Notional Amount On Fixed Rate |
Notional Amount On Floating Rate (Currency Delivered) |
Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| EUR 80,000 | $87,280 | 3-Month USD-LIBOR | HSB | 1.078% | 06/05/45 | ($16,238 | ) | $366 | ($16,604 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Interest Rate Swaps – Pay Floating Rate
| Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Brazil CETIP Interbank |
BNP | 15.579% | 01/02/18 | BRL 7,240,984 | $50,431 | $— | $50,431 | |||||||||||||||||||||
| Brazil CETIP Interbank |
BNP | 15.800% | 01/02/18 | 2,034,685 | 15,486 | — | 15,486 | |||||||||||||||||||||
| 3-Month MYR-KLIBOR |
HSB | 3.555% | 03/18/18 | MYR 11,073,000 | (1,572 | ) | — | (1,572 | ) | |||||||||||||||||||
| 3-Month MYR-KLIBOR |
HSB | 3.560% | 03/22/18 | 4,751,400 | (530 | ) | — | (530 | ) | |||||||||||||||||||
| 3-Month MYR-KLIBOR |
HSB | 3.575% | 03/23/18 | 6,318,600 | (233 | ) | — | (233 | ) | |||||||||||||||||||
| Brazil CETIP Interbank |
HSB | 13.850% | 01/02/19 | BRL 7,327,101 | 1,422 | — | 1,422 | |||||||||||||||||||||
| Brazil CETIP Interbank |
HSB | 15.420% | 01/02/19 | 3,696,329 | 28,544 | — | 28,544 | |||||||||||||||||||||
| Brazil CETIP Interbank |
HSB | 15.715% | 01/04/21 | 1,721,567 | 20,297 | — | 20,297 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $113,845 | $— | $113,845 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-44
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2016
Interest Rate Swaps – Receive Floating Rate
| Floating Rate Index |
Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Brazil CETIP Interbank |
BNP | 14.625% | 01/02/18 | BRL 5,039,096 | ($16,560 | ) | $— | ($16,560 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $97,285 | $— | $97,285 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Total Return Swaps
| Receive Total Return |
Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Indonesia Treasury 12.800% due 06/15/21 |
SCB | 06/15/21 | IDR 1,056,000,000 | $99,804 | $110,760 | ($10,956 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/24 |
ANZ | 03/15/24 | 554,000,000 | 43,575 | 48,161 | (4,586 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/24 |
SCB | 03/15/24 | 989,000,000 | 77,791 | 85,977 | (8,186 | ) | |||||||||||||||||
| Indonesia Treasury 11.000% due 09/15/25 |
SCB | 09/15/25 | 800,000,000 | 72,778 | 94,370 | (21,592 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 09/15/26 |
SCB | 09/15/26 | 814,000,000 | 64,458 | 48,613 | 15,845 | ||||||||||||||||||
| Indonesia Treasury 7.000% due 05/15/27 |
SCB | 05/15/27 | 100,000,000 | 7,225 | 3,496 | 3,729 | ||||||||||||||||||
| Indonesia Treasury 9.000% due 03/15/29 |
ANZ | 03/15/29 | 2,800,000,000 | 224,952 | 216,429 | 8,523 | ||||||||||||||||||
| Indonesia Treasury 10.500% due 08/15/30 |
SCB | 08/15/30 | 1,500,000,000 | 136,011 | 57,162 | 78,849 | ||||||||||||||||||
| Indonesia Treasury 6.625% due 05/15/33 |
SCB | 05/15/33 | 270,000,000 | 17,848 | 7,761 | 10,087 | ||||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/34 |
ANZ | 03/15/34 | 2,600,000,000 | 199,773 | 240,933 | (41,160 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/34 |
HSB | 03/15/34 | 584,000,000 | 44,872 | 176,769 | (131,897 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/34 |
SCB | 03/15/34 | 42,000,000 | 3,227 | 22,734 | (19,507 | ) | |||||||||||||||||
| Indonesia Treasury 8.250% due 05/15/36 |
SCB | 05/15/36 | 1,537,000,000 | 120,671 | 110,820 | 9,851 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $1,112,985 | $1,223,985 | ($111,000 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Swap Agreements |
$1,194,032 | $1,224,351 | ($30,319 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (f) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$38,313,131 | $— | $38,313,131 | $— | |||||||||||||
| Convertible Corporate Bonds & Notes |
700 | — | 700 | — | ||||||||||||||
| Senior Loan Notes |
1,004,239 | — | 842,129 | 162,110 | ||||||||||||||
| Foreign Government Bonds & Notes |
62,191,093 | — | 62,191,093 | — | ||||||||||||||
| Short-Term Investments |
1,565,787 | 1,186,955 | 378,832 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
2,652,898 | — | 2,652,898 | — | ||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
1,229,165 | — | 1,229,165 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
3,882,063 | — | 3,882,063 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
106,957,013 | 1,186,955 | 105,607,948 | 162,110 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(835,072 | ) | — | (835,072 | ) | — | ||||||||||||
| Swaps |
(16,238 | ) | — | (16,238 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(851,310 | ) | — | (851,310 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
(18,895 | ) | — | (18,895 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(870,205 | ) | — | (870,205 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(870,205 | ) | — | (870,205 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$106,086,808 | $1,186,955 | $104,737,743 | $162,110 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-45
PACIFIC FUNDS
PF COMSTOCK FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-46
PACIFIC FUNDS
PF COMSTOCK FUND
Schedule of Investments (Continued)
March 31, 2016
Notes to Schedule of Investments
| (b) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 1,315,276 | CAD | 1,758,517 | 04/16 | CIB | ($38,758 | ) | |||||||||||||
| USD | 1,315,651 | CAD | 1,758,499 | 04/16 | DUB | (38,369 | ) | |||||||||||||
| USD | 1,315,653 | CAD | 1,758,499 | 04/16 | GSC | (38,367 | ) | |||||||||||||
| USD | 1,315,002 | CAD | 1,758,499 | 04/16 | RBC | (39,018 | ) | |||||||||||||
| USD | 904,600 | CHF | 894,251 | 04/16 | CIB | (26,035 | ) | |||||||||||||
| USD | 904,234 | CHF | 894,251 | 04/16 | DUB | (26,400 | ) | |||||||||||||
| USD | 904,165 | CHF | 894,264 | 04/16 | GSC | (26,483 | ) | |||||||||||||
| USD | 904,278 | CHF | 894,250 | 04/16 | RBC | (26,355 | ) | |||||||||||||
| USD | 1,239,207 | EUR | 1,118,630 | 04/16 | BRC | (34,257 | ) | |||||||||||||
| USD | 1,240,495 | EUR | 1,118,629 | 04/16 | CIB | (32,968 | ) | |||||||||||||
| USD | 1,239,268 | EUR | 1,118,629 | 04/16 | DUB | (34,195 | ) | |||||||||||||
| USD | 1,240,291 | EUR | 1,118,638 | 04/16 | GSC | (33,182 | ) | |||||||||||||
| USD | 1,240,299 | EUR | 1,118,629 | 04/16 | RBC | (33,164 | ) | |||||||||||||
| USD | 722,588 | GBP | 513,329 | 04/16 | CIB | (14,716 | ) | |||||||||||||
| USD | 721,922 | GBP | 513,330 | 04/16 | DUB | (15,383 | ) | |||||||||||||
| USD | 722,436 | GBP | 513,329 | 04/16 | GSC | (14,868 | ) | |||||||||||||
| USD | 722,397 | GBP | 513,329 | 04/16 | RBC | (14,907 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
($487,425 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||
| (c) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Consumer Discretionary |
$32,025,496 | $32,025,496 | $— | $— | ||||||||||||||
| Consumer Staples |
7,414,469 | 7,414,469 | — | — | ||||||||||||||
| Energy |
32,045,410 | 32,045,410 | — | — | ||||||||||||||
| Financials |
56,494,968 | 56,494,968 | — | — | ||||||||||||||
| Health Care |
21,485,801 | 19,022,796 | 2,463,005 | — | ||||||||||||||
| Industrials |
15,423,408 | 15,423,408 | — | — | ||||||||||||||
| Information Technology |
28,257,444 | 28,257,444 | — | — | ||||||||||||||
| Materials |
4,397,665 | 4,397,665 | — | — | ||||||||||||||
| Telecommunication Services |
2,089,207 | 2,089,207 | — | — | ||||||||||||||
| Utilities |
2,643,938 | 2,643,938 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
202,277,806 | 199,814,801 | 2,463,005 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
12,593,876 | 12,593,876 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
214,871,682 | 212,408,677 | 2,463,005 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(487,425 | ) | — | (487,425 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(487,425 | ) | — | (487,425 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$214,384,257 | $212,408,677 | $1,975,580 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-47
PACIFIC FUNDS
PF GROWTH FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-48
PACIFIC FUNDS
PF GROWTH FUND
Schedule of Investments (Continued)
March 31, 2016
Notes to Schedule of Investments
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Consumer Discretionary |
$27,154,840 | $27,154,840 | $— | $— | ||||||||||||||
| Consumer Staples |
13,391,185 | 12,227,067 | 1,164,118 | — | ||||||||||||||
| Energy |
509,905 | 509,905 | — | — | ||||||||||||||
| Financials |
6,508,341 | 6,508,341 | — | — | ||||||||||||||
| Health Care |
17,944,222 | 17,944,222 | — | — | ||||||||||||||
| Industrials |
9,269,332 | 9,269,332 | — | — | ||||||||||||||
| Information Technology |
42,608,585 | 42,608,585 | — | — | ||||||||||||||
| Materials |
4,756,886 | 4,756,886 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
122,143,296 | 120,979,178 | 1,164,118 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
632,380 | 632,380 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$122,775,676 | $121,611,558 | $1,164,118 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-49
PACIFIC FUNDS
PF LARGE-CAP GROWTH FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-50
PACIFIC FUNDS
PF LARGE-CAP GROWTH FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Consumer Discretionary |
$27,715,860 | $27,715,860 | $— | $— | ||||||||||||||
| Consumer Staples |
12,988,347 | 12,988,347 | — | — | ||||||||||||||
| Energy |
2,774,186 | 2,774,186 | — | — | ||||||||||||||
| Financials |
11,413,995 | 11,413,995 | — | — | ||||||||||||||
| Health Care |
19,227,767 | 19,227,767 | — | — | ||||||||||||||
| Industrials |
9,766,708 | 9,766,708 | — | — | ||||||||||||||
| Information Technology |
59,421,663 | 55,627,188 | 3,794,475 | — | ||||||||||||||
| Materials |
5,263,807 | 5,263,807 | — | — | ||||||||||||||
| Telecommunication Services |
1,824,196 | 1,824,196 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
150,396,529 | 146,602,054 | 3,794,475 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,470,631 | 1,470,631 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$151,867,160 | $148,072,685 | $3,794,475 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-51
PACIFIC FUNDS
PF LARGE-CAP VALUE FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-52
PACIFIC FUNDS
PF LARGE-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Consumer Discretionary |
$44,632,478 | $41,608,485 | $3,023,993 | $— | ||||||||||||||
| Consumer Staples |
32,843,696 | 32,843,696 | — | — | ||||||||||||||
| Energy |
32,999,685 | 32,999,685 | — | — | ||||||||||||||
| Financials |
71,506,409 | 71,506,409 | — | — | ||||||||||||||
| Health Care |
35,007,715 | 35,007,715 | — | — | ||||||||||||||
| Industrials |
27,608,888 | 27,608,888 | — | — | ||||||||||||||
| Information Technology |
32,005,203 | 32,005,203 | — | — | ||||||||||||||
| Materials |
15,445,559 | 15,445,559 | — | — | ||||||||||||||
| Utilities |
4,919,068 | 4,919,068 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
296,968,701 | 293,944,708 | 3,023,993 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
2,619,792 | 2,619,792 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$299,588,493 | $296,564,500 | $3,023,993 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-53
PACIFIC FUNDS
PF MAIN STREET® CORE FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-54
PACIFIC FUNDS
PF MAIN STREET CORE FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Consumer Discretionary |
$21,020,692 | $21,020,692 | $— | $— | ||||||||||||||
| Consumer Staples |
24,475,186 | 24,174,052 | 301,134 | — | ||||||||||||||
| Energy |
13,890,298 | 13,890,298 | — | — | ||||||||||||||
| Financials |
37,909,288 | 37,909,288 | — | — | ||||||||||||||
| Health Care |
28,496,256 | 28,496,256 | — | — | ||||||||||||||
| Industrials |
28,394,776 | 28,394,776 | — | — | ||||||||||||||
| Information Technology |
36,937,739 | 36,937,739 | — | — | ||||||||||||||
| Materials |
3,861,023 | 3,861,023 | — | — | ||||||||||||||
| Telecommunication Services |
4,913,168 | 4,913,168 | — | — | ||||||||||||||
| Utilities |
5,828,031 | 5,828,031 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
205,726,457 | 205,425,323 | 301,134 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
5,396,552 | 5,396,552 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$211,123,009 | $210,821,875 | $301,134 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-55
PACIFIC FUNDS
PF MID-CAP EQUITY FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-56
PACIFIC FUNDS
PF MID-CAP EQUITY FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$168,589,840 | $168,589,840 | $— | $— | |||||||||||||
| Short-Term Investment |
1,046,413 | 1,046,413 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$169,636,253 | $169,636,253 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-57
PACIFIC FUNDS
PF MID-CAP GROWTH FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-58
PACIFIC FUNDS
PF MID-CAP GROWTH FUND
Schedule of Investments (Continued)
March 31, 2016
| (c) | Purchased options outstanding as of March 31, 2016 were as follows: |
Options on Indices
| Description | Exercise Price |
Expiration Date |
Counter- party |
Number of Contracts |
Cost | Value | ||||||||||||||||||
| Put - SPDR S&P MidCap 400 Trust (04/16) |
247.50 | 04/08/16 | CIT | 139 | $35,167 | $695 | ||||||||||||||||||
| Put - Russell 2000 (04/16) |
1,050.00 | 04/08/16 | MSC | 29 | 38,357 | 1,682 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 73,524 | 2,377 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||
| Put - S&P 500 (04/16) |
1,965.00 | 04/08/16 | CME | 11 | 19,613 | 825 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Purchased Options |
$93,137 | $3,202 | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (d) | Transactions in written options for the year ended March 31, 2016 were as follows: |
| Number of Contracts |
Premium | |||||||
| Outstanding, March 31, 2015 |
188 | $33,954 | ||||||
| Call Options Written |
271 | 29,269 | ||||||
| Put Options Written |
1,100 | 1,046,876 | ||||||
| Call Options Closed |
(87 | ) | (12,058 | ) | ||||
| Put Options Closed |
(961 | ) | (882,366 | ) | ||||
| Call Options Expired |
(142 | ) | (13,326 | ) | ||||
| Put Options Expired |
(226 | ) | (43,152 | ) | ||||
| Call Options Exercised |
(91 | ) | (9,765 | ) | ||||
|
|
|
|
|
|||||
| Outstanding, March 31, 2016 |
52 | $149,432 | ||||||
|
|
|
|
|
|||||
| (e) | Premium received and value of written options outstanding as of March 31, 2016 were as follows: |
Options on Securities
| Description | Exercise Price |
Expiration Date |
Counter- party |
Number of Contracts |
Premium | Value | ||||||||||||||||||
| Put - Pacira Pharmaceuticals Inc (05/16) |
$85.00 | 05/20/16 | GSC | 48 | $148,752 | ($152,400 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||
| Put - lululemon athletica Inc (04/16) |
55.00 | 04/01/16 | CME | 4 | 680 | (4 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Written Options |
$149,432 | ($152,404 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (f) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Consumer Discretionary |
$13,538,235 | $12,870,375 | $667,860 | $— | ||||||||||||||
| Consumer Staples |
3,905,076 | 3,905,076 | — | — | ||||||||||||||
| Energy |
2,612,990 | 2,612,990 | — | — | ||||||||||||||
| Financials |
6,718,890 | 6,718,890 | — | — | ||||||||||||||
| Health Care |
9,938,909 | 9,938,909 | — | — | ||||||||||||||
| Industrials |
7,447,597 | 7,447,597 | — | — | ||||||||||||||
| Information Technology |
11,684,989 | 11,684,989 | — | — | ||||||||||||||
| Materials |
1,963,062 | 1,963,062 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
57,809,748 | 57,141,888 | 667,860 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,183,171 | 1,183,171 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Purchased Options |
3,202 | 2,507 | 695 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
58,996,121 | 58,327,566 | 668,555 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Written Options |
(152,404 | ) | (4 | ) | (152,400 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(152,404 | ) | (4 | ) | (152,400 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$58,843,717 | $58,327,562 | $516,155 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-59
PACIFIC FUNDS
PF MID-CAP VALUE FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-60
PACIFIC FUNDS
PF MID-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$245,333,984 | $245,333,984 | $— | $— | |||||||||||||
| Short-Term Investment |
4,882,243 | 4,882,243 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$250,216,227 | $250,216,227 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-61
PACIFIC FUNDS
PF SMALL-CAP GROWTH FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-62
PACIFIC FUNDS
PF SMALL-CAP GROWTH FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Input |
Level 3 Significant Unobservable Input |
|||||||||||||||
| Assets |
Warrants |
$823 | $— | $823 | $— | |||||||||||||
| Common Stocks |
41,162,747 | 41,162,747 | — | — | ||||||||||||||
| Short-Term Investment |
976,346 | 976,346 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$42,139,916 | $42,139,093 | $823 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-63
PACIFIC FUNDS
PF SMALL-CAP VALUE FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-64
PACIFIC FUNDS
PF SMALL-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$196,414,239 | $196,414,239 | $— | $— | |||||||||||||
| Short-Term Investment |
2,806,002 | 2,806,002 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$199,220,241 | $199,220,241 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-65
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-66
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-67
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Fair Value Measurements |
The following is a summary of the Fund's investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund's assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Warrants |
$78,734 | $78,734 | $— | $— | |||||||||||||
| Preferred Stocks |
||||||||||||||||||
| Brazil |
2,501,523 | 2,501,523 | — | — | ||||||||||||||
| Colombia |
487,877 | 487,877 | — | — | ||||||||||||||
| India |
90,831 | — | — | 90,831 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Preferred Stocks |
3,080,231 | 2,989,400 | 90,831 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Common Stocks |
||||||||||||||||||
| Brazil |
4,315,782 | 4,315,782 | — | — | ||||||||||||||
| China |
28,194,386 | 16,435,049 | 11,759,337 | — | ||||||||||||||
| Colombia |
2,691,791 | 2,115,376 | 576,415 | — | ||||||||||||||
| Egypt |
654,128 | 654,128 | — | — | ||||||||||||||
| France |
3,160,938 | — | 3,160,938 | — | ||||||||||||||
| Hong Kong |
7,750,248 | 1,273,416 | 6,476,832 | — | ||||||||||||||
| India |
17,417,094 | — | 17,417,094 | — | ||||||||||||||
| Indonesia |
2,211,064 | — | 2,211,064 | — | ||||||||||||||
| Italy |
1,876,866 | 1,876,866 | — | — | ||||||||||||||
| Japan |
702,954 | — | 702,954 | — | ||||||||||||||
| Malaysia |
2,992,147 | — | 2,992,147 | — | ||||||||||||||
| Mexico |
6,795,887 | 6,795,887 | — | — | ||||||||||||||
| Nigeria |
741,949 | 470,013 | 271,936 | — | ||||||||||||||
| Philippines |
3,707,739 | — | 3,707,739 | — | ||||||||||||||
| Poland |
619,968 | — | 619,968 | — | ||||||||||||||
| Russia |
9,217,980 | — | 9,217,980 | — | ||||||||||||||
| Singapore |
673,196 | — | 673,196 | — | ||||||||||||||
| South Korea |
1,465,808 | — | 1,465,808 | — | ||||||||||||||
| Switzerland |
704,924 | — | 704,924 | — | ||||||||||||||
| Taiwan |
3,950,339 | — | 3,950,339 | — | ||||||||||||||
| Thailand |
988,639 | 395,372 | 593,267 | — | ||||||||||||||
| Turkey |
1,598,314 | — | 1,598,314 | — | ||||||||||||||
| United Arab Emirates |
1,684,774 | — | 1,684,774 | — | ||||||||||||||
| United Kingdom |
2,854,530 | — | 2,854,530 | — | ||||||||||||||
| United States |
1,369,467 | 1,369,467 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
108,340,912 | 35,701,356 | 72,639,556 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
6,179,107 | 6,179,107 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$117,678,984 | $44,948,597 | $72,639,556 | $90,831 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
Transfers between different levels of the fair value hierarchy during the period were as follows:
| Amount | Level Transfer |
Change in Fair Valuation Measurement Input | ||||||||||||||
| Transferred | From | To | From | To | ||||||||||||
| $2,895,766 | 1 | 2 | Unadjusted Exchange-Traded Price |
Adjusted Exchange-Traded Price using an Applied Foreign Fair Value Factor | ||||||||||||
| 2,530,994 | 2 | 1 | Adjusted Exchange-Traded Price using an Applied Foreign Fair Value Factor |
Unadjusted Exchange-Traded Price | ||||||||||||
| 90,831 | 1 | 3 | Unadjusted Exchange-Traded Price |
Methodology Approved By The Trustee Valuation Committee | ||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-68
PACIFIC FUNDS
PF INTERNATIONAL LARGE-CAP FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-69
PACIFIC FUNDS
PF INTERNATIONAL LARGE-CAP FUND
Schedule of Investments (Continued)
March 31, 2016
| (c) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Australia |
$1,442,886 | $— | $1,442,886 | $— | ||||||||||||||
| Belgium |
2,146,069 | — | 2,146,069 | — | ||||||||||||||
| Brazil |
1,844,593 | 1,844,593 | — | — | ||||||||||||||
| Canada |
12,621,350 | 12,621,350 | — | — | ||||||||||||||
| China |
2,125,038 | 2,125,038 | — | — | ||||||||||||||
| Denmark |
1,933,942 | — | 1,933,942 | — | ||||||||||||||
| France |
43,974,027 | — | 43,974,027 | — | ||||||||||||||
| Germany |
30,775,747 | — | 30,775,747 | — | ||||||||||||||
| Hong Kong |
9,377,842 | — | 9,377,842 | — | ||||||||||||||
| India |
5,136,385 | — | 5,136,385 | — | ||||||||||||||
| Israel |
2,207,131 | 2,207,131 | — | — | ||||||||||||||
| Italy |
1,909,936 | — | 1,909,936 | — | ||||||||||||||
| Japan |
37,000,219 | — | 37,000,219 | — | ||||||||||||||
| Netherlands |
15,522,542 | — | 15,522,542 | — | ||||||||||||||
| Singapore |
5,753,760 | — | 5,753,760 | — | ||||||||||||||
| Spain |
4,090,464 | — | 4,090,464 | — | ||||||||||||||
| Sweden |
3,479,760 | — | 3,479,760 | — | ||||||||||||||
| Switzerland |
36,644,808 | — | 36,644,808 | — | ||||||||||||||
| Taiwan |
9,626,971 | 8,239,690 | 1,387,281 | — | ||||||||||||||
| United Kingdom |
51,939,541 | 1,373,316 | 50,566,225 | — | ||||||||||||||
| United States |
6,663,490 | 6,663,490 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
286,216,501 | 35,074,608 | 251,141,893 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
2,475,000 | — | 2,475,000 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$288,691,501 | $35,074,608 | $253,616,893 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-70
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-71
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-72
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-73
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Rights |
$32,549 | $32,549 | $— | $— | |||||||||||||
| Common Stocks |
||||||||||||||||||
| Australia |
5,616,593 | — | 5,466,768 | 149,825 | ||||||||||||||
| Austria |
304,029 | — | 304,029 | — | ||||||||||||||
| Belgium |
786,911 | — | 786,911 | — | ||||||||||||||
| Canada |
7,465,579 | 7,465,579 | — | — | ||||||||||||||
| Denmark |
2,453,539 | — | 2,453,539 | — | ||||||||||||||
| Finland |
749,695 | — | 749,695 | — | ||||||||||||||
| France |
8,252,771 | — | 8,252,771 | — | ||||||||||||||
| Germany |
7,592,701 | — | 7,592,701 | — | ||||||||||||||
| Hong Kong |
2,602,870 | 117,585 | 2,485,285 | — | ||||||||||||||
| Ireland |
376,444 | — | 376,444 | — | ||||||||||||||
| Israel |
1,194,603 | 514,976 | 679,627 | — | ||||||||||||||
| Italy |
3,590,460 | — | 3,590,460 | — | ||||||||||||||
| Japan |
27,915,432 | — | 27,915,432 | — | ||||||||||||||
| Luxembourg |
391,086 | — | 391,086 | — | ||||||||||||||
| Malta |
310,970 | — | 310,970 | — | ||||||||||||||
| Netherlands |
1,750,519 | — | 1,750,519 | — | ||||||||||||||
| Norway |
268,586 | — | 268,586 | — | ||||||||||||||
| Portugal |
560,271 | — | 560,271 | — | ||||||||||||||
| Singapore |
2,006,826 | — | 2,006,826 | — | ||||||||||||||
| South Africa |
292,700 | — | 292,700 | — | ||||||||||||||
| South Korea |
5,229,147 | — | 5,229,147 | — | ||||||||||||||
| Spain |
3,391,775 | — | 3,391,775 | — | ||||||||||||||
| Sweden |
5,813,692 | — | 5,813,692 | — | ||||||||||||||
| Switzerland |
7,942,522 | — | 7,942,522 | — | ||||||||||||||
| Thailand |
320,727 | — | 320,727 | — | ||||||||||||||
| United Kingdom |
18,419,765 | 1,285,800 | 17,133,965 | — | ||||||||||||||
| United States |
18 | 18 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
115,600,231 | 9,383,958 | 106,066,448 | 149,825 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,497,772 | 1,497,772 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$117,130,552 | $10,914,279 | $106,066,448 | $149,825 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-74
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-75
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments (Continued)
March 31, 2016
| (c) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 7,953,742 | USD | 5,618,802 | 05/16 | GSC | $468,577 | ||||||||||||||
| CHF | 842,401 | USD | 830,213 | 05/16 | DUB | 47,213 | ||||||||||||||
| CHF | 1,075,043 | USD | 1,084,708 | 05/16 | GSC | 35,033 | ||||||||||||||
| CHF | 364,492 | USD | 369,212 | 05/16 | MSC | 10,434 | ||||||||||||||
| CHF | 6,222,872 | USD | 6,136,422 | 05/16 | RBC | 345,183 | ||||||||||||||
| DKK | 15,854,746 | USD | 2,325,365 | 05/16 | GSC | 98,118 | ||||||||||||||
| EUR | 665,235 | HKD | 5,751,102 | 05/16 | SGN | 16,199 | ||||||||||||||
| EUR | 122,405 | HKD | 1,044,519 | 05/16 | SSB | 4,747 | ||||||||||||||
| EUR | 870,794 | USD | 958,569 | 05/16 | SCB | 33,328 | ||||||||||||||
| GBP | 487,799 | JPY | 79,221,308 | 05/16 | SCB | (3,980 | ) | |||||||||||||
| GBP | 530,989 | USD | 740,942 | 05/16 | GSC | 21,771 | ||||||||||||||
| GBP | 198,778 | USD | 287,185 | 05/16 | MSC | (1,659 | ) | |||||||||||||
| HKD | 6,795,621 | USD | 871,368 | 05/16 | SCB | 4,866 | ||||||||||||||
| JPY | 74,595,410 | EUR | 605,381 | 05/16 | SCB | (26,105 | ) | |||||||||||||
| JPY | 78,283,060 | GBP | 486,738 | 05/16 | HSB | (2,842 | ) | |||||||||||||
| JPY | 128,001,110 | USD | 1,089,553 | 05/16 | GSC | 48,993 | ||||||||||||||
| JPY | 74,122,799 | USD | 635,991 | 05/16 | HSB | 23,317 | ||||||||||||||
| JPY | 154,103,400 | USD | 1,350,673 | 05/16 | SGN | 20,048 | ||||||||||||||
| NOK | 2,639,448 | USD | 307,535 | 05/16 | CIT | 11,394 | ||||||||||||||
| SEK | 8,265,224 | USD | 971,883 | 05/16 | SSB | 47,456 | ||||||||||||||
| SGD | 2,969,528 | USD | 2,084,562 | 05/16 | SGN | 118,250 | ||||||||||||||
| USD | 528,382 | AUD | 708,169 | 05/16 | SCB | (13,613 | ) | |||||||||||||
| USD | 251,445 | CHF | 244,573 | 05/16 | MSC | (3,297 | ) | |||||||||||||
| USD | 654,594 | DKK | 4,423,210 | 05/16 | CIT | (21,517 | ) | |||||||||||||
| USD | 287,602 | EUR | 252,856 | 05/16 | CIT | (418 | ) | |||||||||||||
| USD | 9,294,551 | EUR | 8,491,433 | 05/16 | GSC | (377,801 | ) | |||||||||||||
| USD | 451,879 | EUR | 402,828 | 05/16 | MER | (6,970 | ) | |||||||||||||
| USD | 360,698 | GBP | 258,195 | 05/16 | CIT | (10,175 | ) | |||||||||||||
| USD | 438,505 | GBP | 304,630 | 05/16 | HSB | 934 | ||||||||||||||
| USD | 7,727,198 | GBP | 5,381,346 | 05/16 | MER | (2,582 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-76
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments (Continued)
March 31, 2016
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 856,638 | GBP | 617,481 | 05/16 | RBC | ($30,313 | ) | |||||||||||||
| USD | 1,220,360 | GBP | 846,833 | 05/16 | SCB | 3,967 | ||||||||||||||
| USD | 279,873 | JPY | 32,660,031 | 05/16 | GSC | (10,632 | ) | |||||||||||||
| USD | 295,664 | JPY | 34,932,731 | 05/16 | SCB | (15,056 | ) | |||||||||||||
| USD | 1,002,328 | NOK | 8,688,159 | 05/16 | DUB | (47,476 | ) | |||||||||||||
| USD | 1,035,384 | SEK | 8,755,031 | 05/16 | GSC | (44,363 | ) | |||||||||||||
| USD | 380,616 | SEK | 3,250,644 | 05/16 | SSB | (20,282 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
$720,747 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| (d) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Input |
Level 3 Significant Unobservable Input |
|||||||||||||||
| Assets |
Preferred Stocks |
$671,048 | $— | $671,048 | $— | |||||||||||||
| Common Stocks |
||||||||||||||||||
| Australia |
4,110,755 | — | 4,110,755 | — | ||||||||||||||
| Belgium |
2,849,745 | — | 2,849,745 | — | ||||||||||||||
| China |
2,184,923 | — | 2,184,923 | — | ||||||||||||||
| Denmark |
977,789 | — | 977,789 | — | ||||||||||||||
| Finland |
3,325,518 | — | 3,325,518 | — | ||||||||||||||
| France |
17,177,606 | — | 17,177,606 | — | ||||||||||||||
| Germany |
11,204,548 | — | 11,204,548 | — | ||||||||||||||
| Hong Kong |
2,104,986 | — | 2,104,986 | — | ||||||||||||||
| Ireland |
2,331,718 | 1,095,836 | 1,235,882 | — | ||||||||||||||
| Israel |
1,195,253 | 1,195,253 | — | — | ||||||||||||||
| Italy |
6,178,741 | — | 6,178,741 | — | ||||||||||||||
| Japan |
27,790,421 | — | 27,790,421 | — | ||||||||||||||
| Luxembourg |
900,996 | — | 900,996 | — | ||||||||||||||
| Netherlands |
11,640,405 | — | 11,640,405 | — | ||||||||||||||
| Norway |
1,551,956 | — | 1,551,956 | — | ||||||||||||||
| South Korea |
1,630,750 | — | 1,630,750 | — | ||||||||||||||
| Spain |
2,026,567 | — | 2,026,567 | — | ||||||||||||||
| Sweden |
3,778,376 | — | 3,778,376 | — | ||||||||||||||
| Switzerland |
6,286,180 | — | 6,286,180 | — | ||||||||||||||
| United Kingdom |
27,885,612 | — | 27,885,612 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
137,132,845 | 2,291,089 | 134,841,756 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,287,455 | 1,287,455 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
1,359,828 | — | 1,359,828 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
140,451,176 | 3,578,544 | 136,872,632 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(639,081 | ) | — | (639,081 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(639,081 | ) | — | (639,081 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$139,812,095 | $3,578,544 | $136,233,551 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-77
PACIFIC FUNDS
PF REAL ESTATE FUND
Schedule of Investments
March 31, 2016
| (b) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$68,861,025 | $68,861,025 | $— | $— | |||||||||||||
| Short-Term Investment |
1,558,183 | 1,558,183 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$70,419,208 | $70,419,208 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-78
PACIFIC FUNDS
PF ABSOLUTE RETURN FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-79
PACIFIC FUNDS
PF ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-80
PACIFIC FUNDS
PF ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 1,526,082 | USD | 1,100,000 | 05/16 | CSF | $68,041 | ||||||||||||||
| CAD | 490,488 | USD | 365,543 | 04/16 | CSF | 12,129 | ||||||||||||||
| CAD | 1,100,000 | USD | 820,265 | 04/16 | GSC | 26,724 | ||||||||||||||
| CAD | 2,075,559 | USD | 1,596,737 | 06/16 | GSC | 1,482 | ||||||||||||||
| CNH | 1,684,550 | USD | 250,000 | 01/17 | GSC | 6,316 | ||||||||||||||
| EUR | 919,921 | JPY | 116,581,625 | 05/16 | GSC | 10,951 | ||||||||||||||
| EUR | 3,300,000 | USD | 3,583,008 | 04/16 | GSC | 174,322 | ||||||||||||||
| EUR | 1,000,000 | USD | 1,102,960 | 05/16 | GSC | 36,075 | ||||||||||||||
| EUR | 3,370,000 | USD | 3,675,759 | 06/16 | CIT | 167,234 | ||||||||||||||
| GBP | 1,030,000 | USD | 1,444,381 | 06/16 | CIT | 35,268 | ||||||||||||||
| HUF | 436,019,500 | EUR | 1,400,000 | 06/16 | GSC | (18,055 | ) | |||||||||||||
| JPY | 116,581,625 | EUR | 950,000 | 05/16 | GSC | (45,216 | ) | |||||||||||||
| MXN | 54,268,708 | USD | 3,100,000 | 06/16 | GSC | 19,483 | ||||||||||||||
| NZD | 252,000 | USD | 173,902 | 06/16 | CIT | (355 | ) | |||||||||||||
| NZD | 1,554,634 | USD | 1,030,318 | 06/16 | GSC | 40,325 | ||||||||||||||
| SAR | 760,400 | USD | 200,000 | 01/17 | CIT | 1,209 | ||||||||||||||
| TRY | 3,319,305 | USD | 1,140,851 | 04/16 | GSC | 30,247 | ||||||||||||||
| USD | 1,123,158 | AUD | 1,526,082 | 05/16 | CSF | (44,882 | ) | |||||||||||||
| USD | 350,000 | CAD | 490,488 | 04/16 | CSF | (27,671 | ) | |||||||||||||
| USD | 756,206 | CAD | 1,100,000 | 04/16 | GSC | (90,784 | ) | |||||||||||||
| USD | 1,550,000 | CAD | 2,075,559 | 06/16 | GSC | (48,219 | ) | |||||||||||||
| USD | 3,600,000 | CNH | 24,767,460 | 01/17 | GSC | (168,540 | ) | |||||||||||||
| USD | 3,602,115 | EUR | 3,300,000 | 04/16 | GSC | (155,215 | ) | |||||||||||||
| USD | 1,105,700 | EUR | 1,000,000 | 05/16 | GSC | (33,335 | ) | |||||||||||||
| USD | 26,665,455 | EUR | 24,425,000 | 06/16 | CIT | (1,187,692 | ) | |||||||||||||
| USD | 1,100,000 | GBP | 753,401 | 05/16 | CIT | 17,815 | ||||||||||||||
| USD | 2,795,771 | GBP | 2,000,000 | 06/16 | CIT | (77,335 | ) | |||||||||||||
| USD | 1,012,025 | GBP | 700,000 | 06/16 | CIT | 6,438 | ||||||||||||||
| USD | 459,392 | NZD | 700,000 | 06/16 | CIT | (22,683 | ) | |||||||||||||
| USD | 1,050,000 | NZD | 1,554,634 | 06/16 | GSC | (20,643 | ) | |||||||||||||
| USD | 3,600,000 | SAR | 13,860,000 | 01/17 | CIT | (67,495 | ) | |||||||||||||
| USD | 1,100,000 | TRY | 3,319,305 | 04/16 | GSC | (71,098 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts | ($1,425,159 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| (e) | Purchased options outstanding as of March 31, 2016 were as follows: |
| Options on Futures | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||
| Call - Euro-Bund (06/16) |
EUR 165.00 | 05/26/16 | EUX | 157 | $48,195 | $83,966 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Options on Indices | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||
| Call - Dow Jones Euro STOXX 50 (04/16) |
3,200.00 | 04/15/16 | EUX | 93 | $13,343 | $1,693 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - Dow Jones Euro STOXX 50 (04/16) |
2,900.00 | 04/15/16 | EUX | 85 | 47,494 | 17,410 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $60,837 | $19,103 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$109,032 | $103,069 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (f) | Transactions in written options for the period since inception through March 31, 2016 were as follows: |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-81
PACIFIC FUNDS
PF ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| (g) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Credit Default Swaps on Corporate and Sovereign Issues – Buy Protection (1)
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| BorgWarner Inc |
1.000% | 06/20/20 | CSF | 0.658% | $590,000 | ($8,503 | ) | ($10,730 | ) | $2,227 | ||||||||||||||||||||
| Carlsberg Breweries AS |
1.000% | 12/20/20 | BNP | 0.748% | EUR 122,000 | (1,687 | ) | (319 | ) | (1,368 | ) | |||||||||||||||||||
| Korea International |
1.000% | 12/20/20 | BNP | 0.567% | $10,600,000 | (214,554 | ) | (179,734 | ) | (34,820 | ) | |||||||||||||||||||
| Pitney Bowes Inc |
1.000% | 12/20/20 | BNP | 1.248% | 29,000 | 317 | 312 | 5 | ||||||||||||||||||||||
| Russian Foreign |
1.000% | 12/20/20 | BNP | 2.625% | 2,988,000 | 212,529 | 286,323 | (73,794 | ) | |||||||||||||||||||||
| Yum! Brands Inc |
1.000% | 12/20/20 | BNP | 2.420% | 270,000 | 16,780 | 20,450 | (3,670 | ) | |||||||||||||||||||||
| Anadarko Petroleum Corp |
1.000% | 12/20/20 | CIT | 3.250% | 17,000 | 1,605 | 540 | 1,065 | ||||||||||||||||||||||
| Anglo American Capital PLC |
1.000% | 12/20/20 | CIT | 6.369% | EUR 220,000 | 52,978 | 26,357 | 26,621 | ||||||||||||||||||||||
| Indonesia Government |
1.000% | 12/20/20 | CIT | 1.794% | $500,000 | 17,504 | 32,302 | (14,798 | ) | |||||||||||||||||||||
| MetLife Inc |
1.000% | 12/20/20 | CIT | 1.205% | 50,000 | 448 | 469 | (21 | ) | |||||||||||||||||||||
| Russian Foreign |
1.000% | 12/20/20 | CIT | 2.625% | 412,000 | 29,305 | 40,938 | (11,633 | ) | |||||||||||||||||||||
| Volvo Treasury AB |
1.000% | 12/20/20 | CIT | 1.045% | EUR 108,000 | 219 | 3,497 | (3,278 | ) | |||||||||||||||||||||
| Zurich Insurance Co Ltd |
1.000% | 12/20/20 | CIT | 0.415% | 500,000 | (15,978 | ) | (14,108 | ) | (1,870 | ) | |||||||||||||||||||
| Anadarko Petroleum Corp |
1.000% | 12/20/20 | CSF | 3.250% | $37,000 | 3,494 | 1,101 | 2,393 | ||||||||||||||||||||||
| Carlsberg Breweries AS |
1.000% | 12/20/20 | CSF | 0.748% | EUR 356,000 | (4,928 | ) | (2,791 | ) | (2,137 | ) | |||||||||||||||||||
| Nordstrom Inc |
1.000% | 12/20/20 | CSF | 1.109% | $590,000 | 2,762 | (13,941 | ) | 16,703 | |||||||||||||||||||||
| Telekom Finanzmanagement GmbH |
1.000% | 12/20/20 | CSF | 0.653% | EUR 91,000 | (1,729 | ) | (1,172 | ) | (557 | ) | |||||||||||||||||||
| Vodafone Group PLC |
1.000% | 12/20/20 | CSF | 0.865% | 131,000 | (991 | ) | 612 | (1,603 | ) | ||||||||||||||||||||
| Volvo Treasury AB |
1.000% | 12/20/20 | CSF | 1.045% | 52,000 | 105 | 1,202 | (1,097 | ) | |||||||||||||||||||||
| Yum! Brands Inc |
1.000% | 12/20/20 | CSF | 2.420% | $49,000 | 3,045 | 3,540 | (495 | ) | |||||||||||||||||||||
| Anadarko Petroleum Corp |
1.000% | 12/20/20 | GSC | 3.250% | 46,000 | 4,343 | 1,368 | 2,975 | ||||||||||||||||||||||
| Carlsberg Breweries AS |
1.000% | 12/20/20 | GSC | 0.748% | EUR 20,000 | (276 | ) | (115 | ) | (161 | ) | |||||||||||||||||||
| MetLife Inc |
1.000% | 12/20/20 | GSC | 1.205% | $297,000 | 2,662 | 4,529 | (1,867 | ) | |||||||||||||||||||||
| Newell Rubbermaid Inc |
1.000% | 12/20/20 | GSC | 0.793% | 600,000 | (5,865 | ) | (9,629 | ) | 3,764 | ||||||||||||||||||||
| Packaging Corp of America |
1.000% | 12/20/20 | GSC | 0.781% | 227,000 | (2,346 | ) | (224 | ) | (2,122 | ) | |||||||||||||||||||
| Stanley Black & Decker Inc |
1.000% | 12/20/20 | GSC | 0.754% | 509,000 | (5,899 | ) | (5,318 | ) | (581 | ) | |||||||||||||||||||
| Telekom Finanzmanagement GmbH |
1.000% | 12/20/20 | GSC | 0.653% | EUR 175,000 | (3,326 | ) | (2,158 | ) | (1,168 | ) | |||||||||||||||||||
| Vodafone Group PLC |
1.000% | 12/20/20 | GSC | 0.865% | 165,000 | (1,248 | ) | 778 | (2,026 | ) | ||||||||||||||||||||
| Anglo American Capital PLC |
5.000% | 12/20/20 | CIT | 6.369% | 127,000 | 7,587 | 17,845 | (10,258 | ) | |||||||||||||||||||||
| Stora Enso Oyj |
5.000% | 12/20/20 | CIT | 1.605% | 215,000 | (38,535 | ) | (31,265 | ) | (7,270 | ) | |||||||||||||||||||
| Anglo American Capital PLC |
5.000% | 12/20/20 | CSF | 6.369% | 233,000 | 13,920 | 21,665 | (7,745 | ) | |||||||||||||||||||||
| Anglo American Capital PLC |
5.000% | 12/20/20 | GSC | 6.369% | 46,000 | 2,748 | 6,166 | (3,418 | ) | |||||||||||||||||||||
| Atlantia SpA |
1.000% | 06/20/21 | BNP | 0.760% | 699,000 | (10,150 | ) | (7,101 | ) | (3,049 | ) | |||||||||||||||||||
| Cardinal Health Inc |
1.000% | 06/20/21 | BNP | 0.224% | $450,000 | (18,008 | ) | (17,429 | ) | (579 | ) | |||||||||||||||||||
| Danone SA |
1.000% | 06/20/21 | BNP | 0.467% | EUR 501,000 | (16,093 | ) | (14,826 | ) | (1,267 | ) | |||||||||||||||||||
| Diageo Capital PLC |
1.000% | 06/20/21 | BNP | 0.489% | 589,000 | (18,125 | ) | (17,431 | ) | (694 | ) | |||||||||||||||||||
| Engie SA |
1.000% | 06/20/21 | BNP | 0.730% | 508,000 | (8,273 | ) | (6,948 | ) | (1,325 | ) | |||||||||||||||||||
| Eni SPA SA |
1.000% | 06/20/21 | BNP | 1.142% | 314,000 | 2,497 | 5,686 | (3,189 | ) | |||||||||||||||||||||
| Fortum Oyj |
1.000% | 06/20/21 | BNP | 0.830% | 300,000 | (3,107 | ) | (1,816 | ) | (1,291 | ) | |||||||||||||||||||
| Repsol International Finance BV |
1.000% | 06/20/21 | BNP | 2.713% | 89,000 | 8,393 | 8,295 | 98 | ||||||||||||||||||||||
| Solvay SA |
1.000% | 06/20/21 | BNP | 1.103% | 290,000 | 1,644 | 1,988 | (344 | ) | |||||||||||||||||||||
| TDC AS |
1.000% | 06/20/21 | BNP | 1.167% | 123,000 | 1,154 | 1,836 | (682 | ) | |||||||||||||||||||||
| Gas Natural Capital Markets SA |
1.000% | 06/20/21 | CIT | 1.011% | 700,000 | 224 | 3,601 | (3,377 | ) | |||||||||||||||||||||
| Expedia Inc |
1.000% | 06/20/21 | CSF | 1.337% | $211,000 | 3,476 | 3,489 | (13 | ) | |||||||||||||||||||||
| Arrow Electronics Inc |
1.000% | 06/20/21 | GSC | 0.682% | 608,000 | (9,954 | ) | (8,149 | ) | (1,805 | ) | |||||||||||||||||||
| Avnet Inc |
1.000% | 06/20/21 | GSC | 0.679% | 673,000 | (11,132 | ) | (9,095 | ) | (2,037 | ) | |||||||||||||||||||
| Boston Scientific Corp |
1.000% | 06/20/21 | GSC | 0.530% | 760,000 | (18,389 | ) | (15,663 | ) | (2,726 | ) | |||||||||||||||||||
| Ingersoll-Rand Co |
1.000% | 06/20/21 | GSC | 0.383% | 480,000 | (15,237 | ) | (14,110 | ) | (1,127 | ) | |||||||||||||||||||
| LVMH Moet Hennessy Louis Vuitton SE |
1.000% | 06/20/21 | GSC | 0.434% | EUR 119,000 | (4,054 | ) | (3,849 | ) | (205 | ) | |||||||||||||||||||
| Quest Diagnostics Inc |
1.000% | 06/20/21 | GSC | 0.616% | $590,000 | (11,649 | ) | (10,038 | ) | (1,611 | ) | |||||||||||||||||||
| Statoil ASA |
1.000% | 06/20/21 | GSC | 0.742% | EUR 647,000 | (10,084 | ) | (8,916 | ) | (1,168 | ) | |||||||||||||||||||
| Jaguar Land Rover Automotive PLC |
5.000% | 06/20/21 | BNP | 3.347% | 281,000 | (25,578 | ) | (25,338 | ) | (240 | ) | |||||||||||||||||||
| Jaguar Land Rover Automotive PLC |
5.000% | 06/20/21 | CSF | 3.347% | 6,000 | (531 | ) | (521 | ) | (10 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| ($96,490 | ) | $62,155 | ($158,645 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-82
PACIFIC FUNDS
PF ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
Credit Default Swaps on Corporate and Sovereign Issues – Sell Protection (2)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Anheuser-Busch InBev SA/NV |
1.000% | 12/20/20 | BNP | 0.719% | EUR 122,000 | $1,874 | $768 | $1,106 | ||||||||||||||||||||||
| Italy Government |
1.000% | 12/20/20 | CIT | 1.213% | $339,000 | (3,153 | ) | (6,438 | ) | 3,285 | ||||||||||||||||||||
| Volkswagen International Finance NV |
1.000% | 12/20/20 | CIT | 1.660% | EUR 229,000 | (7,759 | ) | (16,327 | ) | 8,568 | ||||||||||||||||||||
| Anheuser-Busch InBev SA/NV |
1.000% | 12/20/20 | CSF | 0.719% | 356,000 | 5,474 | 3,840 | 1,634 | ||||||||||||||||||||||
| Anheuser-Busch InBev SA/NV |
1.000% | 12/20/20 | GSC | 0.719% | 20,000 | 307 | 168 | 139 | ||||||||||||||||||||||
| Italy Government |
1.000% | 12/20/20 | GSC | 1.213% | $377,000 | (3,507 | ) | (7,814 | ) | 4,307 | ||||||||||||||||||||
| Volkswagen International Finance NV |
1.000% | 12/20/20 | GSC | 1.660% | EUR 71,000 | (2,405 | ) | (4,397 | ) | 1,992 | ||||||||||||||||||||
| Volkswagen International Finance NV |
1.000% | 06/20/21 | BNP | 1.760% | 325,000 | (14,399 | ) | (14,512 | ) | 113 | ||||||||||||||||||||
| Italy Government |
1.000% | 06/20/21 | CIT | 1.276% | $145,000 | (1,927 | ) | (2,118 | ) | 191 | ||||||||||||||||||||
| Italy Government |
1.000% | 06/20/21 | CSF | 1.276% | 1,000,000 | (13,288 | ) | (13,643 | ) | 355 | ||||||||||||||||||||
| Italy Government |
1.000% | 06/20/21 | GSC | 1.276% | 2,044,000 | (27,160 | ) | (23,927 | ) | (3,233 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| ($65,943 | ) | ($84,400 | ) | $18,457 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Credit Default Swaps on Credit Indices – Buy Protection (1)
| Referenced Obligation | Fixed Deal Rate |
Expiration Date |
Counter- party |
Notional Amount (4) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| iTraxx Asia |
1.000% | 12/20/20 | CIT | $2,200,000 | $25,028 | $56,168 | ($31,140 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| CDX IG 25 5Y |
1.000% | 06/20/21 | CME | $8,500,000 | (90,326 | ) | (82,540 | ) | (7,786 | ) | ||||||||||||||||||
| iTraxx Europe |
1.000% | 06/20/21 | ICE | EUR 1,220,000 | (19,256 | ) | (20,857 | ) | 1,601 | |||||||||||||||||||
| iTraxx Crossover |
5.000% | 06/20/21 | ICE | 1,900,000 | (197,517 | ) | (204,072 | ) | 6,555 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (307,099 | ) | (307,469 | ) | 370 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($282,071 | ) | ($251,301 | ) | ($30,770 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($444,504 | ) | ($273,546 | ) | ($170,958 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (2) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (3) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate and sovereign issues as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
| (4) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| (5) | The quoted market prices and resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. |
Interest Rate Swaps – Receive Floating Rate
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.193% | 06/01/21 | $2,460,000 | $3,600 | $— | $3,600 | |||||||||||||||||||
| 3-Month EUR-LIBOR |
LCH | 0.089% | 06/10/21 | EUR 4,330,000 | (8,873 | ) | — | (8,873 | ) | |||||||||||||||||
| 3-Month EUR-LIBOR |
LCH | 0.570% | 05/26/26 | 2,720,000 | (234 | ) | 234 | (468 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.858% | 06/20/26 | $2,470,000 | (39,669 | ) | — | (39,669 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($45,176 | ) | $234 | ($45,410 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-83
PACIFIC FUNDS
PF ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
Total Return Swaps
| Receive | Pay Total Return | Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| 3-Month EUR-LIBOR |
iBoxx-EUR Liquid HY | BNP | 09/20/16 | EUR 320,000 | ($10,012 | ) | $— | ($10,012 | ) | |||||||||||||||||
| 3-Month EUR-LIBOR |
iBoxx-EUR Corporate | GSC | 09/20/16 | 1,400,000 | (35,753 | ) | — | (35,753 | ) | |||||||||||||||||
| 3-Month USD-LIBOR |
iBoxx-EUR Liquid IG | GSC | 09/20/16 | $1,064,400 | (55,260 | ) | — | (55,260 | ) | |||||||||||||||||
| 3-Month EUR-LIBOR |
iBoxx-EUR Corporate | GSC | 12/20/16 | EUR 1,100,000 | (18,909 | ) | — | (18,909 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($119,934 | ) | $— | ($119,934 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Swap Agreements |
($609,614 | ) | ($273,312 | ) | ($336,302 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (h) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| |
Total Value at March 31, 2016 |
|
|
Level 1 Quoted Price |
|
|
Level 2 Significant Observable Inputs |
|
|
Level 3 Significant Unobservable Inputs |
| |||||||
| Assets |
Corporate Bonds & Notes |
$7,246,486 | $— | $7,246,486 | $— | |||||||||||||
| U.S. Treasury Obligations |
1,110,407 | — | 1,110,407 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
27,472,371 | — | 27,472,371 | — | ||||||||||||||
| Short-Term Investment |
29,719,509 | 29,719,509 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
422,422 | — | 422,422 | — | ||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Purchased Options |
19,103 | 19,103 | — | — | ||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
654,059 | — | 654,059 | — | ||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
34,521 | 34,521 | — | — | ||||||||||||||
| Purchased Options |
83,966 | 83,966 | — | — | ||||||||||||||
| Swaps |
3,600 | — | 3,600 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
122,087 | 118,487 | 3,600 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
1,217,671 | 137,590 | 1,080,081 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
66,766,444 | 29,857,099 | 36,909,345 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
(866,926 | ) | — | (866,926 | ) | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(2,079,218 | ) | — | (2,079,218 | ) | — | ||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(211,534 | ) | (211,534 | ) | — | — | ||||||||||||
| Swaps |
(168,710 | ) | — | (168,710 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(380,244 | ) | (211,534 | ) | (168,710 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(3,326,388 | ) | (211,534 | ) | (3,114,854 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(3,326,388 | ) | (211,534 | ) | (3,114,854 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$63,440,056 | $29,645,565 | $33,794,491 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-84
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-85
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments (Continued)
March 31, 2016
| (c) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 2,999,717 | USD | 2,302,337 | 05/16 | GSC | ($8,864 | ) | |||||||||||||
| CAD | 695,000 | USD | 536,336 | 04/16 | CIB | (1,188 | ) | |||||||||||||
| CAD | 22,187,954 | USD | 16,592,425 | 05/16 | GSC | 492,423 | ||||||||||||||
| CAD | 13,824,713 | USD | 10,335,963 | 05/16 | RBC | 309,142 | ||||||||||||||
| CHF | 1,010,000 | USD | 1,044,882 | 04/16 | BRC | 6,728 | ||||||||||||||
| CHF | 880,000 | USD | 918,487 | 04/16 | DUB | (2,233 | ) | |||||||||||||
| CHF | 3,384,951 | USD | 3,542,730 | 05/16 | BRC | (13,604 | ) | |||||||||||||
| CHF | 6,421,552 | USD | 6,643,966 | 05/16 | SSB | 51,099 | ||||||||||||||
| COP | 21,937,762,800 | USD | 7,110,000 | 04/16 | JPM | 196,079 | ||||||||||||||
| EUR | 9,690,000 | USD | 10,757,470 | 04/16 | JPM | 277,401 | ||||||||||||||
| EUR | 1,383,305 | USD | 1,578,843 | 05/16 | GSC | (2,101 | ) | |||||||||||||
| EUR | 4,287,661 | USD | 4,710,382 | 05/16 | SCB | 176,853 | ||||||||||||||
| GBP | 13,448,661 | USD | 19,041,825 | 05/16 | BRC | 276,810 | ||||||||||||||
| INR | 951,808,180 | USD | 14,128,482 | 04/16 | GSC | 173,741 | ||||||||||||||
| JPY | 1,652,200,000 | USD | 14,563,500 | 04/16 | MSC | 128,542 | ||||||||||||||
| JPY | 2,969,613,358 | USD | 26,222,562 | 05/16 | ANZ | 203,924 | ||||||||||||||
| JPY | 1,480,623,210 | USD | 13,016,926 | 05/16 | GSC | 159,089 | ||||||||||||||
| JPY | 1,469,124,619 | USD | 12,977,594 | 05/16 | SCB | 96,095 | ||||||||||||||
| KRW | 1,221,000,000 | USD | 1,052,586 | 04/16 | JPM | 14,367 | ||||||||||||||
| MXN | 129,890,000 | USD | 7,212,144 | 04/16 | BRC | 287,951 | ||||||||||||||
| MXN | 124,048,739 | USD | 7,110,000 | 04/16 | DUB | 52,810 | ||||||||||||||
| NOK | 108,369,395 | USD | 12,674,931 | 05/16 | SEB | 417,808 | ||||||||||||||
| NOK | 55,436,472 | USD | 6,500,000 | 05/16 | SSB | 197,604 | ||||||||||||||
| NZD | 1,525,000 | USD | 1,037,651 | 04/16 | BRC | 14,972 | ||||||||||||||
| NZD | 1,315,000 | USD | 913,005 | 04/16 | DUB | (5,333 | ) | |||||||||||||
| NZD | 3,867,638 | USD | 2,568,131 | 05/16 | ANZ | 97,239 | ||||||||||||||
| NZD | 49,557,429 | USD | 33,309,721 | 05/16 | GSC | 842,614 | ||||||||||||||
| SEK | 61,352,577 | USD | 7,258,760 | 05/16 | GSC | 313,920 | ||||||||||||||
| SEK | 53,172,818 | USD | 6,412,266 | 05/16 | SSB | 150,796 | ||||||||||||||
| USD | 16,655,817 | AUD | 22,522,774 | 05/16 | GSC | (564,262 | ) | |||||||||||||
| USD | 11,819,754 | AUD | 15,983,981 | 05/16 | RBC | (401,005 | ) | |||||||||||||
| USD | 6,004,356 | CAD | 8,020,000 | 04/16 | CIB | (171,019 | ) | |||||||||||||
| USD | 2,377,008 | CAD | 3,074,598 | 05/16 | GSC | 9,550 | ||||||||||||||
| USD | 35,357,526 | CHF | 34,900,000 | 04/16 | CIB | (980,288 | ) | |||||||||||||
| USD | 43,795,513 | CHF | 43,687,119 | 05/16 | BRC | (1,752,369 | ) | |||||||||||||
| USD | 6,511,161 | CHF | 6,490,000 | 05/16 | RBC | (255,267 | ) | |||||||||||||
| USD | 694,427 | EUR | 615,000 | 04/16 | BRC | (5,928 | ) | |||||||||||||
| USD | 14,328,899 | EUR | 13,044,000 | 05/16 | ANZ | (539,135 | ) | |||||||||||||
| USD | 37,123,781 | EUR | 33,603,130 | 05/16 | SCB | (1,178,311 | ) | |||||||||||||
| USD | 6,500,000 | EUR | 5,921,742 | 05/16 | SSB | (249,821 | ) | |||||||||||||
| USD | 5,863,411 | GBP | 4,150,000 | 04/16 | DUB | (97,526 | ) | |||||||||||||
| USD | 6,643,966 | GBP | 4,597,136 | 05/16 | SSB | 40,304 | ||||||||||||||
| USD | 809,805 | JPY | 90,200,000 | 04/16 | BRC | 7,709 | ||||||||||||||
| USD | 13,013,657 | JPY | 1,473,751,120 | 05/16 | ANZ | (101,203 | ) | |||||||||||||
| USD | 1,120,223 | JPY | 125,740,134 | 05/16 | GSC | 1,266 | ||||||||||||||
| USD | 14,641,901 | KRW | 17,500,000,000 | 04/16 | BRC | (650,222 | ) | |||||||||||||
| USD | 7,100,000 | KRW | 8,267,240,000 | 04/16 | JPM | (124,209 | ) | |||||||||||||
| USD | 460,811 | MXN | 8,040,000 | 04/16 | BRC | (3,434 | ) | |||||||||||||
| USD | 6,317,645 | NOK | 54,111,901 | 05/16 | BRC | (219,930 | ) | |||||||||||||
| USD | 6,481,200 | NOK | 55,353,836 | 05/16 | GSC | (206,420 | ) | |||||||||||||
| USD | 9,495,011 | NOK | 81,181,399 | 05/16 | SEB | (312,988 | ) | |||||||||||||
| USD | 6,409,720 | NOK | 54,889,000 | 05/16 | SSB | (221,740 | ) | |||||||||||||
| USD | 28,190,655 | NZD | 42,695,000 | 04/16 | GSC | (1,279,334 | ) | |||||||||||||
| USD | 22,095,520 | NZD | 32,744,603 | 05/16 | GSC | (470,313 | ) | |||||||||||||
| USD | 10,015,403 | SEK | 84,838,602 | 05/16 | GSC | (456,131 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
($5,277,342 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-86
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments (Continued)
March 31, 2016
| (d) | Purchased options outstanding as of March 31, 2016 were as follows: |
Foreign Currency Options
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Call - AUD versus USD |
$0.80 | 01/03/17 | ANZ | AUD 8,600,000 | $49,382 | $132,096 | ||||||||||||||||
| Call - CAD versus USD |
CAD 1.54 | 01/03/17 | RBC | $26,800,000 | 223,164 | 87,194 | ||||||||||||||||
| Call - JPY versus USD |
JPY 124.75 | 01/03/17 | GSC | 4,300,000 | 37,948 | 21,886 | ||||||||||||||||
| Call - CHF versus JPY |
130.00 | 01/03/17 | GSC | CHF 22,500,000 | 231,682 | 184,777 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 542,176 | 425,953 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - NZD versus CHF |
CHF 0.57 | 01/03/17 | GSC | NZD 43,200,000 | 758,436 | 418,679 | ||||||||||||||||
| Put - EUR versus USD |
$0.98 | 01/03/17 | BRC | EUR 3,900,000 | 51,081 | 16,299 | ||||||||||||||||
| Put - SEK versus USD |
SEK 7.50 | 01/03/17 | GSC | $9,500,000 | 71,887 | 99,407 | ||||||||||||||||
| Put - NOK versus USD |
NOK 7.65 | 01/03/17 | SEB | 9,500,000 | 77,805 | 119,616 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 959,209 | 654,001 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$1,501,385 | $1,079,954 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (e) | Fair Value Measurements |
The following is a summary of the Fund's investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund's assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
U.S. Treasury Obligations |
$5,905,186 | $— | $5,905,186 | $— | |||||||||||||
| Foreign Government Bonds & Notes |
21,600,562 | — | 21,600,562 | — | ||||||||||||||
| Short-Term Investments |
102,959,367 | 58,998,312 | 43,961,055 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
4,996,836 | — | 4,996,836 | — | ||||||||||||||
| Purchased Options |
1,079,954 | — | 1,079,954 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
6,076,790 | — | 6,076,790 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
6,076,790 | — | 6,076,790 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
136,541,905 | 58,998,312 | 77,543,593 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(10,274,178 | ) | — | (10,274,178 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(10,274,178 | ) | — | (10,274,178 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$126,267,727 | $58,998,312 | $67,269,415 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-87
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments
March 31, 2016
| (e) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 2,898,000 | USD | 2,063,812 | 06/16 | CIT | $149,822 | ||||||||||||||
| CAD | 3,602,000 | USD | 2,664,597 | 06/16 | CIT | 109,010 | ||||||||||||||
| CHF | 2,801,000 | USD | 2,819,465 | 06/16 | CIT | 103,694 | ||||||||||||||
| DKK | 4,003,000 | USD | 585,148 | 06/16 | CIT | 27,629 | ||||||||||||||
| EUR | 8,380,000 | USD | 9,134,485 | 06/16 | CIT | 423,869 | ||||||||||||||
| GBP | 4,199,000 | USD | 5,870,654 | 06/16 | CIT | 161,656 | ||||||||||||||
| HKD | 7,180,000 | USD | 923,470 | 06/16 | CIT | 2,507 | ||||||||||||||
| ILS | 898,000 | USD | 231,516 | 06/16 | CIT | 7,991 | ||||||||||||||
| JPY | 786,248,000 | USD | 6,953,685 | 06/16 | CIT | 48,143 | ||||||||||||||
| NOK | 1,522,000 | USD | 176,702 | 06/16 | CIT | 7,161 | ||||||||||||||
| NZD | 74,000 | USD | 48,506 | 06/16 | CIT | 2,441 | ||||||||||||||
| SEK | 7,556,000 | USD | 884,972 | 06/16 | CIT | 48,380 | ||||||||||||||
| SGD | 545,000 | USD | 386,805 | 06/16 | CIT | 17,351 | ||||||||||||||
| USD | 37,665 | AUD | 53,000 | 06/16 | CIT | (2,819 | ) | |||||||||||||
| USD | 3,607 | ILS | 14,000 | 06/16 | CIT | (127 | ) | |||||||||||||
| USD | 77,385 | JPY | 8,778,000 | 06/16 | CIT | (787 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
$1,105,921 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-88
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| (f) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Total Return Basket Swaps
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Month USD-LIBOR, plus a specified spread as negotiated by the parties, which is denominated in USD based on the local currencies of the positions within the swap. |
GSC | 12/22/20 | $4,687,781 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-89
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-90
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-91
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-92
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-93
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-94
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-95
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Dates (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Month AUD-BBSW, plus a specified spread as negotiated by the parties, which is denominated in AUD based on the local currencies of the positions within the swap. |
JPM | |
06/06/16- 04/28/17 |
|
$160,085 | |||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| Description | Counter- party |
Expiration Dates (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Month GBP-LIBOR, plus a specified spread as negotiated by the parties, which is denominated in GBP based on the local currencies of the positions within the swap. |
JPM | |
06/01/16- 04/28/17 |
|
$1,734,217 | |||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-96
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-97
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Dates (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Month HKD-HIBOR, plus a specified spread as negotiated by the parties, which is denominated in HKD based on the local currencies of the positions within the swap. |
JPM | |
06/06/16- 04/28/17 |
|
$240,814 | |||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-98
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Dates (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Month SGD-SIBOR, plus a specified spread as negotiated by the parties, which is denominated in SGD based on the local currencies of the positions within the swap. |
JPM | |
06/06/16- 04/28/17 |
|
$130,108 | |||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Month USD-LIBOR, plus a specified spread as negotiated by the parties, which is denominated in USD based on the local currencies of the positions within the swap. |
JPM | 06/06/16 | $157,601 | |||||||
|
| ||||||||||
The following table represents the individual short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-99
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Day CAD-USD Discount Rate, plus a specified spread as negotiated by the parties, which is denominated in CAD based on the local currencies of the positions within the swap. |
MSC | 05/04/16 | $283,833 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-100
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Day CHF-TOIS, plus a specified spread as negotiated by the parties, which is denominated in CHF based on the local currencies of the positions within the swap. |
MSC | 05/04/16 | $1,036,858 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Day EUR-EONIA, plus a specified spread as negotiated by the parties, which is denominated in EUR based on the local currencies of the positions within the swap. |
MSC | 05/04/16 | $2,212,154 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-101
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-102
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-103
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Day JPY-MUTSC, plus a specified spread as negotiated by the parties, which is denominated in JPY based on the local currencies of the positions within the swap. |
MSC | 05/09/16 | $911,196 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-104
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-105
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Week DKK-CIBOR, plus a specified spread as negotiated by the parties, which is denominated in DKK based on the local currencies of the positions within the swap. |
MSC | 05/04/16 | $222,965 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-106
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Week NOK-NIBOR, plus a specified spread as negotiated by the parties, which is denominated in NOK based on the local currencies of the positions within the swap. |
MSC | 05/04/16 | ($29,516) | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| Description | Counter- party |
Expiration Date (1) |
Value | |||||||
| The Fund receives or pays the net total return on all positions within the basket and pays financing based upon the then-current 1-Week SEK-STIBOR, plus a specified spread as negotiated by the parties, which is denominated in SEK based on the local currencies of the positions within the swap. |
MSC | 05/04/16 | $1,300,500 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2016:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-107
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2016
| (1) | The expiration dates may vary by the underlying investments in each basket swap. |
| (2) | Notional amount represents the value (including any fees or commissions) of the long and short positions when they are established. |
| (3) | Cash and other receivables (payables) includes the gains (or losses) realized within the swap when the swap resets. |
Total Return Swaps
| Receive Total Return | Pay | Counter- party |
Expiration Date |
Number of Contracts |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| Positive return on MSCI Singapore Index |
Negative return on MSCI Singapore Index |
GSC | 04/29/16 | 2 | $137 | $— | $137 | |||||||||||||||||||
| Positive return on Swiss Market Index |
Negative return on Swiss Market Index |
GSC | 06/17/16 | 45 | (60,062 | ) | — | (60,062 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($59,925 | ) | $— | ($59,925 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Swap Agreements |
$12,988,671 | $— | $12,988,671 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (g) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| Total Value at March 31, 2016 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Short-Term Investments |
$128,856,029 | $33,029,893 | $95,826,136 | $— | |||||||||||||
| Derivatives: | ||||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
1,571,191 | 1,571,191 | — | — | ||||||||||||||
| Swaps |
13,078,249 | 137 | 13,078,112 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Equity Contracts |
14,649,440 | 1,571,328 | 13,078,112 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
1,109,654 | — | 1,109,654 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
15,759,094 | 1,571,328 | 14,187,766 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
144,615,123 | 34,601,221 | 110,013,902 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
(248,783 | ) | (248,783 | ) | — | — | ||||||||||||
| Swaps |
(89,578 | ) | (60,062 | ) | (29,516 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Equity Contracts |
(338,361 | ) | (308,845 | ) | (29,516 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(3,733 | ) | — | (3,733 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(342,094 | ) | (308,845 | ) | (33,249 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(342,094 | ) | (308,845 | ) | (33,249 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$144,273,029 | $34,292,376 | $109,980,653 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-108
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-109
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-110
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-111
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| (g) | Forward foreign currency contracts outstanding as of March 31, 2016 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 9,835,265 | USD | 7,325,046 | 04/16 | SCB | $209,676 | ||||||||||||||
| AUD | 3,972,061 | USD | 3,032,351 | 05/16 | SCB | 7,509 | ||||||||||||||
| CNH | 11,021,497 | USD | 1,682,252 | 06/16 | SCB | 17,137 | ||||||||||||||
| CNH | 16,885,679 | USD | 2,570,795 | 07/16 | GSC | 26,435 | ||||||||||||||
| CNH | 9,451,065 | USD | 1,438,628 | 07/16 | SCB | 15,066 | ||||||||||||||
| EUR | 4,938,150 | GBP | 3,827,091 | 04/16 | SCB | 123,092 | ||||||||||||||
| EUR | 2,563,638 | HUF | 800,464,000 | 05/16 | CIT | 20,518 | ||||||||||||||
| EUR | 2,547,229 | HUF | 795,436,000 | 05/16 | DUB | 20,041 | ||||||||||||||
| EUR | 5,450,026 | HUF | 1,704,114,000 | 05/16 | JPM | 34,599 | ||||||||||||||
| EUR | 395,863 | SEK | 3,770,000 | 04/16 | BNP | (13,987 | ) | |||||||||||||
| EUR | 259,000 | USD | 285,760 | 06/16 | SCB | 9,592 | ||||||||||||||
| GBP | 3,827,091 | EUR | 4,926,596 | 04/16 | SCB | (109,944 | ) | |||||||||||||
| HUF | 800,464,000 | EUR | 2,580,251 | 05/16 | CIT | (39,441 | ) | |||||||||||||
| HUF | 795,436,000 | EUR | 2,577,945 | 05/16 | DUB | (55,029 | ) | |||||||||||||
| HUF | 1,704,114,000 | EUR | 5,492,379 | 05/16 | JPM | (82,842 | ) | |||||||||||||
| IDR | 4,435,464,000 | USD | 327,703 | 04/16 | BNP | 5,860 | ||||||||||||||
| IDR | 10,773,242,000 | USD | 795,954 | 04/16 | CIT | 14,234 | ||||||||||||||
| IDR | 10,840,979,000 | USD | 794,291 | 04/16 | GSC | 21,500 | ||||||||||||||
| IDR | 11,475,906,000 | USD | 842,677 | 04/16 | SCB | 20,956 | ||||||||||||||
| IDR | 12,412,261,000 | USD | 908,800 | 05/16 | BNP | 20,177 | ||||||||||||||
| IDR | 19,778,972,000 | USD | 1,448,981 | 05/16 | GSC | 31,015 | ||||||||||||||
| IDR | 10,905,581,000 | USD | 797,379 | 05/16 | JPM | 19,400 | ||||||||||||||
| IDR | 8,870,929,000 | USD | 649,504 | 05/16 | SCB | 13,139 | ||||||||||||||
| INR | 44,258,000 | USD | 650,375 | 05/16 | CIT | 13,054 | ||||||||||||||
| JPY | 259,320,000 | USD | 2,125,452 | 05/16 | GSC | 182,228 | ||||||||||||||
| JPY | 254,179,000 | USD | 2,083,793 | 05/16 | SCB | 178,137 | ||||||||||||||
| MXN | 34,582,000 | USD | 1,914,045 | 04/16 | MSC | 84,069 | ||||||||||||||
| MXN | 34,415,000 | USD | 1,823,746 | 05/16 | JPM | 159,177 | ||||||||||||||
| NZD | 2,020,000 | USD | 1,391,174 | 06/16 | GSC | (104 | ) | |||||||||||||
| NZD | 4,132,751 | USD | 2,844,573 | 06/16 | JPM | 943 | ||||||||||||||
| NZD | 2,020,000 | USD | 1,389,326 | 06/16 | SCB | 1,744 | ||||||||||||||
| OMR | 888,000 | USD | 2,296,591 | 04/16 | BNP | 9,213 | ||||||||||||||
| OMR | 1,565,000 | USD | 4,042,152 | 06/16 | BNP | 10,782 | ||||||||||||||
| RON | 10,640,247 | EUR | 2,359,380 | 02/17 | BNP | (158 | ) | |||||||||||||
| RON | 6,693,000 | EUR | 1,484,079 | 03/17 | BNP | (513 | ) | |||||||||||||
| RON | 7,306,000 | EUR | 1,621,013 | 03/17 | DUB | (1,662 | ) | |||||||||||||
| RON | 4,130,000 | EUR | 913,818 | 03/17 | DUB | 2,141 | ||||||||||||||
| RON | 3,650,000 | EUR | 815,387 | 05/16 | BNP | 1,092 | ||||||||||||||
| RON | 550,000 | EUR | 122,894 | 05/16 | DUB | 133 | ||||||||||||||
| RUB | 15,186,010 | USD | 222,375 | 04/16 | DUB | 2,236 | ||||||||||||||
| SAR | 3,448,000 | USD | 912,821 | 04/16 | BNP | 6,251 | ||||||||||||||
| SEK | 23,240,000 | EUR | 2,476,609 | 04/16 | BNP | 44,859 | ||||||||||||||
| SEK | 23,472,062 | EUR | 2,516,814 | 04/16 | GSC | 27,784 | ||||||||||||||
| SEK | 23,269,094 | EUR | 2,483,215 | 04/16 | SCB | 40,972 | ||||||||||||||
| TWD | 111,683,000 | USD | 3,458,700 | 01/17 | BNP | 30,091 | ||||||||||||||
| TWD | 23,343,000 | USD | 724,488 | 01/17 | CIT | 4,645 | ||||||||||||||
| TWD | 40,000,000 | USD | 1,238,568 | 01/17 | DUB | 10,787 | ||||||||||||||
| TWD | 23,038,000 | USD | 714,689 | 01/17 | GSC | 4,951 | ||||||||||||||
| TWD | 13,734,000 | USD | 425,531 | 01/17 | JPM | 3,408 | ||||||||||||||
| TWD | 50,462,000 | USD | 1,557,119 | 02/17 | BNP | 20,244 | ||||||||||||||
| TWD | 23,109,000 | USD | 719,234 | 02/17 | CIT | 3,244 | ||||||||||||||
| TWD | 76,381,000 | USD | 2,361,269 | 02/17 | GSC | 25,626 | ||||||||||||||
| TWD | 41,580,000 | USD | 1,288,903 | 02/17 | SCB | 10,369 | ||||||||||||||
| TWD | 8,548,000 | USD | 264,521 | 04/16 | BNP | 1,148 | ||||||||||||||
| TWD | 32,660,000 | USD | 1,010,786 | 04/16 | DUB | 4,309 | ||||||||||||||
| TWD | 15,870,000 | USD | 491,027 | 04/16 | SCB | 2,223 | ||||||||||||||
| USD | 8,119,242 | AED | 30,562,000 | 02/18 | BNP | (146,015 | ) | |||||||||||||
| USD | 6,976,447 | AUD | 9,835,265 | 04/16 | SCB | (558,274 | ) | |||||||||||||
| USD | 2,806,698 | AUD | 3,972,061 | 05/16 | SCB | (233,162 | ) | |||||||||||||
| USD | 907,620 | CAD | 1,217,000 | 06/16 | GSC | (29,491 | ) | |||||||||||||
| USD | 351,694 | CLP | 251,778,000 | 05/16 | BNP | (22,591 | ) | |||||||||||||
| USD | 1,652,398 | CNH | 11,021,497 | 06/16 | SCB | (46,990 | ) | |||||||||||||
| USD | 2,521,374 | CNH | 16,885,679 | 07/16 | GSC | (75,858 | ) | |||||||||||||
| USD | 1,401,840 | CNH | 9,451,065 | 07/16 | SCB | (51,848 | ) | |||||||||||||
| USD | 1,656,018 | CNH | 10,948,000 | 11/16 | CIT | (16,834 | ) | |||||||||||||
| USD | 823,503 | CNH | 5,445,000 | 11/16 | DUB | (7,801 | ) | |||||||||||||
| USD | 3,033,842 | CNH | 20,105,000 | 11/16 | GSC | (38,285 | ) | |||||||||||||
| USD | 1,979,357 | CNH | 13,088,000 | 11/16 | SCB | (18,826 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-112
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 493,915 | CNH | 3,328,000 | 12/16 | BNP | ($13,513 | ) | |||||||||||||
| USD | 1,259,736 | CNH | 8,507,000 | 12/16 | SCB | (37,167 | ) | |||||||||||||
| USD | 744,860 | CNH | 5,157,000 | 01/17 | SCB | (40,138 | ) | |||||||||||||
| USD | 2,170,537 | CNH | 14,675,000 | 02/17 | SCB | (57,908 | ) | |||||||||||||
| USD | 1,027,494 | CNH | 6,783,000 | 03/17 | CIT | (121 | ) | |||||||||||||
| USD | 931,515 | CNH | 6,148,000 | 03/17 | GSC | (346 | ) | |||||||||||||
| USD | 820,941 | CNH | 5,410,000 | 03/17 | GSC | 1,333 | ||||||||||||||
| USD | 2,579,064 | CNH | 17,008,000 | 03/17 | SCB | 1,728 | ||||||||||||||
| USD | 3,334,864 | EUR | 2,994,907 | 05/16 | DUB | (78,415 | ) | |||||||||||||
| USD | 6,242,743 | EUR | 5,650,487 | 06/16 | GSC | (199,549 | ) | |||||||||||||
| USD | 8,550,127 | EUR | 7,747,663 | 06/16 | SCB | (284,951 | ) | |||||||||||||
| USD | 3,583,986 | EUR | 3,191,411 | 07/16 | JPM | (58,096 | ) | |||||||||||||
| USD | 5,349,335 | GBP | 3,719,000 | 06/16 | GSC | 6,991 | ||||||||||||||
| USD | 2,482,843 | INR | 170,364,000 | 05/16 | BNP | (70,917 | ) | |||||||||||||
| USD | 2,119,320 | JPY | 259,320,000 | 05/16 | GSC | (188,360 | ) | |||||||||||||
| USD | 2,078,494 | JPY | 254,179,000 | 05/16 | SCB | (183,436 | ) | |||||||||||||
| USD | 906,373 | NOK | 7,773,000 | 06/16 | SCB | (32,641 | ) | |||||||||||||
| USD | 577,154 | NZD | 899,800 | 04/16 | MSC | (44,159 | ) | |||||||||||||
| USD | 1,119,411 | NZD | 1,676,402 | 05/16 | BNP | (36,450 | ) | |||||||||||||
| USD | 134,076 | NZD | 202,768 | 05/16 | CIT | (5,730 | ) | |||||||||||||
| USD | 322,319 | NZD | 483,948 | 05/16 | DUB | (11,358 | ) | |||||||||||||
| USD | 1,387,027 | NZD | 2,104,730 | 05/16 | JPM | (63,921 | ) | |||||||||||||
| USD | 2,094,108 | NZD | 3,135,009 | 05/16 | SCB | (68,161 | ) | |||||||||||||
| USD | 1,358,894 | NZD | 2,020,000 | 06/16 | GSC | (32,175 | ) | |||||||||||||
| USD | 2,641,814 | NZD | 3,939,184 | 06/16 | JPM | (70,426 | ) | |||||||||||||
| USD | 1,359,864 | NZD | 2,020,000 | 06/16 | SCB | (31,206 | ) | |||||||||||||
| USD | 2,296,392 | OMR | 891,000 | 03/17 | BNP | 40,067 | ||||||||||||||
| USD | 2,296,948 | OMR | 888,000 | 04/16 | BNP | (8,857 | ) | |||||||||||||
| USD | 1,459,873 | OMR | 573,000 | 05/17 | BNP | 15,803 | ||||||||||||||
| USD | 4,039,262 | OMR | 1,565,000 | 06/16 | BNP | (13,672 | ) | |||||||||||||
| USD | 2,188,608 | OMR | 858,000 | 06/17 | BNP | 28,130 | ||||||||||||||
| USD | 2,316,931 | OMR | 902,630 | 08/16 | BNP | (12,646 | ) | |||||||||||||
| USD | 6,251,590 | OMR | 2,453,000 | 08/17 | BNP | 112,445 | ||||||||||||||
| USD | 1,742,936 | PEN | 5,951,000 | 05/16 | BNP | (39,439 | ) | |||||||||||||
| USD | 446,858 | PEN | 1,522,000 | 05/16 | JPM | (8,993 | ) | |||||||||||||
| USD | 415,402 | PEN | 1,478,000 | 07/16 | BNP | (23,753 | ) | |||||||||||||
| USD | 415,519 | PEN | 1,478,000 | 07/16 | SCB | (23,637 | ) | |||||||||||||
| USD | 827,259 | PEN | 2,963,654 | 08/16 | BNP | (52,570 | ) | |||||||||||||
| USD | 666,572 | PEN | 2,343,000 | 08/16 | SCB | (26,791 | ) | |||||||||||||
| USD | 335,819 | PEN | 1,171,000 | 09/16 | BNP | (9,415 | ) | |||||||||||||
| USD | 444,287 | PEN | 1,565,000 | 11/16 | BNP | (14,830 | ) | |||||||||||||
| USD | 1,382,148 | PEN | 4,962,160 | 11/16 | SCB | (73,322 | ) | |||||||||||||
| USD | 1,139,510 | PEN | 4,133,000 | 12/16 | BNP | (66,844 | ) | |||||||||||||
| USD | 1,037,630 | RON | 4,148,964 | 05/16 | BNP | (19,466 | ) | |||||||||||||
| USD | 1,868,285 | RUB | 152,965,847 | 04/16 | BNP | (394,180 | ) | |||||||||||||
| USD | 2,595,990 | RUB | 207,938,819 | 04/16 | CIT | (473,127 | ) | |||||||||||||
| USD | 5,842,497 | SGD | 8,399,007 | 04/16 | GSC | (388,328 | ) | |||||||||||||
| USD | 1,671,749 | SGD | 2,412,000 | 04/16 | SCB | (117,616 | ) | |||||||||||||
| USD | 616,946 | THB | 22,463,000 | 04/16 | DUB | (21,185 | ) | |||||||||||||
| USD | 472,699 | THB | 17,158,957 | 05/16 | DUB | (14,513 | ) | |||||||||||||
| USD | 119,912 | THB | 4,348,000 | 05/16 | JPM | (3,545 | ) | |||||||||||||
| USD | 457,401 | THB | 16,439,000 | 05/16 | SCB | (9,450 | ) | |||||||||||||
| USD | 1,518,861 | TRY | 4,703,837 | 04/16 | BNP | (144,605 | ) | |||||||||||||
| USD | 1,382,215 | TRY | 4,200,000 | 05/16 | SCB | (88,428 | ) | |||||||||||||
| USD | 1,434,004 | TWD | 48,352,000 | 01/17 | BNP | (76,337 | ) | |||||||||||||
| USD | 692,260 | TWD | 23,343,000 | 01/17 | CIT | (36,873 | ) | |||||||||||||
| USD | 1,188,498 | TWD | 40,000,000 | 01/17 | DUB | (60,857 | ) | |||||||||||||
| USD | 678,906 | TWD | 23,038,000 | 01/17 | GSC | (40,734 | ) | |||||||||||||
| USD | 2,296,143 | TWD | 77,065,000 | 01/17 | JPM | (111,245 | ) | |||||||||||||
| USD | 1,508,319 | TWD | 50,462,000 | 02/17 | BNP | (69,042 | ) | |||||||||||||
| USD | 688,793 | TWD | 23,109,000 | 02/17 | CIT | (33,686 | ) | |||||||||||||
| USD | 2,277,988 | TWD | 76,381,000 | 02/17 | GSC | (108,906 | ) | |||||||||||||
| USD | 1,237,095 | TWD | 41,580,000 | 02/17 | SCB | (62,177 | ) | |||||||||||||
| USD | 968,134 | TWD | 32,660,000 | 04/16 | DUB | (46,961 | ) | |||||||||||||
| USD | 253,117 | TWD | 8,548,000 | 04/16 | JPM | (12,553 | ) | |||||||||||||
| USD | 470,571 | TWD | 15,870,000 | 04/16 | SCB | (22,680 | ) | |||||||||||||
| USD | 1,662,566 | ZAR | 26,490,000 | 05/16 | SCB | (120,026 | ) | |||||||||||||
| USD | 1,262,037 | ZAR | 19,790,000 | 06/16 | BNP | (59,604 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts | ($4,347,389 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-113
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| (h) | Purchased options outstanding as of March 31, 2016 were as follows: |
| Foreign Currency Options | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Call - CNH versus USD |
CNH 6.34 | 06/07/16 | CIT | $1,650,000 | $22,547 | $39,773 | ||||||||||||||||
| Call - CNH versus USD |
6.34 | 06/07/16 | SCB | 2,035,000 | 27,554 | 49,054 | ||||||||||||||||
| Call - EUR versus USD |
$1.10 | 07/15/16 | GSC | 5,490,000 | 156,623 | 52,413 | ||||||||||||||||
| Call - CNH versus USD |
CNH 6.39 | 07/27/16 | SCB | 1,770,000 | 29,559 | 41,586 | ||||||||||||||||
| Call - CNH versus USD |
6.40 | 07/27/16 | DUB | 1,550,000 | 25,931 | 35,865 | ||||||||||||||||
| Call - EUR versus USD |
$1.10 | 11/01/16 | DUB | 5,440,000 | 268,138 | 90,957 | ||||||||||||||||
| Call - EUR versus USD |
1.18 | 11/01/16 | DUB | 5,337,000 | 288,831 | 243,901 | ||||||||||||||||
| Call - EUR versus USD |
1.28 | 11/01/16 | DUB | 5,446,000 | 228,623 | 561,592 | ||||||||||||||||
| Call - CNH versus USD |
CNH 6.47 | 06/15/17 | SCB | 3,668,000 | 82,232 | 165,410 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 1,130,038 | 1,280,551 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - SEK versus EUR |
SEK 9.00 | 09/07/16 | GSC | EUR 10,426,000 | 111,458 | 105,552 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $1,241,496 | $1,386,103 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Options on Indices | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Number of Contracts |
Cost | Value | ||||||||||||||||
| Call - Nikkei 225 (06/16) |
20,000.00 | 06/10/16 | GSC | 56 | $72,179 | $8,969 | ||||||||||||||||
| Call - Nikkei 225 (03/21) |
21,000.00 | 03/12/21 | GSC | 35 | 378,766 | 378,766 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $450,945 | $387,735 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$1,692,441 | $1,773,838 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (i) | Transactions in written options for the year ended March 31, 2016 were as follows: |
| (j) | Premiums received and value of written options outstanding as of March 31, 2016 were as follows: |
| Foreign Currency Options | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Call - CNH versus USD |
CNH 6.34 | 06/07/16 | SCB | $2,035,000 | $103,657 | ($49,054 | ) | |||||||||||||||
| Call - CNH versus USD |
6.39 | 07/27/16 | SCB | 1,770,000 | 95,302 | (41,586 | ) | |||||||||||||||
| Call - CNH versus USD |
6.40 | 07/27/16 | GSC | 1,550,000 | 76,725 | (35,865 | ) | |||||||||||||||
| Call - EUR versus USD |
$1.10 | 11/01/16 | CIT | 5,440,000 | 187,997 | (89,352 | ) | |||||||||||||||
| Call - EUR versus USD |
1.18 | 11/01/16 | DUB | 5,337,000 | 443,665 | (243,901 | ) | |||||||||||||||
| Call - EUR versus USD |
1.28 | 11/01/16 | DUB | 5,446,000 | 513,846 | (561,592 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Written Options |
$1,421,192 | ($1,021,350 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (k) | Swap agreements outstanding as of March 31, 2016 were as follows: |
Credit Default Swaps on Sovereign Issues – Buy Protection (1)
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Croatia Government |
1.000% | 12/20/16 | MSC | 0.744% | $198,000 | ($435 | ) | $10,567 | ($11,002 | ) | ||||||||||||||||||||
| China Government |
1.000% | 12/20/17 | JPM | 0.468% | 1,210,000 | (11,483 | ) | (23,080 | ) | 11,597 | ||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/18 | CIT | 1.466% | 1,200,000 | 10,505 | 83,000 | (72,495 | ) | |||||||||||||||||||||
| Thailand Government |
1.000% | 03/20/18 | CIT | 0.439% | 1,088,000 | (12,373 | ) | (5,413 | ) | (6,960 | ) | |||||||||||||||||||
| Croatia Government |
1.000% | 03/20/18 | HSB | 1.466% | 313,000 | 2,740 | 29,014 | (26,274 | ) | |||||||||||||||||||||
| China Government |
1.000% | 03/20/18 | JPM | 0.506% | 1,100,000 | (11,045 | ) | (17,332 | ) | 6,287 | ||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/18 | MSC | 1.466% | 2,262,000 | 19,802 | 194,313 | (174,511 | ) | |||||||||||||||||||||
| Lebanon Government |
5.000% | 03/20/18 | JPM | 3.287% | 689,000 | (23,663 | ) | (29,026 | ) | 5,363 | ||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/18 | CIT | 1.554% | 800,000 | 9,432 | 76,719 | (67,287 | ) | |||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-114
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Lebanon Government |
1.000% | 06/20/18 | GSC | 3.431% | $5,166,000 | $266,413 | $715,241 | ($448,828 | ) | |||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/18 | MSC | 1.554% | 921,000 | 10,858 | 92,071 | (81,213 | ) | |||||||||||||||||||||
| Lebanon Government |
5.000% | 12/20/18 | GSC | 3.789% | 663,000 | (21,777 | ) | (39,103 | ) | 17,326 | ||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/19 | GSC | 1.936% | 400,000 | 10,656 | 24,108 | (13,452 | ) | |||||||||||||||||||||
| Qatar Government |
1.000% | 03/20/19 | GSC | 0.614% | 490,000 | (5,720 | ) | (8,606 | ) | 2,886 | ||||||||||||||||||||
| Qatar Government |
1.000% | 06/20/19 | CIT | 0.633% | 1,210,000 | (14,519 | ) | (28,206 | ) | 13,687 | ||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/20 | BNP | 2.325% | 2,280,000 | 113,055 | 179,316 | (66,261 | ) | |||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/20 | CIT | 2.325% | 1,750,000 | 86,776 | 126,470 | (39,694 | ) | |||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/20 | GSC | 2.325% | 2,560,000 | 126,939 | 191,925 | (64,986 | ) | |||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/20 | CIT | 2.402% | 443,000 | 24,567 | 34,132 | (9,565 | ) | |||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/20 | GSC | 2.402% | 700,000 | 38,819 | 54,113 | (15,294 | ) | |||||||||||||||||||||
| Qatar Government |
1.000% | 12/20/20 | GSC | 0.873% | 2,740,000 | (16,750 | ) | 41,333 | (58,083 | ) | ||||||||||||||||||||
| Qatar Government |
1.000% | 12/20/22 | GSC | 1.117% | 1,040,000 | 7,321 | (11,099 | ) | 18,420 | |||||||||||||||||||||
| Mexico Government |
1.000% | 12/20/22 | HSB | 1.917% | 1,976,000 | 111,057 | 66,059 | 44,998 | ||||||||||||||||||||||
| South Africa Government |
1.000% | 12/20/22 | HSB | 3.224% | 7,803,000 | 1,014,791 | 671,561 | 343,230 | ||||||||||||||||||||||
| Spain Government |
1.000% | 12/20/22 | HSB | 1.120% | 2,169,000 | 15,532 | 402,781 | (387,249 | ) | |||||||||||||||||||||
| Qatar Government |
1.000% | 12/20/23 | GSC | 1.203% | 874,000 | 12,327 | 284 | 12,043 | ||||||||||||||||||||||
| Qatar Government |
1.000% | 09/20/24 | GSC | 1.259% | 290,000 | 5,687 | (622 | ) | 6,309 | |||||||||||||||||||||
| South Africa Government |
1.000% | 12/20/25 | BNP | 3.457% | 4,107,000 | 772,767 | 748,574 | 24,193 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| 2,542,279 | 3,579,094 | (1,036,815 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Brazil Government |
1.000% | 12/20/20 | ICE | 3.391% | 3,270,000 | 328,534 | 548,923 | (220,389 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $2,870,813 | $4,128,017 | ($1,257,204 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Credit Default Swaps on Sovereign Issues – Sell Protection (2)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/16 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| Nigeria Government |
3.500% | 06/20/16 | CIT | 2.887% | $420,000 | $1,059 | $— | $1,059 | ||||||||||||||||||||||
| Nigeria Government |
1.000% | 09/20/16 | CIT | 2.887% | 100,000 | (925 | ) | (2,753 | ) | 1,828 | ||||||||||||||||||||
| Belarus Government |
5.000% | 12/20/16 | DUB | 6.483% | 300,000 | (2,655 | ) | (3,253 | ) | 598 | ||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/17 | CIT | 0.898% | 290,000 | 382 | (4,056 | ) | 4,438 | |||||||||||||||||||||
| Turkey Government |
1.000% | 12/20/17 | GSC | 1.087% | 360,000 | (427 | ) | (6,409 | ) | 5,982 | ||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/18 | CIT | 1.475% | 2,980,000 | (33,464 | ) | (55,873 | ) | 22,409 | ||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/18 | GSC | 1.475% | 2,615,000 | (29,365 | ) | (48,135 | ) | 18,770 | ||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/18 | MSC | 1.475% | 5,157,031 | (57,912 | ) | (98,208 | ) | 40,296 | ||||||||||||||||||||
| Slovenia Government |
1.000% | 12/20/19 | GSC | 0.763% | 545,000 | 4,890 | (6,832 | ) | 11,722 | |||||||||||||||||||||
| Slovenia Government |
1.000% | 03/20/20 | GSC | 0.816% | 2,455,000 | 18,369 | (29,929 | ) | 48,298 | |||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/20 | BNP | 2.251% | 900,000 | (47,227 | ) | (68,295 | ) | 21,068 | ||||||||||||||||||||
| Indonesia Government |
1.000% | 12/20/20 | CIT | 1.750% | 1,557,000 | (51,582 | ) | (77,076 | ) | 25,494 | ||||||||||||||||||||
| Saudi Arabia Government |
1.000% | 12/20/20 | CIT | 1.390% | 2,301,352 | (39,846 | ) | (54,370 | ) | 14,524 | ||||||||||||||||||||
| Indonesia Government |
1.000% | 12/20/20 | DUB | 1.750% | 340,000 | (11,264 | ) | (18,252 | ) | 6,988 | ||||||||||||||||||||
| Saudi Arabia Government |
1.000% | 12/20/20 | DUB | 1.390% | 230,000 | (3,977 | ) | (5,126 | ) | 1,149 | ||||||||||||||||||||
| Abu Dhabi Government |
1.000% | 12/20/20 | GSC | 0.836% | 2,740,000 | 21,411 | (30,300 | ) | 51,711 | |||||||||||||||||||||
| Indonesia Government |
1.000% | 12/20/20 | GSC | 1.750% | 323,000 | (10,701 | ) | (16,410 | ) | 5,709 | ||||||||||||||||||||
| Saudi Arabia Government |
1.000% | 12/20/20 | HSB | 1.390% | 320,000 | (5,533 | ) | (7,524 | ) | 1,991 | ||||||||||||||||||||
| Kazakhstan Government |
1.000% | 12/20/20 | MSC | 2.706% | 230,000 | (17,015 | ) | (16,865 | ) | (150 | ) | |||||||||||||||||||
| Kazakhstan Government |
1.000% | 06/20/21 | MSC | 2.815% | 500,000 | (42,937 | ) | (42,680 | ) | (257 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| ($308,719 | ) | ($592,346 | ) | $283,627 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| $2,562,094 | $3,535,671 | ($973,577 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||
| (1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (2) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
| (3) | An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on sovereign issues as of year end serve as an indicator of the current status of the payment/performance risk and represent the likelihood of risk of default for the credit derivative. The implied |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-115
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
| (4) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
Cross Currency Swaps – Pay Floating Rate
| Notional Amount on Fixed Rate (Currency Delivered) |
Notional Amount on Floating Rate (Currency Received) |
Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||
| TRY 4,247,000 |
$1,993,897 | 3-Month USD-LIBOR | JPM | 10.757% | 04/08/16 | ($328,120 | ) | $— | ($328,120 | ) | ||||||||||||||||||||
|
|
|
|
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|
|
|||||||||||||||||||||||||
Interest Rate Swaps – Pay Floating Rate
| Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.450% | 06/18/17 | CNY 15,476,000 | $3,592 | $— | $3,592 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
GSC | 2.450% | 06/18/17 | 15,475,000 | 3,591 | — | 3,591 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
BNP | 2.450% | 06/24/17 | 7,623,000 | 1,792 | — | 1,792 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
SCB | 2.463% | 06/24/17 | 16,290,000 | 4,206 | — | 4,206 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.453% | 06/25/17 | 18,395,000 | 4,448 | — | 4,448 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
GSC | 2.490% | 06/25/17 | 16,023,000 | 4,977 | — | 4,977 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
JPM | 2.490% | 06/25/17 | 16,024,000 | 4,978 | — | 4,978 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
SCB | 2.501% | 06/25/17 | 19,228,000 | 6,365 | — | 6,365 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
SCB | 2.445% | 07/16/17 | 19,106,000 | 4,369 | — | 4,369 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
GSC | 2.450% | 07/16/17 | 19,822,000 | 4,726 | — | 4,726 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.457% | 07/16/17 | 15,201,000 | 3,817 | — | 3,817 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
GSC | 2.450% | 08/20/17 | 14,103,000 | 3,790 | — | 3,790 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
SCB | 2.450% | 08/21/17 | 9,025,000 | 2,432 | — | 2,432 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.453% | 08/21/17 | 9,872,000 | 2,711 | — | 2,711 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.455% | 08/21/17 | 18,898,000 | 5,289 | — | 5,289 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.460% | 08/21/17 | 24,839,000 | 7,213 | — | 7,213 | |||||||||||||||||||||
| 7-Day CNY-CNRR07 |
SCB | 2.215% | 03/30/18 | 36,464,000 | (9,326 | ) | — | (9,326 | ) | |||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.220% | 03/30/18 | 31,451,000 | (7,571 | ) | — | (7,571 | ) | |||||||||||||||||||
| 3-Month RUB-MOSPRIME |
GSC | 10.160% | 03/18/20 | RUB 309,937,000 | (14,078 | ) | — | (14,078 | ) | |||||||||||||||||||
| 7-Day CNY-CNRR07 |
DUB | 2.400% | 01/27/21 | CNY 7,178,000 | (9,440 | ) | — | (9,440 | ) | |||||||||||||||||||
| 7-Day CNY-CNRR07 |
SCB | 2.400% | 01/27/21 | 8,914,000 | (11,723 | ) | — | (11,723 | ) | |||||||||||||||||||
| 7-Day CNY-CNRR07 |
JPM | 2.405% | 01/27/21 | 7,178,000 | (9,178 | ) | — | (9,178 | ) | |||||||||||||||||||
| 7-Day CNY-CNRR07 |
BNP | 2.410% | 01/27/21 | 7,178,000 | (8,916 | ) | — | (8,916 | ) | |||||||||||||||||||
| 7-Day CNY-CNRR07 |
GSC | 2.425% | 01/27/21 | 4,206,000 | (4,764 | ) | — | (4,764 | ) | |||||||||||||||||||
| 3-Month NZD Bank Bills |
JPM | 4.060% | 06/04/23 | NZD 810,000 | 54,055 | — | 54,055 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 47,355 | — | 47,355 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.795% | 06/29/20 | $420,000 | 12,621 | — | 12,621 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.800% | 06/29/20 | 790,000 | 23,220 | — | 23,220 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.744% | 07/31/20 | 1,800,000 | 48,917 | — | 48,917 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.750% | 07/31/20 | 535,000 | 14,593 | — | 14,593 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.784% | 07/31/20 | 535,000 | 15,443 | — | 15,443 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.739% | 08/12/20 | 1,348,000 | 36,326 | — | 36,326 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.621% | 08/14/20 | 1,430,000 | 31,343 | — | 31,343 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.680% | 08/17/20 | 1,535,000 | 37,531 | — | 37,531 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.689% | 08/17/20 | 1,638,000 | 40,685 | — | 40,685 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.698% | 08/19/20 | 2,749,000 | 69,306 | — | 69,306 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.550% | 08/22/20 | 1,538,000 | 23,596 | — | 23,596 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.555% | 08/22/20 | 366,000 | 5,687 | — | 5,687 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.560% | 08/22/20 | 713,000 | 11,219 | — | 11,219 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.566% | 09/17/20 | 2,216,000 | 43,100 | — | 43,100 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.649% | 09/18/20 | 1,607,000 | 37,086 | — | 37,086 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.650% | 09/18/20 | 652,000 | 15,083 | — | 15,083 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.541% | 09/23/20 | 90,000 | 1,654 | — | 1,654 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.545% | 09/23/20 | 80,000 | 1,484 | — | 1,484 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.424% | 10/28/20 | 680,000 | 8,928 | — | 8,928 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.426% | 10/28/20 | 680,000 | 8,852 | — | 8,852 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.383% | 10/29/20 | 710,000 | 7,957 | — | 7,957 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.523% | 11/04/20 | 1,160,000 | 20,176 | — | 20,176 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.531% | 11/05/20 | 1,412,000 | 25,115 | — | 25,115 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.533% | 11/05/20 | 706,000 | 12,836 | — | 12,836 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.540% | 11/05/20 | 706,000 | 12,597 | — | 12,597 | |||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-116
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.555% | 11/09/20 | $683,000 | $12,877 | $— | $12,877 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.668% | 11/12/20 | 934,000 | 22,370 | — | 22,370 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.114% | 02/23/21 | 441,000 | (1,229 | ) | — | (1,229 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.117% | 02/23/21 | 126,000 | (333 | ) | — | (333 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.168% | 02/25/21 | 855,000 | (206 | ) | — | (206 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.170% | 02/25/21 | 427,000 | (62 | ) | — | (62 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.150% | 03/03/21 | 428,000 | (487 | ) | — | (487 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.272% | 03/07/21 | 1,072,000 | 5,002 | — | 5,002 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.100% | 07/27/22 | 737,000 | 34,774 | (406 | ) | 35,180 | ||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.058% | 07/30/22 | 748,000 | 33,377 | — | 33,377 | |||||||||||||||||||||
| 3-Month NZD Bank Bills |
LCH | 4.960% | 04/29/24 | NZD 5,271,000 | 563,262 | — | 563,262 | |||||||||||||||||||||
| 3-Month NZD Bank Bills |
LCH | 4.053% | 06/16/25 | 800,000 | 50,840 | — | 50,840 | |||||||||||||||||||||
| 3-Month NZD Bank Bills |
LCH | 3.923% | 06/25/25 | 2,142,000 | 120,534 | — | 120,534 | |||||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 6.255% | 09/29/25 | MXN 17,471,000 | 17,932 | — | 17,932 | |||||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 6.290% | 10/01/25 | 17,470,000 | 20,680 | — | 20,680 | |||||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 6.235% | 10/02/25 | 28,959,000 | 27,037 | — | 27,037 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 1,471,723 | (406 | ) | 1,472,129 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $1,519,078 | ($406 | ) | $1,519,484 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Interest Rate Swaps – Receive Floating Rate
| Floating Rate Index | Counter party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 3.010% | 06/28/20 | SAR 2,960,000 | ($16,094 | ) | $— | ($16,094 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.170% | 06/29/20 | 1,570,000 | 4,226 | — | 4,226 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 3.025% | 08/02/20 | 7,077,000 | (33,965 | ) | — | (33,965 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.160% | 08/03/20 | 3,990,000 | 9,032 | — | 9,032 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.350% | 08/12/20 | 5,188,000 | (289 | ) | — | (289 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.328% | 08/17/20 | 5,598,000 | 1,644 | — | 1,644 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.395% | 08/17/20 | 6,117,000 | (1,488 | ) | — | (1,488 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.400% | 08/17/20 | 5,775,000 | (3,656 | ) | — | (3,656 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.458% | 08/19/20 | 6,291,000 | (8,446 | ) | — | (8,446 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 3.410% | 08/22/20 | 11,980,000 | (80,939 | ) | — | (80,939 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.260% | 09/17/20 | 8,682,000 | 13,445 | — | 13,445 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.338% | 09/21/20 | 8,682,000 | 5,378 | — | 5,378 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.228% | 09/28/20 | 3,152,000 | 6,610 | — | 6,610 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.350% | 10/29/20 | 2,700,000 | 5,581 | — | 5,581 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.540% | 11/04/20 | 4,550,000 | (1,123 | ) | — | (1,123 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.560% | 11/05/20 | 5,460,000 | (2,665 | ) | — | (2,665 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.580% | 11/05/20 | 2,730,000 | (2,026 | ) | — | (2,026 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 3.090% | 11/12/20 | 13,460,000 | (71,894 | ) | — | (71,894 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.645% | 02/23/21 | 2,118,000 | 2,264 | — | 2,264 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 2.637% | 02/25/21 | 5,083,000 | 6,106 | — | 6,106 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 2.620% | 03/03/21 | 1,675,000 | 2,516 | — | 2,516 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 2.760% | 03/07/21 | 4,235,000 | (886 | ) | — | (886 | ) | |||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.640% | 07/27/22 | 2,892,000 | 4,399 | — | 4,399 | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.613% | 07/30/22 | 2,868,000 | 5,926 | — | 5,926 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (156,344 | ) | — | (156,344 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 0.250% | 06/15/18 | EUR 442,000 | (4,040 | ) | (3,903 | ) | (137 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.250% | 06/15/18 | $6,716,000 | (46,789 | ) | (18,430 | ) | (28,359 | ) | ||||||||||||||||
| 3-Month SEK-STIBOR |
LCH | 0.268% | 03/31/21 | SEK 23,577,000 | 1,274 | — | 1,274 | |||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 0.500% | 06/15/21 | EUR 10,525,000 | (269,076 | ) | (238,990 | ) | (30,086 | ) | ||||||||||||||||
| 3-Month CAD-Bankers Acceptance |
LCH | 1.516% | 03/30/26 | CAD 1,884,000 | (2,253 | ) | — | (2,253 | ) | |||||||||||||||||
| 3-Month CAD-Bankers Acceptance |
LCH | 1.526% | 03/30/26 | 1,880,000 | (3,638 | ) | — | (3,638 | ) | |||||||||||||||||
| 3-Month SEK-STIBOR |
LCH | 1.118% | 03/31/26 | SEK 12,107,000 | 2,213 | — | 2,213 | |||||||||||||||||||
| 3-Month SEK-STIBOR |
LCH | 1.135% | 04/04/26 | 11,230,000 | — | — | — | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.250% | 06/15/26 | $1,050,000 | (56,066 | ) | (37,717 | ) | (18,349 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.500% | 06/15/46 | 2,634,063 | (213,848 | ) | (162,143 | ) | (51,705 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| (592,223 | ) | (461,183 | ) | (131,040 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($748,567 | ) | ($461,183 | ) | ($287,384 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| $770,511 | ($461,589 | ) | $1,232,100 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total Swap Agreements |
$3,004,485 | $3,074,082 | ($69,597 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-117
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
| (l) | Fair Value Measurements |
The following is a summary of the Fund’s investments as categorized under the three-tier hierarchy of inputs used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) as of March 31, 2016:
| |
Total Value at March 31, 2016 |
|
|
Level 1 Quoted Price |
|
|
Level 2 Significant |
|
|
Level 3 Significant |
| |||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Romania |
$574,098 | $192,234 | $381,864 | $— | ||||||||||||||
| Singapore |
754,427 | — | 754,427 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
1,328,525 | 192,234 | 1,136,291 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Closed-End Mutual Fund |
563,354 | 563,354 | — | — | ||||||||||||||
| Corporate Bond & Notes |
5,037,204 | — | 5,037,204 | — | ||||||||||||||
| Senior Loan Notes |
654,761 | — | 654,761 | — | ||||||||||||||
| Mortgage-Backed Securities |
1,005,346 | — | 1,005,346 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
101,909,045 | — | 99,784,100 | 2,124,945 | ||||||||||||||
| Short-Term Investments |
22,447,157 | 11,411,983 | 11,035,174 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
3,034,689 | — | 3,034,689 | — | ||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
19,521 | 19,521 | — | — | ||||||||||||||
| Purchased Options |
387,735 | — | 387,735 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Equity Contracts |
407,256 | 19,521 | 387,735 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
1,722,303 | — | 1,722,303 | — | ||||||||||||||
| Purchased Options |
1,386,103 | — | 1,386,103 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
3,108,406 | — | 3,108,406 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
14,771 | 14,771 | — | — | ||||||||||||||
| Swaps |
1,667,005 | — | 1,667,005 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
1,681,776 | 14,771 | 1,667,005 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
8,232,127 | 34,292 | 8,197,835 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
141,177,519 | 12,201,863 | 126,850,711 | 2,124,945 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Securities Sold Short: |
|||||||||||||||||
| Foreign Government Bonds & Notes |
(1,081,046 | ) | — | (1,081,046 | ) | — | ||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
(472,595 | ) | — | (472,595 | ) | — | ||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
(15,887 | ) | (15,887 | ) | — | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(6,069,692 | ) | — | (6,069,692 | ) | — | ||||||||||||
| Written Options |
(1,021,350 | ) | — | (1,021,350 | ) | — | ||||||||||||
| Swaps |
(328,120 | ) | — | (328,120 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(7,419,162 | ) | — | (7,419,162 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(184,401 | ) | (184,401 | ) | — | — | ||||||||||||
| Swaps |
(896,494 | ) | — | (896,494 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(1,080,895 | ) | (184,401 | ) | (896,494 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(8,988,539 | ) | (200,288 | ) | (8,788,251 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(10,069,585 | ) | (200,288 | ) | (9,869,297 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$131,107,934 | $12,001,575 | $116,981,414 | $2,124,945 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-118
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2016
The following is a reconciliation of investments for significant unobservable inputs (Level 3) used in valuing the Fund’s assets and liabilities (See Note 3D in Notes to Financial Statements) for the year ended March 31, 2016:
The significant unobservable inputs were provided by a vendor-priced single broker quote.
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-120 and B-121 |
B-119
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms
March 31, 2016
| See Notes to Financial Statements |
B-120
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms (Continued)
March 31, 2016
| See Notes to Financial Statements |
B-121
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2016
| PF Floating Rate Loan Fund |
PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short
Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Comstock Fund |
|||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments, at cost |
$85,652,237 | $71,132,557 | $471,366,905 | $76,421,900 | $108,132,706 | $168,360,309 | ||||||||||||||||||||||
| Investments, at value |
$80,531,575 | $72,155,091 | $472,285,324 | $76,332,236 | $103,074,950 | $214,871,682 | ||||||||||||||||||||||
| Cash (1) |
1,141 | 627,275 | 5,347,650 | — | 405,495 | — | ||||||||||||||||||||||
| Foreign currency held, at value (2) |
— | 62,971 | 982,417 | — | 225,173 | 290 | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
277,264 | 142,077 | 2,986,798 | 375,654 | 1,940,929 | 457,700 | ||||||||||||||||||||||
| Fund shares sold |
— | 105 | — | — | 280 | — | ||||||||||||||||||||||
| Securities sold |
34,606 | 444,126 | 81,138,075 | 133,807 | 296,106 | 298,951 | ||||||||||||||||||||||
| Variation margin |
— | — | 774,490 | — | — | — | ||||||||||||||||||||||
| Due from adviser |
3,229 | 1,280 | 22,943 | 431 | 6,523 | 13,064 | ||||||||||||||||||||||
| Forward foreign currency contracts appreciation |
— | 150,548 | 1,054,270 | — | 2,652,898 | — | ||||||||||||||||||||||
| Swap agreements, at value |
— | 150,913 | 110,089 | — | 1,229,165 | — | ||||||||||||||||||||||
| Unfunded loan commitment appreciation |
1,580 | — | — | — | — | — | ||||||||||||||||||||||
| Prepaid expenses and other assets |
796 | 4,642 | 4,075 | 830 | 940 | 2,230 | ||||||||||||||||||||||
| Total Assets |
80,850,191 | 73,739,028 | 564,706,131 | 76,842,958 | 109,832,459 | 215,643,917 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
27,976 | 31,105 | 241,341 | 45,117 | 46,887 | 60,816 | ||||||||||||||||||||||
| Securities purchased |
960,432 | 1,549,732 | 132,754,428 | 814,385 | 624,914 | 104,578 | ||||||||||||||||||||||
| Securities sold short, at value (proceeds $3,455,281) |
— | — | 3,455,011 | — | — | — | ||||||||||||||||||||||
| Sale-buyback financing transactions |
— | 18,840,729 | 3,691,637 | — | — | — | ||||||||||||||||||||||
| Due to brokers (3) |
— | 270,000 | 100,000 | — | — | — | ||||||||||||||||||||||
| Variation margin |
— | 263,860 | — | 6,773 | — | — | ||||||||||||||||||||||
| Accrued advisory fees |
43,539 | 16,635 | 142,113 | 25,786 | 70,309 | 131,833 | ||||||||||||||||||||||
| Accrued administration fees |
10,047 | 6,567 | 53,293 | 9,670 | 13,435 | 26,905 | ||||||||||||||||||||||
| Accrued support service expenses |
2,474 | 1,601 | 12,662 | 2,474 | 2,911 | 6,986 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
2,637 | 2,091 | 4,622 | 824 | 9,618 | 2,138 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
1,377 | 891 | 7,047 | 1,377 | 1,620 | 3,888 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
10,432 | 6,835 | 53,315 | 10,593 | 12,302 | 29,212 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
498 | 2,054 | 9,374 | 1,212 | — | 3,188 | ||||||||||||||||||||||
| Accrued other |
24,401 | 21,104 | 83,986 | 25,497 | 18,975 | 15,517 | ||||||||||||||||||||||
| Forward foreign currency contracts depreciation |
— | 341,680 | 1,579,786 | — | 835,072 | 487,425 | ||||||||||||||||||||||
| Outstanding options written, at value (premiums received $170,933 and $666,690, respectively) |
— | 125,937 | 481,911 | — | — | — | ||||||||||||||||||||||
| Swap agreements, at value |
— | 67,923 | 658,510 | — | 35,133 | — | ||||||||||||||||||||||
| Total Liabilities |
1,083,813 | 21,548,744 | 143,329,036 | 943,708 | 1,671,176 | 872,486 | ||||||||||||||||||||||
| NET ASSETS |
$79,766,378 | $52,190,284 | $421,377,095 | $75,899,250 | $108,161,283 | $214,771,431 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$86,907,761 | $62,171,198 | $422,026,395 | $77,737,007 | $122,031,052 | $167,876,794 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
871,715 | 145,729 | 6,325,233 | 298,368 | (2,357,046 | ) | 1,986,733 | |||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(2,894,016 | ) | (10,902,867 | ) | (856,864 | ) | (2,046,571 | ) | (8,249,414 | ) | (1,113,948 | ) | ||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
(5,119,082 | ) | 776,224 | (6,117,669 | ) | (89,554 | ) | (3,263,309 | ) | 46,021,852 | ||||||||||||||||||
| NET ASSETS |
$79,766,378 | $52,190,284 | $421,377,095 | $75,899,250 | $108,161,283 | $214,771,431 | ||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
8,730,862 | 5,980,057 | 39,876,878 | 7,716,496 | 11,834,654 | 15,726,515 | ||||||||||||||||||||||
| Net Asset Value Per Share |
$9.14 | $8.73 | $10.57 | $9.84 | $9.14 | $13.66 | ||||||||||||||||||||||
| (1) | Includes cash collateral segregated for certain derivative instruments (see Notes to Schedules of Investments) in the PF Inflation Managed, PF Managed Bond, and PF Emerging Markets Debt Funds of $620,101, $5,016,299, and $248,274, respectively. |
| (2) | The cost of foreign currency for the PF Inflation Managed, PF Managed Bond, PF Emerging Markets Debt, and PF Comstock Funds was $62,567, $952,700, $219,214, and $278, respectively. |
| (3) | The PF Managed Bond and PF Inflation Managed Funds received cash collateral to mitigate risk of loss to certain counterparties, which will be repaid based on master netting arrangements between the Funds and the respective counterparties. The Funds invest such cash collateral in investment securities (See Note 5 in Notes to Financial Statements). |
See Notes to Financial Statements
C-1
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2016
| PF Growth Fund |
PF Large-Cap Growth Fund |
PF Large-Cap Value Fund |
PF Main
Street Core Fund |
PF Mid-Cap Equity Fund |
PF Mid-Cap Growth Fund |
|||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments, at cost |
$91,381,481 | $126,213,130 | $191,484,608 | $166,996,543 | $151,258,027 | $57,184,605 | ||||||||||||||||||||||
| Investments, at value |
$122,775,676 | $151,867,160 | $299,588,493 | $211,123,009 | $169,636,253 | $58,996,121 | ||||||||||||||||||||||
| Cash |
401,999 | — | — | 7,906 | — | — | ||||||||||||||||||||||
| Foreign cash held, at value (1) |
— | 12 | — | — | — | — | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
63,351 | 42,921 | 727,215 | 377,402 | 127,668 | 34,163 | ||||||||||||||||||||||
| Securities sold |
520,037 | 262,957 | — | 635,889 | 3,954,772 | 43,398 | ||||||||||||||||||||||
| Due from adviser |
5,421 | 6,351 | 13,848 | 8,575 | 7,272 | 2,209 | ||||||||||||||||||||||
| Prepaid expenses and other assets |
1,161 | 1,530 | 2,967 | 2,023 | 1,636 | 521 | ||||||||||||||||||||||
| Total Assets |
123,767,645 | 152,180,931 | 300,332,523 | 212,154,804 | 173,727,601 | 59,076,412 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
33,077 | 42,925 | 82,456 | 64,348 | 43,328 | 16,421 | ||||||||||||||||||||||
| Securities purchased |
930,703 | 1,046,482 | — | 258,054 | 3,932,707 | 84,260 | ||||||||||||||||||||||
| Accrued advisory fees |
55,907 | 88,191 | 162,866 | 79,321 | 91,334 | 31,481 | ||||||||||||||||||||||
| Accrued administration fees |
15,247 | 18,764 | 37,585 | 26,440 | 21,077 | 7,265 | ||||||||||||||||||||||
| Accrued support service expenses |
3,639 | 4,803 | 9,315 | 6,258 | 5,094 | 1,601 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
793 | 1,020 | 1,415 | 1,322 | 830 | 385 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
2,025 | 2,673 | 5,184 | 3,483 | 2,835 | 891 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
15,240 | 20,096 | 38,937 | 26,225 | 21,349 | 6,742 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
2,732 | 6,768 | 5,172 | 1,054 | 695 | 2,852 | ||||||||||||||||||||||
| Accrued other |
10,757 | 10,496 | 18,969 | 13,675 | 13,768 | 5,499 | ||||||||||||||||||||||
| Outstanding options written, at value (premiums received $149,432) |
— | — | — | — | — | 152,404 | ||||||||||||||||||||||
| Total Liabilities |
1,070,120 | 1,242,218 | 361,899 | 480,180 | 4,133,017 | 309,801 | ||||||||||||||||||||||
| NET ASSETS |
$122,697,525 | $150,938,713 | $299,970,624 | $211,674,624 | $169,594,584 | $58,766,611 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$91,684,079 | $125,863,899 | $189,510,729 | $167,695,006 | $159,335,680 | $57,735,803 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
25,065 | (6,808 | ) | 1,102,697 | 428,645 | 684,289 | 277,598 | |||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(405,814 | ) | (572,347 | ) | 1,253,313 | (574,037 | ) | (8,803,611 | ) | (1,055,334 | ) | |||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
31,394,195 | 25,653,969 | 108,103,885 | 44,125,010 | 18,378,226 | 1,808,544 | ||||||||||||||||||||||
| NET ASSETS |
$122,697,525 | $150,938,713 | $299,970,624 | $211,674,624 | $169,594,584 | $58,766,611 | ||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
6,521,071 | 16,338,345 | 20,298,106 | 17,404,530 | 15,949,943 | 8,266,664 | ||||||||||||||||||||||
| Net Asset Value Per Share |
$18.82 | $9.24 | $14.78 | $12.16 | $10.63 | $7.11 | ||||||||||||||||||||||
| (1) | The cost of foreign currency for the PF Large-Cap Growth Fund was $12. |
See Notes to Financial Statements
C-2
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2016
| PF Mid-Cap Value Fund |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
PF
Emerging Markets Fund |
PF
International Large-Cap Fund |
PF
International Small-Cap Fund |
|||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments, at cost |
$252,854,732 | $37,865,759 | $188,726,066 | $97,442,510 | $251,480,925 | $110,374,401 | ||||||||||||||||||||||
| Investments, at value |
$250,216,227 | $42,139,916 | $199,220,241 | $117,678,984 | $288,691,501 | $117,130,552 | ||||||||||||||||||||||
| Cash |
— | — | — | — | 20,419 | — | ||||||||||||||||||||||
| Foreign currency held, at value (1), (2) |
— | — | — | 84,858 | 5,384 | 68,168 | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
439,715 | 13,762 | 192,014 | 206,467 | 1,361,993 | 604,533 | ||||||||||||||||||||||
| Fund shares sold |
— | — | — | 210 | — | 210 | ||||||||||||||||||||||
| Securities sold |
623,276 | 495,752 | 1,644,854 | 386,573 | 185,405 | 1,844,916 | ||||||||||||||||||||||
| Due from adviser |
— | 3,524 | 10,072 | 2,011 | 19,357 | 2,378 | ||||||||||||||||||||||
| Prepaid expenses and other assets |
2,268 | 489 | 1,856 | 1,007 | 2,793 | 1,161 | ||||||||||||||||||||||
| Total Assets |
251,281,486 | 42,653,443 | 201,069,037 | 118,360,110 | 290,286,852 | 119,651,918 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
67,382 | 12,557 | 55,426 | 29,751 | 80,778 | 30,086 | ||||||||||||||||||||||
| Securities purchased |
— | 400,974 | 1,491,895 | 96,375 | — | 923,753 | ||||||||||||||||||||||
| Due to adviser |
7,196 | — | — | — | — | — | ||||||||||||||||||||||
| Accrued advisory fees |
144,658 | 20,858 | 122,958 | 77,797 | 206,121 | 80,801 | ||||||||||||||||||||||
| Accrued administration fees |
30,998 | 5,214 | 24,592 | 14,587 | 36,374 | 14,603 | ||||||||||||||||||||||
| Accrued support service expenses |
7,859 | 1,455 | 5,967 | 3,202 | 9,169 | 3,639 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
1,080 | 584 | 928 | 42,540 | 14,271 | 11,420 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
4,374 | 810 | 3,321 | 1,782 | 5,103 | 2,025 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
32,312 | 6,137 | 24,798 | 13,467 | 38,116 | 15,184 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
— | 1,796 | 277 | 529 | 2,390 | — | ||||||||||||||||||||||
| Accrued foreign capital gains tax |
— | — | — | 12,184 | — | — | ||||||||||||||||||||||
| Accrued other |
17,667 | 7,165 | 14,476 | 18,427 | 31,308 | 12,170 | ||||||||||||||||||||||
| Total Liabilities |
313,526 | 457,550 | 1,744,638 | 310,641 | 423,630 | 1,093,681 | ||||||||||||||||||||||
| NET ASSETS |
$250,967,960 | $42,195,893 | $199,324,399 | $118,049,469 | $289,863,222 | $118,558,237 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$258,914,222 | $46,013,017 | $190,716,685 | $122,000,854 | $263,318,876 | $115,206,833 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
906,035 | (32,484 | ) | 574,162 | (1,493,899 | ) | 677,925 | (328,770 | ) | |||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(6,213,792 | ) | (8,058,797 | ) | (2,460,623 | ) | (22,691,824 | ) | (11,333,015 | ) | (3,085,516 | ) | ||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
(2,638,505 | ) | 4,274,157 | 10,494,175 | 20,234,338 | 37,199,436 | 6,765,690 | |||||||||||||||||||||
| NET ASSETS |
$250,967,960 | $42,195,893 | $199,324,399 | $118,049,469 | $289,863,222 | $118,558,237 | ||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
25,813,021 | 4,306,785 | 19,654,206 | 9,767,475 | 17,363,206 | 11,547,060 | ||||||||||||||||||||||
| Net Asset Value Per Share |
$9.72 | $9.80 | $10.14 | $12.09 | $16.69 | $10.27 | ||||||||||||||||||||||
| (1) | The cost of foreign currency for the PF Emerging Markets, PF International Large-Cap, and PF International Small-Cap Funds was $106,421, $5,307, and $68,006, respectively. |
| (2) | Includes $5,702 of restricted foreign cash in the PF Emerging Markets Fund (See Note 4 in Notes to Financial Statements). |
See Notes to Financial Statements
C-3
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
MARCH 31, 2016
| PF
International Value Fund |
PF Real Estate Fund |
PF
Absolute Return Fund |
PF
Currency Strategies Fund |
PF
Equity Long/Short Fund |
PF Global
Absolute Return Fund |
|||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||
| Investments and repurchase agreements, at cost |
$136,791,836 | $47,649,876 | $65,248,764 | $131,434,318 | $128,856,029 | $137,409,151 | ||||||||||||||||||||||
| Investments, at value |
$139,091,348 | $70,419,208 | $65,651,842 | $131,545,069 | $128,856,029 | $133,611,570 | ||||||||||||||||||||||
| Repurchase agreements, at value |
— | — | — | — | — | 1,107,660 | ||||||||||||||||||||||
| Cash (1) |
— | — | 2,729,672 | — | 23,298,131 | 717,707 | ||||||||||||||||||||||
| Foreign currency held, at value (1), (2) |
56,710 | — | 1,482,590 | 470 | 2,766 | 73,989 | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
1,035,847 | 241,811 | 543,729 | 345,475 | — | 2,142,021 | ||||||||||||||||||||||
| Fund shares sold |
— | 105 | 385 | 735 | 385 | 805 | ||||||||||||||||||||||
| Securities sold |
1,153,399 | 374,271 | 385,580 | 1,095,735 | — | 456,120 | ||||||||||||||||||||||
| Variation margin |
— | — | 540,548 | — | 1,839,504 | 69,550 | ||||||||||||||||||||||
| Due from adviser |
10,972 | 3,859 | — | — | — | — | ||||||||||||||||||||||
| Forward foreign currency contracts appreciation |
1,359,828 | — | 654,059 | 4,996,836 | 1,109,654 | 1,722,303 | ||||||||||||||||||||||
| Swap agreements, at value |
— | — | 422,422 | — | 13,078,249 | 2,895,633 | ||||||||||||||||||||||
| Prepaid expenses and other assets |
1,406 | 629 | 799 | 1,215 | 1,561 | 1,323 | ||||||||||||||||||||||
| Total Assets |
142,709,510 | 71,039,883 | 72,411,626 | 137,985,535 | 168,186,279 | 142,798,681 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
40,303 | 28,250 | 28,039 | 64,949 | 76,010 | 64,378 | ||||||||||||||||||||||
| Securities purchased |
1,117,653 | 216,475 | 564,762 | — | — | 1,378,751 | ||||||||||||||||||||||
| Securities sold short, at value (proceeds $988,401) |
— | — | — | — | — | 1,081,046 | ||||||||||||||||||||||
| Due to adviser |
— | — | — | — | — | 2,856 | ||||||||||||||||||||||
| Due to brokers (3) |
— | — | 78,398 | 275,000 | 210,000 | — | ||||||||||||||||||||||
| Accrued advisory fees |
76,759 | 52,086 | 47,074 | 72,241 | 139,565 | 90,457 | ||||||||||||||||||||||
| Accrued administration fees |
17,714 | 8,681 | 8,826 | 16,671 | 20,935 | 16,961 | ||||||||||||||||||||||
| Accrued support service expenses |
4,512 | 2,038 | 2,474 | 3,784 | 4,948 | 4,221 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
10,916 | 388 | 3,800 | 2,361 | 2,283 | 19,505 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
2,511 | 1,134 | 1,377 | 2,106 | 2,754 | 2,349 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
18,813 | 8,476 | 10,171 | 15,917 | 20,329 | 17,702 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
3,372 | 247 | — | — | — | — | ||||||||||||||||||||||
| Accrued other |
17,850 | 5,576 | 10,212 | 7,530 | 29,408 | 156,406 | ||||||||||||||||||||||
| Forward foreign currency contracts depreciation |
639,081 | — | 2,079,218 | 10,274,178 | 3,733 | 6,069,692 | ||||||||||||||||||||||
| Outstanding options written, at value (premiums received $1,421,192) |
— | — | — | — | — | 1,021,350 | ||||||||||||||||||||||
| Swap agreements, at value |
— | — | 679,761 | — | 89,578 | 1,099,182 | ||||||||||||||||||||||
| Total Liabilities |
1,949,484 | 323,351 | 3,514,112 | 10,734,737 | 599,543 | 11,024,856 | ||||||||||||||||||||||
| NET ASSETS |
$140,760,026 | $70,716,532 | $68,897,514 | $127,250,798 | $167,586,736 | $131,773,825 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$192,422,826 | $47,674,212 | $76,106,423 | $127,709,597 | $161,838,244 | $140,437,540 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
896,960 | 406,313 | (778,973 | ) | 4,697,211 | (1,879,211 | ) | 3,606,927 | ||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(55,568,741 | ) | (133,325 | ) | (4,918,895 | ) | (1,853 | ) | (7,789,400 | ) | (5,299,020 | ) | ||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
3,008,981 | 22,769,332 | (1,511,041 | ) | (5,154,157 | ) | 15,417,103 | (6,971,622 | ) | |||||||||||||||||||
| NET ASSETS |
$140,760,026 | $70,716,532 | $68,897,514 | $127,250,798 | $167,586,736 | $131,773,825 | ||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
16,867,284 | 4,421,709 | 7,548,592 | 13,048,179 | 16,247,877 | 14,584,126 | ||||||||||||||||||||||
| Net Asset Value Per Share |
$8.35 | $15.99 | $9.13 | $9.75 | $10.31 | $9.04 | ||||||||||||||||||||||
| (1) | Includes cash collateral segregated for certain derivative instruments (see Notes to Schedule of Investments) in the PF Absolute Return, PF Equity Long/Short, and PF Global Absolute Return Funds of $2,755,549, $23,298,131, and $699,705, respectively. |
| (2) | The cost of foreign currency for the PF International Value, PF Absolute Return, PF Currency Strategies, PF Equity Long/Short, and PF Global Absolute Return Funds was $56,668, $1,470,253, $463, $2,766, and $71,303, respectively. |
| (3) | The PF Absolute Return, PF Currency Strategies, and PF Equity Long/Short Funds received cash collateral to mitigate risk of loss to certain counterparties, which will be repaid based on master netting arrangements between the Funds and the respective counterparties. The Funds invest such cash collateral in investment securities (See Note 5 in Notes to Financial Statements). |
See Notes to Financial Statements
C-4
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MARCH 31, 2016
| PF Floating Rate Loan Fund |
PF
Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Comstock Fund |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$2,056 | $1,309 | $— | $528 | $1,971 | $6,153,224 | ||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
4,564,771 | 2,234,555 | 14,756,726 | 1,844,187 | 9,140,762 | 4,095 | ||||||||||||||||||||||
| Other |
459 | — | — | — | 698 | — | ||||||||||||||||||||||
| Total Investment Income |
4,567,286 | 2,235,864 | 14,756,726 | 1,844,715 | 9,143,431 | 6,157,319 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
683,316 | 297,985 | 1,885,029 | 427,091 | 914,905 | 1,767,702 | ||||||||||||||||||||||
| Administration fees |
136,663 | 111,745 | 706,886 | 160,159 | 174,823 | 353,540 | ||||||||||||||||||||||
| Support services expenses |
13,171 | 10,606 | 66,223 | 14,223 | 15,952 | 35,113 | ||||||||||||||||||||||
| Custodian fees and expenses |
18,379 | 15,636 | 33,495 | 5,704 | 64,506 | 7,440 | ||||||||||||||||||||||
| Shareholder report expenses |
6,708 | 4,265 | 34,318 | 6,387 | 8,613 | 17,730 | ||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
7,884 | 6,114 | 39,663 | 8,576 | 9,570 | 20,650 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
14,248 | 10,039 | 72,412 | 14,978 | 16,992 | 38,904 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
3,916 | 3,031 | 19,668 | 4,265 | 4,778 | 10,175 | ||||||||||||||||||||||
| Interest expense |
— | 80,900 | 9,728 | — | — | — | ||||||||||||||||||||||
| Other |
44,903 | 45,984 | 148,291 | 54,722 | 34,490 | 15,774 | ||||||||||||||||||||||
| Total Expenses |
929,188 | 586,305 | 3,015,713 | 696,105 | 1,244,629 | 2,267,028 | ||||||||||||||||||||||
| Advisory Fee Waiver (1) |
(91,109 | ) | (14,899 | ) | — | — | — | (35,354 | ) | |||||||||||||||||||
| Adviser Expense Reimbursement (2) |
(109,207 | ) | (95,880 | ) | (415,627 | ) | (108,855 | ) | (154,900 | ) | (145,785 | ) | ||||||||||||||||
| Net Expenses |
728,872 | 475,526 | 2,600,086 | 587,250 | 1,089,729 | 2,085,889 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
3,838,414 | 1,760,338 | 12,156,640 | 1,257,465 | 8,053,702 | 4,071,430 | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
(1,568,845 | ) | (2,162,206 | ) | 2,222,157 | (75,539 | ) | (5,628,679 | ) | 17,479,113 | ||||||||||||||||||
| Closed short positions |
— | 1,074 | (31,113 | ) | — | 722 | — | |||||||||||||||||||||
| Futures contract transactions |
— | (988,658 | ) | 1,145,347 | (88,404 | ) | — | — | ||||||||||||||||||||
| Swap transactions |
— | (141,935 | ) | (390,601 | ) | — | (305,257 | ) | — | |||||||||||||||||||
| Written option transactions |
— | 631,279 | 3,876,120 | — | — | — | ||||||||||||||||||||||
| Foreign currency transactions |
— | (1,019,578 | ) | 174,473 | (75,374 | ) | (5,339,125 | ) | (277,420 | ) | ||||||||||||||||||
| Net Realized Gain (Loss) |
(1,568,845 | ) | (3,680,024 | ) | 6,996,383 | (239,317 | ) | (11,272,339 | ) | 17,201,693 | ||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities |
(4,257,472 | ) | 1,221,448 | (8,921,289 | ) | (563,453 | ) | 5,317,882 | (38,961,051 | ) | ||||||||||||||||||
| Unfunded loan commitments |
1,580 | — | — | — | — | — | ||||||||||||||||||||||
| Short positions |
— | — | 270 | — | — | — | ||||||||||||||||||||||
| Futures contracts |
— | 161,203 | (1,692,847 | ) | 8,691 | — | — | |||||||||||||||||||||
| Swaps |
— | (75,564 | ) | (2,529,808 | ) | — | 333,753 | — | ||||||||||||||||||||
| Written options |
— | 20,979 | (52,061 | ) | — | — | — | |||||||||||||||||||||
| Foreign currencies |
— | (997,015 | ) | (1,586,306 | ) | (28,087 | ) | 2,066,451 | (117,849 | ) | ||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(4,255,892 | ) | 331,051 | (14,782,041 | ) | (582,849 | ) | 7,718,086 | (39,078,900 | ) | ||||||||||||||||||
| NET GAIN (LOSS) |
(5,824,737 | ) | (3,348,973 | ) | (7,785,658 | ) | (822,166 | ) | (3,554,253 | ) | (21,877,207 | ) | ||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
($1,986,323 | ) | ($1,588,635 | ) | $4,370,982 | $435,299 | $4,499,449 | ($17,805,777 | ) | |||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$— | $633 | $76,593 | $2,690 | $85,898 | $129,217 | ||||||||||||||||||||||
| (1) | See Note 6 in Notes to Financial Statements. |
| (2) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-5
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2016
| PF Growth Fund |
PF Large-Cap Growth Fund |
PF Large-Cap Value Fund |
PF Main
Street Core Fund |
PF Mid-Cap Equity Fund |
PF Mid-Cap Growth Fund |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$1,035,228 | $1,136,707 | $7,117,835 | $4,247,094 | $3,949,691 | $758,794 | ||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
4,242 | 1,038 | — | — | — | — | ||||||||||||||||||||||
| Total Investment Income |
1,039,470 | 1,137,745 | 7,117,835 | 4,247,094 | 3,949,691 | 758,794 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
704,492 | 1,228,205 | 2,053,060 | 1,021,817 | 1,202,224 | 474,301 | ||||||||||||||||||||||
| Administration fees |
192,134 | 245,641 | 473,783 | 340,606 | 277,436 | 101,636 | ||||||||||||||||||||||
| Support services expenses |
18,357 | 23,408 | 46,397 | 32,419 | 26,931 | 9,785 | ||||||||||||||||||||||
| Custodian fees and expenses |
4,194 | 6,765 | 8,404 | 8,743 | 4,905 | 2,074 | ||||||||||||||||||||||
| Shareholder report expenses |
10,483 | 12,717 | 24,040 | 16,628 | 14,608 | 4,604 | ||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
10,864 | 14,013 | 27,435 | 19,029 | 15,905 | 5,666 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
20,358 | 26,632 | 51,773 | 35,293 | 28,952 | 9,576 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
5,362 | 6,915 | 13,528 | 9,376 | 7,866 | 2,808 | ||||||||||||||||||||||
| Other |
11,337 | 10,335 | 16,820 | 13,493 | 17,014 | 8,156 | ||||||||||||||||||||||
| Total Expenses |
977,581 | 1,574,631 | 2,715,240 | 1,497,404 | 1,595,841 | 618,606 | ||||||||||||||||||||||
| Advisory Fee Waiver (1) |
— | (73,692 | ) | — | — | — | (33,879 | ) | ||||||||||||||||||||
| Adviser Expense Reimbursement (2) |
(80,955 | ) | (100,786 | ) | (188,396 | ) | (134,981 | ) | (116,181 | ) | (42,669 | ) | ||||||||||||||||
| Net Expenses |
896,626 | 1,400,153 | 2,526,844 | 1,362,423 | 1,479,660 | 542,058 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
142,844 | (262,408 | ) | 4,590,991 | 2,884,671 | 2,470,031 | 216,736 | |||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
4,804,695 | 9,571,161 | 19,733,103 | 21,951,265 | 1,480,965 | 2,227,880 | ||||||||||||||||||||||
| Written option transactions |
— | — | — | — | — | (54,630 | ) | |||||||||||||||||||||
| Foreign currency transactions |
(428 | ) | (89 | ) | (479 | ) | (3,403 | ) | — | (585 | ) | |||||||||||||||||
| Net Realized Gain (Loss) |
4,804,267 | 9,571,072 | 19,732,624 | 21,947,862 | 1,480,965 | 2,172,665 | ||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities |
(1,773,341 | ) | (11,767,568 | ) | (28,077,857 | ) | (17,199,052 | ) | (11,504,888 | ) | (9,464,248 | ) | ||||||||||||||||
| Written options |
— | — | — | — | — | (3,190 | ) | |||||||||||||||||||||
| Foreign currencies |
319 | 45 | — | 2,864 | — | 225 | ||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(1,773,022 | ) | (11,767,523 | ) | (28,077,857 | ) | (17,196,188 | ) | (11,504,888 | ) | (9,467,213 | ) | ||||||||||||||||
| NET GAIN (LOSS) |
3,031,245 | (2,196,451 | ) | (8,345,233 | ) | 4,751,674 | (10,023,923 | ) | (7,294,548 | ) | ||||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
$3,174,089 | ($2,458,859 | ) | ($3,754,242 | ) | $7,636,345 | ($7,553,892 | ) | ($7,077,812 | ) | ||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$18,156 | $4,849 | $140,016 | $56,625 | $2,504 | $— | ||||||||||||||||||||||
| (1) | See Note 6 in Notes to Financial Statements. |
| (2) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-6
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR OR PERIOD ENDED MARCH 31, 2016
| PF Mid-Cap Value Fund (1) |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
PF
Emerging Markets Fund |
PF
International Large-Cap Fund |
PF
International Small-Cap Fund |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$3,827,457 | $147,275 | $2,295,134 | $2,473,958 | $5,861,202 | $3,058,308 | ||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
1,507 | — | — | — | 2,804 | — | ||||||||||||||||||||||
| Total Investment Income |
3,828,964 | 147,275 | 2,295,134 | 2,473,958 | 5,864,006 | 3,058,308 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
1,185,262 | 369,158 | 1,394,729 | 1,106,278 | 2,301,879 | 1,059,633 | ||||||||||||||||||||||
| Administration fees |
253,985 | 92,290 | 278,946 | 207,427 | 406,214 | 186,994 | ||||||||||||||||||||||
| Support services expenses |
25,810 | 9,237 | 27,780 | 20,759 | 40,140 | 18,393 | ||||||||||||||||||||||
| Custodian fees and expenses |
4,438 | 2,864 | 4,899 | 267,335 | 93,941 | 58,908 | ||||||||||||||||||||||
| Shareholder report expenses |
19,622 | 4,579 | 15,693 | 10,345 | 23,835 | 11,899 | ||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
16,722 | 5,270 | 16,609 | 12,019 | 24,573 | 10,862 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
38,471 | 8,819 | 32,263 | 19,475 | 48,909 | 20,265 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
8,352 | 2,599 | 8,198 | 6,009 | 12,171 | 5,368 | ||||||||||||||||||||||
| Offering expenses |
1,349 | — | — | — | — | 436 | ||||||||||||||||||||||
| Other |
13,661 | 12,223 | 15,364 | 47,499 | 39,216 | 16,337 | ||||||||||||||||||||||
| Total Expenses |
1,567,672 | 507,039 | 1,794,481 | 1,697,146 | 2,990,878 | 1,389,095 | ||||||||||||||||||||||
| Advisory Fee Waiver (2) |
— | — | — | — | — | (24,932 | ) | |||||||||||||||||||||
| Adviser Expense Reimbursement (3) |
— | (45,591 | ) | (120,806 | ) | (383,441 | ) | (282,785 | ) | (17,806 | ) | |||||||||||||||||
| Net Expenses |
1,567,672 | 461,448 | 1,673,675 | 1,313,705 | 2,708,093 | 1,346,357 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
2,261,292 | (314,173 | ) | 621,459 | 1,160,253 | 3,155,913 | 1,711,951 | |||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
(5,544,916 | ) | (1,063,878 | ) | (2,127,083 | ) | (18,526,097 | ) | (3,475,836 | ) | (1,759,097 | ) | ||||||||||||||||
| Futures contract transactions |
(676,015 | ) | — | (113,986 | ) | — | 647,994 | (40,410 | ) | |||||||||||||||||||
| Foreign currency transactions |
— | — | — | (152,881 | ) | (781,542 | ) | 50,437 | ||||||||||||||||||||
| Net Realized Gain (Loss) |
(6,220,931 | ) | (1,063,878 | ) | (2,241,069 | ) | (18,678,978 | ) | (3,609,384 | ) | (1,749,070 | ) | ||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities (4) |
(2,638,505 | ) | (11,180,886 | ) | (2,203,827 | ) | 577,168 | (30,085,380 | ) | 233,737 | ||||||||||||||||||
| Foreign currencies |
— | — | — | 34,647 | 40,843 | 14,433 | ||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(2,638,505 | ) | (11,180,886 | ) | (2,203,827 | ) | 611,815 | (30,044,537 | ) | 248,170 | ||||||||||||||||||
| NET GAIN (LOSS) |
(8,859,436 | ) | (12,244,764 | ) | (4,444,896 | ) | (18,067,163 | ) | (33,653,921 | ) | (1,500,900 | ) | ||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
($6,598,144 | ) | ($12,558,937 | ) | ($3,823,437 | ) | ($16,906,910 | ) | ($30,498,008 | ) | $211,051 | |||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$9,057 | $— | $12,515 | $236,211 | $731,539 | $316,377 | ||||||||||||||||||||||
| (1) | PF Mid-Cap Value Fund commenced operations on July 29, 2015. |
| (2) | See Note 6 in Notes to Financial Statements. |
| (3) | See Note 7B in Notes to Financial Statements. |
| (4) | Change in net unrealized appreciation (depreciation) on investment securities for the PF Emerging Markets Fund was net of decrease in deferred foreign capital gains tax of $168,729. |
See Notes to Financial Statements
C-7
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR OR PERIOD ENDED MARCH 31, 2016
| PF
International Value Fund |
PF Real Estate Fund |
PF Absolute Return Fund (1) |
PF
Currency Strategies Fund |
PF Equity Long/Short Fund (1) |
PF Global
Absolute Return Fund |
|||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$3,791,469 | $2,056,988 | $9,528 | $21,925 | $— | $57,688 | ||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
— | — | 1,535,767 | 87,594 | 89,726 | 8,070,766 | ||||||||||||||||||||||
| Total Investment Income |
3,791,469 | 2,056,988 | 1,545,295 | 109,519 | 89,726 | 8,128,454 | ||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||
| Advisory fees |
946,427 | 548,324 | 611,830 | 916,384 | 1,715,395 | 1,092,599 | ||||||||||||||||||||||
| Administration fees |
218,406 | 91,387 | 114,718 | 211,473 | 223,747 | 204,862 | ||||||||||||||||||||||
| Support services expenses |
21,584 | 8,996 | 13,562 | 19,710 | 23,786 | 19,068 | ||||||||||||||||||||||
| Custodian fees and expenses |
74,305 | 1,690 | 23,139 | 13,929 | 11,886 | 137,206 | ||||||||||||||||||||||
| Shareholder report expenses |
11,562 | 4,953 | 6,802 | 10,859 | 13,090 | 10,575 | ||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
12,962 | 5,468 | 7,479 | 11,809 | 13,517 | 11,804 | ||||||||||||||||||||||
| Legal, audit and tax service fees |
24,747 | 10,889 | 13,642 | 21,568 | 26,305 | 23,080 | ||||||||||||||||||||||
| Trustees’ fees and expenses |
6,412 | 2,708 | 3,653 | 5,882 | 6,620 | 5,889 | ||||||||||||||||||||||
| Offering expenses |
— | — | 33,367 | — | 35,947 | — | ||||||||||||||||||||||
| Interest expense |
— | — | — | — | — | 45,295 | ||||||||||||||||||||||
| Other |
29,490 | 7,033 | 20,194 | 3,555 | 50,731 | 46,249 | ||||||||||||||||||||||
| Total Expenses |
1,345,895 | 681,448 | 848,386 | 1,215,169 | 2,121,024 | 1,596,627 | ||||||||||||||||||||||
| Advisory Fee Waiver (2) |
— | — | — | — | (223,747 | ) | — | |||||||||||||||||||||
| Adviser Expense Reimbursement (3) |
(181,062 | ) | (41,737 | ) | — | — | — | (117,298 | ) | |||||||||||||||||||
| Net Expenses |
1,164,833 | 639,711 | 848,386 | 1,215,169 | 1,897,277 | 1,479,329 | ||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
2,626,636 | 1,417,277 | 696,909 | (1,105,650 | ) | (1,807,551 | ) | 6,649,125 | ||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||
| Investment security transactions |
(9,278,124 | ) | 2,180,037 | (5,219,729 | ) | (18,853 | ) | 113 | (644,656 | ) | ||||||||||||||||||
| Closed short positions |
— | — | — | — | — | (21,176 | ) | |||||||||||||||||||||
| Futures contract transactions |
56,872 | — | (731,289 | ) | — | (7,789,513 | ) | (4,124,620 | ) | |||||||||||||||||||
| Swap transactions |
— | — | (640,659 | ) | — | 24,711,341 | 3,022,879 | |||||||||||||||||||||
| Written option transactions |
— | — | 1,014,372 | — | — | 3,798,127 | ||||||||||||||||||||||
| Foreign currency transactions |
(215,167 | ) | — | 251,372 | 3,874,135 | (942,374 | ) | (4,400,160 | ) | |||||||||||||||||||
| Forward bond contract transactions |
— | — | — | — | — | (3,607 | ) | |||||||||||||||||||||
| Net Realized Gain (Loss) |
(9,436,419 | ) | 2,180,037 | (5,325,933 | ) | 3,855,282 | 15,979,567 | (2,373,213 | ) | |||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||
| Investment securities |
(11,609,503 | ) | (343,299 | ) | 403,078 | 2,815,177 | — | (1,424,643 | ) | |||||||||||||||||||
| Unfunded loan commitments |
— | — | — | — | — | 5,635 | ||||||||||||||||||||||
| Short positions |
— | — | — | — | — | (38,641 | ) | |||||||||||||||||||||
| Futures contracts |
10,614 | — | (177,013 | ) | — | 1,322,408 | 819,930 | |||||||||||||||||||||
| Swaps |
— | — | (336,302 | ) | — | 12,988,671 | (3,954,907 | ) | ||||||||||||||||||||
| Written options |
— | — | — | — | — | 5,832,788 | ||||||||||||||||||||||
| Foreign currencies |
518,732 | — | (1,400,804 | ) | (6,054,739 | ) | 1,106,024 | (7,321,779 | ) | |||||||||||||||||||
| Forward bond contracts |
— | — | — | — | — | 52,646 | ||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(11,080,157 | ) | (343,299 | ) | (1,511,041 | ) | (3,239,562 | ) | 15,417,103 | (6,028,971 | ) | |||||||||||||||||
| NET GAIN (LOSS) |
(20,516,576 | ) | 1,836,738 | (6,836,974 | ) | 615,720 | 31,396,670 | (8,402,184 | ) | |||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
($17,889,940 | ) | $3,254,015 | ($6,140,065 | ) | ($489,930 | ) | $29,589,119 | ($1,753,059 | ) | ||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$434,605 | $— | $1,231 | $2,309 | $— | $5,401 | ||||||||||||||||||||||
| (1) | PF Absolute Return and PF Equity Long/Short Funds commenced operations on April 27, 2015. |
| (2) | See Note 6 in Notes to Financial Statements. |
| (3) | See Note 7B in Notes to Financial Statements. |
See Notes to Financial Statements
C-8
STATEMENTS OF CHANGES IN NET ASSETS
| Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
|||||||||||||||||||||||||||
| PF Floating Rate Loan Fund |
PF Inflation Managed Fund |
PF Managed Bond Fund |
||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$3,838,414 | $4,486,703 | $1,760,338 | $1,069,992 | $12,156,640 | $8,656,737 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
(1,568,845 | ) | (1,323,615 | ) | (3,680,024 | ) | (863,026 | ) | 6,996,383 | 24,586,442 | ||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(4,255,892 | ) | (850,541 | ) | 331,051 | 4,655,716 | (14,782,041 | ) | 5,768,017 | |||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(1,986,323 | ) | 2,312,547 | (1,588,635 | ) | 4,862,682 | 4,370,982 | 39,011,196 | ||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(4,102,066 | ) | (4,425,588 | ) | — | (3,604,677 | ) | (10,290,929 | ) | (10,397,287 | ) | |||||||||||||||||||||
| Net realized gains - Class P |
— | (17,189 | ) | — | — | (14,324,419 | ) | (11,648,530 | ) | |||||||||||||||||||||||
| Net Decrease from Dividends
and |
(4,102,066 | ) | (4,442,777 | ) | — | (3,604,677 | ) | (24,615,348 | ) | (22,045,817 | ) | |||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
2,328,122 | 12,400,990 | 4,646,365 | 15,641,976 | 14,775,062 | 94,581,849 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
4,102,066 | 4,442,777 | — | 3,604,677 | 24,615,348 | 22,045,817 | ||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(47,699,671 | ) | (10,705,218 | ) | (77,021,620 | ) | (80,115,002 | ) | (241,650,488 | ) | (69,464,458 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(41,269,483 | ) | 6,138,549 | (72,375,255 | ) | (60,868,349 | ) | (202,260,078 | ) | 47,163,208 | ||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(47,357,872 | ) | 4,008,319 | (73,963,890 | ) | (59,610,344 | ) | (222,504,444 | ) | 64,128,587 | ||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
127,124,250 | 123,115,931 | 126,154,174 | 185,764,518 | 643,881,539 | 579,752,952 | ||||||||||||||||||||||||||
| End of Year |
$79,766,378 | $127,124,250 | $52,190,284 | $126,154,174 | $421,377,095 | $643,881,539 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$871,715 | $1,135,367 | $145,729 | ($1,757,012 | ) | $6,325,233 | $2,039,566 | |||||||||||||||||||||||||
| PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Comstock Fund | ||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$1,257,465 | $2,601,158 | $8,053,702 | $7,965,251 | $4,071,430 | $3,552,802 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
(239,317 | ) | (144,386 | ) | (11,272,339 | ) | (6,640,664 | ) | 17,201,693 | 40,790,115 | ||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(582,849 | ) | (451,214 | ) | 7,718,086 | (10,068,715 | ) | (39,078,900 | ) | (24,050,355 | ) | |||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
435,299 | 2,005,558 | 4,499,449 | (8,744,128 | ) | (17,805,777 | ) | 20,292,562 | ||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(1,592,671 | ) | (3,085,384 | ) | (112,217 | ) | (5,962,219 | ) | (5,679,637 | ) | (5,782,909 | ) | ||||||||||||||||||||
| Net realized gains - Class P |
— | — | — | — | (25,998,618 | ) | (20,835,136 | ) | ||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(1,592,671 | ) | (3,085,384 | ) | (112,217 | ) | (5,962,219 | ) | (31,678,255 | ) | (26,618,045 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
2,163,697 | 32,351,679 | 9,943,024 | 55,948,293 | 17,178,131 | 8,417,197 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
1,592,671 | 3,085,384 | 112,217 | 5,962,219 | 31,678,255 | 26,618,045 | ||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(140,033,868 | ) | (50,211,811 | ) | (68,291,870 | ) | (15,709,434 | ) | (54,306,069 | ) | (67,602,421 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(136,277,500 | ) | (14,774,748 | ) | (58,236,629 | ) | 46,201,078 | (5,449,683 | ) | (32,567,179 | ) | |||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(137,434,872 | ) | (15,854,574 | ) | (53,849,397 | ) | 31,494,731 | (54,933,715 | ) | (38,892,662 | ) | |||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
213,334,122 | 229,188,696 | 162,010,680 | 130,515,949 | 269,705,146 | 308,597,808 | ||||||||||||||||||||||||||
| End of Year |
$75,899,250 | $213,334,122 | $108,161,283 | $162,010,680 | $214,771,431 | $269,705,146 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$298,368 | $321,587 | ($2,357,046 | ) | ($2,847,523 | ) | $1,986,733 | $3,878,599 | ||||||||||||||||||||||||
See Notes to Financial Statements
C-9
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
|||||||||||||||||||||||||||
| PF Growth Fund | PF Large-Cap Growth Fund |
PF Large-Cap Value Fund |
||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$142,844 | $376,463 | ($262,408 | ) | ($294,494 | ) | $4,590,991 | $4,916,528 | ||||||||||||||||||||||||
| Net realized gain (loss) |
4,804,267 | 2,014,771 | 9,571,072 | 19,639,072 | 19,732,624 | 30,890,520 | ||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(1,773,022 | ) | 14,020,253 | (11,767,523 | ) | 6,699,795 | (28,077,857 | ) | (3,677,051 | ) | ||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
3,174,089 | 16,411,487 | (2,458,859 | ) | 26,044,373 | (3,754,242 | ) | 32,129,997 | ||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(616,981 | ) | (934,282 | ) | — | — | (4,585,247 | ) | (7,915,128 | ) | ||||||||||||||||||||||
| Net realized gains - Class P |
(5,369,917 | ) | (1,038,567 | ) | (19,104,058 | ) | (18,093,817 | ) | (23,915,342 | ) | (28,296,928 | ) | ||||||||||||||||||||
| Net Decrease from Dividends
and |
(5,986,898 | ) | (1,972,849 | ) | (19,104,058 | ) | (18,093,817 | ) | (28,500,589 | ) | (36,212,056 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
12,728,671 | 37,943,943 | 17,679,799 | 15,780,162 | 24,816,651 | 6,185,532 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
5,986,898 | 1,972,849 | 19,104,058 | 18,093,817 | 28,500,589 | 36,212,056 | ||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(41,098,260 | ) | (7,747,052 | ) | (63,420,009 | ) | (15,300,089 | ) | (65,494,832 | ) | (74,284,892 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(22,382,691 | ) | 32,169,740 | (26,636,152 | ) | 18,573,890 | (12,177,592 | ) | (31,887,304 | ) | ||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(25,195,500 | ) | 46,608,378 | (48,199,069 | ) | 26,524,446 | (44,432,423 | ) | (35,969,363 | ) | ||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
147,893,025 | 101,284,647 | 199,137,782 | 172,613,336 | 344,403,047 | 380,372,410 | ||||||||||||||||||||||||||
| End of Year |
$122,697,525 | $147,893,025 | $150,938,713 | $199,137,782 | $299,970,624 | $344,403,047 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$25,065 | $813 | ($6,808 | ) | ($132,121 | ) | $1,102,697 | $1,220,834 | ||||||||||||||||||||||||
| PF Main Street Core Fund |
PF Mid-Cap Equity Fund |
PF Mid-Cap Growth Fund |
||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$2,884,671 | $2,767,554 | $2,470,031 | $783,450 | $216,736 | $67,258 | ||||||||||||||||||||||||||
| Net realized gain (loss) |
21,947,862 | 30,062,767 | 1,480,965 | 15,534,514 | 2,172,665 | 3,264,379 | ||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(17,196,188 | ) | (4,711,178 | ) | (11,504,888 | ) | (824,794 | ) | (9,467,213 | ) | 5,773,848 | |||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
7,636,345 | 28,119,143 | (7,553,892 | ) | 15,493,170 | (7,077,812 | ) | 9,105,485 | ||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(2,885,953 | ) | (2,609,422 | ) | (1,965,042 | ) | (552,479 | ) | (104,146 | ) | (78,530 | ) | ||||||||||||||||||||
| Net realized gains - Class P |
(35,252,835 | ) | (33,766,232 | ) | (14,265,599 | ) | (23,955,351 | ) | (5,613,608 | ) | (3,795,355 | ) | ||||||||||||||||||||
| Net Decrease from Dividends
and |
(38,138,788 | ) | (36,375,654 | ) | (16,230,641 | ) | (24,507,830 | ) | (5,717,754 | ) | (3,873,885 | ) | ||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
22,398,161 | 16,338,975 | 2,030,218 | 42,773,692 | 1,758,665 | 3,181,727 | ||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
38,138,788 | 36,375,654 | 16,230,641 | 24,507,830 | 5,717,754 | 3,873,885 | ||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(89,172,638 | ) | (31,220,364 | ) | (43,022,595 | ) | (11,482,907 | ) | (21,903,458 | ) | (17,101,717 | ) | ||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(28,635,689 | ) | 21,494,265 | (24,761,736 | ) | 55,798,615 | (14,427,039 | ) | (10,046,105 | ) | ||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(59,138,132 | ) | 13,237,754 | (48,546,269 | ) | 46,783,955 | (27,222,605 | ) | (4,814,505 | ) | ||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||
| Beginning of Year |
270,812,756 | 257,575,002 | 218,140,853 | 171,356,898 | 85,989,216 | 90,803,721 | ||||||||||||||||||||||||||
| End of Year |
$211,674,624 | $270,812,756 | $169,594,584 | $218,140,853 | $58,766,611 | $85,989,216 | ||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$428,645 | $682,846 | $684,289 | $193,773 | $277,598 | $81,890 | ||||||||||||||||||||||||||
See Notes to Financial Statements
C-10
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Year/Period Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year Ended March 31, 2016 |
Year/Period Ended March 31, 2015 |
|||||||||||||||||||||||||||||
| PF Mid-Cap Value Fund (1) |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$2,261,292 | ($314,173 | ) | ($253,016 | ) | $621,459 | $784,571 | |||||||||||||||||||||||||||
| Net realized gain (loss) |
(6,220,931 | ) | (1,063,878 | ) | 6,392,830 | (2,241,069 | ) | 37,370,520 | ||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(2,638,505 | ) | (11,180,886 | ) | 2,170,370 | (2,203,827 | ) | (22,821,057 | ) | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(6,598,144 | ) | (12,558,937 | ) | 8,310,184 | (3,823,437 | ) | 15,334,034 | ||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(1,349,467 | ) | — | — | (295,333 | ) | (1,964,806 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
— | (6,615,823 | ) | (9,980,804 | ) | (1,116,470 | ) | (42,372,312 | ) | |||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(1,349,467 | ) | (6,615,823 | ) | (9,980,804 | ) | (1,411,803 | ) | (44,337,118 | ) | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
273,457,147 | 13,539,783 | 23,567,029 | 72,068,525 | 5,352,768 | |||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
1,349,467 | 6,615,823 | 9,980,804 | 1,411,803 | 44,337,117 | |||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(15,891,043 | ) | (42,515,875 | ) | (8,067,624 | ) | (14,722,065 | ) | (22,587,682 | ) | ||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
258,915,571 | (22,360,269 | ) | 25,480,209 | 58,758,263 | 27,102,203 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
250,967,960 | (41,535,029 | ) | 23,809,589 | 53,523,023 | (1,900,881 | ) | |||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
— | 83,730,922 | 59,921,333 | 145,801,376 | 147,702,257 | |||||||||||||||||||||||||||||
| End of Year or Period |
$250,967,960 | $42,195,893 | $83,730,922 | $199,324,399 | $145,801,376 | |||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$906,035 | ($32,484 | ) | ($1,789 | ) | $574,162 | $254,878 | |||||||||||||||||||||||||||
| PF Emerging Markets Fund |
PF International Large-Cap Fund |
PF International Small-Cap Fund (2) |
||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$1,160,253 | $1,265,408 | $3,155,913 | $3,838,274 | $1,711,951 | $350,195 | ||||||||||||||||||||||||||||
| Net realized gain (loss) |
(18,678,978 | ) | (813,060 | ) | (3,609,384 | ) | 3,588,949 | (1,749,070 | ) | 1,408,309 | ||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
611,815 |
|
(6,907,306 | ) | (30,044,537 | ) | (7,448,352 | ) | 248,170 | 6,517,520 | ||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(16,906,910 | ) |
|
(6,454,958 | ) | (30,498,008 | ) | (21,129 | ) | 211,051 | 8,276,024 | |||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(1,160,519 | ) | (2,127,430 | ) | (2,882,307 | ) | (4,006,574 | ) | (3,640,853 | ) | — | |||||||||||||||||||||||
| Net realized gains - Class P |
— |
|
(4,072,435 | ) | — | — | (1,499,499 | ) | — | |||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(1,160,519 | ) |
|
(6,199,865 | ) | (2,882,307 | ) | (4,006,574 | ) | (5,140,352 | ) | — | ||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
52,300,891 | 16,226,138 | 146,247,322 | 66,621,995 | 9,639,231 | 120,878,084 | ||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
1,160,519 | 6,199,865 | 2,882,307 | 4,006,574 | 5,140,352 | — | ||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(55,586,125 | ) |
|
(24,862,187 | ) | (46,784,559 | ) | (86,224,547 | ) | (18,785,208 | ) | (1,660,945 | ) | |||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(2,124,715 | ) |
|
(2,436,184 | ) | 102,345,070 | (15,595,978 | ) | (4,005,625 | ) | 119,217,139 | |||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(20,192,144 | ) |
|
(15,091,007 | ) | 68,964,755 | (19,623,681 | ) | (8,934,926 | ) | 127,493,163 | |||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
138,241,613 |
|
153,332,620 | 220,898,467 | 240,522,148 | 127,493,163 | — | |||||||||||||||||||||||||||
| End of Year or Period |
$118,049,469 |
|
$138,241,613 | $289,863,222 | $220,898,467 | $118,558,237 | $127,493,163 | |||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($1,493,899 | ) |
|
($1,286,535 | ) | $677,925 | $1,129,417 | ($328,770 | ) | $1,460,836 | ||||||||||||||||||||||||
| (1) | PF Mid-Cap Value Fund commenced operations on July 29, 2015. |
| (2) | PF International Small-Cap Fund commenced operations on January 14, 2015. |
See Notes to Financial Statements
C-11
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Year Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year/Period Ended March 31, 2016 |
Year Ended March 31, 2015 |
Year/Period Ended March 31, 2016 |
Year Ended March 31, 2015 |
|||||||||||||||||||||||||||||||
| PF International Value Fund |
PF Real Estate Fund |
PF Absolute Return Fund (1) |
||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$2,626,636 | $3,615,405 | $1,417,277 | $895,564 | $696,909 | |||||||||||||||||||||||||||||||
| Net realized gain (loss) |
(9,436,419 | ) | 3,415,655 | 2,180,037 | 10,839,909 | (5,325,933 | ) | |||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(11,080,157 | ) | (15,745,887 | ) | (343,299 | ) |
|
(144,708 | ) | (1,511,041 | ) | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(17,889,940 | ) | (8,714,827 | ) | 3,254,015 |
|
11,590,765 | (6,140,065 | ) | |||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(2,279,281 | ) | (6,815,945 | ) | (1,010,714 | ) | (989,152 | ) | (1,121,479 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | (4,842,696 | ) |
|
(1,049,057 | ) | — | ||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(2,279,281 | ) | (6,815,945 | ) | (5,853,410 | ) |
|
(2,038,209 | ) | (1,121,479 | ) | |||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
40,520,023 | 29,202,505 | 23,253,133 | 3,243,808 | 108,820,795 | |||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
2,279,281 | 6,815,945 | 5,853,410 | 2,038,209 | 1,121,479 | |||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(24,523,113 | ) | (54,375,493 | ) | (5,276,790 | ) |
|
(39,175,965 | ) | (33,783,216 | ) | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
18,276,191 | (18,357,043 | ) | 23,829,753 |
|
(33,893,948 | ) | 76,159,058 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(1,893,030 | ) | (33,887,815 | ) | 21,230,358 |
|
(24,341,392 | ) | 68,897,514 | |||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
142,653,056 | 176,540,871 | 49,486,174 |
|
73,827,566 | — | ||||||||||||||||||||||||||||||
| End of Year or Period |
$140,760,026 | $142,653,056 | $70,716,532 |
|
$49,486,174 | $68,897,514 | ||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$896,960 | $451,382 | $406,313 |
|
($250 | ) | ($778,973 | ) | ||||||||||||||||||||||||||||
| PF Currency Strategies Fund |
PF Equity Long/Short Fund (1) |
PF Global Absolute Return Fund |
||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
($1,105,650 | ) | ($1,321,106 | ) | ($1,807,551 | ) | $6,649,125 | $9,001,761 | ||||||||||||||||||||||||||||
| Net realized gain (loss) |
3,855,282 | 11,943,545 | 15,979,567 | (2,373,213 | ) | 8,443,594 | ||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(3,239,562 | ) | 1,522,465 | 15,417,103 | (6,028,971 | ) |
|
(1,196,552 | ) | |||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(489,930 | ) | 12,144,904 | 29,589,119 | (1,753,059 | ) |
|
16,248,803 | ||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(2,682,631 | ) | (4,113,282 | ) | (23,876,574 | ) | (11,762,214 | ) | (9,239,168 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | — | — |
|
— | ||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(2,682,631 | ) | (4,113,282 | ) | (23,876,574 | ) | (11,762,214 | ) |
|
(9,239,168 | ) | |||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
6,782,211 | 65,220,121 | 166,889,425 | 27,895,423 | 9,675,333 | |||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
2,682,631 | 4,113,282 | 23,876,574 | 11,762,214 | 9,239,168 | |||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(66,613,675 | ) | (20,815,948 | ) | (28,891,808 | ) | (72,024,048 | ) |
|
(46,628,422 | ) | |||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(57,148,833 | ) | 48,517,455 | 161,874,191 | (32,366,411 | ) |
|
(27,713,921 | ) | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(60,321,394 | ) | 56,549,077 | 167,586,736 | (45,881,684 | ) |
|
(20,704,286 | ) | |||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
187,572,192 | 131,023,115 | — | 177,655,509 |
|
198,359,795 | ||||||||||||||||||||||||||||||
| End of Year or Period |
$127,250,798 | $187,572,192 | $167,586,736 | $131,773,825 |
|
$177,655,509 | ||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$4,697,211 | $1,708,297 | ($1,879,211 | ) | $3,606,927 |
|
$6,815,142 | |||||||||||||||||||||||||||||
| (1) | PF Absolute Return and PF Equity Long/Short Funds commenced operations on April 27, 2015. |
See Notes to Financial Statements
C-12
PACIFIC FUNDS
FOR THE YEAR ENDED MARCH 31, 2016
| PF Inflation Managed Fund |
||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES: |
||||||||
| Net increase (decrease) in net assets from operations |
($1,588,635 | ) | ||||||
| Adjustments to reconcile net increase (decrease) in net assets from operations to net cash provided by (used in) operating activities: |
||||||||
| Purchases of long-term securities |
(78,488,002 | ) | ||||||
| Proceeds from disposition of long-term securities |
160,551,290 | |||||||
| Proceeds from securities sold short |
5,088,923 | |||||||
| Purchases to cover securities sold short |
(5,087,882 | ) | ||||||
| Proceeds of short-term securities, net |
902,389 | |||||||
| (Increase) decrease in dividends and interest receivable |
182,805 | |||||||
| (Increase) decrease in receivable for securities sold |
(444,126 | ) | ||||||
| (Increase) decrease in receivable due from adviser |
11,079 | |||||||
| (Increase) decrease in prepaid expenses and other assets |
(2,552 | ) | ||||||
| (Increase) decrease in variation margin |
257,871 | |||||||
| (Increase) decrease in swap premiums |
(134,915 | ) | ||||||
| Increase (decrease) in payable for securities purchased |
1,549,732 | |||||||
| Increase (decrease) in payable for swap agreements |
(28,616 | ) | ||||||
| Increase (decrease) in payable due to brokers |
(342,000 | ) | ||||||
| Increase (decrease) in accrued advisory fees |
(24,022 | ) | ||||||
| Increase (decrease) in accrued administration fees |
(9,482 | ) | ||||||
| Increase (decrease) in accrued support services expenses |
(2,614 | ) | ||||||
| Increase (decrease) in accrued custodian fees and expenses |
(1,992 | ) | ||||||
| Increase (decrease) in accrued transfer agency out-of-pocket expenses |
(1,306 | ) | ||||||
| Increase (decrease) in accrued legal, audit and tax service fees |
(5,091 | ) | ||||||
| Increase (decrease) in accrued trustees’ fees and expenses and deferred compensation |
(48 | ) | ||||||
| Increase (decrease) in accrued other payables |
5,021 | |||||||
| Increase (decrease) in accrued interest expenses (2) |
(579 | ) | ||||||
| Change in net unrealized (appreciation) depreciation on investment securities |
(1,221,448 | ) | ||||||
| Change in net unrealized (appreciation) depreciation on swaps |
75,564 | |||||||
| Change in net unrealized (appreciation) depreciation on written options |
(20,979 | ) | ||||||
| Change in net unrealized (appreciation) depreciation on foreign currencies |
997,015 | |||||||
| Net realized (gain) loss on investment security transactions |
2,162,206 | |||||||
| Net realized (gain) loss on closed short positions |
(1,074 | ) | ||||||
| Net realized (gain) loss on written option transactions |
(631,279 | ) | ||||||
| Net amortization on investments |
1,034,664 | |||||||
| Net cash provided by (used in) operating activities |
84,781,917 | |||||||
| CASH FLOWS FROM FINANCING ACTIVITIES: |
||||||||
| Proceeds from shares sold |
4,695,985 | |||||||
| Payment of shares redeemed |
(77,014,728 | ) | ||||||
| Increase (decrease) in payable for reverse repurchase agreement |
(2,983,375 | ) | ||||||
| Increase (decrease) in payable for sale-buyback financing transactions |
(9,326,211 | ) | ||||||
| Net cash provided by (used in) financing activities |
(84,628,329 | ) | ||||||
| NET INCREASE (DECREASE) IN CASH AND FOREIGN CURRENCY |
153,588 | |||||||
| CASH AND FOREIGN CURRENCY: |
||||||||
| Beginning of Year |
536,658 | |||||||
| End of Year |
$690,246 | |||||||
| (1) | Information on financial transactions which have been settled through the receipt or disbursement of cash is presented in the Statement of Cash Flows. The cash amounts shown in the Statement of Cash Flows are the amount included within the Statements of Assets and Liabilities and include cash and foreign currency, if any, on hand at the custodian bank and do not include any short-term investments. The PF Inflation Managed Fund has not met the exemption criteria under the Financial Accounting Standards Board Accounting Standards Codification Topic 230, Statement of Cash Flows, and therefore includes a Statement of Cash Flows. All other funds have met the exemption criteria. |
| (2) | Interest paid by the PF Inflation Managed Fund was $80,900. |
See Notes to Financial Statements
C-13
PACIFIC FUNDS
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund | Selected Per Share Data | Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (1) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (2) | Expenses After Reductions (2), (3) | Net Investment Income (Loss) (2) | Total Returns (4) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| PF Floating Rate Loan Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.87 | $0.41 | ($0.66 | ) | ($0.25 | ) | ($0.48 | ) | $— | ($0.48 | ) | $9.14 | 1.02% | 0.80% | 4.21% | (2.40 | %) | $79,766 | 47 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.05 | 0.36 | (0.19 | ) | 0.17 | (0.35 | ) | (0.00 | )(5) | (0.35 | ) | 9.87 | 1.03% | 0.80% | 3.55% | 1.78 | % | 127,124 | 69 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.24 | 0.38 | (0.04 | ) | 0.34 | (0.38 | ) | (0.15 | ) | (0.53 | ) | 10.05 | 1.02% | 0.80% | 3.73% | 3.39 | % | 123,116 | 73 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.10 | 0.46 | 0.18 | 0.64 | (0.47 | ) | (0.03 | ) | (0.50 | ) | 10.24 | 1.03% | 0.80% | 4.45% | 6.40 | % | 110,204 | 94 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.12 | 0.43 | (0.06 | ) | 0.37 | (0.39 | ) | — | (0.39 | ) | 10.10 | 1.04% | 0.80% | 4.33% | 3.80 | % | 112,088 | 45 | % | |||||||||||||||||||||||||||||||
| PF Inflation Managed Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $8.80 | $0.20 | ($0.27 | ) | ($0.07 | ) | $— | $— | $— | $8.73 | 0.79% | 0.64% | 2.36% | (0.80 | %) | $52,190 | 89 | % | ||||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 8.84 | 0.06 | 0.15 | 0.21 | (0.25 | ) | — | (0.25 | ) | 8.80 | 0.68% | 0.58% | 0.68% | 2.38 | % | 126,154 | 139 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 9.73 | 0.07 | (0.78 | ) | (0.71 | ) | (0.04 | ) | (0.14 | ) | (0.18 | ) | 8.84 | 0.64% | 0.56% | 0.83% | (7.40 | %) | 185,765 | 36 | % | |||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.79 | 0.21 | 0.52 | 0.73 | (0.51 | ) | (1.28 | ) | (1.79 | ) | 9.73 | 0.69% | 0.58% | 1.95% | 6.79 | % | 164,281 | 111 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.53 | 0.31 | 0.85 | 1.16 | (0.40 | ) | (0.50 | ) | (0.90 | ) | 10.79 | 0.67% | 0.56% | 2.83% | 11.11 | % | 287,956 | 372 | % | |||||||||||||||||||||||||||||||
| PF Managed Bond Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $11.06 | $0.28 | ($0.16 | ) | $0.12 | ($0.25 | ) | ($0.36 | ) | ($0.61 | ) | $10.57 | 0.64% | 0.55% | 2.58% | 1.31 | % | $421,377 | 370 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.76 | 0.15 | 0.52 | 0.67 | (0.17 | ) | (0.20 | ) | (0.37 | ) | 11.06 | 0.63% | 0.55% | 1.37% | 6.32 | % | 643,882 | 578 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.11 | 0.13 | (0.27 | ) | (0.14 | ) | (0.15 | ) | (0.06 | ) | (0.21 | ) | 10.76 | 0.63% | 0.55% | 1.16% | (1.22 | %) | 579,753 | 530 | % | |||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.86 | 0.20 | 0.55 | 0.75 | (0.35 | ) | (0.15 | ) | (0.50 | ) | 11.11 | 0.66% | 0.56% | 1.75% | 6.85 | % | 565,285 | 495 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.75 | 0.25 | 0.15 | 0.40 | (0.29 | ) | — | (0.29 | ) | 10.86 | 0.67% | 0.55% | 2.33% | 4.02 | % | 486,215 | 519 | % | ||||||||||||||||||||||||||||||||
| PF Short Duration Bond Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.01 | $0.12 | ($0.09 | ) | $0.03 | ($0.20 | ) | $— | ($0.20 | ) | $9.84 | 0.65% | 0.55% | 1.18% | 0.35 | % | $75,899 | 98 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.05 | 0.11 | (0.02 | ) | 0.09 | (0.13 | ) | — | (0.13 | ) | 10.01 | 0.64% | 0.55% | 1.11% | 0.88 | % | 213,334 | 60 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.12 | 0.10 | (0.04 | ) | 0.06 | (0.13 | ) | — | (0.13 | ) | 10.05 | 0.64% | 0.55% | 1.02% | 0.64 | % | 229,189 | 43 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.07 | 0.11 | 0.08 | 0.19 | (0.14 | ) | (0.00 | )(5) | (0.14 | ) | 10.12 | 0.65% | 0.55% | 1.08% | 1.86 | % | 223,601 | 63 | % | |||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.04 | 0.11 | 0.05 | 0.16 | (0.12 | ) | (0.01 | ) | (0.13 | ) | 10.07 | 0.68% | 0.55% | 1.14% | 1.62 | % | 155,368 | 150 | % | |||||||||||||||||||||||||||||||
| PF Emerging Markets Debt Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $8.89 | $0.61 | ($0.35 | ) | $0.26 | ($0.01 | ) | $— | ($0.01 | ) | $9.14 | 1.07% | 0.94% | 6.91% | 2.93 | % | $108,161 | 80 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 9.69 | 0.50 | (0.95 | ) | (0.45 | ) | (0.35 | ) | — | (0.35 | ) | 8.89 | 1.08% | 0.94% | 5.20% | (4.73 | %) | 162,011 | 105 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.53 | 0.47 | (0.90 | ) | (0.43 | ) | (0.32 | ) | (0.09 | ) | (0.41 | ) | 9.69 | 1.06% | 0.94% | 4.71% | (3.92 | %) | 130,516 | 116 | % | |||||||||||||||||||||||||||||
| 6/29/2012 - 3/31/2013 | 10.00 | 0.37 | 0.46 | 0.83 | (0.27 | ) | (0.03 | ) | (0.30 | ) | 10.53 | 1.17% | 0.94% | 4.67% | 8.24 | % | 85,846 | 61 | % | |||||||||||||||||||||||||||||||
| PF Comstock Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $17.07 | $0.27 | ($1.46 | ) | ($1.19 | ) | ($0.36 | ) | ($1.86 | ) | ($2.22 | ) | $13.66 | 0.96% | 0.89% | 1.73% | (7.54 | %) | $214,771 | 16 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 17.61 | 0.22 | 1.07 | 1.29 | (0.37 | ) | (1.46 | ) | (1.83 | ) | 17.07 | 0.96% | 0.89% | 1.25% | 7.22 | % | 269,705 | 21 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 14.40 | 0.25 | 3.11 | 3.36 | (0.15 | ) | — | (0.15 | ) | 17.61 | 0.97% | 0.89% | 1.53% | 23.36 | % | 308,598 | 14 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.47 | 0.19 | 1.91 | 2.10 | (0.17 | ) | — | (0.17 | ) | 14.40 | 0.97% | 0.89% | 1.51% | 16.96 | % | 261,671 | 35 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.13 | 0.17 | 0.32 | 0.49 | (0.15 | ) | — | (0.15 | ) | 12.47 | 0.99% | 0.89% | 1.47% | 4.22 | % | 207,330 | 24 | % | ||||||||||||||||||||||||||||||||
| PF Growth Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $19.30 | $0.02 | $0.43 | $0.45 | ($0.09 | ) | ($0.84 | ) | ($0.93 | ) | $18.82 | 0.76% | 0.70% | 0.11% | 2.17 | % | $122,698 | 35 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 17.33 | 0.05 | 2.19 | 2.24 | (0.13 | ) | (0.14 | ) | (0.27 | ) | 19.30 | 0.76% | 0.70% | 0.30% | 12.96 | % | 147,893 | 39 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.93 | 0.03 | 3.47 | 3.50 | (0.10 | ) | — | (0.10 | ) | 17.33 | 0.79% | 0.70% | 0.20% | 25.15 | % | 101,285 | 76 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 13.12 | 0.08 | 0.90 | 0.98 | (0.17 | ) | — | (0.17 | ) | 13.93 | 0.86% | 0.70% | 0.63% | 7.53 | % | 48,611 | 72 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 12.42 | 0.06 | 0.71 | 0.77 | (0.07 | ) | — | (0.07 | ) | 13.12 | 0.85% | 0.70% | 0.54% | 6.26 | % | 108,340 | 84 | % | ||||||||||||||||||||||||||||||||
| PF Large-Cap Growth Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.71 | ($0.02 | ) | ($0.17 | ) | ($0.19 | ) | $— | ($1.28 | ) | ($1.28 | ) | $9.24 | 0.96% | 0.86% | (0.15%) | (2.67 | %) | $150,939 | 83 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.28 | (0.02 | ) | 1.51 | 1.49 | — | (1.06 | ) | (1.06 | ) | 10.71 | 0.96% | 0.86% | (0.16%) | 14.84 | % | 199,138 | 100 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.40 | (0.01 | ) | 2.41 | 2.40 | (0.02 | ) | (2.50 | ) | (2.52 | ) | 10.28 | 0.97% | 0.84% | (0.06%) | 23.58 | % | 172,613 | 163 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.30 | 0.03 | 0.70 | 0.73 | — | (0.63 | ) | (0.63 | ) | 10.40 | 0.99% | 0.81% | 0.31% | 7.66 | % | 142,398 | 131 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 9.23 | (0.02 | ) | 1.25 | 1.23 | — | (0.16 | ) | (0.16 | ) | 10.30 | 1.00% | 0.88% | (0.26%) | 13.65 | % | 129,222 | 76 | % | |||||||||||||||||||||||||||||||
| PF Large-Cap Value Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $16.46 | $0.23 | ($0.43 | ) | ($0.20 | ) | ($0.22 | ) | ($1.26 | ) | ($1.48 | ) | $14.78 | 0.86% | 0.80% | 1.45% | (1.29 | %) | $299,971 | 10 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 16.71 | 0.23 | 1.36 | 1.59 | (0.38 | ) | (1.46 | ) | (1.84 | ) | 16.46 | 0.86% | 0.80% | 1.37% | 9.40 | % | 344,403 | 13 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.96 | 0.36 | 2.62 | 2.98 | (0.23 | ) | — | (0.23 | ) | 16.71 | 0.86% | 0.80% | 2.33% | 21.41 | % | 380,372 | 13 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.31 | 0.23 | 1.66 | 1.89 | (0.24 | ) | — | (0.24 | ) | 13.96 | 0.87% | 0.80% | 1.80% | 15.54 | % | 324,085 | 26 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.59 | 0.22 | 0.71 | 0.93 | (0.21 | ) | — | (0.21 | ) | 12.31 | 0.89% | 0.80% | 1.96% | 8.21 | % | 262,917 | 20 | % | ||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references, if any, on C-16 |
C-14
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund | Selected Per Share Data | Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (1) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (2) | Expenses After Reductions (2), (3) | Net Investment Income (Loss) (2) | Total Returns (4) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| PF Main Street Core Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.26 | $0.17 | $0.26 | $0.43 | ($0.16 | ) | ($2.37 | ) | ($2.53 | ) | $12.16 | 0.66% | 0.60% | 1.27% | 2.87 | % | $211,675 | 50 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.85 | 0.16 | 1.51 | 1.67 | (0.14 | ) | (2.12 | ) | (2.26 | ) | 14.26 | 0.66% | 0.60% | 1.06% | 11.36 | % | 270,813 | 46 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.20 | 0.13 | 2.65 | 2.78 | (0.13 | ) | — | (0.13 | ) | 14.85 | 0.67% | 0.60% | 0.99% | 22.84 | % | 257,575 | 66 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.26 | 0.14 | 0.96 | 1.10 | (0.16 | ) | — | (0.16 | ) | 12.20 | 0.68% | 0.60% | 1.21% | 9.93 | % | 212,428 | 60 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.13 | 0.10 | 1.11 | 1.21 | (0.08 | ) | — | (0.08 | ) | 11.26 | 0.70% | 0.60% | 1.00% | 12.12 | % | 193,538 | 48 | % | ||||||||||||||||||||||||||||||||
| PF Mid-Cap Equity Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $12.15 | $0.15 | ($0.59 | ) | ($0.44 | ) | ($0.12 | ) | ($0.96 | ) | ($1.08 | ) | $10.63 | 0.86% | 0.80% | 1.34% | (3.79 | %) | $169,595 | 184 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 12.84 | 0.05 | 0.80 | 0.85 | (0.03 | ) | (1.51 | ) | (1.54 | ) | 12.15 | 0.86% | 0.80% | 0.40% | 7.44 | % | 218,141 | 172 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 11.00 | 0.04 | 2.84 | 2.88 | (0.06 | ) | (0.98 | ) | (1.04 | ) | 12.84 | 0.87% | 0.80% | 0.36% | 26.82 | % | 171,357 | 114 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.29 | 0.06 | 0.72 | 0.78 | (0.07 | ) | — | (0.07 | ) | 11.00 | 0.90% | 0.80% | 0.65% | 7.63 | % | 138,416 | 191 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.46 | 0.05 | (0.18 | ) | (0.13 | ) | (0.04 | ) | — | (0.04 | ) | 10.29 | 0.89% | 0.80% | 0.51% | (1.17 | %) | 165,168 | 102 | % | ||||||||||||||||||||||||||||||
| PF Mid-Cap Growth Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $8.71 | $0.03 | ($0.89 | ) | ($0.86 | ) | ($0.01 | ) | ($0.73 | ) | ($0.74 | ) | $7.11 | 0.91% | 0.80% | 0.32% | (10.01 | %) | $58,767 | 43 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 8.17 | 0.01 | 0.92 | 0.93 | (0.01 | ) | (0.38 | ) | (0.39 | ) | 8.71 | 0.91% | 0.80% | 0.08% | 11.57 | % | 85,989 | 35 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 8.58 | (0.01 | ) | 1.93 | 1.92 | (0.01 | ) | (2.32 | ) | (2.33 | ) | 8.17 | 0.93% | 0.83% | (0.09%) | 23.39 | % | 90,804 | 135 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 8.87 | 0.05 | (0.03 | ) | 0.02 | (0.02 | ) | (0.29 | ) | (0.31 | ) | 8.58 | 1.00% | 0.85% | 0.60% | 0.61 | % | 61,557 | 48 | % | ||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.28 | (0.02 | ) | (0.28 | ) | (0.30 | ) | (0.05 | ) | (1.06 | ) | (1.11 | ) | 8.87 | 0.98% | 0.85% | (0.21%) | (1.08 | %) | 73,586 | 27 | % | ||||||||||||||||||||||||||||
| PF Mid-Cap Value Fund (6) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 7/29/2015 - 3/31/2016 | $10.00 | $0.09 | ($0.32 | ) | ($0.23 | ) | ($0.05 | ) | $— | ($0.05 | ) | $9.72 | 0.93% | 0.93% | 1.34% | (2.30 | %) | $250,968 | 32 | % | ||||||||||||||||||||||||||||||
| PF Small-Cap Growth Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $14.80 | ($0.07 | ) | ($3.18 | ) | ($3.25 | ) | $— | ($1.75 | ) | ($1.75 | ) | $9.80 | 0.82% | 0.75% | (0.51%) | (23.59 | %) | $42,196 | 229 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 15.54 | (0.05 | ) | 1.20 | 1.15 | — | (1.89 | ) | (1.89 | ) | 14.80 | 0.82% | 0.75% | (0.35%) | 8.36 | % | 83,731 | 264 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.29 | (0.04 | ) | 2.67 | 2.63 | (0.02 | ) | (0.36 | ) | (0.38 | ) | 15.54 | 0.83% | 0.75% | (0.28%) | 19.90 | % | 59,921 | 84 | % | ||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 11.86 | 0.03 | 1.40 | 1.43 | — | — | — | 13.29 | 0.90% | 0.75% | 0.21% | 12.06 | % | 50,898 | 92 | % | ||||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.90 | (0.03 | ) | (0.01 | ) | (0.04 | ) | — | — | — | 11.86 | 0.93% | 0.75% | (0.31%) | (0.34 | %) | 36,370 | 67 | % | |||||||||||||||||||||||||||||||
| PF Small-Cap Value Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.45 | $0.03 | ($0.27 | ) | ($0.24 | ) | ($0.01 | ) | ($0.06 | ) | ($0.07 | ) | $10.14 | 0.96% | 0.90% | 0.33% | (2.29 | %) | $199,324 | 55 | % | |||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 13.55 | 0.07 | 1.17 | 1.24 | (0.14 | ) | (4.20 | ) | (4.34 | ) | 10.45 | 0.96% | 0.90% | 0.55% | 11.55 | % | 145,801 | 140 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 12.15 | 0.20 | 1.98 | 2.18 | (0.16 | ) | (0.62 | ) | (0.78 | ) | 13.55 | 0.97% | 0.90% | 1.52% | 18.13 | % | 147,702 | 41 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 10.58 | 0.22 | 1.52 | 1.74 | (0.17 | ) | — | (0.17 | ) | 12.15 | 1.00% | 0.90% | 2.08% | 16.72 | % | 125,647 | 38 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 10.60 | 0.16 | (0.05 | ) | 0.11 | (0.13 | ) | — | (0.13 | ) | 10.58 | 1.02% | 0.90% | 1.59% | 1.19 | % | 86,152 | 21 | % | |||||||||||||||||||||||||||||||
| PF Emerging Markets Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $13.58 | $0.10 | ($1.47 | ) | ($1.37 | ) | ($0.12 | ) | $— | ($0.12 | ) | $12.09 | 1.23% | 0.95% | 0.84% | (10.09 | %) | $118,049 | 65 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.75 | 0.12 | (0.71 | ) | (0.59 | ) | (0.19 | ) | (0.39 | ) | (0.58 | ) | 13.58 | 1.23% | 0.95% | 0.81% | (4.15 | %) | 138,242 | 40 | % | |||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 14.22 | 0.09 | 0.83 | 0.92 | (0.10 | ) | (0.29 | ) | (0.39 | ) | 14.75 | 1.27% | 0.95% | 0.59% | 6.43 | % | 153,333 | 31 | % | |||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 13.55 | 0.08 | 0.68 | 0.76 | (0.09 | ) | — | (0.09 | ) | 14.22 | 1.36% | 0.95% | 0.62% | 5.60 | % | 110,810 | 40 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 14.68 | 0.14 | (0.95 | ) | (0.81 | ) | (0.07 | ) | (0.25 | ) | (0.32 | ) | 13.55 | 1.49% | 0.95% | 1.09% | (5.15 | %) | 85,483 | 30 | % | |||||||||||||||||||||||||||||
| PF International Large-Cap Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $18.50 | $0.20 | ($1.85 | ) | ($1.65 | ) | ($0.16 | ) | $— | ($0.16 | ) | $16.69 | 1.10% | 1.00% | 1.17% | (8.93 | %) | $289,863 | 24 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 18.46 | 0.29 | 0.01 | 0.30 | (0.26 | ) | — | (0.26 | ) | 18.50 | 1.10% | 1.00% | 1.56% | 1.70 | % | 220,898 | 41 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 16.48 | 0.22 | 1.97 | 2.19 | (0.21 | ) | — | (0.21 | ) | 18.46 | 1.10% | 1.00% | 1.23% | 13.28 | % | 240,522 | 14 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 15.12 | 0.23 | 1.40 | 1.63 | (0.27 | ) | — | (0.27 | ) | 16.48 | 1.13% | 1.00% | 1.55% | 10.88 | % | 198,963 | 28 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 15.37 | 0.22 | (0.30 | ) | (0.08 | ) | (0.17 | ) | — | (0.17 | ) | 15.12 | 1.17% | 1.00% | 1.52% | (0.32 | %) | 203,944 | 24 | % | ||||||||||||||||||||||||||||||
| PF International Small-Cap Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.69 | $0.15 | ($0.12 | ) | $0.03 | ($0.32 | ) | ($0.13 | ) | ($0.45 | ) | $10.27 | 1.11% | 1.08% | 1.37% | 0.22 | % | $118,558 | 51 | % | ||||||||||||||||||||||||||||||
| 1/14/2015 - 3/31/2015 | 10.00 | 0.03 | 0.66 | 0.69 | — | — | — | 10.69 | 1.24% | 1.08% | 1.34% | 6.90 | % | 127,493 | 8 | % | ||||||||||||||||||||||||||||||||||
| PF International Value Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.51 | $0.16 | ($1.19 | ) | ($1.03 | ) | ($0.13 | ) | $— | ($0.13 | ) | $8.35 | 0.92% | 0.80% | 1.80% | (10.87 | %) | $140,760 | 73 | % | ||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 10.33 | 0.22 | (0.65 | ) | (0.43 | ) | (0.39 | ) | — | (0.39 | ) | 9.51 | 0.91% | 0.80% | 2.19% | (4.07 | %) | 142,653 | 87 | % | ||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 9.10 | 0.39 | 1.08 | 1.47 | (0.24 | ) | — | (0.24 | ) | 10.33 | 0.91% | 0.80% | 3.89% | 16.15 | % | 176,541 | 54 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 8.62 | 0.20 | 0.51 | 0.71 | (0.23 | ) | — | (0.23 | ) | 9.10 | 0.94% | 0.80% | 2.30% | 8.26 | % | 146,550 | 66 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 9.51 | 0.26 | (0.89 | ) | (0.63 | ) | (0.26 | ) | — | (0.26 | ) | 8.62 | 1.02% | 0.80% | 3.06% | (6.20 | %) | 111,119 | 63 | % | ||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references, if any, on C-16 |
C-15
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Selected per share, ratios and supplemental data for each year or period ended March 31, were as follows:
| Fund | Selected Per Share Data | Ratios to Average Net Assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||
| Investment Operations | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||
| For the Year or Period Ended |
Net Asset Value, Beginning of Year or Period |
Net Investment Income (Loss) (1) | Net Realized and Unrealized Gain (Loss) |
Total | Net Investment Income | Capital Gains | Total | Net Asset Value, End of Year or Period |
Expenses Before Reductions (2) | Expenses After Reductions (2), (3) | Net Investment Income (Loss) (2) | Total Returns (4) | Net Assets, End of Year or Period (in thousands) |
Portfolio Turnover Rates | ||||||||||||||||||||||||||||||||||||
| PF Real Estate Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $16.87 | $0.36 | $0.15 | $0.51 | ($0.23 | ) | ($1.16 | ) | ($1.39 | ) | $15.99 | 1.12% | 1.05% | 2.33% | 3.61 | % | $70,717 | 26 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 14.19 | 0.22 | 3.11 | 3.33 | (0.31 | ) | (0.34) | (0.65 | ) | 16.87 | 1.11% | 1.05% | 1.41% | 23.69 | % | 49,486 | 34 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 13.67 | 0.21 | 0.54 | 0.75 | (0.23 | ) | — | (0.23 | ) | 14.19 | 1.12% | 1.05% | 1.52% | 5.61 | % | 73,828 | 18 | % | ||||||||||||||||||||||||||||||||
| 4/1/2012 - 3/31/2013 | 12.59 | 0.17 | 1.08 | 1.25 | (0.17 | ) | — | (0.17 | ) | 13.67 | 1.16% | 1.05% | 1.35% | 9.98 | % | 60,138 | 23 | % | ||||||||||||||||||||||||||||||||
| 4/1/2011 - 3/31/2012 | 11.46 | 0.13 | 1.08 | 1.21 | (0.08 | ) | — | (0.08 | ) | 12.59 | 1.18% | 1.05% | 1.13% | 10.62 | % | 52,679 | 24 | % | ||||||||||||||||||||||||||||||||
| PF Absolute Return Fund (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/27/2015 - 3/31/2016 | $10.00 | $0.08 | ($0.80) | ($0.72) | ($0.15 | ) | $— | ($0.15 | ) | $9.13 | 1.11% | 1.11% | 0.91% | (7.59 | %) | $68,898 | 219 | % | ||||||||||||||||||||||||||||||||
| PF Currency Strategies Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $9.92 | ($0.08 | ) | $0.11 | $0.03 | ($0.20 | ) | $— | ($0.20 | ) | $9.75 | 0.86% | 0.86% | (0.78%) | 0.35 | % | 127,251 | 82 | % | |||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 9.41 | (0.07 | ) | 0.79 | 0.72 | (0.21 | ) | — | (0.21 | ) | 9.92 | 0.86% | 0.86% | (0.76%) | 7.69 | % | 187,572 | 141 | % | |||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.32 | (0.07 | ) | (0.52 | ) | (0.59 | ) | (0.32 | ) | — | (0.32 | ) | 9.41 | 0.89% | 0.85% | (0.68%) | (5.98 | %) | 131,023 | 49 | % | |||||||||||||||||||||||||||||
| 12/7/2012 - 3/31/2013 | 10.00 | (0.02 | ) | 0.34 | 0.32 | — | — | — | 10.32 | 0.94% | 0.85% | (0.69%) | 3.20 | % | 118,643 | 49 | % | |||||||||||||||||||||||||||||||||
| PF Equity Long/Short Fund (7) |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/27/2015 - 3/31/2016 | $10.00 | ($0.12) | $2.09 | $1.97 | ($1.66 | ) | $— | ($1.66 | ) | $10.31 | 1.42% | 1.27% | (1.21%) | 20.01 | % | $167,587 | 0 | % | ||||||||||||||||||||||||||||||||
| PF Global Absolute Return Fund |
|
|||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2015 - 3/31/2016 | $10.03 | $0.47 | ($0.61) | ($0.14) | ($0.85 | ) | $— | ($0.85 | ) | $9.04 | 1.17% | 1.08% | 4.87% | (1.46 | %) | $131,774 | 127 | % | ||||||||||||||||||||||||||||||||
| 4/1/2014 - 3/31/2015 | 9.69 | 0.48 | 0.39 | 0.87 | (0.53 | ) | — | (0.53 | ) | 10.03 | 1.21% | 1.10% | 4.82% | 9.13 | % | 177,656 | 132 | % | ||||||||||||||||||||||||||||||||
| 4/1/2013 - 3/31/2014 | 10.19 | 0.36 | (0.65 | ) | (0.29 | ) | (0.20 | ) | (0.01 | ) | (0.21 | ) | 9.69 | 1.36% | 1.18% | 3.64% | (2.80 | %) | 198,360 | 115 | % | |||||||||||||||||||||||||||||
| 12/7/2012 - 3/31/2013 | 10.00 | 0.07 | 0.13 | 0.20 | (0.01 | ) | — | (0.01 | ) | 10.19 | 1.20% | 1.06% | 2.25% | 1.96 | % | 171,925 | 38 | % | ||||||||||||||||||||||||||||||||
| (1) | Net investment income (loss) per share has been calculated using the average shares method. |
| (2) | The ratios are annualized for periods of less than one full year. |
| (3) | The ratios of expenses after expense reductions to average net assets are after advisory fee waivers and adviser expense reimbursements, if any, as discussed in Note 6 and Note 7B, respectively, in Notes to the Financial Statements. |
| (4) | The total returns include reinvestment of all dividends and capital gains distributions, if any. Total returns are not annualized for periods less than one full year. |
| (5) | Reflects an amount rounding to less than $0.01 per share. |
| (6) | PF Mid-Cap Value Fund commenced operations on July 29, 2015. |
| (7) | PF Absolute Return and PF Equity Long/Short Funds commenced operations on April 27, 2015. |
| See Notes to Financial Statements |
C-16
PACIFIC FUNDS
1. ORGANIZATION
Pacific Funds Series Trust (which may be referred to as “Pacific Funds” or the “Trust”) is registered under the Investment Company Act of 1940 (“1940 Act”), as amended, as an open-end, management investment company and is organized as a Delaware statutory trust. Pacific Life Fund Advisors LLC (“PLFA” or “Investment Adviser”) serves as investment adviser to the Trust. As of March 31, 2016, the Trust was comprised of forty-two separate funds, twenty-four of which are presented in these financial statements (each individually a “Fund”, and collectively the “Funds”):
|
Fund* | ||||
| PF Floating Rate Loan Fund | PF Large-Cap Value Fund | PF International Large-Cap Fund | ||
| PF Inflation Managed Fund | PF Main Street® Core Fund | PF International Small-Cap Fund | ||
| PF Managed Bond Fund | PF Mid-Cap Equity Fund | PF International Value Fund | ||
| PF Short Duration Bond Fund | PF Mid-Cap Growth Fund | PF Real Estate Fund | ||
| PF Emerging Markets Debt Fund | PF Mid-Cap Value Fund | PF Absolute Return Fund | ||
| PF Comstock Fund | PF Small-Cap Growth Fund | PF Currency Strategies Fund | ||
| PF Growth Fund | PF Small-Cap Value Fund | PF Equity Long/Short Fund | ||
| PF Large-Cap Growth Fund | PF Emerging Markets Fund | PF Global Absolute Return Fund | ||
| * | These Funds are collectively known as the “PF Underlying Funds”. |
The PF Underlying Funds offer Class P shares only, which are sold at net asset value. Presently, only the following Funds, the Adviser, and certain of its affiliates can invest in Class P shares of the PF Underlying Funds, Pacific FundsSM Floating Rate Income, Pacific FundsSM Core Income, and Pacific FundsSM High Income.
| Fund | ||
| Pacific FundsSM Portfolio Optimization Conservative** | Pacific FundsSM Portfolio Optimization Growth** | |
| Pacific FundsSM Portfolio Optimization Moderate-Conservative** | Pacific FundsSM Portfolio Optimization Aggressive-Growth** | |
| Pacific FundsSM Portfolio Optimization Moderate** | Pacific FundsSM Diversified Alternatives | |
| ** | These Funds are collectively known as the “Portfolio Optimization Funds”. |
There is a separate annual report containing the financial statements for the Portfolio Optimization Funds, Pacific Funds Diversified Alternatives, Pacific Funds Floating Rate Income, Pacific Funds Core Income, and Pacific Funds High Income, which is available without charge. For information on how to obtain the annual report for the Portfolio Optimization Funds, Pacific Funds Diversified Alternatives, Pacific Funds Floating Rate Income, Pacific Funds Core Income, and Pacific Funds High Income, see the Where to Go for More Information section of this report on page F-20.
On April 27, 2015, the PF Precious Metals Fund was liquidated pursuant to a plan of liquidation approved by the Trust’s Board of Trustees. Because the PF Precious Metals Fund was liquidated prior to March 31, 2016, no financial information is presented in this report.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of the significant accounting policies followed by the Trust in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America (United States Generally Accepted Accounting Principles, or “U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. Each Fund qualifies as an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to the Investment Companies Topic of U.S. GAAP.
Effective April 1, 2015, the Trust implemented Accounting Standards Update (“ASU”) No. 2014-11 issued by the Financial Accounting Standards Board (“FASB”). The ASU requires two new disclosures. The first disclosure requires an entity to disclose information on transfers accounted for as sales in transactions that are economically similar to repurchase agreements. The second disclosure provides increased transparency about the types of collateral pledged in repurchase agreements and repurchase-to-maturity transactions accounted for as secured borrowings (see required disclosure in Note 10).
A. INVESTMENT TRANSACTIONS AND INCOME
Investment transactions are recorded on a trade date basis. Securities purchased or sold on a when-issued or delayed-delivery basis as well as certain loan transactions and mortgage securities (such as Government National Mortgage Association (“GNMA”) securities) may be settled a month or more after the trade date. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities, which are recorded as soon as a Fund is informed of the ex-dividend date or upon receipt of the dividend. A Fund’s estimated components of distributions received from real estate investment trusts may be considered income, return of capital distributions or capital gains distributions. Return of capital distributions are recorded as a reduction of cost of the related investments. Interest income, adjusted for amortization of premium and accretion of discount, is recorded daily on an accrual basis. Investment income is recorded net of foreign taxes withheld, if any. A Fund may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. A Fund will accrue such taxes and reclaims as applicable, based upon the current interpretation of tax rules and regulations that exist in the markets in
D-1
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
which that Fund invests. Facility fees and other fees (such as origination fees) received from floating rate senior loan notes purchased (see Note 4) by a Fund are amortized over the expected term of each applicable senior loan. Commitment fees received by a Fund relating to unfunded senior loan commitments are amortized to income over the period of the commitment. Consent fees, which are compensation for agreeing to changes in the terms of debt instruments, are recorded as interest income when received. Realized gains and losses from investment transactions are recorded on the basis of identified cost. Gains and losses realized on principal paydowns from mortgage-backed and asset-backed securities are recorded as interest income. Litigation settlements on securities that were previously held are recorded as realized gains on investment securities.
B. DISTRIBUTIONS TO SHAREHOLDERS
Each Fund presented in these financial statements distributes all of its net investment income and realized capital gains, if any, to shareholders at least annually, although distributions could occur more often if advantageous to the applicable Fund and its shareholders. Dividends and distributions paid to shareholders are recorded on the ex-dividend date.
C. FOREIGN CURRENCY TRANSLATION
The Trust’s accounting records are maintained in U.S. dollars. The market value of investments and other assets and liabilities, which are denominated in non-U.S. currencies, are translated into U.S. dollars based on the applicable exchange rates at the end of each business day. Purchases and sales of investments and income and expenses, denominated in foreign currencies, are translated into U.S. dollars at the exchange rates in effect on the transaction date.
None of the Funds separately report the effect of changes in foreign exchange rates from changes in market prices of investments held. Such changes are included with the net realized gain or loss and change in net unrealized appreciation or depreciation on investments. Other foreign currency transactions resulting in realized and unrealized gain or loss, if any, are reported separately as net realized gain or loss on foreign currency transactions and change in net unrealized appreciation or depreciation on foreign currencies.
D. ALLOCATION OF INCOME, EXPENSES, GAINS AND LOSSES
Certain Trust expenses directly attributable to a particular Fund are charged to that Fund (such as fund-specific transactional fees, proxies, liquidations, litigation, and organizational/start-up costs). Generally, other Trust expenses are allocated proportionately among all the Funds in relation to the net assets of each Fund.
E. OFFERING COSTS
A new Fund bears all costs (or the applicable pro-rata share if there is more than one new Fund) associated with the offering expenses of the Fund, including legal, printing, and support services (see Notes 6 and 7A). All such costs are amortized as an expense of the new Fund on a straight-line basis over twelve months from commencement of operations.
3. VALUATION AND FAIR VALUE MEASUREMENTS
A. VALUATION POLICY
The Trust’s Board of Trustees (the “Board”) has adopted a policy (“Valuation Policy”) for determining the value of the Trust’s investments each business day. Under the Valuation Policy, the Board has delegated certain functions to the Trustee Valuation Committee (“TVC”) and/or the Valuation Oversight Committee (“VOC”) or its delegate to determine the fair value of certain investments, which includes using third party pricing services. Each valuation committee that values the Funds’ investments does so in accordance with the Valuation Policy. Notes 3B and 3C below describe in greater detail the methodologies used to value each Fund’s investments.
B. NET ASSET VALUE
Each Fund presented in these financial statements is divided into shares. The price per share of a Fund’s shares is called the net asset value (“NAV”). The NAV forms the basis for all transactions involving buying, selling, exchanging or reinvesting shares. Each Fund’s NAV is calculated by taking the total value of a Fund’s assets, subtracting a Fund’s liabilities, and dividing by the total number of shares outstanding.
Each Fund’s NAV is calculated once per day, every day the New York Stock Exchange (“NYSE”) is open, including days when foreign markets and/or bond markets are closed. For purposes of calculating the NAV, the value of investments held by each Fund is generally determined as of the scheduled closing time of the NYSE, which is usually 4:00 p.m. Eastern Time. Information that becomes known to the Trust or its agents after the scheduled close of the NYSE on a particular day will not normally be used to retroactively adjust the price of an investment for that same business day. Such information may include late dividend notifications, legal or regulatory matters, corporate actions, and corrected/adjusted last sales prices or official closing prices from an exchange.
Each Fund’s NAV will not be calculated on days when the NYSE is closed. There may be a delay in calculating the NAV if: (i) the NYSE is closed on a day other than a regular holiday or weekend, (ii) trading on the NYSE is restricted, (iii) an emergency exists (as determined by the U.S. Securities and Exchange Commission (“SEC”)), making the sale of investments or determinations of NAV not practicable, or (iv) the SEC permits a delay for the protection of shareholders.
Certain Funds may hold investments that are primarily listed on foreign exchanges. Because those investments trade on weekends and other days when the Funds do not calculate their NAVs, the value of those investments may change on days when a shareholder will not be able to purchase or redeem shares of those Funds.
C. INVESTMENT VALUATION
The value of each security or other investment is the amount which a Fund might reasonably expect to receive for the investment upon its current sale in the ordinary course of business. For purposes of calculating the NAV, the value of investments held by each Fund is based primarily on pricing data obtained from various sources approved by the Board.
D-2
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Domestic Equity Investments
For domestic equity investments (including exchange-traded funds), the Trust generally uses the official closing price or last reported sale price from an exchange as of the scheduled closing time of the NYSE and does not normally take into account trading, clearances or settlements that take place after the scheduled close of the NYSE. Investments for which no official closing price or last reported sales price are reported are generally valued at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers.
Foreign Equity Investments
For foreign equity investments, the Trust generally uses the official closing price or last reported sale price from the principal foreign exchanges, which may be earlier than the scheduled close of the NYSE. The Trust then may adjust for market events occurring between the close of certain foreign exchanges and the scheduled close of the NYSE. The Trust has retained an independent statistical analysis service approved by the Board to assist in determining the value of certain foreign equity investments. This service utilizes proprietary computer models based on historical performance of markets and other considerations to determine adjustments for market events. Quotations of foreign investments in foreign currencies and those valued using forward currency rates are converted into U.S. dollar equivalents using a foreign exchange quotation from an approved source.
Exchange Traded Futures, Options, and Swaps
Exchange traded futures, options, and swaps are generally valued using the settlement price determined by the relevant exchange. Exchange traded futures, options, and swaps for which no settlement price is reported, are generally valued at the mean between the most recent bid and ask prices obtained from approved pricing services, established market makers, or from broker-dealers.
Over-the-Counter (“OTC”) Investments
OTC investments (including swaps and options) are generally valued by approved pricing services that use evaluated prices from various observable market and other factors. Certain OTC swap agreements are generally valued using industry pricing models, broker quotes or other methodologies pursuant to the Valuation Policy. Forward foreign currency contracts are generally valued using the mean between broker-dealer bid and ask quotations, and foreign currency exchange rates gathered from leading market makers.
Domestic and Foreign Debt Investments
Debt investments are generally valued using the mean between bid and ask prices provided by approved pricing and quotation services, which are based upon evaluated prices determined from various observable market and other factors. Certain debt investments are valued by using a benchmark, matrix, or other pricing methodology approved pursuant to the Valuation Policy.
Investments in Other Investment Companies
Fund investments in other investment companies are valued at their respective NAVs.
Investment Values Determined by a Valuation Committee
The Trust’s Valuation Policy includes methodologies approved for valuing investments in circumstances where market quotations are not readily available. In such circumstances, the Valuation Policy provides that the value of such investments may be determined in accordance with Board approved formulas and methodologies (“Alternate Valuation Methodologies”). Under the Valuation Policy these Alternate Valuation Methodologies may include, among others, amortized cost, the use of broker quotes, the use of purchase prices, and benchmark and matrix pricing. In the event market quotations or Alternate Valuation Methodologies are not readily available or are determined to be unreliable, the value of the investments will be determined in good faith by the TVC, or determined by the VOC or its delegate pursuant to the Valuation Policy and then subsequently submitted for approval or ratification to either the TVC or the Board. Valuations determined by the TVC or the VOC or its delegate may require subjective inputs about the value of such investments. While these valuations are intended to estimate the value a Fund might reasonably expect to receive upon the current sale of the investments in the ordinary course of business, such values may differ from the value that a Fund would actually realize if the investments were sold or values that would be obtained if a different valuation methodology had been used.
Market quotations are considered not readily available if: (i) the market quotations received are deemed unreliable or inaccurate, (ii) approved pricing services do not provide a valuation for a particular investment, or (iii) material events occur after the close of the principal market for a particular investment but prior to the scheduled close of the NYSE.
D. FAIR VALUE MEASUREMENTS AND DISCLOSURES
The Trust characterizes its investments as Level 1, Level 2 or Level 3 based upon the various inputs or methodologies used to value the investments. Under the Valuation Policy, the VOC determines the level in which each investment is characterized. The VOC includes investment, legal, and compliance members of the Trust’s Investment Adviser, accounting members of the Trust’s Administrator (see Note 6), and the Trust’s Chief Compliance Officer (“CCO”). The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
| • Level 1 - | Quoted prices (unadjusted) in active markets for identical investments |
| • Level 2 - | Significant observable market-based inputs, other than Level 1 quoted prices, or unobservable inputs that are corroborated by market data |
| • Level 3 - | Significant unobservable inputs that are not corroborated by observable market data |
The VOC reviews the Valuation Policy periodically (at least annually) to determine the appropriateness of the pricing methodologies used to value each Fund’s investments. The VOC also periodically evaluates how the Trust’s investments are characterized within the three-tier hierarchy and the appropriateness of third party pricing sources. The VOC also periodically (at least annually) conducts back-testing of the value of various Level 2 and Level 3 investments to evaluate the effectiveness of the pricing methodologies including the unobservable inputs used to
D-3
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
value those investments. Such back-testing includes comparing Level 2 and Level 3 investment values to subsequently available exchange-traded prices, transaction prices, and/or observable vendor prices. All changes to the Valuation Policy are reported to the Board on a quarterly basis with material changes, as determined by the Trust’s CCO, requiring approval by the Board.
The inputs or methodologies used for characterizing each Fund’s investments within the three-tier hierarchy are not necessarily an indication of the relative risks associated with investing in those investments. Foreign equity investments that are valued with the assistance of a statistical research service approved by the Board and based on significant observable inputs (as described in Note 3C) are reflected as Level 2. Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. Transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the end of the reporting period. A summary of each Fund’s investments as of March 31, 2016, as categorized under the three-tier hierarchy of inputs, can be found in the Notes to Schedule of Investments section of each Fund’s Schedule of Investments.
The following is a description of valuation inputs and techniques that the Trust currently utilizes to fair value each major category of assets and liabilities:
Equity Securities (Common and Preferred Stock) and Mutual Funds
Equity securities (foreign or domestic) that are actively traded on a securities exchange are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to these securities, they are categorized as Level 1. Equity securities traded on inactive markets and certain foreign equity securities are fair valued using significant other observable inputs which include broker-dealer quotes, recently executed transactions adjusted for changes in the benchmark index, or evaluated price quotes received from pricing vendors that take into account the integrity of the market sector and issuer, the individual characteristics of the security, and information received from broker-dealers and other market sources pertaining to the issuer or security. To the extent that these inputs are observable and timely, the fair values of these securities would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Investments in registered mutual funds, including affiliated registered mutual funds, are valued at their respective NAV and are categorized as Level 1.
U.S. Treasury Obligations
U.S. Treasuries are fair valued based on pricing models that evaluate the mean between the most recently published bid and ask price from market data sources. The models also take into consideration yield curves and data received from active market makers and inter-dealer brokers. Yield curves change daily in response to market conditions and are generally obtained from the new issue market and broker-dealer sources. To the extent that these inputs are observable and timely, the fair values of U.S. Treasury obligations would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Mortgage-Backed Securities and Asset-Backed Securities
Mortgage-backed securities, including government sponsored enterprises, are fair valued using pricing models based on inputs that include issuer type, coupon, and cash flows, mortgage prepayment projection tables and adjustable rate mortgage evaluations that incorporate index data, periodic and life caps, the next coupon reset date, and the convertibility of the bond. To the extent that these inputs are observable and timely, the fair values of mortgage-backed securities would be categorized as Level 2; otherwise the fair value would be categorized as Level 3.
Asset-backed securities and collateralized mortgage obligations are fair valued using pricing models based on a security’s average life volatility. The models also take into account tranche characteristics such as coupon average life, collateral types, ratings, the issuer and tranche type, underlying collateral and performance of the collateral, and discount margin for certain floating rate issues. To the extent that these inputs are observable and timely, the fair values of asset-backed securities and collateralized mortgage obligations would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Municipal Bonds
Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Foreign Government Bonds and Notes
Foreign government bonds and notes are fair valued based on discounted cash flow models that incorporate option adjusted spreads along with benchmark curves and credit spreads. In addition, international bond markets are monitored daily for information pertaining to the issuer and/or the specific issue. To the extent that these inputs are observable and timely, the fair values of foreign government bonds and notes would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Corporate Bonds and Notes and U.S. Government Agency Issues
Corporate bonds held by a Fund are generally comprised of two main categories: investment grade bonds and high yield bonds. Investment grade bonds are reported at fair value using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer or comparable issuers, issuer credit information, and option-adjusted spread models where applicable. Fair values for high yield bonds are based primarily on broker-dealer quotations from relevant market makers and recently executed transactions in securities of the issuer or comparable issuers. The broker-dealer quotations received are supported by credit analysis of the issuer that takes into consideration credit quality assessments, daily trading activity, and the activity of the underlying equities, listed bonds, and sector-specific trends. To the extent that these inputs are observable and timely, the fair values of corporate bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
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U.S. Government Agency Issues are reported at fair value using various inputs and techniques, which include broker-dealer quotations, live trading levels, recently executed transactions in securities of the issuer, issuer credit information, and option-adjusted spread models where applicable. To the extent that these inputs are observable and timely, the fair values of U.S. Government Agency Issues would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Futures Contracts
Futures contracts and options on futures contracts that are actively traded on commodity exchanges are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Option Contracts
Exchange listed option contracts that are actively traded on securities exchanges are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to exchange listed option contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed option contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. OTC option contracts are fair valued based on either broker-dealer quotations or pricing models that incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC option contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Forward Foreign Currency Contracts
Forward foreign currency contracts are fair valued using various inputs and techniques, which include broker-dealer quotations and foreign currency exchange rates gathered from leading market makers. To the extent that these inputs are observable and timely, the fair values of forward foreign currency contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Forward Bond Contracts
Forward bond contracts are generally valued based on the current price of the underlying bond as provided by a third party pricing service and current interest rates. To the extent that these inputs are observable and timely, the fair values of forward bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Swap Agreements
Interest Rate Swaps – Interest rate swaps that are actively traded and cleared on a securities exchange or swap execution facility are fair valued based on quoted prices from the applicable exchange and are categorized as Level 2. Interest rate swaps traded over-the-counter are fair valued using pricing models that are based on real-time snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Credit Default Swaps – Credit default swaps that are actively traded and cleared on a securities exchange or swap execution facility are fair valued based on quoted prices from the applicable exchange and are categorized as Level 2. Credit default swaps traded over-the-counter are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Total Return Swaps – Total return swaps that are actively traded and cleared on a securities exchange or swap execution facility are fair valued based on quoted prices from the applicable exchange and are categorized as Level 2. Total Return swaps traded over-the-counter are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Total Return Basket Swaps – The value of total return basket swaps are derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. To the extent that these inputs are observable and timely, the fair values of total return basket swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Volatility Swaps – Volatility swaps traded over-the-counter are fair valued using pricing models that are based on real-time snap shots of relevant discount interest rate curves, volatility inputs, and present value, which are observable from the market and built using the most actively traded securities for a given maturity. In addition, market data pertaining to volatility swaps are monitored regularly to ensure that volatility rates are properly depicting the current volatility rate. To the extent that these inputs are observable and timely, the fair values of volatility swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Senior Loan Notes
Floating rate senior loan notes (“Senior Loans”) are fair valued based on a quoted price received from a single broker-dealer or an average of quoted prices received from multiple broker-dealers or valued relative to other benchmark securities when broker-dealer quotes are unavailable.
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To the extent that these inputs are observable, the fair values of Senior Loans would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Credit-Oriented Investments
For non-publicly traded instruments that represent debt to the Trust, the carrying amount approximates fair value due to the relatively short-term maturity of these financial instruments. The Trust may use market transactions for identical or similar instruments or a market yield approach, which utilizes expected future cash flows that are discounted using estimated current market rates. Discounted cash flow calculations may be adjusted to reflect current market conditions and/or the perceived credit risk of each Fund as applicable. Consideration may also include an evaluation of collateral. To the extent that these inputs are observable and timely, the fair values for credit-oriented investments are categorized as Level 2; otherwise the fair values would be categorized as Level 3.
4. INVESTMENTS AND RISKS
General Investment Risks
An investment in each Fund represents an indirect investment in the assets owned by that Fund. As with any mutual fund, the value of the assets owned by each Fund may move up or down, and as a result, an investment in a Fund at any point in time may be worth more or less than the original amount invested.
A Fund’s transactions in listed securities are settled/paid for upon delivery to or from their counterparties; therefore, the risk of counterparty default for listed securities is considered minimal, as delivery of securities sold is only made once a Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligations.
Market and Regulatory Risks
Events in the financial markets and economy may cause volatility and uncertainty and affect Fund performance. Market events may affect a single issuer, industry, sector, or the market as a whole. In addition, because of interdependencies between markets, events in one market may adversely impact other markets or issuers in which a Fund invests in unforeseen ways. Traditionally liquid investments may experience periods of diminished liquidity. During a general downturn in the financial markets, multiple asset classes may decline in value and a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests. Governmental and regulatory actions, including tax law changes, may also impair Fund management and have unexpected or adverse consequences on particular markets, strategies, or investments. Future market or regulatory events may impact a Fund in unforeseen ways, such as causing the Fund to alter its existing strategies or potentially, to liquidate and close.
Equity Investments
Stock markets are volatile. Equity investments tend to go up or down in value, sometimes rapidly and unpredictably, in response to many factors, including a company’s historical and prospective earnings, the value of its assets, general economic conditions, interest rates, investor perceptions and market liquidity. Due to the complexities of markets, events in one market or sector may adversely impact other markets or sectors.
Debt Investments
Debt investments are subject to many risks, including, but not limited to, interest rate risk, credit risk, market and regulatory risk, price volatility, and liquidity risk, which may affect their value. There is a risk that an issuer or guarantor of a debt investment might be unable or unwilling to meet its financial obligations and might not make interest or principal payments on an instrument when those payments are due (“default”). Defaults may potentially reduce a Fund’s income or ability to recover amounts due and may reduce the value of the debt investment, sometimes dramatically. High yield/high risk or “junk” securities may be more volatile than higher rated securities. High yield/high risk securities (including loans) are typically issued by companies that are highly leveraged, less creditworthy or financially distressed and are considered to be mostly speculative in nature (high risk), subject to greater liquidity risk, and subject to a greater risk of default than higher rated securities, especially during periods of economic uncertainty or during economic downturns. Debt investments, including bonds, fixed rate loans, and short-term instruments may be affected by changes in interest rates. Debt investments with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt investments with shorter durations or floating or adjustable interest rates. The value of debt investments may fall when interest rates rise. Certain debt investments may be difficult to value, purchase, and sell, particularly during adverse market conditions, because there is a limited market for the investment or there are restrictions on resale.
Given the historically low interest rate environment in the U.S., risks associated with rising interest rates are heightened. The negative impact on debt investments from potential interest rate increases could be swift and significant, including falling market values, increased redemptions and reduced liquidity. Substantial redemptions from bond and other income funds may worsen that impact. Additionally, regulations applicable to and changing business practices of broker-dealers that make markets in debt investments may result in those broker-dealers restricting their market making activities for certain debt investments, which may reduce the liquidity and increase the volatility of such debt investments.
Certain asset-backed instruments, such as collateralized debt obligations, collateralized mortgage obligations and other mortgage-related securities, structured investment vehicles, and other debt investments may have exposure to subprime loans or subprime mortgages, which are loans to persons with lower credit ratings. These instruments may present credit risk that is not transparent and that is greater than indicated by their ratings. The value of these instruments may be more acutely affected by downturns in the credit markets or the real estate market than certain other investments, and it may be difficult to value these instruments because of a thin secondary market.
Foreign and Emerging Markets Investments
Exposure to foreign markets can involve additional risks relating to market, economic, political, regulatory, geopolitical, or other conditions. These factors can make foreign investments more volatile and less liquid than U.S. investments. In addition, foreign markets can react
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differently to these conditions than the U.S. market. Markets and economies throughout the world are becoming increasingly interconnected, and conditions or events in one market, country or region may adversely impact investments or issuers in another market, country or region. Investments in or exposure to investments in emerging market countries may be riskier than investments in or exposure to investments in U.S. and certain developed markets.
The countries listed in the Schedules of Investments for individual investment holdings (each a “Holding”) are each considered the country of risk to which a Holding, and therefore the Fund, is exposed. Each Holding’s country of risk is obtained from a third-party source that uses factors such as reporting currency, sales/revenue and location of management of the Holding’s issuer to determine country of risk. The country of risk may not be exclusive, however, as there may be other countries of risk to which a Holding is exposed that are not disclosed, although the country identified is expected to be the primary country of risk for that Holding. A Holding is generally subject to greater country risk based on where it conducts business or is economically tied to rather than where it is formed or incorporated. Foreign markets risks may include currency risk, market and regulatory risk, liquidity risk, emerging markets risk and geographic focus risk, among other risks.
As of March 31, 2016, the PF Emerging Markets Fund held 83,570 Argentine Peso ($5,702 USD equivalent) restricted foreign cash, which represents cash deposits in Argentina required for entities engaging in activities in Argentina. The Trust has been advised that such cash cannot be withdrawn without the written approval of the Banco Central de la Republica Argentina (“Central Bank of Argentina”) and that, as of March 31, 2016, the Central Bank of Argentina is not providing written approval to withdraw cash for entities not domiciled in Argentina.
Senior Loan Participations and Assignments
Certain Funds may invest in Senior Loans of domestic or foreign corporations, partnerships and other entities (“Borrowers”), the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates. Senior Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, London Interbank Offered Rates (“LIBOR”) or certificates of deposit rates. Senior Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Senior Loans are exempt from registration under the Securities Act of 1933, may contain certain restrictions on resale, and cannot be sold publicly. A Fund’s investments in Senior Loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Fund purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender.
When a Fund purchases a participation of a Senior Loan interest, the Fund typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in Senior Loans includes the right to receive payments of principal, interest, and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Fund generally has no right to enforce compliance with the terms of the loan agreement. As a result, the Fund assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Fund and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in receiving payment or may suffer a loss of principal and/or interest. As of March 31, 2016, no participation interest in Senior Loans was held by any of the Funds presented in these financial statements.
Inflation-Indexed Bonds
Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are debt securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will result in an adjustment to interest income.
Mortgage-Related and Other Asset-Backed Securities
Certain Funds may invest in mortgage-related and other asset-backed securities. These securities include mortgage pass-through securities, collateralized mortgage obligations (“CMOs”), collateralized loan obligations (“CLOs”), mortgage dollar rolls, CMO residuals, stripped mortgage-backed securities (“SMBS”), and other securities that directly or indirectly represent a participation in, or are secured by and payable from, mortgage loans secured by real property. Mortgage-related and other asset-backed securities are debt securities issued by a corporation, trust or custodian, or by a U.S. Government agency or instrumentality, that are collateralized by a pool of mortgages, mortgage pass-through securities, U.S. Government securities or other assets. The value of some mortgage-related and asset-backed securities may be particularly sensitive to changes in prevailing interest rates. Early repayment of principal on some mortgage-related securities may expose a Fund to a lower rate of return upon reinvestment of principal. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgage and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or issuers will meet their obligations.
SMBS represent a participation in, or are secured by and payable from, mortgage loans on real property, and may be structured in classes with rights to receive varying proportions of principal and interest. SMBS include interest-only securities (“IOs”), which receive all of the interest, and principal-only securities (“POs”), which receive the entire principal. The cash flows and yields on IOs are extremely sensitive to the rate of principal payments (including prepayments) on the underlying mortgage loans. If the underlying mortgages experience higher than anticipated prepayments, an investor in IOs of SMBS may fail to recoup fully its initial investment, even if the IOs are highly rated or are derived from securities guaranteed by the U.S. Government. Unlike other debt and other mortgage-backed securities, the market value of IOs tends to move
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in the same direction as interest rates. As prepayments on the underlying mortgages of POs increase, the yields on POs increase. Payments received from IOs are recorded as interest income. Because principal will not be received at the maturity of an IO, adjustments are made to the book value of the security on the coupon date until maturity. These adjustments are included in interest income. Payments received from POs are treated as reductions to the cost and par value of the securities. Any excess principal paydown gains or losses associated with the payments received are recorded as interest income.
U.S. Government Securities
Certain Funds may invest in securities issued by U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of, and in certain cases, guaranteed by the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury Bills, Treasury Notes, Treasury Bonds, and securities guaranteed by GNMA (or “Ginnie Mae”), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the “U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. Government to purchase the agency’s obligations. Securities not backed by the full faith and credit of the U.S. Government may be subject to a greater risk of default. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest-paying securities of similar maturities.
Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA and FHLMC are government-sponsored corporations, the common stocks of which are owned entirely by private stockholders. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions, and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government.
When-Issued Securities
Certain Funds may purchase and sell securities on a when-issued basis. These transactions are made conditionally because a security, although authorized, has not yet been issued in the market. A commitment by a Fund is made regarding these transactions to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. A Fund may sell when-issued securities before they are delivered, which may result in a capital gain or loss. Risk may arise upon entering these contracts from the potential inability of a counterparty to meet the terms of their contracts, or if the issuer does not issue the securities due to political, economic, or other factors.
Delayed-Delivery Transactions
Certain Funds may purchase or sell securities on a delayed-delivery basis. Payment and delivery may take place after the customary settlement period for that security. The price or yield of the underlying securities is fixed at the time the transaction is negotiated. When delayed-delivery purchases are outstanding, a Fund will set aside, and maintain until the settlement date in a segregated account, liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed-delivery basis, a Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its NAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery securities before they are delivered, which may result in a capital gain or loss. When a Fund has sold a security on a delayed-delivery basis, the Fund does not participate in future gains and losses with respect to the security.
Repurchase Agreements
Certain Funds may enter into repurchase agreements with institutions that the Adviser or sub-adviser has determined are creditworthy. Under the terms of a typical repurchase agreement, a Fund takes possession of an underlying security (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell the security at an agreed upon price and time. Repurchase agreements permit a Fund to maintain liquidity and potentially earn income over periods of time that may be as short as overnight. The collateral for all repurchase agreements are held in safekeeping for the benefit of the Funds at the Trust’s custodian, or broker-dealer, or a designated sub-custodian under a tri-party repurchase agreement. All repurchase agreements entered into by a Fund are collateralized with cash or securities of a type that a Fund is permitted to hold. The collateral is evaluated daily to ensure its market value equals or exceeds the current market value of the repurchase agreements, including accrued interest, except in the case of a repurchase agreement entered into for the purposes of selling a security short, where the value of the collateral delivered to a Fund must equal or exceed 95% of the value of the repurchase price during the term of the repurchase agreement. The terms of a repurchase agreement entered into for the purposes of selling a security short may provide that the cash purchase price paid by a Fund is more than the value of the collateral received that it is obligated to return to the counterparty under the repurchase agreement. Since in such a transaction, a Fund normally will have used the collateral received to settle the short sale, a Fund will segregate liquid assets equal to the marked to market value of the collateral received that it is obligated to return to the counterparty under the repurchase agreement.
In the event of default on the obligation to repurchase a security held by a Fund as collateral, the Fund has the right to liquidate the security and apply the proceeds to the counterparty’s obligations to a Fund under the repurchase agreement. Upon an event of default under the repurchase agreement, if the seller defaults and the value of the collateral declines or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed, limited or wholly denied.
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Borrowings and Other Financing Transactions
The following disclosures contain information on a Fund’s ability to lend or borrow cash or securities to the extent permitted under the 1940 Act, which may be viewed as borrowing or financing transactions by a Fund. The location and fair value amounts of these instruments are described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions see Note 5.
Reverse Repurchase Agreements – Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund sells a security that it holds to a financial institution with an agreement to repurchase the same security at an agreed-upon price and date. Securities sold under reverse repurchase agreements are recorded as a liability. Interest payments made are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A reverse repurchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements.
Sale-Buybacks Financing Transactions – Certain Funds may enter into transactions referred to as sale-buybacks. A sale-buyback transaction consists of a sale of a security by a Fund to a financial institution, the counterparty, with a simultaneous agreement to repurchase the same or substantially the same security at an agreed-upon price and date. Such transactions are recorded as secured borrowings. A Fund is not entitled to receive principal and interest payments, if any, made on the security sold to the counterparty during the term of the agreement. The agreed-upon proceeds for securities to be repurchased by a Fund are recorded as a liability. A Fund will recognize net income represented by the price differential between the price received for the transferred security and the agreed-upon repurchase price. This is commonly referred to as the price drop. A price drop consists of (i) the foregone interest and inflationary income adjustments, if any, a Fund would have otherwise received had the security not been sold and (ii) the negotiated financing terms between a Fund and counterparty. Foregone interest and inflationary income adjustments, if any, are recorded as components of interest income. Interest payments based upon negotiated financing terms made by the Fund to counterparties are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to a Fund. A Fund will segregate assets determined to be liquid or otherwise cover its obligations under sale-buyback transactions.
Short Sales – Certain Funds may enter into short sales. A short sale is a transaction in which a Fund sells securities it does not own. A Fund’s use of short sales involves the risk that the price of the security in the open market may be higher when purchased to close out the Fund’s short position, resulting in a loss to the Fund. Such a loss is theoretically unlimited because there is no limit on the potential increase in the price of a security or guarantee as to the price at which the manager would be able to purchase the security in the open market.
When a Fund sells securities short, it must borrow those securities to make delivery to the buyer. The Fund incurs an expense for such borrowing. The Fund may be required to pledge a portion of its assets to the broker as collateral for the borrowed securities. The Fund may not be able to purchase a security that it needs to deliver to close out a short position at an acceptable price. This may result in losses and/or require the Fund to sell long positions before the manager had intended. A Fund may not be able to successfully implement its short sale strategy, which may limit its ability to achieve its investment goal, due to limited availability of desired or eligible securities, the cost of borrowing securities, regulatory changes limiting or barring short sales, or for other reasons. Securities sold in short sale transactions and the interest and dividends payable on such securities, if any, are recorded as a liability.
The use of proceeds received from selling short to purchase additional securities (long positions) results in leverage, which may increase a Fund’s exposure to long positions. Leverage could magnify gains and losses and, therefore, increase a Fund’s volatility.
Segregation and Collateral
If a Fund engages in certain transactions, such as derivative investments, repurchase agreements, or repurchase-to-maturity transactions accounted for as secured borrowings, it may require collateral in the form of cash or investments to be held in segregated accounts at the Trust’s custodian, with an exchange or clearing member firm, or segregated on the Fund’s books and records maintained by the custodian and/or the manager of the Fund. In each instance that segregation of collateral is required, it is done so in accordance with the 1940 Act and/or any interpretive guidance issued by the SEC. In the event of the counterparty default on the transaction, a Fund has the right to liquidate the collateral and apply the proceeds to the counterparty’s obligations to that Fund. Upon an event of default, if the seller defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the collateral by the Fund may be delayed, limited or wholly denied. There is also a possibility that a Fund could experience a delay in selling investments that are segregated as collateral.
5. DERIVATIVE INVESTMENTS AND RISKS, AND ENFORCEABLE MASTER NETTING ARRANGEMENTS
A. PRINCIPAL MARKET RISKS MANAGED BY INVESTING IN DERIVATIVES
Derivative instruments are investments whose values are tied to the value of an underlying security or asset, a group of assets, interest rates, exchange rates, currency or an index. Certain Funds are permitted to invest in derivative instruments, including, but not limited to, futures contracts, option contracts, forward foreign currency contracts, and swap agreements. Derivatives may have little or no initial cash investment value relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This is sometimes referred to as leverage. Leverage can magnify a Fund’s gains and losses and therefore increase its volatility. A Fund’s investments in derivatives may increase, decrease or change the level or types of exposure to certain risk factors. The primary risks a Fund may attempt to manage through investing in derivative instruments include, but are not limited to, interest rate, foreign investments and currency, price volatility, and credit (including counterparty) risks.
Interest Rate Risk – A Fund may be exposed to interest rate risk through investments in debt securities. Interest rate risk is the risk that debt securities will decline in value as a result of changes in interest rates. For example, the value of bonds, fixed rate loans and short-term money
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NOTES TO FINANCIAL STATEMENTS (Continued)
market instruments may decline in value when interest rates rise. In a low interest rate environment, the risks associated with rising interest rates are heightened. Debt securities with longer durations tend to be more sensitive to changes in interest rates, making them more volatile than debt securities with shorter durations or money market instruments. Therefore, duration is a potentially useful tool to measure the sensitivity of a debt security’s yield (market price to interest rate movement). To manage these risks, certain Funds may invest in derivative instruments tied to interest rates.
Foreign Investments and Currency Risk – A Fund may be exposed to foreign investments and/or currency risk through direct investment in securities or through options, futures or currency transactions. The prices of foreign securities that are denominated in foreign currencies are affected by the value of the U.S. dollar. With respect to securities denominated in foreign currencies, in general, as the value of the U.S. dollar rises, the U.S. dollar price of a foreign security will fall. As the value of the U.S. dollar falls, the U.S. dollar value of the foreign security will rise. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons. Foreign investments may be riskier than U.S. investments for many reasons, including changes in currency exchange rates, unstable political and economic conditions, a lack of adequate and timely company information, differences in the way securities markets operate, relatively lower market liquidity, less stringent financial reporting and accounting guidance and controls, less secure foreign banks or securities depositories than those in the U.S., foreign taxation issues and foreign controls on investments. As a result, a Fund’s investments in foreign currency-denominated securities and other foreign investments may reduce the returns of the Fund. To manage these risks, certain Funds may invest in derivative instruments tied to foreign investments and/or currencies.
Price Volatility Risk – Derivatives tied to equity and debt securities are exposed to potential price volatility. Debt securities are affected by many factors, including prevailing interest rates, market conditions and market liquidity. Volatility of below investment grade debt securities (including loans) may be relatively greater than for investment grade debt securities. Equity securities tend to go up or down in value, sometimes rapidly and unpredictably. The prices of equity securities change in response to many factors, including a company’s historical and prospective earnings, the value of its assets, general economic conditions, interest rates, investor perceptions, and market liquidity. Due to the complexities of markets, events in one market or sector may adversely impact other markets or sectors. To manage these risks, certain Funds may invest in various derivative instruments. Derivative instruments may be used to manage a Fund’s exposure to price volatility risk but may also be subject to greater price volatility than investments in traditional securities. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs, and international economic, political, and regulatory developments.
Credit and Counterparty Risk – Credit risk is the risk that a debt security’s issuer (or borrower or counterparty) will be unable or unwilling to meet its financial obligations (e.g., may not be able to make principal and/or interest payments when they are due or otherwise default on other financial terms) and/or may go bankrupt. This is also sometimes described as counterparty risk. A Fund may lose money if the issuer or guarantor of debt security, or counterparty of a derivative contract, repurchase or reverse repurchase agreement, or a loan of Fund securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. A Fund may attempt to minimize concentrations of credit risk by undertaking transactions with a large number of borrowers or counterparties on recognized and reputable exchanges. A Fund’s investments in debt investments may range in quality from those rated in the lowest category in which it is permitted to invest to those rated in the highest category by a rating agency, or if unrated, determined by the manager to be of comparable quality.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which a Fund has unsettled or open transactions will default. Financial assets of counterparties, which potentially expose a Fund to counterparty risk, consist mainly of cash due from counterparties and investments. Certain managers may attempt to minimize credit risks to the Funds by performing extensive reviews of each counterparty, entering into transactions with counterparties that the manager believes to be creditworthy at the time of the transaction and requiring the posting of collateral in applicable transactions. To manage these risks, certain Funds may invest in derivative instruments tied to a security issuers’ financial strength.
B. DERIVATIVE INVESTMENTS
In addition to managing the market risks described above, certain Funds, if permitted by their investment objectives, may also invest in derivatives for purposes of hedging, duration management, to gain exposure to specific investment opportunities, as a substitute for securities, to enhance returns, or to otherwise help achieve a Fund’s investment goal. Each derivative instrument and the reasons a Fund invested in derivatives during the reporting period are discussed in further detail below.
Futures Contracts – A futures contract is a commitment to buy or sell a specific amount of a financial instrument or commodity at a negotiated price on a specified future date. Futures contracts are subject to the possibility of illiquid markets, and the possibility of an imperfect correlation between the value of the instruments and the underlying securities. Initial margin deposits are made upon entering into futures contracts and can be funded with either cash or securities. During the period a futures contract is open, changes in the value of the contract are recognized as unrealized appreciation or depreciation 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 change in unrealized appreciation and depreciation on the open contracts and the cash deposits made on the margin accounts. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s cost of the contract. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.
During the reporting period, the following Funds entered into futures contracts for the reasons described: the PF Inflation Managed Fund used futures to manage interest rate risk and yield curve exposures, to manage duration, to capture relative value opportunities, as a substitute for cash bond exposure, and for purposes of liquidity. The PF Managed Bond Fund used futures contracts to manage interest rate risk and yield curve exposures, to manage foreign currency exposure, as a substitute for cash bond exposure, for purposes of liquidity, to manage duration,
D-10
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
and to contribute to performance. The PF Short Duration Bond Fund entered into interest rate futures to manage duration and yield curve exposure. The PF Mid-Cap Value, PF Small-Cap Value, PF International Large-Cap, PF International Small-Cap, and PF International Value Funds utilized futures to gain market exposure with the cash generated during PLFA’s allocation of assets related to the Portfolio Optimization Funds. The PF International Value Fund also used futures to gain exposure to the equity markets. The PF Absolute Return Fund entered into futures to hedge interest rate duration risk and as part of the Fund’s investment strategy. The PF Equity Long/Short Fund used futures to gain exposure to equity indices. The PF Global Absolute Return Fund entered into futures contracts to manage duration and interest rate risk, to maintain full exposure to the equity markets, to manage exposure to various securities markets and movements in interest rates, to provide daily liquidity for the Fund’s inflows and outflows, and as a part of the Fund’s investment strategy.
Option Contracts – An option contract is a commitment that gives the purchaser of the contract the right, but not the obligation, to buy or sell an underlying asset at a specific price on or before a specified future date. On the other hand, the writer of an option contract is obligated, upon the exercise of the option, to buy or sell an underlying asset at a specific price on or before a specified future date. A swaption is an option contract granting the owner the right to enter into an underlying swap. Inflation-capped options are options on U.S. inflation rates at a stated strike price. The seller of an inflation-capped option receives an upfront premium and in return the buyer receives the right to receive a payment at the expiration of the option if the cumulative annualized inflation rate over the life of the option is above (for caps) or below (for floors) the stated strike price. The purpose of inflation-capped options is to protect the buyer from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products below a certain rate on a given notional exposure. Writing put options or purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Writing call options or purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes or purchases a call, put, or inflation-capped option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an investment, respectively, and subsequently adjusted to the current market value, based on the quoted daily settlement price of the option written or purchased. Certain options may be written or purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. Premiums received or paid from writing or purchasing options, which expire unexercised, are treated by a Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or realized is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or loss on investment transactions. A Fund, as a writer of an option, may have no control over whether the underlying instrument may be sold (call) or purchased (put) and as a result bears the market risk of an unfavorable change in the price of the underlying written option. In addition, an illiquid market may make it difficult for a Fund to close out an option contract.
The maximum risk of loss associated with writing put options is limited to the exercised fair value of the option contract. The maximum risk of loss associated with writing call options is potentially unlimited. Listed option contracts present minimal counterparty credit risk since they are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange-traded options, guarantees the options against default. A Fund’s maximum risk of loss from counterparty credit risk related to OTC option contracts is limited to the premium paid.
During the reporting period, the following Funds entered into option contracts for the reasons described: the PF Inflation Managed and PF Managed Bond Funds wrote and purchased options and swaptions on futures, currencies, volatility and swaps as a means of capitalizing on anticipated changes in market volatility, to manage duration and yield curve exposure, and to generate income. The PF Inflation Managed Fund also wrote inflation caps and floors to hedge duration. The PF Mid-Cap Growth Fund purchased and wrote options to gain exposure to certain companies, to generate income, as a liquidity enhancement for entering and existing equity positions, and to hedge market risk on equity investments. The PF Absolute Return Fund purchased and wrote options for hedging purposes and to enhance returns. The PF Currency Strategies Fund purchased options to hedge risk on currency investments. The PF Global Absolute Return Fund purchased and wrote options to protect gains and to enhance returns.
Forward Foreign Currency Contracts – A forward foreign currency contract (“Forward Contract”) is a commitment to buy or sell a specific amount of a foreign currency at a negotiated price on a specified future date. Forward Contracts can help a Fund manage the risk of changes in currency exchange rates. These contracts are marked-to-market daily at the applicable forward currency translation rates. A 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 or entering an offsetting contract. A Fund’s maximum risk of loss from counterparty credit risk related to Forward Contracts is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
During the reporting period, the following Funds entered into forward foreign currency contracts for the reasons described: the PF Inflation Managed and PF Managed Bond Funds entered into forward contracts in connection with settling planned purchases or sales of investments, to hedge and manage the currency exposure associated with some or all of the Funds’ investments, to manage interest rate risk and yield curve exposures, and as part of these Funds’ investment strategy. The PF Short Duration Bond Fund entered into forward contracts to manage base currency exposure. The PF Emerging Markets Debt Fund entered into forward contracts to gain exposure to various markets, for purposes of hedging, and as part of the Fund’s investment strategy. The PF Comstock Fund entered into forward contracts for risk management purposes to mitigate currency risk and isolate securities selection as the primary driver of performance. The PF International Value Fund entered into forward contracts for risk management purposes to manage currency deviations relative to the benchmark. The PF Absolute Return Fund entered into forward contracts for hedging purposes and to take positions as a part of the Fund’s investment strategy. The PF Currency Strategies and PF Equity Long/Short Funds purchased and sold non-deliverable forward contracts to gain or increase exposure to various currencies (both long and short positions) for hedging purposes to protect the Fund’s returns against adverse currency movements, and as a part of the Fund’s investment strategy. The PF Global Absolute Return Fund entered into forward contracts to hedge against currency exposure associated with some or all of the Fund’s investments, to shift foreign currency exposure back to U.S. dollars, to shift investment exposure from one currency to another, to increase returns, and as a substitute for securities.
D-11
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Forward Bond Contracts – Forward bond contracts represent a short-term forward contract to purchase a bond denominated in a non-deliverable foreign currency at a fixed price on a future date. For forward bond contracts, unrealized gains and losses, based on changes in the value of the contract, are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded as unrealized until such time as the contracts have been closed. Risks may arise upon entering these contracts from the potential inability of counterparties to meet the terms of their contracts and from movements in the value of a foreign currency relative to the U.S. dollar. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty. None of the Funds presented in these financial statements held forward bond contracts as of March 31, 2016.
During the reporting period, the PF Global Absolute Return Fund entered into forward bond contracts for hedging purposes to protect the Fund’s returns against adverse currency movements, to shift exposure from one currency to another, to enhance returns, and as a substitute for securities.
Swap Agreements – Swap agreements are bilaterally negotiated agreements between the Funds and their counterparties to exchange swap investment cash flows, assets, foreign currencies or market-linked returns at specified intervals. Swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other execution facility platform, such as a registered commodities exchange (“centrally cleared swaps”). In connection with these agreements, securities may be identified as collateral in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Swaps are marked-to-market daily based upon values received from third party vendors or quotations from market makers. Market values greater than zero are recorded as an asset and market values less than zero are recorded as a liability. The change in value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is recorded as unrealized appreciation or depreciation. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable. OTC swap payments received or made at the beginning of the measurement period are recorded as an asset or liability and represent payments made or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). These upfront payments are recorded as realized gain or loss when the swap is closed. A liquidation payment received or made at the termination of the swap is recorded as realized gain or loss. Net periodic payments received by a Fund are recorded as realized gain.
Interest Rate Swaps – Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Certain forms of interest rate swap agreements may include: (i) interest rate caps, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”, (ii) interest rate floors, under which, in return for a premium, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”, (iii) interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels, (iv) callable interest rate swaps, under which the counterparty may terminate the swap transaction in whole at zero cost by a predetermined date and time prior to the maturity date, (v) spreadlocks, which allow the interest rate swap users to lock in the forward differential (or spread) between the interest rate swap rate and a specified benchmark, or (vi) basis swaps, under which two parties can exchange variable interest rates based on different money markets.
A Fund investing in interest rate swaps is subject to the risk that there is no liquid market for these agreements, that the counterparties may default on their obligations to perform or disagree as to the meaning of the contractual terms in the agreements, or that there may be unfavorable changes in interest rates. A Fund’s maximum risk of loss from counterparty credit risk related to interest rate swaps is the discounted net value of the cash flows to be received from/paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
During the reporting period, the following Funds entered into interest rate swap agreements for the reasons described: the PF Inflation Managed and PF Managed Bond Funds entered into interest rate swaps to manage nominal or real interest rate risk in various global markets, to manage duration and yield curve exposure, as a substitute for cash bond exposure, and as part of each Funds’ investment strategy. The PF Emerging Markets Debt and PF Absolute Return Funds entered into interest rate swaps to gain exposure to various markets, for purposes of hedging, and as part of the Fund’s investment strategy. The PF Global Absolute Return Fund entered into interest rate swaps to gain or hedge interest rate risk, to gain or mitigate exposure to various markets, and to increase returns.
Cross-currency swaps are interest rate swaps in which interest cash flows are exchanged between two parties based on the notional amounts of two different currencies. The notional amounts are typically determined based on the spot exchange rates at the inception of the trade. Cross-currency swaps also involve the exchange of the notional amounts at the start of the contract at the current spot rate with an agreement to re-exchange such amounts at a later date at either the same exchange rate, a specified rate or the then current spot rate. The entire principal value of a cross-currency swap is subject to the risk that the counterparty to the swap will default on its contractual delivery obligations.
During the reporting period, the following Funds entered into cross-currency swaps for the reasons described: the PF Emerging Markets Debt Fund entered into cross-currency swaps to manage interest rate risk. The PF Global Absolute Return Fund entered into cross-currency swaps to gain or mitigate exposure on currency risk, for purposes of hedging, and as part of the Fund’s investment strategy.
Credit Default Swaps – Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection, a Fund generally receives an upfront payment or a fixed rate of
D-12
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
income throughout the term of the swap provided there is no credit event. As the seller, a Fund would effectively add leverage to its Fund because, in addition to its total net assets, a Fund would be subject to investment exposure on the notional amount of the swap.
A Fund investing in credit default swaps is subject to the risk that there is no liquid market for these agreements, that the counterparties may default on their obligations to perform or disagree as to the meaning of the contractual terms in the agreements, or that there may be unfavorable changes in interest rates.
If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index, or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index, or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
Credit default swap agreements on corporate and sovereign issues involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
Credit default swap agreements on asset-backed securities involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Unlike credit default swaps on corporate and sovereign issues, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedowns or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts.
Credit default swap agreements on credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. Credit default swap agreements on indices are benchmarks for protecting investors owning bonds against default. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index.
An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Wider credit spreads, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate and sovereign issues or U.S. Treasury obligation issues as of period end, are disclosed in the Notes to Schedules of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on asset-backed securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/performance risk.
A Fund may use pair trades of credit default swaps. Pair trades attempt to match a long position with a short position of two securities in the same market sector for hedging purposes. Pair trades of credit default swaps attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. For example, a Fund may purchase protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks.
A Fund may use spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curves attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
A Fund’s maximum risk of loss from counterparty credit risk related to credit default swaps, either as the buyer or seller of protection, is the fair value of the contract. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover the Fund’s exposure to the counterparty.
D-13
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation and is disclosed in the Notes to Schedules of Investments. The collateral posted, net of assets received as collateral, for swap agreements is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of March 31, 2016 for which a Fund is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Fund for the same referenced entity or entities.
During the reporting period, the following Funds entered into credit default swap agreements for the reasons described: the PF Inflation Managed Fund entered into credit default swaps on credit indices to obtain exposure to the credit risk of individual securities or to the broader investment grade sector. The PF Managed Bond Fund entered into credit default swaps on credit indices to manage exposure to and within the credit sector, to obtain exposure to the credit risk of individual securities or to the broader investment grade, high yield, or emerging markets sectors, to adjust credit exposure on the margin, and to contribute to performance. The PF Absolute Return Fund utilized credit default swaps for hedging purposes and to increase returns. The PF Global Absolute Return Fund entered into credit default swaps to increase or decrease credit exposure to individual issuers of debt securities or to a specific debt security or basket of debt securities, and to increase returns.
Total Return Swaps – A Fund investing in total return swaps is subject to the risk that there is no liquid market for these agreements, that the counterparties may default on their obligations to perform or that there may be unfavorable changes in the value of the underlying index or reference instrument (generally caused by changes in interest rates or declines in credit quality). A total return swap agreement is one in which one party makes payments based on a set rate, either fixed or variable, while the other party makes payments based on the return of an underlying index or reference instrument, which includes both the income it generates and any capital gains. To the extent the total return of the index or reference instrument underlying the transaction exceeds or falls short of the offsetting interest rate obligation, a Fund will receive a payment from or make a payment to the counterparty. A Fund’s maximum risk of loss from counterparty credit risk related to total return swaps is the discounted net value of the cash flows to be received from or paid to the counterparty over the contract’s remaining life, to the extent that the amount is positive. The risk may be mitigated to some extent if a master netting arrangement between a Fund and the counterparty is in place and to the extent a Fund obtains collateral to cover a Fund’s exposure to the counterparty.
A Fund may enter into fully funded total return swaps which involves one party making an initial payment equal to the estimated value of the reference instrument. The parties to the swap then exchange respective commitments to pay or receive a net amount based on the change in the fair value of a reference instrument and a specified notional amount.
During the reporting period, the following Funds entered into total return swap agreements for the reasons described: the PF Emerging Markets Debt Fund entered into total return swaps to gain exposure to various markets, for purposes of hedging, and as part of the Fund’s investment strategy. The PF Absolute Return Fund entered into total return swaps as part of the Fund’s investment strategy. The PF Equity Long/Short Fund used total return swaps to gain exposure to various markets.
A total return basket swap is designed to function as a Fund of direct investments in long and short equity or fixed income positions. The Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation or depreciation, corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within the swap are reset periodically, and financing costs are reset monthly. At maturity, any unrealized gain or loss on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Fund and the counterparty. A change in the market value of a total return basket swap contract is recognized as a change in unrealized appreciation or depreciation on swaps in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as realized gain or loss on swap transactions in the Statements of Operations. Total return basket swap agreements outstanding at period end, if any, are disclosed in Notes to Schedule of Investments.
During the reporting period, the PF Equity Long/Short Fund entered into total return basket swaps to gain exposure to equity indices and to gain security level stock exposure.
Volatility Swaps – Volatility swap agreements involve two parties agreeing to exchange cash flows based on the measured variance (or square of volatility) of a specified underlying asset. One party agrees to exchange a “fixed rate” or strike price payment for the “floating rate” or realized price variance on the underlying asset with respect to the notional amount. At inception, the strike price is generally chosen such that the fair value of the swap is zero.
At the maturity date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price variance of the underlying asset and the strike price multiplied by the notional amount. As a receiver of the realized price variance, the Fund would receive the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would owe the payoff amount when the variance is less than the strike. As a payer of the realized price variance, the Fund would owe the payoff amount when the realized price variance of the underlying asset is greater than the strike price and would receive the payoff amount when the variance is less than the strike. This type of agreement is essentially a forward contract on the future realized price variance of the underlying asset. None of the Funds presented in these financial statements held volatility swaps as of March 31, 2016.
During the reporting period, the PF Inflation Managed Fund utilized volatility swaps to take a small position on the volatility of currencies.
D-14
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The following is a summary of the location of fair value amounts of derivative investments, if any, disclosed in the Trust’s Statements of Assets and Liabilities:
| Location on the Statements of Assets and Liabilities | ||||||
| Derivative Investments Risk Type | Asset Derivative Investments | Liability Derivative Investments | ||||
| Credit contracts | Investments, at value | Outstanding options written, at value | ||||
| Equity contracts | Receivable: Variation margin | Payable: Variation margin | ||||
| Interest rate contracts | Swap agreements, at value | Swap agreements, at value | ||||
| Forward bond contracts appreciation | Forward bond contracts depreciation | |||||
| Foreign currency contracts | Investments, at value | Outstanding options written, at value | ||||
| Receivable: Variation margin | Payable: Variation margin | |||||
| Swap agreements, at value | Swap agreements, at value | |||||
| Forward foreign currency contracts appreciation | Forward foreign currency contracts depreciation | |||||
The following is a summary of fair values of derivative investments disclosed in the Trust’s Statements of Assets and Liabilities, categorized by primary risk exposure as of March 31, 2016:
| Asset Derivative Investments Value | ||||||||||||||||||||
| Fund | Total Value at March 31, 2016 |
Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed |
$526,370 | $9,023 | * | $— | $150,548 | $366,799 | * | |||||||||||||
| PF Managed Bond |
2,758,007 | 282,716 | * | — | 1,291,543 | * | 1,183,748 | * | ||||||||||||
| PF Short Duration Bond |
2,774 | — | — | — | 2,774 | * | ||||||||||||||
| PF Emerging Markets Debt |
3,882,063 | — | — | 2,652,898 | 1,229,165 | |||||||||||||||
| PF Mid-Cap Growth |
3,202 | — | 3,202 | * | — | — | ||||||||||||||
| PF International Value |
1,359,828 | — | — | 1,359,828 | — | |||||||||||||||
| PF Absolute Return |
1,217,671 | 422,422 | * | 19,103 | * | 654,059 | 122,087 | * | ||||||||||||
| PF Currency Strategies |
6,076,790 | — | — | 6,076,790 | — | |||||||||||||||
| PF Equity Long/Short |
15,759,094 | — | 14,649,440 | * | 1,109,654 | — | ||||||||||||||
| PF Global Absolute Return |
8,232,127 | 3,034,689 | * | 407,256 | * | 3,108,406 | 1,681,776 | * | ||||||||||||
| Liability Derivative Investments Value | ||||||||||||||||||||
| Fund | Total Value at March 31, 2016 |
Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed |
($1,052,982 | ) | ($81,458 | ) | $— | ($341,894 | ) | ($629,630 | )* | |||||||||||
| PF Managed Bond |
(9,864,834 | ) | (677,473 | )* | — | (2,336,530 | )* | (6,850,831 | )* | |||||||||||
| PF Short Duration Bond |
(2,664 | ) | — | — | — | (2,664 | )* | |||||||||||||
| PF Emerging Markets Debt |
(870,205 | ) | — | — | (851,310 | ) | (18,895 | ) | ||||||||||||
| PF Comstock |
(487,425 | ) | — | — | (487,425 | ) | — | |||||||||||||
| PF Mid-Cap Growth |
(152,404 | ) | — | (152,404 | )* | — | — | |||||||||||||
| PF International Value |
(639,081 | ) | — | — | (639,081 | ) | — | |||||||||||||
| PF Absolute Return |
(3,326,388 | ) | (866,926 | )* | — | (2,079,218 | ) | (380,244 | )* | |||||||||||
| PF Currency Strategies |
(10,274,178 | ) | — | — | (10,274,178 | ) | — | |||||||||||||
| PF Equity Long/Short |
(342,094 | ) | — | (338,361 | )* | (3,733 | ) | — | ||||||||||||
| PF Global Absolute Return |
(8,988,539 | ) | (472,595 | ) | (15,887 | )* | (7,419,162 | ) | (1,080,895 | )* | ||||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts and centrally cleared options and swaps as reported in the Notes to Schedules of Investments. |
The following is a summary of the location of realized gains and losses and changes in net unrealized appreciation and depreciation of derivative investments, if any, disclosed in the Trust’s Statements of Operations:
| Derivative Investments Risk Type | Location of Gain (Loss) on Derivative Investments Recognized in the Statements of Operations | |||
| Credit contracts | Net realized gain (loss) on investment security transactions | |||
| Equity contracts | Net realized gain (loss) on futures contract transactions | |||
| Interest rate contracts | Net realized gain (loss) on swap transactions | |||
| Net realized gain (loss) on written option transactions | ||||
| Net realized gain (loss) on forward bond contract transactions | ||||
| Change in net unrealized appreciation (depreciation) on investment securities | ||||
| Change in net unrealized appreciation (depreciation) on futures contracts | ||||
| Change in net unrealized appreciation (depreciation) on swaps | ||||
| Change in net unrealized appreciation (depreciation) on written options | ||||
| Change in net unrealized appreciation (depreciation) on forward bond contracts | ||||
| Foreign currency contracts | Net realized gain (loss) on investment security transactions | |||
| Net realized gain (loss) on futures contract transactions | ||||
| Net realized gain (loss) on swap transactions | ||||
| Net realized gain (loss) on written option transactions | ||||
| Net realized gain (loss) on foreign currency transactions | ||||
| Change in net unrealized appreciation (depreciation) on investment securities | ||||
| Change in net unrealized appreciation (depreciation) on futures contracts | ||||
| Change in net unrealized appreciation (depreciation) on swaps | ||||
| Change in net unrealized appreciation (depreciation) on written options | ||||
| Change in net unrealized appreciation (depreciation) on foreign currencies |
D-15
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The following is a summary of each Fund’s net realized gain and/or loss and change in net unrealized appreciation and/or depreciation on derivative investments recognized in the Trust’s Statements of Operations categorized by primary risk exposure for the year ended March 31, 2016:
| Realized Gain (Loss) on Derivative Investments Recognized in the Statements of Operations | ||||||||||||||||||||
| Fund | Total | Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed |
($146,287 | ) | $38,948 | $— | $820,294 | ($1,005,529 | ) | |||||||||||||
| PF Managed Bond |
4,540,874 | 65,838 | — | 951,238 | 3,523,798 | |||||||||||||||
| PF Short Duration Bond |
46,389 | — | — | 134,793 | (88,404 | ) | ||||||||||||||
| PF Emerging Markets Debt |
(608,304 | ) | — | — | (303,047 | ) | (305,257 | ) | ||||||||||||
| PF Comstock |
(154,453 | ) | — | — | (154,453 | ) | — | |||||||||||||
| PF Mid-Cap Growth |
107,080 | — | 107,080 | — | — | |||||||||||||||
| PF Mid-Cap Value |
(676,015 | ) | — | (676,015 | ) | — | — | |||||||||||||
| PF Small-Cap Value |
(113,986 | ) | — | (113,986 | ) | — | — | |||||||||||||
| PF International Large-Cap |
647,994 | — | 647,994 | — | — | |||||||||||||||
| PF International Small-Cap |
(40,410 | ) | — | (40,410 | ) | — | — | |||||||||||||
| PF International Value |
(353,997 | ) | — | 56,872 | (410,869 | ) | — | |||||||||||||
| PF Absolute Return |
(65,329 | ) | (221,405 | ) | (99,697 | ) | 1,743,892 | (1,488,119 | ) | |||||||||||
| PF Currency Strategies |
5,524,351 | — | — | 5,524,351 | — | |||||||||||||||
| PF Equity Long/Short |
15,904,245 | — | 16,921,828 | (1,017,583 | ) | — | ||||||||||||||
| PF Global Absolute Return |
5,632,970 | (644,459 | ) | (854,787 | ) | 5,304,756 | 1,827,460 | |||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statements of Operations |
||||||||||||||||||||
| Fund | Total | Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed |
($909,222 | ) | ($51,144 | ) | $— | ($964,479 | ) | $106,401 | ||||||||||||
| PF Managed Bond |
(6,079,426 | ) | 244,867 | — | (2,465,425 | ) | (3,858,868 | ) | ||||||||||||
| PF Short Duration Bond |
(20,640 | ) | — | — | (29,331 | ) | 8,691 | |||||||||||||
| PF Emerging Markets Debt |
2,359,655 | — | — | 2,009,298 | 350,357 | |||||||||||||||
| PF Comstock |
(116,431 | ) | — | — | (116,431 | ) | — | |||||||||||||
| PF Mid-Cap Growth |
(93,125 | ) | — | (93,125 | ) | — | — | |||||||||||||
| PF International Value |
515,007 | — | 10,614 | 504,393 | — | |||||||||||||||
| PF Absolute Return |
(1,944,437 | ) | (170,958 | ) | (41,734 | ) | (1,425,159 | ) | (306,586 | ) | ||||||||||
| PF Currency Strategies |
(6,537,739 | ) | — | — | (6,537,739 | ) | — | |||||||||||||
| PF Equity Long/Short |
15,417,000 | — | 14,311,079 | 1,105,921 | — | |||||||||||||||
| PF Global Absolute Return |
(12,640,395 | ) | (639,782 | ) | (209,933 | ) | (12,988,041 | ) | 1,197,361 | |||||||||||
For financial reporting purposes, the Trust does not offset fair value amounts recognized for derivative instruments and fair value amounts recognized for the right to reclaim cash collateral (receivables) or the obligation to return cash collateral (payables) arising from derivative instruments recognized at fair value executed with the same counterparty under a master netting arrangement.
The following is a summary of the average number of positions and values of derivative investments by derivative type for the year ended March 31, 2016:
| Average Positions and Values of Derivative Investments by Derivative Type | ||||||||||||||||||||||||||||||||||||||
| Futures Contract | Forward Contracts | Options Contracts | Swap Agreements | |||||||||||||||||||||||||||||||||||
| Fund | Number of Positions |
Value | Number of Positions |
Value | Number of Positions |
Value | Number of Positions |
Value | ||||||||||||||||||||||||||||||
| PF Inflation Managed | 13 | ($37,909 | ) | 39 | $77,725 | 36 | ($34,675 | ) | 32 | ($297,208 | ) | |||||||||||||||||||||||||||
| PF Managed Bond | 30 | (203,900 | ) | 79 | 241,256 | 88 | (214,816 | ) | 64 | (2,554,297 | ) | |||||||||||||||||||||||||||
| PF Short Duration Bond | 2 | (2,651 | ) | 1 | 15,712 | — | — | — | — | |||||||||||||||||||||||||||||
| PF Emerging Markets Debt | — | — | 126 | 232,020 | — | — | 20 | 1,687,931 | ||||||||||||||||||||||||||||||
| PF Comstock | — | — | 18 | (34,253 | ) | — | — | — | — | |||||||||||||||||||||||||||||
| PF Mid-Cap Growth | — | — | — | — | 4 | (54,088 | ) | — | — | |||||||||||||||||||||||||||||
| PF International Value | 1 | (2,123 | ) | 47 | 191,284 | — | — | — | — | |||||||||||||||||||||||||||||
| PF Absolute Return | 9 | (94,740 | ) | 19 | (153,613 | ) | 2 | 58,601 | 50 | (30,182 | ) | |||||||||||||||||||||||||||
| PF Currency Strategies | — | — | 65 | (445,251 | ) | 2 | 215,991 | — | — | |||||||||||||||||||||||||||||
| PF Equity Long/Short | 14 | (419,019 | ) | 27 | 382,399 | — | — | 15 | 11,525,927 | |||||||||||||||||||||||||||||
| PF Global Absolute Return | 12 | (506,997 | ) | 123 | 55,181 | 32 | 835,784 | 136 | 4,140,466 | |||||||||||||||||||||||||||||
The table shown above and the amounts of net realized gains and losses and changes in net unrealized appreciation and depreciation on derivative investments as disclosed in the Statements of Operations serve as indicators of volume of derivative activity for each applicable Fund for the year ended March 31, 2016. The realized gains and losses on futures contracts as disclosed in the Statements of Operations serve as indicators of volume of derivative activity for the PF Mid-Cap Value, PF Small-Cap Value, PF International Large-Cap, and PF International Small-Cap Funds.
D-16
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
C. ENFORCEABLE MASTER NETTING ARRANGEMENTS
Master Agreements and Netting Arrangements – Certain Funds are parties to various agreements, including but not limited to International Swaps and Derivatives Association Agreements and related Credit Support Annex, Master Repurchase Agreements, and Master Securities Forward Transactions Agreements (collectively “Master Agreements”), which govern the terms of certain transactions with select counterparties. These Master Agreements generally include provisions for general obligations, representations, agreements, collateral, and certain events of default or termination. These Master Agreements also include provisions for netting arrangements that help reduce credit and counterparty risk associated with relevant transactions. The netting arrangements are generally tied to credit related events that, if triggered, would cause an event of default or termination giving a Fund or counterparty the right to terminate early and cause settlement, on a net basis, of all transactions under the applicable Master Agreement. In the event of an early termination as a result of an event of default under the Master Agreement, the total value exposure of all transactions will be offset against collateral exchanged to date, which would result in a net receivable or payable that would be due from or to the counterparty. Credit related events include, but are not limited to, bankruptcy, failure to make timely payments, restructuring, obligation acceleration, obligation default, a material decline in net assets, decline in credit rating or repudiation/moratorium. Any election made by a counterparty to early terminate the transactions under a Master Agreement could have a material adverse impact on a Fund’s financial statements. A Fund’s overall exposure to credit risk, subject to netting arrangements can change substantially within a short period, as it is affected by each transaction subject to the arrangement.
Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions under the relevant Master Agreement with a counterparty in a given Fund exceeds a specified threshold, net of collateral already in place, which typically ranges from $0 to $250,000 depending on the counterparty and the type of Master Agreement. Collateral under the Master Agreements is usually in the form of cash or U.S. Treasury Bills but could include other types of securities. The value of all derivative transactions outstanding under a Master Agreement is calculated daily to determine the amount of collateral to be received or pledged by the counterparty. Posting of collateral for OTC derivative transactions are covered under tri-party collateral agreements between the Trust, the Trust’s Custodian, and each counterparty. Collateral for centrally cleared derivatives transactions are posted with the applicable derivatives clearing organization.
The following is a summary of financial and derivative instruments that are subject to enforceable master netting agreements (or similar arrangements) and collateral received and pledged in connection with the master netting agreements (or similar arrangements) as of March 31, 2016:
| |
Gross Amounts Presented in the Statements of Assets and Liabilities |
|
|
Gross Amounts Not Offset in Statements of Assets and Liabilities |
|
|
Gross Amounts Presented in the Statements of Assets and Liabilities |
|
|
Gross Amounts Not Offset in Statements of Assets and Liabilities |
| |||||||||||||||||||||||
| Description |
|
Financial Instruments |
|
|
Collateral Received |
|
|
Net Amount |
|
|
Financial Instruments |
|
|
Collateral Pledged |
|
|
Net Amount |
| ||||||||||||||||
| Assets | Liabilities | |||||||||||||||||||||||||||||||||
| PF Inflation Managed |
||||||||||||||||||||||||||||||||||
| Swap agreements |
$150,913 | ($48,617 | ) | ($1,452 | ) | $100,844 | ($67,923 | ) | $48,617 | $— | ($19,306 | ) | ||||||||||||||||||||||
| Option contracts |
96,135 | (96,135 | ) | — | — | (111,531 | ) | 96,135 | — | (15,396 | ) | |||||||||||||||||||||||
| Foreign currency contracts |
150,548 | (119,942 | ) | (18,548 | ) | 12,058 | (341,680 | ) | 119,942 | — | (221,738 | ) | ||||||||||||||||||||||
| Sale-buyback financing transactions |
(18,840,729 | ) | 18,840,729 | — | — | |||||||||||||||||||||||||||||
| PF Managed Bond |
||||||||||||||||||||||||||||||||||
| Swap agreements |
110,089 | (96,116 | ) | — | 13,973 | (658,510 | ) | 96,116 | 87,182 | (475,212 | ) | |||||||||||||||||||||||
| Option contracts |
297,131 | (116,007 | ) | — | 181,124 | (233,528 | ) | 116,007 | — | (117,521 | ) | |||||||||||||||||||||||
| Foreign currency contracts |
1,054,270 | (684,240 | ) | — | 370,030 | (1,579,786 | ) | 684,240 | — | (895,546 | ) | |||||||||||||||||||||||
| Sale-buyback financing transactions |
(3,691,637 | ) | 3,691,637 | — | — | |||||||||||||||||||||||||||||
| PF Emerging Markets Debt |
||||||||||||||||||||||||||||||||||
| Swap agreements |
1,229,165 | (35,133 | ) | — | 1,194,032 | (35,133 | ) | 35,133 | — | — | ||||||||||||||||||||||||
| Foreign currency contracts |
2,652,898 | (784,329 | ) | — | 1,868,569 | (835,072 | ) | 784,329 | — | (50,743 | ) | |||||||||||||||||||||||
| PF Comstock |
||||||||||||||||||||||||||||||||||
| Foreign currency contracts |
— | — | — | — | (487,425 | ) | — | — | (487,425 | ) | ||||||||||||||||||||||||
| PF Mid-Cap Growth |
||||||||||||||||||||||||||||||||||
| Option contracts |
2,377 | — | — | 2,377 | (152,400 | ) | — | — | (152,400 | ) | ||||||||||||||||||||||||
| PF International Value |
||||||||||||||||||||||||||||||||||
| Foreign currency contracts |
1,359,828 | (591,957 | ) | — | 767,871 | (639,081 | ) | 591,957 | — | (47,124 | ) | |||||||||||||||||||||||
| PF Absolute Return |
||||||||||||||||||||||||||||||||||
| Swap agreements |
422,422 | (352,570 | ) | — | 69,852 | (679,761 | ) | 352,570 | 112,398 | (214,793 | ) | |||||||||||||||||||||||
| Foreign currency contracts |
654,059 | (646,442 | ) | — | 7,617 | (2,079,218 | ) | 646,442 | 837,602 | (595,174 | ) | |||||||||||||||||||||||
| PF Currency Strategies |
||||||||||||||||||||||||||||||||||
| Option contracts |
1,079,954 | — | (724,749 | ) | 355,205 | — | — | — | — | |||||||||||||||||||||||||
| Foreign currency contracts |
4,996,836 | (4,399,836 | ) | (125,000 | ) | 472,000 | (10,274,178 | ) | 4,399,836 | 1,726,805 | (4,147,537 | ) | ||||||||||||||||||||||
| PF Equity Long/Short |
||||||||||||||||||||||||||||||||||
| Swap agreements |
13,078,249 | (89,578 | ) | — | 12,988,671 | (89,578 | ) | 89,578 | — | — | ||||||||||||||||||||||||
| Foreign currency contracts |
1,109,654 | (3,733 | ) | (210,000 | ) | 895,921 | (3,733 | ) | 3,733 | — | — | |||||||||||||||||||||||
| PF Global Absolute Return |
||||||||||||||||||||||||||||||||||
| Swap agreements |
2,895,633 | (541,368 | ) | (1,190,057 | ) | 1,164,208 | (1,099,182 | ) | 541,368 | 367,138 | (190,676 | ) | ||||||||||||||||||||||
| Option contracts |
1,773,838 | (971,771 | ) | (68,299 | ) | 733,768 | (1,021,350 | ) | 971,771 | 44,352 | (5,227 | ) | ||||||||||||||||||||||
| Foreign currency contracts |
1,722,303 | (1,682,393 | ) | — | 39,910 | (6,069,692 | ) | 1,682,393 | 1,933,433 | (2,453,866 | ) | |||||||||||||||||||||||
As of March 31, 2016, certain Funds had investments in repurchase agreements. The gross value and related collateral received for these investments are presented in each applicable Fund’s Schedule of Investments and the value of these investments is also presented in the Statements of Assets and Liabilities. The value of the related collateral held by each applicable Fund presented in these financial statements exceeded the value of the repurchase agreements as of March 31, 2016.
D-17
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
6. INVESTMENT ADVISORY, ADMINISTRATION AND SHAREHOLDER SERVICES, SUPPORT SERVICES, AND DISTRIBUTION AGREEMENTS
Pursuant to an Investment Advisory Agreement, PLFA, a wholly-owned subsidiary of Pacific Life Insurance Company (‘‘Pacific Life”), serves as Investment Adviser to each Fund of the Trust. For the PF Underlying Funds, PLFA has retained other investment management firms to sub-advise each Fund, as discussed later in this section. PLFA receives investment advisory fees from each Fund based on the following advisory fee rates, which are based on an annual percentage of average daily net assets of each Fund:
| PF Floating Rate Loan (1) |
0.75% | PF Large-Cap Value |
0.65% |
PF International Large-Cap |
0.85% | |||||
| PF Inflation Managed (1) |
0.40% | PF Main Street Core |
0.45% |
PF International Small-Cap (1) |
0.85% | |||||
| PF Managed Bond |
0.40% | PF Mid-Cap Equity |
0.65% |
PF International Value |
0.65% | |||||
| PF Short Duration Bond |
0.40% | PF Mid-Cap Growth (1) |
0.70% |
PF Real Estate |
0.90% | |||||
| PF Emerging Markets Debt |
0.785% | PF Mid-Cap Value |
0.70% |
PF Absolute Return |
0.80% | |||||
| PF Comstock (1) |
0.75% | PF Small-Cap Growth |
0.60% |
PF Currency Strategies |
0.65% | |||||
| PF Growth |
0.55% | PF Small-Cap Value |
0.75% |
PF Equity Long/Short (1) |
1.15% | |||||
| PF Large-Cap Growth (1) |
0.75% | PF Emerging Markets |
0.80% |
PF Global Absolute Return |
0.80% |
| (1) | PLFA agreed to waive its advisory fees through July 31, 2016 for the following Funds: 0.10% for the PF Floating Rate Loan Fund; 0.02% for the PF Inflation Managed Fund; 0.015% for the PF Comstock Fund; 0.045% for the PF Large-Cap Growth Fund; 0.05% for the PF Mid-Cap Growth Fund; 0.02% for the PF International Small-Cap Fund; and 0.15% for the PF Equity Long/Short Fund. The agreements will terminate if the investment advisory agreement is terminated or upon approval by the Board and prior written notice to the Adviser. There is no guarantee that PLFA will continue such waivers after those dates. |
Pursuant to Subadvisory Agreements, the Trust and PLFA engage investment management firms under PLFA’s supervision to act as sub-adviser for the PF Underlying Funds. PLFA, as Investment Adviser to each Fund of the Trust, pays management fees to these sub-advisers as compensation for their sub-advisory services provided to the Trust. As of March 31, 2016, the following firms serve as sub-advisers for their respective Fund(s):
| Fund | Sub-Adviser |
Fund |
Sub-Adviser | |||
| PF Floating Rate Loan PF Global Absolute Return |
Eaton Vance Investment Managers | PF Mid-Cap Growth | Ivy Investment Management Company | |||
| PF Inflation Managed PF Managed Bond |
Pacific Investment Management Company LLC and Western Asset Management Company (co-sub-advisers) | PF Mid-Cap Value | Boston Partners | |||
| PF Short Duration Bond | T. Rowe Price Associates, Inc. | PF Small-Cap Growth | Lord, Abbett & Co. LLC | |||
| PF Emerging Markets Debt | Ashmore Investment Management Limited | PF Small-Cap Value | AllianceBernstein L.P. | |||
| PF Comstock | Invesco Advisers, Inc. | PF International Small-Cap | QS Batterymarch Financial Management, Inc. | |||
| PF Growth PF International Large-Cap |
MFS Investment Management | PF International Value | J.P. Morgan Investment Management Inc. | |||
| PF Large-Cap Growth | BlackRock Investment Management, LLC | PF Real Estate | Morgan Stanley Investment Management Inc. | |||
| PF Large-Cap Value | ClearBridge Investments, LLC | PF Absolute Return | BlueBay Asset Management LLP | |||
| PF Main Street Core PF Emerging Markets |
OppenheimerFunds, Inc. | PF Currency Strategies | Macro Currency Group and UBS Asset Management (Americas) Inc. (co-sub-advisers) | |||
| PF Mid- Cap Equity | Scout Investments, Inc. | PF Equity Long/Short | AQR Capital Management, LLC |
Pursuant to an Administration and Shareholder Services Agreement (the “Administration Agreement”), Pacific Life serves as administrator (the “Administrator”) to the Trust. The Trust paid the Administrator an administration fee at an annual rate of 0.15% for each of the PF Underlying Funds. The administration fee is for procuring or providing administrative, transfer agency, and shareholder services. In addition, Pacific Life and PLFA provide support services to the Trust that are outside the scope of the Administrator’s and Investment Adviser’s responsibilities under the Administration Agreement and Investment Advisory Agreement. Under the Support Services Agreement, the Trust compensates Pacific Life and PLFA for their expenses in providing support services to the Trust in connection with various matters, some of which include the time spent by legal, accounting, and compliance personnel of Pacific Life and PLFA (including individuals who may be officers or Trustees of the Trust) to attend meetings of the Board and to provide assistance with the coordination and supervision in connection with the services procured for the Trust under the Administration Agreement. Support services do not include any services for which PLFA is responsible pursuant to the Investment Advisory Agreement. The Trust reimburses Pacific Life and PLFA for these support services on an approximate cost basis.
Pursuant to a Distribution Agreement, Pacific Select Distributors, LLC (the “Distributor”), a wholly-owned subsidiary of Pacific Life, serves as distributor of the Trust’s shares. Under the Distribution Agreement, the Distributor bears all expenses of providing services, including costs of sales presentations, mailings, advertisements, and other marketing efforts by the Distributor in connection with the distribution or sale of the Trust’s shares and makes distribution and/or service payments to selling groups in connection with the sale of certain of the Trust’s shares and subsequent servicing needs of shareholders provided by selling groups. The Class P shares of the PF Underlying Funds presented in these financial statements are not subject to a distribution and/or service fee.
D-18
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
7. TRANSACTIONS WITH AFFILIATES
A. ADVISORY FEES, ADMINISTRATION FEES AND EXPENSES FOR SUPPORT SERVICES
The Investment Adviser, the Distributor, and Pacific Life are related parties. The advisory fees earned by the Investment Adviser, including any advisory fee waiver, the administration fees earned by Pacific Life, and expenses for support services recovered by PLFA and Pacific Life (see Note 6) from each Fund presented in these financial statements for the year ended March 31, 2016 are presented in the Statements of Operations. The amounts of each of these fees that remained payable as of March 31, 2016 are presented in the Statements of Assets and Liabilities.
B. EXPENSE LIMITATION AGREEMENTS
To help limit the Trust’s expenses, PLFA has entered into expense limitation agreements with the Trust and has contractually agreed to reimburse each Fund (other than the PF Absolute Return and PF Equity Long/Short Funds) presented in these financial statements for certain operating expenses that exceed an annual rate based on a percentage of a Fund’s average daily net assets. These operating expenses include, but are not limited to: administration fees; organizational expenses; custody expenses; expenses for audit, tax, and certain legal services; preparation, printing, filing, and distribution to existing shareholders of proxies, prospectuses and shareholder reports, and other regulatory documents, as applicable; independent trustees’ fees and expenses; and establishing, overseeing, and administering the Trust’s compliance program. These operating expenses do not include: investment advisory fees; distribution and/or service fees, if any; interest; taxes (including foreign taxes on dividends, interest or gains); brokerage commissions and other transactional expenses; dividends on securities sold short; acquired fund fees and expenses; and extraordinary expenses such as litigation expenses and other expenses not incurred in the ordinary course of each Fund’s business. The current expense cap for the PF Underlying Funds, except the PF Mid-Cap Value, PF International Small-Cap, PF Currency Strategies, and PF Global Absolute Return Funds is 0.15% through July 31, 2016 and 0.30% thereafter through July 31, 2022. The expense cap for the PF Mid-Cap Value, PF International Small-Cap, PF Currency Strategies, and PF Global Absolute Return Funds is 0.25% through July 31, 2016. There are no expense caps for the PF Absolute Return and PF Equity Long/Short Funds.
There is no guarantee that PLFA will continue to reimburse expenses for a Fund upon the expiration of the expense cap. In addition, any expense reimbursements made by PLFA to a Fund are subject to recoupment by PLFA from such Fund for a period as permitted under regulatory and accounting guidance (currently three years from the end of the fiscal year in which the reimbursement took place) to the extent such recoupments would not cause the Fund to exceed the expense cap that was in effect at the time of the reimbursement. Any amounts repaid to PLFA will have the effect of increasing such expenses of a Fund, but not above the expense cap. The amounts of adviser reimbursement to each of the applicable Funds presented in these financial statements for the year ended March 31, 2016 are presented in the Statements of Operations. Any amounts that remained due from the Investment Adviser as of March 31, 2016 are presented in the Statements of Assets and Liabilities. There was no recoupment of expense reimbursement by PLFA from any Funds presented in these financial statements during the year ended March 31, 2016.
The cumulative expense reimbursement amounts, if any, as of March 31, 2016 that are subject to recoupment by PLFA from the Funds presented in these financial statements are as follows:
| Expiration Date |
||||||||||||
| Fund | 3/31/2017 | 3/31/2018 | 3/31/2019 | |||||||||
| PF Floating Rate Loan | $145,911 | $159,103 | $109,207 | |||||||||
| PF Inflation Managed | 147,422 | 150,774 | 95,880 | |||||||||
| PF Managed Bond | 474,658 | 512,975 | 415,627 | |||||||||
| PF Short Duration Bond | 214,263 | 214,257 | 108,855 | |||||||||
| PF Emerging Markets Debt | 136,611 | 219,179 | 154,900 | |||||||||
| PF Comstock | 188,193 | 174,160 | 145,785 | |||||||||
| PF Growth | 66,117 | 81,452 | 80,955 | |||||||||
| PF Large-Cap Growth | 108,743 | 113,036 | 100,786 | |||||||||
| PF Large-Cap Value | 225,998 | 211,881 | 188,396 | |||||||||
| PF Main Street Core | 158,976 | 154,305 | 134,981 | |||||||||
| PF Mid-Cap Equity | 101,037 | 116,418 | 116,181 | |||||||||
| PF Mid-Cap Growth | 60,241 | 53,935 | 42,669 | |||||||||
| PF Small-Cap Growth | 45,628 | 50,330 | 45,591 | |||||||||
| PF Small-Cap Value | 99,142 | 90,161 | 120,806 | |||||||||
| PF Emerging Markets | 425,076 | 445,820 | 383,441 | |||||||||
| PF International Large-Cap | 225,808 | 253,588 | 282,785 | |||||||||
| PF International Small-Cap | 37,089 | 17,806 | ||||||||||
| PF International Value | 180,640 | 182,705 | 181,062 | |||||||||
| PF Real Estate | 42,886 | 40,632 | 41,737 | |||||||||
| PF Currency Strategies | 49,987 | 4,400 | — | |||||||||
| PF Global Absolute Return | 319,375 | 210,688 | 117,298 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total | $3,416,712 | $3,476,888 | $2,884,748 | |||||||||
|
|
|
|
|
|
|
|||||||
C. INDEPENDENT TRUSTEES
The Trust pays each independent trustee of the Board retainer fees and specified amounts for various Board and committee services and for chairing those committees. The fees and expenses of the independent trustees of the Board are presented in the Statements of Operations. Each independent trustee of the Board is eligible to participate in the Trust’s Deferred Compensation Plan (the “Plan”). The Plan allows each
D-19
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
independent trustee to voluntarily defer receipt of all or a percentage of fees which otherwise would be payable for services performed. Amounts in the deferral account are obligations of each Fund at the time of such deferral and are payable in accordance with the Plan. Deferred amounts are treated as though equivalent dollar amounts had been invested in shares of certain Funds. An independent trustee who defers compensation has the option to select credit rate options that track the performance, at NAV without a sales load, of Class A shares of the Portfolio Optimization Funds, Pacific Funds Diversified Alternatives, Pacific Funds Short Duration Income, Pacific Funds Core Income, Pacific Funds Strategic Income, Pacific Funds Floating Rate Income, Pacific Funds Limited Duration High Income, and/or Pacific Funds High Income, and/or Class P shares of the PF Underlying Funds. The obligation of each Fund under the Plan (the “DCP Liability”) is recorded as a liability (accrued trustees’ fees and expenses and deferred compensation). Accordingly, the market value appreciation or depreciation on a Fund’s DCP Liability account will cause the expenses of that Fund to increase or decrease due to market fluctuation. The change in net unrealized appreciation or depreciation on a Fund’s DCP Liability account is recorded as an increase or decrease to expenses (trustees’ fees and expenses). For the year ended March 31, 2016, such expenses increased by $1,744 for all applicable Funds presented in these financial statements as a result of the market value appreciation on such accounts. As of March 31, 2016, the total amount in the DCP Liability accounts was $44,505 for all applicable Funds presented in these financial statements.
D. OFFICERS OF THE TRUST
None of the officers of the Trust received compensation from the Trust.
E. INDEMNIFICATIONS
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of performance of their duties to the Trust. In addition, the Trust entered into an agreement with each of the trustees which provides that the Trust will indemnify and hold harmless each trustee against any expenses actually and reasonably incurred by any trustee in any proceeding arising out of or in connection with the trustee’s services to the Trust, to the fullest extent permitted by the Trust’s Declaration of Trust and By-Laws, the general trust law of the State of Delaware, the Securities Act of 1933, and the 1940 Act, each as now or hereinafter in force. In the normal course of business, the Trust enters into contracts with service providers and others that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements and agreements is dependent on future claims that may be made against the Trust and/or the trustees and, therefore, cannot be estimated; however, based on experience, the risk of loss from such claims is considered remote.
8. UNFUNDED SENIOR LOAN COMMITMENTS
Unfunded loan commitments on senior loan participations and assignments (see Note 4), if any, are marked to market daily and valued according to the Trust’s valuation policies and procedures. Any outstanding unfunded loan commitments are presented in the Notes to Schedules of Investments section of each applicable Fund’s Schedule of Investments. Any applicable net unrealized appreciation or depreciation at the end of the reporting period is recorded as an asset (unfunded loan commitment appreciation) or a liability (unfunded loan commitment depreciation) and any change in net unrealized appreciation or depreciation for the reporting period is recorded as a change in net unrealized appreciation or depreciation on unfunded loan commitment. As of March 31, 2016, the PF Floating Rate Loan Fund had unfunded loan commitments of $122,183 (see details in the Notes to Schedules of Investments).
9. PURCHASES AND SALES OF INVESTMENTS
The cost of purchases and proceeds from sales of investments (excluding short-term investments) for the year ended March 31, 2016, are summarized in the following table:
| U.S. Government Securities | Other Securities | |||||||||||||||
| Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
| PF Floating Rate Loan | $— | $— | $41,177,295 | $80,342,229 | ||||||||||||
| PF Inflation Managed | 78,219,080 | 158,235,296 | 6,355,223 | 14,597,098 | ||||||||||||
| PF Managed Bond | 1,689,596,643 | 1,799,585,276 | 119,049,351 | 189,420,411 | ||||||||||||
| PF Short Duration Bond | 72,787,892 | 100,807,254 | 28,318,628 | 128,825,777 | ||||||||||||
| PF Emerging Markets Debt | — | — | 84,158,545 | 114,218,015 | ||||||||||||
| PF Comstock | — | — | 37,192,594 | 69,861,741 | ||||||||||||
| PF Growth | — | — | 43,750,552 | 69,916,955 | ||||||||||||
| PF Large-Cap Growth | — | — | 133,138,063 | 178,256,012 | ||||||||||||
| PF Large-Cap Value | — | — | 29,849,590 | 67,417,147 | ||||||||||||
| PF Main Street Core | — | — | 110,471,010 | 173,040,884 | ||||||||||||
| PF Mid-Cap Equity | — | — | 330,160,150 | 367,074,107 | ||||||||||||
| PF Mid-Cap Growth | — | — | 28,517,869 | 48,045,141 | ||||||||||||
| PF Mid-Cap Value | — | — | 332,438,632 | 78,921,225 | ||||||||||||
| PF Small-Cap Growth | — | — | 134,353,927 | 162,851,733 | ||||||||||||
| PF Small-Cap Value | — | — | 157,852,529 | 100,589,794 | ||||||||||||
| PF Emerging Markets | — | — | 82,742,371 | 85,360,889 | ||||||||||||
| PF International Large-Cap | — | — | 166,691,690 | 66,240,389 | ||||||||||||
| PF International Small-Cap | — | — | 62,432,185 | 68,907,587 | ||||||||||||
| PF International Value | — | — | 124,889,829 | 105,396,165 | ||||||||||||
| PF Real Estate | — | — | 35,256,622 | 15,828,860 | ||||||||||||
| PF Absolute Return | 12,571,939 | 11,486,435 | 145,263,012 | 105,638,154 | ||||||||||||
| PF Currency Strategies | — | — | 5,947,663 | 737,207 | ||||||||||||
| PF Global Absolute Return | 13,485,150 | 14,787,401 | 118,905,725 | 147,953,499 | ||||||||||||
D-20
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
10. SECURED BORROWINGS
The contractual maturity of secured borrowings and type of collateral pledged as of March 31, 2016, are summarized in the following table:
| Remaining Contractual Maturity of the Agreements | ||||||||||||||||||||||
| Secured Borrowings | Collateral Type | Overnight and Continuous |
Up to 30 days | 31-90 days | Greater Than 90 Days |
Total | ||||||||||||||||
| PF Inflation Managed |
||||||||||||||||||||||
| Sale-buyback financing transactions |
U.S. Treasury Obligations | $— | $18,840,729 | $— | $— | $18,840,729 | ||||||||||||||||
| Total borrowings |
$— | $18,840,729 | $— | $— | $18,840,729 | |||||||||||||||||
| PF Managed Bond |
||||||||||||||||||||||
| Sale-buyback financing transactions |
U.S. Treasury Obligations | $— | $3,691,637 | $— | $— | $3,691,637 | ||||||||||||||||
| Total borrowings |
$— | $3,691,637 | $— | $— | $3,691,637 | |||||||||||||||||
11. FEDERAL INCOME TAX INFORMATION
Each Fund intends to qualify each year as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code (the “Code”). A Fund that qualifies as a RIC does not have to pay income tax as long as it distributes sufficient taxable income and net capital gains. Each Fund declared and paid sufficient dividends on net investment income and capital gains distributions during the year or period ended March 31, 2016, to qualify as a RIC and is not required to pay Federal income tax under the Code. Accordingly, no provision for Federal income taxes is required in the financial statements. Required distributions are based on net investment income and net realized gains determined in accordance with income tax regulations, which may differ from U.S. GAAP for financial reporting purposes. These differences are primarily due to differing treatments for sale-buyback financing transactions, futures and options, swap income, paydown gain/loss, partnership income, foreign currency transactions, passive foreign investment companies, late year ordinary and post-October capital losses, capital loss carryforwards, and losses deferred due to wash sales. Permanent book and tax differences relating to shareholder distributions will result in reclassifications of capital accounts. In addition, the year in which amounts are distributed may differ from the year in which the net investment income is earned and the net gains are realized by each Fund.
The following table shows the accumulated capital losses and components of distributable earnings on a tax basis, and late year ordinary losses and post-October capital losses deferred, if any, as of March 31, 2016:
| Distributable Earnings | Late-Year Ordinary and Post-October Losses Deferral |
|||||||||||||||||||||||||||||
| Fund | Accumulated Capital Losses |
Undistributed Ordinary Income |
Undistributed Long-Term Capital Gains |
Late-Year Ordinary Losses |
Short-Term Capital Losses |
Long-Term Capital Losses |
Total | |||||||||||||||||||||||
| PF Floating Rate Loan |
($2,585,690 | ) | $872,239 | $— | $— | $— | $— | $— | ||||||||||||||||||||||
| PF Inflation Managed |
(9,421,623 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
| PF Managed Bond |
— | 1,904,158 | — | — | — | — | — | |||||||||||||||||||||||
| PF Short Duration Bond |
(2,027,523 | ) | 299,604 | — | — | — | — | — | ||||||||||||||||||||||
| PF Emerging Markets Debt |
(7,408,593 | ) | — | — | 477,405 | — | — | 477,405 | ||||||||||||||||||||||
| PF Comstock |
— | 1,361,600 | 3,180,298 | — | — | — | — | |||||||||||||||||||||||
| PF Growth |
— | — | — | — | 777,983 | (652,446 | ) | 125,537 | ||||||||||||||||||||||
| PF Large-Cap Growth |
— | 115,659 | — | — | 4,323,276 | (4,295,767 | ) | 27,509 | ||||||||||||||||||||||
| PF Large-Cap Value |
— | 1,107,948 | 2,233,694 | — | — | — | — | |||||||||||||||||||||||
| PF Main Street Core |
— | 429,751 | 314,668 | — | — | — | — | |||||||||||||||||||||||
| PF Mid-Cap Equity |
— | 685,032 | — | — | 6,943,590 | (2,225,155 | ) | 4,718,435 | ||||||||||||||||||||||
| PF Mid-Cap Growth |
— | 197,631 | — | — | 307,059 | 483,669 | 790,728 | |||||||||||||||||||||||
| PF Mid-Cap Value |
(5,665,619 | ) | 889,328 | — | — | — | — | — | ||||||||||||||||||||||
| PF Small-Cap Growth |
— | — | — | 30,675 | 7,384,038 | (238,751 | ) | 7,175,962 | ||||||||||||||||||||||
| PF Small-Cap Value |
(2,068,574 | ) | 559,345 | — | — | — | — | — | ||||||||||||||||||||||
| PF Emerging Markets |
(19,245,692 | ) | 602,482 | — | — | — | — | — | ||||||||||||||||||||||
| PF International Large-Cap |
(58,376 | ) | 1,326,166 | — | — | 4,354,848 | 4,086,487 | 8,441,335 | ||||||||||||||||||||||
| PF International Small-Cap |
— | 153,875 | — | — | 1,839,532 | 1,245,984 | 3,085,516 | |||||||||||||||||||||||
| PF International Value |
(54,119,177 | ) | 1,542,470 | — | — | — | — | — | ||||||||||||||||||||||
| PF Real Estate |
— | 406,579 | 1,182,756 | — | — | — | — | |||||||||||||||||||||||
| PF Absolute Return |
(5,038,117 | ) | — | — | 1,371,646 | — | — | 1,371,646 | ||||||||||||||||||||||
| PF Currency Strategies |
(1,853 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
| PF Equity Long/Short |
(6,242,730 | ) | 12,227,818 | — | — | — | — | — | ||||||||||||||||||||||
| PF Global Absolute Return |
(5,463,318 | ) | 3,029,845 | — | — | — | — | — | ||||||||||||||||||||||
D-21
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Accumulated capital losses represent net capital loss carryovers as of March 31, 2016 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. The following table shows the expiration dates and the amounts of capital loss carryover, if any, by each of the applicable Funds as of March 31, 2016 and capital loss carryover from prior years utilized during the year ended March 31, 2016:
| Unlimited Period of Net | Accumulated Capital Loss Carryover |
Capital Loss Carryover Utilized During the Year Ended March 31, 2016 |
||||||||||||||||||||||||||||
| Net Capital Loss Carryover Expiring In | Capital Loss Carryover | |||||||||||||||||||||||||||||
| Fund | 2017 | 2018 | 2019 | Short-Term | Long-Term | |||||||||||||||||||||||||
| PF Floating Rate Loan |
$— | $— | $— | ($43,480 | ) | ($2,542,210 | ) | ($2,585,690 | ) | $319,721 | ||||||||||||||||||||
| PF Inflation Managed |
— | — | — | (1,599,978 | ) | (7,821,645 | ) | (9,421,623 | ) | — | ||||||||||||||||||||
| PF Short Duration Bond |
— | — | — | (878,741 | ) | (1,148,782 | ) | (2,027,523 | ) | — | ||||||||||||||||||||
| PF Emerging Markets Debt |
— | — | — | (3,069,479 | ) | (4,339,114 | ) | (7,408,593 | ) | — | ||||||||||||||||||||
| PF Mid-Cap Value |
— | — | — | (5,260,010 | ) | (405,609 | ) | (5,665,619 | ) | — | ||||||||||||||||||||
| PF Small-Cap Value |
— | — | — | (1,527,831 | ) | (540,743 | ) | (2,068,574 | ) | — | ||||||||||||||||||||
| PF Emerging Markets |
— | — | — | (9,175,779 | ) | (10,069,913 | ) | (19,245,692 | ) | — | ||||||||||||||||||||
| PF International Large-Cap |
— | — | (58,376 | ) | — | — | (58,376 | ) | 5,092,741 | |||||||||||||||||||||
| PF International Value |
(5,634,042 | ) | (38,541,418 | ) | — | (7,801,415 | ) | (2,142,302 | ) | (54,119,177 | ) | — | ||||||||||||||||||
| PF Absolute Return |
— | — | — | (4,186,607 | ) | (851,510 | ) | (5,038,117 | ) | — | ||||||||||||||||||||
| PF Currency Strategies |
— | — | — | (1,853 | ) | — | (1,853 | ) | 4,084 | |||||||||||||||||||||
| PF Equity Long/Short |
— | — | — | (5,139,960 | ) | (1,102,770 | ) | (6,242,730 | ) | — | ||||||||||||||||||||
| PF Global Absolute Return |
— | — | — | (3,488,049 | ) | (1,975,269 | ) | (5,463,318 | ) | — | ||||||||||||||||||||
The aggregate cost of investments and the composition of unrealized appreciation and depreciation on investments for Federal income tax purposes as of March 31, 2016, were as follows:
| Fund | Total Cost of Investments on Tax Basis (1) |
Gross Unrealized on Investments |
Gross Unrealized |
Net Unrealized Appreciation (Depreciation) on Investments |
||||||||||||
| PF Floating Rate Loan |
$85,960,563 | $620,523 | ($6,049,511 | ) | ($5,428,988 | ) | ||||||||||
| PF Inflation Managed |
72,655,245 | 1,745,849 | (2,246,003 | ) | (500,154 | ) | ||||||||||
| PF Managed Bond |
474,864,591 | 11,921,069 | (14,500,336 | ) | (2,579,267 | ) | ||||||||||
| PF Short Duration Bond |
76,440,838 | 430,598 | (539,200 | ) | (108,602 | ) | ||||||||||
| PF Emerging Markets Debt |
109,039,366 | 3,390,833 | (9,355,249 | ) | (5,964,416 | ) | ||||||||||
| PF Comstock |
172,513,603 | 59,133,667 | (16,775,588 | ) | 42,358,079 | |||||||||||
| PF Growth |
91,633,930 | 32,643,795 | (1,502,049 | ) | 31,141,746 | |||||||||||
| PF Large-Cap Growth |
126,873,627 | 27,805,437 | (2,811,904 | ) | 24,993,533 | |||||||||||
| PF Large-Cap Value |
192,464,989 | 116,279,969 | (9,156,465 | ) | 107,123,504 | |||||||||||
| PF Main Street Core |
167,885,248 | 47,957,092 | (4,719,331 | ) | 43,237,761 | |||||||||||
| PF Mid-Cap Equity |
155,343,203 | 20,669,530 | (6,376,480 | ) | 14,293,050 | |||||||||||
| PF Mid-Cap Growth |
57,385,164 | 8,582,081 | (6,971,124 | ) | 1,610,957 | |||||||||||
| PF Mid-Cap Value |
253,386,198 | 14,771,325 | (17,941,296 | ) | (3,169,971 | ) | ||||||||||
| PF Small-Cap Growth |
38,779,269 | 5,041,860 | (1,681,213 | ) | 3,360,647 | |||||||||||
| PF Small-Cap Value |
189,102,968 | 24,311,256 | (14,193,983 | ) | 10,117,273 | |||||||||||
| PF Emerging Markets |
102,983,770 | 27,735,855 | (13,040,641 | ) | 14,695,214 | |||||||||||
| PF International Large-Cap |
254,959,998 | 59,765,963 | (26,034,460 | ) | 33,731,503 | |||||||||||
| PF International Small-Cap |
110,857,046 | 13,933,949 | (7,660,443 | ) | 6,273,506 | |||||||||||
| PF International Value |
138,383,414 | 12,228,878 | (11,520,944 | ) | 707,934 | |||||||||||
| PF Real Estate |
48,965,957 | 23,609,839 | (2,156,588 | ) | 21,453,251 | |||||||||||
| PF Absolute Return |
66,133,407 | 920,645 | (1,402,210 | ) | (481,565 | ) | ||||||||||
| PF Currency Strategies |
131,434,318 | 373,305 | (262,554 | ) | 110,751 | |||||||||||
| PF Equity Long/Short |
141,904,625 | — | (13,048,596 | ) | (13,048,596 | ) | ||||||||||
| PF Global Absolute Return |
137,474,295 | 1,999,817 | (4,754,882 | ) | (2,755,065 | ) | ||||||||||
| (1) | The difference between tax cost of investments on tax basis and total investments, at cost, as presented in the Statements of Assets and Liabilities is primarily due to wash sale loss deferrals, investments in passive foreign investment companies, straddle loss deferrals, partnerships, and differing treatments for sale-buyback financing transactions and U.S. Treasury Inflation Protected Securities. |
Each Fund recognizes the financial statement effects of a tax position taken or expected to be taken in a tax return when it is more likely than not, based on the technical merits, that the position will be sustained upon examination by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax liability for unrecognized tax benefits with a corresponding income tax expense. Management has analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions and has determined that no provision for income tax is required in the financial statements. Each Fund remains subject to examination by Federal and State tax authorities for the returns filed for tax years ended as of and after March 31, 2012.
D-22
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
12. TAX CHARACTER OF DISTRIBUTIONS
The tax character of income and capital gains distributions to shareholders during the year or period ended March 31, 2016 and 2015, were as follows:
| For the Year or Period Ended March 31, 2016 | For the Year or Period Ended March 31, 2015 | |||||||||||||||||||||||||
| Funds | Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
||||||||||||||||||||
| PF Floating Rate Loan |
$4,102,066 | $— | $4,102,066 | $4,425,695 | $17,082 | $4,442,777 | ||||||||||||||||||||
| PF Inflation Managed |
— | — | — | 3,604,677 | — | 3,604,677 | ||||||||||||||||||||
| PF Managed Bond |
20,008,630 | 4,606,718 | 24,615,348 | 19,686,964 | 2,358,853 | 22,045,817 | ||||||||||||||||||||
| PF Short Duration Bond |
1,592,671 | — | 1,592,671 | 3,085,384 | — | 3,085,384 | ||||||||||||||||||||
| PF Emerging Markets Debt |
112,217 | — | 112,217 | 5,962,219 | — | 5,962,219 | ||||||||||||||||||||
| PF Comstock |
5,679,637 | 25,998,618 | 31,678,255 | 5,782,909 | 20,835,136 | 26,618,045 | ||||||||||||||||||||
| PF Growth |
616,981 | 5,369,917 | 5,986,898 | 516,621 | 1,456,228 | 1,972,849 | ||||||||||||||||||||
| PF Large-Cap Growth |
201,555 | 18,902,503 | 19,104,058 | 7,264,938 | 10,828,879 | 18,093,817 | ||||||||||||||||||||
| PF Large-Cap Value |
5,763,319 | 22,737,270 | 28,500,589 | 7,915,128 | 28,296,928 | 36,212,056 | ||||||||||||||||||||
| PF Main Street Core |
4,155,658 | 33,983,130 | 38,138,788 | 4,972,594 | 31,403,060 | 36,375,654 | ||||||||||||||||||||
| PF Mid-Cap Equity |
2,181,564 | 14,049,077 | 16,230,641 | 7,669,254 | 16,838,576 | 24,507,830 | ||||||||||||||||||||
| PF Mid-Cap Growth |
998,612 | 4,719,142 | 5,717,754 | 3,048,287 | 825,598 | 3,873,885 | ||||||||||||||||||||
| PF Mid-Cap Value |
1,349,467 | — | 1,349,467 | |||||||||||||||||||||||
| PF Small-Cap Growth |
— | 6,615,823 | 6,615,823 | — | 9,980,804 | 9,980,804 | ||||||||||||||||||||
| PF Small-Cap Value |
874,674 | 537,129 | 1,411,803 | 7,232,658 | 37,104,460 | 44,337,118 | ||||||||||||||||||||
| PF Emerging Markets |
1,160,519 | — | 1,160,519 | 2,127,430 | 4,072,435 | 6,199,865 | ||||||||||||||||||||
| PF International Large-Cap |
2,882,307 | — | 2,882,307 | 4,006,574 | — | 4,006,574 | ||||||||||||||||||||
| PF International Small-Cap |
5,099,402 | 40,950 | 5,140,352 | — | — | — | ||||||||||||||||||||
| PF International Value |
2,279,281 | — | 2,279,281 | 6,815,945 | — | 6,815,945 | ||||||||||||||||||||
| PF Real Estate |
1,010,714 | 4,842,696 | 5,853,410 | 962,640 | 1,075,569 | 2,038,209 | ||||||||||||||||||||
| PF Absolute Return |
1,121,479 | — | 1,121,479 | |||||||||||||||||||||||
| PF Currency Strategies |
2,682,631 | — | 2,682,631 | 4,113,282 | — | 4,113,282 | ||||||||||||||||||||
| PF Equity Long/Short |
23,876,574 | — | 23,876,574 | |||||||||||||||||||||||
| PF Global Absolute Return |
11,762,214 | — | 11,762,214 | 9,239,168 | — | 9,239,168 | ||||||||||||||||||||
13. RECLASSIFICATION OF ACCOUNTS
During the year ended March 31, 2016, reclassifications as shown in the following table have been made in each Fund’s capital accounts to report these balances on a tax basis, excluding certain temporary differences, as of March 31, 2016. Additional adjustments may be required in subsequent reporting periods. These reclassifications, which have no impact on the NAV of the Funds, are primarily attributable to reclassifications of sale-buyback financing transactions, foreign currency transactions, non-deductible expenses, swap income, redesignation of dividends paid, treatment of net operating losses and capital gains under Federal tax rules versus U.S. GAAP. The calculation of net investment income per share in the financial highlights excludes these adjustments.
| Fund | Paid-In Capital | Undistributed/ Accumulated Net Investment Income (Loss) |
Undistributed/ Accumulated |
|||||||||
| PF Inflation Managed |
($779,762 | ) | $142,403 | $637,359 | ||||||||
| PF Managed Bond |
— | 2,419,956 | (2,419,956 | ) | ||||||||
| PF Short Duration Bond |
— | 311,987 | (311,987 | ) | ||||||||
| PF Emerging Markets Debt |
— | (7,451,008 | ) | 7,451,008 | ||||||||
| PF Comstock |
— | (283,659 | ) | 283,659 | ||||||||
| PF Growth |
(505,989 | ) | 498,389 | 7,600 | ||||||||
| PF Large-Cap Growth |
— | 387,721 | (387,721 | ) | ||||||||
| PF Large-Cap Value |
— | (123,881 | ) | 123,881 | ||||||||
| PF Main Street Core |
— | (252,919 | ) | 252,919 | ||||||||
| PF Mid-Cap Equity |
— | (14,473 | ) | 14,473 | ||||||||
| PF Mid-Cap Growth |
— | 83,118 | (83,118 | ) | ||||||||
| PF Mid-Cap Value |
(1,349 | ) | (5,790 | ) | 7,139 | |||||||
| PF Small-Cap Growth |
— | 283,478 | (283,478 | ) | ||||||||
| PF Small-Cap Value |
— | (6,842 | ) | 6,842 | ||||||||
| PF Emerging Markets |
— | (207,098 | ) | 207,098 | ||||||||
| PF International Large-Cap |
— | (725,098 | ) | 725,098 | ||||||||
| PF International Small-Cap |
(374 | ) | 139,296 | (138,922 | ) | |||||||
| PF International Value |
— | 98,223 | (98,223 | ) | ||||||||
| PF Absolute Return |
(52,635 | ) | (354,403 | ) | 407,038 | |||||||
| PF Currency Strategies |
(2,925,997 | ) | 6,777,195 | (3,851,198 | ) | |||||||
| PF Equity Long/Short |
(35,947 | ) | 23,804,914 | (23,768,967 | ) | |||||||
| PF Global Absolute Return |
— | 1,904,874 | (1,904,874 | ) | ||||||||
D-23
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
14. SHARES OF BENEFICIAL INTEREST
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with no par value. Changes in shares of beneficial interest of each Fund for the year or period ended March 31, 2016 and 2015, were as follows:
| Year/Period ended 3/31/2016 |
Year ended 3/31/2015 |
Year ended 3/31/2016 |
Year/Period ended 3/31/2015 |
Year/Period ended 3/31/2016 |
Year ended 3/31/2015 |
Year ended 3/31/2016 |
Year ended 3/31/2015 |
|||||||||||||||||||||||||||||||
| PF Floating Rate Loan Fund |
PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
|||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
245,978 | 1,230,881 | 529,328 | 1,729,290 | 1,353,242 | 8,641,636 | 216,521 | 3,208,915 | ||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
457,310 | 458,889 | — | 415,764 | 2,353,699 | 2,024,643 | 163,183 | 310,401 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(4,845,825 | ) | (1,071,089 | ) | (8,881,939 | ) | (8,831,217 | ) | (22,053,308 | ) | (6,323,155 | ) | (13,983,370 | ) | (5,013,668 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(4,142,537 | ) | 618,681 | (8,352,611 | ) | (6,686,163 | ) | (18,346,367 | ) | 4,343,124 | (13,603,666 | ) | (1,494,352 | ) | ||||||||||||||||||||||||
| Beginning shares outstanding |
12,873,399 | 12,254,718 | 14,332,668 | 21,018,831 | 58,223,245 | 53,880,121 | 21,320,162 | 22,814,514 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
8,730,862 | 12,873,399 | 5,980,057 | 14,332,668 | 39,876,878 | 58,223,245 | 7,716,496 | 21,320,162 | ||||||||||||||||||||||||||||||
| PF Emerging Markets Debt Fund |
PF Comstock Fund |
PF Growth Fund |
PF Large-Cap Growth Fund |
|||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,121,307 | 5,766,262 | 1,053,523 | 482,602 | 631,559 | 2,136,098 | 1,585,938 | 1,522,605 | ||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
13,186 | 671,421 | 2,166,055 | 1,516,836 | 306,430 | 104,361 | 1,912,318 | 1,746,507 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(7,522,550 | ) | (1,677,735 | ) | (3,289,789 | ) | (3,727,001 | ) | (2,078,022 | ) | (424,003 | ) | (5,760,996 | ) | (1,459,489 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(6,388,057 | ) | 4,759,948 | (70,211 | ) | (1,727,563 | ) | (1,140,033 | ) | 1,816,456 | (2,262,740 | ) | 1,809,623 | |||||||||||||||||||||||||
| Beginning shares outstanding |
18,222,711 | 13,462,763 | 15,796,726 | 17,524,289 | 7,661,104 | 5,844,648 | 18,601,085 | 16,791,462 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
11,834,654 | 18,222,711 | 15,726,515 | 15,796,726 | 6,521,071 | 7,661,104 | 16,338,345 | 18,601,085 | ||||||||||||||||||||||||||||||
| PF Large-Cap Value Fund |
PF Main Street Core Fund |
PF Mid-Cap Equity Fund |
PF Mid-Cap Growth Fund |
|||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,514,235 | 361,636 | 1,526,901 | 1,174,490 | 176,662 | 3,392,520 | 232,916 | 391,121 | ||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
1,883,192 | 2,135,114 | 3,070,189 | 2,539,706 | 1,485,419 | 2,143,418 | 784,387 | 461,649 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(4,029,243 | ) | (4,325,277 | ) | (6,181,220 | ) | (2,066,816 | ) | (3,668,440 | ) | (928,195 | ) | (2,620,937 | ) | (2,092,392 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
(631,816 | ) | (1,828,527 | ) | (1,584,130 | ) | 1,647,380 | (2,006,359 | ) | 4,607,743 | (1,603,634 | ) | (1,239,622 | ) | ||||||||||||||||||||||||
| Beginning shares outstanding |
20,929,922 | 22,758,449 | 18,988,660 | 17,341,280 | 17,956,302 | 13,348,559 | 9,870,298 | 11,109,920 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
20,298,106 | 20,929,922 | 17,404,530 | 18,988,660 | 15,949,943 | 17,956,302 | 8,266,664 | 9,870,298 | ||||||||||||||||||||||||||||||
| PF Mid-Cap Value Fund (1) |
PF Small-Cap Growth Fund |
PF Small-Cap Value Fund |
PF Emerging Markets Fund |
|||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
27,356,653 | 955,583 | 1,647,600 | 7,078,218 | 408,539 | 3,973,956 | 1,127,924 | |||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
136,724 | 581,867 | 727,464 | 139,247 | 4,505,238 | 98,017 | 434,908 | |||||||||||||||||||||||||||||||
| Shares repurchased |
(1,680,356 | ) | (2,886,893 | ) | (574,546 | ) | (1,509,454 | ) | (1,868,509 | ) | (4,482,663 | ) | (1,778,242 | ) | ||||||||||||||||||||||||
| Net increase (decrease) |
25,813,021 | (1,349,443 | ) | 1,800,518 | 5,708,011 | 3,045,268 | (410,690 | ) | (215,410 | ) | ||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | 5,656,228 | 3,855,710 | 13,946,195 | 10,900,927 | 10,178,165 | 10,393,575 | |||||||||||||||||||||||||||||||
| Ending shares outstanding |
25,813,021 | 4,306,785 | 5,656,228 | 19,654,206 | 13,946,195 | 9,767,475 | 10,178,165 | |||||||||||||||||||||||||||||||
| PF International Large-Cap Fund |
PF International Small-Cap Fund (2) |
PF International Value Fund |
PF Real Estate Fund |
|||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
7,804,302 | 3,601,288 | 859,937 | 12,087,220 | 4,197,745 | 2,933,931 | 1,443,867 | 206,512 | ||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
165,080 | 226,488 | 489,907 | — | 255,812 | 736,859 | 389,036 | 124,971 | ||||||||||||||||||||||||||||||
| Shares repurchased |
(2,545,885 | ) | (4,919,463 | ) | (1,730,909 | ) | (159,095 | ) | (2,592,437 | ) | (5,759,382 | ) | (343,952 | ) | (2,602,346 | ) | ||||||||||||||||||||||
| Net increase (decrease) |
5,423,497 | (1,091,687 | ) | (381,065 | ) | 11,928,125 | 1,861,120 | (2,088,592 | ) | 1,488,951 | (2,270,863 | ) | ||||||||||||||||||||||||||
| Beginning shares outstanding |
11,939,709 | 13,031,396 | 11,928,125 | — | 15,006,164 | 17,094,756 | 2,932,758 | 5,203,621 | ||||||||||||||||||||||||||||||
| Ending shares outstanding |
17,363,206 | 11,939,709 | 11,547,060 | 11,928,125 | 16,867,284 | 15,006,164 | 4,421,709 | 2,932,758 | ||||||||||||||||||||||||||||||
| PF Absolute Return Fund (3) |
PF Currency Strategies Fund |
PF Equity Long/Short Fund (3) |
PF Global Absolute Return Fund |
|||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||
| Shares sold |
10,886,947 | 700,085 | 6,658,387 | 16,656,601 | 2,777,907 | 979,298 | ||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
118,675 | 276,560 | 416,746 | 2,359,345 | 1,285,488 | 952,492 | ||||||||||||||||||||||||||||||||
| Shares repurchased |
(3,457,030 | ) | (6,841,081 | ) | (2,083,100 | ) | (2,768,069 | ) | (7,192,608 | ) | (4,688,664 | ) | ||||||||||||||||||||||||||
| Net increase (decrease) |
7,548,592 | (5,864,436 | ) | 4,992,033 | 16,247,877 | (3,129,213 | ) | (2,756,874 | ) | |||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | 18,912,615 | 13,920,582 | — | 17,713,339 | 20,470,213 | ||||||||||||||||||||||||||||||||
| Ending shares outstanding |
7,548,592 | 13,048,179 | 18,912,615 | 16,247,877 | 14,584,126 | 17,713,339 | ||||||||||||||||||||||||||||||||
| (1) | PF Mid-Cap Value Fund commenced operations on July 29, 2015. |
| (2) | PF International Small-Cap Fund commenced operations on January 14, 2015. |
| (3) | PF Absolute Return and PF Equity Long/Short Funds commenced operations on April 27, 2015. |
D-24
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees and Shareholders of
Pacific Funds Series Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of PF Floating Rate Loan Fund, PF Inflation Managed Fund, PF Managed Bond Fund, PF Short Duration Bond Fund, PF Emerging Markets Debt Fund, PF Comstock Fund, PF Growth Fund, PF Large-Cap Growth Fund, PF Large-Cap Value Fund, PF Main Street® Core Fund, PF Mid-Cap Equity Fund, PF Mid-Cap Growth Fund, PF Mid-Cap Value Fund, PF Small-Cap Growth Fund, PF Small-Cap Value Fund, PF Emerging Markets Fund, PF International Large-Cap Fund, PF International Small-Cap Fund, PF International Value Fund, PF Real Estate Fund, PF Absolute Return Fund, PF Currency Strategies Fund, PF Equity Long/Short Fund, and PF Global Absolute Return Fund (collectively the “Funds”) (twenty-four of forty-two funds comprising Pacific Funds Series Trust) as of March 31, 2016, the related statements of operations for the year then ended (as to PF Mid-Cap Value Fund, for the period from July 29, 2015 (commencement of operations) through March 31, 2016; as to PF Absolute Return Fund and PF Equity Long/Short Fund, for the period from April 27, 2015 (commencement of operations) through March 31, 2016), the statements of changes in net assets for each of the two years in the period then ended (as to PF Mid-Cap Value Fund, for the period from July 29, 2015 (commencement of operations) through March 31, 2016; as to PF International Small-Cap Fund, for the year ended March 31, 2016 and for the period from January 14, 2015 (commencement of operations) through March 31, 2015; as to PF Absolute Return Fund and PF Equity Long/Short Fund, for the period from April 27, 2015 (commencement of operations) through March 31, 2016), the statement of cash flows for the year then ended for the PF Inflation Managed Fund, and the financial highlights for each of the periods presented. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of investments owned as of March 31, 2016, by correspondence with the custodian, agent banks, transfer agent, and brokers; where replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the respective Funds as of March 31, 2016, and the results of their operations, the changes in their net assets, the cash flows for the PF Inflation Managed Fund, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
Philadelphia, Pennsylvania
May 26, 2016
E-1
PACIFIC FUNDS
(Unaudited)
For corporate shareholders, the percentage of investment income (dividend income and short-term gains, if any) for each of the Funds that qualify for the dividends-received deductions for the year ended March 31, 2016 is as follows:
| Fund | Percentage | |||
| PF Comstock |
73.89% | |||
| PF Growth |
100.00% | |||
| PF Large-Cap Growth |
100.00% | |||
| PF Large-Cap Value |
100.00% | |||
| PF Main Street Core |
84.23% | |||
| PF Mid-Cap Equity |
100.00% | |||
| PF Mid-Cap Growth |
44.99% | |||
| PF Mid-Cap Value |
100.00% | |||
| PF Small-Cap Value |
26.39% | |||
| PF Emerging Markets |
1.99% | |||
| PF International Large-Cap |
2.85% | |||
| PF Real Estate |
2.53% | |||
For the year ended March 31, 2016 certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided by the Jobs and Growth Relief Reconciliation Act of 2003. Of the distributions made by the following Funds, the corresponding percentages represent the amount of each distribution which may qualify for the 15% dividend income tax rate.
| Fund | Percentage | |||
| PF Comstock |
86.68% | |||
| PF Growth |
100.00% | |||
| PF Large-Cap Growth |
100.00% | |||
| PF Large-Cap Value |
100.00% | |||
| PF Main Street Core |
87.98% | |||
| PF Mid-Cap Equity |
100.00% | |||
| PF Mid-Cap Growth |
46.67% | |||
| PF Mid-Cap Value |
100.00% | |||
| PF Small-Cap Value |
28.24% | |||
| PF Emerging Markets |
79.82% | |||
| PF International Large-Cap |
100.00% | |||
| PF International Small-Cap |
62.85% | |||
| PF International Value |
100.00% | |||
| PF Real Estate |
6.60% | |||
| PF Global Absolute Return |
0.18% | |||
Shareholders should not use the above tax information to prepare their tax returns. The information will be included in your Form 1099 DIV, which will be sent to you separately in January 2017. The Funds intend to pass through the maximum allowable percentages to shareholders.
The following Funds designated the listed amounts as long-term capital gain dividends during the year ended March 31, 2016. Distributable long-term gains are based on net realized long-term gains determined on a tax basis and may differ from such amounts for financial reporting purposes.
| Fund | Amount | |||
| PF Managed Bond |
$4,606,718 | |||
| PF Comstock |
25,998,618 | |||
| PF Growth |
5,369,917 | |||
| PF Large-Cap Growth |
18,902,503 | |||
| PF Large-Cap Value |
22,737,270 | |||
| PF Main Street Core |
33,983,130 | |||
| PF Mid-Cap Equity |
14,049,077 | |||
| PF Mid-Cap Growth |
4,719,142 | |||
| PF Small-Cap Growth |
6,615,823 | |||
| PF Small-Cap Value |
537,129 | |||
| PF International Small-Cap |
40,950 | |||
| PF Real Estate |
4,842,696 | |||
F-1
PACIFIC FUNDS
(Unaudited)
See explanation of references on page F-3
F-2
PACIFIC FUNDS
DISCLOSURE OF FUND EXPENSES (Continued)
(Unaudited)
F-3
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION
The business and affairs of the Pacific Funds Series Trust (which may be referred to as “Pacific Funds” or the “Trust”) are managed under the direction of the Board of Trustees under the Declaration of Trust. Information pertaining to the trustees and officers of the Trust is set forth below. Trustees who are not deemed to be “interested persons” of the Trust, as defined in the 1940 Act, are referred to as “Independent Trustees.” Certain trustees and officers are deemed to be “interested persons” of the Trust and thus are referred to as “Interested Persons”, because of their positions with Pacific Life Insurance Company (“Pacific Life”) and Pacific Life Fund Advisors LLC, a wholly-owned subsidiary of Pacific Life. The Trust’s Statement of Additional Information includes additional information about the trustees. For information on availability of the Trust’s Statement of Additional Information, refer to the WHERE TO GO FOR MORE INFORMATION section of this report.
The address of each trustee and officer is c/o Pacific Funds Series Trust, 700 Newport Center Drive, Newport Beach, CA 92660.
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) (and certain additional occupation information) During Past 5 years |
Number of Funds in Fund Complex Overseen** | |||
| INDEPENDENT TRUSTEES | ||||||
| Frederick L. Blackmon Year of birth 1952 |
Trustee since 9/13/05 | Trustee (1/05 to present) of Pacific Select Fund; Director (2005 to present) of Trustmark Mutual Holding Company; Former Executive Vice President and Chief Financial Officer (1995 to 2003) of Zurich Life; Former Executive Vice President and Chief Financial Officer (1989 to 1995) of Alexander Hamilton Life Insurance Company (subsidiary of Household International); Member of Board of Trustees (2010 to present) of Cranbrook Educational Community; Former Member of Board of Governors (1994 to 1999) of Cranbrook Schools; and Former Member of Board of Regents (1993 to 1996) Eastern Michigan University. | 98 | |||
| Gale K. Caruso Year of birth 1957 |
Trustee since 1/01/06 | Trustee (1/06 to present) of Pacific Select Fund; Independent Trustee (2015 to present) of Matthews Asia Funds; Former Member of the Board of Directors (2005 to 2009) of LandAmerica Financial Group, Inc.; Former President and Chief Executive Officer (1999 to 2003) of Zurich Life; Former Chairman, President and Chief Executive Officer (1994 to 1999) of Scudder Canada Investor Services, Ltd. and Managing Director (1986 to 1999) of Scudder Kemper Investments; Former Member of the Advisory Council to the Trust (2006 to 2009) for Public Land in Maine; and Former Member of the Board of Directors (2005 to 2012) of Make-A-Wish of Maine. | 98 | |||
| Lucie H. Moore Year of birth 1956 |
Trustee since 6/13/01 | Trustee (10/98 to present) of Pacific Select Fund; Former Partner (1984 to 1994) with Gibson, Dunn & Crutcher (Law); Member of Board of Trustee (2014 to present) of Azusa Pacific University; Former Member of the Board of Trustees (2007 to 2011) of Sage Hill School; Former Member (2000 to 2009) of the Board of Trustees of The Pegasus School; Former Member of the Board of Directors (2005 to 2010) of HomeWord (non-profit donor supported ministry); and Former Member of the Advisory Board (1993 to 2004) of Court Appointed Special Advocates (CASA) of Orange County. | 98 | |||
| Nooruddin (Rudy) S. Veerjee Year of birth 1958 |
Trustee since 9/13/05 | Trustee (1/05 to present) of Pacific Select Fund; Former President (1997 to 2000) of Transamerica Insurance and Investment Group; Former President (1994 to 1997) of Transamerica Asset Management; Former Chairman and Chief Executive Officer (1995 to 2000) of Transamerica Premier Funds (Mutual Fund); and Former Director (1994 to 2000) of various Transamerica Life Companies. | 98 | |||
| G. Thomas Willis Year of birth 1942 |
Trustee since 2/24/04 | Trustee (11/03 to present) of Pacific Select Fund; Certified Public Accountant in California (1967 to present); Former Partner (Audit) (1976 to 2002) of PricewaterhouseCoopers LLP (Accounting and Auditing). | 98 | |||
F-4
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) (and certain additional occupation information) During Past 5 years |
Number of Funds in Fund Complex Overseen** | |||
| INTERESTED PERSONS |
||||||
| James T. Morris Year of birth 1960 |
Chairman of the Board and Trustee since 1/11/07, (Chief Executive Officer 1/11/07 to 12/31/09) | Director (4/07 to present), Chairman (5/08 to present), Chief Executive Officer (4/07 to present) and President (4/07 to 3/12; 1/16 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Director (4/07 to present), Chairman (5/08 to present), Chief Executive Officer (4/07 to present) and President (4/07 to 3/12; 1/16 to present) of Pacific Life; Chief Executive Officer (5/07 to 10/15) and President (5/07 to 3/12) of Pacific Life Fund Advisors LLC; and Chairman of the Board and Trustee (1/07 to present) and Chief Executive Officer (1/07 to 12/09) of Pacific Select Fund. | 98 | |||
| Mary Ann Brown Year of birth 1951 |
Chief Executive Officer since 1/01/10, (President 1/11/07 to 12/31/09) | Executive Vice President (4/10 to present) and Senior Vice President (5/06 to 3/10) of Pacific LifeCorp; Executive Vice President (4/10 to present) and Senior Vice President (3/05 to 3/10) of Pacific Life; Executive Vice President (4/10 to present) and Senior Vice President (5/07 to 3/10) of Pacific Life Fund Advisors LLC; and Chief Executive Officer (1/10 to present) and President (1/07 to 12/09) of Pacific Select Fund. | 98 | |||
| Howard T. Hirakawa Year of birth 1962 |
Senior Vice President since 12/10/14 (Vice President since 06/20/06 to 12/09/14) | Senior Vice President (4/14 to present), Vice President (5/07 to 3/14) of Pacific Life Fund Advisors LLC; and Senior Vice President (12/14 to present) and Vice President (6/06 to 12/14) of Pacific Select Fund. | 98 | |||
| Robin S. Yonis Year of birth 1954 |
Vice President and General Counsel since 6/13/01 and Assistant Secretary since 9/17/15 | Vice President, Fund Advisor General Counsel and Assistant Secretary (5/07 to present) of Pacific Life Fund Advisors LLC; and Vice President and General Counsel (4/05 to present) and Assistant Secretary (9/15 to present) of Pacific Select Fund. | 98 | |||
| Eddie D. Tung Year of birth 1957 |
Vice President since 11/14/05 and Treasurer since 9/17/15 (Assistant Treasurer 11/05 to 9/15) | Vice President (4/15 to present) and Assistant Vice President (4/03 to 3/15) of Pacific Life; Vice President (4/15 to 10/15) and Assistant Vice President (5/07 to 3/15) of Pacific Life Fund Advisors LLC; and Vice President and Treasurer (9/15 to present), Assistant Vice President and Assistant Treasurer (11/05 to 9/15) of Pacific Select Fund. | 98 | |||
| Sharon E. Pacheco Year of birth 1957 |
Vice President and Chief Compliance Officer since 6/04/04 | Vice President and Chief Compliance Officer (11/03 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Vice President (2/00 to present) and Chief Compliance Officer (1/03 to present) of Pacific Life; Vice President and Chief Compliance Officer (5/07 to present) of Pacific Life Fund Advisors LLC; and Vice President and Chief Compliance Officer (6/04 to present) of Pacific Select Fund. | 98 | |||
| Jane M. Guon Year of birth 1964 |
Vice President and Secretary since 1/01/11 | Vice President and Secretary (1/11 to present), Assistant Vice President (4/06 to 12/10) and Assistant Secretary (6/98 to 12/10) of Pacific Mutual Holding Company and Pacific LifeCorp; Director, Vice President, and Secretary (1/11 to present), Assistant Vice President (4/06 to 12/10) and Assistant Secretary (2/95 to 12/10) of Pacific Life; Vice President and Secretary (1/11 to present), and Assistant Vice President and Assistant Secretary (05/07 to 12/10) of Pacific Life Fund Advisors LLC; Vice President and Secretary (1/11 to present), Assistant Vice President (5/06 to 12/10) and Assistant Secretary (5/99 to 12/10) of Pacific Select Distributors, LLC; and Vice President and Secretary (1/11 to present) of Pacific Select Fund. | 98 | |||
F-5
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) (and certain additional occupation information) During Past 5 years |
Number of Funds in Fund Complex Overseen** | |||
| INTERESTED PERSONS (Continued) | ||||||
| Laurene E. MacElwee Year of birth 1966 |
Vice President since 4/04/05 and Assistant Secretary since 6/13/01 | Vice President (4/11 to present), Assistant Secretary (5/07 to present) and Assistant Vice President (5/07 to 3/11) of Pacific Life Fund Advisors LLC; and Vice President (12/11 to present), Assistant Secretary (4/05 to present) and Assistant Vice President (4/05 to 12/11) of Pacific Select Fund. | 98 | |||
| Carleton J. Muench Year of birth 1973 |
Vice President since 11/30/06 | Vice President (4/14 to present), Assistant Vice President (5/07 to 3/14) of Pacific Life Fund Advisors LLC; and Vice President (12/14 to present) and Assistant Vice President (11/06 to 12/14) of Pacific Select Fund. | 98 | |||
| Kevin W. Steiner Year of birth 1975 |
Vice President since 1/01/13 | Assistant Vice President (4/12 to present), Mutual Funds Compliance Director (4/08 to 3/12) and Mutual Funds Compliance Manager (10/06 to 3/08) of Pacific Life Fund Advisors LLC; and Assistant Vice President (1/13 to present) of Pacific Select Fund. | 98 | |||
| Audrey L. Cheng Year of birth 1975 |
Vice President since 12/11/13 | Assistant Vice President (9/11 to present) of Pacific Life; Vice President and Attorney (6/08 to 8/11) of Pacific Investment Management Company LLC (“PIMCO”); and Assistant Vice President (12/13 to present) of Pacific Select Fund. | 98 | |||
| Trevor T. Smith Year of birth 1975 |
Vice President and Assistant Treasurer since 3/23/16 | Director of Variable Products Accounting (04/09 to present) of Pacific Life; and Assistant Vice President and Assistant Treasurer (3/16 to present) of Pacific Select Fund. | 98 | |||
| * | A trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. |
| ** | As of March 31, 2016, the “Fund Complex” consisted of Pacific Select Fund (56 funds) and Pacific Funds (42 funds). |
F-6
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS
(Unaudited)
I. Introduction and Background
The Board of Trustees (the “Trustees” or “Board”) of Pacific Funds Series Trust (“Pacific Funds” or the “Trust”) oversees the management of each of the separate funds of the Trust (each a “Fund” and collectively, the “Funds”) and, as required by Section 15(c) of the Investment Company Act of 1940, as amended (the “1940 Act”), initially approves and, after the initial period, determines annually whether to renew the investment advisory agreement (the “Advisory Agreement”) with Pacific Life Fund Advisors LLC (“PLFA”) and each sub-advisory agreement (the “Sub-Advisory Agreements,” together with the Advisory Agreement, the “Agreements”) with the various sub-advisers (the “Sub-Advisers”). PLFA serves as the investment adviser for all of the Funds and directly manages Pacific Funds Short Duration Income, Pacific Funds Core Income, Pacific Funds Strategic Income, Pacific Funds Floating Rate Income, Pacific Funds Limited Duration High Income and Pacific Funds High Income (the “PAM Managed Funds”) under the name Pacific Asset Management (“PAM”); Pacific Funds Portfolio Optimization Conservative, Pacific Funds Portfolio Optimization Moderate-Conservative, Pacific Funds Portfolio Optimization Moderate, Pacific Funds Portfolio Optimization Growth and Pacific Funds Portfolio Optimization Aggressive-Growth (the “Portfolio Optimization Funds”); and Pacific Funds Diversified Alternatives (together with the Portfolio Optimization Funds, the “Asset Allocation Funds” and together with the Portfolio Optimization Funds and PAM Managed Funds, the “Directly Managed Funds”). For all other Funds, PLFA has retained other firms to serve as Sub-Advisers under PLFA’s supervision. The Board, including all of the Trustees who are not “interested persons,” as that term is defined in the 1940 Act (“Independent Trustees”), last renewed the Agreements at an in-person meeting of the Trustees held on December 9, 2015.1
At this meeting and other meetings, the Board considered information (both written and oral) provided to assist it in its review of the Agreements and made assessments with respect to each Agreement. The Board requested, received and reviewed written materials from PLFA and each Sub-Adviser that were submitted in response to requests from the Independent Trustees and supporting materials relating to those questions and responses. In addition, the Board received in-person presentations about the Funds throughout the year, and the Independent Trustees were advised by independent legal counsel with respect to these and other relevant matters. The Board reviewed a variety of factors and considered a significant amount of information, including information received on an ongoing basis at Board and committee meetings, including reports on Fund performance, expenses, fee comparisons, investment advisory, compliance, and other services provided to the Funds by PLFA and the Sub-Advisers. The Board also reviewed financial and profitability information regarding PLFA and the Sub-Advisers and information regarding the organization and operations of each entity, such as their compliance monitoring, portfolio trading and brokerage practices and the personnel providing investment management and administrative services to each Fund. The Board considered the services provided to the Funds under the Agreements and the fees and expenses incurred by and charged to the Funds under the Agreements. The Board took into account that PLFA and its affiliates provide additional services to the Funds under other affiliated service agreements that are essential for the operation of the Funds and that although PLFA and its affiliates are separately compensated under those affiliated service agreements, these additional services are provided in connection with PLFA’s advisory relationship with the Funds. The Board reviewed data provided by PLFA that was gathered from various independent providers of investment company data to provide the Board with information concerning the Funds’ investment performance, management fees and expense information. Additionally, the Independent Trustees retained an independent consultant (“Independent Consultant”), with substantial industry experience in providing fund boards of directors with analysis to assist them in their annual 15(c) review process, to assist the Trustees with certain of their analyses and to provide other relevant information. In connection with the analysis, the Independent Consultant utilized and provided the Independent Trustees with information obtained from independent service providers as well as from other sources.
The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. In reviewing the materials presented and in considering the information in the management presentations, the Trustees did not identify any single issue or particular information that, in isolation, would be a controlling factor in making a final decision regarding the proposed Agreements. Individual Trustees may have given different weights to certain factors and assigned various degrees of materiality to information received in connection with the approval process. The following summary describes the most important, but not all, of the factors considered by the Trustees in approving the Agreements, and in the case of the Independent Trustees, certain factors were considered in light of the legal advice furnished to them by independent legal counsel and information from the Independent Consultant that they had retained. This discussion is not intended to be all-inclusive.
II. Annual Consideration and Approval of Investment Advisory and Sub-Advisory Agreements
In evaluating the Advisory Agreement and each Sub-Advisory Agreement, the Board, including all the Independent Trustees, considered the following factors, among others:
A. Nature, Extent and Quality of Services
PLFA – The Trustees considered the depth and quality of PLFA’s investment management process, including its monitoring and oversight of the Sub-Advisers and PAM, and the benefits to shareholders of retaining PLFA and continuing the Advisory Agreement in light of the nature, extent, and quality of the services that have been provided by PLFA, including PAM. The Trustees considered the overall financial strength and stability of PLFA and its ability to provide a high level and quality of services to the Funds. They also considered PLFA’s responsiveness to questions or concerns raised by the Trustees, including PLFA’s willingness to consider and implement investment and operational changes designed to improve investment results and the services provided to the Funds and their shareholders.
| 1 | At the December 9th meeting, the Board did not consider the continuance of the Advisory Agreement and Sub-Advisory Agreements relating to the PF Mid-Cap Value, PF International Small-Cap, PF Absolute Return and PF Equity Long/Short Funds, and the Sub-Advisory Agreement with Western Asset Management Company relating to the PF Inflation Managed Fund, as those agreements were not up for renewal at that time. |
F-7
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
The Trustees noted that PLFA’s officers and employees regularly consult with, and report to, the Board regarding the investment management services provided to the Funds. The Trustees considered the experience, capability and integrity of PLFA’s senior management and other personnel and the low turnover rates of its key personnel. The Trustees noted that the investment, legal, compliance and accounting professionals of PLFA and its affiliates have access to and utilize a variety of resources and systems relating to investment management, compliance, trading, performance and risk analysis, security valuation and fund accounting. The Trustees took into account the scope of services provided by PLFA under the Advisory Agreement. The Trustees considered that although PLFA is separately compensated at approximate cost for time spent on Fund matters by certain legal, compliance and accounting professionals of PLFA and its affiliates for services outside of the scope of the Advisory Agreement, these services are being provided as a result of PLFA’s advisory relationship with the Funds. The Trustees further considered PLFA’s continuing need and ability to attract and retain qualified personnel and to maintain and enhance its resources and systems to provide appropriate investment management, compliance and monitoring services for the Funds. The Trustees also considered the additional resources that PLFA has invested to enhance its management and oversight of the Funds, including the addition of experienced personnel with asset allocation and risk management expertise.
Directly Managed Funds – The Trustees considered the services provided by PLFA in rendering investment management services for those Funds for which the day-to-day investment management is provided by PLFA, including PAM (the “Directly Managed Funds”). The Trustees considered that PLFA, including PAM, is responsible for identifying investments for each Directly Managed Fund and determining when and what securities, cash and/or other investments to purchase, retain, or sell for each Directly Managed Fund. The Trustees also considered that PLFA, including PAM, is responsible for the valuation of portfolio securities, including, but not limited to, the review of custodian pricing files, research and analysis related to fair valued securities and due diligence oversight of pricing vendors. The Trustees additionally noted that PLFA is responsible for evaluating and voting proxies for portfolio holdings of the Directly Managed Funds. With respect to the Asset Allocation Funds, the Trustees also considered, among other things, PLFA’s experience, resources and expertise in analyzing the composition of the various Underlying Funds that serve as investment options for the Asset Allocation Funds and in developing an asset allocation appropriate to each Asset Allocation Fund’s investment objectives and risk profile. The Trustees considered, in this regard, the tools and resources used by PLFA in constructing an asset allocation, including the role and costs of consultants engaged by PLFA for assistance in the construction of asset allocation models. With respect to the PAM Managed Funds, the Trustees also considered the investment oversight and monitoring of PAM discussed below under “Sub-Advised Funds.”
The Trustees also considered that PLFA provides services to the Funds outside of the scope of the Advisory Agreement at approximate cost and that such services are essential for the administration and operation of the Funds, including administration of the Funds’ compliance program. In this regard, the Trustees considered PLFA’s policies, procedures and systems to ensure compliance with applicable laws and regulations with respect to the Directly Managed Funds, its attention to matters that may involve conflicts of interest between itself and a Fund, and that PLFA’s asset allocation models are presented to an internal conflicts review committee that considers and evaluates any potential conflicts of interest. The Trustees reviewed information provided throughout the year on PLFA’s compliance policies and procedures, its compliance history, and reports from the Trust’s Chief Compliance Officer (“CCO”) on compliance by PLFA with applicable laws and regulations. The Trustees also reviewed information on any responses by PLFA to regulatory and compliance developments throughout the year. The Trustees further noted the compliance monitoring conducted by PLFA and PAM on an ongoing basis and also noted the development of procedures and systems necessary to maintain compliance with applicable laws and regulations as well as the resources that PLFA dedicates to these programs. The Trustees considered that the CCO has in place a systematic process for periodically reviewing PLFA’s written compliance policies and procedures, including the assessment of PLFA’s compliance program as required under Rule 38a-1 of the 1940 Act and PLFA’s code of ethics. The Trustees also considered that PLFA continues to cooperate with the CCO in reviewing its compliance operations.
Sub-Advised Funds – The Trustees considered PLFA’s responsibilities in rendering services to the Sub-Advised Funds and the fact that PLFA monitors and evaluates the performance of the Sub-Advisers in comparison to each Fund’s investment objective as well as to appropriate benchmark indices and peer funds. The Trustees also considered that PLFA monitors the Sub-Advised Funds for adherence to the investment objectives and policies of each Fund. The Trustees noted that PLFA provides the Board with periodic and special reports related to such performance and investment monitoring and evaluation. The Trustees also considered PLFA’s process in continuously analyzing and, from time to time as necessary and appropriate, recommending for consideration by the Board, the termination of a Sub-Advisory Agreement with a Sub-Adviser and the replacement of a Sub-Adviser.
The Trustees considered the high quality of the products, information, analysis and services provided by PLFA to the Funds, including return analysis, attribution analysis, risk analysis, preparation of periodic performance and other reports, assessment of liquidity, analysis of derivatives, and coordination and oversight of other service providers to the Trust. The Trustees also noted that PLFA regularly informs the Trustees about matters relevant to the Trust and its shareholders, including relationships with financial intermediaries.
The Trustees considered the analyses conducted by PLFA of the Underlying Funds and a Sub-Adviser’s management of an Underlying Fund in the broader context of asset allocation strategies intended to target certain return and risk characteristics. The Trustees noted that PLFA has historically recommended new Underlying Funds that PLFA believed would contribute to the Asset Allocation Funds’ targeted return and risk objectives. The Trustees also took into account PLFA’s continuing analysis of the Underlying Funds and a Sub-Adviser’s investment performance for the impact on broader asset allocation strategies for the Asset Allocation Funds.
The Trustees considered the depth and quality of PLFA’s monitoring and oversight of the Sub-Advisers and PAM. The Board noted that PLFA monitors numerous investment, performance, and risk metrics for the Funds. The Trustees considered PLFA’s continued investment in, and development of, its research and analytical capabilities, including investments in personnel and enhanced analytical tools for assessing
F-8
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Fund performance and the performance of the Sub-Advisers, including analytical tools relating to return analysis, risk analysis, and Fund performance attribution and reporting on such matters to the Trustees. The Trustees noted that PLFA uses these tools to analyze a Fund’s performance and risk profile and identify Funds that are underperforming as well as those that are performing well, and to analyze the Funds’ performance records against various measures. The Board considered that PLFA also conducts various analyses to try to assess the sources of and reasons for performance. The Trustees noted that PLFA has developed, and continues to enhance, processes to oversee and monitor the performance of Sub-Advisers, including the use of analytical methods to review Fund performance and execution of investment strategies. The Board noted that PLFA provides the Board with analyses of this data over rolling periods to assist the Board in identifying trends in Fund performance and other areas, and periodically provides the Trustees with information on economic and market trends to provide a context for assessing recent performance. The Trustees also noted that PLFA has developed effective methods for monitoring the Sub-Advisers’ investment style consistency, for analyzing the use of derivatives by Sub-Advisers and for tracking Fund liquidity. With respect to the PAM Managed Funds, the Board considered that PLFA provides oversight, diligence and reporting with regard to its PAM unit that is similar to the process it employs with regard to the Sub-Advisers. In making their assessments, the Trustees considered that PLFA has historically exercised diligence in monitoring the performance of the Sub-Advisers and PAM, and has recommended and taken measures to attempt to remedy relative underperformance by a Fund when PLFA and the Trustees believed it to be appropriate. The Trustees also considered the significant work performed by PLFA in conducting searches for new Sub-Advisers to replace existing Sub-Advisers where appropriate or to manage new Funds in the Trust.
The Board also noted that PLFA conducts periodic due diligence on Sub-Advisers involving onsite visits, in-person meetings and telephonic meetings to gather information that PLFA uses to gain an in-depth understanding of a Sub-Adviser’s investment process and to seek to identify issues that may be relevant to a Sub-Adviser’s services to a Fund or a Fund’s performance, including, but not limited to, a Sub-Adviser’s investment process, investment capabilities, resources and personnel, the financial strength of a Sub-Adviser, significant staffing changes that could affect a Fund, material changes in a Sub-Adviser’s assets under management, compliance and regulatory concerns, best execution review and portfolio security valuation support.
The Trustees considered the time and attention paid by PLFA to matters involving the valuation of Fund securities. The Trustees considered that PLFA has established a Valuation Oversight Committee that is responsible for, among other things, researching and evaluating information concerning securities that are not actively or publicly traded, valuing securities subject to a trading halt or for which a market quotation is not readily available, the valuation of equity securities traded in foreign markets, oversight of and due diligence on pricing vendors and the development of alternate valuation methodologies.
The Trustees considered PLFA’s oversight, review and analysis of trade execution reports and trends in trade execution for the Funds. The Trustees noted that PLFA works with a third-party transaction cost analysis consultant that provides statistical analysis on portfolio trading, and that PLFA presents information about the Funds’ portfolio trading costs to the Board annually and, where warranted, engages in a dialogue with personnel of a Sub-Adviser on trading costs and the quality of execution. The Board also noted that PLFA conducts regular review and analysis of each Sub-Adviser’s use of soft dollars and presents information about the Sub-Advisers’ use of soft dollars to the Board annually.
The Trustees also considered PLFA’s implementation of transition management programs when handling significant changes in the Funds, such as cash movements between the Funds arising from reallocations by funds of funds and the transition of Fund assets from one Sub-Adviser to another, including steps taken by PLFA to reduce transaction costs associated with a Fund transition. The Trustees considered that PLFA coordinates the onboarding process for new Sub-Advisers and oversees the establishment of necessary accounts and documentation for the Sub-Advisers to begin managing Fund assets.
In addition to the services described above, the Trustees also considered the compliance monitoring that PLFA and its affiliates conduct on the Sub-Advisers and the commitment of PLFA and its affiliates to those programs and PLFA’s efforts to keep the Trustees informed about the compliance programs of Sub-Advisers. In this regard, the Trustees reviewed information and reports from the Trust’s CCO on compliance by the Sub-Advisers with applicable laws and regulations. The Trustees considered that the CCO has in place a systematic process for periodically reviewing each Sub-Adviser’s written compliance policies and procedures, including the assessment of each Sub-Adviser’s compliance program as required under Rule 38a-1 of the 1940 Act and each Sub-Adviser’s code of ethics. The Trustees considered that PLFA is compensated at approximate cost for the administration of the Funds’ compliance program. The Trustees also considered that each Sub-Adviser continues to cooperate with the CCO in reviewing its compliance operations.
Sub-Advisers. The Trustees considered the benefits to shareholders of retaining each Sub-Adviser and continuing the Sub-Advisory Agreements, particularly in light of the nature, extent, and quality of the services that have been provided by the Sub-Advisers. The Trustees considered the services provided by each Sub-Adviser in rendering investment management services to a Sub-Advised Fund. The Trustees considered that each Sub-Adviser is responsible for identifying investments for a Sub-Advised Fund and determining when and what securities, cash and/or other investments to purchase, retain, or sell for a Sub-Advised Fund. The Trustees also considered that each Sub-Adviser is responsible for evaluating and voting proxies for portfolio holdings of a Sub-Advised Fund. The Trustees considered the quality of the portfolio management services which have benefited and should continue to benefit the Sub-Advised Funds and their shareholders, the organizational depth and resources of the Sub-Advisers, including the background and experience of each Sub-Adviser’s management personnel, and the expertise of each Sub-Adviser’s portfolio management team, as well as the investment methodology used by the Sub-Adviser. The Trustees also considered that the Sub-Advisers provide PLFA with information that assists PLFA in performing its oversight role.
The Board concluded that it was satisfied with the nature, extent and quality of the investment management services provided by PLFA and the Sub-Advisers.
F-9
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
B. Investment Results
The Trustees considered the investment results of each Fund in light of its objective, strategies and market conditions. The Trustees compared each Fund’s total returns with the total returns of each Fund’s primary benchmark index and the total returns of appropriate peer funds. The peer funds for each Fund were selected by an Independent Consultant using data from Morningstar (each a “Selected Performance Peer Group”), and the Trustees reviewed a description of the Independent Consultant’s methodology for selecting the peer funds in each Selected Performance Peer Group. The information provided to the Trustees included each Fund’s performance record for the one-, three-, five- and ten-year or since inception periods ended September 30, 2015, as available, compared to the applicable primary benchmark and Selected Performance Peer Group.
The Trustees considered the performance of each Fund on a case-by-case basis and noted that some Funds had outperformed their Selected Performance Peer Group over certain periods and/or exceeded the return of their respective primary benchmark while others underperformed their Selected Performance Peer Group over certain periods and/or trailed the return of their respective primary benchmark. In considering each Fund’s investment results, the Board placed greater emphasis on each Fund’s long-term performance track record rather than shorter-term performance. The Board also took into account that each Fund’s track record is measured as of a specific date, and that track records can vary as of different measurement dates. Therefore, in reviewing Funds that are currently underperforming, the Trustees also considered the broader perspective of the Fund’s performance over varying time periods, the market conditions experienced during the periods under review, as well as the outlook for the Fund going forward in light of expected future market conditions. In the case of the Underlying Funds, the Board also considered the views of PLFA about the role of a particular Fund within a broader asset allocation strategy for the Asset Allocation Funds. The Board also considered the performance of the current Sub-Adviser to each Fund where there has been a change in Sub-Adviser. The Trustees discussed with PLFA the fact that certain periods of underperformance may be transitory while other periods of underperformance may be reflective of broader issues that may warrant consideration of corrective action. The Trustees discussed these Funds with representatives of PLFA, including an assessment of the approach used by the Sub-Advisers, and the approach used by PLFA and PAM with respect to the Directly Managed Funds, as well as the oversight and monitoring by PLFA as the investment adviser, to gain an understanding of underperformance and to assess whether any actions would be appropriate. In addition, the Board considered any specific actions that PLFA, PAM or a Sub-Adviser have taken, or agreed to take, to enhance the investment performance of a Fund, and the results of those actions. In reviewing the performance of each Fund, the Board took into account, among other things, each Fund’s performance track record. A summary of each Fund’s track record is provided below.
Comstock Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and ten-year periods and outperformed for the five-year period; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fifth quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three- and five-year periods and the fourth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the one-year underperformance is primarily attributable to an overweight allocation to the energy sector and that recent performance has improved.
Growth Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods and underperformed for the five- and ten-year periods; (2) outperformed its primary benchmark for the one-year period and underperformed for the three-, five- and ten-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period and the fourth quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013.
Large-Cap Growth Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and underperformed for the ten-year period; (2) outperformed its primary benchmark for the one-year period and underperformed for the three-, five- and ten-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period, the first quintile for the five-year period and the fifth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013.
Large-Cap Value Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-, five- and ten-year periods and underperformed for the three-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-, three- and ten-year periods and the first quintile for the five-year period.
Main Street Core Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-year period and underperformed for the three-, five- and ten-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-year period, the second quintile for the three- and five-year periods and the third quintile for the ten-year period.
F-10
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Mid-Cap Equity Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period and underperformed for the three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period and the fourth quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013.
Mid-Cap Growth Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and outperformed for the ten-year period; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one- and three-year periods, the fifth quintile for the five-year period and the third quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2013 and is therefore not responsible for the Fund’s relative underperformance prior to that time. The Board also considered that PLFA had advised that the one-year underperformance is primarily attributable to the Sub-Adviser’s investment style and security selection, that the Sub-Adviser has a strong long-term track record in managing this investment strategy and that PLFA will continue to closely monitor the Fund to determine if future remedial actions are necessary or appropriate.
Small-Cap Growth Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and the fifth quintile for the three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2014 and has a strong long-term track record in managing this strategy.
Small-Cap Value Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three- and five-year periods; (2) outperformed its primary benchmark for the one-, three- and five-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period and the second quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2014.
Emerging Markets Debt Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) underperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the underperformance is primarily attributable to the Sub-Adviser’s investment style and that recent performance has improved.
Emerging Markets Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-, five- and ten-year periods; and (3) is ranked in the fifth quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period, the second quintile for the five-year period and the first quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that one-year underperformance is primarily attributable to the Sub-Adviser’s security selection, but that long-term performance remains strong and that the Fund’s most recent short-term performance has shown signs of improvement.
International Large-Cap Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-, five- and ten-year periods and underperformed for the three-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and the third quintile for the three-, five- and ten-year periods.
International Value Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods, the fourth quintile for the five-year period and the fifth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2011.
Pacific Funds Diversified Alternatives
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Board considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record.
F-11
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Currency Strategies Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Board considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record, that one of the Fund’s co-Sub-Advisers was the sole Sub-Adviser from the Fund’s inception until 2014, and that the other co-Sub-Adviser has managed the Fund since 2014.
Global Absolute Return Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Board considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record and that the Selected Performance Peer Group was of limited usefulness due to the diversity of investment approaches of funds in the peer group.
Real Estate Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods and outperformed for the ten-year period; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods, the fourth quintile for the five-year period and the second quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the underperformance is primarily attributable to the Sub-Adviser’s investment style, which tends to be more conservative and more focused on relative value than peers. The Board also considered that the Fund’s peer universe is small, that the level of relative underperformance was small and that recent performance has improved.
Pacific Funds Core Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-year period; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-year period; and (3) is ranked in the fifth quintile of its Selected Performance Peer Group for the one-year period and the first quintile for the three-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the one-year underperformance is primarily attributable to security selection but that longer-term performance remains strong.
Pacific Funds Floating Rate Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-year period; (2) underperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period and the first quintile for the three-year period.
Pacific Funds High Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) underperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and the third quintile for the three-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to security selection in 2014.
Pacific Funds Limited Duration High Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period; (2) underperformed its primary benchmark for the one-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period. In evaluating the performance of the Fund, the Trustees considered that the Fund had not been in operation for a sufficient time period to establish a meaningful track record.
Pacific Funds Short Duration Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period and the first quintile for the three-year period.
Pacific Funds Strategic Income
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-year period and outperformed for the three-year period; (2) underperformed its primary benchmark for the one-year period and outperformed for the three-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-year period and first quintile for the three-year period.
Floating Rate Loan Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three- and five-year periods; (2) underperformed its primary benchmark for the one-, three- and five-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period, the fifth quintile for the three-year period and the fourth quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2010, that PLFA had advised that the underperformance is primarily attributable to the Sub-Adviser’s investment style, which tends to favor higher quality loans, and that the Sub-Adviser has performed as expected in more volatile markets and managed the strategy successfully during the 2008 liquidity crisis.
F-12
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Inflation Managed Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one- and three-year periods and outperformed for the five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one- and three-year periods and the first quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that recent underperformance is primarily attributable to portfolio positioning but that longer-term performance remains competitive. The Board also considered that a co-Sub-Adviser was added in January 2015, and, therefore, the Sub-Advisory Agreement with respect to that co-Sub-Adviser was not up for renewal at this time.
Managed Bond Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and ten-year periods, performed in line with its median for the three-year period and underperformed for the five-year period; (2) underperformed its primary benchmark for the one-, three- and five-year periods and outperformed for the ten-year period; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period, the third quintile for the three-year period, the fourth quintile for the five-year period and the first quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that one of the Fund’s co-Sub-Advisers was the sole Sub-Adviser from the Fund’s inception until 2014, and that the other co-Sub-Adviser has managed the Fund since 2014. The Board also considered that PLFA had advised that underperformance is primarily attributable to one of the Sub-Adviser’s interest rate and sector positioning in 2011, 2013 and 2014, that recent performance has improved, and that PLFA will continue to closely monitor the Fund.
Short Duration Bond Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its primary benchmark for the one-, three- and ten-year periods and performed in line with its primary benchmark for the five-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-, three- and ten-year periods and the fifth quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser has managed the Fund since 2011 and that PLFA had advised that underperformance is primarily attributable to the Sub-Adviser’s investment style, which tends to be more conservative than peers.
Pacific Funds Portfolio Optimization Conservative
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period, the fifth quintile for the three- and five-year periods and the fourth quintile for the ten-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an underweight to equities and an allocation to alternative asset classes, that the Fund was more conservatively managed than many of its peers, that the Fund’s equity allocation was increased in 2015 and that recent performance has improved.
Pacific Funds Portfolio Optimization Moderate-Conservative
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-, five- and ten-year periods and the fourth quintile for the three-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an allocation to alternative asset classes and emerging market equities and that recent performance has improved.
Pacific Funds Portfolio Optimization Moderate
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one- and ten-year periods and the fifth quintile for the three- and five-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an underweight to equities, particularly domestic growth stocks, and an allocation to alternative and emerging market asset classes, that the Fund was more conservatively managed than many of its peers, that the Fund’s equity allocation was increased in 2015 and that recent performance has improved.
Pacific Funds Portfolio Optimization Growth
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period and underperformed for the three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and ten-year periods, the fifth quintile for the three-year period and the fourth quintile for the five-year period. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an underweight to domestic equities and an allocation to alternative asset classes, that the Fund was more conservatively managed than many of its peers and that recent performance has improved.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Fund: (1) underperformed its Selected Performance Peer Group for the one-, three-, five- and ten-year periods; (2) underperformed its custom benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one-year period and the fourth quintile for the three-, five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that underperformance is primarily attributable to an allocation to alternative asset classes, and that recent performance has improved.
F-13
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
The Trustees reviewed the monitoring of each Sub-Advisers’ investment results by PLFA, including PLFA’s historical practice of recommending to the Trustees the use of a new sub-adviser if performance lagged and the prospects for improvement within a reasonable timeframe were not promising, and reviewed the monitoring of the PAM unit’s investment results by PLFA. Generally, the Trustees noted that there continues to be a record of well-managed Funds that work well in the Asset Allocation Funds and that the Asset Allocation Funds provide a range of professionally managed asset allocation investment options. The Trustees considered the steps PLFA has taken to seek to improve performance of the Asset Allocation Funds, including ongoing assessment of asset allocation determinations, diversifying asset class investment options by adding additional underlying Funds, and adding or changing Sub-Advisers to the underlying Funds. The Trustees also noted that the Funds continue to deliver the investment style as disclosed to shareholders. The Trustees also noted the use by investors of the Asset Allocation Funds and the benefits the Asset Allocation Funds provide for shareholders generally.
The Board concluded that PLFA continues to have a long record of effectively managing a multi-manager fund group and asset allocation funds designed to give shareholders a reasonable array of choices through which to implement their investment programs. The Board further concluded that PLFA was implementing each Fund’s investment objective either directly or through the selection of Sub-Advisers and that PLFA’s record in managing each Fund indicates that its continued management, as well as the continuation of the respective Sub-Advisory Agreements, will benefit each Fund and its shareholders.
C. Advisory Fees and Total Expense Ratios
The Trustees requested, received and reviewed information from PLFA relating to the advisory fees paid by the Funds and the sub-advisory fees paid by PLFA, including the portion of the advisory fees paid to each Sub-Adviser as compared to the portion retained by PLFA. The Trustees considered the nature and quality of the services provided by PLFA and also considered the nature and quality of services provided by each Sub-Adviser. The Independent Trustees also requested and reviewed information from the Independent Consultant along with the Independent Consultant’s analysis of advisory fees, sub-advisory fees and certain Fund expenses, excluding any applicable service or distribution fees that were selected by the Independent Consultant for purposes of the peer group expense comparisons (“Operating Expenses”). The Trustees reviewed the advisory fees, sub-advisory fees and Operating Expenses of each Fund and compared such amounts with the fees and expense levels of applicable peer funds identified by the Independent Consultant (each a “Selected Expense Peer Group”). The Trustees reviewed a description of the Independent Consultant’s methodology for constructing the Selected Expense Peer Groups, noting that each Selected Expense Peer Group includes a group of similarly-sized funds with comparable strategies from a universe of funds that (i) included both sub-advised and directly managed funds; (ii) excluded funds that are managed with non-standard business models and expense structures; and (iii) excluded index funds. With respect to the Portfolio Optimization Funds, the Trustees also compared the net expense ratio with the average net expense ratio of funds in the Morningstar Category that PLFA determined to be similar to the relevant Portfolio Optimization Fund (“Comparable Peer Fund Average”).
A summary of some of the comparative fee and expense information considered by the Trustees for each Fund is provided below.
Comstock Fund
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.015% of its advisory fee.
Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Large-Cap Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.045% of its advisory fee.
Large-Cap Value Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
Main Street Core Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
F-14
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Mid-Cap Equity Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Mid-Cap Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.05% of its advisory fee.
Small-Cap Growth Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Small-Cap Value Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Emerging Markets Debt Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Emerging Markets Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
International Large-Cap Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
International Value Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Pacific Funds Diversified Alternatives
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fifth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels. The Trustees further noted that PLFA had advised that it did not consider the Selected Expense Peer Group to be an appropriate category for the Fund and that, when compared to what PLFA considers to be the appropriate category, the Operating Expenses for the Fund are below the category average.
Currency Strategies Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
F-15
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Global Absolute Return Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
Real Estate Fund
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group.
Pacific Funds Core Income
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Floating Rate Income
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are in line with the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds High Income
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Limited Duration High Income
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.02% of its advisory fee. The Trustees further noted that the Independent Trustees had negotiated an additional fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Short Duration Income
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Strategic Income
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fifth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fifth quintile of its Selected Expense Peer Group. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective
F-16
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels. The Trustees further noted that PLFA had advised that it did not consider the Selected Expense Peer Group to be an appropriate category for the Fund and that, when compared to what PLFA considers to be the appropriate category, the Operating Expenses for the Fund are in line with the category average.
Floating Rate Loan Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are in line with the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group. The Trustees noted that PLFA currently has contractually agreed to waive 0.10% of its advisory fee and that the advisory fee is in line with peers when the contractual waiver is taken into account.
Inflation Managed Fund
The Trustees considered that (a) the advisory fee for the Fund is in line with the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group.
Managed Bond Fund
The Trustees considered that (a) the advisory fee for the Fund is less than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the second quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are less than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the first quintile of its Selected Expense Peer Group.
Short Duration Bond Fund
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group; and (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the third quintile of its Selected Expense Peer Group.
Pacific Funds Portfolio Optimization Conservative
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was higher than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Moderate-Conservative
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was higher than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Moderate
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was higher than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Growth
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was lower than the Comparable Peer Fund Average. The Trustees noted that the Independent
F-17
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Trustees considered that (a) the advisory fee for the Fund is greater than the median advisory fee rate of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; (b) the Operating Expenses for the Fund are greater than the median Operating Expenses of the funds in its Selected Expense Peer Group and ranked in the fourth quintile of its Selected Expense Peer Group; and (c) the net expense ratio was lower than the Comparable Peer Fund Average. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2016 and renews automatically for one-year periods unless terminated pursuant to the terms of the agreement. The Trustees considered that pursuant to this fee waiver agreement, PLFA has agreed to a breakpoint schedule that will reduce its advisory fee once the Fund attains varying higher asset levels.
During their review, the Trustees noted that all of the Funds were subject to contractual expense limitations on certain operating expenses agreed to by PLFA.
The Trustees also considered information from the Sub-Advisers regarding the comparative sub-advisory fees charged under other investment advisory contracts for similarly managed accounts, such as contracts of each Sub-Adviser with other similarly managed registered investment companies or other types of clients. The Trustees noted that in many cases there were differences in the level of services provided to the Funds by the Sub-Advisers and that the level of services provided by these Sub-Advisers on these other accounts differed due to the nature of the accounts or because there were other reasons to support the difference in fees, such as an affiliation between the Sub-Adviser and the account. These differences often explained variations in fee schedules. The Trustees were mindful that, with regard to the Sub-Advised Funds, the fee rates were the result of arms’-length negotiations between PLFA and the Sub-Advisers, and that any sub-advisory fees are paid by PLFA and are not paid directly by a Fund.
The Board concluded that the advisory fees, sub-advisory fees and total expenses of each Fund were fair and reasonable.
D. Costs, Level of Profits and Economies of Scale
The Trustees reviewed information provided by PLFA regarding PLFA’s costs of sponsoring and operating the Funds and information regarding the profitability of PLFA from each Fund. For purposes of analyzing PLFA’s costs and profitability with respect to the Funds, the Trustees assigned credibility to PLFA’s view that little weight should be given to the fees of Pacific Select Fund, another open-end investment company advised by PLFA that consists of multiple funds, on the basis that there are significant differences between Pacific Funds and Pacific Select Fund, including differences in fund size and platforms on which the funds are offered. For the Sub-Advised Funds, the Trustees also reviewed information provided by the Sub-Advisers regarding their costs in managing the Sub-Advised Funds and their profitability from the Funds.
PLFA and the Sub-Advisers’ Costs and Profitability. The Trustees noted that, based on the data available, PLFA appears to be providing and operating products that are competitively priced with other funds, especially other multi-manager and asset allocation funds. The Trustees noted PLFA’s willingness to build its investment capabilities and to sponsor new funds that PLFA believed would benefit the Asset Allocation Funds, despite the potential subsidies required by PLFA during a new fund’s start-up phase. The Trustees also noted that the analysis of the Trust’s profitability to PLFA supported a conclusion that PLFA’s costs and profitability are reasonable, whether considered inclusive or exclusive of distribution costs.
The Trustees also reviewed information provided regarding the structure and manner in which PLFA’s investment professionals were compensated and their respective views of the relationship of such compensation to the attraction and retention of quality personnel. The Trustees considered PLFA’s willingness to invest in technology, infrastructure and staff to reinforce and offer new services and to accommodate changing regulatory requirements. The Trustees also considered the organizational strengths of the Sub-Advisers and their ability to attract and retain investment personnel over time and to sustain the staffing of investment teams that provide services to the Sub-Advised Funds.
With respect to the Sub-Advisers, the Trustees noted that it was difficult in many cases to accurately determine or evaluate the Sub-Advisers’ costs and the profitability of the Sub-Advisory Agreements to the Sub-Advisers because of, among other things, the differences in the types and content of information provided by the Sub-Advisers, the fact that many Sub-Advisers manage substantial assets other than the Funds and, further, that any such assessment would involve assumptions regarding the Sub-Advisers’ expense allocation policies, capital structure, cost of capital, business mix and other factors.
Accordingly, in the case of the Sub-Advisers, the Trustees considered the data described above in light of the arms’-length nature of the relationship (for the Sub-Advised Funds) between PLFA and such Sub-Advisers with respect to the negotiation of fund sub-advisory fees and the fact that such fees are paid by PLFA.
Economies of Scale. The Trustees noted and considered the extent to which economies of scale are realized by PLFA and the Sub-Advisers as each Fund grows, and whether advisory fee levels reflect economies of scale if the Funds grow in size. The Trustees noted PLFA’s commitment to competitive total expenses of the Funds through expense limitation agreements and, for certain Asset Allocation and PAM-Managed Funds, through advisory fee waivers. The Trustees also noted PLFA’s and its affiliates’ consistent reinvestment in the business in the form of adding to investment capabilities and resources, improvements in technology, product innovations and customer service. The Trustees considered information relating to economies of scale provided by PLFA, PLFA’s willingness to discuss and evaluate the topic of economies of scale with the Trustees, and PLFA’s agreement to enter into advisory fee waivers for certain PAM-Managed Funds and Asset Allocation Funds that create effective breakpoints at asset levels at which PLFA believes it will have attained a level of profit that can be shared with these Funds.
F-18
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
With respect to the Sub-Advised Funds, the Trustees considered that the advisory fee for each Fund was originally set at an amount that was intended to be lower than peers to attract assets at the Fund’s inception. The Trustees noted that because fees for the Funds started relatively low from the first dollar under management in relation to peers, economies of scale will be realized at higher asset levels than would otherwise be the case. The Trustees also considered that some Sub-Advisers have agreed to breakpoints in their sub-advisory fees schedules that are not passed on to the Sub-Advised Funds through matching breakpoints in PLFA’s advisory fee schedule. The Trustees noted that in setting its advisory fees relatively low at inception as compared to peers, and in subsidizing the expenses of the Funds from their inception and for many years, PLFA’s economics from the Sub-Advised Funds should be considered separate and apart from the economics of the Sub-Advisers. The Trustees noted PLFA’s view that the sub-advisory fee breakpoints were important for PLFA’s economics to overcome its expenses from the Funds. The Trustees also noted that shareholders will benefit from effective breakpoints for the Asset Allocation Funds.
The Trustees also considered PLFA’s willingness to reduce its own fees through certain advisory fee waivers and expense limitation agreements, whereby PLFA will reimburse the Funds for certain expenses that exceed stated expense caps. The Trustees further noted that PLFA has agreed to reduce its own fees as assets grow through advisory fee waivers effective through July 31, 2016 for the pertinent Asset Allocation Funds and PAM-Managed Funds. The Trustees considered that these advisory fee waivers will effectively implement breakpoints in PLFA’s advisory fees at higher asset levels of these Funds, which are intended to share future economies of scale that PLFA believes it will attain.
The Trustees noted that PLFA and its affiliates had consistently reinvested in the business in the form of improvements in technology, product innovations, personnel and resources. In particular, the Trustees noted that PLFA had created new positions responsible for asset allocation and risk management during the prior year and had hired experienced personnel to fill these positions.
The Trustees additionally noted that economies of scale were difficult to measure with precision, particularly on a Fund by Fund basis. This analysis is complicated by the additional services and content provided by PLFA and its affiliates through reinvestment in the business, as discussed above. The Trustees considered that the Funds are well managed, and provide shareholders with sophisticated asset allocation investment options at reasonable fee levels. The Board noted that PLFA had taken steps to ensure that shareholders benefit by negotiating favorable terms with service providers, and to provide certain support services, including, but not limited to, legal, compliance and accounting services, to the Funds on an approximate cost basis as opposed to an asset-based charge.
The Board determined that PLFA and its affiliates are sharing economies of scale given its agreement to reduce its own fees through fee waivers as assets grow for certain Funds, its commitment to competitive total expenses of the Funds, and the consistent reinvestment in the business in the form of improvements in technology and other resources and investments in personnel. The Board considered that PLFA has not yet attained levels of profitability that warrant sharing of economies of scale for some Funds, including the Sub-Advised Funds, but noted that shareholders will benefit in the future from the effective breakpoints for the Asset Allocation Funds. The Board further considered that it will continue to review whether there are additional economies of scale that will be realized as the Funds grow that can be shared with shareholders. The Board concluded that the Funds’ cost structures were reasonable and that overall profitability appeared reasonable at the current time. The Board further concluded that PLFA was sharing economies of scale with each Fund and its shareholders to their benefit.
E. Ancillary Benefits
The Trustees requested and received from PLFA and the Sub-Advisers information concerning other benefits received by PLFA, Pacific Life, the Sub-Advisers, and their affiliates as a result of their respective relationship with the Funds, including various service arrangements with PLFA affiliates and reimbursement at an approximate cost basis for support services in the case of PLFA, as well as commissions paid to broker-dealers affiliated with certain Sub-Advisers and the use of soft-dollars by certain of the Sub-Advisers. The Trustees also considered ancillary benefits received by Pacific Life and its affiliates from the Funds. The Trustees considered information concerning other significant economic relations between the Sub-Advisers and their affiliates and with PLFA and its affiliates and noted PLFA’s processes and procedures to identify and disclose such relationships to the Board. The Trustees also considered PLFA’s and each Sub-Adviser’s strong practices and procedures with regard to managing conflicts of interest and ensuring that such conflicts do not prevent PLFA or the Sub-Advisers from acting in the best interests of the Funds and their shareholders.
The Board concluded that such benefits were consistent with those generally derived by investment advisers to mutual funds or were otherwise not unusual.
F. Conclusion
Based on their review, including their consideration of each of the factors referred to above, and assisted by the advice of the Independent Consultant and independent counsel to the Independent Trustees, the Board, including the Independent Trustees, concluded that the Advisory Agreement and each applicable Sub-Advisory Agreement are fair and reasonable with respect to each Fund and its shareholders, and that the renewal of the Advisory Agreement and each applicable Sub-Advisory Agreement would be in the best interests of the Funds and their shareholders. The Board did not indicate that any single factor was determinative of its decision to approve the Advisory Agreement and each applicable Sub-Advisory Agreement, but indicated that the Board based its determination on the total mix of information available to it.
F-19
PACIFIC FUNDS
WHERE TO GO FOR MORE INFORMATION
Availability of Quarterly Holdings
The Trust files Form N-Q (complete schedules of fund holdings) with the Securities and Exchange Commission (the “SEC”) for the first and third quarters of each fiscal year not later than 60 days after the close of the applicable quarter end. The Trust’s Form N-Q, (when required) is filed pursuant to applicable regulations and is available after filing (i) on the SEC’s website at http://www.sec.gov; (ii) for review and copying at the SEC’s Public Reference Room in Washington, D.C. (information on the operation of the Public Reference Room may be obtained by calling the SEC at 1-800-SEC-0330); and (iii) on the Trust’s website at https://www.pacificlife.com/pacificfunds.html. The SEC may charge you a fee for this information.
Availability of Proxy Voting Record
By August 31 of each year, the Trust files information regarding how the Trust’s managers voted proxies relating to fund securities during the most recent twelve-month period ended June 30. Such information is available after filing on the Trust’s’ website and on the SEC’s website noted below.
Information Relating to Investments Held by the Trust
For complete descriptions of the various securities and other instruments held by the Trust and their risks, please see the Trust’s prospectus and Statement of Additional Information (“SAI”). The prospectus and SAI are available as noted below.
Availability of Proxy Voting Policies
A description of the Proxy Voting Policies and Procedures that the Trust uses to determine how to vote proxies relating to fund securities is described in the Trust’s SAI.
How to obtain Information
The Trust’s prospectus, SAI (including Proxy Voting Policies) and annual and semi-annual reports are available:
| • | On the Trust’s website at https://www.pacificlife.com/pacificfunds.html |
| • | On the SEC’s website at http://www.sec.gov |
| • | Upon request by calling, without charge, 1-800-722-2333, 7 a.m. through 5 p.m. Pacific Time |
F-20
Item 2. Code of Ethics.
As of the end of the period covered by this report, the Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no substantive amendments or waivers to the Code of Ethics during the period covered by this report.
A copy of this Code of Ethics is filed as Exhibit 99 to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Registrant’s Board has determined that G. Thomas Willis, a member of the Registrant’s Audit Committee, is an “audit committee financial expert” and “independent,” as such terms are defined in this Item. This designation does not increase the designee’s duties, obligations or liability as compared to his duties, obligations and liability as a member of the Audit Committee and of the Board; nor does it reduce the responsibility of the other Audit Committee members. There may be other individuals who, through education or experience, would qualify as “audit committee financial experts” if the Board had designated them as such. Most importantly, the Board believes each member of the Audit Committee contributes significantly to the effective oversight of the Registrant’s financial statements and condition. Mr. Willis is a retired partner of PricewaterhouseCoopers LLP.
Item 4. Principal Accountant Fees and Services.
Audit Fees
| (a) | The aggregate fees billed for the fiscal years ended March 31, 2016 and 2015 for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $908,646 and $743,688, respectively. |
Audit-Related Fees
| (b) | There were no aggregate fees billed for the fiscal years ended March 31, 2016 and 2015 for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. |
Tax Fees
| (c) | The aggregate fees billed for the fiscal years ended March 31, 2016 and 2015 for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $171,570 and $140,370, respectively. The nature of the services comprising the fees was the review of income tax returns and excise tax. |
All Other Fees
| (d) | There were no aggregate fees billed for the fiscal years ended March 31, 2016 and 2015 for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. |
| (e)(1) | The Audit Committee is required to pre-approve audit and non-audit services performed for the Registrant by the independent auditor as outlined below in order to assure that the provision of such services does not impair the auditor’s independence: |
Pre-Approval Requirements for Services to Registrant. Before the Auditor is engaged by the Registrant to render audit related or permissible non-audit services, either:
(i) The Audit Committee shall pre-approve such engagement; or
(ii) Such engagement shall be entered into pursuant to pre-approval policies and procedures established by the Audit committee. Any such policies and procedures must (1) be detailed as to the particular service and (2) not involve any delegation of the Audit Committee’s responsibilities to the Adviser. The Audit Committee has delegated authority to its Chairperson, and may delegate to one or more of its other members, the authority to grant pre-approvals. In the event of a pre-approval by the Chairperson or other authorized member of the Audit Committee, the person to whom authority is delegated under this Section shall report on such pre-approval to the full Audit Committee at its next regularly scheduled meeting.
(iii) De Minimis Exceptions to Pre-Approval Requirements. Pre-approval for a service provided to the Registrant other than audit, review or attest services is not required if: (1) the aggregate amount of all such non-audit services provided to the Registrant constitutes not more than 5 percent of the total amount of revenues paid by the Registrant to the Auditor during the fiscal year in which the non-audit services are provided; (2) such services were not recognized by the Registrant at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and are approved by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee.
Pre-Approval of Non-Audit Services Provided to the Adviser and Others. The Audit Committee shall pre-approve any non-audit services proposed to be provided by the Auditor to (i) the Adviser and (ii) any entity in the investment company complex, as defined in footnote 4 of the Audit Committee Charter, if the nature of the services provided relate directly to the operations or financial reporting of the Registrant.
Application of De Minimis Exception: The De Minimis exceptions set forth above apply to pre-approvals under this Section as well, except that the “total amount of revenues” calculation for this Section’s services is based on the total amount of revenues paid to the Auditor by the Registrant and any other entity that has its services approved under this Section (i.e., the Adviser or any control person).
Pre-Approval of Program and Subscription Services Provided to the Registrant and their Affiliates. The Audit Committee is deemed to have pre-approved Program and Subscription Services (“Programs”) provided to the Registrant and their affiliates, entities within the Registrant’s investment company complex or their affiliates, including employees of Pacific Life and Pacific Life Fund Advisors LLC (collectively, “Fund Persons”) so long as: (1) such Programs are free to Fund Persons or if there is a charge, Fund Persons pay: (a) the going rate for such Programs, or (b) the Fund Persons receive a discount of $500 or less; or (2) the Program is approved under or covered by and in compliance with the policies and/or procedures of Pacific Life’s Audit Committee with respect to the provision of educational services by the auditor or other parties. Programs are educational programs and seminars provided by the Auditor or its affiliates and include live programs, webcasts, podcasts, websites, database subscriptions, checklists, research reports, local office seminars, Debrief webcast series, Technical library and similar or related items. Any Programs that do not meet the above criteria require approval by the Audit Committee, its Chairperson or other delegates as provided in this Section.
| (e)(2) | No services included in (b)-(d) above were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) Not applicable.
(g) The aggregate fees billed for the years ended March 31, 2016 and 2015 by the Registrant’s principal accountant for non-audit services rendered to the Registrant, its investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant were $1,019,822 and $275,170, respectively.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to the Registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Registrant which were not pre-approved (not requiring pre-approval) is compatible with maintaining the principal accountant’s independence.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| (b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Directors.
Item 11. Controls and Procedures.
| (a) | The Chief Executive Officer and Treasurer have concluded that Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act) and internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act) provide reasonable assurances that material information relating to Registrant is made known to them by the appropriate persons, based on their evaluation of these controls and procedures as of a date within 90 days of the filing of this report. |
| (b) | There were no changes in Registrant’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | Code of Ethics, subject to the disclosure of Item 2 hereof is attached hereto as Exhibit 99.CODE ETH. |
| (a)(2) | Separate certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as Exhibit 99.CERT. |
| (a)(3) | Not applicable. |
| (b) | Certification pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)) is attached hereto as Exhibit 99.906 CERT pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. |
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| Pacific Funds Series Trust | ||
| By: | /s/ Mary Ann Brown | |
| Mary Ann Brown Chief Executive Officer | ||
| Date: |
June 3, 2016 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Mary Ann Brown | |
| Mary Ann Brown Chief Executive Officer | ||
| Date: |
June 3, 2016 | |
| By: | /s/ Eddie D. Tung | |
| Eddie D. Tung Treasurer (Principal Financial and Accounting Officer) | ||
| Date: |
June 3, 2016 | |