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, 2017
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, 2017
ANNUAL REPORT
PACIFIC FUNDS
ANNUAL REPORT
AS OF MARCH 31, 2017
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Pacific Funds Series Trust, which is a Delaware statutory trust, may be referred to as “Pacific Funds” or the “Trust”.
PACIFIC FUNDS
We are pleased to share with you the Annual Report dated March 31, 2017 for Pacific Funds Series Trust (“Pacific Funds” or the “Trust”). Pacific Funds is comprised of 40 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 of the Trust (the “PF Underlying Funds”). 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. The Trust also invests in Class P shares of Pacific FundsSM Core Income, Pacific FundsSM High Income, Pacific FundsSM Floating Rate Income and Pacific FundsSM Small-Cap Growth. 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.
The Adviser, Pacific Asset Management and Rothschild Asset Management Inc. (together, the “Managers”) and their Funds as of March 31, 2017 are listed below:
| Manager | Fund | Page Number | ||
| Pacific Life Fund Advisors LLC (PLFA) | Pacific FundsSM Portfolio Optimization Conservative |
A-4 | ||
| Pacific FundsSM Portfolio Optimization Moderate-Conservative |
A-6 | |||
| Pacific FundsSM Portfolio Optimization Moderate |
A-8 | |||
| Pacific FundsSM Portfolio Optimization Growth | A-10 | |||
| Pacific FundsSM Portfolio Optimization Aggressive-Growth | A-12 | |||
| Pacific FundsSM Diversified Alternatives | A-13 | |||
| Pacific Asset Management | Pacific FundsSM Short Duration Income |
A-14 | ||
| Pacific FundsSM Core Income | A-15 | |||
| Pacific FundsSM Strategic Income |
A-16 | |||
| Pacific FundsSM Floating Rate Income | A-17 | |||
| Pacific FundsSM Limited Duration High Income | A-18 | |||
| Pacific FundsSM High Income | A-19 | |||
| Rothschild Asset Management Inc. (Rothschild) | Pacific FundsSM Large-Cap |
A-20 | ||
| Pacific FundsSM Large-Cap Value |
A-21 | |||
| Pacific FundsSM Small/Mid-Cap |
A-22 | |||
| Pacific FundsSM Small-Cap |
A-23 | |||
| Pacific FundsSM Small-Cap Value | A-24 | |||
| 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, 2017. 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 and Pacific Funds High Income 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 U.S. 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, 2017)
Executive Summary
Global equities endured some swings throughout the reporting period as a wave of political uncertainty spread across the world. All declines throughout the year ended up being temporary, however, as global stocks finished the year with gains—although the magnitude of the recovery varied by region.
The first political shock came from the United Kingdom’s (U.K.) vote to leave the European Union (E.U.). While markets sharply fell immediately after the referendum, they quickly recovered as investors perceived this outcome would keep the Federal Reserve (Fed) from implementing additional rate hikes. This contributed to the U.S. 10-year Treasury yield falling below 1.4% for the first time on record. Additionally, crude oil prices continued to recover over the second quarter of the year, which further assuaged market concerns.
The persistence of easy monetary policy across the globe helped keep market volatility relatively low during the third quarter of 2016. However, volatility returned during the earlier part of the fourth quarter of 2016 as we headed into the U.S. presidential election. The S&P 500 Index posted nine consecutive days of losses for the first time in decades. On the night of election day, stock market futures began to plunge as results indicated Donald Trump would become the 45th president of the U.S. However, the mood of the market quickly reversed sentiment following the election as investors focused on the policies put forth by President Trump. The potential for corporate tax cuts, infrastructure spending and deregulation lifted U.S. equity markets to all-time highs by the end of 2016.
Fixed Income
Although the U.S. 10-year Treasury yield hit an all-time low during the reporting period, it jumped after President Trump won the election. His potential policies increased the likelihood of higher inflation, which sent long-term interest rates higher. The spike in interest rates hurt the broad bond market (as defined by the Bloomberg Barclays U.S. Aggregate Bond Index). Nonetheless, the Index returned 0.44% for the reporting period.
Although long-term Treasury bonds had a solid run early in 2016 as yields fell, they were a drag when interest rates jumped in the latter half of the reporting period. As a result, long-term Treasury bonds ended the reporting period behind short-term Treasury bills.
Riskier bond asset classes delivered solid returns over the reporting period. High yield bonds, especially those of lower credit quality, considerably outperformed investment-grade bonds. Credit spreads, which move in the opposite direction to prices, contracted significantly
A-2
See benchmark definitions on A-27 and A-28
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
throughout the reporting period. This contraction coincided with steadily improving energy prices since energy producers represent a sizeable portion of the high yield market. Improving commodities also provided a tailwind for emerging market debt, given that much of it is issued by commodity exporters.
Domestic Equity
Domestic equities edged out solid gains despite experiencing some volatility throughout the reporting period, with the S&P 500 Index gaining 17.17%. Reversing the trend from the prior reporting period, value stocks finished this reporting period higher than their growth counterparts. Compared to growth, value styles tend to have a sizeable overweight to the financial and energy sectors. The financial sector surged in the latter half of the reporting period as it was one of the largest beneficiaries of the spike in interest rates. The energy sector of the S&P 500 Index was among the top three performing sectors over the reporting period as oil prices recovered.
International Equity
International equities ended the year with solid gains as the MSCI EAFE Index (Net) returned 11.67% over the reporting period. Japanese stocks, which represent nearly 25% of the MSCI EAFE Index (Net), surged in the fourth quarter of 2016 as the yen depreciated over that period. As an export-driven economy, Japanese exporters benefit from a weaker currency.
Emerging market equities also performed well as the MSCI Emerging Markets Index (Net) returned 17.22% over the reporting period. Improving commodity prices particularly helped oil exporters like Brazil and Russia, which considerably contributed to the performance of the emerging markets index.
Concluding Remarks
The outlook for markets in 2017 will likely hinge on several factors, much of which stems from the follow-through on political promises of fiscal stimulus, corporate tax cuts and deregulation. The pace of interest rate hikes and the Fed’s reaction to volatility should also continue to impact both equity and fixed-income markets. As the economy draws closer to running at full steam, market participants are likely to once again focus on the fundamentals of underlying corporations. Those fundamentals increasingly point to an equity market approaching late cycle with above average valuations and slowing profitability growth.
For equity markets, the rally after the election indicated strong collective belief in the promise of fiscal stimulus, corporate tax breaks and the relaxing of regulatory burdens. At this point, the actual plan for these policies from the new President may lead to lower share prices if they simply fail to meet expectations. Therefore, although policy presents a potential tailwind for U.S. equities, higher valuations and the possibility of missing expectations on these big promises are key risks.
Uncertainty also dominates the conversation over both international developed and emerging market equities. International developed equities are likely to continue the recovery that gained momentum over the reporting period, but face stiff potential headwinds as Britain begins to formally negotiate its exit from the E.U. and European nations hold elections amidst rising populist movements. Emerging market equities could continue to benefit from stabilizing commodity prices and strengthening manufacturing momentum, but they also face potential trade headwinds if protectionist governments turn to tariffs. The strengthening dollar may also pose a hurdle for emerging market equities if it creates strong capital outflows that destabilize emerging market currencies, particularly for China.
With the economy continuing to improve, the normalization of interest rates by the Fed poses challenges for fixed income positions with higher duration. Credit is less likely to be impacted from rising interest rates and may provide higher returns so long as defaults do not rise above expectations. Floating rate notes may also benefit both from credit exposure and a potentially rising rate environment. Lastly, global correlations have been falling and may present more opportunities for alternative managers that take long and short positions among different equity, fixed-income, and currency markets around the world.
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 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 Performance (as of 3-31-17) |
|||
| S&P 500 Index (U.S. Stocks) |
17.17% | |||
| Morgan Stanley Capital International (MSCI) EAFE Index (Net) (International Stocks) |
11.67% | |||
| Bloomberg Barclays U.S. Aggregate Bond Index (Fixed Income) |
0.44% | |||
| BofA Merrill Lynch U.S. 3-Month T-Bill Index (Cash) |
0.36% | |||
| See benchmark definitions on A-27 and A-28 |
A-3
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Portfolio Optimization Conservative’s Class A (without sales charge) returned 6.59%, compared to a 0.44% return for the Bloomberg Barclays U.S. Aggregate Bond Index, a 17.17% return for the S&P 500 Index and a 3.72% return for the Pacific Funds Portfolio Optimization 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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
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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-4
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 Pacific Funds Portfolio Optimization Conservative Composite Benchmark. The Fund was primarily invested in various fixed income strategies, with a smaller allocation to equity and alternative strategies, during the reporting period. Fixed income investments included allocations to intermediate-term bond, short duration bond, inflation-protected bond, high yield bond, emerging markets bond, and floating rate loan strategies. The equity segment consisted mainly of allocations to domestic and foreign large-capitalization strategies. The Fund’s alternatives allocation consisted of investments in two absolute return strategies and an equity long/short strategy.
Among the fixed income lineup, emerging market bonds were solid contributors to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. Allocation to high yield bonds also boosted performance as credit spreads tightened over the reporting period. However, the high yield manager moderately lagged its benchmark, which offset some of the contribution from the exposure to the asset class. PF Managed Bond, which represented the largest weight in the fund, outperformed the Bloomberg Barclays U.S. Aggregate Bond Index and largely contributed to performance over the reporting period.
As for domestic equities, exposure to value stocks was a tailwind over the reporting period. Financials, which represented the largest sector in Russell’s value indices, was the top performing sector over the reporting period. Although exposure to value stocks helped performance, PF Large-Cap Value lagged its benchmark as stock selection in consumer staples and information technology sectors detracted from performance. PF Real Estate gave up some of the gains from prior periods and was the only underlying fund within domestic equities to have negative returns over the reporting period.
International equities also added to performance over the reporting period. PF International Value outperformed the MSCI EAFE Index (Net) with solid stock selection in financials, consumer discretionary and materials sectors. While exposure to emerging markets had a positive impact on performance, PF Emerging Markets lagged the MSCI Emerging Markets Index (Net), which offset the contribution from the asset class.
Alternatives as a group also contributed positively to performance over the reporting period. The PF Equity Long/Short Fund continued to contribute positively to performance and was the top performer within the group. PF Currency Strategies and PF Global Absolute Return also had positive gains over the reporting period.
| See benchmark definitions on A-27 and A-28 |
A-5
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Portfolio Optimization Moderate-Conservative’s Class A (without sales charge) returned 8.49%, compared to a 0.44% return for the Bloomberg Barclays U.S. Aggregate Bond Index, a 17.17% return for the S&P 500 Index and a 6.41% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 outperformed 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 allocations to intermediate-term bond strategies as well as short duration bond, inflation-protected bond, high yield bond, emerging markets bond, and floating rate loan strategies. The Fund’s equity exposure was diversified across style (growth/value), market capitalization and region (including an allocation to foreign small-capitalization and emerging markets strategies). The Fund’s alternatives allocation consisted of investments in two absolute return strategies and an equity long/short strategy.
| See benchmark definitions on A-27 and A-28 |
A-6
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Among the fixed income lineup, emerging market bonds were solid contributors to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. Allocation to high yield bonds also boosted performance as credit spreads tightened over the reporting period. However, the high yield manager moderately lagged its benchmark, which offset some of the contribution from the exposure to the asset class. PF Managed Bond, which represented the largest weight in the fund, outperformed the Bloomberg Barclays U.S. Aggregate Bond Index and largely contributed to performance over the reporting period.
As for domestic equities, exposure to value stocks, particularly small-cap value, was a tailwind over the reporting period. Financials, which represented the largest sector in Russell’s value indices, was the top performing sector over the reporting period. Although exposure to value stocks helped performance, PF Large-Cap Value lagged its benchmark as stock selection in consumer staples and information technology sectors detracted from performance. PF Real Estate gave up some of the gains from prior periods and was the only underlying fund within domestic equities to have negative returns over the reporting period.
International equities also added to performance over the reporting period. PF International Value outperformed the MSCI EAFE Index (Net) with solid stock selection in financials, consumer discretionary and materials sectors. While exposure to emerging markets had a positive impact on performance, PF Emerging Markets lagged the MSCI Emerging Markets Index (Net), which offset much of the contribution from the asset class.
Alternatives as a group also contributed positively to performance over the reporting period. The PF Equity Long/Short Fund continued to contribute positively to performance and was the top performer within the group. PF Currency Strategies and PF Global Absolute Return also had positive gains over the reporting period.
| See benchmark definitions on A-27 and A-28 |
A-7
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Portfolio Optimization Moderate’s Class A (without sales charge) returned 10.94%, compared to a 17.17% return for the S&P 500 Index, a 0.44% return for the Bloomberg Barclays U.S. Aggregate Bond Index and a 9.50% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 outperformed the Pacific Funds Portfolio Optimization Moderate Composite Benchmark. The Fund allocated to a mix of equity and fixed income strategies over the reporting period, with a larger allocation toward equity investments. 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 real estate investment trusts (REITs). Fixed income investments included intermediate-term bond, short duration bond, inflation-protected bond, emerging markets bond, high yield bond and floating rate loan strategies. The Fund’s alternatives allocation consisted of investments in two absolute return strategies and an equity long/short strategy.
| See benchmark definitions on A-27 and A-28 |
A-8
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Within domestic equities, exposure to value stocks, particularly small-cap value, was a tailwind over the reporting period. Financials, which represented the largest sector in Russell’s value indices, was the top performing sector over the reporting period. Although exposure to value stocks helped performance, PF Large-Cap Value lagged its benchmark as stock selection in consumer staples and information technology sectors detracted from performance. While the exposure to small-cap value helped performance, PF Small-Cap Value underperformed its benchmark, which offset some of the positive effects. PF Real Estate gave up some of the gains from prior periods and was the only underlying fund within domestic equities to have negative returns over the reporting period. With respect to manager selection, PF Mid-Cap Equity was a solid contributor with its strong stock selection.
International equities also added to performance over the reporting period. PF International Value outperformed the MSCI EAFE Index (Net) with solid stock selection in financials, consumer discretionary and materials sectors. While exposure to emerging markets had a positive impact on performance, PF Emerging Markets lagged the MSCI Emerging Markets Index (Net), which offset much of the contribution from the asset class.
Among the fixed income lineup, emerging market bonds were solid contributors to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. Allocation to high yield bonds also boosted performance as credit spreads tightened over the reporting period. However, the high yield manager moderately lagged its benchmark, which offset some of the contribution from the exposure to the asset class. PF Managed Bond, which represented the largest weight in the fund, outperformed the Bloomberg Barclays U.S. Aggregate Bond Index and largely contributed to performance over the reporting period.
Alternatives as a group also contributed positively to performance over the reporting period. PF Equity Long/Short continued to contribute positively to performance and was the top performer within the group. PF Currency Strategies and PF Global Absolute Return also had positive gains over the reporting period.
| See benchmark definitions on A-27 and A-28 |
A-9
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Portfolio Optimization Growth’s Class A (without sales charge) returned 13.08%, compared to a 17.17% return for the S&P 500 Index, a 0.44% return for the Bloomberg Barclays U.S. Aggregate Bond Index and a 12.18% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 outperformed the Pacific Funds Portfolio Optimization Growth Composite Benchmark. The Fund allocated to a mix of equity and fixed income strategies over the reporting period, with a larger allocation toward equity investments 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 bond strategies as well as specific strategies such as short duration bond, high yield bond, inflation-protected bond and emerging markets bond strategies. The Fund’s alternatives allocation consisted of investments in two absolute return strategies and an equity long/short strategy.
| See benchmark definitions on A-27 and A-28 |
A-10
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Within domestic equities, exposure to value stocks, particularly small-cap value, was a tailwind over the reporting period. Financials, which represented the largest sector in Russell’s value indices, was the top performing sector over the reporting period. Although exposure to value stocks helped performance, PF Large-Cap Value lagged its benchmark as stock selection in consumer staples and information technology sectors detracted from performance. While the exposure to small-cap value helped performance, PF Small-Cap Value underperformed its benchmark, which offset some of the positive effects. PF Real Estate gave up some of the gains from prior periods and was the only underlying fund within domestic equities to have negative returns over the reporting period. With respect to manager selection, PF Mid-Cap Equity was a solid contributor with its strong stock selection.
International equities also added to performance over the reporting period. PF International Value outperformed the MSCI EAFE Index (Net) with solid stock selection in financials, consumer discretionary and materials sectors. While exposure to emerging markets had a positive impact on performance, PF Emerging Markets lagged the MSCI Emerging Markets Index (Net), which offset much of the contribution from the asset class.
Among the fixed income lineup, emerging market bonds were solid contributors to performance over the reporting period as the asset class fared relatively well and the manager outperformed its benchmark. Allocation to high yield bonds also boosted performance as credit spreads tightened over the reporting period. However, the high yield manager moderately lagged its benchmark, which offset some of the contribution from the exposure to the asset class. PF Managed Bond outperformed the Bloomberg Barclays U.S. Aggregate Bond Index and contributed to performance over the reporting period.
Alternatives as a group also contributed positively to performance over the reporting period. PF Equity Long/Short continued to contribute positively to performance and was the top performer within the group. PF Currency Strategies and PF Global Absolute Return also had positive gains over the reporting period.
| See benchmark definitions on A-27 and A-28 |
A-11
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Portfolio Optimization Aggressive-Growth’s Class A (without sales charge) returned 15.06%, compared to a 17.17% return for the S&P 500 Index, a 0.44% return for the Bloomberg Barclays U.S. Aggregate Bond Index and a 14.42% return for the Pacific Funds Portfolio Optimization Aggressive-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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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
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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-12
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 Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark. 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. The Fund’s alternatives allocation consisted of investments in two absolute return strategies and an equity long/short strategy.
Within domestic equities, exposure to value stocks, particularly small-cap value, was a tailwind over the reporting period. Financials, which represented the largest sector in Russell’s value indices, was the top performing sector over the reporting period. Although exposure to value stocks helped performance, PF Large-Cap Value lagged its benchmark as stock selection in consumer staples and information technology sectors detracted from performance. While the exposure to small-cap value helped performance, PF Small-Cap Value underperformed its benchmark, which offset some of the positive effects. PF Real Estate gave up some of the gains from prior periods and was the only underlying fund within domestic equities to have negative returns over the reporting period. With respect to manager selection, PF Mid-Cap Equity was a solid contributor with its strong stock selection.
International equities also added to performance over the reporting period. PF International Value outperformed the MSCI EAFE Index (Net) with solid stock selection in financials, consumer discretionary and materials sectors. While exposure to emerging markets had a positive impact on performance, PF Emerging Markets lagged the MSCI Emerging Markets Index (Net), which offset much of the contribution from the asset class.
Alternatives as a group also contributed positively to performance over the reporting period. PF Equity Long/Short continued to contribute positively to performance and was the top performer within the group. PF Currency Strategies and PF Global Absolute Return also had positive gains over the reporting period.
Pacific Funds Diversified Alternatives (managed by Pacific Life Fund Advisors LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, Pacific Funds Diversified Alternatives’ Class A (without sales charge) returned 7.28%, compared to a 0.27% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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-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 outperformed the benchmark. The Fund primarily invests in various non-traditional asset classes and investment strategies. The Fund’s investments include positions in global absolute return, currency and long-short equity strategies. The Fund also invests in inflation-protected bonds, floating rate loan, real estate, international small-cap, emerging markets equity and emerging markets debt strategies.
The Fund’s allocation to PF Currency Strategies and PF Emerging Markets Debt were the top contributors to performance. Both funds gained from improving conditions in emerging markets. PF Emerging Markets Debt benefited from long positions in Venezuelan and Brazilian bonds. PF Currency Strategies’ long positions in emerging market currencies versus the Canadian dollar contributed to performance.
PF Real Estate and PF Inflation Managed were the weakest underlying funds over the reporting period. Both PF Inflation Managed and PF Real Estate faced headwinds when interest rates spiked late in the fourth quarter of 2016. The longer duration of PF Inflation Managed leaves it vulnerable to rising interest rates. REITs had previously benefited from falling interest rates as investors looked for other sources of yield, however, rising rates unwound some of the prior gains.
Pacific Funds Short Duration Income (managed by Pacific Asset Management)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, Pacific Funds Short Duration Income’s Class I (without sales charge) returned 2.56%, compared to a 0.71% return for its benchmark, the Bloomberg 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 uses a short duration strategy focused on corporate bonds. 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 risks and catalysts in the process of individual investment selection.
The Fund outperformed the benchmark for the reporting period due primarily to asset allocation and the focus on credit related fixed income. The primary driver of the Fund’s return was the emphasis on BBB rated corporate bonds. The reporting period saw a strong risk-on market environment, which drove excess returns for corporate debt versus government bonds. The Fund also benefited from overweights to bank loans and high yield investments, which benefited from the improvement in risk appetite. The Fund benefited from an overweight to banking while underweight to commodity related issuers detracted. Duration was a positive to performance given the Fund’s underweight relative to the benchmark. During the reporting period, security selection was additive to relative performance.
As we enter the second quarter of 2017, we have several themes within our strategy. We believe domestically focused U.S. companies provide attractive relative value over more European or Asia-centric businesses. We emphasize BBB rated corporate bonds as the investment team believes they offer long term one of the best risk/reward opportunities within investment grade fixed income in the long term. Within non-investment grade fixed income sectors, we favor bank loans given their lower volatility and lower interest rate sensitivity relative to high yield bonds. We are underweight duration relative to the benchmark.
| See benchmark definitions on A-27 and A-28 |
A-14
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Core Income’s Class I (without sales charge) returned 3.54%, compared to a 0.44% return for its benchmark, the Bloomberg 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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. The Fund is an intermediate term strategy fund focused on corporate debt. 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 risks and catalysts in the process of individual investment selection.
The Fund outperformed the benchmark for the reporting period due primarily to asset allocation and the focus on credit related fixed income. The primary driver of the Fund’s return was the emphasis on BBB rated corporate bonds. The reporting period saw a strong risk-on market environment, which drove excess returns for corporate debt versus government bonds. The Fund also benefited from overweights to bank loans and high yield investments, which benefited from the improvement in risk appetite. The Fund benefited from an overweight to banking while underweights to commodity related issuers detracted from performance. Duration was a positive to performance given the Fund’s underweight relative to the benchmark. During the reporting period, security selection was additive to relative performance.
As we enter the second quarter of 2017, we have several themes within our strategy. We believe domestically focused U.S. companies provide attractive relative value over more European or Asian-centric businesses. We emphasize BBB rated corporate bonds as the investment team believes they offer one of the best risk/reward opportunities within investment grade fixed income in the long term. Within non-investment grade fixed income sectors, we favor bank loans given their lower volatility and lower interest rate sensitivity relative to high yield bonds. We are underweight duration relative to the benchmark.
| See benchmark definitions on A-27 and A-28 |
A-15
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Strategic Income’s Class I (without sales charge) returned 10.20%, compared to a 0.44% return for its benchmark, the Bloomberg 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 uses a multi-sector credit focused strategy that emphasizes 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 risks and catalysts in the process of individual investment selection.
The Fund outperformed the benchmark for the reporting period due primarily to asset allocation and the focus on credit related fixed income. The primary driver of the Fund’s outperformance was the focus on non-investment grade credit, including high yield bonds and bank loans. Given the meaningful improvement in risk appetite and market sentiment, high yield bonds saw significant total returns. During the reporting period, the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index returned 16.39%. The Fund also benefited from credit quality allocations and overweights to U.S. BBB rated corporate bonds which saw excess returns versus government related fixed income. Duration was a benefit to performance given the Fund’s underweight during the reporting period.
As we enter the second quarter of 2017, we have several themes within our strategy. First, we have reduced our exposure to high yield bonds given the meaningful outperformance during the reporting period. We have increased our exposure to bank loans and U.S. corporate bonds as we believe a more neutral risk positioning is warranted in the short term despite a favorable fundamental outlook for corporate debt. We are focused on U.S. domestic companies and revenues given a favorable U.S. economic outlook versus Asia or European focused companies. We are meaningfully underweight duration relative to our benchmark with a duration of 3.37 versus 5.93 for the Bloomberg Barclays U.S. Aggregate Bond Index.
| See benchmark definitions on A-27 and A-28 |
A-16
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Floating Rate Income’s Class I (without sales charge) returned 8.63%, compared to a 9.74% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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. Pacific Asset Management’s team of portfolio managers and research analysts look for investment opportunities in floating rate loans and floating rate debt securities.
The Fund underperformed the benchmark for the reporting period due primarily to underweights in commodity related and distressed issuers. The significant outperformance of the energy and metals/mining sectors were the primary drivers of underperformance, as the Fund had limited to no exposure to these sectors during the first half of the reporting period. Additionally, the Fund focused on the performing part of the bank loan market versus distressed issuers (those defined as trading below a $90 dollar price). Given the improvement in macro and fundamental data during the reporting period, distressed issuers saw significant outperformance. The Fund benefited from an overweight to B vs BB rated bank loans given the improvement in risk appetite during the reporting period. The Fund’s overweight to housing and food/drug benefited performance while underweights to information technology, commodity sectors, and media/cable detracted.
Entering the second quarter of 2017, we are positioned with several themes. We are focused on U.S. companies given an outlook of better U.S. economic growth relative to Europe and Asia. We remain underweight risk relative to our benchmark as measured by effective yield. However, our underweight in yield is primarily due to our limited exposure to distressed issuers (those trading below $90). We continue to focus on the performing part of the loan market. We are overweight housing, retail, food and drug and underweight health care, information technology, and transportation. We are modestly overweight the energy sector.
| See benchmark definitions on A-27 and A-28 |
A-17
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Limited Duration High Income’s Class I (without sales charge) returned 7.32%, compared to a 16.42% return for its benchmark, the Bloomberg 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 uses a multi-sector credit strategy that focuses on 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 risks and catalysts in the process of individual investment selection.
The Fund underperformed the benchmark for the reporting period due primarily to asset allocation and overweights to bank loan instruments. The Fund is focused on a balanced approach to high yield bonds and bank loans. Given the meaningful improvement in risk appetite and market sentiment, high yield bonds saw significant total returns. During the reporting period, the Bloomberg Barclays U.S. 1-5 Year High Yield Index returned 16.42% and the Credit Suisse Leveraged Loan Index returned 9.74%. The Fund benefited from security selection in energy and metals/mining sectors as the rally in commodity prices benefited many issuers. The Fund’s duration was below the benchmark, benefiting returns.
As we enter the second quarter of 2017, we have several themes within our strategy. First, we have reduced our exposure to high yield bonds given the meaningful outperformance during the reporting period. We have increased our exposure to bank loans given relative value and lower interest rate sensitivity. We are focused on U.S. companies and revenues given a favorable U.S. economic outlook versus Asia or European focused companies.
| See benchmark definitions on A-27 and A-28 |
A-18
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds High Income’s Class I (without sales charge) returned 15.52%, compared to a 16.39% return for its benchmark, the Bloomberg 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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 risks and catalysts.
During the reporting period, the Fund underperformed the benchmark primarily due to underweights to commodity related sectors. Additionally, the Fund underperformed the benchmark given its relative underweight to distressed and defaults issuers. Energy and metals/mining saw the strongest total returns in recent history given the improvement in risk appetite and stabilization in oil and base metal prices. The high yield energy and metals/mining sectors returned 36.62% and 33.00%, respectively, for the reporting period. The Fund benefited from an overweight to B rated bonds versus BB rated given the improvement in risk appetite. Duration positioning was neutral during the reporting period as duration was in line with the benchmark. Regarding derivatives, the Fund held small positions in iBoxx Total Return Swaps to gain market exposure to the high yield universe.
We enter the second quarter of 2017 focused on U.S. companies given an outlook of better U.S. economic growth relative to Europe and Asia. In general, we are risk neutral as compared to our benchmark, though we have been active sellers of many issuers we believe have diminished relative value. We believe credit selection (alpha) not asset allocation (beta) will be the primary driver of returns in 2017.
| See benchmark definitions on A-27 and A-28 |
A-19
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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Large-Cap’s Investor Class (without sales charge) returned 15.66%, compared to a 17.17% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 are also shown in the table below. Performance data for Class A, C, S (1) 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
| (1) | Formerly Institutional Class |
|
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 maintain 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 relative to peers 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.
Performance for the reporting period varied dramatically across sectors. Financials, materials, and information technology were the leading sectors in the Fund, while laggards included real estate (the only sector with negative performance), telecommunication services, and utilities. A good portion of positive performance came during the second half of the reporting period, specifically after the presidential election in November. Financials benefited both from rising interest rates and the hopes for deregulation under then President-elect Trump’s administration. Similarly, industrials and materials stocks rallied after the election, given President Trump’s promises for tax reduction, creation of manufacturing jobs, and greater infrastructure spending.
Overall, sector allocation was negative, largely the result of a frictional cash position (averaging less than 2%), which provided a headwind in a period where the benchmark rallied over 17%. A modest overweight in telecommunication services, along with underweights in financials and information technology, detracted from performance. Conversely, mild underweights in real estate, utilities, and consumer staples added to relative Fund performance. Stock selection was basically neutral for the period, with detractors in the information technology, energy and consumer discretionary sectors largely offset by contributors in financials, health care, and materials.
The Fund’s detractors included biopharmaceutical company Gilead Sciences (down 24.2%). Shares responded negatively to the second quarter of 2016 Hepatitis C drug sales that came up shy of expectations, though we have since seen signs of stabilization. The strong performance of the HIV business has been largely overlooked by investors. Cash flow generation continues to be quite strong and we continue to find valuation attractive coupled with capital deployment optionality. Turnaround efforts by retailer Michael Kors Holdings Ltd. (down 19.8%) have not yielded the desired results. The company reported a one-cent Earnings Per Share (EPS) beat on in-line revenues; however, management reduced guidance for revenues and EPS for the year, as the company continues to reduce exposure to U.S. wholesale channels. Telecommunications company Verizon Communications (down 5.9%) was negatively impacted by ongoing pricing and competition in the latter part of 2016. This impact was more than expected, causing Verizon to lower earnings guidance for 2017. Turning to individual stocks, the
| See benchmark definitions on A-27 and A-28 |
A-20
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Fund’s top contributors included financial institutions Bank of America (up 77.0%) and SunTrust Banks (up 56.5%). Bank stocks rallied sharply on the anticipation of (1) stronger economic growth (which could lead to stronger loan growth); (2) a steepening yield curve (which could improve net interest margins); and (3) the potential for reduced corporate tax and regulatory burdens under the Trump administration. Banks currently pay relatively high effective tax rates, and some consider the financial services sector to be overburdened with regulation. In other words, the banks could benefit disproportionately from deregulation and tax reform. Engineering and construction firm Quanta Services (up 46.2%) was strong, as it stands to be a direct beneficiary of the $1 trillion in infrastructure spending President Trump has proposed.
Pacific Funds Large-Cap Value (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, Pacific Funds Large-Cap Value’s Investor Class (without sales charge) returned 14.84%, compared to a 19.22% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 are also shown in the table below. Performance data for Class A, C, S (1) 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
| (1) | Formerly Institutional Class |
|
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 maintain 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 relative to peers 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.
Performance for the reporting period varied dramatically across sectors. Financials, materials, and health care were the leading sectors in the Fund, while laggards included real estate (the only sector with negative performance), telecommunication services, and consumer staples. A good portion of positive performance came during the second half of the reporting period, specifically after the presidential election in November. Financials benefited both from rising interest rates and the hopes for deregulation under then President-elect Trump’s administration. Similarly, industrials and materials stocks rallied after the election, given President Trump’s promises for tax reduction, creation of manufacturing jobs, and greater infrastructure spending.
Overall, sector allocation was negative, due to an overweight in the consumer discretionary sector, along with underweights in the financials and information technology sectors. A frictional cash position (averaging approximately 2%) provided the largest headwind in a period where the benchmark rallied over 19%. Underweights in real estate, consumer staples, and utilities added to relative Fund performance. Stock selection was negative, with detractors in the information technology, industrials, and real estate sectors only partially offset by contributors in health care and financials.
Turning to individual stocks, the Fund’s detractors included biopharmaceutical company Gilead Sciences (down 24.2%). Shares responded negatively to the second quarter of 2016 Hepatitis C drug sales that came up shy of expectations, though we have since seen signs of stabilization. The strong performance of the HIV business has been largely overlooked by investors. Cash flow generation continues to be quite strong and we continue to find attractive valuation coupled with capital deployment optionality. Supermarket chain Kroger (down 21.8%) suffered from same-store sales trends which continued to deteriorate. Human resources consulting firm ManpowerGroup (down 15.8%) sold off due to
| See benchmark definitions on A-27 and A-28 |
A-21
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
uncertainty created by the Brexit vote. Together, the U.K. and Europe comprise a significant percentage of the firm’s revenues. We sold the stock. Oil and natural gas company Antero Resources (down 14.1%) suffered as natural gas prices plummeted by over 30%.
The Fund’s top contributors included Bank of America (up 77.0%) and SunTrust Banks (up 56.5%). Bank stocks rallied sharply on the anticipation of (1) stronger economic growth (which could lead to stronger loan growth); (2) a steepening yield curve (which could improve net interest margins); and (3) the potential for reduced corporate tax and regulatory burdens under the Trump administration. Banks currently pay relatively high effective tax rates, and some consider the financial services sector to be overburdened with regulation. In other words, the banks could benefit disproportionately from deregulation and tax reform. VCA Inc. (up 43.9%), an operator of veterinary hospitals, received an acquisition offer from Mars, Inc. As the stock price quickly converged to the deal price, we decided to exit the position as the risk/reward tradeoff became unfavorable.
Pacific Funds Small/Mid-Cap (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, Pacific Funds Small/Mid-Cap’s Class S (without sales charge) returned 20.78%, compared to a 21.53% return for its benchmark, the Russell 2500 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class S (1) shares of the Fund to its benchmark for the period from inception through March 31, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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
| (1) | Formerly Institutional Class |
|
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 S underperformed the benchmark. We at Rothschild maintain 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 relative to peers with the potential to exceed investor expectations. The team analyzes a variety of quantitative and fundamental inputs in making stock decisions, and seeks to build a portfolio that is well diversified at the issuer level and by economic sector.
Performance for the reporting period was positive across all sectors in the Fund, but varied dramatically. Energy, materials, and financials were the leading sectors in the Fund, while laggards included the consumer discretionary, utilities, and real estate sectors. A good portion of positive performance for the reporting period came during the latter five months of the reporting period, following the presidential election in November. Financials benefited both from rising interest rates and the hopes for deregulation under then President-elect Trump’s administration. Similarly, industrials and materials stocks rallied after the election, given President Trump’s promises for tax reduction, creation of manufacturing jobs, and greater infrastructure spending.
Overall, sector allocation was negative, largely the result of a frictional cash position (averaging less than 2%), which provided a headwind in a period where the benchmark rallied over 21%. Modest underweights in financials and materials, along with a slight overweight in the consumer discretionary sector, detracted from performance. Conversely, mild underweights in consumer staples and telecommunication services, along with a minor overweight in the information technology sector, added to relative performance. Stock selection was positive for the reporting period, with contributors in the health care, energy and materials sectors, only partially offset by detractors in information technology, consumer discretionary, and utilities.
| See benchmark definitions on A-27 and A-28 |
A-22
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Turning to individual stocks, the Fund’s detractors included AmTrust Financial Services Inc. (down 33.2%), a property and casualty insurance provider. AmTrust declined following a negative earnings announcement in which the company reported a higher expense run rate, a moderate reserve charge, and delayed the filing of its 10-K (annual summary report of company performance) due to a change in accounting for fee revenue. Given the loss of confidence in the earnings multiple and lack of near term catalysts, we sold our position. Stamps.com (down 31.6%), an online postage provider, was pressured on concerns over the company’s relationship with resellers and the risk of potential changes emanating from the U.S. Postal Services. We no longer hold the stock. Restaurant chain Sonic (down 26.5%) reiterated its full year same-store sales guidance of 4-6%, but noted that its third quarter 2016 figures would disappoint.
The Fund’s top contributors included Chemours Co. (up 155.0%), a specialty chemicals company. Chemours rose sharply in response to the company’s global settlement with DuPont, its former parent, and approximately 3,500 plaintiffs, establishing a reasonable estimate of its ultimate liability under the Perfluorooctanoic Acid litigation. Additionally, the company reported a substantially better than expected fourth quarter due to strength in its Titanium Technologies and Fluoroproducts segments; these results were further bolstered after a competitor preannounced positive quarterly results due to success in the most recent titanium dioxide price increases. Supernus Pharmaceuticals (up 105.3%), a specialty pharmaceuticals company, rallied on growth in prescriptions for its epilepsy drugs. In addition, the company is in late Phase-III trials for two drugs targeting the multi-billion dollar market for Attention Deficit Hyperactivity Disorder (ADHD) medications. Insperity (up 73.7%), a provider of HR outsourcing services, reported better than expected 1Q results and raised full year guidance. The company’s success was fueled by a combination of better than expected worksite employees (driven by new signings and client retention) coupled with lower share count.
Pacific Funds Small-Cap (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, Pacific Funds Small-Cap’s Class S (without sales charge) returned 23.03%, compared to a 26.22% return for its benchmark, the Russell 2000 Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class S (1) shares of the Fund to its benchmark for the period from inception through March 31, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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
| (1) | Formerly Institutional Class |
|
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 S underperformed the benchmark. We at Rothschild maintain 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 relative to peers 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.
Performance for the reporting period was positive across all sectors in the Fund, but varied dramatically. Materials, financials, and industrials were the leading sectors for the Fund, while laggards included the consumer discretionary, utilities, and real estate sectors. A good portion of positive performance came during the second half of the reporting period, specifically after the presidential election in November. Financials benefited both from rising interest rates and the hopes for deregulation under then President-elect Trump’s administration. Similarly, industrials and materials stocks rallied after the election, given President Trump’s promises for tax reduction, creation of manufacturing jobs, and greater infrastructure spending.
| See benchmark definitions on A-27 and A-28 |
A-23
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Overall, sector allocation was negative, largely the result of a frictional cash position (averaging less than 2%), which provided a headwind in a period where the benchmark rallied over 26%. Modest underweights in financials and energy, along with a slight overweight in the consumer discretionary sector, detracted from performance. Conversely, mild underweights in telecommunication services and consumer staples, along with a minor overweight in the information technology sector, added to relative Fund performance. Stock selection was neutral for the reporting period, with contributors in the industrials, health care, and materials sectors offset by detractors in consumer discretionary, financials, and utilities.
Turning to individual stocks, our top contributors included Masimo Corporation (up 122.9%), a manufacturer of noninvasive patient monitoring technologies. The company reported better than expected fourth quarter 2016 earnings and issued 2017 guidance above street expectations. Supernus Pharmaceuticals (up 105.3%), a specialty pharmaceuticals company, has seen prescriptions of its epilepsy drugs grow by 20%. In addition, the company is in late Phase-III trials for two drugs targeting the multi-billion market for ADHD medications. LogMeIn (up 96.4%),a remote and cloud software provider, posted better than expected results and raised guidance coupled with a positive update on synergies related to its pending GoTo acquisition.
The Fund’s detractors included G-III Apparel Group (down 58.7%), a manufacturer and distributor of outerwear and sportswear. In March of 2017, the company reported disappointing results, missing estimates for both revenue and earnings, after having already lowered guidance in January of 2017. The recent acquisition of Donna Karan International (DKI) continues to be more dilutive to earnings than the company’s original estimates. While we applauded the company’s initiatives to stem losses in its retail business, we were concerned that insufficient steps were being taken given challenges in this segment, which, combined with the ongoing dilution from DKI acquisition, led us to sell the stock. Express, Inc. (down 48.6%), a specialty retailer, missed street estimates and lowered guidance as the company increased its promotions to clear slow moving inventory which impacted profitability. We no longer hold the stock. Restaurant chain Sonic (down 26.5%) reiterated its full year same-store sales guidance of 4-6%, but noted that its third quarter 2016 figures would disappoint.
Pacific Funds Small-Cap Value (managed by Rothschild Asset Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, Pacific Funds Small–Cap Value’s Class S (without sales charge) returned 23.02%, compared to a 29.37% return for its benchmark, the Russell 2000 Value Index.
The following graph compares the performance of a hypothetical $10,000 investment in Class S (1) shares of the Fund to its benchmark for the period from inception through March 31, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 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
| (1) | Formerly Institutional Class |
|
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 S underperformed the benchmark. We at Rothschild maintain 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 relative to peers 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.
Performance for the reporting period was positive across all sectors in the Fund, but varied dramatically. Financials, the Fund’s largest position, energy, and materials were the leading sectors, while laggards in the Fund included the consumer discretionary, real estate, and
| See benchmark definitions on A-27 and A-28 |
A-24
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
utilities sectors. A good portion of positive performance came during the second half of the reporting period, specifically after the presidential election in November. Financials benefited both from rising interest rates and the hopes for deregulation under then President-elect Trump’s administration. Similarly, industrials and materials stocks rallied after the election, given President Trump’s promises for tax reduction, creation of manufacturing jobs, and greater infrastructure spending. Energy stocks continued to rebound off lows set earlier in the year, and received an additional tailwind when Organization of the Petroleum Exporting Countries (OPEC) agreed to limit oil production.
Overall, sector allocation was positive, with tailwinds coming from an overweight to information technology, along with underweights to real estate and telecommunication services. Conversely, underweights to energy, materials, and financials provided headwinds. In addition, in a year when the benchmark rose by nearly 30%, a frictional cash position averaging approximately 2.2% for the period provided a drag on performance.
Stock selection was negative for the reporting period, particularly in information technology and specifically within semiconductor equipment, where the Fund did not have exposure to several stocks that rallied. Similarly, in the materials sector, the story was not about the stocks we owned doing poorly — in fact, our stocks in the sector averaged a return of more than 28% — but more about the stocks we did not own. For example, several mining stocks posted triple-digit returns. In the energy sector, some of the best performing stocks in 2016 were those that had to raise new capital to stay afloat, and some flirted with bankruptcy.
Turning to individual stocks, our top contributors included Mentor Graphics Corporation (up 81.7%) a provider of electronic design automation systems. The company agreed to be acquired by Siemens. We no longer hold the stock. Kraton Corporation (up 78.7%) rallied, as the company’s long-term earnings potential becomes more apparent to investors. While the company lowered full year 2016 guidance by approximately 4%, its cost reduction, acquisition synergies and debt reduction programs remain on track and we believe it continues to be an attractive investment. Finisar Corporation (up 71.3%), a supplier of optical communications components and subsystems used in data communication and telecommunication applications, rallied on promising trends. The company has benefited from a high-speed upgrade cycle in metropolitan telecommunications and data centers, as well as a similar buildout of optical networks in China. Higher revenues and margins are being led by the upgrade cycle which is driving demand for the latest optical components.
The Fund’s detractors included Express, Inc. (down 50.9%), a specialty retailer. The company missed street estimates and lowered guidance as the company increased its promotions to clear slow moving inventory which impacted profitability. We no longer hold the stock. Specialty retailer Francesca’s Holdings (down 45.4%) announced the abrupt resignation of its CEO, who came in a year and half ago with significant optimism of his ability to turn around the company. We no longer hold the stock. Customer care center outsourcer Convergys Corporation (down 22.6%) reported disappointing third quarter 2016 results and guidance due to challenges with some of their telecommunications clients, as well as some delayed seasonal ramps with other clients. We no longer hold the stock. Life Storage (down 21.5%), a self-storage REIT, completed a very large acquisition which will be dilutive in the near term. Other competitors have also started competing on price. The segment’s fundamentals grew stretched, making it harder to maintain growth after having been one of the top performing segments in recent years. We no longer hold the stock.
| 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, 2017?
A. For the year ended March 31, 2017, Pacific Funds Small–Cap Growth’s Investor Class (without sales charge) returned 18.11%, compared to a 23.03% 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, 2017. For comparison purposes, the performance of all classes for the periods ended March 31, 2017 are also shown in the table below. Performance data for Class A, C, S (1) 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
| (1) | Formerly Institutional Class |
|
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 maintain 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 relative to peers 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.
Performance for the reporting period was positive across most sectors in the Fund, but varied dramatically. Energy, financials, and materials were the leading sectors in the Fund, however, each represented a small (less than 5%) allocation in the Fund through the course of the reporting period. Laggards included the consumer discretionary sector, where the Fund’s aggregate position declined, and consumer staples and health care, which turned in positive returns, but lagged overall Fund performance. A good portion of positive performance for the reporting period came during the second half of the reporting period, and specifically after the presidential election in November. Financials benefited both from rising interest rates and the hopes for deregulation under then President-elect Trump’s administration. Similarly, industrials and materials stocks rallied after the election, given President Trump’s promises for tax reduction, creation of manufacturing jobs, and greater infrastructure spending. Energy stocks continued to rebound off lows set earlier in the year, and received an additional tailwind when OPEC agreed to limit oil production.
Overall, sector allocation was negative, with an overweight in consumer discretionary, along with underweights in financials and materials, detracting from Fund performance. In addition, in a year when the benchmark rose by more than 23%, even a modest (roughly 2%) cash weighting detracted from Fund performance. On the plus side, underweights in real estate and telecommunication services, along with an overweight to information technology, contributed to performance.
Stock selection was also negative. Contributions from the industrials, energy, and financials sectors were more than offset by detractors in consumer discretionary, health care, and information technology.
| See benchmark definitions on A-27 and A-28 |
A-26
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Turning to individual stocks, the Fund’s detractors included G-III Apparel Group (down 58.7%), a manufacturer and distributor of outerwear and sportswear. In March of 2017, the company reported disappointing results, missing estimates for both revenue and earnings, after having already lowered guidance in January of 2017. The recent acquisition of Donna Karan International (DKI) continues to be more dilutive to earnings than the company’s original estimates. While we applauded the company’s initiatives to stem losses in its retail business, we were concerned that insufficient steps were being taken given challenges in this segment, which combined with the ongoing dilution from DKI acquisition, led us to sell the stock. Express, Inc. (down 48.6%), a specialty retailer, missed street estimates and lower guidance as the company increased its promotions to clear slow moving inventory which impacted profitability. We no longer hold the stock. Molina Healthcare (down 29.3%), a managed healthcare company, missed Q4 2016 earnings estimates and lowered its net income margin guidance to 1% following the announcement. Restaurant chain Sonic (down 26.5%) reiterated its full year same-store sales guidance of 4-6%, but noted that its third quarter 2016 figures would disappoint.
The Fund’s top contributors included Masimo Corporation (up 122.9%), a manufacturer of noninvasive patient monitoring technologies. The company reported better than expected fourth quarter 2016 earnings and issued earnings guidance for 2017 above street expectations. LogMeIn (up 96.4%), a remote and cloud software provider, posted better than expected results and raised guidance coupled with a positive update on synergies related to its pending GoTo acquisition. Insperity (up 73.7%), a provider of HR outsourcing services, reported better than expected first quarter 2016 results and raised full year guidance. The company’s success was fueled by a combination of better than expected worksite employees (driven by new signings and client retention) coupled with lower share count.
Benchmark Definitions
Bloomberg 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.
Bloomberg 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.
Bloomberg 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.
Bloomberg 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) 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, 2017, 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 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, 2017, 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 Composite Benchmarks: The composite benchmarks for the Portfolio Optimization Funds show the performance of a combination of three or more broad-based market indices that represent fixed income, domestic equity, international equity and cash asset class categories in weights that are fixed and specific to each Fund. The composition of each Fund’s composite benchmark is shown below. Results include the reinvestment of all distributions. Prior to July 1, 2012, the weighting to each asset category was adjusted annually to reflect the Fund’s target allocations for the year.
Pacific Funds Portfolio Optimization Conservative Composite Benchmark is 71% Bloomberg Barclays U.S. Aggregate Bond; 17% S&P 500; 7% BofA Merrill Lynch U.S. 3-Month Treasury Bill; and 5% MSCI EAFE (Net) Indices. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Moderate-Conservative Composite Benchmark is 55% Bloomberg 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.
A-27
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Pacific Funds Portfolio Optimization Moderate Composite Benchmark is 45% S&P 500; 38% Bloomberg 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 58% S&P 500; 23% Bloomberg Barclays U.S. Aggregate Bond; and 19% MSCI EAFE (Net) Indices. Results include the reinvestment of all distributions. Results include the reinvestment of all distributions.
Pacific Funds Portfolio Optimization Aggressive-Growth Composite Benchmark is 69% S&P 500; 26% MSCI EAFE (Net); and 5% Bloomberg 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.
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.
Russell 3000 Index measures the performance of the largest 3.000 U.S. companies representing approximately 98% of the investable U.S. equity 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.
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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$333,945,281 | $333,945,281 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$493,388,386 | $493,388,386 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$1,416,087,710 | $1,416,087,710 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Pacific Funds Portfolio Optimization Growth |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$1,036,337,527 | $1,036,337,527 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$324,112,370 | $324,112,370 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Pacific Funds Diversified Alternatives |
||||||||||||||||||
| Assets |
Affiliated Mutual Funds |
$12,893,522 | $12,893,522 | $— | $— | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-3
PACIFIC FUNDS
PACIFIC FUNDSSM SHORT DURATION INCOME
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-4
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-5
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-6
PACIFIC FUNDS
PACIFIC FUNDS SHORT DURATION INCOME
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$196,042,793 | $— | $196,042,793 | $— | |||||||||||||
| Senior Loan Notes |
39,907,219 | — | 39,907,219 | — | ||||||||||||||
| Mortgage-Backed Securities |
251,373 | — | 251,373 | — | ||||||||||||||
| Asset-Backed Securities |
31,449,165 | — | 31,449,165 | — | ||||||||||||||
| Municipal Bonds |
1,162,325 | — | 1,162,325 | — | ||||||||||||||
| Short-Term Investment |
9,036,513 | 9,036,513 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$277,849,388 | $9,036,513 | $268,812,875 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-7
PACIFIC FUNDS
PACIFIC FUNDSSM CORE INCOME
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-8
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-9
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-10
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-11
PACIFIC FUNDS
PACIFIC FUNDS CORE INCOME
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$405,335,298 | $— | $405,335,298 | $— | |||||||||||||
| Senior Loan Notes |
112,736,988 | — | 112,736,988 | — | ||||||||||||||
| Mortgage-Backed Securities |
1,558,512 | — | 1,558,512 | — | ||||||||||||||
| Asset-Backed Securities |
67,806,727 | — | 67,806,727 | — | ||||||||||||||
| U.S. Government Agency Issues |
11,023,304 | — | 11,023,304 | — | ||||||||||||||
| U.S. Treasury Obligations |
95,475,120 | — | 95,475,120 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
20,772,890 | — | 20,772,890 | — | ||||||||||||||
| Short-Term Investment |
19,112,069 | 19,112,069 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$733,820,908 | $19,112,069 | $714,708,839 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-12
PACIFIC FUNDS
PACIFIC FUNDSSM STRATEGIC INCOME
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-13
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-14
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-15
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-16
PACIFIC FUNDS
PACIFIC FUNDS STRATEGIC INCOME
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$11,049,719 | $10,516,473 | $— | $533,246 | |||||||||||||
| Exchange-Traded Funds |
4,635,498 | 4,635,498 | — | — | ||||||||||||||
| Corporate Bonds & Notes |
224,890,634 | — | 224,890,634 | — | ||||||||||||||
| Senior Loan Notes |
79,839,666 | — | 79,839,666 | — | ||||||||||||||
| Asset-Backed Securities |
3,867,289 | — | 3,867,289 | — | ||||||||||||||
| Short-Term Investment |
21,581,822 | 21,581,822 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$345,864,628 | $36,733,793 | $308,597,589 | $533,246 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-17
PACIFIC FUNDS
PACIFIC FUNDSSM FLOATING RATE INCOME
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-18
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-19
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-20
PACIFIC FUNDS
PACIFIC FUNDS FLOATING RATE INCOME
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$73,507,971 | $— | $73,507,971 | $— | |||||||||||||
| Senior Loan Notes |
1,104,777,504 | — | 1,101,682,531 | 3,094,973 | ||||||||||||||
| Short-Term Investment |
140,480,754 | 140,480,754 | — | — | ||||||||||||||
| Unfunded Loan Commitments |
6,787,704 | — | 6,787,704 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$1,325,553,933 | $140,480,754 | $1,181,978,206 | $3,094,973 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-21
PACIFIC FUNDS
PACIFIC FUNDSSM LIMITED DURATION HIGH INCOME
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-22
PACIFIC FUNDS
PACIFIC FUNDS LIMITED DURATION HIGH INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-23
PACIFIC FUNDS
PACIFIC FUNDS LIMITED DURATION HIGH INCOME
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$290,864 | $— | $— | $290,864 | |||||||||||||
| Corporate Bonds & Notes |
17,178,243 | — | 17,178,243 | — | ||||||||||||||
| Senior Loan Notes |
14,765,870 | — | 14,765,870 | — | ||||||||||||||
| Short-Term Investment |
1,846,525 | 1,846,525 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$34,081,502 | $1,846,525 | $31,944,113 | $290,864 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-24
PACIFIC FUNDS
PACIFIC FUNDSSM HIGH INCOME
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-25
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-26
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-27
PACIFIC FUNDS
PACIFIC FUNDS HIGH INCOME
Schedule of Investments (Continued)
March 31, 2017
| (b) | Swap agreement outstanding as of March 31, 2017 was as follows: |
Total Return Swaps
| Receive Total Return | Pay | Counter- party |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| iBoxx Liquid High Yield Index |
3-Month USD-LIBOR |
MSC | 12/20/17 | $1,000,000 | $9,619 | $— | $9,619 | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$767,565 | $670,615 | $— | $96,950 | |||||||||||||
| Closed-End Mutual Funds |
288,194 | 288,194 | — | — | ||||||||||||||
| Corporate Bonds & Notes |
25,293,989 | — | 25,293,989 | |||||||||||||||
| Short-Term Investment |
1,955,402 | 1,955,402 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
9,619 | — | 9,619 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$28,314,769 | $2,914,211 | $25,303,608 | $96,950 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-28
PACIFIC FUNDS
PACIFIC FUNDSSM LARGE-CAP
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-29
PACIFIC FUNDS
PACIFIC FUNDS LARGE-CAP
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$10,799,811 | $10,799,811 | $— | $— | |||||||||||||
| Short-Term Investment |
331,276 | 331,276 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$11,131,087 | $11,131,087 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-30
PACIFIC FUNDS
PACIFIC FUNDSSM LARGE-CAP VALUE
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-31
PACIFIC FUNDS
PACIFIC FUNDS LARGE-CAP VALUE
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$31,144,086 | $31,144,086 | $— | $— | |||||||||||||
| Short-Term Investment |
976,907 | 976,907 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$32,120,993 | $32,120,993 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-32
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL/MID-CAP
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-33
PACIFIC FUNDS
PACIFIC FUNDS SMALL/MID-CAP
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Rights |
$325 | $— | $— | $325 | |||||||||||||
| Common Stocks |
110,407,134 | 110,407,134 | — | — | ||||||||||||||
| Short-Term Investment |
490,391 | 490,391 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$110,897,850 | $110,897,525 | $— | $325 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-34
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-35
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$11,095,667 | $11,095,667 | $— | $— | |||||||||||||
| Exchange-Traded Fund |
56,504 | 56,504 | — | — | ||||||||||||||
| Short-Term Investment |
156,796 | 156,796 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$11,308,967 | $11,308,967 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-36
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP VALUE
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-37
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP VALUE
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$30,774,587 | $30,774,587 | $— | $— | |||||||||||||
| Exchange-Traded Fund |
885,609 | 885,609 | — | — | ||||||||||||||
| Short-Term Investment |
668,845 | 668,845 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$32,329,041 | $32,329,041 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-38
PACIFIC FUNDS
PACIFIC FUNDSSM SMALL-CAP GROWTH
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-39
PACIFIC FUNDS
PACIFIC FUNDS SMALL-CAP GROWTH
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Rights |
$859 | $— | $— | $859 | |||||||||||||
| Common Stocks |
36,325,048 | 36,325,048 | — | — | ||||||||||||||
| Short-Term Investment |
900,544 | 900,544 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$37,226,451 | $37,225,592 | $— | $859 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-41 |
B-40
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms
March 31, 2017
See Notes to Financial Statements
B-41
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2017
| Pacific Funds Portfolio Optimization | Pacific
Funds Diversified Alternatives |
|||||||||||||||||||||||||||||
| Conservative | Moderate- Conservative |
Moderate | Growth | Aggressive- Growth |
||||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||
| Investments in affiliated mutual funds, at cost |
$311,008,582 | $440,645,387 | $1,208,346,831 | $848,990,709 | $253,130,878 | $12,802,852 | ||||||||||||||||||||||||
| Investments in affiliated mutual funds, at value |
$333,945,281 | $493,388,386 | $1,416,087,710 | $1,036,337,527 | $324,112,370 | $12,893,522 | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Fund shares sold |
646,961 | 245,420 | 1,152,128 | 1,271,645 | 287,600 | 239,551 | ||||||||||||||||||||||||
| Securities sold |
153,737 | 259,191 | 965,906 | 440,252 | 118,712 | — | ||||||||||||||||||||||||
| Due from adviser |
20,207 | 21,652 | 60,173 | 44,118 | 13,775 | 2,193 | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
20,796 | 23,789 | 37,068 | 34,898 | 20,835 | 9,671 | ||||||||||||||||||||||||
| Total Assets |
334,786,982 | 493,938,438 | 1,418,302,985 | 1,038,128,440 | 324,553,292 | 13,144,937 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
780,730 | 804,057 | 4,370,893 | 2,805,883 | 535,328 | — | ||||||||||||||||||||||||
| Securities purchased |
— | — | — | — | — | 171,536 | ||||||||||||||||||||||||
| Accrued advisory fees |
56,646 | 83,938 | 241,051 | 176,431 | 55,223 | 2,013 | ||||||||||||||||||||||||
| Accrued administration fees |
42,485 | 62,953 | 180,788 | 132,323 | 41,418 | 1,509 | ||||||||||||||||||||||||
| Accrued support service expenses |
10,811 | 15,699 | 44,431 | 31,990 | 9,923 | 148 | ||||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
7,413 | 10,743 | 30,414 | 21,872 | 6,768 | 103 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
41,960 | 60,882 | 172,314 | 124,026 | 38,418 | 574 | ||||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
3,097 | 3,437 | 8,919 | 5,984 | 1,686 | 2 | ||||||||||||||||||||||||
| Accrued distribution and/or service fees |
24,263 | 33,679 | 92,336 | 65,020 | 19,497 | 230 | ||||||||||||||||||||||||
| Accrued other |
14,405 | 21,221 | 60,215 | 44,146 | 13,001 | 195 | ||||||||||||||||||||||||
| Total Liabilities |
981,810 | 1,096,609 | 5,201,361 | 3,407,675 | 721,262 | 176,310 | ||||||||||||||||||||||||
| NET ASSETS |
$333,805,172 | $492,841,829 | $1,413,101,624 | $1,034,720,765 | $323,832,030 | $12,968,627 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$315,856,920 | $444,295,502 | $1,200,536,574 | $846,325,650 | $256,952,960 | $13,177,519 | ||||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
(200,930 | ) | (892,512 | ) | (2,862,407 | ) | (2,175,840 | ) | (703,742 | ) | (5,607 | ) | ||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(4,787,517 | ) | (3,304,160 | ) | 7,686,578 | 3,224,137 | (3,398,680 | ) | (293,955 | ) | ||||||||||||||||||||
| Net unrealized appreciation (depreciation) on investments |
22,936,699 | 52,742,999 | 207,740,879 | 187,346,818 | 70,981,492 | 90,670 | ||||||||||||||||||||||||
| NET ASSETS |
$333,805,172 | $492,841,829 | $1,413,101,624 | $1,034,720,765 | $323,832,030 | $12,968,627 | ||||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$136,881,032 | $236,724,555 | $720,438,371 | $560,395,224 | $179,825,123 | $2,646,873 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
12,470,231 | 19,388,160 | 52,696,413 | 38,364,070 | 11,385,291 | 272,821 | ||||||||||||||||||||||||
| Net Asset Value per share* |
$10.98 | $12.21 | $13.67 | $14.61 | $15.79 | $9.70 | ||||||||||||||||||||||||
| Sales Charge — Maximum is 5.50% of offering price |
0.64 | 0.71 | 0.80 | 0.85 | 0.92 | 0.56 | ||||||||||||||||||||||||
| Maximum offering price per share |
$11.62 | $12.92 | $14.47 | $15.46 | $16.71 | $10.26 | ||||||||||||||||||||||||
| Class B Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$29,733,525 | $45,183,893 | $134,765,779 | $98,255,784 | $29,946,446 | |||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
2,762,216 | 3,762,771 | 9,969,778 | 6,813,831 | 1,937,410 | |||||||||||||||||||||||||
| Net Asset Value per share* |
$10.76 | $12.01 | $13.52 | $14.42 | $15.46 | |||||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$153,432,742 | $200,104,522 | $515,690,569 | $347,447,300 | $99,581,898 | $1,451,575 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
14,258,315 | 16,672,098 | 38,211,792 | 24,167,592 | 6,453,179 | 151,666 | ||||||||||||||||||||||||
| Net Asset Value per share* |
$10.76 | $12.00 | $13.50 | $14.38 | $15.43 | $9.57 | ||||||||||||||||||||||||
| Class R Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$8,354,230 | $5,934,281 | $24,224,294 | $15,347,146 | $7,312,675 | |||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
766,267 | 488,778 | 1,776,074 | 1,053,056 | 465,834 | |||||||||||||||||||||||||
| Net Asset Value per share |
$10.90 | $12.14 | $13.64 | $14.57 | $15.70 | |||||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||||
| Net Assets |
$5,403,643 | $4,894,578 | $17,982,611 | $13,275,311 | $7,165,888 | $8,870,179 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
491,402 | 399,949 | 1,313,279 | 906,950 | 453,070 | 911,722 | ||||||||||||||||||||||||
| Net Asset Value per share |
$11.00 | $12.24 | $13.69 | $14.64 | $15.82 | $9.73 | ||||||||||||||||||||||||
| * | 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, 2017
| 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 |
$275,834,338 | $729,952,812 | $341,482,946 | $1,311,133,774 | $34,146,886 | $27,721,904 | ||||||||||||||||||||||||
| Investments, at value |
$277,849,388 | $733,820,908 | $345,864,628 | $1,318,766,229 | $34,081,502 | $28,305,150 | ||||||||||||||||||||||||
| Cash |
39,574 | 48,836 | 93,917 | 1,044,605 | 12,551 | 50,448 | ||||||||||||||||||||||||
| Foreign currency held, at value (1) |
— | — | 5,009 | — | — | 626 | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividends and interest |
1,270,900 | 5,089,053 | 3,201,243 | 4,108,939 | 332,067 | 435,529 | ||||||||||||||||||||||||
| Fund shares sold |
1,464,584 | 1,681,375 | 1,887,765 | 8,194,345 | 17,000 | 179 | ||||||||||||||||||||||||
| Securities sold |
2,257,157 | 16,711,406 | 8,571,315 | 90,137,100 | — | 100,879 | ||||||||||||||||||||||||
| Due from adviser |
59,476 | 149,327 | 81,739 | 228,636 | 9,510 | — | ||||||||||||||||||||||||
| Swap agreements, at value |
— | — | — | — | — | 9,619 | ||||||||||||||||||||||||
| Unfunded loan commitment appreciation |
— | — | — | 44,714 | — | — | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
19,352 | 24,019 | 16,985 | 36,064 | 12,731 | 13,991 | ||||||||||||||||||||||||
| Total Assets |
282,960,431 | 757,524,924 | 359,722,601 | 1,422,560,632 | 34,465,361 | 28,916,421 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
1,172,425 | 1,988,525 | 698,272 | 1,916,659 | 72,353 | 41,243 | ||||||||||||||||||||||||
| Securities purchased |
5,557,789 | 9,145,385 | 21,844,902 | 251,701,629 | 793,041 | 344,953 | ||||||||||||||||||||||||
| Income distributions |
38,093 | 271,120 | 140,302 | 732,333 | 708 | 1,025 | ||||||||||||||||||||||||
| Accrued advisory fees |
93,469 | 315,621 | 167,745 | 615,579 | 17,917 | 22,623 | ||||||||||||||||||||||||
| Accrued administration fees |
69,667 | 173,263 | 83,580 | 246,462 | 5,631 | 5,264 | ||||||||||||||||||||||||
| Accrued support service expenses |
8,738 | 22,956 | 8,886 | 25,918 | 1,037 | 889 | ||||||||||||||||||||||||
| Accrued custodian fees and expenses |
3,693 | 9,145 | 3,627 | 17,782 | 1,213 | 488 | ||||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
6,037 | 15,870 | 6,155 | 17,921 | 718 | 615 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
33,828 | 88,872 | 34,238 | 100,025 | 4,001 | 3,606 | ||||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
140 | 368 | 143 | 416 | 17 | 14 | ||||||||||||||||||||||||
| Accrued distribution and/or service fees |
6,532 | 17,613 | 7,285 | 25,359 | 501 | 678 | ||||||||||||||||||||||||
| Accrued other |
16,507 | 37,104 | 17,716 | 78,415 | 4,377 | 5,492 | ||||||||||||||||||||||||
| Total Liabilities |
7,006,918 | 12,085,842 | 23,012,851 | 255,478,498 | 901,514 | 426,890 | ||||||||||||||||||||||||
| NET ASSETS |
$275,953,513 | $745,439,082 | $336,709,750 | $1,167,082,134 | $33,563,847 | $28,489,531 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$276,426,006 | $759,905,892 | $344,837,118 | $1,197,916,592 | $37,268,822 | $37,035,600 | ||||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
38,026 | 139,264 | 88,156 | 541,581 | 7,988 | 80,315 | ||||||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(2,525,569 | ) | (18,474,170 | ) | (12,595,575 | ) | (39,053,208 | ) | (3,647,579 | ) | (9,219,087 | ) | ||||||||||||||||||
| Net unrealized appreciation (depreciation) on
investments and |
2,015,050 | 3,868,096 | 4,380,051 | 7,677,169 | (65,384 | ) | 592,703 | |||||||||||||||||||||||
| NET ASSETS |
$275,953,513 | $745,439,082 | $336,709,750 | $1,167,082,134 | $33,563,847 | $28,489,531 | ||||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$66,900,516 | $160,226,014 | $66,765,370 | $207,237,886 | $5,506,188 | $5,626,023 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
6,482,995 | 15,242,433 | 6,252,831 | 20,418,554 | 604,029 | 546,541 | ||||||||||||||||||||||||
| Net Asset Value per share* |
$10.32 | $10.51 | $10.68 | $10.15 | $9.12 | $10.29 | ||||||||||||||||||||||||
| Sales Charge (2) |
0.32 | 0.47 | 0.47 | 0.31 | 0.28 | 0.46 | ||||||||||||||||||||||||
| Maximum offering price per share |
$10.64 | $10.98 | $11.15 | $10.46 | $9.40 | $10.75 | ||||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$43,091,788 | $120,545,938 | $50,015,504 | $180,611,969 | $3,205,967 | $4,801,710 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
4,183,798 | 11,464,993 | 4,692,749 | 17,826,119 | 352,474 | 467,159 | ||||||||||||||||||||||||
| Net Asset Value per share* |
$10.30 | $10.51 | $10.66 | $10.13 | $9.10 | $10.28 | ||||||||||||||||||||||||
| Class I Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$3,407,420 | $4,563,492 | $2,446,496 | $249,811,471 | $22,819,378 | $5,204,080 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
330,665 | 433,776 | 230,380 | 24,578,875 | 2,503,551 | 509,494 | ||||||||||||||||||||||||
| Net Asset Value per share |
$10.30 | $10.52 | $10.62 | $10.16 | $9.11 | $10.21 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
| Net Assets |
$122,259,617 | $78,659,723 | $10,553,825 | |||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
11,589,299 | 7,740,871 | 1,034,513 | |||||||||||||||||||||||||||
| Net Asset Value per share |
$10.55 | $10.16 | $10.20 | |||||||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||||
| Net Assets |
$162,553,789 | $337,844,021 | $217,482,380 | $450,761,085 | $2,032,314 | $2,303,893 | ||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
15,751,709 | 32,071,496 | 20,364,605 | 44,265,652 | 223,126 | 223,708 | ||||||||||||||||||||||||
| Net Asset Value per share |
$10.32 | $10.53 | $10.68 | $10.18 | $9.11 | $10.30 | ||||||||||||||||||||||||
| * | 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 $6,640 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, 2017
| 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 |
$10,017,145 | $28,661,938 | $100,346,022 | $9,966,777 | $26,648,227 | $32,164,528 | ||||||||||||||||||||||
| Investments, at value |
$11,131,087 | $32,120,993 | $110,897,850 | $11,308,967 | $32,329,041 | $37,226,451 | ||||||||||||||||||||||
| Cash |
510 | — | — | — | — | 11,314 | ||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||
| Dividends and interest |
7,634 | 38,888 | 74,065 | 8,245 | 39,972 | 10,418 | ||||||||||||||||||||||
| Fund shares sold |
10,169 | 69,894 | 566,238 | 51,274 | 177 | 11,944 | ||||||||||||||||||||||
| Securities sold |
340,704 | — | — | 3,922 | 111,439 | 41,949 | ||||||||||||||||||||||
| Due from adviser |
37,719 | 42,994 | 55,060 | 37,515 | 42,139 | 41,209 | ||||||||||||||||||||||
| Prepaid expenses and other assets |
16,485 | 15,407 | 18,188 | 14,640 | 14,844 | 15,128 | ||||||||||||||||||||||
| Total Assets |
11,544,308 | 32,288,176 | 111,611,401 | 11,424,563 | 32,537,612 | 37,358,413 | ||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||
| Fund shares redeemed |
18,697 | — | 154,408 | 287 | 100 | 16,976 | ||||||||||||||||||||||
| Securities purchased |
450,476 | 387,243 | — | 23,376 | 170,701 | 57,419 | ||||||||||||||||||||||
| Accrued advisory fees |
5,063 | 17,526 | 72,133 | 8,060 | 22,953 | 26,777 | ||||||||||||||||||||||
| Accrued administration fees |
2,611 | 7,914 | 24,379 | 2,827 | 6,874 | 6,639 | ||||||||||||||||||||||
| Accrued support service expenses |
444 | 741 | 2,073 | 444 | 1,185 | 1,185 | ||||||||||||||||||||||
| Accrued custodian fees and expenses |
212 | 393 | 732 | 210 | 478 | 440 | ||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
308 | 513 | 1,436 | 308 | 821 | 821 | ||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
1,705 | 2,869 | 8,002 | 1,705 | 4,591 | 4,575 | ||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
7 | 12 | 33 | 7 | 19 | 19 | ||||||||||||||||||||||
| Accrued distribution and/or service fees |
439 | 400 | 1,479 | 132 | 144 | 65 | ||||||||||||||||||||||
| Accrued other |
1,217 | 1,726 | 4,244 | 1,615 | 3,309 | 2,287 | ||||||||||||||||||||||
| Total Liabilities |
481,179 | 419,337 | 268,919 | 38,971 | 211,175 | 117,203 | ||||||||||||||||||||||
| NET ASSETS |
$11,063,129 | $31,868,839 | $111,342,482 | $11,385,592 | $32,326,437 | $37,241,210 | ||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||
| Paid-in capital |
$10,074,400 | $27,954,236 | $100,830,960 | $10,018,385 | $24,806,627 | $32,354,589 | ||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
21,427 | 105,544 | — | 1,564 | 10,458 | (39,502 | ) | |||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(146,640 | ) | 350,004 | (40,306 | ) | 23,453 | 1,828,538 | (135,800 | ) | |||||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
1,113,942 | 3,459,055 | 10,551,828 | 1,342,190 | 5,680,814 | 5,061,923 | ||||||||||||||||||||||
| NET ASSETS |
$11,063,129 | $31,868,839 | $111,342,482 | $11,385,592 | $32,326,437 | $37,241,210 | ||||||||||||||||||||||
| Class A Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$4,599,331 | $2,571,500 | $18,360,418 | $1,758,580 | $743,443 | $514,096 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
415,221 | 239,157 | 1,539,642 | 149,370 | 64,551 | 46,135 | ||||||||||||||||||||||
| Net Asset Value per share* |
$11.08 | $10.75 | $11.93 | $11.77 | $11.52 | $11.14 | ||||||||||||||||||||||
| Sales Charge — Maximum is 4.25% of offering price |
0.49 | 0.48 | 0.53 | 0.52 | 0.51 | 0.49 | ||||||||||||||||||||||
| Maximum offering price per share |
$11.57 | $11.23 | $12.46 | $12.29 | $12.03 | $11.63 | ||||||||||||||||||||||
| Class C Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$2,803,843 | $3,056,204 | $7,383,286 | $641,060 | $1,105,227 | $186,690 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
254,205 | 285,978 | 624,978 | 54,518 | 96,441 | 16,901 | ||||||||||||||||||||||
| Net Asset Value per share* |
$11.03 | $10.69 | $11.81 | $11.76 | $11.46 | $11.05 | ||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||
| Net Assets |
$12,384,501 | |||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,106,742 | |||||||||||||||||||||||||||
| Net Asset Value per share |
$11.19 | |||||||||||||||||||||||||||
| Advisor Class: |
||||||||||||||||||||||||||||
| Net Assets |
$2,176,233 | $24,779,475 | $70,259,972 | $8,265,241 | $20,616,936 | $13,320,811 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
195,842 | 2,297,771 | 5,884,540 | 694,717 | 1,779,477 | 1,189,927 | ||||||||||||||||||||||
| Net Asset Value and offering price per share |
$11.11 | $10.78 | $11.94 | $11.90 | $11.59 | $11.19 | ||||||||||||||||||||||
| Investor Class: |
||||||||||||||||||||||||||||
| Net Assets |
$299,378 | $96,358 | $6,807,627 | $580,332 | $205,961 | $1,155,154 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
27,394 | 9,058 | 571,970 | 49,023 | 17,897 | 103,807 | ||||||||||||||||||||||
| Net Asset Value per share |
$10.93 | $10.64 | $11.90 | $11.84 | $11.51 | $11.13 | ||||||||||||||||||||||
| Class S (formerly Institutional Class): |
||||||||||||||||||||||||||||
| Net Assets |
$1,184,344 | $1,365,302 | $8,531,179 | $140,379 | $9,654,870 | $9,679,958 | ||||||||||||||||||||||
| Shares of beneficial interest outstanding |
107,395 | 127,040 | 714,592 | 12,818 | 835,682 | 864,160 | ||||||||||||||||||||||
| Net Asset Value per share |
$11.03 | $10.75 | $11.94 | $10.95 | $11.55 | $11.20 | ||||||||||||||||||||||
| * | 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, 2017
| Pacific Funds Portfolio Optimization | Pacific Funds Diversified Alternatives |
|||||||||||||||||||||||||||||
| Conservative | Moderate- Conservative |
Moderate | Growth | Aggressive- Growth |
||||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends from affiliated mutual fund investments |
$8,331,642 | $11,839,540 | $32,409,926 | $22,631,661 | $5,880,294 | $494,235 | ||||||||||||||||||||||||
| Dividends from mutual fund investments |
2 | 2 | 6 | 4 | 1 | — | ||||||||||||||||||||||||
| Total Investment Income |
8,331,644 | 11,839,542 | 32,409,932 | 22,631,665 | 5,880,295 | 494,235 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
722,985 | 1,039,223 | 2,940,813 | 2,109,998 | 635,537 | 14,516 | ||||||||||||||||||||||||
| Administration fees |
542,238 | 779,418 | 2,205,610 | 1,582,498 | 476,653 | 10,887 | ||||||||||||||||||||||||
| Support services expenses |
69,535 | 99,297 | 280,070 | 198,597 | 58,260 | 884 | ||||||||||||||||||||||||
| Shareholder report expenses |
29,089 | 41,496 | 117,659 | 84,426 | 25,451 | 755 | ||||||||||||||||||||||||
| Distribution and/or service fees (1) |
||||||||||||||||||||||||||||||
| Class A |
377,494 | 623,777 | 1,875,800 | 1,423,526 | 438,992 | 6,803 | ||||||||||||||||||||||||
| Class B |
320,949 | 463,615 | 1,382,392 | 996,080 | 293,512 | |||||||||||||||||||||||||
| Class C |
1,637,749 | 2,132,810 | 5,404,353 | 3,585,707 | 996,910 | 9,928 | ||||||||||||||||||||||||
| Class R |
50,608 | 29,053 | 123,149 | 83,361 | 35,144 | |||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
27,573 | 39,940 | 113,499 | 80,616 | 23,530 | 380 | ||||||||||||||||||||||||
| Registration fees |
77,575 | 70,792 | 87,565 | 81,710 | 72,039 | 41,886 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
52,255 | 75,624 | 213,779 | 153,360 | 46,955 | 701 | ||||||||||||||||||||||||
| Trustees’ fees and expenses |
19,645 | 28,095 | 79,240 | 56,328 | 16,684 | 245 | ||||||||||||||||||||||||
| Other |
15,206 | 21,088 | 54,484 | 39,613 | 13,551 | 1,860 | ||||||||||||||||||||||||
| Total Expenses |
3,942,901 | 5,444,228 | 14,878,413 | 10,475,820 | 3,133,218 | 88,845 | ||||||||||||||||||||||||
| Adviser Expense Reimbursement (2) |
(290,877 | ) | (376,333 | ) | (946,295 | ) | (694,650 | ) | (256,470 | ) | (28,564 | ) | ||||||||||||||||||
| Net Expenses |
3,652,024 | 5,067,895 | 13,932,118 | 9,781,170 | 2,876,748 | 60,281 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
4,679,620 | 6,771,647 | 18,477,814 | 12,850,495 | 3,003,547 | 433,954 | ||||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions in affiliated mutual funds |
(1,098,200 | ) | (2,082,985 | ) | (1,564 | ) | 1,762,819 | 4,819,615 | (114,920 | ) | ||||||||||||||||||||
| Capital gain distributions from affiliated mutual fund investments |
3,876,268 | 7,335,346 | 26,426,993 | 21,650,662 | 7,983,700 | 34,705 | ||||||||||||||||||||||||
| Net Realized Gain (Loss) |
2,778,068 | 5,252,361 | 26,425,429 | 23,413,481 | 12,803,315 | (80,215 | ) | |||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities in affiliated mutual funds |
14,438,850 | 28,729,583 | 102,713,381 | 89,929,806 | 27,751,137 | 208,284 | ||||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
14,438,850 | 28,729,583 | 102,713,381 | 89,929,806 | 27,751,137 | 208,284 | ||||||||||||||||||||||||
| NET GAIN (LOSS) |
17,216,918 | 33,981,944 | 129,138,810 | 113,343,287 | 40,554,452 | 128,069 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$21,896,538 | $40,753,591 | $147,616,624 | $126,193,782 | $43,557,999 | $562,023 | ||||||||||||||||||||||||
| (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, 2017
| 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, net of foreign taxes withheld |
$21,393 | $50,756 | $301,385 | $162,232 | $4,522 | $100,481 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
6,971,779 | 24,893,149 | 11,717,363 | 41,744,213 | 1,614,259 | 3,745,906 | ||||||||||||||||||||||||
| Other |
— | 46,972 | — | 186,247 | 8,756 | — | ||||||||||||||||||||||||
| Total Investment Income |
6,993,172 | 24,990,877 | 12,018,748 | 42,092,692 | 1,627,537 | 3,846,387 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
1,077,425 | 3,511,741 | 1,525,334 | 5,161,092 | 214,998 | 395,493 | ||||||||||||||||||||||||
| Administration fees |
804,285 | 1,972,946 | 760,583 | 2,154,840 | 66,033 | 119,559 | ||||||||||||||||||||||||
| Support services expenses |
48,331 | 126,165 | 43,009 | 135,494 | 5,588 | 17,567 | ||||||||||||||||||||||||
| Custodian fees and expenses |
10,657 | 26,803 | 9,409 | 53,286 | 3,818 | 2,373 | ||||||||||||||||||||||||
| Shareholder report expenses |
22,698 | 56,894 | 19,760 | 61,005 | 2,526 | 5,397 | ||||||||||||||||||||||||
| Distribution and/or service fees (1) |
||||||||||||||||||||||||||||||
| Class A |
175,488 | 466,481 | 146,927 | 461,716 | 14,652 | 17,581 | ||||||||||||||||||||||||
| Class C |
455,151 | 1,326,086 | 475,010 | 1,626,450 | 30,665 | 47,435 | ||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
20,843 | 53,958 | 18,684 | 58,319 | 2,399 | 6,622 | ||||||||||||||||||||||||
| Registration fees |
73,367 | 90,598 | 66,758 | 84,668 | 51,469 | 50,914 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
40,962 | 106,911 | 40,386 | 124,178 | 4,810 | 6,829 | ||||||||||||||||||||||||
| Trustees’ fees and expenses |
13,614 | 34,687 | 11,941 | 37,715 | 1,602 | 4,878 | ||||||||||||||||||||||||
| Interest expense and commitment fee |
— | — | — | 146,833 | — | — | ||||||||||||||||||||||||
| Other |
34,219 | 56,327 | 39,619 | 51,929 | 16,537 | 29,242 | ||||||||||||||||||||||||
| Total Expenses |
2,777,040 | 7,829,597 | 3,157,420 | 10,157,525 | 415,097 | 703,890 | ||||||||||||||||||||||||
| Advisory Fee Waiver (2) |
— | — | — | (2,776 | ) | (6,615 | ) | — | ||||||||||||||||||||||
| Adviser Expense Reimbursement (3) |
(600,137 | ) | (1,321,088 | ) | (587,614 | ) | (1,512,901 | ) | (108,215 | ) | (118,054 | ) | ||||||||||||||||||
| Net Expenses |
2,176,903 | 6,508,509 | 2,569,806 | 8,641,848 | 300,267 | 585,836 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
4,816,269 | 18,482,368 | 9,448,942 | 33,450,844 | 1,327,270 | 3,260,551 | ||||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions |
731,984 | 4,466,294 | (2,029,475 | ) | 11,494,263 | (162,300 | ) | (2,050,134 | ) | |||||||||||||||||||||
| Swap transactions |
— | — | — | — | — | 267,096 | ||||||||||||||||||||||||
| Net Realized Gain (Loss) |
731,984 | 4,466,294 | (2,029,475 | ) | 11,494,263 | (162,300 | ) | (1,783,038 | ) | |||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities |
643,525 | (3,862,633 | ) | 14,452,693 | 16,324,313 | 1,100,148 | 10,014,951 | |||||||||||||||||||||||
| Unfunded loan commitments |
— | — | — | 44,714 | — | — | ||||||||||||||||||||||||
| Swaps |
— | — | — | — | — | (82,841 | ) | |||||||||||||||||||||||
| Foreign currencies |
— | — | (119 | ) | — | — | (15 | ) | ||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
643,525 | (3,862,633 | ) | 14,452,574 | 16,369,027 | 1,100,148 | 9,932,095 | |||||||||||||||||||||||
| NET GAIN (LOSS) |
1,375,509 | 603,661 | 12,423,099 | 27,863,290 | 937,848 | 8,149,057 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$6,191,778 | $19,086,029 | $21,872,041 | $61,314,134 | $2,265,118 | $11,409,608 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$866 | $— | $— | $— | $— | $— | ||||||||||||||||||||||||
| (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)
FOR THE YEAR ENDED MARCH 31, 2017
| 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 |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$161,350 | $567,050 | $572,968 | $80,119 | $426,771 | $172,734 | ||||||||||||||||||||||||
| Total Investment Income |
161,350 | 567,050 | 572,968 | 80,119 | 426,771 | 172,734 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
50,475 | 150,349 | 438,088 | 54,144 | 237,185 | 236,358 | ||||||||||||||||||||||||
| Administration fees |
21,371 | 67,561 | 145,186 | 18,568 | 72,410 | 57,056 | ||||||||||||||||||||||||
| Support services expenses |
3,213 | 3,352 | 6,208 | 2,196 | 4,960 | 3,657 | ||||||||||||||||||||||||
| Custodian fees and expenses |
230 | 775 | 1,415 | 326 | 875 | 911 | ||||||||||||||||||||||||
| Shareholder report expenses |
1,301 | 1,950 | 4,549 | 1,013 | 2,706 | 2,577 | ||||||||||||||||||||||||
| Distribution and/or service fees (1) |
||||||||||||||||||||||||||||||
| Class A |
7,488 | 3,951 | 29,292 | 3,257 | 842 | 682 | ||||||||||||||||||||||||
| Class C |
17,110 | 17,763 | 31,027 | 3,319 | 5,040 | 964 | ||||||||||||||||||||||||
| Investor Class |
1,207 | 890 | 9,805 | 534 | 285 | 2,619 | ||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
1,284 | 1,541 | 3,148 | 1,027 | 2,065 | 2,032 | ||||||||||||||||||||||||
| Registration fees |
91,314 | 93,975 | 99,752 | 91,669 | 92,069 | 91,418 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
2,081 | 3,221 | 8,613 | 2,010 | 5,092 | 4,935 | ||||||||||||||||||||||||
| Trustees’ fees and expenses |
762 | 885 | 1,768 | 625 | 1,078 | 1,137 | ||||||||||||||||||||||||
| Offering expenses |
21,450 | 22,335 | 22,155 | 21,410 | 22,156 | 22,156 | ||||||||||||||||||||||||
| Other |
7,415 | 7,443 | 11,150 | 9,738 | 9,879 | 8,725 | ||||||||||||||||||||||||
| Total Expenses |
226,701 | 375,991 | 812,156 | 209,836 | 456,642 | 435,227 | ||||||||||||||||||||||||
| Advisory Fee Waiver (2) |
(7,765 | ) | — | — | — | — | — | |||||||||||||||||||||||
| Adviser Expense Reimbursement (3) |
(136,174 | ) | (157,996 | ) | (202,048 | ) | (135,916 | ) | (161,192 | ) | (150,256 | ) | ||||||||||||||||||
| Net Expenses |
82,762 | 217,995 | 610,108 | 73,920 | 295,450 | 284,971 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
78,588 | 349,055 | (37,140 | ) | 6,199 | 131,321 | (112,237 | ) | ||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions |
(11,973 | ) | 427,273 | 171,935 | 36,392 | 2,025,062 | 600,294 | |||||||||||||||||||||||
| Net Realized Gain (Loss) |
(11,973 | ) | 427,273 | 171,935 | 36,392 | 2,025,062 | 600,294 | |||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities |
1,030,767 | 3,366,911 | 10,252,328 | 1,314,715 | 5,644,679 | 5,056,267 | ||||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
1,030,767 | 3,366,911 | 10,252,328 | 1,314,715 | 5,644,679 | 5,056,267 | ||||||||||||||||||||||||
| NET GAIN (LOSS) |
1,018,794 | 3,794,184 | 10,424,263 | 1,351,107 | 7,669,741 | 5,656,561 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
$1,097,382 | $4,143,239 | $10,387,123 | $1,357,306 | $7,801,062 | $5,544,324 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$— | $— | $174 | $— | $— | $— | ||||||||||||||||||||||||
| (1) | The Class P, Advisor, and Class S 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-6
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
| Pacific Funds Portfolio Optimization Conservative |
Pacific
Funds Portfolio Optimization Moderate-Conservative |
Pacific Funds Portfolio Optimization Moderate |
||||||||||||||||||||||||||||||||||||
|
Year Ended |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$4,679,620 | $6,207,397 | $6,771,647 | $9,467,856 | $18,477,814 | $23,737,275 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
2,778,068 | 6,825,195 | 5,252,361 | 14,146,859 | 26,425,429 | 61,097,352 | ||||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
14,438,850 | (22,221,300 | ) | 28,729,583 | (37,664,761 | ) | 102,713,381 | (132,517,065 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
21,896,538 | (9,188,708 | ) | 40,753,591 | (14,050,046 | ) | 147,616,624 | (47,682,438 | ) | |||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||||||
| Class A |
(2,896,693 | ) | (3,904,624 | ) | (4,726,702 | ) | (6,508,735 | ) | (13,130,548 | ) | (16,790,588 | ) | ||||||||||||||||||||||||||
| Class B |
(439,380 | ) | (705,520 | ) | (651,590 | ) | (932,057 | ) | (1,685,804 | ) | (2,304,983 | ) | ||||||||||||||||||||||||||
| Class C |
(2,195,350 | ) | (3,620,549 | ) | (2,924,445 | ) | (4,371,819 | ) | (6,559,239 | ) | (8,854,712 | ) | ||||||||||||||||||||||||||
| Class R |
(193,444 | ) | (233,548 | ) | (104,475 | ) | (138,296 | ) | (375,854 | ) | (450,122 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(89,445 | ) | (135,864 | ) | (92,773 | ) | (149,204 | ) | (314,926 | ) | (499,724 | ) | ||||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||||||
| Class A |
(1,861,955 | ) | (1,464,958 | ) | (5,435,852 | ) | (7,380,485 | ) | (25,233,447 | ) | (33,710,166 | ) | ||||||||||||||||||||||||||
| Class B |
(397,080 | ) | (334,902 | ) | (1,034,360 | ) | (1,376,966 | ) | (4,712,449 | ) | (6,330,818 | ) | ||||||||||||||||||||||||||
| Class C |
(2,020,417 | ) | (1,747,944 | ) | (4,740,186 | ) | (6,468,248 | ) | (18,432,497 | ) | (24,455,786 | ) | ||||||||||||||||||||||||||
| Class R |
(134,051 | ) | (97,645 | ) | (129,428 | ) | (172,228 | ) | (806,091 | ) | (1,001,296 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(49,454 | ) | (47,371 | ) | (94,380 | ) | (158,780 | ) | (508,114 | ) | (914,566 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(10,277,269 | ) | (12,292,925 | ) | (19,934,191 | ) | (27,656,818 | ) | (71,758,969 | ) | (95,312,761 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
20,641,518 | 39,128,909 | 29,875,459 | 47,922,900 | 70,798,439 | 116,741,636 | ||||||||||||||||||||||||||||||||
| Class B |
2,827,965 | 6,925,517 | 2,703,181 | 6,535,490 | 8,030,046 | 15,856,471 | ||||||||||||||||||||||||||||||||
| Class C |
21,242,698 | 39,002,555 | 17,661,394 | 35,754,897 | 45,860,306 | 84,727,408 | ||||||||||||||||||||||||||||||||
| Class R |
2,087,592 | 1,932,425 | 1,069,627 | 1,375,825 | 5,214,365 | 7,577,848 | ||||||||||||||||||||||||||||||||
| Advisor Class |
3,092,771 | 1,610,009 | 3,539,110 | 2,225,824 | 9,290,977 | 8,588,539 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
4,531,370 | 5,250,529 | 9,961,916 | 13,595,937 | 37,969,820 | 49,999,360 | ||||||||||||||||||||||||||||||||
| Class B |
801,904 | 977,663 | 1,645,794 | 2,244,758 | 6,254,491 | 8,445,179 | ||||||||||||||||||||||||||||||||
| Class C |
4,045,927 | 5,115,687 | 7,399,874 | 10,460,939 | 24,326,639 | 32,355,435 | ||||||||||||||||||||||||||||||||
| Class R |
327,495 | 331,193 | 233,903 | 310,524 | 1,181,945 | 1,451,418 | ||||||||||||||||||||||||||||||||
| Advisor Class |
90,870 | 106,229 | 140,834 | 218,922 | 665,876 | 1,168,221 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(47,987,873 | ) | (51,179,411 | ) | (68,788,872 | ) | (63,408,157 | ) | (199,648,777 | ) | (167,614,855 | ) | ||||||||||||||||||||||||||
| Class B |
(8,585,320 | ) | (10,241,258 | ) | (8,504,928 | ) | (8,755,562 | ) | (29,401,294 | ) | (27,549,588 | ) | ||||||||||||||||||||||||||
| Class C |
(50,196,070 | ) | (52,611,485 | ) | (54,450,785 | ) | (48,371,128 | ) | (136,343,420 | ) | (111,070,721 | ) | ||||||||||||||||||||||||||
| Class R |
(4,475,168 | ) | (3,425,328 | ) | (1,359,415 | ) | (2,347,409 | ) | (8,909,350 | ) | (9,685,326 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(2,925,769 | ) | (4,339,090 | ) | (3,864,077 | ) | (2,670,632 | ) | (12,744,303 | ) | (9,838,319 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(54,480,090 | ) | (21,415,856 | ) | (62,736,985 | ) | (4,906,872 | ) | (177,454,240 | ) | 1,152,706 | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(42,860,821 | ) | (42,897,489 | ) | (41,917,585 | ) | (46,613,736 | ) | (101,596,585 | ) | (141,842,493 | ) | ||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
376,665,993 | 419,563,482 | 534,759,414 | 581,373,150 | 1,514,698,209 | 1,656,540,702 | ||||||||||||||||||||||||||||||||
| End of Year |
$333,805,172 | $376,665,993 | $492,841,829 | $534,759,414 | $1,413,101,624 | $1,514,698,209 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($200,930 | ) | ($399,812 | ) | ($892,512 | ) | ($851,862 | ) | ($2,862,407 | ) | ($2,596,320 | ) | ||||||||||||||||||||||||||
See Notes to Financial Statements
C-7
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 |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$12,850,495 | $10,547,317 | $3,003,547 | $2,330,611 | $433,954 | $210,435 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
23,413,481 | 57,827,730 | 12,803,315 | 14,775,806 | (80,215 | ) | (167,542 | ) | ||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
89,929,806 | (111,596,219 | ) | 27,751,137 | (33,442,284 | ) | 208,284 | (34,634 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
126,193,782 | (43,221,172 | ) | 43,557,999 | (16,335,867 | ) | 562,023 | 8,259 | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||||||
| Class A |
(9,094,417 | ) | (9,672,579 | ) | (2,203,191 | ) | (3,216,598 | ) | (150,590 | ) | (97,476 | ) | ||||||||||||||||||||||||||
| Class B |
(1,058,850 | ) | (1,162,795 | ) | (206,477 | ) | (347,881 | ) | ||||||||||||||||||||||||||||||
| Class C |
(3,759,307 | ) | (4,178,994 | ) | (705,928 | ) | (1,159,802 | ) | (76,046 | ) | (19,607 | ) | ||||||||||||||||||||||||||
| Class R |
(218,727 | ) | (283,644 | ) | (74,738 | ) | (124,319 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(196,174 | ) | (252,100 | ) | (86,145 | ) | (201,505 | ) | (211,895 | ) | (98,021 | ) | ||||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||||||
| Class A |
(25,096,077 | ) | (34,069,914 | ) | (9,677,910 | ) | (2,096,384 | ) | — | (5,998 | ) | |||||||||||||||||||||||||||
| Class B |
(4,451,793 | ) | (6,327,240 | ) | (1,616,412 | ) | (392,900 | ) | ||||||||||||||||||||||||||||||
| Class C |
(16,040,093 | ) | (22,532,059 | ) | (5,560,851 | ) | (1,274,589 | ) | — | (2,348 | ) | |||||||||||||||||||||||||||
| Class R |
(693,273 | ) | (1,116,465 | ) | (382,436 | ) | (93,025 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(439,770 | ) | (821,857 | ) | (281,707 | ) | (116,716 | ) | — | (9,253 | ) | |||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(61,048,481 | ) | (80,417,647 | ) | (20,795,795 | ) | (9,023,719 | ) | (438,531 | ) | (232,703 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
53,513,336 | 83,995,286 | 18,570,332 | 29,404,009 | 676,037 | 2,050,406 | ||||||||||||||||||||||||||||||||
| Class B |
6,937,497 | 9,907,249 | 3,291,525 | 4,362,107 | ||||||||||||||||||||||||||||||||||
| Class C |
28,988,316 | 50,635,083 | 13,026,047 | 20,706,552 | 1,137,079 | 285,780 | ||||||||||||||||||||||||||||||||
| Class R |
3,136,442 | 4,037,759 | 1,377,281 | 1,818,983 | ||||||||||||||||||||||||||||||||||
| Advisor Class |
6,810,080 | 10,834,944 | 5,782,462 | 5,273,055 | 6,383,645 | 376,294 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
33,892,955 | 43,328,751 | 11,753,676 | 5,249,516 | 134,927 | 64,767 | ||||||||||||||||||||||||||||||||
| Class B |
5,370,543 | 7,294,906 | 1,802,299 | 730,892 | ||||||||||||||||||||||||||||||||||
| Class C |
19,283,093 | 25,933,496 | 6,062,645 | 2,352,130 | 75,677 | 15,094 | ||||||||||||||||||||||||||||||||
| Class R |
912,000 | 1,400,109 | 457,174 | 217,344 | ||||||||||||||||||||||||||||||||||
| Advisor Class |
573,035 | 879,861 | 351,442 | 289,976 | 211,895 | 107,274 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(133,069,630 | ) | (100,116,980 | ) | (34,153,004 | ) | (27,787,173 | ) | (1,356,105 | ) | (371,869 | ) | ||||||||||||||||||||||||||
| Class B |
(22,051,722 | ) | (22,060,055 | ) | (7,239,118 | ) | (8,359,195 | ) | ||||||||||||||||||||||||||||||
| Class C |
(89,208,884 | ) | (65,186,413 | ) | (27,017,151 | ) | (24,540,419 | ) | (401,172 | ) | (171,556 | ) | ||||||||||||||||||||||||||
| Class R |
(8,078,468 | ) | (6,399,820 | ) | (2,057,339 | ) | (3,269,903 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(6,919,008 | ) | (8,143,181 | ) | (6,137,725 | ) | (4,514,480 | ) | (290,018 | ) | (1,652,131 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(99,910,415 | ) | 36,340,995 | (14,129,454 | ) | 1,933,394 | 6,571,965 | 704,059 | ||||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(34,765,114 | ) | (87,297,824 | ) | 8,632,750 | (23,426,192 | ) | 6,695,457 | 479,615 | |||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
1,069,485,879 | 1,156,783,703 | 315,199,280 | 338,625,472 | 6,273,170 | 5,793,555 | ||||||||||||||||||||||||||||||||
| End of Year |
$1,034,720,765 | $1,069,485,879 | $323,832,030 | $315,199,280 | $12,968,627 | $6,273,170 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($2,175,840 | ) | ($2,167,134 | ) | ($703,742 | ) | ($657,084 | ) | ($5,607 | ) | ($1,315 | ) | ||||||||||||||||||||||||||
See Notes to Financial Statements
C-8
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Short Duration Income |
Pacific Funds Core Income |
Pacific Funds Strategic Income |
||||||||||||||||||||||||||||||||||||
|
Year Ended |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$4,816,269 | $2,787,948 | $18,482,368 | $17,960,091 | $9,448,942 | $8,915,648 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
731,984 | (3,090,621 | ) | 4,466,294 | (19,731,308 | ) | (2,029,475 | ) | (9,377,645 | ) | ||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
643,525 | 1,156,485 | (3,862,633 | ) | (2,012,536 | ) | 14,452,574 | (6,372,375 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
6,191,778 | 853,812 | 19,086,029 | (3,783,753 | ) | 21,872,041 | (6,834,372 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||||||
| Class A |
(1,227,149 | ) | (892,384 | ) | (4,826,887 | ) | (6,187,597 | ) | (2,172,945 | ) | (2,415,258 | ) | ||||||||||||||||||||||||||
| Class C |
(454,025 | ) | (321,233 | ) | (2,444,399 | ) | (3,695,540 | ) | (1,405,025 | ) | (1,539,797 | ) | ||||||||||||||||||||||||||
| Class I |
(54,322 | ) | (32,531 | ) | (120,832 | ) | (123,656 | ) | (56,031 | ) | (57,518 | ) | ||||||||||||||||||||||||||
| Class P |
(2,531,674 | ) | (477,842 | ) | ||||||||||||||||||||||||||||||||||
| Advisor Class |
(3,070,775 | ) | (1,529,240 | ) | (8,536,077 | ) | (7,477,502 | ) | (5,862,236 | ) | (4,879,588 | ) | ||||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||||||
| Class A |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class C |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class I |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class P |
— | — | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(4,806,271 | ) | (2,775,388 | ) | (18,459,869 | ) | (17,962,137 | ) | (9,496,237 | ) | (8,892,161 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
43,294,940 | 52,194,546 | 53,216,416 | 72,011,353 | 33,503,568 | 31,501,290 | ||||||||||||||||||||||||||||||||
| Class C |
17,051,848 | 24,749,265 | 19,632,417 | 30,629,713 | 15,648,664 | 17,608,826 | ||||||||||||||||||||||||||||||||
| Class I |
2,142,132 | 812,407 | 1,739,345 | 1,241,695 | 1,806,030 | 329,627 | ||||||||||||||||||||||||||||||||
| Class P |
133,255,892 | 17,836,568 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
136,012,122 | 120,974,490 | 231,900,698 | 163,576,472 | 151,557,523 | 123,228,346 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
1,165,652 | 774,312 | 4,409,873 | 5,746,936 | 1,977,405 | 2,252,968 | ||||||||||||||||||||||||||||||||
| Class C |
411,509 | 305,231 | 2,157,620 | 3,369,932 | 1,254,878 | 1,448,846 | ||||||||||||||||||||||||||||||||
| Class I |
53,032 | 32,247 | 119,602 | 123,113 | 53,586 | 55,406 | ||||||||||||||||||||||||||||||||
| Class P |
2,531,674 | 477,842 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
2,752,103 | 1,296,101 | 6,151,740 | 5,474,042 | 5,061,475 | 4,414,462 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(47,411,008 | ) | (31,534,279 | ) | (94,720,079 | ) | (92,528,818 | ) | (23,925,551 | ) | (28,395,048 | ) | ||||||||||||||||||||||||||
| Class C |
(18,790,677 | ) | (11,966,152 | ) | (42,744,488 | ) | (70,900,945 | ) | (13,699,228 | ) | (14,506,198 | ) | ||||||||||||||||||||||||||
| Class I |
(488,855 | ) | (640,633 | ) | (889,532 | ) | (1,455,198 | ) | (423,951 | ) | (710,751 | ) | ||||||||||||||||||||||||||
| Class P |
(27,196,114 | ) | (1,721,609 | ) | ||||||||||||||||||||||||||||||||||
| Advisor Class |
(106,431,612 | ) | (43,939,996 | ) | (150,931,268 | ) | (131,518,326 | ) | (61,407,661 | ) | (70,036,812 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
29,761,186 | 113,057,539 | 138,633,796 | 2,362,770 | 111,406,738 | 67,190,962 | ||||||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
31,146,693 | 111,135,963 | 139,259,956 | (19,383,120 | ) | 123,782,542 | 51,464,429 | |||||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
244,806,820 | 133,670,857 | 606,179,126 | 625,562,246 | 212,927,208 | 161,462,779 | ||||||||||||||||||||||||||||||||
| End of Year |
$275,953,513 | $244,806,820 | $745,439,082 | $606,179,126 | $336,709,750 | $212,927,208 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$38,026 | $28,467 | $139,264 | $118,060 | $88,156 | $64,893 | ||||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-9
PACIFIC 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 |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
Year Ended |
Year Ended March 31, 2016 |
|||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$33,450,844 | $28,119,514 | $1,327,270 | $1,651,089 | $3,260,551 | $6,895,189 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
11,494,263 | (40,657,299 | ) | (162,300 | ) | (3,190,377 | ) | (1,783,038 | ) | (7,360,650 | ) | |||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
16,369,027 | 16,316,885 | 1,100,148 | 329,629 | 9,932,095 | (9,146,868 | ) | |||||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
61,314,134 | 3,779,100 | 2,265,118 | (1,209,659 | ) | 11,409,608 | (9,612,329 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||||||
| Class A |
(7,537,571 | ) | (8,001,104 | ) | (225,008 | ) | (301,881 | ) | (362,887 | ) | (344,925 | ) | ||||||||||||||||||||||||||
| Class C |
(5,464,855 | ) | (5,426,961 | ) | (96,954 | ) | (127,205 | ) | (228,459 | ) | (173,195 | ) | ||||||||||||||||||||||||||
| Class I |
(6,718,654 | ) | (4,062,226 | ) | (924,173 | ) | (1,025,782 | ) | (235,771 | ) | (9,340 | ) | ||||||||||||||||||||||||||
| Class P |
(286,295 | ) | (20,218 | ) | (2,450,055 | ) | (5,793,264 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(13,081,724 | ) | (10,641,012 | ) | (83,321 | ) | (205,543 | ) | (116,166 | ) | (131,878 | ) | ||||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||||||
| Class A |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class C |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class I |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Class P |
— | — | — | — | ||||||||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | — | — | — | ||||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(33,089,099 | ) | (28,151,521 | ) | (1,329,456 | ) | (1,660,411 | ) | (3,393,338 | ) | (6,452,602 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||||||
| Class A |
82,939,080 | 57,572,103 | 1,628,742 | 4,475,132 | 3,274,163 | 13,088,825 | ||||||||||||||||||||||||||||||||
| Class C |
43,488,000 | 35,227,123 | 658,538 | 982,447 | 1,284,968 | 985,964 | ||||||||||||||||||||||||||||||||
| Class I |
164,737,598 | 30,632,229 | 83,759 | 28,368 | 5,292,386 | 9,700 | ||||||||||||||||||||||||||||||||
| Class P |
79,129,961 | 302,213 | 7,026,921 | 107,612,767 | ||||||||||||||||||||||||||||||||||
| Advisor Class |
336,633,817 | 108,596,290 | 1,099,678 | 3,629,483 | 1,574,589 | 906,132 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||||||
| Class A |
6,984,894 | 7,543,692 | 220,218 | 278,229 | 360,665 | 335,187 | ||||||||||||||||||||||||||||||||
| Class C |
4,965,005 | 4,943,539 | 91,087 | 123,103 | 223,956 | 170,845 | ||||||||||||||||||||||||||||||||
| Class I |
4,730,223 | 3,960,071 | 924,173 | 1,025,782 | 235,287 | 9,340 | ||||||||||||||||||||||||||||||||
| Class P |
286,295 | 20,218 | 2,450,055 | 5,793,190 | ||||||||||||||||||||||||||||||||||
| Advisor Class |
11,318,848 | 9,527,717 | 83,017 | 203,536 | 112,291 | 128,245 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||||||
| Class A |
(81,263,712 | ) | (82,208,193 | ) | (4,025,446 | ) | (3,854,454 | ) | (8,988,593 | ) | (8,242,638 | ) | ||||||||||||||||||||||||||
| Class C |
(35,425,874 | ) | (53,027,060 | ) | (733,142 | ) | (1,390,787 | ) | (1,431,053 | ) | (1,755,791 | ) | ||||||||||||||||||||||||||
| Class I |
(16,253,229 | ) | (27,869,021 | ) | (18,058 | ) | (35,989 | ) | (605,738 | ) | (166,524 | ) | ||||||||||||||||||||||||||
| Class P |
(1,052,617 | ) | (434,287 | ) | (119,565,200 | ) | (23,831,252 | ) | ||||||||||||||||||||||||||||||
| Advisor Class |
(139,052,368 | ) | (148,263,600 | ) | (1,183,622 | ) | (7,144,202 | ) | (1,209,101 | ) | (2,827,087 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
462,165,921 | (53,476,966 | ) | (1,171,056 | ) | (1,679,352 | ) | (109,964,404 | ) | 92,216,903 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
490,390,956 | (77,849,387 | ) | (235,394 | ) | (4,549,422 | ) | (101,948,134 | ) | 76,151,972 | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
676,691,178 | 754,540,565 | 33,799,241 | 38,348,663 | 130,437,665 | 54,285,693 | ||||||||||||||||||||||||||||||||
| End of Year |
$1,167,082,134 | $676,691,178 | $33,563,847 | $33,799,241 | $28,489,531 | $130,437,665 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$541,581 | $179,836 | $7,988 | $10,174 | $80,315 | ($166,803 | ) | |||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-10
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Large-Cap (1) | Pacific Funds Large-Cap Value (1) | |||||||||||||||||||||||||||||||||
|
Year Ended |
Period Ended |
Period Ended November 30, 2015 |
Year Ended |
Period Ended |
Period Ended November 30, 2015 |
|||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$78,588 | $14,164 | $20,210 | $349,055 | $6,957 | $6,447 | ||||||||||||||||||||||||||||
| Net realized gain (loss) |
(11,973 | ) | (86,266 | ) | (48,401 | ) | 427,273 | (7,797 | ) | (3,320 | ) | |||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
1,030,767 | 55,075 | 28,100 | 3,366,911 | 95,006 | (2,862 | ) | |||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
1,097,382 | (17,027 | ) | (91 | ) | 4,143,239 | 94,166 | 265 | ||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||
| Class A |
(29,632 | ) | — | (20,862 | ) | — | ||||||||||||||||||||||||||||
| Class C |
(9,343 | ) | — | (13,567 | ) | — | ||||||||||||||||||||||||||||
| Advisor Class |
(15,121 | ) | — | (214,064 | ) | — | ||||||||||||||||||||||||||||
| Investor Class |
(5,861 | ) | (8,940 | ) | — | (4,572 | ) | (13,490 | ) | — | ||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(18,654 | ) | (30,967 | ) | — | (18,228 | ) | — | ||||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||
| Class A |
— | — | (4,816 | ) | — | |||||||||||||||||||||||||||||
| Class C |
— | — | (4,860 | ) | — | |||||||||||||||||||||||||||||
| Advisor Class |
— | — | (53,074 | ) | — | |||||||||||||||||||||||||||||
| Investor Class |
— | — | — | (513 | ) | — | — | |||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
— | — | — | (2,889 | ) | — | ||||||||||||||||||||||||||||
| Return of Capital |
||||||||||||||||||||||||||||||||||
| Class A |
— | — | — | — | ||||||||||||||||||||||||||||||
| Class C |
— | — | — | — | ||||||||||||||||||||||||||||||
| Advisor Class |
— | — | — | — | ||||||||||||||||||||||||||||||
| Investor Class |
— | (696 | ) | — | — | — | — | |||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
— | (2,409 | ) | — | — | — |
|
|
||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(78,611 | ) | (43,012 | ) | — | (337,445 | ) | (13,490 | ) | — | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||
| Class A |
4,071,979 | 632,295 | 2,488,423 | 468,856 | ||||||||||||||||||||||||||||||
| Class C |
2,217,279 | 513,265 | 2,425,871 | 455,798 | ||||||||||||||||||||||||||||||
| Advisor Class |
1,498,606 | 555,638 | 21,759,017 | 725,406 | ||||||||||||||||||||||||||||||
| Investor Class |
124,900 | 58,500 | 635,284 | 288,145 | 26,102 | 500,000 | ||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
94,312 | 31,500 | 1,902,333 | 984,695 | 210,000 | |||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||
| Class A |
29,244 | — | 21,351 | — | ||||||||||||||||||||||||||||||
| Class C |
6,898 | — | 14,612 | — | ||||||||||||||||||||||||||||||
| Advisor Class |
13,694 | — | 266,822 | — | ||||||||||||||||||||||||||||||
| Investor Class |
5,861 | 9,636 | — | 5,085 | 13,490 | — | ||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
18,654 | 33,376 | — | 21,117 | — | |||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||
| Class A |
(470,964 | ) | (104,757 | ) | (662,237 | ) | — | |||||||||||||||||||||||||||
| Class C |
(180,400 | ) | (2,811 | ) | (80,513 | ) | (2,799 | ) | ||||||||||||||||||||||||||
| Advisor Class |
(85,123 | ) | — | (1,181,401 | ) | — | ||||||||||||||||||||||||||||
| Investor Class |
(560,461 | ) | — | (5,030 | ) | (754,855 | ) | — | — | |||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(933,354 | ) | — | (5,866 | ) | (10,881 | ) | — |
|
|
||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
5,851,125 | 1,726,642 | 2,526,721 | 25,585,251 | 1,896,853 | 500,000 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
6,869,896 | 1,666,603 | 2,526,630 | 29,391,045 | 1,977,529 | 500,265 | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||
| Beginning of Year or Periods |
4,193,233 | 2,526,630 | — | 2,477,794 | 500,265 | — | ||||||||||||||||||||||||||||
| End of Year or Periods |
$11,063,129 | $4,193,233 | $2,526,630 | $31,868,839 | $2,477,794 | $500,265 | ||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$21,427 | $— | $20,210 | $105,544 | $5,447 | $6,447 | ||||||||||||||||||||||||||||
| (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, (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, and (iii) the year ended March 31, 2017 (see Note 1 in Notes to Financial Statements). |
See Notes to Financial Statements
C-11
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Small/Mid-Cap (1) | Pacific Funds Small-Cap (1) | |||||||||||||||||||||||||||||||||
|
Year Ended |
Period Ended |
Period Ended November 30, 2015 |
Year Ended |
Period Ended |
Period Ended |
|||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
($37,140 | ) | $989 | $601 | $6,199 | $1,086 | $1,117 | |||||||||||||||||||||||||||
| Net realized gain (loss) |
171,935 | (5,191 | ) | 2,560 | 36,392 | (10,991 | ) | (1,948 | ) | |||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
10,252,328 | 278,645 | 20,855 |
|
|
1,314,715 | 10,916 | 16,559 | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
10,387,123 | 274,443 | 24,016 |
|
|
1,357,306 | 1,011 | 15,728 | ||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||
| Class A |
— | — | (14,555 | ) | — | |||||||||||||||||||||||||||||
| Class C |
— | — | — | — | ||||||||||||||||||||||||||||||
| Advisor Class |
(21,749 | ) | — | (5,176 | ) | — | ||||||||||||||||||||||||||||
| Investor Class |
— | — | (382 | ) | — | |||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(8,326 | ) | (1,676 | ) | — | (10,854 | ) | (2,814 | ) | — | ||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||
| Class A |
(39,391 | ) | — | — | — | |||||||||||||||||||||||||||||
| Class C |
(9,936 | ) | — | — | — | |||||||||||||||||||||||||||||
| Advisor Class |
(87,592 | ) | — | — | — | |||||||||||||||||||||||||||||
| Investor Class |
(9,984 | ) | — | — | — | |||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(20,534 | ) | (2,560 | ) | — | — | — | — | ||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(197,512 | ) | (4,236 | ) | — | (30,967 | ) | (2,814 | ) | — | ||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||
| Class A |
23,533,423 | 2,151,274 | 1,862,736 | 314,370 | ||||||||||||||||||||||||||||||
| Class C |
6,514,556 | 556,105 | 568,990 | 121,394 | ||||||||||||||||||||||||||||||
| Advisor Class |
73,752,828 | 1,889,964 | 7,736,431 | 162,664 | ||||||||||||||||||||||||||||||
| Investor Class |
5,564,036 | 2,210,352 | 540,100 | 17,601 | ||||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
6,912,122 | 210,000 | 500,000 | 115,500 | 10,000 | 500,000 | ||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||
| Class A |
39,301 | — | 12,324 | — | ||||||||||||||||||||||||||||||
| Class C |
9,079 | — | — | — | ||||||||||||||||||||||||||||||
| Advisor Class |
102,575 | — | 2,523 | — | ||||||||||||||||||||||||||||||
| Investor Class |
9,934 | — | 382 | — | ||||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
28,860 | 4,236 | — | 10,854 | 2,814 | — | ||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||
| Class A |
(9,476,400 | ) | (22,479 | ) | (678,286 | ) | — | |||||||||||||||||||||||||||
| Class C |
(256,162 | ) | (50,000 | ) | (121,196 | ) | — | |||||||||||||||||||||||||||
| Advisor Class |
(11,022,181 | ) | (301 | ) | (553,730 | ) | (21,047 | ) | ||||||||||||||||||||||||||
| Investor Class |
(1,758,049 | ) | — | (20,571 | ) | — | ||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(544,425 | ) | — | — | (538,525 | ) | — | — | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
93,409,497 | 6,949,151 | 500,000 | 8,937,532 | 607,796 | 500,000 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
103,599,108 | 7,219,358 | 524,016 | 10,263,871 | 605,993 | 515,728 | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||
| Beginning of Year or Periods |
7,743,374 | 524,016 | — | 1,121,721 | 515,728 | — | ||||||||||||||||||||||||||||
| End of Year or Periods |
$111,342,482 | $7,743,374 | $524,016 | $11,385,592 | $1,121,721 | $515,728 | ||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$— | $5,447 | $601 | $1,564 | $4,922 | $1,117 | ||||||||||||||||||||||||||||
| (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, (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, and (iii) the year ended March 31, 2017 (see Note 1 in Notes to Financial Statements). |
See Notes to Financial Statements
C-12
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Pacific Funds Small-Cap Value (1) | Pacific Funds Small-Cap Growth (1) | |||||||||||||||||||||||||||||||||
|
Year Ended |
Period Ended |
Period Ended |
Year Ended |
Period Ended |
Period Ended |
|||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$131,321 | $3,326 | $3,320 | ($112,237 | ) | ($2,224 | ) | ($6,672 | ) | |||||||||||||||||||||||||
| Net realized gain (loss) |
2,025,062 | (20,102 | ) | 6,946 | 600,294 | (23,579 | ) | 480 | ||||||||||||||||||||||||||
|
Change in net unrealized appreciation (depreciation) |
5,644,679 | 31,275 | 4,860 | 5,056,267 | (43,014 | ) | 48,670 | |||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
7,801,062 | 14,499 | 15,126 | 5,544,324 | (68,817 | ) | 42,478 | |||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||
| Net investment income |
||||||||||||||||||||||||||||||||||
| Class A |
(2,105 | ) | — | — | — | |||||||||||||||||||||||||||||
| Class C |
(1,057 | ) | — | — | — | |||||||||||||||||||||||||||||
| Class P |
— | |||||||||||||||||||||||||||||||||
| Advisor Class |
(93,814 | ) | — | — | — | |||||||||||||||||||||||||||||
| Investor Class |
(776 | ) | — | (2,474 | ) | — | — | |||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(54,308 | ) | (8,220 | ) | — | (835 | ) | — | ||||||||||||||||||||||||||
| Net realized gains |
||||||||||||||||||||||||||||||||||
| Class A |
(1,689 | ) | — | (7,302 | ) | — | ||||||||||||||||||||||||||||
| Class C |
(2,819 | ) | — | (2,156 | ) | — | ||||||||||||||||||||||||||||
| Class P |
(241,918 | ) | ||||||||||||||||||||||||||||||||
| Advisor Class |
(124,783 | ) | — | (217,288 | ) | — | ||||||||||||||||||||||||||||
| Investor Class |
(487 | ) | — | (20,495 | ) | — | — | |||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(41,373 | ) | (7,135 | ) | — | (172,777 | ) | — | — | |||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(323,211 | ) | (15,355 | ) | — | (665,245 | ) | — | — | |||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares |
||||||||||||||||||||||||||||||||||
| Class A |
695,651 | 135,641 | 440,356 | 41,238 | ||||||||||||||||||||||||||||||
| Class C |
966,236 | 114,721 | 152,043 | 32,377 | ||||||||||||||||||||||||||||||
| Class P |
14,045,027 | |||||||||||||||||||||||||||||||||
| Advisor Class |
24,518,128 | 242,304 | 11,027,246 | 226,672 | ||||||||||||||||||||||||||||||
| Investor Class |
142,826 | 54,000 | 14,046 | 10,000 | 1,004,459 | |||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
7,595,633 | 440,308 | 698,654 | 7,796,633 | 410,000 | |||||||||||||||||||||||||||||
| Dividends and distribution reinvestments |
||||||||||||||||||||||||||||||||||
| Class A |
3,750 | — | 7,302 | — | ||||||||||||||||||||||||||||||
| Class C |
2,490 | — | 2,156 | — | ||||||||||||||||||||||||||||||
| Class P |
241,918 | |||||||||||||||||||||||||||||||||
| Advisor Class |
216,384 | — | 217,288 | — | ||||||||||||||||||||||||||||||
| Investor Class |
1,263 | — | 22,969 | — | — | |||||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
95,681 | 15,355 | — | 173,612 | — | |||||||||||||||||||||||||||||
| Cost of shares repurchased |
||||||||||||||||||||||||||||||||||
| Class A |
(143,206 | ) | — | (17,255 | ) | — | ||||||||||||||||||||||||||||
| Class C |
(60,297 | ) | — | (15,583 | ) | — | ||||||||||||||||||||||||||||
| Class P |
(3,251,562 | ) | ||||||||||||||||||||||||||||||||
| Advisor Class |
(10,074,494 | ) | — | (170,930 | ) | — | ||||||||||||||||||||||||||||
| Investor Class |
(15,458 | ) | — | (10,765 | ) | — | — | |||||||||||||||||||||||||||
| Class S (formerly Institutional Class) |
(803,056 | ) | (340 | ) | (7,858 | ) | (10,777 | ) | — |
|
|
|||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
23,141,531 | 1,001,989 | 690,796 | 30,663,724 | 720,287 | 1,004,459 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
30,619,382 | 1,001,133 | 705,922 | 35,542,803 | 651,470 | 1,046,937 | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||
| Beginning of Year or Periods |
1,707,055 | 705,922 | — | 1,698,407 | 1,046,937 | — | ||||||||||||||||||||||||||||
| End of Year or Periods |
$32,326,437 | $1,707,055 | $705,922 | $37,241,210 | $1,698,407 | $1,046,937 | ||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$10,458 | $3,958 | $3,320 | ($39,502 | ) | $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, (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, and (iii) the year ended March 31, 2017 (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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.63 | $0.19 | $0.52 | $0.71 | ($0.22 | ) | ($0.14 | ) | ($0.36 | ) | $10.98 | 0.68 | % | 0.60 | % | 1.70 | % | 6.59 | % | $136,881 | 57 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.45 | $0.10 | $0.50 | $0.60 | ($0.15 | ) | ($0.14 | ) | ($0.29 | ) | $10.76 | 1.43 | % | 1.35 | % | 0.95 | % | 5.89 | % | $29,734 | 57 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.44 | $0.10 | $0.51 | $0.61 | ($0.15 | ) | ($0.14 | ) | ($0.29 | ) | $10.76 | 1.43 | % | 1.35 | % | 0.95 | % | 5.79 | % | $153,433 | 57 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.57 | $0.16 | $0.51 | $0.67 | ($0.20 | ) | ($0.14 | ) | ($0.34 | ) | $10.90 | 0.93 | % | 0.85 | % | 1.45 | % | 6.36 | % | $8,354 | 57 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.65 | $0.21 | $0.52 | $0.73 | ($0.24 | ) | ($0.14 | ) | ($0.38 | ) | $11.00 | 0.43 | % | 0.35 | % | 1.95 | % | 6.89 | % | $5,404 | 57 | % | ||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $11.73 | $0.20 | $0.79 | $0.99 | ($0.24 | ) | ($0.27 | ) | ($0.51 | ) | $12.21 | 0.67 | % | 0.60 | % | 1.68 | % | 8.49 | % | $236,725 | 53 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $11.56 | $0.11 | $0.78 | $0.89 | ($0.17 | ) | ($0.27 | ) | ($0.44 | ) | $12.01 | 1.42 | % | 1.35 | % | 0.93 | % | 7.75 | % | $45,184 | 53 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $11.56 | $0.11 | $0.77 | $0.88 | ($0.17 | ) | ($0.27 | ) | ($0.44 | ) | $12.00 | 1.42 | % | 1.35 | % | 0.93 | % | 7.74 | % | $200,105 | 53 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $11.68 | $0.17 | $0.78 | $0.95 | ($0.22 | ) | ($0.27 | ) | ($0.49 | ) | $12.14 | 0.92 | % | 0.85 | % | 1.43 | % | 8.26 | % | $5,934 | 53 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $11.75 | $0.23 | $0.79 | $1.02 | ($0.26 | ) | ($0.27 | ) | ($0.53 | ) | $12.24 | 0.42 | % | 0.35 | % | 1.93 | % | 8.78 | % | $4,895 | 53 | % | ||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $12.99 | $0.22 | $1.17 | $1.39 | ($0.24 | ) | ($0.47 | ) | ($0.71 | ) | $13.67 | 0.66 | % | 0.60 | % | 1.60 | % | 10.94 | % | $720,438 | 48 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $12.87 | $0.11 | $1.17 | $1.28 | ($0.16 | ) | ($0.47 | ) | ($0.63 | ) | $13.52 | 1.41 | % | 1.35 | % | 0.85 | % | 10.18 | % | $134,766 | 48 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $12.85 | $0.11 | $1.17 | $1.28 | ($0.16 | ) | ($0.47 | ) | ($0.63 | ) | $13.50 | 1.41 | % | 1.35 | % | 0.85 | % | 10.19 | % | $515,691 | 48 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $12.97 | $0.18 | $1.17 | $1.35 | ($0.21 | ) | ($0.47 | ) | ($0.68 | ) | $13.64 | 0.91 | % | 0.85 | % | 1.35 | % | 10.66 | % | $24,224 | 48 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.00 | $0.25 | $1.18 | $1.43 | ($0.27 | ) | ($0.47 | ) | ($0.74 | ) | $13.69 | 0.41 | % | 0.35 | % | 1.85 | % | 11.30 | % | $17,983 | 48 | % | ||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.74 | $0.22 | $1.54 | $1.76 | ($0.23 | ) | ($0.66 | ) | ($0.89 | ) | $14.61 | 0.67 | % | 0.60 | % | 1.55 | % | 13.08 | % | $560,395 | 43 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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 B |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.59 | $0.11 | $1.53 | $1.64 | ($0.15 | ) | ($0.66 | ) | ($0.81 | ) | $14.42 | 1.42 | % | 1.35 | % | 0.80 | % | 12.30 | % | $98,256 | 43 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.55 | $0.11 | $1.53 | $1.64 | ($0.15 | ) | ($0.66 | ) | ($0.81 | ) | $14.38 | 1.42 | % | 1.35 | % | 0.80 | % | 12.33 | % | $347,447 | 43 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.71 | $0.18 | $1.54 | $1.72 | ($0.20 | ) | ($0.66 | ) | ($0.86 | ) | $14.57 | 0.92 | % | 0.85 | % | 1.30 | % | 12.86 | % | $15,347 | 43 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.76 | $0.26 | $1.54 | $1.80 | ($0.26 | ) | ($0.66 | ) | ($0.92 | ) | $14.64 | 0.42 | % | 0.35 | % | 1.80 | % | 13.34 | % | $13,275 | 43 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $14.70 | $0.19 | $1.96 | $2.15 | ($0.19 | ) | ($0.87 | ) | ($1.06 | ) | $15.79 | 0.68 | % | 0.60 | % | 1.25 | % | 15.06 | % | $179,825 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $14.43 | $0.07 | $1.93 | $2.00 | ($0.10 | ) | ($0.87 | ) | ($0.97 | ) | $15.46 | 1.43 | % | 1.35 | % | 0.50 | % | 14.22 | % | $29,946 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $14.41 | $0.07 | $1.93 | $2.00 | ($0.11 | ) | ($0.87 | ) | ($0.98 | ) | $15.43 | 1.43 | % | 1.35 | % | 0.50 | % | 14.18 | % | $99,582 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $14.63 | $0.15 | $1.95 | $2.10 | ($0.16 | ) | ($0.87 | ) | ($1.03 | ) | $15.70 | 0.93 | % | 0.85 | % | 1.00 | % | 14.71 | % | $7,313 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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 Portfolio Optimization Aggressive-Growth (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $14.71 | $0.23 | $1.97 | $2.20 | ($0.22 | ) | ($0.87 | ) | ($1.09 | ) | $15.82 | 0.43 | % | 0.35 | % | 1.50 | % | 15.32 | % | $7,166 | 41 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.63 | $0.58 | $0.11 | $0.69 | ($0.62 | ) | $— | ($0.62 | ) | $9.70 | 1.24 | % | 0.85 | % | 5.96 | % | 7.28 | % | $2,647 | 37 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.55 | $0.51 | $0.10 | $0.61 | ($0.59 | ) | $— | ($0.59 | ) | $9.57 | 1.99 | % | 1.60 | % | 5.21 | % | 6.48 | % | $1,452 | 37 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.65 | $0.61 | $0.12 | $0.73 | ($0.65 | ) | $— | ($0.65 | ) | $9.73 | 0.99 | % | 0.60 | % | 6.21 | % | 7.49 | % | $8,870 | 37 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.26 | $0.18 | $0.06 | $0.24 | ($0.18 | ) | $— | ($0.18 | ) | $10.32 | 1.05 | % | 0.83 | % | 1.77 | % | 2.36 | % | $66,901 | 86 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.24 | $0.11 | $0.05 | $0.16 | ($0.10 | ) | $— | ($0.10 | ) | $10.30 | 1.80 | % | 1.58 | % | 1.02 | % | 1.60 | % | $43,092 | 86 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.25 | $0.21 | $0.05 | $0.26 | ($0.21 | ) | $— | ($0.21 | ) | $10.30 | 0.65 | % | 0.53 | % | 2.06 | % | 2.56 | % | $3,407 | 86 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.26 | $0.21 | $0.06 | $0.27 | ($0.21 | ) | $— | ($0.21 | ) | $10.32 | 0.80 | % | 0.57 | % | 2.02 | % | 2.62 | % | $162,554 | 86 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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 Core Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.45 | $0.28 | $0.06 | $0.34 | ($0.28 | ) | $— | ($0.28 | ) | $10.51 | 1.13 | % | 0.93 | % | 2.63 | % | 3.23 | % | $160,226 | 82 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.45 | $0.20 | $0.06 | $0.26 | ($0.20 | ) | $— | ($0.20 | ) | $10.51 | 1.88 | % | 1.68 | % | 1.88 | % | 2.46 | % | $120,546 | 82 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.46 | $0.31 | $0.06 | $0.37 | ($0.31 | ) | $— | ($0.31 | ) | $10.52 | 0.73 | % | 0.62 | % | 2.93 | % | 3.54 | % | $4,563 | 82 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.49 | $0.30 | $0.06 | $0.36 | ($0.30 | ) | $— | ($0.30 | ) | $10.55 | 0.73 | % | 0.70 | % | 2.86 | % | 3.46 | % | $122,260 | 82 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.47 | $0.31 | $0.05 | $0.36 | ($0.30 | ) | $— | ($0.30 | ) | $10.53 | 0.88 | % | 0.66 | % | 2.90 | % | 3.50 | % | $337,844 | 82 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Pacific Funds Strategic Income |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.09 | $0.39 | $0.59 | $0.98 | ($0.39 | ) | $— | ($0.39 | ) | $10.68 | 1.25 | % | 1.02 | % | 3.71 | % | 9.82 | % | $66,765 | 116 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.07 | $0.31 | $0.59 | $0.90 | ($0.31 | ) | $— | ($0.31 | ) | $10.66 | 2.00 | % | 1.76 | % | 2.97 | % | 9.03 | % | $50,016 | 116 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.03 | $0.42 | $0.59 | $1.01 | ($0.42 | ) | $— | ($0.42 | ) | $10.62 | 0.85 | % | 0.71 | % | 4.01 | % | 10.20 | % | $2,446 | 116 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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 Strategic Income (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.09 | $0.42 | $0.58 | $1.00 | ($0.41 | ) | $— | ($0.41 | ) | $10.68 | 1.00 | % | 0.77 | % | 3.96 | % | 10.09 | % | $217,482 | 116 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.76 | $0.42 | $0.38 | $0.80 | ($0.41 | ) | $— | ($0.41 | ) | $10.15 | 1.30 | % | 1.09 | % | 4.21 | % | 8.32 | % | $207,238 | 168 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.74 | $0.35 | $0.37 | $0.72 | ($0.33 | ) | $— | ($0.33 | ) | $10.13 | 2.05 | % | 1.83 | % | 3.47 | % | 7.54 | % | $180,612 | 168 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.77 | $0.45 | $0.38 | $0.83 | ($0.44 | ) | $— | ($0.44 | ) | $10.16 | 0.89 | % | 0.78 | % | 4.52 | % | 8.63 | % | $249,811 | 168 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.76 | $0.45 | $0.38 | $0.83 | ($0.43 | ) | $— | ($0.43 | ) | $10.16 | 0.89 | % | 0.87 | % | 4.43 | % | 8.56 | % | $78,660 | 168 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.79 | $0.45 | $0.37 | $0.82 | ($0.43 | ) | $— | ($0.43 | ) | $10.18 | 1.04 | % | 0.83 | % | 4.47 | % | 8.56 | % | $450,761 | 168 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $8.86 | $0.35 | $0.26 | $0.61 | ($0.35 | ) | $— | ($0.35 | ) | $9.12 | 1.47 | % | 1.05 | % | 3.87 | % | 7.01 | % | $5,506 | 77 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $8.85 | $0.28 | $0.26 | $0.54 | ($0.29 | ) | $— | ($0.29 | ) | $9.10 | 2.22 | % | 1.78 | % | 3.14 | % | 6.12 | % | $3,206 | 77 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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 Limited Duration High Income (Continued) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $8.86 | $0.38 | $0.25 | $0.63 | ($0.38 | ) | $— | ($0.38 | ) | $9.11 | 1.07 | % | 0.76 | % | 4.16 | % | 7.32 | % | $22,819 | 77 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $8.86 | $0.37 | $0.25 | $0.62 | ($0.37 | ) | $— | ($0.37 | ) | $9.11 | 1.22 | % | 0.79 | % | 4.13 | % | 7.17 | % | $2,032 | 77 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.44 | $0.48 | $0.92 | $1.40 | ($0.55 | ) | $— | ($0.55 | ) | $10.29 | 1.32 | % | 1.03 | % | 4.81 | % | 15.16 | % | $5,626 | 61 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.43 | $0.41 | $0.92 | $1.33 | ($0.48 | ) | $— | ($0.48 | ) | $10.28 | 2.07 | % | 1.76 | % | 4.07 | % | 14.36 | % | $4,802 | 61 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.37 | $0.51 | $0.91 | $1.42 | ($0.58 | ) | $— | ($0.58 | ) | $10.21 | 0.90 | % | 0.73 | % | 5.10 | % | 15.52 | % | $5,204 | 61 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.36 | $0.49 | $0.93 | $1.42 | ($0.58 | ) | $— | ($0.58 | ) | $10.20 | 0.95 | % | 0.80 | % | 5.04 | % | 15.47 | % | $10,554 | 61 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.44 | $0.51 | $0.93 | $1.44 | ($0.58 | ) | $— | ($0.58 | ) | $10.30 | 1.06 | % | 0.77 | % | 5.07 | % | 15.58 | % | $2,304 | 61 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.66 | $0.11 | $1.40 | $1.51 | ($0.09 | ) | $— | ($0.09 | ) | $11.08 | 2.86 | % | 1.00 | % | 1.08 | % | 15.69 | % | $4,599 | 108 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.65 | $0.03 | $1.39 | $1.42 | ($0.04 | ) | $— | ($0.04 | ) | $11.03 | 3.61 | % | 1.75 | % | 0.33 | % | 14.74 | % | $2,804 | 108 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.67 | $0.14 | $1.39 | $1.53 | ($0.09 | ) | $— | ($0.09 | ) | $11.11 | 2.61 | % | 0.75 | % | 1.33 | % | 15.89 | % | $2,176 | 108 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
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 Large-Cap (Continued) (7) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Investor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.65 | $0.11 | $1.39 | $1.50 | ($0.22 | ) | $— | ($0.22 | ) | $10.93 | 2.86 | % | 1.00 | % | 1.08 | % | 15.66 | % | $299 | 108 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| Class S (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.66 | $0.15 | $1.39 | $1.54 | ($0.17 | ) | $— | ($0.17 | ) | $11.03 | 2.46 | % | 0.65 | % | 1.43 | % | 16.08 | % | $1,184 | 108 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| Pacific Funds Large-Cap Value (7) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.46 | $0.14 | $1.27 | $1.41 | ($0.10 | ) | ($0.02 | ) | ($0.12 | ) | $10.75 | 1.79 | % | 1.10 | % | 1.35 | % | 14.92 | % | $2,572 | 65 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.45 | $0.06 | $1.26 | $1.32 | ($0.06 | ) | ($0.02 | ) | ($0.08 | ) | $10.69 | 2.54 | % | 1.85 | % | 0.60 | % | 14.03 | % | $3,056 | 65 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.47 | $0.16 | $1.26 | $1.42 | ($0.09 | ) | ($0.02 | ) | ($0.11 | ) | $10.78 | 1.54 | % | 0.85 | % | 1.60 | % | 15.10 | % | $24,779 | 65 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.46 | $0.13 | $1.28 | $1.41 | ($0.21 | ) | ($0.02 | ) | ($0.23 | ) | $10.64 | 1.79 | % | 1.10 | % | 1.35 | % | 14.84 | % | $96 | 65 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| Class S (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.47 | $0.17 | $1.28 | $1.45 | ($0.15 | ) | ($0.02 | ) | ($0.17 | ) | $10.75 | 1.39 | % | 0.75 | % | 1.70 | % | 15.35 | % | $1,365 | 65 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.93 | ($0.02 | ) | $2.05 | $2.03 | $— | ($0.03 | ) | ($0.03 | ) | $11.93 | 1.71 | % | 1.30 | % | (0.19 | %) | 20.44 | % | $18,360 | 45 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.91 | ($0.10 | ) | $2.03 | $1.93 | $— | ($0.03 | ) | ($0.03 | ) | $11.81 | 2.46 | % | 2.05 | % | (0.94 | %) | 19.47 | % | $7,383 | 45 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.92 | $0.01 | $2.05 | $2.06 | ($0.01 | ) | ($0.03 | ) | ($0.04 | ) | $11.94 | 1.46 | % | 1.05 | % | 0.06 | % | 20.73 | % | $70,260 | 45 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.91 | ($0.03 | ) | $2.05 | $2.02 | $— | ($0.03 | ) | ($0.03 | ) | $11.90 | 1.71 | % | 1.35 | % | (0.24 | %) | 20.38 | % | $6,808 | 45 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| Class S (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.92 | $0.01 | $2.05 | $2.06 | ($0.01 | ) | ($0.03 | ) | ($0.04 | ) | $11.94 | 1.31 | % | 1.00 | % | 0.11 | % | 20.78 | % | $8,531 | 45 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.68 | ($0.00 | )(6) | $2.19 | $2.19 | ($0.10 | ) | $— | ($0.10 | ) | $11.77 | 3.44 | % | 1.30 | % | (0.04 | %) | 22.70 | % | $1,759 | 62 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.66 | ($0.09 | ) | $2.19 | $2.10 | $— | $— | $— | $11.76 | 4.19 | % | 2.05 | % | (0.79 | %) | 21.74 | % | $641 | 62 | % | ||||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
C-21
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 (Continued) (7) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.68 | $0.02 | $2.21 | $2.23 | ($0.01 | ) | $— | ($0.01 | ) | $11.90 | 3.19 | % | 1.05 | % | 0.21 | % | 23.03 | % | $8,265 | 62 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.67 | ($0.01 | ) | $2.20 | $2.19 | ($0.02 | ) | $— | ($0.02 | ) | $11.84 | 3.44 | % | 1.35 | % | (0.09 | %) | 22.65 | % | $580 | 62 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||||
| Class S (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.67 | $0.03 | $2.17 | $2.20 | ($0.92 | ) | $— | ($0.92 | ) | $10.95 | 3.04 | % | 1.00 | % | 0.26 | % | 23.03 | % | $140 | 62 | % | |||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.47 | $0.03 | $2.13 | $2.16 | ($0.06 | ) | ($0.05 | ) | ($0.11 | ) | $11.52 | 1.90 | % | 1.30 | % | 0.23 | % | 22.65 | % | $743 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.46 | ($0.06 | ) | $2.12 | $2.06 | ($0.01 | ) | ($0.05 | ) | ($0.06 | ) | $11.46 | 2.65 | % | 2.05 | % | (0.52 | %) | 21.81 | % | $1,105 | 76 | % | |||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.48 | $0.05 | $2.15 | $2.20 | ($0.04 | ) | ($0.05 | ) | ($0.09 | ) | $11.59 | 1.65 | % | 1.05 | % | 0.48 | % | 23.02 | % | $20,617 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.47 | $0.02 | $2.13 | $2.15 | ($0.06 | ) | ($0.05 | ) | ($0.11 | ) | $11.51 | 1.90 | % | 1.35 | % | 0.18 | % | 22.59 | % | $206 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||||
| Class S (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.47 | $0.06 | $2.13 | $2.19 | ($0.06 | ) | ($0.05 | ) | ($0.11 | ) | $11.55 | 1.50 | % | 1.00 | % | 0.53 | % | 23.02 | % | $9,655 | 76 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||||
| Pacific Funds Small-Cap Growth (7) |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.61 | ($0.07 | ) | $1.80 | $1.73 | $— | ($0.20 | ) | ($0.20 | ) | $11.14 | 1.93 | % | 1.30 | % | (0.68 | %) | 17.83 | % | $514 | 49 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.61 | ($0.15 | ) | $1.79 | $1.64 | $— | ($0.20 | ) | ($0.20 | ) | $11.05 | 2.68 | % | 2.05 | % | (1.43 | %) | 17.14 | % | $187 | 49 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 6/8/2016 - 3/31/2017 | $10.06 | ($0.04 | ) | $1.37 | $1.33 | $— | ($0.20 | ) | ($0.20 | ) | $11.19 | 1.43 | % | 1.05 | % | (0.43 | %) | 13.29 | % | $12,385 | 49 | % | ||||||||||||||||||||||||||||||||||
| Advisor Class | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.64 | ($0.05 | ) | $1.80 | $1.75 | $— | ($0.20 | ) | ($0.20 | ) | $11.19 | 1.68 | % | 1.05 | % | (0.43 | %) | 18.23 | % | $13,321 | 49 | % | ||||||||||||||||||||||||||||||||||
| 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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.62 | ($0.06 | ) | $1.79 | $1.73 | ($0.02 | ) | ($0.20 | ) | ($0.22 | ) | $11.13 | 1.93 | % | 1.25 | % | (0.63 | %) | 18.11 | % | $1,155 | 49 | % | |||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| Class S (9) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.63 | ($0.03 | ) | $1.80 | $1.77 | ($0.00 | )(6) | ($0.20 | ) | ($0.20 | ) | $11.20 | 1.53 | % | 0.90 | % | (0.28 | %) | 18.47 | % | $9,680 | 49 | % | |||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of references on C-23 |
C-22
PACIFIC FUNDS
FINANCIAL HIGHLIGHTS (Continued)
Explanation of References
| (1) | For share classes that commenced operations after April 1, 2012, 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 gain 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 prior to April 1, 2016: (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. |
| (9) | Class S was formerly named Institutional Class. |
| See Notes to Financial Statements |
C-23
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 the “Investment Adviser”) serves as investment adviser to the Trust. As of March 31, 2017, the Trust was comprised of forty 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 Class S (formerly named Institutional Class) shares. Additionally, Pacific Funds Small-Cap Growth offers 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 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 P, Advisor Class, Investor Class, and Class S 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
D-1
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, Pacific Funds Floating Rate Income, Pacific Funds High Income, and Pacific Funds Small-Cap Growth. 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-22.
As of August 3, 2016 and January 31, 2017, the PF Absolute Return Fund and PF Floating Rate Loan Fund (respectively) were fully liquidated pursuant to plans of liquidation approved by the Trust’s Board of Trustees. Because the PF Absolute Return and PF Floating Rate Loan Funds were liquidated prior to fiscal year end March 31, 2017, no financial information is presented in this report, except (as applicable) 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 (“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
D-2
PACIFIC FUNDS
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.
F. NEW PRONOUNCEMENTS
On October 13, 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and amended existing rules intended to modernize reporting and enhance the disclosure of information for most registered investment companies (the “Reporting Rules”). The Reporting Rules include amendments relating to Regulation S-X, which will modify the form and content of the financial statements of the Trust. For the Trust, the effective date of the Reporting Rules is June 1, 2018. At this time, management is evaluating the implications of the Reporting Rules and determining their impact on the Trust’s financial statements and accompanying notes.
On December 14, 2016, the FASB issued ASU 2016-19, Technical Corrections and Improvements, that made technical changes to various sections of the accounting standards codification (“ASC”), including modifications to Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. A reporting entity should disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of this ASU and its impact on the financial statements of the Trust.
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 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.
D-3
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Over-the-Counter (“OTC”) Investments
OTC investments (including swap agreements and option contracts) 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, Pacific Funds High Income, and Pacific Funds Small-Cap Growth, 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.
Investments in Other Investment Companies
Fund investments in other investment companies are valued at their respective published 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, last reported sale/trade 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 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, 2017, 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.
D-4
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 published 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 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 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.
D-5
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
Fund of Funds Investments
The Portfolio Optimization Funds and Pacific Funds Diversified Alternatives are exposed to the same risks as the applicable PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, Pacific Funds High Income, and Pacific Funds Small-Cap Growth 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, Pacific Funds Floating Rate Income, Pacific Funds High Income, and Pacific Funds Small-Cap Growth. 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, Pacific Funds Floating Rate Income, Pacific Funds High Income, and Pacific Funds Small-Cap Growth 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 and 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 PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, Pacific Funds High Income, and Pacific Funds Small-Cap Growth may cause them to underperform other mutual funds with a similar investment objective. Although the Portfolio Optimization Funds and Pacific Funds Diversified Alternatives 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, Pacific Funds Floating Rate Income, Pacific Funds High Income, and Pacific Funds Small-Cap Growth (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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 Funds may face potential risks associated with the United Kingdom’s vote on June 23, 2016 to leave the European Union (the “EU”), commonly referred to as “Brexit.” There are considerable uncertainties about the repercussions resulting from Brexit, including the impact on trade agreements, regulations, and treaties. Brexit is expected to occur within the next two years, but the exact time frame is unknown and may change. Brexit may also increase the likelihood that other EU members may decide to leave the EU. These potential consequences may result in increased market volatility and illiquidity in the United Kingdom, the EU and other financial markets, as well as slower economic growth and fluctuations in exchange rates. Any of these events may have a significant adverse effect on global markets and economies, which in turn could negatively impact the value of the Funds’ investments.
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.
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, 2017, no participation interest in Senior Loans was held by any of the Funds presented in these financial statements.
Unfunded loan commitments on senior loan participations and assignments, 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, 2017, Pacific Funds Floating Rate Income had unfunded loan commitments of $6,742,990 (see details in the Notes to Schedules of Investments).
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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
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
D-8
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, Pacific Funds High Income, and/or Pacific Funds Small-Cap Growth in direct proportion to the allocation of assets among those funds. The annual report of 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 are executed in a multilateral or other execution facility platform, such as a registered commodities exchange (“centrally cleared swaps”). In connection with these agreements, cash and 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.
D-9
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 | ||
| 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, 2017:
| Derivative Investments Risk Type | Total Value at March 31, 2017 |
|||
| Interest rate contracts (Asset) |
$9,619 | |||
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, 2017:
| Derivative Investments Risk Type | Realized Gain (Loss) |
Change in Net Unrealized Appreciation (Depreciation) |
||||||
| Interest rate contracts |
$267,096 | ($82,841 | ) | |||||
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, 2017 were 1 and $64,650, 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, 2017.
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.
D-10
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2017:
| Gross Amounts Presented in the Statements of Assets and Liabilities |
Gross Amounts Not Offset |
Gross Amounts Presented in the Statements of Assets and Liabilities |
Gross Amounts Not Offset |
|||||||||||||||||||||||||||||||||
| Description |
Financial Instruments |
Collateral Received |
Net Amount |
Financial Instruments |
Collateral Pledged |
Net Amount |
||||||||||||||||||||||||||||||
| Assets | Liabilities | |||||||||||||||||||||||||||||||||||
| Swap agreements |
$9,619 | $— | $— | $9,619 | $— | $— | $— | $— | ||||||||||||||||||||||||||||
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 which are based on the following annual percentage of the 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 advisory fees through July 31, 2017: 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. There is no guarantee that PLFA will continue such waiver after that date. As of the fiscal year ended March 31, 2017, none of the Funds meet net asset levels where portions of the advisory fee would be waived. |
| (2) | PLFA has agreed to waive the following advisory fees through July 31, 2017: 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. There is no guarantee that PLFA will continue such waiver after that date. As of the fiscal year ended March 31, 2017, none of the Funds meet net asset levels where portions of the advisory fee would be waived with exception of Pacific Funds Floating Rate Income. |
| (3) | PLFA agreed to waive 0.02% of its advisory fee through July 31, 2017 for Pacific Funds Limited Duration High Income. 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. There is no guarantee that PLFA will continue such waiver after that date. |
Pursuant to a Sub-Advisory 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 related 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.
D-11
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Pacific Life receives an administration fee from each Fund and applicable share class presented in these financial statements, which are based on the following 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 Pacific Funds Limited Duration High Income |
A, C, and Advisor | 0.30% | ||
| 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% | ||
| S | 0.15% | |||
| Pacific Funds Small-Cap Growth | P | 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, which are based on the following annual percentages 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 Class S shares. The distribution and service fees are accrued daily. For the year ended March 31, 2017, the Distributor, acting as underwriter, received net commissions (front-end sales charges) of $7,345,889 from the sale of Class A shares and received $367,698 in CDSC from redemptions of Class A, B, and C shares.
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, 2017 are presented in the Statements of Operations. The amounts of each of these fees that remained payable as of March 31, 2017 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); taxes (including foreign taxes on dividends, interest or gains); brokerage commissions and other transactional expenses, and extraordinary
D-12
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 7/31/2017 and 0.30% thereafter through 7/31/2023 | ||
| Pacific Funds Short Duration Income | A, C, and Advisor | 0.20% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | ||
| I | 0.15% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | |||
| Pacific Funds Core Income | A and C | 0.20% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | ||
| I | 0.15% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| Advisor | 0.20% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| P | 0.20% through 7/31/2017 | |||
| Pacific Funds Strategic Income | A and Advisor | 0.20% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | ||
| C | 0.20% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| I | 0.15% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| Pacific Funds Floating Rate Income | A and Advisor | 0.20% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | ||
| C | 0.20% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| I | 0.15% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| P | 0.20% through 7/31/2017 | |||
| Pacific Funds Limited Duration High Income | A and Advisor | 0.20% through 12/29/2016, and 0.07% thereafter through 7/31/2018 | ||
| C | 0.20% through 12/29/2016, and 0.02% thereafter through 7/31/2018 | |||
| I | 0.15% through 12/29/2016, and 0.07% thereafter through 7/31/2018 | |||
| Pacific Funds High Income | A and Advisor | 0.20% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | ||
| C | 0.20% through 12/29/2016, and 0.05% thereafter through 7/31/2018 | |||
| I | 0.15% through 12/29/2016, and 0.10% thereafter through 7/31/2018 | |||
| P | 0.20% through 7/31/2017 | |||
| 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 | ||
| S | 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 | |||
| S | 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 | |||
| S | 0.05% through 1/10/2019 | |||
| P | 0.20% 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 not to exceed three years from the date on which the reimbursement took place, provided that the recoupment would be limited to the lesser of: (i) the expense cap in effect at the time of the reimbursement or (ii) the expense cap in effect at the time of recoupment). 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, 2017 are presented in the Statements of Operations. Any amounts that remained due from the Investment Adviser as of March 31, 2017 are presented in the Statements of Assets and Liabilities.
D-13
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The cumulative expense reimbursement amounts, if any, as of March 31, 2017 that are subject to recoupment by PLFA from the Funds presented in these financial statements are as follows:
| Fund | 3/31/2018 | 3/31/2019 | 3/31/2020 | |||||||||
| Pacific Funds Portfolio Optimization Conservative |
$341,046 | $289,997 | $290,877 | |||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
412,969 | 393,236 | 376,333 | |||||||||
| Pacific Funds Portfolio Optimization Moderate |
1,039,248 | 954,419 | 946,295 | |||||||||
| Pacific Funds Portfolio Optimization Growth |
722,497 | 708,782 | 694,650 | |||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
255,368 | 259,000 | 256,470 | |||||||||
| Pacific Funds Diversified Alternatives |
77,075 | 37,661 | 28,564 | |||||||||
| Pacific Funds Short Duration Income |
287,988 | 369,896 | 600,137 | |||||||||
| Pacific Funds Core Income |
1,007,441 | 1,162,780 | 1,321,088 | |||||||||
| Pacific Funds Strategic Income |
294,682 | 445,582 | 587,614 | |||||||||
| Pacific Funds Floating Rate Income |
1,908,310 | 1,185,282 | 1,512,901 | |||||||||
| Pacific Funds Limited Duration High Income |
119,970 | 105,916 | 108,215 | |||||||||
| Pacific Funds High Income |
124,757 | 124,097 | 118,054 | |||||||||
| Pacific Funds Large-Cap |
31,382 | 136,174 | ||||||||||
| Pacific Funds Large-Cap Value |
29,093 | 157,996 | ||||||||||
| Pacific Funds Small/Mid-Cap |
27,939 | 202,048 | ||||||||||
| Pacific Funds Small-Cap |
25,943 | 135,916 | ||||||||||
| Pacific Funds Small-Cap Value |
29,397 | 161,192 | ||||||||||
| Pacific Funds Small-Cap Growth |
25,758 | 150,256 | ||||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$6,591,351 | $6,206,160 | $7,784,780 | |||||||||
|
|
|
|
|
|
|
|||||||
There was no recoupment of expense reimbursement by PLFA from any Funds presented in these financial statements for the year ended March 31, 2017.
C. INVESTMENTS IN AFFILIATED FUNDS
As of March 31, 2017, 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, Pacific Funds High Income, and/or Pacific Funds Small-Cap Growth. A summary of holdings and transactions with affiliated mutual fund investments as of and for the year ended March 31, 2017 is as follows:
| Beginning |
Purchase |
Distributions |
Sales |
Net |
Change in Unrealized |
As of March 31, 2017 | ||||||||||||||||||||||||||
| Fund/Underlying Fund | Ending Value |
Shares Balance |
||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative | ||||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$3,767,619 | $27,294,350 | $559,263 | $4,934,627 | ($105,560 | ) | ($383,700 | ) | $26,197,345 | 2,483,161 | ||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
— | 10,838,330 | 35,971 | 99,410 | (94 | ) | (42,076 | ) | 10,732,721 | 1,056,370 | ||||||||||||||||||||||
| Pacific Funds High Income |
21,412,757 | 160,908 | 544,141 | 20,132,834 | (1,267,237 | ) | 2,611,476 | 3,329,211 | 326,393 | |||||||||||||||||||||||
| PF Floating Rate Loan (4) |
20,848,103 | 80,799 | 471,674 | 21,664,326 | (191,354 | ) | 455,104 | — | — | |||||||||||||||||||||||
| PF Inflation Managed |
9,529,694 | 87,869 | — | 6,723,983 | (153,803 | ) | 285,093 | 3,024,870 | 339,111 | |||||||||||||||||||||||
| PF Managed Bond |
99,713,795 | 86,497,630 | 2,354,864 | 44,789,599 | 1,021,973 | 602,702 | 145,401,365 | 13,639,903 | ||||||||||||||||||||||||
| PF Short Duration Bond |
31,554,039 | 31,709,174 | 389,017 | 19,427,208 | (163,779 | ) | 185,868 | 44,247,111 | 4,478,453 | |||||||||||||||||||||||
| PF Emerging Markets Debt |
16,126,216 | 2,247,203 | 581,175 | 14,671,682 | 9,309 | 1,098,428 | 5,390,649 | 574,084 | ||||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
— | 945,236 | — | 951,198 | 5,962 | — | — | |||||||||||||||||||||||||
| PF Comstock |
15,036,227 | 1,962,324 | 212,165 | 10,199,161 | 1,122,837 | 657,796 | 8,792,188 | 586,146 | ||||||||||||||||||||||||
| PF Growth |
8,780,644 | 304,163 | 2,259 | 7,281,752 | 902,660 | (377,094 | ) | 2,330,880 | 111,312 | |||||||||||||||||||||||
| PF Large-Cap Growth |
10,572,133 | 87,241 | — | 9,814,633 | 547,554 | 102,046 | 1,494,341 | 147,808 | ||||||||||||||||||||||||
| PF Large-Cap Value |
25,894,548 | 5,013,300 | 239,611 | 13,624,767 | 594,184 | 2,283,620 | 20,400,496 | 1,228,946 | ||||||||||||||||||||||||
| PF Main Street Core |
9,479,754 | 343,396 | 113,155 | 7,357,489 | (103,533 | ) | 1,489,921 | 3,965,204 | 282,623 | |||||||||||||||||||||||
| PF Mid-Cap Equity |
3,817,489 | 33,876 | 29,597 | 2,711,510 | 1,184,798 | (694,520 | ) | 1,659,730 | 150,885 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
1,610,994 | 193,708 | 11,991 | 1,121,291 | 32,664 | 103,886 | 831,952 | 116,847 | ||||||||||||||||||||||||
| PF Mid-Cap Value |
18,535,412 | 3,561,248 | 92,903 | 13,397,473 | 427,141 | 1,547,801 | 10,767,032 | 931,404 | ||||||||||||||||||||||||
| PF Small-Cap Value |
3,960,141 | 1,186,066 | 28,929 | 1,167,261 | 250,671 | 735,064 | 4,993,610 | 413,036 | ||||||||||||||||||||||||
| PF Emerging Markets |
— | 11,725,069 | 25,686 | 3,260,463 | 80,722 | 743,314 | 9,314,328 | 674,463 | ||||||||||||||||||||||||
| PF International Large-Cap |
15,985,343 | 157,644 | 149,474 | 12,664,544 | 594,688 | 202,409 | 4,425,014 | 243,266 | ||||||||||||||||||||||||
| PF International Small-Cap |
— | 3,989,955 | 72,740 | 2,324,707 | (3,097 | ) | (27,222 | ) | 1,707,669 | 162,635 | ||||||||||||||||||||||
| PF International Value |
8,116,531 | 98,361 | 178,649 | 4,811,148 | 43,656 | 604,767 | 4,230,816 | 454,438 | ||||||||||||||||||||||||
| PF Real Estate |
— | 2,567,705 | 57,222 | 1,683,357 | (58,635 | ) | (37,566 | ) | 845,369 | 56,584 | ||||||||||||||||||||||
| PF Absolute Return (5) |
14,210,756 | 98,718 | — | 14,515,599 | (1,164,010 | ) | 1,370,135 | — | — | |||||||||||||||||||||||
| PF Currency Strategies |
9,396,143 | 1,926,678 | 737,507 | 5,425,756 | 131,698 | (65,850 | ) | 6,700,420 | 706,051 | |||||||||||||||||||||||
| PF Equity Long/Short |
10,454,915 | 1,476,175 | 1,194,535 | 6,298,381 | 104,250 | (398,864 | ) | 6,532,630 | 667,958 | |||||||||||||||||||||||
| PF Global Absolute Return |
18,395,056 | 187,563 | 249,114 | 12,522,053 | (1,065,662 | ) | 1,386,312 | 6,630,330 | 725,419 | |||||||||||||||||||||||
| $377,198,309 | $194,774,689 | $8,331,642 | $263,576,212 | $2,778,003 | $14,438,850 | $333,945,281 | ||||||||||||||||||||||||||
D-14
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Beginning |
Purchase |
Distributions |
Sales |
Net |
Change in Unrealized |
As of March 31, 2017 | ||||||||||||||||||||||||||
| Fund/Underlying Fund | Ending Value |
Shares Balance |
||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative | ||||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$4,343,072 | $35,933,082 | $649,018 | $5,879,159 | ($126,569 | ) | ($407,998 | ) | $34,511,446 | 3,271,227 | ||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
— | 14,817,637 | 49,055 | 173,464 | (133 | ) | (57,421 | ) | 14,635,674 | 1,440,519 | ||||||||||||||||||||||
| Pacific Funds High Income |
24,789,690 | 1,317,394 | 544,781 | 24,410,139 | (1,655,588 | ) | 3,102,462 | 3,688,600 | 361,627 | |||||||||||||||||||||||
| PF Floating Rate Loan (4) |
24,832,892 | 64,339 | 664,137 | 25,782,595 | (1,292,525 | ) | 1,513,752 | — | — | |||||||||||||||||||||||
| PF Inflation Managed |
11,924,833 | 915,290 | — | 8,538,968 | (248,040 | ) | 415,730 | 4,468,845 | 500,992 | |||||||||||||||||||||||
| PF Managed Bond |
113,773,420 | 106,776,151 | 2,837,187 | 48,015,753 | 876,783 | 611,157 | 176,858,945 | 16,590,895 | ||||||||||||||||||||||||
| PF Short Duration Bond |
24,177,862 | 27,167,953 | 216,144 | 18,605,804 | (25,552 | ) | 119,875 | 33,050,478 | 3,345,190 | |||||||||||||||||||||||
| PF Emerging Markets Debt |
20,996,361 | 92,655 | 778,772 | 15,676,983 | (204,474 | ) | 1,480,179 | 7,466,510 | 795,156 | |||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
— | 1,631,462 | — | 344,308 | 46,986 | 150,216 | 1,484,356 | 132,650 | ||||||||||||||||||||||||
| PF Comstock |
22,413,185 | 1,664,411 | 466,281 | 10,221,803 | 2,338,770 | 1,136,365 | 17,797,209 | 1,186,481 | ||||||||||||||||||||||||
| PF Developing Growth |
2,109,319 | 10,772 | — | 1,342,922 | (130,604 | ) | 346,147 | 992,712 | 86,323 | |||||||||||||||||||||||
| PF Growth |
14,523,411 | 2,371,807 | 9,443 | 10,578,348 | 1,513,471 | (215,155 | ) | 7,624,629 | 364,118 | |||||||||||||||||||||||
| PF Large-Cap Growth |
16,728,134 | 2,449,364 | — | 15,655,125 | 2,193,472 | (564,946 | ) | 5,150,899 | 509,486 | |||||||||||||||||||||||
| PF Large-Cap Value |
38,700,795 | 5,608,098 | 521,181 | 8,125,484 | 975,681 | 4,607,033 | 42,287,304 | 2,547,428 | ||||||||||||||||||||||||
| PF Main Street Core |
16,390,394 | 10,000,715 | 307,865 | 6,933,105 | 510,971 | 2,909,612 | 23,186,452 | 1,652,634 | ||||||||||||||||||||||||
| PF Mid-Cap Equity |
14,836,861 | 48,062 | 85,056 | 11,714,476 | 1,968,273 | (320,135 | ) | 4,903,641 | 445,786 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
3,719,570 | 14,125 | 17,192 | 2,797,762 | 64,460 | 211,473 | 1,229,058 | 172,620 | ||||||||||||||||||||||||
| PF Mid-Cap Value |
28,396,904 | 3,770,379 | 165,288 | 18,450,609 | 574,367 | 2,672,542 | 17,128,871 | 1,481,736 | ||||||||||||||||||||||||
| PF Small-Cap Value |
10,994,635 | 1,420,320 | 69,662 | 4,566,029 | 752,995 | 1,655,481 | 10,327,064 | 854,182 | ||||||||||||||||||||||||
| PF Emerging Markets |
6,460,946 | 20,115,667 | 82,290 | 9,340,857 | (179,396 | ) | 2,485,297 | 19,623,947 | 1,420,995 | |||||||||||||||||||||||
| PF International Large-Cap |
26,317,189 | 2,421,356 | 437,589 | 15,864,777 | (571,056 | ) | 2,346,848 | 15,087,149 | 829,420 | |||||||||||||||||||||||
| PF International Small-Cap |
11,509,958 | 1,147,415 | 156,018 | 8,343,195 | 644,605 | (68,756 | ) | 5,046,045 | 480,576 | |||||||||||||||||||||||
| PF International Value |
12,943,264 | 6,429,695 | 497,857 | 6,385,541 | (387,739 | ) | 1,904,065 | 15,001,601 | 1,611,343 | |||||||||||||||||||||||
| PF Real Estate |
2,924,858 | 4,070,900 | 157,993 | 4,472,637 | (36,866 | ) | (146,462 | ) | 2,497,786 | 167,188 | ||||||||||||||||||||||
| PF Absolute Return (5) |
16,866,039 | 45,462 | — | 17,035,929 | (1,516,852 | ) | 1,641,280 | — | — | |||||||||||||||||||||||
| PF Currency Strategies |
16,570,366 | 5,051,878 | 1,056,965 | 13,152,886 | 389,103 | (17,122 | ) | 9,898,304 | 1,043,025 | |||||||||||||||||||||||
| PF Equity Long/Short |
21,480,809 | 1,020,130 | 1,713,988 | 14,117,417 | 312,513 | (764,150 | ) | 9,645,873 | 986,286 | |||||||||||||||||||||||
| PF Global Absolute Return |
26,459,681 | 266,749 | 355,778 | 17,734,639 | (1,534,795 | ) | 1,982,214 | 9,794,988 | 1,071,662 | |||||||||||||||||||||||
| $535,184,448 | $256,643,268 | $11,839,540 | $344,260,714 | $5,252,261 | $28,729,583 | $493,388,386 | ||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate | ||||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$7,850,375 | $50,606,786 | $1,014,000 | $14,605,955 | ($349,000 | ) | ($585,212 | ) | $43,930,994 | 4,164,075 | ||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
— | 28,366,537 | 94,016 | 304,625 | (299 | ) | (110,045 | ) | 28,045,584 | 2,760,392 | ||||||||||||||||||||||
| Pacific Funds High Income |
51,975,300 | 102,604 | 992,708 | 52,335,187 | (3,328,789 | ) | 6,127,570 | 3,534,206 | 346,491 | |||||||||||||||||||||||
| PF Floating Rate Loan (4) |
34,119,079 | 3,521,975 | 814,232 | 38,918,973 | (1,365,238 | ) | 1,828,925 | — | — | |||||||||||||||||||||||
| PF Inflation Managed |
25,010,322 | 316,449 | — | 20,629,999 | (198,118 | ) | 496,692 | 4,995,346 | 560,016 | |||||||||||||||||||||||
| PF Managed Bond |
170,051,568 | 228,016,614 | 5,089,108 | 89,047,034 | 1,567,551 | 175,932 | 315,853,739 | 29,629,807 | ||||||||||||||||||||||||
| PF Short Duration Bond |
20,198,425 | 73,700,806 | 321,143 | 24,574,451 | 293,585 | (273,214 | ) | 69,666,294 | 7,051,244 | |||||||||||||||||||||||
| PF Emerging Markets Debt |
47,860,896 | 55,582 | 2,175,077 | 37,990,927 | (1,187,824 | ) | 3,394,903 | 14,307,707 | 1,523,718 | |||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
— | 5,358,734 | — | 1,025,658 | 142,162 | 502,686 | 4,977,924 | 444,855 | ||||||||||||||||||||||||
| PF Comstock |
89,047,263 | 10,488,312 | 1,776,720 | 40,588,290 | 8,325,831 | 4,921,717 | 73,971,553 | 4,931,437 | ||||||||||||||||||||||||
| PF Developing Growth |
11,761,759 | 36,097 | — | 9,188,104 | (297,384 | ) | 1,254,606 | 3,566,974 | 310,172 | |||||||||||||||||||||||
| PF Growth |
48,590,995 | 7,725,630 | 47,169 | 14,225,204 | 1,439,164 | 4,497,169 | 48,074,923 | 2,295,842 | ||||||||||||||||||||||||
| PF Large-Cap Growth |
59,837,565 | 6,056,541 | — | 41,557,777 | 3,906,158 | 3,484,642 | 31,727,129 | 3,138,193 | ||||||||||||||||||||||||
| PF Large-Cap Value |
120,076,728 | 63,002,274 | 1,997,860 | 29,830,903 | 3,653,280 | 16,443,901 | 175,343,140 | 10,562,840 | ||||||||||||||||||||||||
| PF Main Street Core |
82,677,535 | 37,634,130 | 1,418,051 | 22,683,395 | 1,185,989 | 14,822,590 | 115,054,900 | 8,200,634 | ||||||||||||||||||||||||
| PF Mid-Cap Equity |
53,187,962 | 65,417 | 480,087 | 32,971,388 | 8,181,901 | (753,064 | ) | 28,190,915 | 2,562,810 | |||||||||||||||||||||||
| PF Mid-Cap Growth |
25,003,396 | 63,451 | 77,573 | 21,178,979 | (428,260 | ) | 2,115,368 | 5,652,549 | 793,897 | |||||||||||||||||||||||
| PF Mid-Cap Value |
99,088,879 | 25,955,251 | 717,744 | 54,081,916 | 1,786,140 | 10,939,149 | 84,405,247 | 7,301,492 | ||||||||||||||||||||||||
| PF Small-Cap Value |
74,965,428 | 89,054 | 302,343 | 40,964,459 | 4,168,295 | 7,381,385 | 45,942,046 | 3,800,004 | ||||||||||||||||||||||||
| PF Emerging Markets |
40,077,962 | 61,005,547 | 370,459 | 31,664,460 | (46,489 | ) | 10,105,842 | 79,848,861 | 5,781,959 | |||||||||||||||||||||||
| PF International Large-Cap |
111,851,238 | 2,698,345 | 1,628,382 | 66,838,519 | 88,300 | 6,948,648 | 56,376,394 | 3,099,307 | ||||||||||||||||||||||||
| PF International Small-Cap |
48,445,168 | 83,208 | 585,203 | 36,866,594 | 2,792,282 | (534,914 | ) | 14,504,353 | 1,381,367 | |||||||||||||||||||||||
| PF International Value |
52,627,712 | 24,109,786 | 2,142,986 | 29,939,767 | (481,678 | ) | 6,879,359 | 55,338,398 | 5,943,974 | |||||||||||||||||||||||
| PF Real Estate |
25,237,728 | 2,140,801 | 577,687 | 12,680,302 | 179,291 | (1,095,822 | ) | 14,359,383 | 961,137 | |||||||||||||||||||||||
| PF Absolute Return (5) |
29,182,868 | 71,594 | — | 29,526,908 | (2,582,844 | ) | 2,855,290 | — | — | |||||||||||||||||||||||
| PF Currency Strategies |
47,871,586 | 13,936,195 | 3,728,143 | 30,467,310 | 912,852 | (416,390 | ) | 35,565,076 | 3,747,637 | |||||||||||||||||||||||
| PF Equity Long/Short |
79,726,758 | 83,074 | 4,810,529 | 55,392,129 | 1,210,809 | (2,777,998 | ) | 27,661,043 | 2,828,328 | |||||||||||||||||||||||
| PF Global Absolute Return |
60,794,198 | 8,981,395 | 1,248,706 | 36,772,409 | (3,142,524 | ) | 4,083,666 | 35,193,032 | 3,850,441 | |||||||||||||||||||||||
| $1,517,118,693 | $654,272,189 | $32,409,926 | $916,851,622 | $26,425,143 | $102,713,381 | $1,416,087,710 | ||||||||||||||||||||||||||
D-15
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Beginning |
Purchase |
Distributions |
Sales |
Net
Realized |
Change in Unrealized |
As of March 31, 2017 | ||||||||||||||||||||||||||
| Fund/Underlying Fund | Ending Value |
Shares Balance |
||||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth | ||||||||||||||||||||||||||||||||
| Pacific Funds Core Income |
$— | $19,421,674 | $309,393 | $1,776,373 | ($32,035 | ) | ($295,341 | ) | $17,627,318 | 1,670,836 | ||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
— | 20,755,957 | 68,773 | 223,273 | (200 | ) | (80,519 | ) | 20,520,738 | 2,019,758 | ||||||||||||||||||||||
| Pacific Funds High Income |
15,813,461 | 5,445,958 | 368,423 | 22,687,042 | (352,369 | ) | 1,411,569 | — | — | |||||||||||||||||||||||
| PF Inflation Managed |
5,574,037 | 2,445 | — | 5,626,098 | 29,756 | 19,860 | — | — | ||||||||||||||||||||||||
| PF Managed Bond |
37,959,868 | 102,366,743 | 1,811,188 | 42,253,376 | 110,912 | (353,145 | ) | 99,642,190 | 9,347,297 | |||||||||||||||||||||||
| PF Short Duration Bond |
— | 26,860,361 | 188,661 | 6,287,146 | 3,981 | (170,181 | ) | 20,595,676 | 2,084,583 | |||||||||||||||||||||||
| PF Emerging Markets Debt |
22,611,246 | 514,198 | 1,410,157 | 11,401,115 | (432,403 | ) | 1,430,856 | 14,132,939 | 1,505,105 | |||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
— | 3,816,928 | — | 638,574 | 96,080 | 367,804 | 3,642,238 | 325,491 | ||||||||||||||||||||||||
| PF Comstock |
67,529,382 | 87,341 | 1,537,035 | 19,172,765 | 5,637,904 | 5,586,257 | 61,205,154 | 4,080,344 | ||||||||||||||||||||||||
| PF Developing Growth |
20,029,067 | 24,141 | — | 18,670,441 | (1,505,954 | ) | 2,733,046 | 2,609,859 | 226,944 | |||||||||||||||||||||||
| PF Growth |
38,148,424 | 13,160,954 | 42,112 | 5,416,679 | 901,543 | 4,375,324 | 51,211,678 | 2,445,639 | ||||||||||||||||||||||||
| PF Large-Cap Growth |
47,549,900 | 1,534,443 | — | 22,034,968 | 1,411,525 | 5,070,747 | 33,531,647 | 3,316,681 | ||||||||||||||||||||||||
| PF Large-Cap Value |
87,769,657 | 64,104,499 | 1,739,808 | 26,984,660 | 3,131,601 | 13,869,242 | 143,630,147 | 8,652,419 | ||||||||||||||||||||||||
| PF Main Street Core |
78,861,065 | 37,089,811 | 1,395,181 | 16,393,263 | 433,841 | 14,623,301 | 116,009,936 | 8,268,705 | ||||||||||||||||||||||||
| PF Mid-Cap Equity |
75,605,089 | 44,034 | 430,631 | 61,328,683 | 7,434,465 | 1,019,579 | 23,205,115 | 2,109,556 | ||||||||||||||||||||||||
| PF Mid-Cap Growth |
20,524,806 | 22,428 | 69,711 | 16,871,521 | 2,044,432 | (620,002 | ) | 5,169,854 | 726,103 | |||||||||||||||||||||||
| PF Mid-Cap Value |
77,973,623 | 10,038,673 | 721,013 | 35,863,508 | 1,189,030 | 10,272,259 | 64,331,090 | 5,564,973 | ||||||||||||||||||||||||
| PF Small-Cap Value |
82,867,697 | 80,580 | 243,689 | 53,151,276 | 4,289,290 | 6,007,455 | 40,337,435 | 3,336,430 | ||||||||||||||||||||||||
| PF Emerging Markets |
52,627,580 | 29,256,677 | 281,605 | 21,848,297 | (1,118,860 | ) | 9,409,767 | 68,608,472 | 4,968,028 | |||||||||||||||||||||||
| PF International Large-Cap |
98,790,612 | 14,196,990 | 1,718,362 | 48,558,350 | (3,019,882 | ) | 10,381,770 | 73,509,502 | 4,041,204 | |||||||||||||||||||||||
| PF International Small-Cap |
42,555,104 | 28,035 | 630,867 | 29,666,073 | 2,667,072 | (296,028 | ) | 15,918,977 | 1,516,093 | |||||||||||||||||||||||
| PF International Value |
49,085,542 | 36,727,298 | 1,958,240 | 21,235,098 | (1,325,522 | ) | 7,882,574 | 73,093,034 | 7,851,024 | |||||||||||||||||||||||
| PF Real Estate |
29,991,927 | 1,872,916 | 676,801 | 15,998,413 | 2,264,323 | (3,047,688 | ) | 15,759,866 | 1,054,877 | |||||||||||||||||||||||
| PF Absolute Return (5) |
7,782,404 | 6,943 | — | 7,864,882 | (685,688 | ) | 761,223 | — | — | |||||||||||||||||||||||
| PF Currency Strategies |
45,486,128 | 1,220,549 | 2,675,995 | 24,126,707 | 693,369 | 73,104 | 26,022,438 | 2,742,090 | ||||||||||||||||||||||||
| PF Equity Long/Short |
44,170,368 | 854,987 | 3,457,163 | 27,258,414 | 681,789 | (1,634,124 | ) | 20,271,769 | 2,072,778 | |||||||||||||||||||||||
| PF Global Absolute Return |
21,678,421 | 17,573,335 | 896,853 | 14,394,521 | (1,134,730 | ) | 1,131,097 | 25,750,455 | 2,817,337 | |||||||||||||||||||||||
| $1,070,985,408 | $407,108,898 | $22,631,661 | $577,731,516 | $23,413,270 | $89,929,806 | $1,036,337,527 | ||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth | ||||||||||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
$— | $3,733,713 | $12,376 | $38,412 | ($54 | ) | ($14,491 | ) | $3,693,132 | 363,497 | ||||||||||||||||||||||
| PF Managed Bond |
— | 4,411,336 | 47,034 | 341,398 | 29,932 | (64,697 | ) | 4,082,207 | 382,946 | |||||||||||||||||||||||
| PF Short Duration Bond |
— | 2,990,326 | 27,184 | 2,982,488 | (35,022 | ) | — | — | — | |||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
— | 2,292,668 | — | 291,824 | 49,546 | 229,536 | 2,279,926 | 203,747 | ||||||||||||||||||||||||
| PF Comstock |
20,798,138 | 1,719,664 | 573,694 | 5,047,456 | 1,883,098 | 2,078,253 | 22,005,391 | 1,467,026 | ||||||||||||||||||||||||
| PF Developing Growth |
8,306,349 | 407,270 | — | 7,636,054 | 922,135 | (366,051 | ) | 1,633,649 | 142,056 | |||||||||||||||||||||||
| PF Growth |
12,683,090 | 13,041,009 | 22,487 | 2,377,954 | 489,235 | 2,046,925 | 25,904,792 | 1,237,096 | ||||||||||||||||||||||||
| PF Large-Cap Growth |
16,278,571 | 5,434,228 | — | 7,545,284 | 1,185,437 | 1,923,267 | 17,276,219 | 1,708,825 | ||||||||||||||||||||||||
| PF Large-Cap Value |
27,564,254 | 26,049,158 | 655,183 | 8,899,234 | 1,235,643 | 5,227,189 | 51,832,193 | 3,122,421 | ||||||||||||||||||||||||
| PF Main Street Core |
24,230,337 | 17,788,464 | 503,711 | 4,656,120 | 85,066 | 5,105,389 | 43,056,847 | 3,068,913 | ||||||||||||||||||||||||
| PF Mid-Cap Equity |
22,100,468 | 299,858 | 170,607 | 17,345,380 | 2,839,751 | 4,504 | 8,069,808 | 733,619 | ||||||||||||||||||||||||
| PF Mid-Cap Growth |
7,917,203 | 95,183 | 21,163 | 6,943,757 | 1,247,817 | (719,541 | ) | 1,618,068 | 227,257 | |||||||||||||||||||||||
| PF Mid-Cap Value |
26,907,733 | 2,991,784 | 227,598 | 12,991,837 | 120,376 | 3,361,792 | 20,617,446 | 1,783,516 | ||||||||||||||||||||||||
| PF Small-Cap Value |
26,505,738 | 2,162,097 | 90,969 | 15,388,176 | 1,615,219 | 2,008,709 | 16,994,556 | 1,405,671 | ||||||||||||||||||||||||
| PF Emerging Markets |
18,486,891 | 12,408,699 | 93,117 | 11,393,806 | (562,883 | ) | 3,281,170 | 22,313,188 | 1,615,727 | |||||||||||||||||||||||
| PF International Large-Cap |
36,847,532 | 1,006,086 | 603,658 | 13,886,918 | (1,213,542 | ) | 3,955,235 | 27,312,051 | 1,501,487 | |||||||||||||||||||||||
| PF International Small-Cap |
15,750,340 | 226,173 | 191,067 | 12,061,060 | 1,031,525 | (155,497 | ) | 4,982,548 | 474,528 | |||||||||||||||||||||||
| PF International Value |
18,068,779 | 11,976,601 | 690,857 | 6,082,886 | (749,176 | ) | 3,087,926 | 26,992,101 | 2,899,259 | |||||||||||||||||||||||
| PF Real Estate |
12,238,429 | 352,207 | 166,615 | 7,520,752 | 2,422,351 | (2,726,176 | ) | 4,932,674 | 330,166 | |||||||||||||||||||||||
| PF Currency Strategies |
6,633,661 | 4,316,841 | 646,763 | 5,109,440 | 145,414 | (117,309 | ) | 6,515,930 | 686,610 | |||||||||||||||||||||||
| PF Equity Long/Short |
11,053,168 | 167,026 | 918,708 | 6,323,119 | 150,552 | (414,423 | ) | 5,551,912 | 567,680 | |||||||||||||||||||||||
| PF Global Absolute Return |
3,158,220 | 3,857,410 | 217,503 | 715,658 | (89,170 | ) | 19,427 | 6,447,732 | 705,441 | |||||||||||||||||||||||
| $315,528,901 | $117,727,801 | $5,880,294 | $155,579,013 | $12,803,250 | $27,751,137 | $324,112,370 | ||||||||||||||||||||||||||
| Pacific Funds Diversified Alternatives | ||||||||||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
$568,387 | $617,787 | $26,103 | $213,435 | ($11,648 | ) | $32,209 | $1,019,403 | 100,335 | |||||||||||||||||||||||
| PF Inflation Managed |
167,000 | 545,129 | — | 71,555 | (187 | ) | 7,093 | 647,480 | 72,587 | |||||||||||||||||||||||
| PF Emerging Markets Debt |
574,018 | 870,894 | 72,763 | 240,605 | (2,800 | ) | 22,785 | 1,297,055 | 138,131 | |||||||||||||||||||||||
| PF Emerging Markets |
435,389 | 541,004 | 2,506 | 126,876 | (1,258 | ) | 76,952 | 927,717 | 67,177 | |||||||||||||||||||||||
| PF International Small-Cap |
327,739 | 402,321 | 14,688 | 129,598 | 11,550 | 30,124 | 656,824 | 62,555 | ||||||||||||||||||||||||
| PF Real Estate |
310,182 | 532,437 | 8,186 | 182,420 | 14,878 | (31,963 | ) | 651,300 | 43,594 | |||||||||||||||||||||||
| PF Absolute Return (5) |
650,130 | 86,895 | — | 747,600 | (41,282 | ) | 51,857 | — | ||||||||||||||||||||||||
| PF Currency Strategies |
1,261,847 | 2,059,481 | 175,204 | 379,583 | (6,388 | ) | (9,515 | ) | 3,101,046 | 326,770 | ||||||||||||||||||||||
| PF Equity Long/Short |
629,603 | 927,205 | 132,898 | 269,942 | (8,931 | ) | (15,529 | ) | 1,395,304 | 142,669 | ||||||||||||||||||||||
| PF Global Absolute Return |
1,354,906 | 2,172,036 | 61,887 | 401,556 | (34,151 | ) | 44,271 | 3,197,393 | 349,824 | |||||||||||||||||||||||
| $6,279,201 | $8,755,189 | $494,235 | $2,763,170 | ($80,217 | ) | $208,284 | $12,893,522 | |||||||||||||||||||||||||
| (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, Pacific Funds High Income, and/or Pacific Funds Small-Cap Growth. |
| (3) | Net realized gain (loss) includes capital gains distributions from the PF Underlying Funds, Pacific Funds Core Income, Pacific Funds Floating Rate Income, Pacific Funds High Income, and/or Pacific Funds Small-Cap Growth, if any. |
| (4) | All shares in the PF Floating Rate Loan Fund were fully redeemed as of January 31, 2017. |
| (5) | All shares in the PF Absolute Return Fund were fully redeemed as of August 3, 2016. |
D-16
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
As of March 31, 2017, Pacific Life owned the following percentages of the total shares outstanding (aggregate of all share classes) of each of the following Funds:
| Fund | Ownership |
|||
| Pacific Funds Diversified Alternatives |
17.22% | |||
| Pacific Funds Large-Cap Value |
72.63% | |||
| Pacific Funds Small-Cap Value |
54.74% | |||
| Pacific Funds Small-Cap Growth |
29.68% | |||
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 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, 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 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, 2017, such expenses increased by $5,282 for all applicable Funds presented in these financial statements as a result of the market value appreciation on such accounts. As of March 31, 2017, the total amount in the DCP Liability accounts for all applicable Funds presented in these financial statements was $21,248.
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. 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 under the line of credit agreement 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 0.20% (0.18% prior to August 5, 2016) per annum on the daily unused portion of the committed line up to a maximum of $150,000 ($135,000 prior to August 5, 2016). As of March 31, 2017, the actual interest rate on borrowing by the Trust was 2.11%. The commitment fees and interest incurred by Pacific Funds Floating Rate Income are recorded as an expense. For the year ended March 31, 2017, Pacific Funds Floating Rate Income had no loans outstanding in connection with this revolving line of credit.
D-17
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2017, are summarized in the following table:
| U.S. Government Securities | Other Securities | |||||||||||||||
| Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
| Pacific Funds Portfolio Optimization Conservative | $— | $— | $206,982,599 | $263,576,212 | ||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative | — | — | 275,818,154 | 344,260,714 | ||||||||||||
| Pacific Funds Portfolio Optimization Moderate | — | — | 713,109,108 | 916,851,622 | ||||||||||||
| Pacific Funds Portfolio Optimization Growth | — | — | 451,391,221 | 577,731,516 | ||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth | — | — | 131,591,795 | 155,579,013 | ||||||||||||
| Pacific Funds Diversified Alternatives | — | — | 9,284,129 | 2,763,170 | ||||||||||||
| Pacific Funds Short Duration Income | 13,680,901 | 14,528,837 | 245,974,890 | 211,011,813 | ||||||||||||
| Pacific Funds Core Income | 77,499,594 | 41,598,843 | 600,994,337 | 518,873,133 | ||||||||||||
| Pacific Funds Strategic Income | — | — | 396,984,608 | 283,071,417 | ||||||||||||
| Pacific Funds Floating Rate Income | — | — | 1,811,367,717 | 1,345,401,094 | ||||||||||||
| Pacific Funds Limited Duration High Income | — | — | 24,329,055 | 25,151,641 | ||||||||||||
| Pacific Funds High Income | — | — | 37,547,737 | 139,028,180 | ||||||||||||
| Pacific Funds Large-Cap | — | — | 13,946,727 | 8,137,463 | ||||||||||||
| Pacific Funds Large-Cap Value | — | — | 39,991,565 | 14,904,402 | ||||||||||||
| Pacific Funds Small/Mid-Cap | — | — | 115,869,560 | 23,056,799 | ||||||||||||
| Pacific Funds Small-Cap | — | — | 12,529,737 | 3,749,920 | ||||||||||||
| Pacific Funds Small-Cap Value | — | — | 43,193,242 | 20,624,554 | ||||||||||||
| Pacific Funds Small-Cap Growth | — | — | 42,159,207 | 12,947,205 | ||||||||||||
10. 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, 2017, 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, 2017:
| Distributable Earning | 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 |
($1,090,496 | ) | $— | $— | $198,283 | $— | $— | $198,283 | ||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
— | — | 1,816,501 | 889,727 | — | — | 889,727 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
— | — | 19,302,876 | 2,855,336 | — | — | 2,855,336 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
— | — | 17,409,402 | 2,171,187 | — | — | 2,171,187 | |||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
— | — | 8,513,593 | 702,468 | — | — | 702,468 | |||||||||||||||||||||||||
| Pacific Funds Diversified Alternatives |
(109,306 | ) | — | — | 5,607 | — | — | 5,607 | ||||||||||||||||||||||||
| Pacific Funds Short Duration Income |
(2,466,088 | ) | 76,119 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Core Income |
(18,473,940 | ) | 410,384 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Strategic Income |
(12,590,210 | ) | 332,253 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
(39,006,199 | ) | 1,273,914 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Limited Duration High Income |
(3,647,579 | ) | 32,414 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds High Income |
(9,117,938 | ) | 118,513 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Large-Cap |
(76,446 | ) | 21,427 | — | — | — | — | — | ||||||||||||||||||||||||
| Pacific Funds Large-Cap Value |
— | 519,456 | 8,639 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap |
— | 158,695 | 25,777 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Small-Cap |
— | 57,658 | — | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Small-Cap Value |
— | 1,779,439 | 94,422 | — | — | — | — | |||||||||||||||||||||||||
| Pacific Funds Small-Cap Growth |
— | — | 59,713 | 39,502 | 44,987 | — | 84,489 | |||||||||||||||||||||||||
D-18
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
Accumulated capital losses represent net capital loss carryovers as of March 31, 2017 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, 2017 and capital loss carryover from prior years utilized during the year or period ended March 31, 2017:
| Unlimited Period of Net | Accumulated |
Capital Loss |
||||||||||||||
| Capital Loss Carryover | ||||||||||||||||
| Fund | Short Term | Long Term | ||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
($1,090,496 | ) | $— | ($1,090,496 | ) | $— | ||||||||||
| Pacific Funds Diversified Alternatives |
(82,635 | ) | (26,671 | ) | (109,306 | ) | 2,998 | |||||||||
| Pacific Funds Short Duration Income |
(31,496 | ) | (2,434,592 | ) | (2,466,088 | ) | 791,900 | |||||||||
| Pacific Funds Core Income |
(4,649,238 | ) | (13,824,702 | ) | (18,473,940 | ) | 4,462,384 | |||||||||
| Pacific Funds Strategic Income |
(1,922,571 | ) | (10,667,639 | ) | (12,590,210 | ) | 1,261,532 | |||||||||
| Pacific Funds Floating Rate Income |
— | (39,006,199 | ) | (39,006,199 | ) | 11,426,967 | ||||||||||
| Pacific Funds Limited Duration High Income |
(254,552 | ) | (3,393,027 | ) | (3,647,579 | ) | 67,490 | |||||||||
| Pacific Funds High Income |
(3,385,377 | ) | (5,732,561 | ) | (9,117,938 | ) | 1,496,976 | |||||||||
| Pacific Funds Large-Cap |
(76,446 | ) | — | (76,446 | ) | 37,811 | ||||||||||
| Pacific Funds Large-Cap Value |
— | — | — | 6,611 | ||||||||||||
| Pacific Funds Small/Mid-Cap |
— | — | — | 5,137 | ||||||||||||
| Pacific Funds Small-Cap |
— | — | — | 11,176 | ||||||||||||
| Pacific Funds Small-Cap Value |
— | — | — | 16,244 | ||||||||||||
| Pacific Funds Small-Cap Growth |
— | — | — | 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, 2017, were as follows:
| Fund | Total Cost of Investments on Tax Basis (1) |
Gross Unrealized Appreciation on Investments |
Gross Unrealized Depreciation on Investments |
Net Unrealized Appreciation (Depreciation) on Investments |
||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$314,705,603 | $24,176,650 | ($4,936,972 | ) | $19,239,678 | |||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
445,766,048 | 54,355,289 | (6,732,951 | ) | 47,622,338 | |||||||||||
| Pacific Funds Portfolio Optimization Moderate |
1,219,963,129 | 212,040,999 | (15,916,418 | ) | 196,124,581 | |||||||||||
| Pacific Funds Portfolio Optimization Growth |
863,175,974 | 189,456,253 | (16,294,700 | ) | 173,161,553 | |||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
265,043,151 | 71,482,315 | (12,413,096 | ) | 59,069,219 | |||||||||||
| Pacific Funds Diversified Alternatives |
12,987,501 | 171,595 | (265,574 | ) | (93,979 | ) | ||||||||||
| Pacific Funds Short Duration Income |
275,893,819 | 2,359,330 | (403,761 | ) | 1,955,569 | |||||||||||
| Pacific Funds Core Income |
729,953,042 | 9,134,141 | (5,266,275 | ) | 3,867,866 | |||||||||||
| Pacific Funds Strategic Income |
341,592,106 | 6,959,644 | (2,687,122 | ) | 4,272,522 | |||||||||||
| Pacific Funds Floating Rate Income |
1,311,180,783 | 11,409,188 | (3,823,742 | ) | 7,585,446 | |||||||||||
| Pacific Funds Limited Duration High Income |
34,170,602 | 455,478 | (544,578 | ) | (89,100 | ) | ||||||||||
| Pacific Funds High Income |
27,850,993 | 985,734 | (531,577 | ) | 454,157 | |||||||||||
| Pacific Funds Large-Cap |
10,087,339 | 1,214,651 | (170,903 | ) | 1,043,748 | |||||||||||
| Pacific Funds Large-Cap Value |
28,734,485 | 3,796,695 | (410,187 | ) | 3,386,508 | |||||||||||
| Pacific Funds Small/Mid-Cap |
100,570,800 | 11,595,293 | (1,268,243 | ) | 10,327,050 | |||||||||||
| Pacific Funds Small-Cap |
9,999,418 | 1,503,295 | (193,746 | ) | 1,309,549 | |||||||||||
| Pacific Funds Small-Cap Value |
26,682,253 | 6,071,548 | (424,760 | ) | 5,646,788 | |||||||||||
| Pacific Funds Small-Cap Growth |
32,315,054 | 5,978,824 | (1,067,427 | ) | 4,911,397 | |||||||||||
| (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, investments in passive foreign investment companies, partnerships, and defaulted bonds. |
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, 2013.
D-19
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
11. TAX CHARACTER OF DISTRIBUTIONS
The tax character of income and capital gains distributions to shareholders during the year or period ended March 31, 2017 and 2016, were as follows:
| For the Year Ended March 31, 2017 | For the Year or Period Ended March 31, 2016 | |||||||||||||||||||||||||||||||||||
| Fund | Ordinary Income |
Long-Term Capital Gains |
Return of Capital |
Total Distributions |
Ordinary Income |
Long-Term Capital Gains |
Return of Capital |
Total Distributions |
||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Conservative |
$5,814,312 | $4,462,957 | $— | $10,277,269 | $8,600,105 | $3,692,820 | $— | $12,292,925 | ||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
8,499,985 | 11,434,206 | — | 19,934,191 | 12,100,111 | 15,556,707 | — | 27,656,818 | ||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Moderate |
22,066,371 | 49,692,598 | — | 71,758,969 | 28,900,129 | 66,412,632 | — | 95,312,761 | ||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Growth |
14,327,475 | 46,721,006 | — | 61,048,481 | 17,018,783 | 63,398,864 | — | 80,417,647 | ||||||||||||||||||||||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
3,276,479 | 17,519,316 | — | 20,795,795 | 5,050,105 | 3,973,614 | — | 9,023,719 | ||||||||||||||||||||||||||||
| Pacific Funds Diversified Alternatives |
438,531 | — | — | 438,531 | 215,205 | 17,498 | — | 232,703 | ||||||||||||||||||||||||||||
| Pacific Funds Short Duration Income |
4,802,390 | — | — | 4,802,390 | 2,772,117 | — | — | 2,772,117 | ||||||||||||||||||||||||||||
| Pacific Funds Core Income |
18,444,792 | — | — | 18,444,792 | 17,888,580 | — | — | 17,888,580 | ||||||||||||||||||||||||||||
| Pacific Funds Strategic Income |
9,412,691 | — | — | 9,412,691 | 8,892,313 | — | — | 8,892,313 | ||||||||||||||||||||||||||||
| Pacific Funds Floating Rate Income |
32,499,720 | — | — | 32,499,720 | 28,249,565 | — | — | 28,249,565 | ||||||||||||||||||||||||||||
| Pacific Funds Limited Duration High Income |
1,329,903 | — | — | 1,329,903 | 1,665,149 | — | — | 1,665,149 | ||||||||||||||||||||||||||||
| Pacific Funds High Income |
3,393,419 | — | — | 3,393,419 | 6,452,996 | — | — | 6,452,996 | ||||||||||||||||||||||||||||
| Pacific Funds Large-Cap (1) |
78,611 | — | — | 78,611 | 39,907 | — | 3,105 | 43,012 | ||||||||||||||||||||||||||||
| Pacific Funds Large-Cap Value (1) |
337,445 | — | — | 337,445 | 13,490 | — | — | 13,490 | ||||||||||||||||||||||||||||
| Pacific Funds Small/Mid-Cap (1) |
197,512 | — | — | 197,512 | 4,091 | 145 | — | 4,236 | ||||||||||||||||||||||||||||
| Pacific Funds Small-Cap (1) |
30,967 | — | — | 30,967 | 2,814 | — | — | 2,814 | ||||||||||||||||||||||||||||
| Pacific Funds Small-Cap Value (1) |
322,372 | — | — | 322,372 | 15,144 | 211 | — | 15,355 | ||||||||||||||||||||||||||||
| Pacific Funds Small-Cap Growth (1) |
606,829 | 58,416 | — | 665,245 | — | — | — | — | ||||||||||||||||||||||||||||
| (1) | Because of the change in fiscal year end from November 30 to March 31 for the PF U.S. Equity Funds in 2016, 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. |
12. RECLASSIFICATION OF ACCOUNTS
During the year ended March 31, 2017, 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, 2017. 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, partnerships, defaulted bonds, 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 |
($108 | ) | $1,333,574 | ($1,333,466 | ) | |||||||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
— | 1,687,688 | (1,687,688 | ) | ||||||||
| Pacific Funds Portfolio Optimization Moderate |
— | 3,322,470 | (3,322,470 | ) | ||||||||
| Pacific Funds Portfolio Optimization Growth |
— | 1,468,274 | (1,468,274 | ) | ||||||||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
— | 226,274 | (226,274 | ) | ||||||||
| Pacific Funds Diversified Alternatives |
— | 285 | (285 | ) | ||||||||
| Pacific Funds Short Duration Income |
— | (439 | ) | 439 | ||||||||
| Pacific Funds Core Income |
— | (1,295 | ) | 1,295 | ||||||||
| Pacific Funds Strategic Income |
— | 70,558 | (70,558 | ) | ||||||||
| Pacific Funds High Income |
— | 379,905 | (379,905 | ) | ||||||||
| Pacific Funds Large-Cap |
(21,450 | ) | 21,450 | — | ||||||||
| Pacific Funds Large-Cap Value |
(22,335 | ) | 22,335 | — | ||||||||
| Pacific Funds Small/Mid-Cap |
(22,155 | ) | 61,768 | (39,613 | ) | |||||||
| Pacific Funds Small-Cap |
(21,410 | ) | 21,410 | — | ||||||||
| Pacific Funds Small-Cap Value |
(22,156 | ) | 27,239 | (5,083 | ) | |||||||
| Pacific Funds Small-Cap Growth |
(22,156 | ) | 72,735 | (50,579 | ) | |||||||
D-20
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
13. SHARES OF BENEFICIAL INTEREST
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with no par value unless otherwise determined by the trustees of the Board. Changes in shares of beneficial interest of each Fund for the year or period ended March 31, 2017 and 2016, 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 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
|||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,890,752 | 3,633,577 | 2,475,492 | 3,922,430 | 5,276,412 | 8,525,601 | 3,754,929 | 5,737,542 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
418,969 | 491,817 | 831,373 | 1,140,832 | 2,843,340 | 3,756,608 | 2,389,226 | 3,056,609 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(4,392,205 | ) | (4,718,950 | ) | (5,684,302 | ) | (5,256,201 | ) | (14,849,661 | ) | (12,359,512 | ) | (9,297,851 | ) | (6,877,332 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(2,082,484 | ) | (593,556 | ) | (2,377,437 | ) | (192,939 | ) | (6,729,909 | ) | (77,303 | ) | (3,153,696 | ) | 1,916,819 | |||||||||||||||||||||||||||||
| Beginning 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 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
12,470,231 | 14,552,715 | 19,388,160 | 21,765,597 | 52,696,413 | 59,426,322 | 38,364,070 | 41,517,766 | ||||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
263,649 | 655,456 | 227,371 | 543,586 | 605,017 | 1,166,266 | 493,424 | 687,285 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
75,508 | 93,093 | 139,557 | 190,754 | 473,576 | 639,633 | 383,632 | 520,286 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(800,566 | ) | (961,807 | ) | (715,131 | ) | (733,734 | ) | (2,213,735 | ) | (2,045,097 | ) | (1,567,168 | ) | (1,533,018 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(461,409 | ) | (213,258 | ) | (348,203 | ) | 606 | (1,135,142 | ) | (239,198 | ) | (690,112 | ) | (325,447 | ) | |||||||||||||||||||||||||||||
| Beginning 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 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
2,762,216 | 3,223,625 | 3,762,771 | 4,110,974 | 9,969,778 | 11,104,920 | 6,813,831 | 7,503,943 | ||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,981,634 | 3,628,313 | 1,487,544 | 2,962,178 | 3,468,847 | 6,246,680 | 2,068,777 | 3,497,011 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
381,110 | 487,227 | 627,774 | 890,155 | 1,845,550 | 2,455,140 | 1,382,132 | 1,855,250 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(4,685,467 | ) | (4,912,299 | ) | (4,583,366 | ) | (4,046,632 | ) | (10,269,873 | ) | (8,273,695 | ) | (6,348,745 | ) | (4,550,331 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(2,322,723 | ) | (796,759 | ) | (2,468,048 | ) | (194,299 | ) | (4,955,476 | ) | 428,125 | (2,897,836 | ) | 801,930 | ||||||||||||||||||||||||||||||
| Beginning 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 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
14,258,315 | 16,581,038 | 16,672,098 | 19,140,146 | 38,211,792 | 43,167,268 | 24,167,592 | 27,065,428 | ||||||||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
191,730 | 180,040 | 88,903 | 114,189 | 389,499 | 575,996 | 220,934 | 277,763 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
30,462 | 31,188 | 19,629 | 26,152 | 88,738 | 109,181 | 64,456 | 98,983 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(412,838 | ) | (313,416 | ) | (113,097 | ) | (194,816 | ) | (663,485 | ) | (705,440 | ) | (569,194 | ) | (435,562 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(190,646 | ) | (102,188 | ) | (4,565 | ) | (54,475 | ) | (185,248 | ) | (20,263 | ) | (283,804 | ) | (58,816 | ) | ||||||||||||||||||||||||||||
| Beginning shares outstanding |
956,913 | 1,059,101 | 493,343 | 547,818 | 1,961,322 | 1,981,585 | 1,336,860 | 1,395,676 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
766,267 | 956,913 | 488,778 | 493,343 | 1,776,074 | 1,961,322 | 1,053,056 | 1,336,860 | ||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
282,213 | 148,874 | 290,140 | 179,522 | 687,375 | 623,594 | 475,009 | 735,080 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
8,390 | 9,972 | 11,730 | 18,320 | 49,802 | 87,961 | 40,383 | 65,360 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(266,576 | ) | (392,461 | ) | (318,021 | ) | (222,826 | ) | (950,013 | ) | (727,487 | ) | (486,960 | ) | (584,241 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
24,027 | (233,615 | ) | (16,151 | ) | (24,984 | ) | (212,836 | ) | (15,932 | ) | 28,432 | 216,199 | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
467,375 | 700,990 | 416,100 | 441,084 | 1,526,115 | 1,542,047 | 878,518 | 662,319 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
491,402 | 467,375 | 399,949 | 416,100 | 1,313,279 | 1,526,115 | 906,950 | 878,518 | ||||||||||||||||||||||||||||||||||||
D-21
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 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year/ Period Ended 3/31/2016 |
|||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,216,635 | 1,921,981 | 69,431 | 210,477 | 4,194,724 | 5,082,145 | 5,010,760 | 6,848,241 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
772,029 | 348,261 | 14,293 | 6,764 | 113,206 | 75,644 | 416,698 | 550,455 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(2,226,168 | ) | (1,828,161 | ) | (136,645 | ) | (38,035 | ) | (4,596,951 | ) | (3,064,452 | ) | (8,965,679 | ) | (8,857,927 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(237,504 | ) | 442,081 | (52,921 | ) | 179,206 | (289,021 | ) | 2,093,337 | (3,538,221 | ) | (1,459,231 | ) | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
11,622,795 | 11,180,714 | 325,742 | 146,536 | 6,772,016 | 4,678,679 | 18,780,654 | 20,239,885 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
11,385,291 | 11,622,795 | 272,821 | 325,742 | 6,482,995 | 6,772,016 | 15,242,433 | 18,780,654 | ||||||||||||||||||||||||||||||||||||
| Class B |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
219,638 | 292,021 | ||||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
121,129 | 49,222 | ||||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(484,527 | ) | (562,213 | ) | ||||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(143,760 | ) | (220,970 | ) | ||||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
2,081,170 | 2,302,140 | ||||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,937,410 | 2,081,170 | ||||||||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
869,084 | 1,388,768 | 115,889 | 28,836 | 1,655,175 | 2,410,872 | 1,851,314 | 2,910,285 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
408,431 | 158,652 | 8,111 | 1,586 | 39,998 | 29,747 | 203,792 | 322,200 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,803,310 | ) | (1,657,897 | ) | (41,538 | ) | (17,468 | ) | (1,825,910 | ) | (1,165,417 | ) | (4,045,482 | ) | (6,826,299 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(525,795 | ) | (110,477 | ) | 82,462 | 12,954 | (130,737 | ) | 1,275,202 | (1,990,376 | ) | (3,593,814 | ) | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
6,978,974 | 7,089,451 | 69,204 | 56,250 | 4,314,535 | 3,039,333 | 13,455,369 | 17,049,183 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
6,453,179 | 6,978,974 | 151,666 | 69,204 | 4,183,798 | 4,314,535 | 11,464,993 | 13,455,369 | ||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
207,447 | 78,942 | 163,720 | 117,545 | ||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
5,253 | 3,160 | 11,303 | 11,782 | ||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(47,460 | ) | (62,572 | ) | (83,946 | ) | (139,080 | ) | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
165,240 | 19,530 | 91,077 | (9,753 | ) | |||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
165,425 | 145,895 | 342,699 | 352,452 | ||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
330,665 | 165,425 | 433,776 | 342,699 | ||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
12,396,863 | 1,640,627 | ||||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
238,533 | 45,678 | ||||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(2,567,647 | ) | (164,755 | ) | ||||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
10,067,749 | 1,521,550 | ||||||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,521,550 | — | ||||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
11,589,299 | 1,521,550 | ||||||||||||||||||||||||||||||||||||||||||
| Class R |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
90,924 | 120,259 | ||||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
30,232 | 14,473 | ||||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(136,353 | ) | (217,758 | ) | ||||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(15,197 | ) | (83,026 | ) | ||||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
481,031 | 564,057 | ||||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
465,834 | 481,031 | ||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
378,874 | 341,548 | 662,659 | 37,578 | 13,183,137 | 11,770,870 | 21,898,290 | 15,561,364 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
23,071 | 19,234 | 22,399 | 11,170 | 267,237 | 126,478 | 580,811 | 523,393 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(402,913 | ) | (315,435 | ) | (29,918 | ) | (168,703 | ) | (10,315,633 | ) | (4,268,163 | ) | (14,245,105 | ) | (12,543,745 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(968 | ) | 45,347 | 655,140 | (119,955 | ) | 3,134,741 | 7,629,185 | 8,233,996 | 3,541,012 | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
454,038 | 408,691 | 256,582 | 376,537 | 12,616,968 | 4,987,783 | 23,837,500 | 20,296,488 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
453,070 | 454,038 | 911,722 | 256,582 | 15,751,709 | 12,616,968 | 32,071,496 | 23,837,500 | ||||||||||||||||||||||||||||||||||||
D-22
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 |
|||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
Year Ended 3/31/2017 |
Year Ended 3/31/2016 |
|||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
3,161,537 | 2,992,625 | 8,223,582 | 5,817,413 | 179,997 | 497,063 | 327,013 | 1,355,959 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
187,637 | 220,166 | 698,572 | 764,716 | 24,390 | 30,499 | 36,115 | 34,332 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(2,272,653 | ) | (2,795,296 | ) | (8,117,918 | ) | (8,313,361 | ) | (446,919 | ) | (419,721 | ) | (917,907 | ) | (851,898 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
1,076,521 | 417,495 | 804,236 | (1,731,232 | ) | (242,532 | ) | 107,841 | (554,779 | ) | 538,393 | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
5,176,310 | 4,758,815 | 19,614,318 | 21,345,550 | 846,561 | 738,720 | 1,101,320 | 562,927 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
6,252,831 | 5,176,310 | 20,418,554 | 19,614,318 | 604,029 | 846,561 | 546,541 | 1,101,320 | ||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,485,820 | 1,690,276 | 4,321,348 | 3,567,173 | 72,834 | 105,316 | 129,064 | 98,726 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
119,373 | 141,648 | 497,422 | 501,282 | 10,103 | 13,419 | 22,367 | 17,382 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,301,415 | ) | (1,419,233 | ) | (3,553,114 | ) | (5,374,260 | ) | (81,378 | ) | (150,146 | ) | (142,966 | ) | (175,000 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
303,778 | 412,691 | 1,265,656 | (1,305,805 | ) | 1,559 | (31,411 | ) | 8,465 | (58,892 | ) | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
4,388,971 | 3,976,280 | 16,560,463 | 17,866,268 | 350,915 | 382,326 | 458,694 | 517,586 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
4,692,749 | 4,388,971 | 17,826,119 | 16,560,463 | 352,474 | 350,915 | 467,159 | 458,694 | ||||||||||||||||||||||||||||||||||||
| Class I |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
170,929 | 32,262 | 16,312,206 | 3,075,593 | 9,412 | 3,064 | 540,027 | 1,035 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
5,192 | 5,416 | 472,000 | 400,965 | 102,269 | 111,810 | 23,423 | 942 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(40,230 | ) | (72,334 | ) | (1,619,335 | ) | (2,831,035 | ) | (2,014 | ) | (4,047 | ) | (60,184 | ) | (18,913 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
135,891 | (34,656 | ) | 15,164,871 | 645,523 | 109,667 | 110,827 | 503,266 | (16,936 | ) | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
94,489 | 129,145 | 9,414,004 | 8,768,481 | 2,393,884 | 2,283,057 | 6,228 | 23,164 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
230,380 | 94,489 | 24,578,875 | 9,414,004 | 2,503,551 | 2,393,884 | 509,494 | 6,228 | ||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
7,758,276 | 30,716 | 718,855 | 10,233,579 | ||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
28,212 | 2,046 | 251,058 | 593,136 | ||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(103,794 | ) | (43,092 | ) | (12,113,949 | ) | (2,390,465 | ) | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
7,682,694 | (10,330 | ) | (11,144,036 | ) | 8,436,250 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
58,177 | 68,507 | 12,178,549 | 3,742,299 | ||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
7,740,871 | 58,177 | 1,034,513 | 12,178,549 | ||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
14,328,334 | 11,745,239 | 33,337,402 | 10,921,186 | 121,710 | 382,323 | 156,239 | 92,191 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
480,505 | 432,539 | 1,128,020 | 961,149 | 9,195 | 21,960 | 11,165 | 12,874 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(5,898,144 | ) | (6,880,766 | ) | (13,844,107 | ) | (14,982,811 | ) | (130,786 | ) | (772,008 | ) | (120,174 | ) | (291,615 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
8,910,695 | 5,297,012 | 20,621,315 | (3,100,476 | ) | 119 | (367,725 | ) | 47,230 | (186,550 | ) | |||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
11,453,910 | 6,156,898 | 23,644,337 | 26,744,813 | 223,007 | 590,732 | 176,478 | 363,028 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
20,364,605 | 11,453,910 | 44,265,652 | 23,644,337 | 223,126 | 223,007 | 223,708 | 176,478 | ||||||||||||||||||||||||||||||||||||
D-23
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Large Cap (1) |
Pacific Funds Large-Cap Value (1) |
Pacific Funds Small/Mid-Cap (1) |
||||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2017 |
Period Ended 3/31/2016 (2) |
Period Ended 11/30/2015 (2) |
Year Ended 3/31/2017 |
Period Ended 3/31/2016 (2) |
Period Ended 11/30/2015 (2) |
Year Ended 3/31/2017 |
Period Ended 3/31/2016 (2) |
Period Ended 11/30/2015 (2) |
||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
401,920 | 68,623 | 246,956 | 52,739 | 2,173,102 | 229,396 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
2,769 | — | 2,055 | — | 3,389 | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(46,452 | ) | (11,639 | ) | (62,593 | ) | — | (863,934 | ) | (2,311 | ) | |||||||||||||||||||||||||||||||||
| Net increase (decrease) |
358,237 | 56,984 | 186,418 | 52,739 | 1,312,557 | 227,085 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
56,984 | — | 52,739 | — | 227,085 | — | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
415,221 | 56,984 | 239,157 | 52,739 | 1,539,642 | 227,085 | ||||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
216,157 | 54,726 | 242,134 | 50,780 | 593,776 | 58,641 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
654 | — | 1,403 | — | 787 | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(17,021 | ) | (311 | ) | (8,023 | ) | (316 | ) | (22,803 | ) | (5,423 | ) | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
199,790 | 54,415 | 235,514 | 50,464 | 571,760 | 53,218 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
54,415 | — | 50,464 | — | 53,218 | — | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
254,205 | 54,415 | 285,978 | 50,464 | 624,978 | 53,218 | ||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
144,202 | 58,314 | 2,304,006 | 82,103 | 6,631,504 | 198,112 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
1,293 | — | 25,475 | — | 8,897 | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(7,967 | ) | — | (113,813 | ) | — | (953,943 | ) | (30 | ) | ||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
137,528 | 58,314 | 2,215,668 | 82,103 | 5,686,458 | 198,082 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
58,314 | — | 82,103 | — | 198,082 | — | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
195,842 | 58,314 | 2,297,771 | 82,103 | 5,884,540 | 198,082 | ||||||||||||||||||||||||||||||||||||||
| Investor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
12,133 | 6,203 | 63,215 | 28,767 | 2,948 | 50,000 | 498,571 | 230,581 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
562 | 978 | — | 492 | 1,395 | — | 862 | — | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(55,207 | ) | — | (490 | ) | (74,544 | ) | — | — | (158,044 | ) | — | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(42,512 | ) | 7,181 | 62,725 | (45,285 | ) | 4,343 | 50,000 | 341,389 | 230,581 | ||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
69,906 | 62,725 | — | 54,343 | 50,000 | — | 230,581 | — | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
27,394 | 69,906 | 62,725 | 9,058 | 54,343 | 50,000 | 571,970 | 230,581 | ||||||||||||||||||||||||||||||||||||
| Class S |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
9,756 | 3,335 | 188,368 | 103,921 | 22,212 | 691,926 | 21,244 | 50,000 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
1,775 | 3,385 | — | 2,022 | — | 2,494 | 417 | — | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(98,629 | ) | — | (595 | ) | (1,115 | ) | — | (51,489 | ) | — | — | ||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(87,098 | ) | 6,720 | 187,773 | 104,828 | 22,212 | 642,931 | 21,661 | 50,000 | |||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
194,493 | 187,773 | — | 22,212 | — | 71,661 | 50,000 | — | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
107,395 | 194,493 | 187,773 | 127,040 | 22,212 | 714,592 | 71,661 | 50,000 | ||||||||||||||||||||||||||||||||||||
D-24
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Pacific Funds Small Cap (1) |
Pacific Funds Small Cap Value (1) |
Pacific Funds Small Cap Growth (1) |
||||||||||||||||||||||||||||||||||||||||||
| Year Ended 3/31/2017 |
Period Ended 3/31/2016 (2) |
Period Ended 11/30/2015 (2) |
Year Ended 3/31/2017 |
Period Ended 3/31/2016 (2) |
Period Ended 11/30/2015 (2) |
Year Ended 3/31/2017 |
Period Ended 3/31/2016 (2) |
Period Ended 11/30/2015 (2) |
||||||||||||||||||||||||||||||||||||
| Class A |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
179,504 | 33,428 | 62,697 | 15,572 | 42,667 | 4,491 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
1,076 | — | 319 | — | 667 | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(64,638 | ) | — | (14,037 | ) | — | (1,690 | ) | — | |||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
115,942 | 33,428 | 48,979 | 15,572 | 41,644 | 4,491 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
33,428 | — | 15,572 | — | 4,491 | — | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
149,370 | 33,428 | 64,551 | 15,572 | 46,135 | 4,491 | ||||||||||||||||||||||||||||||||||||||
| Class C |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
52,812 | 13,453 | 88,998 | 12,748 | 14,763 | 3,498 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
— | — | 212 | — | 198 | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(11,747 | ) | — | (5,517 | ) | — | (1,558 | ) | — | |||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
41,065 | 13,453 | 83,693 | 12,748 | 13,403 | 3,498 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
13,453 | — | 12,748 | — | 3,498 | — | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
54,518 | 13,453 | 96,441 | 12,748 | 16,901 | 3,498 | ||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,395,678 | |||||||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
22,013 | |||||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(310,949 | ) | ||||||||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
1,106,742 | |||||||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
— | |||||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,106,742 | |||||||||||||||||||||||||||||||||||||||||||
| Advisor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
729,346 | 18,179 | 2,578,419 | 27,567 | 1,161,626 | 24,297 | ||||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
218 | — | 18,336 | — | 19,771 | — | ||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(50,661 | ) | (2,365 | ) | (844,845 | ) | — | (15,767 | ) | — | ||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
678,903 | 15,814 | 1,751,910 | 27,567 | 1,165,630 | 24,297 | ||||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
15,814 | — | 27,567 | — | 24,297 | — | ||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
694,717 | 15,814 | 1,779,477 | 27,567 | 1,189,927 | 24,297 | ||||||||||||||||||||||||||||||||||||||
| Investor Class |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
49,010 | 1,886 | 13,015 | 6,278 | 1,274 | 1,078 | 100,433 | |||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
33 | — | 108 | — | 2,101 | — | — | |||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(1,906 | ) | — | (1,504 | ) | — | (1,079 | ) | — | — | ||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
47,137 | 1,886 | 11,619 | 6,278 | 2,296 | 1,078 | 100,433 | |||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
1,886 | — | 6,278 | — | 101,511 | 100,433 | — | |||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
49,023 | 1,886 | 17,897 | 6,278 | 103,807 | 101,511 | 100,433 | |||||||||||||||||||||||||||||||||||||
| Class S |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
11,798 | 1,099 | 50,000 | 786,410 | 46,852 | 70,356 | 806,759 | 42,681 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvested |
1,020 | 281 | — | 8,126 | 1,593 | — | 15,799 | — | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(51,380 | ) | — | — | (76,854 | ) | (38 | ) | (763 | ) | (1,079 | ) | — | |||||||||||||||||||||||||||||||
| Net increase (decrease) |
(38,562 | ) | 1,380 | 50,000 | 717,682 | 48,407 | 69,593 | 821,479 | 42,681 | |||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
51,380 | 50,000 | — | 118,000 | 69,593 | — | 42,681 | — | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
12,818 | 51,380 | 50,000 | 835,682 | 118,000 | 69,593 | 864,160 | 42,681 | ||||||||||||||||||||||||||||||||||||
| (1) | See footnote (1) in Financial Highlights from pages C-14 through C-23 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-25
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 funds comprising Pacific Funds Series Trust) as of March 31, 2017, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended (as to 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 year ended March 31, 2017 and for the period from December 1, 2015 through March 31, 2016), 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. The financial statements of the 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 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, 2017, 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, 2017, 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 25, 2017
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, 2017 is as follows:
| Fund | Percentage | |||
| Pacific Funds Portfolio Optimization Conservative |
12.35% | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
19.09% | |||
| Pacific Funds Portfolio Optimization Moderate |
30.38% | |||
| Pacific Funds Portfolio Optimization Growth |
42.45% | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
68.09% | |||
| Pacific Funds Diversified Alternatives |
0.12% | |||
| Pacific Funds Strategic Income |
0.66% | |||
| Pacific Funds High Income |
0.43% | |||
| Pacific Funds Large-Cap |
100.00% | |||
| Pacific Funds Large-Cap Value |
60.85% | |||
| Pacific Funds Small/Mid-Cap |
100.00% | |||
| Pacific Funds Small-Cap |
60.60% | |||
| Pacific Funds Small-Cap Value |
12.68% | |||
| Pacific Funds Small-Cap Growth |
26.06% | |||
For the year ended March 31, 2017, 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 |
20.29% | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
33.77% | |||
| Pacific Funds Portfolio Optimization Moderate |
53.11% | |||
| Pacific Funds Portfolio Optimization Growth |
76.20% | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
100.00% | |||
| Pacific Funds Diversified Alternatives |
3.92% | |||
| Pacific Funds Strategic Income |
0.90% | |||
| Pacific Funds High Income |
0.40% | |||
| Pacific Funds Large-Cap |
100.00% | |||
| Pacific Funds Large-Cap Value |
63.97% | |||
| Pacific Funds Small/Mid-Cap |
100.00% | |||
| Pacific Funds Small-Cap |
61.53% | |||
| Pacific Funds Small-Cap Value |
13.78% | |||
| Pacific Funds Small-Cap Growth |
24.58% | |||
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 2018. 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 ended March 31, 2017. 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 |
$4,462,957 | |||
| Pacific Funds Portfolio Optimization Moderate-Conservative |
11,434,206 | |||
| Pacific Funds Portfolio Optimization Moderate |
49,692,598 | |||
| Pacific Funds Portfolio Optimization Growth |
46,721,006 | |||
| Pacific Funds Portfolio Optimization Aggressive-Growth |
17,519,316 | |||
| Pacific Funds Large-Cap Value |
8,639 | |||
| Pacific Funds Small/Mid-Cap |
25,777 | |||
| Pacific Funds Small-Cap Value |
94,422 | |||
| Pacific Funds Small-Cap Growth |
118,129 | |||
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
(Unaudited)
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) 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; Former Director (2005 to 2016) 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); Former Member of Board of Trustees (2010 to 2016) 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) of Eastern Michigan University. | 97 | |||
| 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. | 97 | |||
| Paul A. Keller Year of birth 1954 |
Trustee since 6/20/16 | Trustee (6/16 to present) of Pacific Select Fund; Consultant to the Trust and Pacific Select Fund (11/15 to 6/16); Independent Trustee (2010 to present) of Fenimore Asset Management Trust (FAM Funds); Business Consultant (2010 to present) (sole proprietor); Certified Public Accountant in New York (1982 to present); Adjunct Professor of Accounting (2011 to 2015), SUNY College at Old Westbury; Interim Chief Financial Officer (2014 to 2015) of The Leon Levy Foundation; Former Partner (1986 to 1999) of McGladrey & Pullen LLP; and Former Partner (1999 to 2010) of PricewaterhouseCoopers LLP. | 97 | |||
| 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 the Board of Trustees (2014 to present) of Azusa Pacific University; Member of the Board of Trustees (2016 to present) of Pacifica Christian High School Orange County; 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; and Former Member of the Advisory Board (1993 to 2004) of Court Appointed Special Advocates (CASA) of Orange County. | 97 | |||
| 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. | 97 | |||
F-5
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
(Unaudited)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) 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 1/07 to 12/09) | 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; Director (4/16 to present) of Edison International (a public utility holding company); and Chairman of the Board and Trustee (1/07 to present) and Chief Executive Officer (1/07 to 12/09) of Pacific Select Fund. | 97 | |||||
| Mary Ann Brown Year of birth 1951 |
Chief Executive Officer since 1/01/10 (President 1/07 to 12/09) | 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. | 97 | |||||
| Howard T. Hirakawa Year of birth 1962 |
Senior Vice President since 12/10/14 (Vice President since 06/06 to 12/14) | Senior Vice President (4/14 to present) and 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. | 97 | |||||
| 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. | 97 | |||||
| Brian D. Klemens Year of birth 1956 |
Vice President and Treasurer since 12/31/16 (Vice President and Treasurer 6/01 to 9/15) |
Vice President and Controller (10/07 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Vice President and Controller (10/07 to present) of Pacific Life; Vice President and Controller (10/07 to present) of Pacific Life Fund Advisors LLC; Vice President (5/00 to present) and Controller (10/07 to present) of Pacific Select Distributors, LLC; and Vice President and Treasurer (4/96 to 9/15; 12/16 to present) of Pacific Select Fund. |
97 | |||||
| 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. | 97 | |||||
| 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 (5/07 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. | 97 | |||||
F-6
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
(Unaudited)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) 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. | 97 | |||
| Carleton J. Muench Year of birth 1973 |
Vice President since 11/30/06 | Vice President (4/14 to present) and 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. | 97 | |||
| 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. | 97 | |||
| 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. | 97 | |||
| Trevor T. Smith Year of birth 1975 |
Vice President and Assistant Treasurer since 3/23/16 | Assistant Vice President (1/17 to present) and Director of Variable Products Accounting (4/09 to 12/16) of Pacific Life; and Assistant Vice President and Assistant Treasurer (3/16 to present) of Pacific Select Fund. | 97 | |||
| * | A trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. |
| ** | As of March 31, 2017, the “Fund Complex” consisted of Pacific Select Fund (57 funds) and Pacific Funds (40 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 14, 2016.1
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 throughout the year, 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 14th meeting, the Board did not consider the continuance of the Advisory Agreement and Sub-Advisory Agreement relating to 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, 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, risk management 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, risk management and monitoring services for the Funds. The Trustees also considered the additional resources that PLFA has continued to invest in to enhance its management and oversight of the Funds, including additional tools to further enhance the asset allocation and Sub-Adviser research processes. In this regard, the Trustees also considered the role of PLFA’s internal conflicts review committee in considering and evaluating potential conflicts of interest with regard to Sub-Adviser selection and monitoring by PLFA.
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 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 Funds that serve as investment options for the Asset Allocation Funds (collectively, the “Underlying Funds”) and in developing an asset allocation that is appropriate for 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 its asset allocation models, including the role and costs of consultants engaged by PLFA for assistance in the construction of asset allocation models. The Trustees considered that PLFA had recently engaged an independent consultant to review PLFA’s asset allocation process. 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 all rebalancing of 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.
For both Directly Managed Funds and Sub-Advised Funds, 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,
F-9
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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’ performance records against various measures. The Board considered that PLFA also conducts various analyses 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 for both the PAM Managed Funds and Sub-Advised Funds. 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 both the PAM Managed Funds and Sub-Advised 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.
F-10
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 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, 2016, 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 a Fund that is 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. Where there had been a change in Sub-Adviser for a Fund, the Board took into account that the current Sub-Adviser was only responsible for certain portions of the performance record. 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.
PF 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 third quintile of its Selected Performance Peer Group for the one- and five-year periods and the fourth quintile for the three- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the three-year underperformance is primarily attributable to the Sub-Adviser’s investment style, that over longer periods of time the style has provided attractive returns, and that recent performance has improved. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
PF Equity Long/Short Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) outperformed its primary benchmark for the one-year period; and (3) is ranked in the first 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.
PF 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) underperformed its primary benchmark for the one-, 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-year period, the third quintile for the five-year period and the fourth 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.
PF 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) 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-, 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 the current Sub-Adviser has managed the Fund since 2013.
PF Large-Cap Value 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-, 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, the third quintile for the three- and ten-year periods and the second quintile for the five-year period.
F-11
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF Main Street Core Fund
The Fund: (1) outperformed 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 first quintile of its Selected Performance Peer Group for the one-, three- and five-year periods and the second quintile for the ten-year period.
PF Mid-Cap Equity 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) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one- and three-year periods 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.
PF Mid-Cap Growth Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and ten-year periods and underperformed for the three- and five-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 fourth quintile for the three-year period, 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 three-year underperformance is primarily attributable to the Sub-Adviser’s investment style (particularly its focus on high quality companies with attractive valuations) and security selection in 2015, that performance in 2014 and 2016 has been competitive, and that PLFA will continue to monitor the Fund’s performance. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
PF Mid-Cap Value 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.
PF Developing Growth Fund (formerly named PF 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 fifth quintile of its Selected Performance Peer Group for the one-, 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 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- and three-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. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
PF Small-Cap Value Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods and performed in line for the five-year period; (2) outperformed its primary benchmark for the one- and three-year periods and underperformed for the five-year period; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one- and three-year periods and the third 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.
PF Emerging Markets Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, five- and ten-year periods and underperformed for the three-year period; (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- and five-year periods, the fourth quintile for the three-year period and the first quintile for the ten-year period.
PF Emerging Markets Debt Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period and underperformed for the three-year period; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-year period and the fourth quintile for the three-year period.
PF International Large-Cap 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-year period and outperformed for the 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, the fifth quintile for the three-year period and the third quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the one- and three-year underperformance is primarily attributable to security selection in 2016 and that longer-term performance remains strong, that recent performance has significantly improved, and that PLFA will continue to closely monitor the Fund’s performance.
F-12
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF International Small-Cap 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.
PF 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 fifth quintile of its Selected Performance Peer Group for the one-, three- and ten-year periods 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 2011. The Board also considered that PLFA had advised that the one- and three-year underperformance is primarily attributable to the Sub-Adviser’s investment style and security selection. The Board considered that more recent performance has improved, but that in light of longer-term performance issues and the pending retirement of the Fund’s portfolio manager, PLFA will continue to closely monitor the Fund to determine if future remedial actions are necessary or appropriate.
PF Currency Strategies Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the second 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 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.
Pacific Funds Diversified Alternatives
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) outperformed its primary benchmark for the one-year period; and (3) is ranked in the first 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.
PF Global Absolute Return Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the first 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 the Selected Performance Peer Group was of limited usefulness due to the diversity of investment approaches of funds in the peer group.
PF Real Estate 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 ten-year periods and the fourth quintile for the three- and five-year periods.
Pacific Funds Floating Rate Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and five-year periods and performed in line for the three-year period; (2) underperformed its primary benchmark for the one- and three-year periods and outperformed for the five-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods and the first quintile for the five-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 third quintile of its Selected Performance Peer Group for the one-year period 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 security selection in 2014 and 2015, that recent performance has materially improved and that PLFA has no material concerns regarding the performance of the Fund but will continue to closely monitor the Fund’s performance.
Pacific Funds Core Income
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- and five-year periods and the second quintile for the three-year period.
PF Inflation Managed 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-, 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, the third quintile for the three-year period and the first quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser co-managed the Fund with another firm from January 2015 to October 2016 and since October 2016 has been the sole Sub-Adviser.
F-13
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Limited Duration 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 fifth 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 underperformance is primarily attributable to the duration of the Fund’s portfolio as well as security and sector selection. The Board also took into account that the Fund’s investment strategy is somewhat unique, and that it is difficult to find an appropriate peer group of funds with similar investment styles. The Board considered that the Fund only has a three-year performance record and that PLFA will continue to closely monitor the Fund’s performance.
PF Managed Bond 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-, three-, five- and ten-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-, five- and ten-year periods and the second quintile for the three-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.
PF Short Duration Bond Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-, three- and five-year periods and underperformed for the ten-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-, 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 2011. In evaluating performance of the Fund, the Board considered that PLFA had advised that the one-, three- and five-year underperformance is primarily attributable to the Sub-Adviser’s investment style and that the strategy should outperform in a more “risk-off” environment. The Board further considered that PLFA does not have material concerns with the Fund but will continue to monitor the Fund’s performance. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
Pacific Funds Short Duration Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed 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 second quintile for the three-year period.
Pacific Funds Strategic Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period and first quintile for the three-year period.
Pacific Funds Portfolio Optimization Conservative
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its custom benchmark for the one-year period and underperformed for the 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 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 underperformance is primarily attributable to an allocation to alternative asset classes, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
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-year period and in 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 emerging markets, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
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 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 the three-, five- and ten-year underperformance is primarily attributable to an underweight to domestic equities and an allocation to alternative asset classes and emerging markets, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
F-14
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Portfolio Optimization Growth
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 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 the five- and ten-year underperformance is primarily attributable to an allocation to alternative asset classes and emerging markets, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Fund: (1) performed in line with its Selected Performance Peer Group 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-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 the three- and five-year underperformance is primarily attributable to an underweight to domestic equities and an allocation to alternative asset classes, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
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, which 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.
PF 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 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 PLFA currently has contractually agreed to waive 0.015% of its advisory fee.
PF Equity Long/Short 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 0.15% of its advisory fee.
F-15
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF 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.
PF Large-Cap Growth 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. The Trustees noted that PLFA currently has contractually agreed to waive 0.045% of its advisory fee.
PF 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 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.
PF 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.
PF 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.
PF 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 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. The Trustees noted that PLFA currently has contractually agreed to waive 0.025% of its advisory fee.
PF Mid-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 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.
PF Developing 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.
PF 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.
PF 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.
PF 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 second quintile of its Selected
F-16
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Expense Peer Group. The Trustees noted that, while the Fund’s advisory fee is in the fourth quintile of its Selected Expense Peer Group, the fee is only slightly higher (by 0.04%) than the median advisory fee rate of the funds in this group.
PF International Large-Cap 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 second quintile of its Selected Expense Peer Group.
PF International Small-Cap 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.
PF 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.
PF 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.
Pacific Funds Diversified Alternatives
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 the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2017 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, but that the Fund has not yet reached the first breakpoint.
PF 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.
PF Real Estate 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 second quintile of its Selected Expense Peer Group.
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 third 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
Pacific Funds High Income
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. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2017 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
F-17
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
higher asset levels, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
Pacific Funds Core 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 third 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
PF 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. The Trustees noted that PLFA had advised that Operating Expenses have increased due to a decrease in Fund assets, and that if Fund assets increase these expenses will decrease accordingly.
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 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 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
PF 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.
PF Short Duration 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 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.
Pacific Funds Short Duration Income
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 in line with 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 the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
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 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 third 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
F-18
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 greater 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 less 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 less 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 greater 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 in line with 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
During their review, the Trustees noted that all of the Funds, except for the Equity Long/Short Fund, 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.
F-19
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 certain 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 fee schedules. 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, 2017 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. 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.
F-20
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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-21
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-22
Pacific Funds
Mailing address:
P.O. Box 9768
Providence, RI 02940-9768
ADDRESS SERVICE REQUESTED
Annual Report as of March 31, 2017 for:
• Pacific Funds
| Form Nos. | 3012-17A |
PF Underlying Funds
Annual Report
As of March 31, 2017
PACIFIC FUNDS
ANNUAL REPORT
AS OF MARCH 31, 2017
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| B-1 | ||||
| Financial Statements: |
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| C-1 | ||||
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| C-9 | ||||
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| C-14 | ||||
| D-1 | ||||
| E-1 | ||||
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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 | ||
| Pacific Investment Management Company LLC (PIMCO) | PF Inflation Managed Fund | A-3 | ||
| Pacific Investment Management Company LLC (PIMCO)/ Western Asset Management Company (Western Asset) | PF Managed Bond Fund | A-4 | ||
| T. Rowe Price Associates, Inc. (T. Rowe Price) | PF Short Duration Bond Fund | A-6 | ||
| Ashmore Investment Management Limited (Ashmore) | PF Emerging Markets Debt Fund | A-7 | ||
| Invesco Advisers, Inc. (Invesco) | PF Comstock Fund | A-8 | ||
| Lord, Abbett & Co. LLC (Lord Abbett) | PF Developing Growth Fund (formerly named PF Small-Cap Growth 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-14 | ||
| Ivy Investment Management Company (Ivy) | PF Mid-Cap Growth Fund | A-15 | ||
| Boston Partners Global Investors, Inc. (Boston Partners) | PF Mid-Cap Value Fund | A-16 | ||
| AllianceBernstein L.P. (AllianceBernstein) | PF Small-Cap Value Fund | A-17 | ||
| OppenheimerFunds, Inc. (Oppenheimer) | PF Emerging Markets Fund | A-18 | ||
| MFS Investment Management (MFS) | PF International Large-Cap Fund | A-19 | ||
| QS Investors, LLC (QS Investors) | PF International Small-Cap Fund | A-20 | ||
| J.P. Morgan Investment Management Inc. (JPMorgan) | PF International Value Fund | A-21 | ||
| Morgan Stanley Investment Management Inc. (Morgan Stanley) | PF Real Estate Fund | A-22 | ||
| Macro Currency Group (MCG)/ UBS Asset Management (Americas) Inc. (UBS) |
PF Currency Strategies Fund | A-23 | ||
| AQR Capital Management, LLC (AQR) | PF Equity Long/Short Fund | A-24 | ||
| Eaton Vance Investment Managers (Eaton Vance) | PF Global Absolute Return Fund | A-25 |
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, 2017. 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, 2017)
Executive Summary
Global equities endured some swings throughout the reporting period as a wave of political uncertainty spread across the world. All declines throughout the year ended up being temporary, however, as global stocks finished the year with gains—although the magnitude of the recovery varied by region.
The first political shock came from the United Kingdom’s (U.K.) vote to leave the European Union (E.U.). While markets sharply fell immediately after the referendum, they quickly recovered as investors perceived this outcome would keep the Federal Reserve (Fed) from implementing additional rate hikes. This contributed to the U.S. 10-year Treasury yield falling below 1.4% for the first time on record. Additionally, crude oil prices continued to recover over the second quarter of the year, which further assuaged market concerns.
The persistence of easy monetary policy across the globe helped keep market volatility relatively low during the third quarter of 2016. However, volatility returned during the earlier part of the fourth quarter of 2016 as we headed into the U.S. presidential election. The S&P 500 Index posted nine consecutive days of losses for the first time in decades. On the night of election day, stock market futures began to plunge as results indicated Donald Trump would become the 45th president of the U.S. However, the mood of the market quickly reversed sentiment following the election as investors focused on the policies put forth by President Trump. The potential for corporate tax cuts, infrastructure spending and deregulation lifted U.S. equity markets to all-time highs by the end of 2016.
Fixed Income
Although the U.S. 10-year Treasury yield hit an all-time low during the reporting period, it jumped after President Trump won the election. His potential policies increased the likelihood of higher inflation, which sent long-term interest rates higher. The spike in interest rates hurt the broad bond market (as defined by the Bloomberg Barclays U.S. Aggregate Bond Index). Nonetheless, the Index returned 0.44% for the reporting period.
Although long-term Treasury bonds had a solid run early in 2016 as yields fell, they were a drag when interest rates jumped in the latter half of the reporting period. As a result, long-term Treasury bonds ended the reporting period behind short-term Treasury bills.
Riskier bond asset classes delivered solid returns over the reporting period. High yield bonds, especially those of lower credit quality, considerably outperformed investment-grade bonds. Credit spreads, which move in the opposite direction to prices, contracted significantly throughout the reporting period. This contraction coincided with steadily improving energy prices since energy producers represent a sizeable portion of the high yield market. Improving commodities also provided a tailwind for emerging market debt, given that much of it is issued by commodity exporters.
Domestic Equity
Domestic equities edged out solid gains despite experiencing some volatility throughout the reporting period, with the S&P 500 Index gaining 17.17%. Reversing the trend from the prior reporting period, value stocks finished this reporting period higher than their growth counterparts. Compared to growth, value styles tend to have a sizeable overweight to the financial and energy sectors. The financial sector surged in the
| See benchmark definitions on A-26 – A-28 |
A-2
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
latter half of the reporting period as it was one of the largest beneficiaries of the spike in interest rates. The energy sector of the S&P 500 Index was among the top three performing sectors over the reporting period as oil prices recovered.
International Equity
International equities ended the year with solid gains as the MSCI EAFE Index (Net) returned 11.67% over the reporting period. Japanese stocks, which represent nearly 25% of the MSCI EAFE Index (Net), surged in the fourth quarter of 2016 as the yen depreciated over that period. As an export-driven economy, Japanese exporters benefit from a weaker currency.
Emerging market equities also performed well as the MSCI Emerging Markets Index (Net) returned 17.22% over the reporting period. Improving commodity prices particularly helped oil exporters like Brazil and Russia, which considerably contributed to the performance of the emerging markets index.
Concluding Remarks
The outlook for markets in 2017 will likely hinge on several factors, much of which stems from the follow-through on political promises of fiscal stimulus, corporate tax cuts and deregulation. The pace of interest rate hikes and the Fed’s reaction to volatility should also continue to impact both equity and fixed-income markets. As the economy draws closer to running at full steam, market participants are likely to once again focus on the fundamentals of underlying corporations. Those fundamentals increasingly point to an equity market approaching late cycle with above average valuations and slowing profitability growth.
For equity markets, the rally after the election indicated strong collective belief in the promise of fiscal stimulus, corporate tax breaks and the relaxing of regulatory burdens. At this point, the actual plan for these policies from the new President may lead to lower share prices if they simply fail to meet expectations. Therefore, although policy presents a potential tailwind for U.S. equities, higher valuations and the possibility of missing expectations on these big promises are key risks.
Uncertainty also dominates the conversation over both international developed and emerging market equities. International developed equities are likely to continue the recovery that gained momentum over the reporting period, but face stiff potential headwinds as Britain begins to formally negotiate its exit from the E.U. (Brexit) and European nations hold elections amidst rising populist movements. Emerging market equities could continue to benefit from stabilizing commodity prices and strengthening manufacturing momentum, but they also face potential trade headwinds if protectionist governments turn to tariffs. The strengthening dollar may also pose a hurdle for emerging market equities if it creates strong capital outflows that destabilize emerging market currencies, particularly for China.
With the economy continuing to improve, the normalization of interest rates by the Fed poses challenges for fixed income positions with higher duration. Credit is less likely to be impacted from rising interest rates and may provide higher returns so long as defaults do not rise above expectations. Floating rate notes may also benefit both from credit exposure and a potentially rising rate environment. Lastly, global correlations have been falling and may present more opportunities for alternative managers that take long and short positions among different equity, fixed-income, and currency markets around the world.
PF Inflation Managed Fund (sub-advised by Pacific Investment Management Company LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Inflation Managed Fund’s Class P returned 2.18%, compared to a 1.48% return for its benchmark, the Bloomberg 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, 2017. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Effective October 31, 2016, Pacific Investment Management Company LLC (“PIMCO”) became the sole sub-adviser to the Fund. Between January 15, 2015 and October 31, 2016, Western Asset Management Company served as co-sub-adviser of the Fund with PIMCO. Prior to January 15, 2015, PIMCO served as the sole sub-adviser. |
| 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-26 – A-28 |
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 outperformed the benchmark. We at PIMCO implement the investment strategies of the Fund by investing in debt securities and derivative instruments, primarily including government guaranteed bonds that have returns indexed to inflation, such as U.S. Treasury Inflation-Protected Securities (TIPS). An overweight to U.S. breakeven inflation exposure (the difference between nominal and real yields) added to performance as breakeven rates rose over the reporting period. Short exposure to nominal interest rates in the U.S. also added to relative performance as yields rose following the U.S. presidential election. Real duration strategies in the U.K. contributed, though this was partially offset by breakeven inflation exposure via derivatives as well as a short to nominal U.K. government issued bonds amid a rally in U.K. yields. Currency strategies were broadly positive, particularly a long dollar position against the euro and British pound. Corporate credit exposure contributed to performance as spreads broadly tightened, although select holdings of buy protection credit default swaps on high yield credit indices offset some of these returns. Finally, securitized holdings, most notably asset-backed securities (ABS) and commercial mortgage-backed securities (CMBS), contributed amidst strong housing sector performance.
During the reporting period, the Fund sold credit protection through credit default swaps to obtain exposure to the credit risk of individual securities or to the broader investment grade, high yield, and emerging market sectors through the use of credit default swaps on credit indices. The Fund also purchased credit protection during the reporting period to reduce credit exposure to individual issuers, reduce broader credit risk, and to take advantage of the basis between the credit default swap and cash bond market. The Fund entered into interest rate swaps and forward rate agreements to manage nominal or real interest rate exposure in various global markets and as a substitute for cash bond exposure. The Fund entered into futures contracts to manage interest rate exposure, as a substitute for cash bond exposure, and 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. The Fund sold/wrote and purchased options and swaptions on futures, currencies, volatility, and swaps as a means of capitalizing on anticipated changes in market volatility, and to generate income. The Fund also held inflation caps and floors that were previously traded in the portfolio to hedge duration. Lastly, 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 and as a part of a tactical investment strategy.
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, 2017?
A. For the year ended March 31, 2017, the PF Managed Bond Fund’s Class P returned 3.42%, compared to a 0.44% return for its benchmark, the Bloomberg 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, 2017. 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 outperformed 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 for the PIMCO managed portion of the Fund by investing in debt securities and derivative instruments. An allocation to TIPS added to performance as inflation breakeven rates (the difference between nominal and real yields) rose over
| See benchmark definitions on A-26 – A-28 |
A-4
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
the reporting period. Corporate credit exposure, particularly to investment grade and high yield financials, contributed as spreads broadly tightened; however, an underweight to industrials partially offset relative returns. Duration exposure in the eurozone, mainly in Germany and Italy, was positive for performance amidst volatile rate movements over the reporting period. In contrast, defensive duration positioning in the U.K. weighed on performance as yields rallied following Brexit. An overweight position in taxable municipals also contributed as spreads tightened over the reporting period. Within currencies, the portfolio’s long-dollar position against a basket of Asian emerging market currencies detracted from performance as the currencies appreciated relative to the U.S. dollar. In addition, tactical positioning in the Japanese yen detracted from performance amidst volatility in the currency over the reporting period.
During the reporting period, the Fund sold credit protection through credit default swaps to obtain exposure to the credit risk of individual securities and to the broader investment grade, high yield, emerging market, and mortgage sectors through the use of credit default swaps on credit indices. The Fund entered into interest rate swaps to manage nominal or real interest rate exposure in various global markets and as a substitute for cash bond exposure. The Fund entered into futures contracts to manage interest rate exposure, as a substitute for cash bond exposure, and 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. The Fund sold/wrote options and swaptions on futures, currencies, volatility, and swaps and also purchased options and swaptions on futures and swaps as a means of capitalizing on anticipated changes in market volatility and to generate income. 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, and as a part of a tactical investment strategy. Lastly, the Fund also held inflation floors that were previously traded in the Fund to hedge duration, although exposures were not adjusted during the reporting period.
Western Asset
We at Western Asset utilize 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.
Most sectors delivered positive contributions to relative return during the reporting period. Non-agency mortgage exposure was the single largest contributor over the reporting period as the housing market continued to recover, which contributed to improved pricing in the sector. Overweight exposures to CMBS and ABS also contributed as their spreads tightened. High Yield exposure was also a meaningful contributor over the reporting period as the sector staged a strong recovery following a rough 2015. Spreads in the high yield sector tightened over the reporting period, which helped the sector generate 16.98% of excess returns. Emerging market bond exposure was a contributor to performance as the sector recovered and spreads tightened as concerns over global growth eased and commodity prices recovered. Exposure to emerging market currencies also contributed to performance. A long position in the Mexican peso detracted from performance as the currency weakened but long positions in other currencies, specifically the Brazilian real and the Russian ruble, more than made up as they both strengthened versus the U.S. dollar. Macro strategies were large contributors to performance. Yield curve positioning, with an emphasis on longer-dated yields, was a meaningful contributor to returns as the yield curve flattened. Tactical duration management was a modest contributor as rates fluctuated during the reporting period and ended up higher than expected. An allocation to TIPS was also a modest contributor as breakeven-inflation rates rose. Investment grade credit exposure also added to performance as the sector saw 4.60% of excess returns as spreads tightened. An underweight allocation to agency mortgages was a small detractor to performance as the sector generated mildly positive excess returns. The Fund’s short position in the Japanese yen detracted from performance somewhat as the yen strengthened versus the U.S. dollar but the short euro position contributed to performance as the euro weakened versus the U.S. dollar. Derivatives, primarily interest rate futures and options, were used to manage the portfolio’s duration and yield curve positioning as well as currency positions and contributed to returns.
| See benchmark definitions on A-26 – A-28 |
A-5
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
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, 2017?
A. For the year ended March 31, 2017, the PF Short Duration Bond Fund’s Class P returned 1.36%, compared to a 0.71% return for its benchmark, the Bloomberg 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, 2017. 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 outperformed the benchmark. We at T. Rowe Price manage 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. Furthermore, the Fund will invest in out-of-benchmark securitized sectors to pick up incremental yield in the strategy. In addition to making active sector allocation and security selection decisions, we also monitor the Fund’s duration as part of our management of the Fund. Duration is often used to measure a bond’s sensitivity to interest rates.
Sector allocation was the primary contributor to positive relative performance, while security selection within investment-grade corporate bonds modestly weighed on returns. Corporate bonds, both investment-grade and high yield bonds, contributed to relative results for the reporting period. Solid demand from investors looking for additional yield provided support for short-maturity corporate bonds. Furthermore, risk sentiment was supported by stronger economic data, increased commodities prices, and expectations for an uptick in growth. As a result, the Fund’s significant overweight to corporate bonds provided a meaningful contribution to relative results.
The Fund’s relative performance was aided by its out-of-benchmark exposure to securitized sectors: ABS, mortgage-backed securities (MBS), and CMBS. The securitized space continues to be supported by positive fundamentals on the heels of a strengthening U.S. economy, housing data, and positive consumer sentiment. Our corresponding underweight to U.S. Treasury securities helped relative returns, as U.S. Treasury yields increased during the reporting period.
Yield curve positioning weighed on results as our overweight allocation to the intermediate portion of the curve and modest out-of-benchmark exposure to longer maturities underperformed as the curve modestly steepened over the reporting period on increased inflation expectations. Select corporate bonds with ties to commodity prices continued to struggle amidst the lower-for-longer commodity price environment that dominated most of calendar 2016.
As of the end of the reporting period, the Fund held interest rate futures that generated a total gross exposure equivalent to approximately 18% of the Fund’s assets. The interest rate futures were held throughout the reporting period. The estimated return impact from employing futures was -6% for the reporting period.
| See benchmark definitions on A-26 – A-28 |
A-6
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
PF Emerging Markets Debt Fund (sub-advised by Ashmore Investment Management Limited)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Emerging Markets Debt Fund’s Class P returned 14.88%, compared to a 8.92% return for the broad-based J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index and 6.68% 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, 2017. 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 both the broad-based J.P. Morgan EMBI Global Diversified Index and the style-specific Emerging Markets Debt Composite Benchmark. 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) and government agencies and corporate issuers, and which may be denominated in any currency, including the local currency of the issuer. We at Ashmore tactically manage exposure to emerging market sovereign debt, local currency sovereign debt and corporate debt in seeking to maximize total return consistent with prudent investment management.
Over the reporting period, the Fund’s allocation to external (government issued) debt increased, starting at 56% and ending at around 57% of the Fund’s net assets. During the reporting period, the Fund’s exposure to corporate debt decreased, starting the period at 21% and ending at around 7.6% of the Fund’s net assets. Finally, the Fund’s exposure to local currency debt increased, starting the period at 54% and ending at around 57% 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.
All three themes — sovereign external debt, local currency sovereign debt and corporate debt — contributed positively to total and relative return. Sovereign external debt was responsible for approximately half of the total excess return, mainly through country and security selection; Local sovereign debt contributed close to 40 percent of total excess return, two-thirds from interest rate management and one-third from active trading of the foreign exchange positions. Corporate debt contributed the remainder of excess return, as the Fund’s off benchmark positions in corporate bonds outperformed the assets in the index.
The largest country contributors were Venezuela, Brazil, Turkey, Ecuador and Russia. Venezuela was the best performing sovereign dollar debt market over the last year, benefiting from a rebound in oil prices and the reversal of fears of imminent default that had seen the bonds trade between 30 and 45 cents on the dollar about one year ago. Our overweight position, based on the view that Venezuela could remain current on its short-dated bonds and still exhibit a very high willingness to pay, generated a sizeable excess return for the Fund. The position has been traded actively, notably around the time of the debt swap tabled last September, which allowed us to exchange short-dated bonds into longer ones benefitting from an attractive exchange ratio and valuable collateral.
Brazil was a great turnaround story for local currency bonds during the reporting period following the impeachment and removal of President Dilma Rousseff and the implementation of an ambitious economic stabilization package by the incoming administration of President Michel Temer. The compression of the credit risk premium, combined with growing evidence of progress on the inflation front led to a massive drop in local currency bond yields, particularly at the long end where we were originally positioned, and then in the front end of the curve. The Fund also benefited from our significant exposure in dollar corporate debt, notably in the oil and gas sector, which recovered strongly throughout the year.
Ecuador, another overweight position in the sovereign dollar part of the Fund, was also a strong performer during the reporting period as the government proved quite adept at managing the external shock from lower oil prices through prudent fiscal spending and the recourse to
| See benchmark definitions on A-26 – A-28 |
A-7
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
international financing, including successful Eurobond issues. The bonds ended the reporting period on a weaker note ahead of the presidential elections that saw the incumbent party’s candidate Lenin Morreno win the poll’s run-off round.
Turkey performed poorly over the reporting period and our underweight position paid off for the Fund. The crackdown against opposition figures and civil liberties in the aftermath of last year’s coup attempt poses a real risk of deterioration in the country’s attractiveness for capital and talent, and thus for its potential growth rate going forward. We have been underweight in local currency in particular, so the Fund benefitted from the drop in the Turkish lira exchange rate from 2.80 to 3.20 per dollar. Finally, in Russia, the Fund benefitted from positions in the quasi-sovereign and corporate debt sectors, which outperformed the sovereign debt index.
The largest detractors to relative performance over the reporting period were Colombia and Indonesia. Both countries were positive contributors to total return; security selection in Colombia and Indonesia detracted from relative return. Underweights (zero positions) to Iraq, Ghana, Sri Lanka, Nigeria, Mongolia, Cameroon and Kenya were detractors from total and relative return.
PF Comstock Fund (sub-advised by Invesco Advisers, Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Comstock Fund’s Class P returned 21.92%, compared to a 19.22% 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, 2017. 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 outperformed the benchmark. The sub-adviser focuses primarily on the security’s potential for capital growth and income, emphasizing a value style of investing, seeking well-established, undervalued companies, which may be medium or large-sized companies. 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 pricing anomalies in financial markets 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.
For the reporting period, most U.S. equity market indices delivered double-digit gains, with value stocks — as a group — outperforming growth stocks across market capitalization. All sectors within the benchmark had positive performance with the financials, materials, information technology and industrials sectors posting returns of over 20% for the reporting period.
On the positive side of sector performance, stock selection in and an overweight exposure to the financials sector contributed to the Fund’s relative performance. Within banks, Citigroup, Bank of America and JPMorgan Chase were large contributors on a relative and absolute basis. Within diversified financials, Morgan Stanley was a top performer for the reporting period, outperforming the sector and benchmark. Financial stocks rallied during the second half of 2016, notably post-election, as large banks rallied on expectations of a more lenient regulatory environment from the new presidential administration.
Strong stock selection in and an overweight exposure to the information technology sector also boosted the Fund’s relative performance for the reporting period. Within software, Microsoft and Symantec were large contributors. Within hardware storage and peripherals, NetApp was a large contributor. Symantec rallied after it announced a deal to buy Blue Coat, a technology and cloud access security firm. In the second half of 2016, NetApp reported smaller than expected declines in its mature products area and growth in the company’s strategic solutions area. Investors also welcomed strong expense management.
| See benchmark definitions on A-26 – A-28 |
A-8
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Having no exposure to the real estate sector and a material underweight exposure to the utilities sector were large contributors to the Fund’s relative performance, as these sectors were the bottom performing sectors in the benchmark for the reporting period. The Fund has remained materially underweight in these areas of the market because management believes these sectors are generally overvalued, as investors have driven up stock prices in a quest for yield in a low-interest rate environment.
On the negative side, a material overweight allocation to consumer discretionary stocks was a detractor for the reporting period. Some larger detractors were within retail, like Michael Kors and Target and also within media, with Viacom. Michael Kors stock hit a 52-week low after reporting a larger than expected drop in sales in the first quarter, 2017. We eliminated this holding towards the end of the reporting period due to waning prospects for recovery. We also sold Viacom, a long-term holding, later in the reporting period after we came to the conclusion the company’s future risk-reward prospects had deteriorated.
Another relative detractor was stock selection and having an overweight to energy. Within exploration and production, Hess, and within oil and gas services, Weatherford International, were the largest detractors. Oil prices declined towards the end of the reporting period amid an increase in inventories and concerns that the Organization of the Petroleum Exporting Countries (OPEC) may decline to extend production cuts past the original agreement.
We used currency forward contracts during the reporting period for the purpose of hedging currency exposure of non-U.S.-based companies held in the Fund. Derivatives were used solely for the purpose of hedging and not for speculative purposes or leverage. The use of currency forward contracts had a negative impact on the Fund’s performance relative to the benchmark for the reporting period.
The Fund’s financials sector weighting is overweight to the Fund’s benchmark, as we have a favorable view of large banks within financials. We also maintain a constructive view on the long–term prospects for our energy holdings as we believe supply and demand for oil should balance over time. The Fund’s exposure in each sector is more volatile than the benchmark. Therefore, the Fund should be more sensitive to broad moves within these sectors for the foreseeable future.
PF Developing Growth Fund (formerly named PF Small-Cap Growth Fund sub-advised by Lord, Abbett & Co. LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Developing Growth Fund’s Class P returned 17.35%, compared to a 23.03% 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, 2017. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Effective October 31, 2016, the Fund changed its name from PF Small-Cap Growth Fund. 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 its benchmark. The Fund seeks to own small-capitalization growth companies that we at Lord Abbett believe have above average, long-term growth potential and that are strongly positioned in the “developing growth” phase, the period of swift development after a company’s start-up phase when growth occurs at a rate generally not equaled by established companies in their mature years.
Security selection in the health care sector was the largest contributor to performance relative to the portfolio’s benchmark during the reporting period. Within this sector, the Fund’s holding of Exelixis, Inc., a biopharmaceutical company focused on small molecule therapies for the treatment of cancer, contributed the most. Exelixis had strong U.S. product sales during the fourth quarter of 2016 and management continued to increase investment in research and development, which is expected to strengthen their industry position and product pipeline. Another contributor in the health care sector was Zeltiq Aesthetics, Inc. The medical technology company’s shares rose as improvements in its utilization and international growth helped it beat third quarter 2016 revenue and earnings expectations.
| See benchmark definitions on A-26 – A-28 |
A-9
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
Security selection in the consumer discretionary sector also contributed to relative performance during the reporting period. Within this sector, the Fund’s position in Burlington Stores, Inc., a holding company focused on fashionable branded products, contributed most. Burlington has continued to represent a rarity within the retail space, experiencing continued growth in store traffic and expanding its square footage during the reporting period.
Security selection in the information technology sector was the largest detractor from performance relative to the benchmark during the reporting period. Within this sector, the Fund’s underweight of Advanced Micro Devices, Inc., a global semiconductor company, detracted most from performance. Advanced Micro Devices shares soared as it benefited from favorable trends in the semiconductor industry. The Fund’s positions in Rubicon Project, Inc., an advertising automation software company, also detracted. Rubicon Project’s growth declined as it experienced attrition in its market share from smaller and larger competitors.
Security selection and overweight to the industrials sector also detracted from the Fund’s performance. Within this sector, the Fund’s holdings of Dycom Industries, Inc., a North American provider of specialty contracting services, detracted most. Dycom experienced a pause in fiber deployment from an unnamed customer, which had a significant effect on its fiscal fourth quarter revenue. Another detractor within the sector was Axon Enterprise, Inc. (formerly Taser International Inc.), a developer of electrical weapons. Axon Enterprise’s shares fell as competition in its industry intensified.
Among the largest individual stock detractors was the Fund’s position in Pacific Bioscience of California, Inc., a manufacturer of sequencing systems for genetic analysis. Shares of Pacific Bioscience fell as Roche terminated a joint distribution agreement to sell its new sequencing platform.
PF Growth Fund (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Growth Fund’s Class P returned 14.25%, compared to a 15.76% 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, 2017. 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 have an actively managed, research-driven growth fund. We, the MFS investment management team, build the Fund 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.
Weak stock selection and, to a lesser extent, an underweight allocation to the industrial sector detracted from the Fund’s performance relative to its benchmark. Within the industrial sector, not holding a position in strong-performing aerospace company Boeing weighed negatively on relative returns.
Security selection in the consumer, non-cyclical sector also weakened relative results led by the Fund’s overweight positions in specialty pharmaceutical company Allergan and beauty products maker Estee Lauder.
The Fund’s overweight position in the communications sector further detracted from relative performance. Underweighting computer and personal electronics maker Apple hurt relative performance as the stock posted strong results over the reporting period.
| See benchmark definitions on A-26 – A-28 |
A-10
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
In other sectors, overweighting shares of discount variety store operator Dollar Tree, automotive replacement parts distributor AutoZone, farm and ranch product retailer Tractor Supply and information technology company Cognizant Technology weakened relative performance. Underweighting shares of software giant Microsoft further detracted from relative performance.
The Fund’s cash and/or cash equivalents position during the reporting period detracted from relative performance. Under normal market conditions, the Fund strives to be fully invested and generally holds cash to buy new holdings and to provide liquidity. In a period when markets rose, as measured by the Fund’s benchmark, holding cash hurt the Fund’s performance in relation to its benchmark, which has no cash position.
Stock selection within the financial sector strengthened relative performance. However, there were no stocks within this sector that were among the Fund’s top relative contributors over the reporting period.
Security selection and, to a lesser extent, an overweight allocation to the technology sector further contributed to relative performance. The Fund’s overweight holdings of computer graphics processors maker NVIDIA, software company Adobe Systems, broadband communications and networking services company Broadcom and online professional network operator LinkedIn bolstered relative performance.
Stocks in other sectors that supported relative results included the Fund’s underweight position in biotech firm Gilead Sciences and drugstore retailer CVS. Avoiding poor-performing beverage manufacturer Coca-Cola also bolstered relative performance. Additionally, overweighting internet retailer Amazon.com, financial services provider Charles Schwab and internet TV show and movie subscription services provider Netflix further strengthened relative results.
PF Large-Cap Growth Fund (sub-advised by BlackRock Investment Management, LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Large-Cap Growth Fund’s Class P returned 16.74%, compared to a 15.76% 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, 2017. 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 outperformed the benchmark. We, the BlackRock portfolio management team, implement the Fund’s investment strategy by investing in large-capitalization companies that we believe possess dominant market positions or franchises, a major technological edge, or a unique competitive advantage.
In sector terms, consumer discretionary was the largest contributor in the reporting period due to strength among internet & direct marketing retail holdings. Stock selection and an underweight in the specialty retail segment also added value in the sector. Additional contributors came from stock selection and positioning within the energy (overweight) and real estate (underweight) sectors. Conversely, information technology and health care were the main detractors from relative performance for the reporting period. An underweight to the hardware segment proved most disadvantageous in information technology, while biotechnology and life sciences tools & services holdings were a drag in health care.
At the stock level, Amazon.com Inc. and Netflix Inc. in the consumer discretionary sector were the top individual contributors to relative performance. Positions in Tencent Holdings Ltd. and Activision Blizzard Inc. in the information technology sector also benefited relative results, as did zero exposure (underweight to the benchmark) to Gilead Sciences Inc. in the health care sector.
The largest detractors during the reporting period were an underweight to Apple Inc. in the information technology sector and the position in Anheuser-Busch InBev SA/NV in the consumer staples sector. Positions in Alexion Pharmaceuticals Inc. and Illumina Inc. in the health care sector also detracted from performance, as did Acuity Brands Inc. in the industrials sector.
| See benchmark definitions on A-26 – A-28 |
A-11
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
We maintain our positive outlook for U.S. equities. Though recent economic data in the U.S. has softened, we believe corporate profits will continue to show improvement, providing support to equity prices. The weakening dollar and potential for stimulative initiatives such as lowering corporate tax rates and rolling back regulation may prove to be additional tailwinds.
Volatility will likely remain a constant feature given uncertainty around the likelihood and timing of policy changes by the new administration and risks around macro events such as the Brexit negotiations and elections in the E.U. As always, we will look to take advantage of any incremental volatility to upgrade our portfolio, add to favorite holdings on perceived weakness in those issues and/or acquire new names where valuation cases improve.
From a positioning standpoint, at the end of the reporting period, the Fund’s largest sector overweight relative to the benchmark was information technology followed by financials. Consumer staples and industrials were the largest sector underweights.
PF Large-Cap Value Fund (sub-advised by ClearBridge Investments, LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Large-Cap Value Fund’s Class P returned 15.88%, compared to a 19.22% 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, 2017. 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 ClearBridge large-capitalization value team, utilize an interactive, research-driven approach to identify large-capitalization 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 an 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.
Relative to the benchmark, overall sector allocation contributed to performance for the reporting period. The Fund’s stock selection in the consumer discretionary, energy and real estate sectors contributed the most to relative performance for the reporting period. In terms of allocation, the Fund’s underweight to the utilities, telecommunication services and real estate sectors and overweight to the materials sector contributed to relative performance for the reporting period. On an individual stock basis, the leading contributors to relative performance included positions in Time Warner Inc., DISH Network Corp and Charter Communications in the consumer discretionary sector, Halliburton Company in the energy sector, and Illinois Tool Works Inc. in the industrials sector.
Relative to the benchmark, overall stock selection detracted from performance for the reporting period. The Fund’s stock selection in the consumer staples, information technology, financials, industrials, health care and materials sectors also detracted from relative performance. In terms of sector allocation, the Fund’s overweight to the consumer discretionary sector and health care sector as well as the Fund’s underweight to the financials and energy sectors detracted from relative performance. On an individual stock basis, the leading detractors from relative Fund performance for the reporting period included our holdings in CVS Health Corporation in the consumer staples sector, Bank of America Corporation in the financials sector, Teva Pharmaceutical Industries in the health care sector, and Target Corp and SES SA in the consumer discretionary sector.
During the reporting period, we established new positions in AmerisourceBergen Corporation in the health care sector and Bank of America Corporation in the financials sector. Additionally, existing Fund holding Time Warner Cable Inc. was acquired by Charter Communications, Inc. (Charter) in a cash and stock transaction, in which each Time Warner Cable share was exchanged for cash and roughly half a share of Charter stock. We maintained our new position in Charter. Furthermore, we exited our positions in EMC Corporation in the information technology sector and Target in the consumer discretionary sector during the reporting period.
| See benchmark definitions on A-26 – A-28 |
A-12
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
PF Main Street Core Fund (sub-advised by OppenheimerFunds, Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Main Street Core Fund’s Class P returned 17.29%, compared to a 17.17% 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, 2017. 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, strive to keep the Fund in an all-weather orientation. Whether rates, commodity prices, currencies or even whole economies go up or down, our goal is to have a Fund that can outperform no matter the environment. If our strategy includes not making oversized macro factor bets, a reasonable question is, “What types of risks are you willing to take?” First, we believe identifying companies with sustainable competitive advantages (or economic moats, if you prefer), is squarely in the middle of our circle of competence. Second, we believe we have the skills to identify company management teams that are likely to successfully execute on their plans. Lastly, correctly valuing stocks and seeing what expectations the market is pricing in is also within our skillset. It is not by accident that we weight the Fund more heavily towards companies that have structural competitive advantages and/or management teams that are executing (e.g., gaining market share, expanding profit margins), with at least reasonable stock valuations. Companies with these qualities generally have more stable earnings.
The Fund’s outperformance stemmed largely from stock selection in the consumer staples, utilities and consumer discretionary sectors, and an overweight position in the financials sector. The most significant underperforming sectors this reporting period were industrials and information technology, where stock selection was the primary detractor. An underweight position in information technology also detracted from performance.
Top contributors to performance this reporting period included Apple (information technology), Citigroup (financials) and Comcast (consumer discretionary). With Apple’s September 2016 launch of refreshed iPhones, we saw aggressive telecom-driven subsidies drive stronger than expected initial demand for the new phones. While we don’t expect this product cycle to be a blockbuster, we do think tight operational management and an aging installed base of phones sets up for a stronger 2017. During the reporting period, financials produced the strongest absolute returns for both the benchmark and the Fund. The sector benefited from the surprising Trump election. An immediate rise in interest rates, speculation over a corporate tax cut and regulatory relief all contributed to these stocks outperforming. Citigroup, in particular, has been heavily scrutinized by regulators since the financial crisis of 2008 and would see above average benefit if there was less regulatory burden. Comcast reported strong earnings in October 2016, where the summer Olympics helped drive growth at NBC Universal.
The most significant detractors from performance included Valeant Pharmaceuticals International (health care), Nielsen Holdings (industrials) and General Electric (industrials). Valeant Pharmaceuticals reported a third-quarter miss and lowered its 2016 earnings-per-share (EPS) guidance. We continue to believe Valeant’s management will divest non-core assets and utilize its free cash flow to pay down debt. Nielsen reduced its 2016 outlook as the Developed Market business faces challenges, particularly in consulting services. Management stated that their consumer packaged goods customers are cutting expenses and these services are unlikely to be renewed. It is worth noting that over two-thirds of the company’s profitability comes from its Watch segment, which remains a de facto monopoly; and while growth rates and restructuring will impact 2017 results, we believe the core business of providing data to consumer package goods and media companies will remain robust and normalized growth will return in 2018. Holdings in General Electric detracted from performance after the company reported second-quarter financial results that were weaker than expected on key metrics, including organic growth, equipment orders, and cash flow. It also experienced losses over the first quarter of 2017 after reporting fourth quarter revenue that fell short of expectations.
| See benchmark definitions on A-26 – A-28 |
A-13
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
As of March 31, 2017, the Fund had overweight positions in the financials, industrials, utilities and materials sectors. The Fund had underweight positions in the information technology, real estate, consumer staples, consumer discretionary, telecommunication services, energy and health care sectors.
PF Mid-Cap Equity Fund (sub-advised by Scout Investments, Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Mid-Cap Equity Fund’s Class P returned 24.02%, compared to a 17.03% 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, 2017. 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 manage 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 capitalizations. We seek to invest in the securities of companies that are expected to benefit from macroeconomic or company-specific factors, and that are attractively priced relative to their fundamentals. 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 had a positive effect on relative performance in nine out of ten economic sectors and was particularly strong in the information technology, consumer discretionary, real estate, and financials sectors. These gains more than offset underperformance in the consumer staples sector, and individual detractors in other sectors. The average cash balance in the Fund of approximately 0.80% was a small drag on performance due to the timing of cash balances.
Technology added the most relative value to the Fund’s performance during the reporting period, driven almost entirely by stock selection, with an additional boost from sector allocation. Among technology stocks, Computer Sciences Corp. (CSC) was the top contributor to relative performance for the second year in a row, as the company announced a merger with Hewlett-Packard Enterprise Services, which is expected to provide substantial earnings accretion to the CSC shares after the deal closes. NVIDIA Corp. was also a strong contributor within the sector, as the company realized tremendous success from the adoption of its latest generation of graphics processors by computer gamers and enterprises in data centers and is further enabling major advancements in artificial intelligence and self-driving vehicles. Among consumer discretionary stocks, Thor Industries, Inc. (Thor) was a top contributor. Thor reported strong earnings over much of the reporting period and its acquisition of Jayco, which further consolidates the recreational vehicle industry, solidified Thor’s position as a market leader. In the financials sector, Citizens Financial Group participated in a strong rally by banks during the latter half of 2016 as interest rates rose post the November election.
In contrast, some of the Fund’s main detractors were in the consumer staples, consumer discretionary, materials, and industrials sectors. Among consumer staples, Kroger was the primary detractor as this leading grocery chain suffered from food deflation and fierce competition from Wal-Mart and Amazon. In consumer discretionary, Skechers USA, Inc. performed poorly due to difficult competitive conditions in the shoe industry, partially caused by the bankruptcy of a large U.S. retail customer, Sports Authority Inc. In the materials sector, Newmont Mining Corp. suffered as investor sentiment soured on precious metals amidst their confidence that the Fed would raise interest rates. Finally, within industrials, Spirit Airlines, Inc.’s profitability growth slowed as larger competitors put pressure on fares in key markets.
| See benchmark definitions on A-26 – A-28 |
A-14
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
The Fund maintains an overweight position in information technology, partially due to a pickup in U.S. and global economic indicators, but also due to a plethora of attractive company-specific fundamentals. 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.
In contrast, the Fund is underweight in Real Estate Investment Trusts (REITs), utilities, and consumer staples as these sectors are expected to be challenged during a period of generally rising interest rates and stronger economic growth. In addition, many companies within these sectors are currently facing aggressive competition. Another underweighted sector is energy, where our bearish outlook on the natural gas market due to the rising U.S. oil rig count and sector valuations have prompted us to reduce our exposure. Winter weather was much warmer than expected, which led to reduced power generation as well as heating demand and kept natural gas inventory storage levels high. Moreover, shale oil wells produce natural gas, which we expect to keep the natural gas market abundantly supplied. The Fund maintains near benchmark level weights in the materials sector as we are cautiously participating in the global recovery of the sector due to better growth in China as well as growth in the chemical and aggregates industries in the U.S. We believe these industries are poised to benefit from large supplies of ethane-rich natural gas which serves as a chemical feedstock, introduces the potential for government stimulus to build more roads and drives expectations for further improvement in the construction markets. Within consumer discretionary, certain retailers and restaurant stocks may face profit margin pressures from rising wages, particularly as competition with Amazon persists. 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. Improved employment prospects and rising wages are a positive offset to some of these headwinds. Considering all of these factors, the Fund is modestly underweight the consumer discretionary sector. The Fund continues to invest in health care to capture growth as the world’s population ages, although the pharmaceutical and biotech industries have come under political fire from certain elected officials, so industry exposure is limited to companies with strong pipelines of potential and unique technology. A similar approach is being taken with medical device stocks, where our favorite name remains ABIOMED Inc., which owns unique and life-saving emergency non-invasive heart pump technology. Despite good long-term fundamentals in health care, high sector valuations and political risks have resulted in an underweight position in the sector.
PF Mid-Cap Growth Fund (sub-advised by Ivy Investment Management Company)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Mid-Cap Growth Fund’s Class P returned 13.67%, compared to a 14.07% 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, 2017. 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. In selecting investments, we at Ivy manage the Fund’s strategy by primarily emphasizing a bottom-up approach with a focus on companies with medium market capitalizations that we believe have the potential for strong growth and increasing profitability, attractive valuations and sound capital structures. Our investment process also includes a review of the macroeconomic environment.
Relative underperformance during the reporting period was primarily driven by individual stock selection. The primary factors in the Fund’s relative underperformance were stock selection issues in consumer discretionary and consumer staples. Within consumer discretionary, the Fund’s exposure to the 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
| See benchmark definitions on A-26 – A-28 |
A-15
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
higher labor expense pressured the profitability of many companies in the Fund. Consumer staples stock selection was weaker than the index and contributed to underperformance. Stock selection within industrials was not as strong as the index which also contributed to the Fund’s underperformance. A significant reduction in the assets of the Fund occurred in the second quarter of 2016. During the asset reduction, the Fund trailed its benchmark due to sales occurring in a rising market. Despite the rising market, the value received from sales of portfolio securities, including commissions and any related trading expenses, were less than the closing benchmark values.
Strong results in a number of key sectors such as technology, financials, energy and health care were positive contributors. These sectors had proactively positioned holdings that resulted in outperformance based on a combination of stock picking and sector allocation. The latter factor was significant, post the election, as expectations about Trump administration policies played out to the positive in groups like financials and technology. The information technology sector exposure made the greatest positive relative contribution to the Fund’s return for the reporting period. The Fund was overweight this outperforming sector and there were strong returns across most of the Fund’s well-diversified group of names. The Fund was overweight the outperforming financials sector, and its names performed well, particularly CME Group Inc. The Fund also benefitted from its bank exposure, which was greater than that of the index. Energy exposure made a strong positive contribution to the Fund’s performance. We were overweight this outperforming sector, and our position in Continental Resources Inc. was especially significant in helping our stocks outperform the group in the index. The health care exposure contributed positively to relative performance, as strong outperformance by many of our largest holdings greatly outweighed weakness in a number of our smaller positions.
The top three securities contributing to the Fund’s absolute performance for the reporting period were Microchip Technology Inc. (a semiconductor company located in the U.S.), Alkermes Plc (a biopharmaceutical based in Ireland) and Electronic Arts Inc. (a video game company located in the U.S.).
The top three securities detracting from the Fund’s absolute performance for the reporting period were, Tractor Supply Co. (a rural lifestyle retail store located in the U.S.), Diplomat Pharmacy (an independent specialty pharmacy company located in the U.S.) and Lululemon Athletica (an athletic apparel retailer located in Canada).
PF Mid-Cap Value Fund (sub-advised by Global Investors, Inc. (Boston Partners))
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Mid-Cap Value Fund’s Class P returned 20.36%, compared to a 19.82% 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, 2017. 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. 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-earnings ratios and price-to-book value ratios. These value characteristics are examined in the context of the issuer’s fundamentals and business momentum, such as return on equity, 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 an overweight position in the finance sector of approximately 6% compared to its benchmark which was a benefit to the Fund. Holdings in financial services companies such as brokerage firms Raymond James and TD Ameritrade, student loan companies SLM and Navient, and credit card issuer Discover Financial Services performed particularly well as credit quality and financial markets remained strong. Regional banks Fifth Third Bancorp, East West Bancorp, Huntington Bancshares and Suntrust
| See benchmark definitions on A-26 – A-28 |
A-16
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
also performed well as the prospects for higher interest rates have improved the outlook for net interest margin expansion over the next two years. Stock selection was also strong in the communications, consumer non-durables, and consumer services sectors. Internet-related businesses performed very well including NetEase, IAC Interactive, and eBay as continued online spending and advertising growth contributed to positive earnings surprises. Video game manufacturer Activision Blizzard also benefited from this trend as consumers are purchasing more online games with higher margins.
Stock selection in the basic industries and technology sectors detracted from returns during the reporting period. Our preference for more predictable paper and packaging companies and specialty chemical companies hurt the Fund’s relative return as lower quality, highly cyclical industries such as metals and mining companies and commodity chemical companies soared as investors became optimistic about a recovery in global economic growth. In the technology sector, a few of our holdings in more steady earnings companies such as electronics distributor Avnet, electronic payment processor Alliance Data Systems, and services company Amdocs underperformed as their predictable growth lagged the more cyclical growth prospects of semiconductor companies such as NVIDIA, Micron Technology, and Applied Materials, which we did not own.
As we entered the reporting period, sectors with low growth and high dividend yields such as utilities and REITs appeared very expensive by historical standards as investors took on a defensive posture, worrying about global growth and the potential for deflation. In the second half of calendar year 2016, investors became more optimistic about global growth prospects and these defensive sectors underperformed. Our underweight allocation to these sectors and our overweight to the finance sector contributed to relative returns over the reporting period. While our underweight position to the strong performing transportation sector detracted from relative returns, overall our sector allocation contributed significantly to relative returns during the reporting period.
PF Small-Cap Value Fund (sub-advised by AllianceBernstein L.P.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Small-Cap Value Fund’s Class P returned 23.99%, compared to a 29.37% 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, 2017. 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 underperformed the benchmark. We at AllianceBernstein manage to 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 are 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 rose in absolute terms but underperformed its benchmark. Overall security selection detracted from performance mainly due to the Fund’s energy, health care and materials holdings. Stock selection in the consumer-discretionary sectors also detracted from relative performance. Stock selection in the technology and financials sectors contributed to the Fund’s performance during the reporting period.
Overall sector allocation had a negative effect on performance for the reporting period. An overweight position in consumer discretionary and underweight positions in financials and materials detracted from performance, counteracting the positive effects of an overweight in technology and underweights in real estate and utilities.
| See benchmark definitions on A-26 – A-28 |
A-17
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
The leading detractor to the Fund’s performance during the reporting period was Gulfport Energy, a natural gas-focused exploration and production company. The stock sold off sharply as investors perceived that the company had overpaid for a large acreage acquisition with a substantially dilutive capital raise.
Also detracting from performance for the reporting period was Molina Healthcare. Shares of the Medicaid health care provider fell along with general weakness in the sector as well as with concerns that prospective changes in the Medicaid program could adversely impact the company’s profitability. In addition, the stock fell in February 2017 after the company missed profitability expectations driven by worse-than-expected results from its health care exchange business.
Online floral service FTD Companies detracted from performance for the reporting period. In addition to missing fourth quarter 2016 sales and earnings expectations, investors were discouraged by the company’s need for greater marketing spend and capital expenditures in order to reignite sales growth.
Leading contributors for the reporting period included a number of regional bank holdings that investors expect will benefit from the recent increase in U.S. interest rates and a friendlier bank regulatory environment under the Trump administration. Texas Capital Bancshares and Independent Bank Group stood out among the gainers. Another leading contributor to performance for the reporting period was Finisar, a manufacturer of optical communications components. The company delivered stronger than expected sales and earnings growth driven by robust end-market demand for its high-end telecom and data communication products.
PF Emerging Markets Fund (sub-advised by OppenheimerFunds, Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Emerging Markets Fund’s Class P returned 14.83%, compared to a 17.22% 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, 2017. 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 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 potential. 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.
On a sector basis, the Fund’s underperformance in relation to its benchmark stemmed largely from stock selection in information technology, consumer staples and financials. An overweight in consumer staples also detracted from performance. An overweight position in health care and an underweight position in materials also detracted from performance. Stock selection in the consumer discretionary and industrials sectors contributed positive to performance. An underweight in telecommunication services also contributed positively to performance.
With respect to the Fund’s country exposure, stock selection in Brazil, India and Mexico detracted from performance. Stock selection in China and overweight positions in Russia and France contributed positively to performance versus the benchmark.
During the reporting period, the top individual contributors to performance included Tencent Holdings Ltd. (information technology) (China), Housing Development Finance Corp. Ltd. (“HDFC”) (financials) (India) and Alibaba Group Holding Ltd. (information technology) (China). Tencent Holdings is one of China’s leading Internet companies. The stock’s performance has been driven in part by better than expected
| See benchmark definitions on A-26 – A-28 |
A-18
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
results. The online gaming and social networking company delivered strong growth. The company continued to show improvements in monetization through online advertising, which has been an increasing focus. HDFC is the largest mortgage lender in India. The Indian housing market is deeply underpenetrated as is the use of mortgages. Expansion in both areas provides HDFC with strong structural growth opportunities. In January 2017, HDFC reported better than expected results for the third quarter of 2016 and shares reacted positively to this news. Alibaba, the Chinese e-commerce company, exceeded analyst expectations when it reported a strong rise in revenue in the third quarter of 2016. The company also raised its 2017 full year guidance for revenue growth. These results contributed to the company’s strong start in 2017.
The most significant detractors from performance for the reporting period included Genting Bhd. (consumer discretionary) (Malaysia), Infosys Ltd. (information technology) (India) and JD.com, Inc. (consumer discretionary) (China). Genting is a leisure and gaming company publicly listed in Malaysia. Over the first half of the reporting period, the company’s Singaporean business was hurt by a drop-off in VIP gaming. However, the company performed better towards the end of the year on the back of solid results and a special dividend payout. Additionally, implementation of the Genting Integrated Tourism Plan, which involves several initiatives to drive tourism in Malaysia, is being rolled out. The Genting Integrated Tourism Plan is expected to provide a significant uplift to Genting’s revenues and profits over the next few years. Infosys is a leading company in the information technology services sector, headquartered in India. The past year has seen a meaningful slowdown in the information technology services sector. JD.com is the second largest e-commerce operator in China. The stock has been weak during the reporting period, parallel with concerns about slowing growth and its ability to compete effectively against Alibaba, which was part of our original thesis. We have come to believe that JD.com will not be able to significantly disrupt Alibaba’s dominance. The formidable competitive advantages that Alibaba enjoys in its marketplace — logistics, payments, big data — will make it extremely challenging for JD.com to find an economic model of reasonable profitability. Accordingly, we sold the position.
Our approach to investing and the positioning of the portfolio remain unchanged. We have exposure to sectors and industries where we see dynamic change and real value being extracted including e-commerce, cloud computing, internet services, health care, travel and education.
PF International Large-Cap Fund (sub-advised by MFS Investment Management)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF International Large-Cap Fund’s Class P returned 11.17%, compared to a 11.67% 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, 2017. 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 at MFS 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.
A combination of stock selection and an underweight allocation to the basic materials sector detracted from performance relative to the MSCI EAFE Index (Net). However, there were no individual stocks within this sector that were among the Fund’s top relative detractors during the reporting period.
The Fund’s underweight allocation to the financial sector also weighed on relative returns led by the timing of ownership in shares of financial services firm HSBC (United Kingdom).
Other top relative detractors during the reporting period included overweight positions in advertising and marketing firm WPP Group (United Kingdom), tobacco company Japan Tobacco (Japan), retailer Hennes & Mauritz (Sweden), pharmaceutical company Bayer (Germany),
| See benchmark definitions on A-26 – A-28 |
A-19
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
household products manufacturer Reckitt Benckiser (United Kingdom), international food company Groupe Danone (France), satellite television broadcaster SKY (United Kingdom), medical products and equipment manufacturer Terumo (Japan) and supply chain logistics company Li & Fung (Hong Kong).
A combination of strong stock selection and, to a lesser extent, an underweight allocation to the communications sector bolstered relative performance. Within this sector, the Fund’s avoidance of global telecommunications services company BT Group (United Kingdom) helped relative results.
Strong stock selection in the industrial sector also supported relative returns. However, there were no individual stocks within this sector that were among the Fund’s top relative contributors during the reporting period.
Elsewhere, the Fund’s overweight positions in optical glasses and eyeglasses maker HOYA (Japan), financial services firm ING Groep (Netherlands), luxury goods company LVMH (France) and specialty chemicals manufacturer Shin-Etsu Chemical (Japan) contributed to relative returns. Additionally, the Fund’s positions in semiconductor company Taiwan Semiconductor Manufacturing (Taiwan), financial services company Housing Development Finance (India) and online and mobile commerce company Alibaba Group (China), an underweight position in pharmaceutical company Novo Nordisk (Denmark), and not owning shares of generic drug manufacturer Teva Pharmaceuticals Industries (Israel) also helped relative performance.
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 contributor to relative performance. All of MFS’ investment decisions are driven by the fundamentals of each individual opportunity and as such, it is common for our portfolios to have different currency exposure than the benchmark.
PF International Small-Cap Fund (sub-advised by QS Investors, LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF International Small-Cap Fund’s Class P returned 13.85%, compared to a 11.26% 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, 2017. The Fund’s performance reflects reinvestments of all dividends and capital gains distributions, if any.
Performance Comparison
| (1) | Effective April 1, 2016, QS Investors, LLC (“QS Investors”) began managing the Fund. QS Batterymarch Financial Management, Inc., which was named Batterymarch Financial Management, Inc. prior to June 30, 2014 and which came under common management with QS Investors as of May 31, 2014, managed the Fund prior to 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 QS Investors seek to manage a well-diversified, style neutral portfolio 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. We primarily invest in 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 a significant amount of its assets in about the same number of non-U.S. countries as the benchmark.
For the reporting period, stock selection results were strong across all major regions and most sectors. The primary contributor at the region level was stock selection in continental Europe, led by the health care and consumer staples sectors. Results in Japan and the U.K. were also strong, led in the former by information technology and materials stocks and in the latter by financials ex banks. Stock selection in Developed Asia ex Japan was also strong.
At the security level, an overweight to a non-benchmark holding, Swiss pharmaceuticals and bio-technology company Actelion Ltd., was a primary contributor to performance returning over 86% for the reporting period. (Source: FactSet Research Systems Inc.) In January 2017, a
| See benchmark definitions on A-26 – A-28 |
A-20
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
definitive agreement was announced for the acquisition of the firm by Johnson & Johnson. An overweight to Japan’s Towa Corporation and German manufacturing firm Covestro AG (a spinout of Bayer AG) were also leading contributors.
Among the regions, stock selection detracted from relative return only in the commodity-sensitive countries of Australia, New Zealand and Canada, despite strong results in the financials sector. Selection in materials stocks was a primary detractor.
At the stock level, the largest detractors were overweights to Canada’s Detour Gold Corporation and Yamana Gold, both suffering significant declines. British construction company Galliford Try PLC was also a detractor; the U.K. housebuilding sector was under pressure due to shaky investor sentiment as the process of leaving the E.U. began, and talks to merge with rival Bovis Homes have yet to come to fruition.
Region and sector allocation results were mixed and detracted overall, with the impact of underweights to Australia, New Zealand and Canada having the largest negative impact. An underweight to Japanese banks, which outperformed the benchmark, was also a major detractor. These impacts were somewhat offset by sector weightings within the U.K. and continental Europe which benefited performance.
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, 2017?
A. For the year ended March 31, 2017, the PF International Value Fund’s Class P returned 15.15%, compared to a 11.67% 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, 2017. 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. | ||||||
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 JPMorgan seek to manage the Fund’s strategy 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. We also manage the Fund’s currency exposures to manage currency deviations relative to the Fund’s benchmark.
From a sector perspective, stock selection in banks and basic industries and an underweight allocation to the consumer non-durable sector had a positive impact on Fund performance, while stock selection in telecommunication services, health care and technology—software hurt relative returns. Regionally, stock selection in Continental Europe and Japan contributed to performance, while underweight allocations to the Pacific Rim, including Japan, detracted.
At the stock level, Mitsubishi UFJ Financial Group, the Japanese bank, aided results. Japanese banks in general surged in the wake of the U.S. presidential election. Fueled by expectations that a Trump presidency would result in faster growth, bond yields in the U.S. and Japan rose, which could bolster interest income for Japanese banks. In addition, investors speculated that President Trump might roll back some of the regulations currently affecting the financial industry. Mitsubishi UFJ would benefit from this development. As well as having some retail banking operations in California, the company is the largest shareholder of Morgan Stanley, the U.S. investment bank.
Suzuki, the Japanese carmaker, contributed positively to relative performance in the reporting period. Global production jumped from a year prior, and markets applauded the launch of the new Suzuki Swift, a key vehicle for Suzuki’s Indian market. As Suzuki comprises roughly half of the Indian automobile market, Narendra Modi’s continued push to expand India’s manufacturing base should be beneficial to Suzuki as the Indian consumer base is likely to grow rapidly over the next decade.
On the downside, Teva, the Israeli drug manufacturer, had a difficult period. The company lowered its profit forecast for 2017, admitting that the pace at which it introduces new generic drugs may be slower than initially expected. Additionally, a U.S. court invalidated four patents
| See benchmark definitions on A-26 – A-28 |
A-21
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
involving Copaxone, Teva’s multiple sclerosis drug. The company’s struggles forced the departure of CEO Erez Vigodman in early February 2017. While industry-pricing pressures are likely to persist, we believe Teva, with its scale, diversified pipeline of generic drugs and cost-cutting ability, can weather such pressures better than its peers.
Mitsui Fudosan, a leading Japanese property developer and investment company, was a detractor. The real estate developer has been facing a slowdown in condo sales and meeting sales targets, which has also impacted condo prices, denting earnings further. However, Mitsui’s fundamentals remain solid, with a strong development business and a diversified leasing exposure to weather the storm.
Derivatives are used to manage currency deviations relative to the benchmark (e.g., our stock selection process could lead us to 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. We do not, however, 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 detract value from the Fund relative to the benchmark. The currency exposure in the Fund is managed by our separate currency overlay team.
PF Real Estate Fund (sub-advised by Morgan Stanley Investment Management Inc.)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Real Estate Fund’s Class P returned -0.14%, compared to a 17.17% return for the broad-based S&P 500 Index and a 3.56% 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, 2017. 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. | ||||||
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 both the broad-based S&P 500 Index and 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, apartments, and urban, full-service hotels, and a number of out-of-favor companies and an underweighting to companies concentrated in the ownership of data center, net lease, and health care assets.
During the reporting period, sector allocation was the primary detractor from relative performance. While the overweight to the primary CBD office and hotel sectors and underweight to the storage sector contributed to relative performance, this was more than offset by the overweight to the mall sector and underweight to the data center, diversified, industrial and health care sectors. Bottom-up stock selection also detracted from Fund performance relative to the sector-specific index. Stock selection in the hotel and mall sectors contributed to relative performance, but this was offset by stock selection in the apartment and primary CBD office sectors. The REIT sector featured a wide disparity in valuations, with a mix of property sectors trading at premiums and discounts to NAVs, but the overall sector ended the reporting period at a premium largely due to sectors with perceived defensive characteristics and/or providing higher dividends (e.g., health care, net lease) trading at significant premiums to NAVs and select specialty sectors expected to generate growth also trading at premiums. For sectors viewed as more economically sensitive, the public markets appear to be pricing in prospective asset value declines, despite transactional evidence continuing to demonstrate strength in asset values. This sentiment has resulted in several key property sectors (including primary CBD office assets and apartments) trading at discounts to NAVs. In addition, the Fund’s significant overweight to the owners of high-quality malls significantly detracted from performance, as the mall sector is currently out of favor due to significant negative sentiment driven by recent announcements of store closures and increased competition from e-commerce, which has resulted in the stocks trading at significant discounted share price valuations.
| See benchmark definitions on A-26 – A-28 |
A-22
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
The Fund significantly underperformed the broader equity markets for the reporting period, as measured by the broad-based S&P 500 Index, primarily due to concerns with rising interest rates and investor preference to invest in other sectors that were perceived as a better growth environment. As REITs have been beneficiaries of lower interest rates, share prices suffered amidst a partial reversal of the lower-for-longer investment theme, particularly in late 2016. In addition, there were concerns that property values may have peaked or are even poised to decline after significant appreciation, where the pace of appreciation has slowed materially from the last several years.
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, 2017?
A. For the year ended March 31, 2017, the PF Currency Strategies Fund’s Class P returned 8.95%, compared to a 0.27% 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, 2017. 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
The Fund seeks to gain positive (or long) exposures to currencies that we believe are undervalued and have negative (or short) exposures to currencies that we believe to be overvalued.
We at MCG identify investment opportunities using both quantitative and qualitative approaches. A quantitative approach is used for our longer-term “systematic” strategy, which seeks to capture longer-term fundamental shifts in currency movements (typically a twelve-month time horizon). A qualitative approach is used for our shorter-term “discretionary” investment strategy, which seeks 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.
For the reporting period, the MCG managed portion of the Fund’s performance contributed positively to overall Fund performance with both the systematic and discretionary components generating a positive return. Over the course of the reporting period, MCG held various positions, both long and short, across the G10 universe primarily through the use of derivatives, including non-deliverable forwards.
The three biggest contributors to performance for MCG’s portion of the Fund were positions in the Australian dollar, Swiss franc and the British Pound sterling. The Australian dollar, tactically traded throughout the reporting period, was the biggest contributor to performance as we continued to successfully navigate developments within the Australian economy and the Australian dollar’s sensitivity to changes in financial risk appetite.
The main detractors to performance were the Canadian dollar and the Norwegian krone. The Canadian dollar position (predominantly long during the reporting period) was held based on valuation considerations, while the short Norwegian krone position (held both long and short during the reporting period) was also driven by valuation considerations as well as our view on Norwegian Central Bank monetary policy.
The long Canadian dollar position’s underperformance was primarily driven by the currency’s sensitivity to Bank of Canada’s revision of domestic growth outlooks earlier in the reporting period following wildfires in Alberta. The Norwegian krone experienced particularly large moves in the third quarter of 2016 and its negative contribution to performance during the reporting period was primarily driven by its strengthening caused by higher domestic inflation as well as rising oil prices.
| See benchmark definitions on A-26 – A-28 |
A-23
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
UBS
We at UBS maintain a portion of the Fund’s strategy by seeking to gain positive (or long) exposures to currencies that we believe are undervalued and have negative (or short) exposures to currencies that we believe to be overvalued. For the reporting period, derivatives, including non-deliverable forwards, had a positive impact on performance for the UBS-managed portion of the Fund.
Contributing to performance, the Fund held a short Swiss franc position against the U.S. dollar throughout much of the reporting period. The Fund also held a short Swiss franc position against the euro which detracted from performance. 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 Swiss franc and we believe it remains in overvalued territory. We believe this will weigh on the Swiss economy and as a result, will drive a correction in the currency.
Over the reporting period, the New Zealand dollar short positions against the U.S. dollar negatively impacted the Fund’s performance as the New Zealand economy was stronger than expected. The Fund continues to hold an underweight exposure to the New Zealand dollar against the U.S. dollar and Australian dollar as we believe it remains overvalued and there are vulnerabilities facing the New Zealand economy.
The Fund also held a long position in the Japanese yen against the U.S. dollar and euro given its attractive valuation and this position contributed to performance, in part benefiting from the Japanese yen’s risk-off characteristics.
In emerging markets, the Fund’s long Mexican peso position against the U.S. dollar contributed to performance. The Fund increased the size of the position following the sell-off on the result of the U.S. presidential election. The peso’s recent strong appreciation has driven the Fund’s performance and can be attributed to higher interest rates, expectations of continued positive trade ties with the U.S., and an announced currency intervention measure that would limit the depreciation of the peso. Additionally, the Fund’s long position in the Colombian peso against the U.S. dollar contributed positively to performance as the Colombian peso was supported by higher oil prices and a weaker U.S. dollar.
However, a long Mexican peso position against the Korean won detracted from performance as the Fund did not increase the scaling of this trade following its underperformance and the Korean won has been relatively stable against the U.S. dollar. The Mexican peso remains comparatively weak despite the recent appreciation.
We retain conviction in our short Swiss franc position against the euro as we believe the currency overshot following actions from the Swiss central bank, which we believe still appears significantly overvalued. We at UBS maintain a short position in the New Zealand dollar and long positions in select emerging market currencies versus the U.S. dollar as these are attractively valued.
PF Equity Long/Short Fund (sub-advised by AQR Capital Management, LLC)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Equity Long/Short Fund’s Class P returned 13.10%, compared to a 14.77% return for the broad-based MSCI World Index (Net) and 7.38% 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, 2017. 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 MSCI World Index (Net) but outperformed the style-specific Equity Long/Short Composite Benchmark. We at AQR manage 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: 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 increase and decrease of its net exposure to equity markets. The strategy primarily
| See benchmark definitions on A-26 – A-28 |
A-24
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
seeks to add alpha (excess return over the broad-based benchmark) via its long/short (market-neutral) stock portfolio. The strategy also seeks to manage the Fund’s 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), based on our market views. The Fund invests in both 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 performed well during the reporting period. Despite poor performance at the start of 2016, equity markets broadly rallied in the second half of the year. U.S. equity markets also performed well on better-than-expected economic data as well as expectations of increased fiscal stimulus and market-friendly policies following the U.S. election. U.K. equity markets were up on a weaker pound and a more dovish than expected Bank of England following the Brexit vote. Developed markets continued their strong performance through the first quarter of 2017, supported by better-than-expected global growth data and receding euro-area political risks.
All three components of the Fund’s strategy contributed to returns, with the Fund’s 0.5 beta exposure and stock selection contributing the most on an absolute basis. Within stock selection, returns were driven by positive performance from eight of our ten investment themes. The best performing themes during the reporting period were investor sentiment and valuation. The worst performing themes during the reporting period were momentum and industry valuation. By sector, industrials and information technology were the largest contributors to performance, while energy and financials were the largest detractors. By country, the U.S. and Japan were the top contributors, while Hong Kong and the Netherlands were the largest detractors. The Fund benefited from its static long-term beta exposure of 0.5 relative to the broad-based benchmark, given the index’s strong performance over the reporting period. The Fund’s tactical market exposure (the desired deviation from a beta of 0.5) also contributed to returns over the reporting period, due mainly to a slight overweight of the broad-based benchmark.
Our tactical market view turned negative at the end of the reporting period. As a result, our beta to the broad-based benchmark (driven by the Fund’s static long-term beta of 0.5 and tactical market exposure) was 0.45.
The Fund ended the reporting period with a highly diversified stock portfolio of more than 1200 individual long and short security positions, 665 long positions and 577 short positions. Securities remained globally diversified, with just under a third of the Fund invested outside of the U.S. The stock selection strategy takes small industry views. As of the end of the reporting period, the Fund’s largest sector overweights were in financials and industrials, while the largest underweights were energy and consumer staples.
PF Global Absolute Return Fund (sub-advised by Eaton Vance Investment Managers)
Q. How did the Fund perform for the year ended March 31, 2017?
A. For the year ended March 31, 2017, the PF Global Absolute Return Fund’s Class P returned 4.80%, compared to a 0.36% 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, 2017. 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 shares outperformed 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. The decision to utilize cash instruments or derivatives is based on relative value and efficiency as deemed by the portfolio
| See benchmark definitions on A-26 – A-28 |
A-25
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
management team. The Fund typically employs significant use of derivative instruments both to gain exposure as well as to hedge against certain investment risks (like fluctuations in securities prices, interest rates or currency exchange rates) and manage the Fund’s duration. The Fund may invest in a wide variety of derivative instruments, including, but not limited to: forward foreign currency contracts, futures contracts on securities, indices, currencies, and other investments; options; and interest rate swaps, cross-currency swaps, total return swaps and credit default swaps.
Eastern Europe was the top contributor over the reporting period. Sovereign credit positioning led performance while currency and rates exposures contributed as well. Top performers in the region included long sovereign credit positions in Cyprus, Macedonia, Albania and Turkey. Other notable drivers were long positions in the Russian ruble and the Serbian dinar versus the euro.
Asia and Latin America also meaningfully added to performance. In Asia, positive performance was primarily due to currency and sovereign credit exposures. Rates and equity positioning also aided performance. A short currency position in China and long credit positions in Mongolia and Sri Lanka were top contributors. Short rates and long equities in Japan also contributed.
Latin America contributed to Fund performance with sovereign credit positioning driving positive results. Top contributors included long exposure in Ecuador, Venezuela and Honduras.
Western Europe was the top regional detractor. Currency and corporate credit positioning hurt performance the most. A long position in Sweden’s krona versus the euro, a short position in the euro and short exposure in the British pound were the top currency detractors. Short exposure to broad European corporate credit was another top detractor in the region.
The Middle East and Africa region also detracted from performance. Currency positioning hurt the most and rates exposures dampened results, while sovereign credit helped. Short currency exposure in South Africa and Oman were primary detractors. Short rates in Saudi Arabia and Israel hurt as well. Aiding performance were long credit positions in Iraq, Zambia and Tanzania.
The Dollar bloc was a regional detractor to Fund performance for the reporting period. Currency positioning hurt results as short exposure in the Canadian dollar and Australian dollar were top detractors.
Regarding exposure, the Fund was net long foreign currency at the end of the reporting period. The Fund’s U.S. interest rate duration was close to one-and-a-half years, while non-U.S. interest rate duration was near one-half year. The Fund ended the reporting period with a negative credit spread duration, which is a measure of the Fund’s sensitivity to changes in credit spreads.
Benchmark Definitions
Bloomberg 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.
Bloomberg 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.
Bloomberg 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-26
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) 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, 2017, 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 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, 2017, 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 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, 2017, 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.
A-27
PACIFIC FUNDS PERFORMANCE DISCUSSION (Continued)
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-28
PF INFLATION MANAGED FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-1
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2017
| (d) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| BRL | 165,304 | USD | 52,173 | 04/17 | DUB | $582 | ||||||||||||||||
| BRL | 59,727 | USD | 19,000 | 04/17 | JPM | 61 | ||||||||||||||||
| BRL | 105,577 | USD | 33,702 | 04/17 | SCB | (8 | ) | |||||||||||||||
| BRL | 165,304 | USD | 51,779 | 05/17 | DUB | 627 | ||||||||||||||||
| CNH | 850,657 | USD | 121,993 | 05/17 | DUB | 1,311 | ||||||||||||||||
| EUR | 138,000 | USD | 148,143 | 04/17 | SCB | (898 | ) | |||||||||||||||
| EUR | 30,000 | USD | 32,073 | 05/17 | RBC | (22 | ) | |||||||||||||||
| GBP | 331,000 | USD | 410,084 | 04/17 | GSC | 4,664 | ||||||||||||||||
| INR | 2,480,234 | USD | 35,956 | 04/17 | GSC | 2,133 | ||||||||||||||||
| MXN | 1,242,000 | USD | 62,769 | 04/17 | JPM | 3,396 | ||||||||||||||||
| NZD | 216,000 | USD | 150,967 | 04/17 | JPM | 434 | ||||||||||||||||
| RUB | 1,846,980 | USD | 30,759 | 05/17 | BRC | 1,638 | ||||||||||||||||
| USD | 32,901 | AUD | 43,000 | 04/17 | SCB | 52 | ||||||||||||||||
| USD | 52,105 | BRL | 165,304 | 04/17 | DUB | (649 | ) | |||||||||||||||
| USD | 18,851 | BRL | 59,727 | 04/17 | JPM | (210 | ) | |||||||||||||||
| USD | 33,322 | BRL | 105,577 | 04/17 | SCB | (372 | ) | |||||||||||||||
| USD | 124,219 | CNH | 859,971 | 05/17 | SCB | (435 | ) | |||||||||||||||
| USD | 145,481 | EUR | 138,000 | 04/17 | SCB | (1,765 | ) | |||||||||||||||
| USD | 148,330 | EUR | 138,000 | 05/17 | SCB | 899 | ||||||||||||||||
| USD | 411,329 | GBP | 331,000 | 04/17 | GSC | (3,420 | ) | |||||||||||||||
| USD | 320,804 | GBP | 258,000 | 05/17 | GSC | (2,685 | ) | |||||||||||||||
| USD | 5,000 | INR | 327,800 | 04/17 | JPM | (34 | ) | |||||||||||||||
| USD | 67,516 | MXN | 1,405,215 | 04/17 | GSC | (7,343 | ) | |||||||||||||||
| USD | 47,857 | MXN | 980,000 | 01/18 | GSC | (2,361 | ) | |||||||||||||||
| USD | 155,128 | NZD | 216,000 | 04/17 | JPM | 3,727 | ||||||||||||||||
| USD | 150,861 | NZD | 216,000 | 05/17 | JPM | (433 | ) | |||||||||||||||
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|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
($1,111 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-2
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2017
| (e) | Purchased options outstanding as of March 31, 2017 were as follows: |
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||||||||||
| Call - 30-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.150% | 06/15/18 | DUB | $100,000 | $10,035 | $2,203 | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.150% | 06/15/18 | DUB | 100,000 | 10,035 | 13,790 | ||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.720% | 07/16/18 | MSC | 200,000 | 2,280 | 5,057 | ||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.765% | 07/16/18 | MSC | 400,000 | 4,640 | 9,470 | ||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| 16,955 | 28,317 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
| $26,990 | $30,520 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||
| Put - Eurodollar (04/17) |
$98.50 | 04/13/17 | CME | 11 | $154 | $69 | ||||||||||||||||
| Put - Eurodollar (04/17) |
98.63 | 04/13/17 | CME | 22 | 925 | 137 | ||||||||||||||||
| Put - United Kingdom 90-Day LIBOR (06/17) |
GBP 98.50 | 06/21/17 | ICE | 7 | 424 | — | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $1,503 | $206 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$28,493 | $30,726 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (f) | Transactions in written options for the year ended March 31, 2017 were as follows: |
| Number of Contracts |
Notional Amount in AUD |
Notional Amount in EUR |
Notional Amount in GBP |
Notional Amount in $ |
Premium | |||||||||||||||||||
| Outstanding, March 31, 2016 |
70 | — | 540,000 | — | 11,860,000 | $170,933 | ||||||||||||||||||
| Call Options Written |
102 | — | 286,000 | 160,000 | 4,000,000 | 33,406 | ||||||||||||||||||
| Put Options Written |
166 | 60,000 | 350,000 | 100,000 | 2,340,000 | 56,501 | ||||||||||||||||||
| Call Options Closed |
(109 | ) | — | — | — | (1,200,000 | ) | (23,469 | ) | |||||||||||||||
| Put Options Closed |
(115 | ) | (60,000 | ) | (300,000 | ) | — | (6,190,000 | ) | (137,892 | ) | |||||||||||||
| Call Options Expired |
(6 | ) | — | (486,000 | ) | (160,000 | ) | (3,230,000 | ) | (15,260 | ) | |||||||||||||
| Put Options Expired |
(93 | ) | — | (390,000 | ) | (100,000 | ) | (1,780,000 | ) | (24,258 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Outstanding, March 31, 2017 |
15 | — | — | — | 5,800,000 | $59,961 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| (g) | Premiums received and value of written options outstanding as of March 31, 2017 were as follows: |
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 - |
03/24/20 | JPM | $700,000 | $7,910 | ($1,732 | ) | ||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1+0.00%)10 - |
04/07/20 | CIT | 2,000,000 | 17,720 | (97 | ) | ||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1+0.00%)10 - |
09/29/20 | CIT | 300,000 | 3,870 | (18 | ) | ||||||||||||||||
| Cap - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1+0.00%)10 - |
04/22/24 | JPM | 1,900,000 | 13,823 | (1,450 | ) | ||||||||||||||||
| Cap - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of [(1+0.00%)10 - |
05/16/24 | JPM | 200,000 | 1,390 | (163 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $44,713 | ($3,460 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
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 | 1.800% | 11/07/17 | RBS | $100,000 | $870 | ($83 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| Put - 10-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.455% | 05/18/17 | GSC | 500,000 | 7,225 | (3,616 | ) | |||||||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.600% | 11/07/17 | RBS | 100,000 | 870 | (1,551 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| 8,095 | (5,167 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| $8,965 | ($5,250 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-3
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2017
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Premium | Value | ||||||||||||||||
| Call - U.S. 10-Year Treasury Note (06/17) |
$124.50 | 05/26/17 | CME | 3 | $2,418 | ($2,766 | ) | |||||||||||||||
| Call - U.S. 10-Year Treasury Note (06/17) |
125.00 | 05/26/17 | CME | 1 | 545 | (703 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 2,963 | (3,469 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - U.S. 10-Year Treasury Note (06/17) |
122.50 | 05/26/17 | CME | 3 | 2,293 | (656 | ) | |||||||||||||||
| Put - U.S. 10-Year Treasury Note (06/17) |
123.00 | 05/26/17 | CME | 1 | 908 | (313 | ) | |||||||||||||||
| Put - United Kingdom 90-Day LIBOR (06/17) |
GBP 98.00 | 06/21/17 | ICE | 7 | 119 | — | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 3,320 | (969 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $6,283 | ($4,438 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Written Options |
$59,961 | ($13,148 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (h) | Swap agreements outstanding as of March 31, 2017 were as follows: |
Credit Default Swaps on Sovereign Issues - Sell Protection (1)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/17 (2) |
Notional Amount (3) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||
| Colombia Government |
1.000% | 06/20/21 | DUB | 1.009% | $100,000 | ($2 | ) | ($2,427 | ) | $2,425 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
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 | ($363 | ) | ($1,864 | ) | $1,501 | |||||||||||||||||||
| CMBX NA AAA 7 |
0.500% | 01/17/47 | MSC | 40,000 | (242 | ) | (1,242 | ) | 1,000 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (605 | ) | (3,106 | ) | 2,501 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
| CDX HY 28 5Y |
5.000% | 06/20/22 | ICE | 10,000 | — | (737 | ) | 737 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($605 | ) | ($3,843 | ) | $3,238 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($607 | ) | ($6,270 | ) | $5,663 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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 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. |
| (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 (buy protection) or decreasing values (sell protection), 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. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-4
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2017
Interest Rate Swaps - Pay Floating Rate
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco |
LCH | 0.580% | 10/15/17 | EUR 100,000 | $135 | ($349 | ) | $484 | ||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/15/18 | $200,000 | (440 | ) | 934 | (1,374 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/21/19 | 600,000 | (5,593 | ) | (5,429 | ) | (164 | ) | ||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
LCH | 2.027% | 11/23/20 | 100,000 | 441 | — | 441 | |||||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
LCH | 2.021% | 11/25/20 | 100,000 | 459 | — | 459 | |||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco |
LCH | 0.806% | 04/15/21 | EUR 200,000 | 4,334 | 1,172 | 3,162 | |||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco |
LCH | 1.165% | 12/15/21 | 50,000 | 25 | 42 | (17 | ) | ||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.655% | 10/19/23 | $300,000 | 3,168 | — | 3,168 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.678% | 10/25/23 | 300,000 | 3,442 | — | 3,442 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.500% | 12/19/23 | 120,000 | 248 | (305 | ) | 553 | ||||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 8.035% | 12/17/26 | MXN 500,000 | 1,239 | (51 | ) | 1,290 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $7,458 | ($3,986 | ) | $11,444 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Interest Rate Swaps - Receive Floating Rate
| Floating Rate Index | Counterparty | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
MSC | 2.058% | 05/12/25 | $700,000 | ($5,162 | ) | $— | ($5,162 | ) | |||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
MSC | 1.788% | 07/18/26 | 100,000 | (4,808 | ) | — | (4,808 | ) | |||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
MSC | 1.805% | 09/20/26 | 10,000 | (462 | ) | — | (462 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (10,432 | ) | — | (10,432 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.200% | 02/15/18 | 1,000,000 | 1,315 | — | 1,315 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 02/23/18 | 800,000 | 761 | — | 761 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/21/22 | 500,000 | 21,001 | 22,839 | (1,838 | ) | ||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.400% | 03/16/26 | 130,000 | 1,815 | — | 1,815 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.300% | 04/21/26 | 300,000 | 5,607 | — | 5,607 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.850% | 07/27/26 | 50,000 | 1,958 | — | 1,958 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.000% | 07/27/26 | 300,000 | 9,785 | — | 9,785 | |||||||||||||||||||||
| Eurostat Eurozone HICP Ex Tobacco |
LCH | 1.100% | 08/15/26 | EUR 250,000 | (6,905 | ) | (1,861 | ) | (5,044 | ) | ||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
LCH | 1.800% | 09/12/26 | $100,000 | (4,056 | ) | (1,009 | ) | (3,047 | ) | ||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
LCH | 1.780% | 09/15/26 | 100,000 | (4,279 | ) | (4,854 | ) | 575 | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.750% | 12/21/26 | 340,000 | 18,878 | (2,170 | ) | 21,048 | ||||||||||||||||||||
| 6-Month GBP-LIBOR |
LCH | 1.500% | 09/20/27 | GBP 520,000 | (15,209 | ) | (8,209 | ) | (7,000 | ) | ||||||||||||||||||
| GBP Retail Price |
LCH | 3.190% | 04/15/30 | 300,000 | (10,491 | ) | (16,949 | ) | 6,458 | |||||||||||||||||||
| GBP Retail Price |
LCH | 3.400% | 06/15/30 | 200,000 | 1,506 | 2,391 | (885 | ) | ||||||||||||||||||||
| GBP Retail Price |
LCH | 3.530% | 10/15/31 | 40,000 | 103 | 356 | (253 | ) | ||||||||||||||||||||
| 6-Month GBP-LIBOR |
CME | 2.000% | 09/16/45 | 20,000 | (3,510 | ) | (3,189 | ) | (321 | ) | ||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.250% | 12/21/46 | $190,000 | 18,514 | 1,900 | 16,614 | |||||||||||||||||||||
| 6-Month GBP-LIBOR |
LCH | 1.750% | 03/21/48 | GBP 130,000 | (12,453 | ) | (7,031 | ) | (5,422 | ) | ||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.948% | 10/19/48 | $100,000 | (3,567 | ) | — | (3,567 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.969% | 10/25/48 | 50,000 | (1,999 | ) | — | (1,999 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.750% | 12/19/48 | 30,000 | 213 | 508 | (295 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 18,987 | (17,278 | ) | 36,265 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $8,555 | ($17,278 | ) | $25,833 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $16,013 | ($21,264 | ) | $37,277 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Swap Agreements |
$15,406 | ($27,534 | ) | $42,940 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-5
PACIFIC FUNDS
PF INFLATION MANAGED FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant |
Level 3 Significant |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$243,509 | $— | $243,509 | $— | |||||||||||||
| Mortgage-Backed Securities |
1,274,650 | — | 1,274,650 | — | ||||||||||||||
| Asset-Backed Securities |
1,213 | — | 1,213 | — | ||||||||||||||
| U.S. Treasury Obligations |
14,181,500 | — | 14,181,500 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
611,489 | — | 611,489 | — | ||||||||||||||
| Short-Term Investments |
308,415 | 211,622 | 96,793 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
19,524 | — | 19,524 | — | ||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
2,881 | 2,881 | — | — | ||||||||||||||
| Purchased Options |
30,726 | — | 30,726 | — | ||||||||||||||
| Swaps |
94,947 | — | 94,947 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
128,554 | 2,881 | 125,673 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
148,078 | 2,881 | 145,197 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
16,768,854 | 214,503 | 16,554,351 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
(607 | ) | — | (607 | ) | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(20,635 | ) | — | (20,635 | ) | — | ||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(4,785 | ) | (4,785 | ) | — | — | ||||||||||||
| Written Options |
(13,148 | ) | — | (13,148 | ) | — | ||||||||||||
| Swaps |
(78,934 | ) | — | (78,934 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(96,867 | ) | (4,785 | ) | (92,082 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(118,109 | ) | (4,785 | ) | (113,324 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(118,109 | ) | (4,785 | ) | (113,324 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$16,650,745 | $209,718 | $16,441,027 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
Certain liabilities of the Fund are held at carrying amount, which approximates fair value for financial statement purposes. As of March 31, 2017 such liabilities are categorized within the three-tier hierarchy of inputs as follows:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant |
|||||||||||||||
| Liabilities |
Sale-buyback Financing Transactions |
($3,601,836 | ) | $— | ($3,601,836 | ) | $— | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-6
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-7
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-8
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-9
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-10
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-11
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-12
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-13
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-14
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-15
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-16
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-17
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| (e) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| BRL | 2,815,400 | USD | 900,000 | 04/17 | DUB | ($1,505 | ) | |||||||||||||
| BRL | 2,502,500 | USD | 789,831 | 04/17 | JPM | 8,807 | ||||||||||||||
| CAD | 7,489,360 | USD | 5,628,783 | 04/17 | BRC | 4,391 | ||||||||||||||
| CAD | 351,000 | USD | 261,181 | 04/17 | HSB | 2,774 | ||||||||||||||
| CAD | 993,000 | USD | 742,853 | 04/17 | JPM | 3,891 | ||||||||||||||
| DKK | 14,443,000 | USD | 2,076,853 | 04/17 | JPM | (5,458 | ) | |||||||||||||
| EUR | 1,040,000 | USD | 1,110,938 | 04/17 | BOA | (468 | ) | |||||||||||||
| EUR | 1,697,692 | USD | 1,809,544 | 04/17 | BOA | 3,184 | ||||||||||||||
| EUR | 637,000 | USD | 676,627 | 04/17 | BRC | 3,049 | ||||||||||||||
| EUR | 5,708,000 | USD | 6,128,456 | 04/17 | SCB | (38,051 | ) | |||||||||||||
| GBP | 2,467,000 | USD | 3,017,462 | 04/17 | CIT | 74,882 | ||||||||||||||
| GBP | 3,116,000 | USD | 3,870,754 | 04/17 | HSB | 33,639 | ||||||||||||||
| GBP | 501,000 | USD | 609,249 | 04/17 | UBS | 18,512 | ||||||||||||||
| IDR | 36,335,220,000 | USD | 2,694,092 | 04/17 | CIT | 26,866 | ||||||||||||||
| IDR | 5,414,010,000 | USD | 381,000 | 05/17 | HSB | 23,233 | ||||||||||||||
| INR | 280,700,000 | USD | 4,061,641 | 04/17 | CIT | 249,083 | ||||||||||||||
| JPY | 130,589,637 | USD | 1,134,684 | 04/17 | CIT | 39,265 | ||||||||||||||
| KRW | 1,930,360,880 | USD | 1,666,000 | 06/17 | JPM | 61,866 | ||||||||||||||
| SGD | 1,708,000 | USD | 1,202,383 | 06/17 | JPM | 19,408 | ||||||||||||||
| TWD | 79,621,170 | USD | 2,570,000 | 06/17 | JPM | 64,195 | ||||||||||||||
| USD | 888,587 | BRL | 2,815,400 | 04/17 | DUB | (9,908 | ) | |||||||||||||
| USD | 800,000 | BRL | 2,502,500 | 04/17 | JPM | 1,362 | ||||||||||||||
| USD | 796,822 | CAD | 1,059,360 | 04/17 | BRC | (11 | ) | |||||||||||||
| USD | 2,706,629 | CAD | 3,559,360 | 04/17 | BRC | 29,535 | ||||||||||||||
| USD | 1,808,928 | CAD | 2,410,000 | 04/17 | JPM | (3,412 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-18
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 330,250 | CNH | 2,275,254 | 04/17 | BOA | ($295 | ) | |||||||||||||||
| USD | 2,514,424 | CNH | 17,650,000 | 04/17 | CIT | (49,734 | ) | |||||||||||||||
| USD | 6,683,273 | CNY | 46,696,029 | 04/17 | BRC | (83,875 | ) | |||||||||||||||
| USD | 11,626,243 | DKK | 76,623,000 | 04/17 | HSB | 637,078 | ||||||||||||||||
| USD | 2,280,258 | DKK | 14,948,000 | 07/17 | BRC | 126,354 | ||||||||||||||||
| USD | 9,032,006 | DKK | 58,979,000 | 10/17 | HSB | 491,850 | ||||||||||||||||
| USD | 8,528,135 | DKK | 58,024,000 | 01/18 | JPM | 77,291 | ||||||||||||||||
| USD | 1,337,290 | DKK | 9,128,000 | 01/18 | UBS | 7,852 | ||||||||||||||||
| USD | 2,519,936 | DKK | 17,162,000 | 04/18 | JPM | 5,893 | ||||||||||||||||
| USD | 3,497,549 | DKK | 23,664,000 | 04/18 | UBS | 31,036 | ||||||||||||||||
| USD | 3,415,060 | EUR | 3,203,091 | 04/17 | CIT | (5,072 | ) | |||||||||||||||
| USD | 215,061 | EUR | 204,000 | 04/17 | HSB | (2,606 | ) | |||||||||||||||
| USD | 186,941 | EUR | 173,000 | 04/17 | HSB | 2,352 | ||||||||||||||||
| USD | 72,185 | EUR | 68,000 | 04/17 | SCB | (370 | ) | |||||||||||||||
| USD | 6,258,927 | EUR | 5,900,000 | 04/17 | UBS | (36,341 | ) | |||||||||||||||
| USD | 6,000,902 | EUR | 5,583,000 | 05/17 | SCB | 36,351 | ||||||||||||||||
| USD | 162,903 | GBP | 131,000 | 04/17 | BRC | (1,242 | ) | |||||||||||||||
| USD | 4,329,225 | GBP | 3,486,000 | 04/17 | UBS | (38,784 | ) | |||||||||||||||
| USD | 3,873,200 | GBP | 3,116,000 | 05/17 | HSB | (33,749 | ) | |||||||||||||||
| USD | 1,733,475 | JPY | 195,952,000 | 04/17 | BRC | (28,055 | ) | |||||||||||||||
| USD | 8,712,893 | JPY | 1,020,000,000 | 04/17 | JPM | (451,289 | ) | |||||||||||||||
| USD | 95,455 | JPY | 10,700,000 | 04/17 | SCB | (671 | ) | |||||||||||||||
| USD | 4,857,658 | JPY | 560,000,000 | 04/17 | UBS | (176,152 | ) | |||||||||||||||
| USD | 6,746,560 | JPY | 760,000,000 | 05/17 | JPM | (90,151 | ) | |||||||||||||||
| USD | 1,706,897 | JPY | 190,000,000 | 05/17 | UBS | (2,281 | ) | |||||||||||||||
| USD | 553,247 | KRW | 637,036,377 | 06/17 | SCB | (16,964 | ) | |||||||||||||||
| USD | 7,418,432 | KRW | 8,393,499,757 | 06/17 | UBS | (94,591 | ) | |||||||||||||||
| USD | 10,151,121 | MXN | 198,105,506 | 04/17 | BRC | (402,103 | ) | |||||||||||||||
| USD | 3,928,327 | MXN | 85,896,797 | 04/17 | CIT | (645,457 | ) | |||||||||||||||
| USD | 5,675,079 | SGD | 7,966,392 | 06/17 | DUB | (23,555 | ) | |||||||||||||||
| USD | 3,232,996 | TWD | 102,040,000 | 04/17 | CIT | (133,013 | ) | |||||||||||||||
| USD | 1,871,438 | TWD | 59,100,000 | 04/17 | JPM | (78,103 | ) | |||||||||||||||
| USD | 3,534,619 | TWD | 108,929,900 | 06/17 | SCB | (69,228 | ) | |||||||||||||||
| USD | 8,583,201 | TWD | 262,062,306 | 06/17 | UBS | (86,894 | ) | |||||||||||||||
| USD | 200,000 | ZAR | 2,668,000 | 04/17 | JPM | 1,274 | ||||||||||||||||
| ZAR | 2,668,000 | USD | 200,000 | 04/17 | RBS | (1,274 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
($525,389 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| (f) | Purchased options outstanding as of March 31, 2017 were as follows: |
Foreign Currency Options
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Put - MXN versus USD |
MXN 20.52 | 04/06/17 | BRC | $10,180,000 | $117,274 | $957,492 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.905% | 08/20/18 | MSC | $900,000 | $88,800 | $47,421 | ||||||||||||||||||||
| Put - 30-Year Interest Rate Swap |
Receive | 3-Month USD-LIBOR | 2.940% | 08/20/18 | GSC | 300,000 | 29,340 | 14,968 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $118,140 | $62,389 | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||
| Call - EUR FX (04/17) |
$1.07 | 04/07/17 | CME | 8 | $6,176 | $5,400 | ||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
123.00 | 04/21/17 | CME | 8 | 5,542 | 13,125 | ||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
123.50 | 04/21/17 | CME | 5 | 2,516 | 6,016 | ||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
124.75 | 04/21/17 | CME | 35 | 12,692 | 13,672 | ||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
128.50 | 04/21/17 | CME | 300 | 5,663 | 4,688 | ||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
130.50 | 04/21/17 | CME | 200 | 3,775 | — | ||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
147.00 | 04/21/17 | CME | 8 | 12,339 | 32,000 | ||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
148.00 | 04/21/17 | CME | 8 | 10,245 | 24,875 | ||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
150.50 | 04/21/17 | CME | 3 | 3,432 | 3,984 | ||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
151.00 | 04/21/17 | CME | 1 | 1,144 | 1,078 | ||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
151.50 | 04/21/17 | CME | 3 | 3,057 | 2,578 | ||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-19
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||||
| Call - Euro-Bund (05/17) |
EUR 169.00 | 04/21/17 | CME | 300 | $ | 3,754 | $ | 3,200 | ||||||||||||||||
| Call - EUR FX (05/17) |
$1.08 | 05/05/17 | CME | 20 | 28,003 | 20,400 | ||||||||||||||||||
| Call - EUR FX (05/17) |
1.09 | 05/05/17 | CME | 3 | 3,572 | 2,213 | ||||||||||||||||||
| Call - CAD FX (05/17) |
75.50 | 05/05/17 | CME | 4 | 2,053 | 2,120 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 103,963 | 135,349 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Put - EUR FX (04/17) |
1.05 | 04/07/17 | CME | 8 | 7,926 | 200 | ||||||||||||||||||
| Put - CAD FX (04/17) |
74.00 | 04/07/17 | CME | 4 | 1,653 | 40 | ||||||||||||||||||
| Put - AUD FX (04/17) |
75.00 | 04/07/17 | CME | 8 | 4,956 | 240 | ||||||||||||||||||
| Put - JPY FX (04/17) |
89.50 | 04/07/17 | CME | 8 | 4,776 | 1,800 | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/17) |
111.75 | 04/21/17 | CME | 310 | 5,851 | — | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/17) |
113.25 | 04/21/17 | CME | 300 | 5,663 | — | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/17) |
114.75 | 04/21/17 | CME | 200 | 3,775 | 1,563 | ||||||||||||||||||
| Put - JPY FX (05/17) |
88.00 | 05/05/17 | CME | 4 | 3,963 | 1,400 | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/17) |
98.00 | 05/26/17 | CME | 7 | 60 | — | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/17) |
99.50 | 05/26/17 | CME | 64 | 548 | — | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/17) |
101.50 | 05/26/17 | CME | 810 | 8,961 | — | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/17) |
103.00 | 05/26/17 | CME | 81 | 694 | — | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
106.00 | 05/26/17 | CME | 8 | 69 | — | ||||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (06/17) |
108.00 | 05/26/17 | CME | 533 | 4,568 | — | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
109.00 | 05/26/17 | CME | 50 | 424 | — | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
110.00 | 05/26/17 | CME | 96 | 823 | — | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
110.50 | 05/26/17 | CME | 81 | 663 | — | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
111.00 | 05/26/17 | CME | 18 | 154 | — | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
112.00 | 05/26/17 | CME | 16 | 137 | — | ||||||||||||||||||
| Put - Euro-Bund (05/17) |
EUR 142.00 | 05/26/17 | CME | 5 | 58 | 53 | ||||||||||||||||||
| Put - Euro-Bund (05/17) |
142.50 | 05/26/17 | CME | 74 | 863 | 789 | ||||||||||||||||||
| Put - Euro-Bund (05/17) |
143.00 | 05/26/17 | CME | 42 | 481 | 448 | ||||||||||||||||||
| Put - Euro-Bund (05/17) |
143.50 | 05/26/17 | CME | 1 | 12 | 11 | ||||||||||||||||||
| Put - Euro-Bund (05/17) |
145.00 | 05/26/17 | CME | 54 | 619 | 576 | ||||||||||||||||||
| Put - Eurodollar (06/17) |
$98.50 | 06/19/17 | CME | 381 | 11,084 | 2,381 | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 68,781 | 9,501 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $172,744 | $144,850 | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
Options on Securities
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||||
| Put - Fannie Mae 3.500% due 04/12/47 |
$70.00 | 04/05/17 | JPM | $7,000,000 | $273 | $— | ||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Purchased Options |
$408,431 | $1,164,731 | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (g) | Transactions in written options for the year ended March 31, 2017 were as follows: |
| Number of Contracts |
Notional Amount in AUD |
Notional Amount in EUR |
Notional Amount in GBP |
Notional Amount in $ |
Premium | |||||||||||||||||||
| Outstanding, March 31, 2016 |
440 | 1,100,000 | 10,600,000 | — | 53,175,000 | $666,690 | ||||||||||||||||||
| Call Options Written |
577 | 1,400,000 | 1,800,000 | 1,000,000 | 36,500,000 | 1,603,349 | ||||||||||||||||||
| Put Options Written |
357 | 1,100,000 | — | — | 13,670,000 | 759,852 | ||||||||||||||||||
| Call Options Closed |
— | — | — | — | (5,400,000 | ) | (38,475 | ) | ||||||||||||||||
| Put Options Closed |
— | — | — | — | — | (102,315 | ) | |||||||||||||||||
| Call Options Expired |
(276 | ) | (2,500,000 | ) | (6,100,000 | ) | (1,000,000 | ) | (30,875,000 | ) | (1,485,624 | ) | ||||||||||||
| Put Options Expired |
(164 | ) | (1,100,000 | ) | (6,300,000 | ) | — | (45,270,000 | ) | (728,912 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| Outstanding, March 31, 2017 |
934 | — | — | — | 21,800,000 | $674,565 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-20
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| (h) | Premiums received and value of written options outstanding as of March 31, 2017 were as follows: |
Foreign Currency Options
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||
| Call - CAD versus USD |
CAD 1.36 | 04/07/17 | BRC | $800,000 | $2,368 | ($30 | ) | |||||||||||||||||
| Call - ZAR versus USD |
ZAR 12.98 | 04/25/17 | SCB | 300,000 | 5,799 | (13,140 | ) | |||||||||||||||||
| Call - ZAR versus USD |
13.10 | 04/25/17 | JPM | 900,000 | 7,168 | (33,776 | ) | |||||||||||||||||
| Call - ZAR versus USD |
13.55 | 04/25/17 | HSB | 1,500,000 | 13,313 | (29,692 | ) | |||||||||||||||||
| Call - BRL versus USD |
BRL 3.23 | 04/26/17 | JPM | 600,000 | 3,165 | (3,115 | ) | |||||||||||||||||
| Call - ZAR versus USD |
ZAR 14.00 | 05/02/17 | JPM | 800,000 | 7,560 | (7,560 | ) | |||||||||||||||||
| Call - ZAR versus USD |
13.58 | 06/27/17 | HSB | 200,000 | 2,540 | (7,429 | ) | |||||||||||||||||
| Call - BRL versus USD |
BRL 3.51 | 09/27/17 | JPM | 3,900,000 | 60,450 | (59,870 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $102,363 | ($154,612 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
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 | ($8 | ) | ||||||||||||||||
| Floor - U.S. CPI Urban Consumers NSA |
0.00 | Maximum of ((1 + 0.00%)10 |
09/29/20 | CIT | 600,000 | 7,740 | (36 | ) | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $18,060 | ($44 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
Interest Rate Swaptions
| Description | Pay/Receive Floating Rate |
Floating Rate Index | Exercise Rate |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.800% | 08/20/18 | GSC | $1,200,000 | $26,727 | ($11,025 | ) | |||||||||||||||||||
| Put - 5-Year Interest Rate Swap |
Pay | 3-Month USD-LIBOR | 2.800% | 08/20/18 | MSC | 3,800,000 | 84,793 | (34,913 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $111,520 | ($45,938 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Options on Futures
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Premium | Value | ||||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (04/17) |
$152.50 | 04/07/17 | CME | 3 | $928 | ($422 | ) | |||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/17) |
117.50 | 04/21/17 | CME | 28 | 6,018 | (12,031 | ) | |||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/17) |
117.75 | 04/21/17 | CME | 17 | 5,390 | (4,914 | ) | |||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/17) |
118.00 | 04/21/17 | CME | 6 | 918 | (1,078 | ) | |||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (05/17) |
119.25 | 04/21/17 | CME | 85 | 12,864 | (1,328 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
124.00 | 04/21/17 | CME | 24 | 7,969 | (19,500 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
124.50 | 04/21/17 | CME | 50 | 17,259 | (25,781 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
125.00 | 04/21/17 | CME | 11 | 4,777 | (3,266 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (05/17) |
127.00 | 04/21/17 | CME | 41 | 9,882 | (1,281 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
149.00 | 04/21/17 | CME | 3 | 2,100 | (6,938 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
150.00 | 04/21/17 | CME | 8 | 6,849 | (13,000 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
152.00 | 04/21/17 | CME | 5 | 1,703 | (3,359 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
153.00 | 04/21/17 | CME | 25 | 17,231 | (10,156 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (05/17) |
154.00 | 04/21/17 | CME | 3 | 1,865 | (750 | ) | |||||||||||||||||
| Call - Euro-Bund (05/17) |
EUR 161.00 | 04/21/17 | CME | 25 | 13,262 | (25,070 | ) | |||||||||||||||||
| Call - U.S. Treasury 5-Year Notes (06/17) |
$ 117.50 | 05/26/17 | CME | 16 | 6,948 | (10,625 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/17) |
125.00 | 05/26/17 | CME | 26 | 14,166 | (18,281 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/17) |
127.00 | 05/26/17 | CME | 69 | 29,026 | (15,094 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/17) |
127.50 | 05/26/17 | CME | 23 | 6,535 | (3,594 | ) | |||||||||||||||||
| Call - U.S. Treasury 10-Year Notes (06/17) |
128.00 | 05/26/17 | CME | 11 | 3,746 | (1,375 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/17) |
151.00 | 05/26/17 | CME | 5 | 9,031 | (10,234 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/17) |
152.00 | 05/26/17 | CME | 31 | 29,556 | (49,891 | ) | |||||||||||||||||
| Call - U.S. Treasury 30-Year Bonds (06/17) |
153.00 | 05/26/17 | CME | 11 | 17,339 | (13,750 | ) | |||||||||||||||||
| Call - Euro-Bund (06/17) |
EUR 164.00 | 05/26/17 | CME | 26 | 15,803 | (16,365 | ) | |||||||||||||||||
| Call - Euro-Bund (06/17) |
165.00 | 05/26/17 | CME | 25 | 19,186 | (10,935 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 260,351 | (279,018 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Put - EUR FX (04/17) |
$1.07 | 04/07/17 | CME | 5 | 2,721 | (2,000 | ) | |||||||||||||||||
| Put - EUR FX (04/17) |
1.08 | 04/07/17 | CME | 8 | 6,174 | (9,300 | ) | |||||||||||||||||
| Put - AUD FX (04/17) |
76.00 | 04/07/17 | CME | 3 | 1,010 | (570 | ) | |||||||||||||||||
| Put - JPY FX (04/17) |
86.00 | 04/07/17 | CME | 38 | 25,701 | (238 | ) | |||||||||||||||||
| Put - JPY FX (04/17) |
87.00 | 04/07/17 | CME | 45 | 32,541 | (281 | ) | |||||||||||||||||
| Put - JPY FX (04/17) |
89.00 | 04/07/17 | CME | 4 | 1,087 | (400 | ) | |||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/17) |
116.00 | 04/21/17 | CME | 70 | 12,491 | (1,094 | ) | |||||||||||||||||
| Put - U.S. Treasury 5-Year Notes (05/17) |
117.00 | 04/21/17 | CME | 10 | 1,491 | (781 | ) | |||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-21
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Premium | Value | ||||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/17) |
$121.00 | 04/21/17 | CME | 41 | $10,132 | ($641 | ) | |||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/17) |
123.50 | 04/21/17 | CME | 24 | 6,656 | (3,375 | ) | |||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/17) |
124.00 | 04/21/17 | CME | 12 | 3,899 | (3,000 | ) | |||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (05/17) |
124.50 | 04/21/17 | CME | 11 | 5,121 | (4,984 | ) | |||||||||||||||||
| Put - U.S. Treasury 30-Year Bonds (05/17) |
149.00 | 04/21/17 | CME | 12 | 7,742 | (5,625 | ) | |||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
119.50 | 05/26/17 | CME | 12 | 2,961 | (375 | ) | |||||||||||||||||
| Put - U.S. Treasury 10-Year Notes (06/17) |
121.00 | 05/26/17 | CME | 11 | 3,058 | (859 | ) | |||||||||||||||||
| Put - Euro-Bund (06/17) |
EUR 156.00 | 05/26/17 | CME | 26 | 11,765 | (3,051 | ) | |||||||||||||||||
| Put - Euro-Bund (06/17) |
157.00 | 05/26/17 | CME | 25 | 22,018 | (5,067 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| 156,568 | (41,641 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $416,919 | ($320,659 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
Options on Securities
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||||
| Put - Fannie Mae 3.500% due 05/11/47 |
$100.42 | 05/04/17 | JPM | $2,000,000 | $8,359 | ($1,493 | ) | |||||||||||||||||
| Put - Fannie Mae 3.500% due 05/11/47 |
100.66 | 05/04/17 | JPM | 4,000,000 | 17,344 | (4,036 | ) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $25,703 | ($5,529 | ) | ||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| Total Written Options |
$674,565 | ($526,782 | ) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| (i) | Swap agreements outstanding as of March 31, 2017 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 03/31/17 (2) |
Notional Amount (3) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Colombia Government |
1.000% | 03/20/19 | GSC | 0.485% | $1,800,000 | $18,678 | ($16,452 | ) | $35,130 | |||||||||||||||||||||||
| Colombia Government |
1.000% | 03/20/19 | HSB | 0.485% | 3,500,000 | 36,318 | (28,642 | ) | 64,960 | |||||||||||||||||||||||
| Petrobras Global Finance BV |
1.000% | 12/20/19 | GSC | 1.576% | 300,000 | (4,485 | ) | (32,995 | ) | 28,510 | ||||||||||||||||||||||
| Citigroup Inc |
1.000% | 12/20/20 | JPM | 0.476% | 900,000 | 17,296 | 3,084 | 14,212 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 67,807 | (75,005 | ) | 142,812 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||||||
| Volkswagen International Finance NV |
1.000% | 06/20/17 | ICE | 0.189% | EUR 1,300,000 | 2,445 | 2,269 | 176 | ||||||||||||||||||||||||
| Tesco PLC |
1.000% | 06/20/21 | ICE | 1.527% | 800,000 | (18,655 | ) | (36,183 | ) | 17,528 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (16,210 | ) | (33,914 | ) | 17,704 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $51,597 | ($108,919 | ) | $160,516 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Credit Default Swaps on Credit Indices - Buy Protection (4) | ||||||||||||||||||||||||||||||||
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Exchange | Notional Amount (3) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized (Depreciation) |
|||||||||||||||||||||||||
| CDX HY 27 2Y |
5.000% | 12/20/21 | CME | $7,276,500 | ($573,376 | ) | ($514,744 | ) | ($58,632 | ) | ||||||||||||||||||||||
| CDX HY 28 2Y |
5.000% | 06/20/22 | CME | 820,000 | 59,614 | — | 59,614 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ($513,762 | ) | ($514,744 | ) | $982 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-22
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| Credit Default Swaps on Credit Indices - Sell Protection (1) | ||||||||||||||||||||||||||||||||
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Notional Amount (3) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||||
| CDX IG 9 10Y |
0.548% | 12/20/17 | GSC | $96,450 | $385 | $— | $385 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||||||
| CDX IG 23 5Y |
1.000% | 12/20/19 | CME | 990,000 | 17,094 | 13,423 | 3,671 | |||||||||||||||||||||||||
| CDX IG 25 5Y |
1.000% | 12/20/20 | CME | 2,290,000 | 48,950 | 4,198 | 44,752 | |||||||||||||||||||||||||
| CDX IG 27 5Y |
1.000% | 12/20/21 | CME | 8,890,000 | 164,612 | 143,532 | 21,080 | |||||||||||||||||||||||||
| CDX IG 28 5Y |
1.000% | 06/20/22 | CME | 4,450,000 | 73,625 | 70,621 | 3,004 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 304,281 | 231,774 | 72,507 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $304,666 | $231,774 | $72,892 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ($157,499 | ) | ($391,889 | ) | $234,390 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| (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. |
| (4) | 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. |
| (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 (buy protection) or decreasing values (sell protection), 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 | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.597% | 03/29/19 | $7,860,000 | ($3,261 | ) | $— | ($3,261 | ) | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.138% | 10/17/19 | 12,330,000 | (181,880 | ) | — | (181,880 | ) | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.185% | 06/13/21 | 6,780,000 | (217,948 | ) | — | (217,948 | ) | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.054% | 03/31/22 | 1,330,000 | (724 | ) | — | (724 | ) | |||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| ($403,813 | ) | $— | ($403,813 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| 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 | 1.250% | 06/21/19 | $800,000 | $7,458 | ($1,958 | ) | $9,416 | ||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.000% | 12/16/19 | 700,000 | (4,366 | ) | (15,635 | ) | 11,269 | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/21/20 | 6,300,000 | 119,152 | 143,709 | (24,557 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/21/21 | 18,500,000 | 554,265 | 558,224 | (3,959 | ) | ||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.250% | 06/21/22 | 2,000,000 | 84,002 | 83,714 | 288 | |||||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.897% | 08/31/22 | 10,000,000 | 105,345 | — | 105,345 | |||||||||||||||||
| 6-Month GBP-LIBOR |
LCH | 1.000% | 09/20/22 | GBP 5,300,000 | (22,924 | ) | (34,749 | ) | 11,825 | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.900% | 11/30/22 | $20,584,000 | 252,192 | — | 252,192 | |||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.250% | 12/16/22 | 17,900,000 | (125,309 | ) | (427,592 | ) | 302,283 | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.267% | 05/15/23 | 36,224,000 | 1,888,353 | 627,471 | 1,260,882 | |||||||||||||||||
| 6-Month JPY-LIBOR |
CME | 0.300% | 03/18/26 | JPY 1,430,000,000 | (81,448 | ) | (84,257 | ) | 2,809 | |||||||||||||||
| 3-Month USD-LIBOR |
CME | 1.580% | 06/13/26 | $6,760,000 | 451,532 | 954 | 450,578 | |||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.250% | 06/15/26 | 1,900,000 | 16,014 | 6,758 | 9,256 | |||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-23
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| 6-Month GBP-LIBOR |
LCH | 1.500% | 09/20/27 | GBP 6,000,000 | ($174,328 | ) | ($156,701 | ) | ($17,627 | ) | ||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.750% | 12/16/45 | $22,900,000 | (282,646 | ) | (1,100,242 | ) | 817,596 | |||||||||||||||||||
| 3-Month JPY-LIBOR |
CME | 0.641% | 05/09/46 | JPY 187,300,000 | 99,779 | — | 99,779 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
CME | 2.500% | 06/15/46 | $700,000 | 28,713 | (30,146 | ) | 58,859 | ||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.500% | 06/15/46 | 400,000 | 13,258 | 2,082 | 11,176 | |||||||||||||||||||||
| 3-Month CAD-CDOR |
CME | 1.750% | 12/16/46 | CAD 300,000 | 32,715 | (4,049 | ) | 36,764 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $2,961,757 | ($432,417 | ) | $3,394,174 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $2,557,944 | ($432,417 | ) | $2,990,361 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Swap Agreements |
$2,400,445 | ($824,306 | ) | $3,224,751 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (j) | 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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$256,997,980 | $— | $256,997,980 | $— | |||||||||||||
| Senior Loan Notes |
19,100,551 | — | 19,100,551 | — | ||||||||||||||
| Mortgage-Backed Securities |
||||||||||||||||||
| Collateralized Mortgage Obligations - Commercial |
37,409,021 | — | 36,396,066 | 1,012,955 | ||||||||||||||
| Collateralized Mortgage Obligations - Residential |
52,360,509 | — | 52,360,509 | — | ||||||||||||||
| Fannie Mae |
154,633,230 | — | 154,633,230 | — | ||||||||||||||
| Freddie Mac |
40,758,347 | — | 40,758,347 | — | ||||||||||||||
| Government National Mortgage Association |
27,351,886 | — | 27,351,886 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Mortgage-Backed Securities |
312,512,993 | — | 311,500,038 | 1,012,955 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Asset-Backed Securities |
54,985,201 | — | 54,368,451 | 616,750 | ||||||||||||||
| U.S. Government Agency Issues |
7,356,466 | — | 7,356,466 | — | ||||||||||||||
| U.S. Treasury Obligations |
141,329,898 | — | 141,329,898 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
34,343,091 | — | 34,343,091 | — | ||||||||||||||
| Municipal Bonds |
7,035,738 | — | 7,035,738 | — | ||||||||||||||
| Short-Term Investments |
110,635,846 | 63,162,260 | 47,473,586 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
439,017 | — | 439,017 | — | ||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Futures |
315,729 | 315,729 | — | — | ||||||||||||||
| Forward Foreign Currency Contracts |
2,085,273 | — | 2,085,273 | — | ||||||||||||||
| Purchased Options |
991,305 | — | 991,305 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
3,392,307 | 315,729 | 3,076,578 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
1,210,466 | 1,210,466 | — | — | ||||||||||||||
| Purchased Options |
173,426 | — | 173,426 | — | ||||||||||||||
| Swaps |
3,652,778 | — | 3,652,778 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
5,036,670 | 1,210,466 | 3,826,204 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
8,867,994 | 1,526,195 | 7,341,799 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
953,165,758 | 64,688,455 | 886,847,598 | 1,629,705 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
(596,516 | ) | — | (596,516 | ) | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Futures |
(492,943 | ) | (492,943 | ) | — | — | ||||||||||||
| Forward Foreign Currency Contracts |
(2,610,662 | ) | — | (2,610,662 | ) | — | ||||||||||||
| Written Options |
(167,401 | ) | — | (167,401 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(3,271,006 | ) | (492,943 | ) | (2,778,063 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(1,639,871 | ) | (1,639,871 | ) | — | — | ||||||||||||
| Written Options |
(359,381 | ) | — | (359,381 | ) | — | ||||||||||||
| Swaps |
(1,094,834 | ) | — | (1,094,834 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(3,094,086 | ) | (1,639,871 | ) | (1,454,215 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(6,961,608 | ) | (2,132,814 | ) | (4,828,794 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(6,961,608 | ) | (2,132,814 | ) | (4,828,794 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$946,204,150 | $62,555,641 | $882,018,804 | $1,629,705 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-24
PACIFIC FUNDS
PF MANAGED BOND FUND
Schedule of Investments (Continued)
March 31, 2017
Certain liabilities of the Fund are held at carrying amount, which approximates fair value for financial statement purposes. As of March 31, 2017 such liabilities are categorized within the three-tier hierarchy of inputs as follows:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Liabilities |
Sale-buyback Financing Transactions |
($43,991,628 | ) | $— | ($43,991,628 | ) | $— | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-25
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-26
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-27
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-28
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-29
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-30
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-31
PACIFIC FUNDS
PF SHORT DURATION BOND FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$84,919,056 | $— | $84,919,056 | $— | |||||||||||||
| Mortgage-Backed Securities |
18,812,583 | — | 18,812,583 | — | ||||||||||||||
| Asset-Backed Securities |
39,218,791 | — | 39,218,791 | — | ||||||||||||||
| U.S. Treasury Obligations |
21,400,667 | — | 21,400,667 | — | ||||||||||||||
| Municipal Bonds |
151,353 | — | 151,353 | — | ||||||||||||||
| Short-Term Investments |
4,363,762 | 2,616,512 | 1,747,250 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
42,935 | 42,935 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
168,909,147 | 2,659,447 | 166,249,700 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
||||||||||||||||||
| Derivatives: |
||||||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(27,243 | ) | (27,243 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(27,243 | ) | (27,243 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$168,881,904 | $2,632,204 | $166,249,700 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-32
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-33
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-34
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-35
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-36
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| (c) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| ARS | 3,167,528 | USD | 194,500 | 04/17 | BNP | $9,006 | ||||||||||||||
| ARS | 1,445,511 | USD | 88,000 | 04/17 | JPM | 4,870 | ||||||||||||||
| BRL | 627,164 | USD | 201,333 | 04/17 | CIT | (1,183 | ) | |||||||||||||
| BRL | 608,033 | USD | 194,758 | 04/17 | HSB | (712 | ) | |||||||||||||
| BRL | 1,136,572 | USD | 364,157 | 04/17 | MSC | (1,436 | ) | |||||||||||||
| BRL | 1,970,273 | USD | 620,558 | 04/17 | MSC | 8,227 | ||||||||||||||
| BRL | 644,284 | USD | 205,000 | 05/17 | DUB | (745 | ) | |||||||||||||
| BRL | 3,339,405 | USD | 1,060,650 | 05/17 | MER | (1,967 | ) | |||||||||||||
| BRL | 431,325 | USD | 135,000 | 05/17 | MER | 1,742 | ||||||||||||||
| CLP | 64,486,454 | USD | 100,049 | 04/17 | CIT | (2,462 | ) | |||||||||||||
| CLP | 165,919,800 | USD | 248,000 | 04/17 | CSF | 3,085 | ||||||||||||||
| CLP | 117,351,000 | USD | 177,000 | 04/17 | DUB | 586 | ||||||||||||||
| CLP | 58,559,225 | USD | 88,145 | 04/17 | HSB | 472 | ||||||||||||||
| CNH | 7,234,593 | USD | 1,081,204 | 05/17 | HSB | (31,929 | ) | |||||||||||||
| CNY | 588,455 | USD | 85,000 | 06/17 | ANZ | (80 | ) | |||||||||||||
| CNY | 6,838,660 | USD | 981,156 | 06/17 | ANZ | 5,727 | ||||||||||||||
| COP | 146,275,000 | USD | 50,000 | 04/17 | BNP | 681 | ||||||||||||||
| COP | 103,215,000 | USD | 35,000 | 04/17 | DUB | 762 | ||||||||||||||
| COP | 533,750,229 | USD | 178,364 | 04/17 | MER | 6,569 | ||||||||||||||
| CZK | 1,068,158 | EUR | 39,876 | 09/17 | JPM | 7 | ||||||||||||||
| CZK | 14,467,140 | EUR | 540,000 | 09/17 | MER | 189 | ||||||||||||||
| CZK | 10,393,592 | USD | 417,246 | 04/17 | CIT | (4,790 | ) | |||||||||||||
| CZK | 5,123,074 | USD | 207,274 | 01/18 | BNP | 275 | ||||||||||||||
| CZK | 3,330,287 | USD | 134,933 | 01/18 | CIT | (15 | ) | |||||||||||||
| CZK | 2,405,089 | USD | 97,410 | 01/18 | SCB | 27 | ||||||||||||||
| EGP | 599,720 | USD | 36,490 | 04/17 | GSC | (3,449 | ) | |||||||||||||
| EGP | 1,575,222 | USD | 93,827 | 05/17 | DUB | (7,299 | ) | |||||||||||||
| EGP | 219,600 | USD | 13,150 | 05/17 | HSB | (1,091 | ) | |||||||||||||
| EUR | 111,500 | CZK | 3,002,474 | 09/17 | CIT | (652 | ) | |||||||||||||
| EUR | 81,916 | CZK | 2,199,940 | 09/17 | JPM | (243 | ) | |||||||||||||
| EUR | 494,500 | USD | 533,748 | 05/17 | BNP | (4,718 | ) | |||||||||||||
| EUR | 98,734 | USD | 105,729 | 05/17 | CIT | (101 | ) | |||||||||||||
| HUF | 14,178,784 | USD | 48,912 | 04/17 | BNP | 147 | ||||||||||||||
| HUF | 7,310,163 | USD | 25,000 | 04/17 | HSB | 293 | ||||||||||||||
| HUF | 93,920,661 | USD | 326,681 | 04/17 | JPM | (1,713 | ) | |||||||||||||
| HUF | 15,600,200 | USD | 55,000 | 04/17 | SCB | (1,023 | ) | |||||||||||||
| HUF | 97,754,158 | USD | 344,387 | 06/17 | JPM | (5,369 | ) | |||||||||||||
| IDR | 1,797,100,758 | USD | 134,002 | 04/17 | ANZ | 460 | ||||||||||||||
| IDR | 1,504,720,000 | USD | 112,000 | 04/17 | BNP | 585 | ||||||||||||||
| IDR | 607,000,000 | USD | 45,204 | 05/17 | HSB | 37 | ||||||||||||||
| IDR | 1,345,700,000 | USD | 100,000 | 07/17 | ANZ | (363 | ) | |||||||||||||
| ILS | 743,281 | USD | 196,355 | 04/17 | BNP | 9,001 | ||||||||||||||
| INR | 3,262,500 | USD | 50,000 | 04/17 | BNP | 47 | ||||||||||||||
| INR | 38,681,520 | USD | 573,144 | 04/17 | GSC | 20,227 | ||||||||||||||
| INR | 73,000,000 | USD | 1,078,765 | 05/17 | MSC | 36,122 | ||||||||||||||
| KRW | 122,309,000 | USD | 110,000 | 05/17 | BNP | (551 | ) | |||||||||||||
| KRW | 1,126,846,997 | USD | 1,003,997 | 05/17 | BNP | 4,368 | ||||||||||||||
| MXN | 21,913,801 | USD | 1,046,133 | 04/17 | DUB | 119,280 | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-37
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| MXN | 491,735 | USD | 25,000 | 04/17 | HSB | $ | 1,151 | |||||||||||||
| MXN | 9,994,932 | USD | 512,962 | 04/17 | JPM | 18,586 | ||||||||||||||
| MXN | 8,135,201 | USD | 420,859 | 07/17 | SCB | 5,685 | ||||||||||||||
| PEN | 65,120 | USD | 20,000 | 04/17 | BNP | (7 | ) | |||||||||||||
| PEN | 158,650 | USD | 48,229 | 04/17 | BNP | 479 | ||||||||||||||
| PEN | 1,716,021 | USD | 507,924 | 04/17 | CSF | 18,919 | ||||||||||||||
| PHP | 8,091,017 | USD | 159,586 | 05/17 | ANZ | 1,205 | ||||||||||||||
| PHP | 1,006,800 | USD | 20,000 | 05/17 | MER | 8 | ||||||||||||||
| PLN | 370,966 | USD | 95,000 | 04/17 | BNP | (1,484 | ) | |||||||||||||
| PLN | 61,127 | USD | 15,000 | 04/17 | BNP | 409 | ||||||||||||||
| PLN | 198,744 | USD | 48,984 | 04/17 | BRC | 1,117 | ||||||||||||||
| PLN | 3,294,339 | USD | 842,839 | 04/17 | HSB | (12,380 | ) | |||||||||||||
| PLN | 1,716,949 | USD | 422,078 | 05/17 | MER | 10,606 | ||||||||||||||
| RON | 167,336 | USD | 40,000 | 04/17 | BNP | (774 | ) | |||||||||||||
| RON | 77,095 | USD | 18,191 | 04/17 | UBS | (119 | ) | |||||||||||||
| RON | 1,683,746 | USD | 396,054 | 05/17 | SCB | (1,072 | ) | |||||||||||||
| RUB | 1,148,250 | USD | 20,000 | 04/17 | BNP | 268 | ||||||||||||||
| RUB | 65,966,890 | USD | 1,123,319 | 04/17 | DUB | 41,080 | ||||||||||||||
| RUB | 2,354,800 | USD | 40,000 | 04/17 | MER | 1,565 | ||||||||||||||
| RUB | 26,433,238 | USD | 458,056 | 05/17 | HSB | 4,800 | ||||||||||||||
| SGD | 295,907 | USD | 210,692 | 05/17 | ANZ | 946 | ||||||||||||||
| SGD | 104,479 | USD | 75,000 | 05/17 | BNP | (275 | ) | |||||||||||||
| SGD | 77,677 | USD | 55,000 | 05/17 | BRC | 556 | ||||||||||||||
| THB | 2,579,250 | USD | 75,000 | 04/17 | HSB | 42 | ||||||||||||||
| THB | 4,747,360 | USD | 134,486 | 05/17 | BRC | 3,595 | ||||||||||||||
| THB | 20,024,000 | USD | 566,610 | 05/17 | SCB | 15,805 | ||||||||||||||
| THB | 14,316,000 | USD | 405,524 | 05/17 | UBS | 10,869 | ||||||||||||||
| TRY | 112,102 | USD | 29,577 | 04/17 | BNP | 1,022 | ||||||||||||||
| TRY | 255,220 | USD | 70,000 | 04/17 | MER | (337 | ) | |||||||||||||
| TRY | 591,639 | USD | 158,984 | 04/17 | MER | 2,504 | ||||||||||||||
| TWD | 1,651,925 | USD | 55,000 | 05/17 | ANZ | (410 | ) | |||||||||||||
| TWD | 21,651,473 | USD | 708,607 | 05/17 | HSB | 6,896 | ||||||||||||||
| USD | 90,000 | ARS | 1,424,100 | 04/17 | BNP | (1,494 | ) | |||||||||||||
| USD | 60,000 | ARS | 933,600 | 04/17 | BNP | 19 | ||||||||||||||
| USD | 316,030 | BRL | 1,002,637 | 04/17 | BNP | (3,948 | ) | |||||||||||||
| USD | 1,066,902 | BRL | 3,339,405 | 04/17 | MER | 1,178 | ||||||||||||||
| USD | 650,000 | BRL | 2,313,958 | 10/17 | DUB | (60,107 | ) | |||||||||||||
| USD | 650,000 | BRL | 2,309,450 | 10/17 | GSC | (58,724 | ) | |||||||||||||
| USD | 1,250,000 | BRL | 4,418,125 | 01/18 | BNP | (85,093 | ) | |||||||||||||
| USD | 343,144 | CLP | 223,304,700 | 04/17 | CSF | 5,219 | ||||||||||||||
| USD | 1,081,000 | CNH | 7,234,593 | 05/17 | HSB | 31,725 | ||||||||||||||
| USD | 117,360 | COP | 352,918,713 | 04/17 | BNP | (4,919 | ) | |||||||||||||
| USD | 426,951 | COP | 1,274,533,471 | 04/17 | CSF | (14,647 | ) | |||||||||||||
| USD | 63,668 | CZK | 1,607,512 | 04/17 | HSB | (124 | ) | |||||||||||||
| USD | 625,941 | EUR | 593,234 | 05/17 | MER | (8,717 | ) | |||||||||||||
| USD | 438,094 | EUR | 407,131 | 01/18 | BNP | (2,702 | ) | |||||||||||||
| USD | 108,830 | HUF | 31,865,500 | 04/17 | CSF | (1,426 | ) | |||||||||||||
| USD | 180,000 | IDR | 2,413,800,000 | 04/17 | BNP | (604 | ) | |||||||||||||
| USD | 30,000 | IDR | 402,600,000 | 04/17 | MSC | (123 | ) | |||||||||||||
| USD | 45,030 | IDR | 607,000,000 | 05/17 | DUB | (211 | ) | |||||||||||||
| USD | 44,830 | IDR | 607,000,000 | 07/17 | HSB | (113 | ) | |||||||||||||
| USD | 30,000 | ILS | 110,087 | 04/17 | JPM | (416 | ) | |||||||||||||
| USD | 22,190 | ILS | 81,148 | 04/17 | MER | (230 | ) | |||||||||||||
| USD | 65,000 | INR | 4,354,025 | 04/17 | BNP | (1,791 | ) | |||||||||||||
| USD | 215,310 | INR | 14,309,503 | 04/17 | MSC | (4,197 | ) | |||||||||||||
| USD | 186,013 | INR | 12,144,788 | 05/17 | DUB | 533 | ||||||||||||||
| USD | 84,643 | MXN | 1,619,197 | 04/17 | BNP | (1,469 | ) | |||||||||||||
| USD | 365,789 | MXN | 6,877,451 | 04/17 | BRC | 34 | ||||||||||||||
| USD | 80,000 | MXN | 1,504,960 | 04/17 | CIT | (36 | ) | |||||||||||||
| USD | 31,121 | MXN | 613,510 | 04/17 | HSB | (1,506 | ) | |||||||||||||
| USD | 268,060 | MXN | 5,286,334 | 04/17 | MER | (13,076 | ) | |||||||||||||
| USD | 1,488,304 | MXN | 33,030,664 | 04/17 | SCB | (268,324 | ) | |||||||||||||
| USD | 90,293 | PEN | 300,000 | 04/17 | BNP | (1,811 | ) | |||||||||||||
| USD | 41,155 | PEN | 136,673 | 04/17 | DUB | (805 | ) | |||||||||||||
| USD | 98,950 | PEN | 327,238 | 04/17 | MER | (1,517 | ) | |||||||||||||
| USD | 172,000 | PLN | 700,793 | 04/17 | BNP | (4,661 | ) | |||||||||||||
| USD | 161,631 | PLN | 640,330 | 04/17 | HSB | 211 | ||||||||||||||
| USD | 65,960 | RON | 281,511 | 04/17 | CIT | (31 | ) | |||||||||||||
| USD | 172,000 | RUB | 10,276,253 | 04/17 | BNP | (9,389 | ) | |||||||||||||
| USD | 197,720 | RUB | 11,504,536 | 04/17 | DUB | (5,350 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-38
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 141,790 | RUB | 8,365,256 | 04/17 | GSC | ($5,867 | ) | |||||||||||||||
| USD | 410,559 | RUB | 24,791,372 | 04/17 | SCB | (27,041 | ) | |||||||||||||||
| USD | 360,000 | SGD | 509,040 | 05/17 | HSB | (4,076 | ) | |||||||||||||||
| USD | 107,760 | TRY | 392,507 | 04/17 | UBS | 624 | ||||||||||||||||
| USD | 112,180 | TWD | 3,461,314 | 05/17 | SCB | (2,204 | ) | |||||||||||||||
| USD | 698,177 | ZAR | 9,506,126 | 04/17 | BRC | (6,957 | ) | |||||||||||||||
| USD | 106,000 | ZAR | 1,395,077 | 04/17 | SCB | 2,518 | ||||||||||||||||
| ZAR | 3,637,160 | USD | 271,560 | 04/17 | BNP | (1,768 | ) | |||||||||||||||
| ZAR | 1,730,202 | USD | 131,499 | 04/17 | HSB | (3,158 | ) | |||||||||||||||
| ZAR | 337,580 | USD | 24,955 | 04/17 | HSB | 86 | ||||||||||||||||
| ZAR | 5,050,583 | USD | 379,629 | 04/17 | JPM | (4,993 | ) | |||||||||||||||
| ZAR | 461,900 | USD | 34,905 | 04/17 | MER | (642 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
($279,964 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| (d) | Swap agreements outstanding as of March 31, 2017 were as follows: |
Interest Rate Swaps – Pay Floating Rate
| Floating Rate Index | Counter- party |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Paid |
Unrealized Appreciation |
|||||||||||||||||||||
| 3-Month MYR-KLIBOR |
HSB | 3.555% | 03/18/18 | MYR 2,300,000 | ($23 | ) | $— | ($23 | ) | |||||||||||||||||||
| Brazil CETIP Interbank |
BNP | 10.495% | 01/02/20 | BRL 2,756,829 | 17,507 | — | 17,507 | |||||||||||||||||||||
| Brazil CETIP Interbank |
HSB | 15.715% | 01/04/21 | 1,721,567 | 163,648 | — | 163,648 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 181,132 | — | 181,132 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 7.130% | 02/07/19 | MXN 15,600,000 | (123 | ) | — | (123 | ) | |||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 8.100% | 01/01/27 | 3,500,000 | 9,501 | — | 9,501 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 9,378 | — | 9,378 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $190,510 | $— | $190,510 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
Interest Rate Swaps – Receive Floating Rate
| Floating Rate Index |
Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Paid |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.130% | 11/16/26 | $300,000 | $6,340 | $— | $6,340 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.217% | 11/28/26 | 260,000 | 3,535 | — | 3,535 | |||||||||||||||||||||
| 28-Day MXN-TIIE |
CME | 7.971% | 02/10/27 | MXN 3,300,000 | (7,054 | ) | — | (7,054 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $2,821 | $— | $2,821 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $193,331 | $— | $193,331 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
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 621,000,000 | $58,237 | $63,849 | ($5,612 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/24 |
ANZ | 03/15/24 | 369,000,000 | 29,652 | 32,037 | (2,385 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/24 |
SCB | 03/15/24 | 112,000,000 | 9,000 | 9,724 | (724 | ) | |||||||||||||||||
| Indonesia Treasury 11.000% due 09/15/25 |
SCB | 09/15/25 | 432,000,000 | 40,582 | 50,454 | (9,872 | ) | |||||||||||||||||
| Indonesia Treasury 7.000% due 05/15/27 |
SCB | 05/15/27 | 100,000,000 | 7,703 | 7,231 | 472 | ||||||||||||||||||
| Indonesia Treasury 9.000% due 03/15/29 |
ANZ | 03/15/29 | 311,000,000 | 26,031 | 23,673 | 2,358 | ||||||||||||||||||
| Indonesia Treasury 10.500% due 08/15/30 |
SCB | 08/15/30 | 622,000,000 | 58,956 | 72,918 | (13,962 | ) | |||||||||||||||||
| Indonesia Treasury 6.625% due 05/15/33 |
SCB | 05/15/33 | 270,000,000 | 18,892 | 22,811 | (3,919 | ) | |||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/34 |
ANZ | 03/15/34 | 1,261,000,000 | 100,864 | 100,244 | 620 | ||||||||||||||||||
| Indonesia Treasury 8.375% due 03/15/34 |
SCB | 03/15/34 | 42,000,000 | 3,359 | 3,339 | 20 | ||||||||||||||||||
| Indonesia Treasury 8.250% due 05/15/36 |
SCB | 05/15/36 | 980,000,000 | 80,378 | 73,525 | 6,853 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| $433,654 | $459,805 | ($26,151 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| Total Swap Agreements |
$626,985 | $459,805 | $167,180 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-39
PACIFIC FUNDS
PF EMERGING MARKETS DEBT FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Corporate Bonds & Notes |
$9,679,873 | $— | $9,679,873 | $— | |||||||||||||
| Senior Loan Notes |
765,404 | — | 765,404 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
29,015,094 | — | 29,015,094 | — | ||||||||||||||
| Short-Term Investment |
1,673,109 | 1,673,109 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
423,052 | — | 423,052 | — | ||||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
634,185 | — | 634,185 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets-Derivatives |
1,057,237 | — | 1,057,237 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
42,190,717 | 1,673,109 | 40,517,608 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(703,016 | ) | — | (703,016 | ) | — | ||||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
(7,200 | ) | — | (7,200 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities-Derivatives |
(710,216 | ) | — | (710,216 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(710,216 | ) | — | (710,216 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$41,480,501 | $1,673,109 | $39,807,392 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-40
PACIFIC FUNDS
PF COMSTOCK FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-41
PACIFIC FUNDS
PF COMSTOCK FUND
Schedule of Investments (Continued)
March 31, 2017
Notes to Schedule of Investments
| (b) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 1,216,601 | CAD | 1,640,177 | 04/17 | BRC | ($17,130 | ) | |||||||||||||||
| USD | 1,216,929 | CAD | 1,640,177 | 04/17 | CIB | (16,802 | ) | |||||||||||||||
| USD | 1,216,878 | CAD | 1,640,169 | 04/17 | GSC | (16,848 | ) | |||||||||||||||
| USD | 1,216,622 | CAD | 1,640,177 | 04/17 | RBC | (17,109 | ) | |||||||||||||||
| USD | 426,995 | CHF | 429,593 | 04/17 | BRC | (2,409 | ) | |||||||||||||||
| USD | 426,818 | CHF | 429,593 | 04/17 | CIB | (2,586 | ) | |||||||||||||||
| USD | 426,888 | CHF | 429,598 | 04/17 | GSC | (2,522 | ) | |||||||||||||||
| USD | 427,111 | CHF | 429,593 | 04/17 | RBC | (2,293 | ) | |||||||||||||||
| USD | 1,593,822 | EUR | 1,496,132 | 04/17 | BRC | (3,760 | ) | |||||||||||||||
| USD | 1,592,632 | EUR | 1,496,132 | 04/17 | CIB | (4,949 | ) | |||||||||||||||
| USD | 1,593,240 | EUR | 1,496,147 | 04/17 | GSC | (4,358 | ) | |||||||||||||||
| USD | 1,593,919 | EUR | 1,496,132 | 04/17 | RBC | (3,663 | ) | |||||||||||||||
| USD | 888,857 | GBP | 731,236 | 04/17 | BRC | (27,756 | ) | |||||||||||||||
| USD | 889,117 | GBP | 731,236 | 04/17 | CIB | (27,497 | ) | |||||||||||||||
| USD | 889,008 | GBP | 731,255 | 04/17 | GSC | (27,629 | ) | |||||||||||||||
| USD | 889,150 | GBP | 731,236 | 04/17 | RBC | (27,464 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
($204,775 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$3,535,880 | $3,535,880 | $— | $— | ||||||||||||||
| Communications |
15,750,841 | 14,583,511 | 1,167,330 | — | ||||||||||||||
| Consumer, Cyclical |
14,324,738 | 14,324,738 | — | — | ||||||||||||||
| Consumer, Non-Cyclical |
25,735,830 | 23,754,044 | 1,981,786 | — | ||||||||||||||
| Energy |
28,090,115 | 28,090,115 | — | — | ||||||||||||||
| Financial |
64,117,106 | 64,117,106 | — | — | ||||||||||||||
| Industrial |
17,401,409 | 17,401,409 | — | — | ||||||||||||||
| Technology |
8,100,170 | 8,100,170 | — | — | ||||||||||||||
| Utilities |
1,204,896 | 1,204,896 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
178,260,985 | 175,111,869 | 3,149,116 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
5,230,156 | 5,230,156 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
183,491,141 | 180,342,025 | 3,149,116 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(204,775 | ) | — | (204,775 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(204,775 | ) | — | (204,775 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$183,286,366 | $180,342,025 | $2,944,341 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-42
PACIFIC FUNDS
PF DEVELOPING GROWTH FUND (Formerly named PF Small-Cap Growth Fund)
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-43
PACIFIC FUNDS
PF DEVELOPING GROWTH FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Warrants |
$30 | $— | $30 | $— | |||||||||||||
| Common Stocks |
8,721,388 | 8,721,388 | — | — | ||||||||||||||
| Short-Term Investment |
101,776 | 101,776 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$8,823,194 | $8,823,164 | $30 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-44
PACIFIC FUNDS
PF GROWTH FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-45
PACIFIC FUNDS
PF GROWTH FUND
Schedule of Investments (Continued)
March 31, 2017
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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$3,163,794 | $3,163,794 | $— | $— | ||||||||||||||
| Communications |
28,087,455 | 28,087,455 | — | — | ||||||||||||||
| Consumer, Cyclical |
12,941,198 | 12,941,198 | — | — | ||||||||||||||
| Consumer, Non-cyclical |
32,080,004 | 31,257,692 | 822,312 | — | ||||||||||||||
| Energy |
1,230,716 | 1,230,716 | — | — | ||||||||||||||
| Financial |
17,803,115 | 17,803,115 | — | — | ||||||||||||||
| Industrial |
9,982,386 | 9,982,386 | — | — | ||||||||||||||
| Technology |
27,862,479 | 27,862,479 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
133,151,147 | 132,328,835 | 822,312 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,831,779 | 1,831,779 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$134,982,926 | $134,160,614 | $822,312 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-46
PACIFIC FUNDS
PF LARGE-CAP GROWTH FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-47
PACIFIC FUNDS
PF LARGE-CAP GROWTH FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$1,816,692 | $1,816,692 | $— | $— | ||||||||||||||
| Communications |
26,306,262 | 23,874,738 | 2,431,524 | — | ||||||||||||||
| Consumer, Cyclical |
6,988,273 | 6,988,273 | — | — | ||||||||||||||
| Consumer, Non-Cyclical |
21,561,228 | 21,561,228 | — | — | ||||||||||||||
| Energy |
1,176,765 | 1,176,765 | — | — | ||||||||||||||
| Financial |
10,963,571 | 10,963,571 | — | — | ||||||||||||||
| Industrial |
3,374,686 | 3,374,686 | — | — | ||||||||||||||
| Technology |
16,985,338 | 16,985,338 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
89,172,815 | 86,741,291 | 2,431,524 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
112,133 | 112,133 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$89,284,948 | $86,853,424 | $2,431,524 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-48
PACIFIC FUNDS
PF LARGE-CAP VALUE FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-49
PACIFIC FUNDS
PF LARGE-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$9,721,473 | $9,721,473 | $— | $— | ||||||||||||||
| Communications |
61,163,555 | 56,244,800 | 4,918,755 | — | ||||||||||||||
| Consumer, Cyclical |
17,550,615 | 17,550,615 | — | — | ||||||||||||||
| Consumer, Non-Cyclical |
80,167,627 | 80,167,627 | — | — | ||||||||||||||
| Energy |
51,430,213 | 51,430,213 | — | — | ||||||||||||||
| Financial |
119,327,324 | 119,327,324 | — | — | ||||||||||||||
| Industrial |
60,659,215 | 60,659,215 | — | — | ||||||||||||||
| Technology |
20,801,491 | 20,801,491 | — | — | ||||||||||||||
| Utilities |
6,624,033 | 6,624,033 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
427,445,546 | 422,526,791 | 4,918,755 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
2,263,826 | 2,263,826 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$429,709,372 | $424,790,617 | $4,918,755 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-50
PACIFIC FUNDS
PF MAIN STREET® CORE FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-51
PACIFIC FUNDS
PF MAIN STREET CORE FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$7,274,346 | $7,274,346 | $— | $— | ||||||||||||||
| Communications |
39,157,125 | 39,157,125 | — | — | ||||||||||||||
| Consumer, Cyclical |
25,456,050 | 25,456,050 | — | — | ||||||||||||||
| Consumer, Non-Cyclical |
71,914,755 | 71,914,755 | — | — | ||||||||||||||
| Energy |
18,782,507 | 18,782,507 | — | — | ||||||||||||||
| Financial |
57,878,087 | 57,878,087 | — | — | ||||||||||||||
| Industrial |
35,820,659 | 35,820,659 | — | — | ||||||||||||||
| Technology |
34,419,803 | 34,419,803 | — | — | ||||||||||||||
| Utilities |
10,501,283 | 6,576,476 | 3,924,807 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
301,204,615 | 297,279,808 | 3,924,807 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,035,049 | 1,035,049 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$302,239,664 | $298,314,857 | $3,924,807 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-52
PACIFIC FUNDS
PF MID-CAP EQUITY FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-53
PACIFIC FUNDS
PF MID-CAP EQUITY FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$65,492,633 | $65,492,633 | $— | $— | |||||||||||||
| Short-Term Investment |
927,795 | 927,795 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$66,420,428 | $66,420,428 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-54
PACIFIC FUNDS
PF MID-CAP GROWTH FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-55
PACIFIC FUNDS
PF MID-CAP GROWTH FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Basic Materials |
$98,178 | $98,178 | $— | $— | ||||||||||||||
| Communications |
914,408 | 914,408 | — | — | ||||||||||||||
| Consumer, Cyclical |
3,305,041 | 3,104,729 | 200,312 | — | ||||||||||||||
| Consumer, Non-Cyclical |
4,229,159 | 4,229,159 | — | — | ||||||||||||||
| Energy |
605,714 | 605,714 | — | — | ||||||||||||||
| Financial |
1,459,511 | 1,459,511 | — | — | ||||||||||||||
| Industrial |
1,893,495 | 1,893,495 | — | — | ||||||||||||||
| Technology |
1,818,278 | 1,818,278 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
14,323,784 | 14,123,472 | 200,312 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
248,914 | 248,914 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$14,572,698 | $14,372,386 | $200,312 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-56
PACIFIC FUNDS
PF MID-CAP VALUE FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-57
PACIFIC FUNDS
PF MID-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$193,017,245 | $193,017,245 | $— | $— | |||||||||||||
| Short-Term Investment |
3,955,996 | 3,955,996 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$196,973,241 | $196,973,241 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-58
PACIFIC FUNDS
PF SMALL-CAP VALUE FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-59
PACIFIC FUNDS
PF SMALL-CAP VALUE FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$116,553,275 | $116,553,275 | $— | $— | |||||||||||||
| Short-Term Investment |
2,028,739 | 2,028,739 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$118,582,014 | $118,582,014 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-60
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-61
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-62
PACIFIC FUNDS
PF EMERGING MARKETS FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Warrants |
$2,364 | $2,364 | $— | $— | |||||||||||||
| Preferred Stocks |
3,029,917 | 3,029,917 | — | — | ||||||||||||||
| Common Stocks |
||||||||||||||||||
| Argentina |
296,058 | 296,058 | — | — | ||||||||||||||
| Brazil |
11,388,728 | 11,388,728 | — | — | ||||||||||||||
| China |
44,089,756 | 24,849,636 | 19,240,120 | — | ||||||||||||||
| Colombia |
2,338,652 | 2,338,652 | — | — | ||||||||||||||
| Egypt |
994,862 | 994,862 | — | — | ||||||||||||||
| France |
5,879,731 | — | 5,879,731 | — | ||||||||||||||
| Hong Kong |
10,981,785 | 466,466 | 10,515,319 | — | ||||||||||||||
| India |
29,942,581 | — | 29,942,581 | — | ||||||||||||||
| Indonesia |
4,510,256 | — | 4,510,256 | — | ||||||||||||||
| Italy |
3,158,889 | — | 3,158,889 | — | ||||||||||||||
| Japan |
2,521,641 | — | 2,521,641 | — | ||||||||||||||
| Jordan |
417,795 | — | 417,795 | — | ||||||||||||||
| Malaysia |
3,598,007 | — | 3,598,007 | — | ||||||||||||||
| Mexico |
9,500,588 | 9,500,588 | — | — | ||||||||||||||
| Nigeria |
860,731 | 860,731 | — | — | ||||||||||||||
| Peru |
517,661 | 517,661 | — | — | ||||||||||||||
| Philippines |
6,926,343 | 209,096 | 6,717,247 | — | ||||||||||||||
| Poland |
2,609,012 | — | 2,609,012 | — | ||||||||||||||
| Russia |
18,218,998 | — | 18,218,998 | — | ||||||||||||||
| South Africa |
1,616,738 | — | 1,616,738 | — | ||||||||||||||
| South Korea |
6,099,459 | 241,303 | 5,858,156 | — | ||||||||||||||
| Spain |
637,838 | 637,838 | — | — | ||||||||||||||
| Switzerland |
3,273,709 | — | 3,273,709 | — | ||||||||||||||
| Taiwan |
10,760,375 | — | 10,760,375 | — | ||||||||||||||
| Thailand |
891,235 | — | 891,235 | — | ||||||||||||||
| Turkey |
1,976,472 | — | 1,976,472 | — | ||||||||||||||
| United Arab Emirates |
3,972,053 | 3,221,237 | 750,816 | — | ||||||||||||||
| United Kingdom |
1,901,402 | — | 1,901,402 | — | ||||||||||||||
| United States |
1,562,669 | 1,562,669 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
191,444,024 | 57,085,525 | 134,358,499 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
5,705,168 | 5,705,168 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$200,181,473 | $65,822,974 | $134,358,499 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
The table below shows transfers between levels. The Trust’s policy is to recognize transfers between levels as of the end of the reporting period.
| Amount Transferred |
Level Transfer | Change in Fair Valuation Measurement Inputs | ||||||||||||||||
| From | To | From | To | |||||||||||||||
| $ | 3,158,889 | 1 | 2 | Unadjusted Exchange-Traded Price |
Adjusted Exchange-Traded Price using an Applied Foreign Fair | |||||||||||||
| 3,606,639 | 2 | 1 | Adjusted Exchange-Traded Price using an Applied Foreign Fair |
Unadjusted Exchange-Traded Price | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-63
PACIFIC FUNDS
PF INTERNATIONAL LARGE-CAP FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-64
PACIFIC FUNDS
PF INTERNATIONAL LARGE-CAP FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Australia |
$854,083 | $— | $854,083 | $— | ||||||||||||||
| Belgium |
1,792,633 | — | 1,792,633 | — | ||||||||||||||
| Brazil |
1,652,256 | 1,652,256 | — | — | ||||||||||||||
| Canada |
8,480,222 | 8,480,222 | — | — | ||||||||||||||
| China |
1,867,076 | 1,867,076 | — | — | ||||||||||||||
| Denmark |
3,418,789 | — | 3,418,789 | — | ||||||||||||||
| France |
24,908,516 | — | 24,908,516 | — | ||||||||||||||
| Germany |
19,313,420 | — | 19,313,420 | — | ||||||||||||||
| Hong Kong |
4,670,686 | — | 4,670,686 | — | ||||||||||||||
| India |
4,869,711 | — | 4,869,711 | — | ||||||||||||||
| Israel |
2,189,532 | 2,189,532 | — | — | ||||||||||||||
| Italy |
2,704,429 | — | 2,704,429 | — | ||||||||||||||
| Japan |
22,896,456 | — | 22,896,456 | — | ||||||||||||||
| Netherlands |
10,142,173 | — | 10,142,173 | — | ||||||||||||||
| Singapore |
3,801,459 | — | 3,801,459 | — | ||||||||||||||
| Spain |
3,326,961 | — | 3,326,961 | — | ||||||||||||||
| Sweden |
1,799,166 | — | 1,799,166 | — | ||||||||||||||
| Switzerland |
23,133,907 | — | 23,133,907 | — | ||||||||||||||
| Taiwan |
3,119,406 | 3,119,406 | — | — | ||||||||||||||
| United Kingdom |
26,713,103 | — | 26,713,103 | — | ||||||||||||||
| United States |
3,004,091 | 3,004,091 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
174,658,075 | 20,312,583 | 154,345,492 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
900,597 | 900,597 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$175,558,672 | $21,213,180 | $154,345,492 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-65
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-66
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-67
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-68
PACIFIC FUNDS
PF INTERNATIONAL SMALL-CAP FUND
Schedule of Investments (Continued)
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Preferred Stocks |
$118,893 | $— | $118,893 | $— | |||||||||||||
| Common Stocks |
||||||||||||||||||
| Australia |
2,114,058 | — | 2,114,058 | — | ||||||||||||||
| Austria |
453,451 | — | 453,451 | — | ||||||||||||||
| Belgium |
312,724 | 122,211 | 190,513 | — | ||||||||||||||
| Canada |
3,875,224 | 3,875,224 | — | — | ||||||||||||||
| Denmark |
941,637 | 186,405 | 755,232 | — | ||||||||||||||
| France |
2,373,817 | 684,459 | 1,689,358 | — | ||||||||||||||
| Germany |
2,830,075 | — | 2,830,075 | — | ||||||||||||||
| Hong Kong |
968,199 | — | 968,199 | — | ||||||||||||||
| India |
182,118 | — | 182,118 | — | ||||||||||||||
| Israel |
293,405 | 180,300 | 113,105 | — | ||||||||||||||
| Italy |
745,908 | 130,323 | 615,585 | — | ||||||||||||||
| Japan |
10,013,511 | — | 10,013,511 | — | ||||||||||||||
| Luxembourg |
322,309 | 137,084 | 185,225 | — | ||||||||||||||
| Malta |
104,433 | — | 104,433 | — | ||||||||||||||
| Netherlands |
556,325 | — | 556,325 | — | ||||||||||||||
| New Zealand |
110,114 | — | 110,114 | — | ||||||||||||||
| Singapore |
662,861 | — | 662,861 | — | ||||||||||||||
| South Korea |
2,515,696 | 625,842 | 1,889,854 | — | ||||||||||||||
| Spain |
1,036,015 | 94,603 | 941,412 | — | ||||||||||||||
| Sweden |
1,400,063 | 293,979 | 1,106,084 | — | ||||||||||||||
| Switzerland |
4,679,558 | 508,539 | 4,171,019 | — | ||||||||||||||
| Thailand |
180,499 | — | 180,499 | — | ||||||||||||||
| United Kingdom |
4,999,589 | 1,590,476 | 3,409,113 | — | ||||||||||||||
| United States |
100,920 | 100,920 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
41,772,509 | 8,530,365 | 33,242,144 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
793,725 | 793,725 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$42,685,127 | $9,324,090 | $33,361,037 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
The table below shows transfers between levels. The Trust’s policy is to recognize transfers between levels as of the end of the reporting period.
| Amount Transferred |
Level Transfer | Change in Fair Valuation Measurement Inputs | ||||||||||||||
| From | To | From | To | |||||||||||||
| $ | 1,986,908 | 2 | 1 |
Adjusted Exchange-Traded Price using an Applied Foreign Fair Value Factor |
Unadjusted Exchange-Traded Price | |||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-69
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-70
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments (Continued)
March 31, 2017
| (c) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 8,550,449 | USD | 6,444,131 | 05/17 | ANZ | $84,725 | ||||||||||||||
| CHF | 8,596,622 | USD | 8,678,924 | 05/17 | HSB | (80,566 | ) | |||||||||||||
| DKK | 16,913,031 | USD | 2,443,103 | 05/17 | MSC | (14,049 | ) | |||||||||||||
| EUR | 581,528 | USD | 621,325 | 05/17 | ANZ | (55 | ) | |||||||||||||
| EUR | 939,602 | USD | 1,008,497 | 05/17 | MSC | (4,682 | ) | |||||||||||||
| EUR | 1,042,120 | USD | 1,110,780 | 05/17 | SCB | 2,560 | ||||||||||||||
| EUR | 1,289,954 | USD | 1,360,854 | 05/17 | TDB | 17,258 | ||||||||||||||
| GBP | 935,486 | USD | 1,173,344 | 05/17 | ANZ | (399 | ) | |||||||||||||
| GBP | 415,049 | USD | 518,666 | 05/17 | ANZ | 1,736 | ||||||||||||||
| GBP | 341,972 | USD | 431,056 | 05/17 | MSC | (2,279 | ) | |||||||||||||
| GBP | 1,693,785 | USD | 2,097,091 | 05/17 | SSB | 26,635 | ||||||||||||||
| HKD | 3,976,165 | CAD | 671,457 | 05/17 | SCB | 6,883 | ||||||||||||||
| HKD | 4,250,384 | NOK | 4,566,056 | 05/17 | RBC | 15,372 | ||||||||||||||
| JPY | 48,217,394 | USD | 420,301 | 05/17 | HSB | 13,359 | ||||||||||||||
| JPY | 90,541,962 | USD | 798,520 | 05/17 | SCB | 15,802 | ||||||||||||||
| JPY | 72,394,212 | USD | 639,454 | 05/17 | SGN | 11,649 | ||||||||||||||
| SEK | 16,473,375 | USD | 1,874,048 | 05/17 | SGN | (32,891 | ) | |||||||||||||
| USD | 1,261,005 | CAD | 1,652,273 | 05/17 | TDB | 17,982 | ||||||||||||||
| USD | 542,392 | EUR | 512,006 | 05/17 | ANZ | (4,606 | ) | |||||||||||||
| USD | 438,746 | EUR | 405,169 | 05/17 | ANZ | 5,887 | ||||||||||||||
| USD | 420,010 | EUR | 392,216 | 05/17 | CIT | 990 | ||||||||||||||
| USD | 461,171 | EUR | 425,592 | 05/17 | DUB | 6,493 | ||||||||||||||
| USD | 618,607 | EUR | 577,357 | 05/17 | GSC | 1,792 | ||||||||||||||
| USD | 865,639 | EUR | 815,721 | 05/17 | MER | (5,830 | ) | |||||||||||||
| USD | 16,150,526 | EUR | 15,034,948 | 05/17 | SCB | 88,068 | ||||||||||||||
| USD | 834,173 | EUR | 789,209 | 05/17 | SSB | (8,972 | ) | |||||||||||||
| USD | 418,852 | GBP | 335,767 | 05/17 | ANZ | (2,144 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-71
PACIFIC FUNDS
PF INTERNATIONAL VALUE FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| USD | 806,620 | GBP | 640,371 | 05/17 | MSC | $3,702 | ||||||||||||||||
| USD | 1,137,878 | GBP | 904,586 | 05/17 | SSB | 3,677 | ||||||||||||||||
| USD | 1,496,994 | JPY | 168,454,714 | 05/17 | ANZ | (18,064 | ) | |||||||||||||||
| USD | 540,197 | JPY | 60,918,717 | 05/17 | GSC | (7,697 | ) | |||||||||||||||
| USD | 398,722 | JPY | 45,007,898 | 05/17 | MSC | (6,073 | ) | |||||||||||||||
| USD | 482,061 | JPY | 53,847,370 | 05/17 | SCB | (2,234 | ) | |||||||||||||||
| USD | 437,393 | JPY | 48,950,750 | 05/17 | SGN | (2,863 | ) | |||||||||||||||
| USD | 727,706 | NOK | 6,048,711 | 05/17 | MER | 23,002 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
|
$154,168 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Input |
Level 3 Significant Unobservable Input |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Australia |
$6,984,685 | $— | $6,984,685 | $— | ||||||||||||||
| Austria |
1,788,337 | — | 1,788,337 | — | ||||||||||||||
| Belgium |
3,758,240 | — | 3,758,240 | — | ||||||||||||||
| Canada |
1,933,835 | 1,933,835 | — | — | ||||||||||||||
| Chile |
1,082,202 | 1,082,202 | — | — | ||||||||||||||
| China |
1,579,021 | — | 1,579,021 | — | ||||||||||||||
| Finland |
2,503,612 | — | 2,503,612 | — | ||||||||||||||
| France |
26,680,904 | — | 26,680,904 | — | ||||||||||||||
| Germany |
14,483,334 | 1,886,596 | 12,596,738 | — | ||||||||||||||
| Hong Kong |
2,413,400 | — | 2,413,400 | — | ||||||||||||||
| Ireland |
1,369,917 | 1,369,917 | — | — | ||||||||||||||
| Israel |
2,054,145 | 2,054,145 | — | — | ||||||||||||||
| Italy |
5,941,482 | — | 5,941,482 | — | ||||||||||||||
| Japan |
40,941,714 | — | 40,941,714 | — | ||||||||||||||
| Luxembourg |
1,907,672 | — | 1,907,672 | — | ||||||||||||||
| Netherlands |
12,947,071 | — | 12,947,071 | — | ||||||||||||||
| Norway |
2,223,087 | — | 2,223,087 | — | ||||||||||||||
| Singapore |
2,255,089 | — | 2,255,089 | — | ||||||||||||||
| South Korea |
1,915,872 | — | 1,915,872 | — | ||||||||||||||
| Spain |
5,129,990 | — | 5,129,990 | — | ||||||||||||||
| Sweden |
2,880,024 | — | 2,880,024 | — | ||||||||||||||
| Switzerland |
7,990,364 | — | 7,990,364 | — | ||||||||||||||
| United Kingdom |
18,547,926 | 1,053,377 | 17,494,549 | — | ||||||||||||||
| United States |
2,120,743 | — | 2,120,743 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
171,432,666 | 9,380,072 | 162,052,594 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Short-Term Investment |
1,884,107 | 1,884,107 | — | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
347,572 | — | 347,572 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
173,664,345 | 11,264,179 | 162,400,166 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Derivatives: |
||||||||||||||||||
| Liabilities |
Foreign Currency Contracts |
|||||||||||||||||
| Forward Foreign Currency Contracts |
(193,404 | ) | — | (193,404 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(193,404 | ) | — | (193,404 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$173,470,941 | $11,264,179 | $162,206,762 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-72
PACIFIC FUNDS
PF REAL ESTATE FUND
Schedule of Investments
March 31, 2017
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
$37,964,695 | $37,964,695 | $— | $— | |||||||||||||
| Short-Term Investment |
990,791 | 990,791 | — | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$38,955,486 | $38,955,486 | $— | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-73
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments
March 31, 2017
| (c) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AUD | 29,496,819 | USD | 22,489,112 | 04/17 | GSC | $43,695 | ||||||||||||||
| AUD | 11,610,000 | USD | 8,914,851 | 04/17 | JPM | (45,275 | ) | |||||||||||||
| AUD | 410,000 | USD | 311,733 | 04/17 | JPM | 1,491 | ||||||||||||||
| AUD | 1,328,000 | USD | 995,397 | 04/17 | SCB | 19,071 | ||||||||||||||
| AUD | 6,010,000 | USD | 4,582,144 | 05/17 | JPM | 6,382 | ||||||||||||||
| CAD | 34,105,000 | USD | 25,515,533 | 04/17 | CIB | 131,335 | ||||||||||||||
| CAD | 5,404,794 | USD | 4,030,000 | 04/17 | CIT | 34,627 | ||||||||||||||
| CAD | 795,000 | USD | 596,108 | 04/17 | JPM | 1,729 | ||||||||||||||
| CHF | 4,774,860 | USD | 4,819,464 | 04/17 | BRC | (50,548 | ) | |||||||||||||
| CHF | 4,713,832 | USD | 4,666,832 | 04/17 | BRC | 41,132 | ||||||||||||||
| CHF | 43,641,820 | USD | 44,045,760 | 04/17 | JPM | (466,867 | ) | |||||||||||||
| CHF | 571,509 | USD | 571,081 | 04/17 | SGN | (283 | ) | |||||||||||||
| CHF | 5,113,632 | USD | 5,062,000 | 04/17 | SSB | 45,267 | ||||||||||||||
| CLP | 3,196,100,000 | USD | 4,810,633 | 04/17 | CSF | 32,123 | ||||||||||||||
| CLP | 2,788,900,000 | USD | 4,208,644 | 04/17 | SSB | 17,119 | ||||||||||||||
| COP | 13,568,289,707 | USD | 4,699,705 | 04/17 | CSF | 17,765 | ||||||||||||||
| COP | 13,568,289,707 | USD | 4,710,819 | 04/17 | JPM | 6,650 | ||||||||||||||
| COP | 13,568,289,707 | USD | 4,624,502 | 05/17 | JPM | 70,073 | ||||||||||||||
| CZK | 114,995,528 | USD | 4,610,000 | 12/17 | BRC | 42,414 | ||||||||||||||
| DKK | 5,548,000 | USD | 793,591 | 06/17 | SCB | 5,331 | ||||||||||||||
| DKK | 210,027,791 | USD | 29,804,599 | 06/17 | SGN | 439,780 | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-74
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| DKK | 215,575,791 | USD | 31,426,313 | 07/17 | GSC | ($333,420 | ) | |||||||||||||
| EUR | 4,927,246 | USD | 5,327,284 | 04/17 | BRC | (69,233 | ) | |||||||||||||
| EUR | 6,990,000 | USD | 7,503,765 | 04/17 | CSF | (45,808 | ) | |||||||||||||
| EUR | 7,786,900 | USD | 8,270,093 | 04/17 | GSC | 39,604 | ||||||||||||||
| EUR | 5,908,652 | USD | 6,364,002 | 04/17 | JPM | (58,656 | ) | |||||||||||||
| EUR | 7,324,642 | USD | 7,916,597 | 04/17 | SGN | (100,194 | ) | |||||||||||||
| EUR | 6,990,000 | USD | 7,385,397 | 04/17 | SSB | 72,560 | ||||||||||||||
| EUR | 6,990,000 | USD | 7,603,023 | 05/17 | CSF | (133,169 | ) | |||||||||||||
| EUR | 28,534,800 | USD | 30,846,119 | 06/17 | GSC | (284,699 | ) | |||||||||||||
| GBP | 6,860,000 | USD | 8,619,590 | 04/17 | BRC | (24,111 | ) | |||||||||||||
| GBP | 11,454,982 | USD | 14,275,632 | 04/17 | BRC | 78,634 | ||||||||||||||
| GBP | 3,225,436 | USD | 4,019,119 | 04/17 | GSC | 22,683 | ||||||||||||||
| GBP | 6,003,406 | USD | 7,433,656 | 04/17 | SCB | 89,226 | ||||||||||||||
| GBP | 7,783,679 | USD | 9,697,526 | 04/17 | SGN | 56,221 | ||||||||||||||
| GBP | 13,063,545 | USD | 16,206,675 | 04/17 | SSB | 162,480 | ||||||||||||||
| INR | 291,570,000 | USD | 4,490,355 | 04/17 | MSC | (2,056 | ) | |||||||||||||
| INR | 291,570,000 | USD | 4,348,546 | 04/17 | MSC | 139,753 | ||||||||||||||
| INR | 291,570,000 | USD | 4,462,351 | 05/17 | CSF | 4,295 | ||||||||||||||
| JPY | 208,170,520 | USD | 1,873,255 | 04/17 | CIT | (2,873 | ) | |||||||||||||
| JPY | 496,800,000 | USD | 4,463,812 | 04/17 | GSC | (860 | ) | |||||||||||||
| JPY | 2,275,241,574 | USD | 20,233,431 | 04/17 | GSC | 208,564 | ||||||||||||||
| JPY | 497,407,349 | USD | 4,477,134 | 04/17 | JPM | (8,000 | ) | |||||||||||||
| JPY | 934,224,335 | USD | 8,230,000 | 04/17 | JPM | 163,872 | ||||||||||||||
| JPY | 1,085,163,230 | USD | 9,413,822 | 04/17 | RBC | 336,214 | ||||||||||||||
| JPY | 153,425,000 | USD | 1,337,782 | 04/17 | SCB | 40,719 | ||||||||||||||
| JPY | 886,662,210 | USD | 7,900,170 | 04/17 | SEB | 66,362 | ||||||||||||||
| JPY | 149,147,734 | USD | 1,294,000 | 04/17 | SGN | 46,071 | ||||||||||||||
| JPY | 496,800,000 | USD | 4,508,126 | 05/17 | GSC | (39,076 | ) | |||||||||||||
| KRW | 354,000,000 | USD | 317,176 | 04/17 | JPM | (611 | ) | |||||||||||||
| KRW | 355,000,000 | USD | 318,072 | 04/17 | MSC | (613 | ) | |||||||||||||
| KRW | 20,639,000,000 | USD | 18,531,650 | 04/17 | SSB | (75,216 | ) | |||||||||||||
| MXN | 353,030,000 | USD | 18,923,642 | 04/17 | BRC | (76,226 | ) | |||||||||||||
| MXN | 11,790,000 | USD | 631,985 | 04/17 | CSF | (2,545 | ) | |||||||||||||
| MXN | 453,830,000 | USD | 22,974,304 | 04/17 | CSF | 1,254,579 | ||||||||||||||
| MXN | 89,010,000 | USD | 4,771,247 | 04/17 | JPM | (19,219 | ) | |||||||||||||
| MXN | 353,030,000 | USD | 18,534,677 | 05/17 | BRC | 210,348 | ||||||||||||||
| MYR | 20,012,400 | USD | 4,527,487 | 04/17 | BRC | (5,943 | ) | |||||||||||||
| MYR | 20,012,400 | USD | 4,500,000 | 04/17 | MSC | 21,544 | ||||||||||||||
| MYR | 20,013,000 | USD | 4,520,158 | 05/17 | BRC | (4,583 | ) | |||||||||||||
| NOK | 34,791,985 | USD | 4,100,000 | 04/17 | JPM | (47,622 | ) | |||||||||||||
| NOK | 49,104,788 | USD | 5,700,513 | 04/17 | SSB | 18,941 | ||||||||||||||
| NZD | 18,367,392 | USD | 12,902,598 | 04/17 | ANZ | (29,299 | ) | |||||||||||||
| NZD | 4,373,000 | USD | 3,129,209 | 04/17 | BRC | (64,270 | ) | |||||||||||||
| NZD | 39,648,894 | USD | 28,253,628 | 04/17 | GSC | (462,721 | ) | |||||||||||||
| NZD | 5,893,400 | USD | 4,061,672 | 04/17 | JPM | 68,882 | ||||||||||||||
| NZD | 26,485,000 | USD | 18,618,955 | 04/17 | MSC | (54,329 | ) | |||||||||||||
| NZD | 589,000 | USD | 405,840 | 04/17 | SCB | 6,977 | ||||||||||||||
| NZD | 1,237,000 | USD | 884,954 | 04/17 | SGN | (17,968 | ) | |||||||||||||
| SEK | 26,969,380 | USD | 2,990,550 | 04/17 | CIT | 20,186 | ||||||||||||||
| SGD | 6,320,439 | USD | 4,536,309 | 04/17 | BRC | (17,888 | ) | |||||||||||||
| SGD | 6,320,439 | USD | 4,534,031 | 04/17 | SSB | (15,610 | ) | |||||||||||||
| TRY | 17,275,000 | USD | 4,743,729 | 04/17 | BRC | 5,308 | ||||||||||||||
| TRY | 16,115,000 | USD | 4,466,587 | 04/17 | JPM | (36,444 | ) | |||||||||||||
| TRY | 1,160,000 | USD | 307,554 | 04/17 | JPM | 11,339 | ||||||||||||||
| TRY | 17,275,000 | USD | 4,751,100 | 05/17 | BRC | (49,986 | ) | |||||||||||||
| USD | 6,560,225 | AUD | 8,566,611 | 04/17 | ANZ | 16,137 | ||||||||||||||
| USD | 19,303,823 | AUD | 25,644,566 | 04/17 | CIT | (286,223 | ) | |||||||||||||
| USD | 9,184,923 | AUD | 12,046,633 | 04/17 | GSC | (17,577 | ) | |||||||||||||
| USD | 4,585,029 | AUD | 6,010,000 | 04/17 | JPM | (6,371 | ) | |||||||||||||
| USD | 4,612,074 | AUD | 6,010,000 | 04/17 | JPM | 20,674 | ||||||||||||||
| USD | 406,254 | AUD | 542,000 | 04/17 | SCB | (7,783 | ) | |||||||||||||
| USD | 13,990,747 | CAD | 18,660,000 | 04/17 | CIB | (41,523 | ) | |||||||||||||
| USD | 12,353,445 | CAD | 16,240,000 | 04/17 | CIB | 141,009 | ||||||||||||||
| USD | 6,300,000 | CAD | 8,412,390 | 04/17 | JPM | (26,463 | ) | |||||||||||||
| USD | 4,691,000 | CAD | 6,239,499 | 04/17 | RBC | (1,359 | ) | |||||||||||||
| USD | 1,659,100 | CAD | 2,207,250 | 04/17 | SGN | (843 | ) | |||||||||||||
| USD | 4,113,067 | CAD | 5,394,987 | 04/17 | SGN | 55,816 | ||||||||||||||
| USD | 13,033,671 | CAD | 17,450,000 | 05/17 | CIB | (95,135 | ) | |||||||||||||
| USD | 27,034,146 | CHF | 26,792,452 | 04/17 | BRC | 275,045 | ||||||||||||||
| USD | 1,873,593 | CHF | 1,867,635 | 04/17 | CIT | 8,2.83 | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-75
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 18,546,371 | CHF | 18,700,000 | 04/17 | JPM | ($126,051 | ) | |||||||||||||
| USD | 23,250,238 | CHF | 23,163,703 | 04/17 | JPM | 119,672 | ||||||||||||||
| USD | 1,065,259 | CHF | 1,079,000 | 04/17 | SCB | (12,398 | ) | |||||||||||||
| USD | 768,783 | CHF | 765,400 | 04/17 | SCB | 4,335 | ||||||||||||||
| USD | 1,670,360 | CHF | 1,663,122 | 04/17 | SGN | 9,308 | ||||||||||||||
| USD | 18,702,564 | CHF | 18,395,000 | 05/17 | JPM | 297,114 | ||||||||||||||
| USD | 4,824,236 | CLP | 3,196,100,000 | 04/17 | CSF | (18,521 | ) | |||||||||||||
| USD | 4,342,255 | CLP | 2,788,900,000 | 04/17 | SSB | 116,492 | ||||||||||||||
| USD | 4,495,606 | CLP | 2,992,500,000 | 05/17 | CSF | (30,866 | ) | |||||||||||||
| USD | 4,710,819 | COP | 13,568,289,707 | 04/17 | CSF | (6,650 | ) | |||||||||||||
| USD | 4,648,266 | COP | 13,568,289,707 | 04/17 | JPM | (69,202 | ) | |||||||||||||
| USD | 31,361,587 | DKK | 215,575,791 | 06/17 | GSC | 318,287 | ||||||||||||||
| USD | 7,591,140 | EUR | 6,990,000 | 04/17 | CSF | 133,183 | ||||||||||||||
| USD | 10,061,715 | EUR | 9,473,844 | 04/17 | GSC | (48,183 | ) | |||||||||||||
| USD | 23,335,395 | EUR | 21,717,964 | 04/17 | GSC | 159,333 | ||||||||||||||
| USD | 2,393,209 | EUR | 2,259,000 | 04/17 | SCB | (17,456 | ) | |||||||||||||
| USD | 15,972,021 | EUR | 14,860,393 | 04/17 | SCB | 113,932 | ||||||||||||||
| USD | 6,443,206 | EUR | 5,989,000 | 04/17 | SEB | 52,117 | ||||||||||||||
| USD | 478,940 | EUR | 450,000 | 04/17 | SGN | (1,273 | ) | |||||||||||||
| USD | 7,503,766 | EUR | 6,990,000 | 04/17 | SSB | 45,808 | ||||||||||||||
| USD | 30,081,957 | EUR | 28,534,800 | 06/17 | SGN | (479,463 | ) | |||||||||||||
| USD | 30,903,188 | EUR | 28,534,800 | 07/17 | GSC | 294,115 | ||||||||||||||
| USD | 4,610,000 | EUR | 4,277,339 | 12/17 | BRC | (16,183 | ) | |||||||||||||
| USD | 8,569,855 | GBP | 6,860,000 | 04/17 | BRC | (25,624 | ) | |||||||||||||
| USD | 489,833 | GBP | 391,713 | 04/17 | SGN | (1,023 | ) | |||||||||||||
| USD | 15,033,958 | GBP | 12,189,100 | 04/17 | SSB | (239,429 | ) | |||||||||||||
| USD | 8,626,313 | GBP | 6,860,000 | 05/17 | BRC | 23,816 | ||||||||||||||
| USD | 4,477,426 | INR | 291,570,000 | 04/17 | CSF | (10,873 | ) | |||||||||||||
| USD | 4,490,355 | INR | 291,570,000 | 04/17 | MSC | 2,056 | ||||||||||||||
| USD | 5,327,284 | JPY | 599,836,185 | 04/17 | BRC | (62,158 | ) | |||||||||||||
| USD | 8,965,851 | JPY | 993,600,000 | 04/17 | GSC | 39,947 | ||||||||||||||
| USD | 12,714,102 | JPY | 1,449,394,773 | 04/17 | JPM | (308,502 | ) | |||||||||||||
| USD | 4,680,461 | JPY | 539,532,614 | 04/17 | RBC | (167,162 | ) | |||||||||||||
| USD | 6,350,100 | JPY | 722,508,028 | 04/17 | SCB | (141,531 | ) | |||||||||||||
| USD | 7,916,597 | JPY | 891,614,665 | 04/17 | SGN | (94,433 | ) | |||||||||||||
| USD | 308,421 | KRW | 354,000,000 | 04/17 | JPM | (8,143 | ) | |||||||||||||
| USD | 306,603 | KRW | 355,000,000 | 04/17 | MSC | (10,856 | ) | |||||||||||||
| USD | 8,762,519 | KRW | 9,965,000,000 | 04/17 | SSB | (148,686 | ) | |||||||||||||
| USD | 9,563,659 | KRW | 10,674,000,000 | 04/17 | SSB | 18,430 | ||||||||||||||
| USD | 9,607,561 | KRW | 10,674,000,000 | 05/17 | SSB | 58,102 | ||||||||||||||
| USD | 18,630,535 | MXN | 353,030,000 | 04/17 | BRC | (216,881 | ) | |||||||||||||
| USD | 622,004 | MXN | 11,790,000 | 04/17 | CSF | (7,435 | ) | |||||||||||||
| USD | 24,326,874 | MXN | 453,830,000 | 04/17 | CSF | 97,991 | ||||||||||||||
| USD | 4,500,000 | MXN | 89,010,000 | 04/17 | JPM | (252,028 | ) | |||||||||||||
| USD | 4,532,820 | MYR | 20,012,400 | 04/17 | BRC | 11,276 | ||||||||||||||
| USD | 4,527,487 | MYR | 20,012,400 | 04/17 | MSC | 5,943 | ||||||||||||||
| USD | 7,330,345 | NOK | 62,465,864 | 04/17 | BRC | 54,666 | ||||||||||||||
| USD | 1,959,550 | NOK | 16,719,077 | 04/17 | JPM | 12,204 | ||||||||||||||
| USD | 409,183 | NOK | 3,513,000 | 04/17 | SCB | 8 | ||||||||||||||
| USD | 9,643,170 | NOK | 79,677,586 | 04/17 | SEB | 362,765 | ||||||||||||||
| USD | 3,520,088 | NOK | 30,004,737 | 04/17 | SSB | 25,302 | ||||||||||||||
| USD | 31,815,461 | NZD | 44,605,100 | 04/17 | GSC | 550,858 | ||||||||||||||
| USD | 1,077,553 | NZD | 1,545,000 | 04/17 | MSC | (5,413 | ) | |||||||||||||
| USD | 17,940,589 | NZD | 24,940,000 | 04/17 | MSC | 458,929 | ||||||||||||||
| USD | 3,326,506 | NZD | 4,815,000 | 04/17 | RBC | (48,222 | ) | |||||||||||||
| USD | 1,727,350 | NZD | 2,499,400 | 04/17 | SGN | (24,424 | ) | |||||||||||||
| USD | 18,649,148 | NZD | 26,485,000 | 05/17 | GSC | 101,286 | ||||||||||||||
| USD | 12,019,407 | SEK | 106,291,703 | 04/17 | BRC | 153,495 | ||||||||||||||
| USD | 6,406,675 | SEK | 57,776,673 | 04/17 | CIT | (43,245 | ) | |||||||||||||
| USD | 1,683,000 | SEK | 15,237,377 | 04/17 | GSC | (18,030 | ) | |||||||||||||
| USD | 6,532,000 | SEK | 58,908,261 | 04/17 | JPM | (44,244 | ) | |||||||||||||
| USD | 920,111 | SEK | 8,304,000 | 04/17 | SCB | (6,909 | ) | |||||||||||||
| USD | 4,500,000 | SGD | 6,320,439 | 04/17 | SSB | (18,421 | ) | |||||||||||||
| USD | 4,534,031 | SGD | 6,320,439 | 04/17 | SSB | 15,610 | ||||||||||||||
| USD | 4,541,130 | SGD | 6,325,000 | 05/17 | BRC | 18,176 | ||||||||||||||
| USD | 4,798,611 | TRY | 17,275,000 | 04/17 | BRC | 49,575 | ||||||||||||||
| USD | 4,743,729 | TRY | 17,275,000 | 04/17 | JPM | (5,307 | ) | |||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts |
$2,477,718 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-76
PACIFIC FUNDS
PF CURRENCY STRATEGIES FUND
Schedule of Investments (Continued)
March 31, 2017
| (d) | Purchased options outstanding as of March 31, 2017 were as follows: |
Foreign Currency Options
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Call - EUR versus NZD |
NZD 1.78 | 01/02/18 | SCB | EUR 9,700,000 | $127,899 | $44,246 | ||||||||||||||||
| Call - EUR versus JPY |
JPY 140.8 | 01/02/18 | BRC | 11,300,000 | 129,624 | 17,221 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 257,523 | 61,467 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - AUD versus CHF |
CHF 0.65 | 01/02/18 | GSC | AUD 31,300,000 | 516,675 | 138,005 | ||||||||||||||||
| Put - GBP versus NOK |
NOK 9.88 | 01/02/18 | SEB | GBP 7,940,000 | 193,781 | 68,612 | ||||||||||||||||
| Put - GBP versus SEK |
SEK 10.32 | 01/02/18 | SEB | 6,525,000 | 165,007 | 65,993 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 875,463 | 272,610 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$1,132,986 | $334,077 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
U.S. Treasury Obligations |
$3,651,854 | $— | $3,651,854 | $— | |||||||||||||
| Foreign Government Bonds & Notes |
13,945,217 | — | 13,945,217 | — | ||||||||||||||
| Short-Term Investments |
68,540,298 | 30,632,004 | 37,908,294 | — | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
8,342,441 | — | 8,342,441 | — | ||||||||||||||
| Purchased Options |
334,077 | — | 334,077 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
8,676,518 | — | 8,676,518 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Asset — Derivatives |
8,676,518 | — | 8,676,518 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
94,813,887 | 30,632,004 | 64,181,883 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(5,864,723 | ) | — | (5,864,723 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(5,864,723 | ) | — | (5,864,723 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$88,949,164 | $30,632,004 | $58,317,160 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-77
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments
March 31, 2017
| (d) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| AUD | 1,348,000 | USD | 1,028,239 | 06/17 | CIT | $79 | ||||||||||||||||
| CAD | 1,819,000 | USD | 1,370,088 | 06/17 | CIT | (696 | ) | |||||||||||||||
| CHF | 1,199,000 | USD | 1,193,166 | 06/17 | CIT | 9,837 | ||||||||||||||||
| DKK | 1,570,000 | USD | 223,802 | 06/17 | CIT | 2,281 | ||||||||||||||||
| EUR | 3,923,000 | USD | 4,168,815 | 06/17 | CIT | 32,807 | ||||||||||||||||
| GBP | 1,979,000 | USD | 2,455,964 | 06/17 | CIT | 28,498 | ||||||||||||||||
| HKD | 3,655,000 | USD | 471,465 | 06/17 | CIT | (348 | ) | |||||||||||||||
| ILS | 342,000 | USD | 93,391 | 06/17 | CIT | 1,270 | ||||||||||||||||
| JPY | 368,982,000 | USD | 3,282,329 | 06/17 | CIT | 42,827 | ||||||||||||||||
| NOK | 774,000 | USD | 92,026 | 06/17 | CIT | (1,803 | ) | |||||||||||||||
| NZD | 35,000 | USD | 24,842 | 06/17 | CIT | (359 | ) | |||||||||||||||
| SEK | 3,511,000 | USD | 391,750 | 06/17 | CIT | 1,657 | ||||||||||||||||
| SGD | 252,000 | USD | 178,906 | 06/17 | CIT | 1,356 | ||||||||||||||||
| USD | 46,781 | AUD | 61,000 | 06/17 | CIT | 247 | ||||||||||||||||
| USD | 75,311 | CAD | 100,000 | 06/17 | CIT | 28 | ||||||||||||||||
| USD | 48,431 | CHF | 48,000 | 06/17 | CIT | 271 | ||||||||||||||||
| USD | 12,430 | DKK | 86,000 | 06/17 | CIT | 46 | ||||||||||||||||
| USD | 142,318 | EUR | 132,000 | 06/17 | CIT | 943 | ||||||||||||||||
| USD | 104,117 | GBP | 84,000 | 06/17 | CIT | (1,337 | ) | |||||||||||||||
| USD | 14,060 | HKD | 109,000 | 06/17 | CIT | 10 | ||||||||||||||||
| USD | 3,316 | ILS | 12,000 | 06/17 | CIT | (5 | ) | |||||||||||||||
| USD | 125,888 | JPY | 14,208,000 | 06/17 | CIT | (2,150 | ) | |||||||||||||||
| USD | 2,631 | NOK | 22,000 | 06/17 | CIT | 67 | ||||||||||||||||
| USD | 696 | NZD | 1,000 | 06/17 | CIT | (4 | ) | |||||||||||||||
| USD | 14,873 | SEK | 131,000 | 06/17 | CIT | 194 | ||||||||||||||||
| USD | 8,534 | SGD | 12,000 | 06/17 | CIT | (50 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Forward Foreign Currency Contracts |
$115,666 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-78
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| (e) | Swap agreements outstanding as of March 31, 2017 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 | $5,603,102 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-79
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-80
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-81
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-82
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| 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 | |
07/17/17- 04/03/18 |
|
$441,452 | |||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-83
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| 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 | |
07/17/17- 04/30/18 |
$332,437 | ||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-84
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| 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 | |
07/17/17- 04/03/18 |
($80,029) | ||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| 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 | |
07/17/17- 05/03/18 |
$95,781 | ||||||
|
| ||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-85
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| Description | Counter- |
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 | 05/03/17 | $271,724 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-86
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| 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 | 05/03/17 | $231,930 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| 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 | 05/03/17 | $2,258,082 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-87
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-88
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| 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 | 05/07/18 | $2,054,689 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-89
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-90
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
| 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 | 05/02/17 | $88,859 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| 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 | 05/03/17 | $54,706 | |||||||
|
| ||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-91
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| 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 | 05/03/17 | $324,536 | |||||||
|
| ||||||||||
The following table represents the individual long and short positions and related values within the total return basket swap as of March 31, 2017:
| (1) | The expiration date(s) of the underlying investment in each basket swap are equal to or fall within the range disclosed. |
| (2) | Notional amount is representative of the cost basis of the long and short positions. |
| (3) | Other receivables (payables) includes the gains (losses) realized within the swap when the swap resets. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-92
PACIFIC FUNDS
PF EQUITY LONG/SHORT FUND
Schedule of Investments (Continued)
March 31, 2017
Total Return Swaps
| Receive Total Return | Pay Total Return | Counter- Party |
Expiration Date |
Number of Contracts |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| Positive return on Swiss |
|
Negative return on Swiss Market Index |
|
GSC | 06/16/17 | 15 | $8,297 | $— | $8,297 | |||||||||||||||||||
| Positive return on MSCI |
|
Negative return on MSCI Canada Index |
|
JPM | 06/21/17 | 93 | 36 | — | 36 | |||||||||||||||||||
| Positive return on MSCI |
|
Negative return on MSCI Hong Kong Index |
|
JPM | 06/21/17 | 12 | 2,441 | — | 2,441 | |||||||||||||||||||
| Negative return on |
|
Positive return on Swiss Market Index |
|
JPM | 06/21/17 | 48 | (712 | ) | — | (712 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $10,062 | $— | $10,062 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Swap Agreements |
$11,687,331 | $— | $11,687,331 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Short-Term Investments |
$52,961,758 | $5,064,332 | $47,897,426 | $— | |||||||||||||
| Derivatives: | ||||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
130,371 | 130,371 | — | — | ||||||||||||||
| Swaps |
11,768,072 | — | 11,768,072 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Equity Contracts |
11,898,443 | 130,371 | 11,768,072 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
122,418 | — | 122,418 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
12,020,861 | 130,371 | 11,890,490 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
64,982,619 | 5,194,703 | 59,787,916 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Liabilities |
Derivatives: |
|||||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
(119,285 | ) | (119,285 | ) | — | — | ||||||||||||
| Swaps |
(80,741 | ) | — | (80,741 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Equity Contracts |
(200,026 | ) | (119,285 | ) | (80,741 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(6,752 | ) | — | (6,752 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(206,778 | ) | (119,285 | ) | (87,493 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(206,778 | ) | (119,285 | ) | (87,493 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$64,775,841 | $5,075,418 | $59,700,423 | $— | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-93
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-94
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-95
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-96
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| (g) | Forward foreign currency contracts outstanding as of March 31, 2017 were as follows: |
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| AED | 16,217,000 | USD | 4,384,964 | 02/18 | BNP | $24,929 | ||||||||||||||
| ARS | 16,204,700 | USD | 1,032,964 | 04/17 | BNP | 13,332 | ||||||||||||||
| ARS | 13,892,610 | USD | 883,065 | 04/17 | CIT | 12,619 | ||||||||||||||
| ARS | 1,360,600 | USD | 86,552 | 04/17 | DUB | 1,112 | ||||||||||||||
| ARS | 5,309,000 | USD | 340,430 | 04/17 | SCB | 660 | ||||||||||||||
| ARS | 5,302,000 | USD | 333,491 | 05/17 | BNP | 3,191 | ||||||||||||||
| ARS | 3,529,400 | USD | 226,825 | 05/17 | CIT | (2,705 | ) | |||||||||||||
| AUD | 559,000 | USD | 424,046 | 05/17 | GSC | 2,740 | ||||||||||||||
| CAD | 2,027,000 | USD | 1,533,875 | 04/17 | SCB | (9,510 | ) | |||||||||||||
| CNH | 34,699,465 | USD | 5,143,979 | 06/17 | BNP | (123,423 | ) | |||||||||||||
| CNH | 4,426,564 | USD | 634,724 | 06/17 | BNP | 5,742 | ||||||||||||||
| CNH | 5,312,600 | USD | 783,801 | 06/17 | CIT | (15,137 | ) | |||||||||||||
| CNH | 5,155,000 | USD | 764,181 | 06/17 | GSC | (18,321 | ) | |||||||||||||
| CNH | 8,115,000 | USD | 1,170,354 | 06/17 | JPM | 3,000 | ||||||||||||||
| CNH | 3,840,000 | USD | 559,155 | 08/17 | BNP | (6,380 | ) | |||||||||||||
| CNH | 3,670,216 | USD | 534,238 | 08/17 | JPM | (5,904 | ) | |||||||||||||
| CNH | 11,871,684 | USD | 1,723,859 | 09/17 | DUB | (18,728 | ) | |||||||||||||
| CNH | 1,742,543 | USD | 248,296 | 09/17 | DUB | 1,985 | ||||||||||||||
| CNH | 6,350,000 | USD | 922,818 | 09/17 | SCB | (10,767 | ) | |||||||||||||
| COP | 4,937,772,000 | USD | 1,685,876 | 04/17 | BNP | 28,227 | ||||||||||||||
| COP | 638,315,000 | USD | 212,587 | 04/17 | SCB | 9,060 | ||||||||||||||
| COP | 741,763,000 | USD | 247,048 | 04/17 | UBS | 10,590 | ||||||||||||||
| COP | 1,168,200,000 | USD | 391,160 | 05/17 | SCB | 13,032 | ||||||||||||||
| CZK | 10,280,000 | EUR | 382,554 | 05/17 | GSC | 132 | ||||||||||||||
| CZK | 33,449,000 | EUR | 1,243,596 | 05/17 | JPM | 1,156 | ||||||||||||||
| CZK | 47,860,000 | EUR | 1,780,427 | 06/17 | JPM | 3,255 | ||||||||||||||
| CZK | 127,033,000 | EUR | 4,730,194 | 09/17 | JPM | 15,854 | ||||||||||||||
| DOP | 10,252,000 | USD | 212,653 | 07/17 | CIT | 660 | ||||||||||||||
| EGP | 2,160,000 | USD | 126,835 | 05/17 | CIT | (8,134 | ) | |||||||||||||
| EGP | 9,081,000 | USD | 515,380 | 08/17 | CIT | (24,186 | ) | |||||||||||||
| EUR | 753,819 | SEK | 7,190,000 | 05/17 | DUB | 1,737 | ||||||||||||||
| EUR | 506,380 | SEK | 4,830,000 | 05/17 | GSC | 1,157 | ||||||||||||||
| EUR | 1,335,000 | USD | 1,433,119 | 04/17 | DUB | (7,147 | ) | |||||||||||||
| EUR | 438,709 | USD | 474,221 | 04/17 | GSC | (6,099 | ) | |||||||||||||
| EUR | 744,070 | USD | 796,398 | 06/17 | GSC | 9 | ||||||||||||||
| GBP | 344,000 | USD | 419,931 | 06/17 | GSC | 11,749 | ||||||||||||||
| IDR | 7,108,700,000 | USD | 526,531 | 06/17 | CIT | 2,973 | ||||||||||||||
| IDR | 4,378,970,000 | USD | 320,921 | 07/17 | BNP | 3,824 | ||||||||||||||
| IDR | 7,042,000,000 | USD | 505,891 | 07/17 | SCB | 16,585 | ||||||||||||||
| JPY | 110,690,000 | USD | 966,852 | 06/17 | SCB | 30,080 | ||||||||||||||
| KES | 54,578,000 | USD | 508,972 | 06/17 | CIT | 13,715 | ||||||||||||||
| KES | 21,875,000 | USD | 201,057 | 07/17 | CIT | 7,417 | ||||||||||||||
| KES | 21,892,000 | USD | 199,745 | 08/17 | CIT | 7,660 | ||||||||||||||
| KRW | 933,500,000 | USD | 838,573 | 04/17 | BNP | (3,511 | ) | |||||||||||||
| KRW | 1,670,200,000 | USD | 1,460,263 | 04/17 | BNP | 33,375 | ||||||||||||||
| KRW | 540,600,000 | USD | 485,671 | 04/17 | CIT | (2,077 | ) | |||||||||||||
| KRW | 406,700,000 | USD | 365,415 | 04/17 | GSC | (1,602 | ) | |||||||||||||
| KZT | 730,244,000 | USD | 2,193,460 | 08/17 | GSC | 46,799 | ||||||||||||||
| KZT | 152,746,000 | USD | 449,253 | 11/17 | GSC | 9,655 | ||||||||||||||
| MXN | 34,820,000 | USD | 1,758,497 | 05/17 | SCB | 86,243 | ||||||||||||||
| OMR | 573,000 | USD | 1,488,428 | 05/17 | BNP | (94 | ) | |||||||||||||
| OMR | 858,000 | USD | 2,189,055 | 06/17 | BNP | 39,439 | ||||||||||||||
| PHP | 10,971,000 | USD | 217,162 | 04/17 | GSC | 1,320 | ||||||||||||||
| PHP | 31,852,000 | USD | 629,642 | 04/17 | MSC | 4,675 | ||||||||||||||
| PHP | 26,345,000 | USD | 526,742 | 05/17 | CIT | (2,613 | ) | |||||||||||||
| PHP | 18,825,000 | USD | 376,952 | 05/17 | GSC | (2,432 | ) | |||||||||||||
| PHP | 19,320,000 | USD | 386,400 | 05/17 | SCB | (2,032 | ) | |||||||||||||
| PHP | 20,915,000 | USD | 418,467 | 05/17 | UBS | (2,367 | ) | |||||||||||||
| PHP | 15,640,000 | USD | 309,826 | 06/17 | CIT | 759 | ||||||||||||||
| PHP | 28,220,000 | USD | 558,149 | 06/17 | UBS | 2,253 | ||||||||||||||
| RON | 3,463,000 | EUR | 762,439 | 05/17 | BNP | (2,861 | ) | |||||||||||||
| RON | 7,520,000 | EUR | 1,647,930 | 05/17 | BNP | 2,377 | ||||||||||||||
| RON | 11,436,000 | EUR | 2,522,922 | 06/17 | DUB | (16,799 | ) | |||||||||||||
| RSD | 37,162,000 | EUR | 297,415 | 05/17 | CIT | 1,353 | ||||||||||||||
| RSD | 37,136,000 | USD | 324,247 | 05/17 | DUB | (4,638 | ) | |||||||||||||
| RUB | 24,074,000 | USD | 412,297 | 04/17 | DUB | 14,865 | ||||||||||||||
| RUB | 102,558,000 | USD | 1,740,927 | 05/17 | JPM | 64,087 | ||||||||||||||
| RUB | 238,242,000 | USD | 4,020,114 | 06/17 | BNP | 143,882 | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-97
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| SEK | 7,190,000 | EUR | 757,566 | 05/17 | DUB | ( $ 5,745 | ) | |||||||||||||
| SEK | 4,830,000 | EUR | 510,533 | 05/17 | GSC | (5,598 | ) | |||||||||||||
| SGD | 2,693,901 | USD | 1,928,674 | 04/17 | SCB | (2,460 | ) | |||||||||||||
| SGD | 748,000 | USD | 535,730 | 06/17 | GSC | (634 | ) | |||||||||||||
| SGD | 1,431,738 | USD | 1,025,086 | 06/17 | SCB | (986 | ) | |||||||||||||
| THB | 2,760,000 | USD | 78,365 | 08/17 | SCB | 1,907 | ||||||||||||||
| THB | 15,652,000 | USD | 438,923 | 11/17 | DUB | 16,365 | ||||||||||||||
| TRY | 6,554,000 | USD | 1,711,004 | 05/17 | BNP | 72,562 | ||||||||||||||
| TRY | 6,213,800 | USD | 1,642,342 | 05/17 | UBS | 47,620 | ||||||||||||||
| TWD | 15,393,000 | USD | 480,131 | 04/17 | SCB | 27,478 | ||||||||||||||
| UGX | 375,155,000 | USD | 98,388 | 06/17 | CIT | 2,793 | ||||||||||||||
| UGX | 520,505,000 | USD | 135,970 | 07/17 | CIT | 3,394 | ||||||||||||||
| UGX | 754,340,000 | USD | 200,090 | 09/17 | CIT | (2,650 | ) | |||||||||||||
| UGX | 555,168,000 | USD | 147,026 | 09/17 | JPM | (2,600 | ) | |||||||||||||
| USD | 9,665,939 | AED | 36,312,000 | 02/18 | BNP | (208,424 | ) | |||||||||||||
| USD | 343,625 | ARS | 5,309,000 | 04/17 | SCB | (970 | ) | |||||||||||||
| USD | 1,822,674 | AUD | 2,402,744 | 05/17 | GSC | (11,778 | ) | |||||||||||||
| USD | 947,900 | AUD | 1,232,797 | 05/17 | GSC | 6,873 | ||||||||||||||
| USD | 1,532,874 | CAD | 2,027,000 | 04/17 | SCB | 8,509 | ||||||||||||||
| USD | 898,404 | CLP | 577,000,000 | 05/17 | SCB | 25,631 | ||||||||||||||
| USD | 5,757,045 | CNH | 39,126,029 | 06/17 | BNP | 96,025 | ||||||||||||||
| USD | 791,483 | CNH | 5,312,600 | 06/17 | CIT | 22,820 | ||||||||||||||
| USD | 768,062 | CNH | 5,155,000 | 06/17 | GSC | 22,201 | ||||||||||||||
| USD | 1,170,354 | CNH | 8,115,000 | 06/17 | JPM | (3,000 | ) | |||||||||||||
| USD | 569,902 | CNH | 3,840,000 | 08/17 | BNP | 17,127 | ||||||||||||||
| USD | 544,664 | CNH | 3,670,216 | 08/17 | JPM | 16,329 | ||||||||||||||
| USD | 1,988,407 | CNH | 13,614,227 | 09/17 | DUB | 32,996 | ||||||||||||||
| USD | 927,346 | CNH | 6,350,000 | 09/17 | SCB | 15,295 | ||||||||||||||
| USD | 650,756 | CNH | 4,540,000 | 10/17 | JPM | (476 | ) | |||||||||||||
| USD | 14,340 | CNH | 100,000 | 10/17 | SCB | (4 | ) | |||||||||||||
| USD | 802,279 | EUR | 750,000 | 04/17 | DUB | 1,171 | ||||||||||||||
| USD | 439,072 | EUR | 417,889 | 04/17 | GSC | (6,833 | ) | |||||||||||||
| USD | 847,628 | EUR | 794,329 | 04/17 | GSC | 84 | ||||||||||||||
| USD | 5,898,870 | EUR | 5,558,847 | 04/17 | JPM | (36,911 | ) | |||||||||||||
| USD | 1,620,154 | EUR | 1,510,464 | 04/17 | JPM | 6,931 | ||||||||||||||
| USD | 1,690,559 | EUR | 1,601,818 | 05/17 | DUB | (22,617 | ) | |||||||||||||
| USD | 4,582,096 | EUR | 4,320,592 | 05/17 | GSC | (39,085 | ) | |||||||||||||
| USD | 4,449,465 | EUR | 4,105,600 | 05/17 | SCB | 62,021 | ||||||||||||||
| USD | 3,373,543 | EUR | 3,115,070 | 06/17 | GSC | 38,416 | ||||||||||||||
| USD | 2,757,637 | EUR | 2,602,554 | 06/17 | SCB | (26,944 | ) | |||||||||||||
| USD | 2,856,798 | EUR | 2,664,500 | 06/17 | SCB | 4,879 | ||||||||||||||
| USD | 250,029 | GBP | 200,000 | 06/17 | GSC | (948 | ) | |||||||||||||
| USD | 276,349 | IDR | 3,701,700,000 | 06/17 | BNP | 622 | ||||||||||||||
| USD | 524,380 | IDR | 7,136,550,254 | 07/17 | BNP | (4,961 | ) | |||||||||||||
| USD | 153,230 | IDR | 2,078,570,635 | 07/17 | CIT | (988 | ) | |||||||||||||
| USD | 162,118 | IDR | 2,205,849,111 | 07/17 | SCB | (1,543 | ) | |||||||||||||
| USD | 1,702,107 | JPY | 194,350,000 | 04/17 | GSC | (44,809 | ) | |||||||||||||
| USD | 1,709,066 | JPY | 196,111,000 | 04/17 | SCB | (54,180 | ) | |||||||||||||
| USD | 544,968 | JPY | 60,500,000 | 06/17 | SCB | 73 | ||||||||||||||
| USD | 485,528 | KRW | 540,635,000 | 04/17 | CIT | 2,065 | ||||||||||||||
| USD | 365,246 | KRW | 406,665,000 | 04/17 | GSC | 1,586 | ||||||||||||||
| USD | 130,208 | KRW | 145,455,000 | 07/17 | GSC | (30 | ) | |||||||||||||
| USD | 1,682,324 | MXN | 34,820,000 | 05/17 | SCB | (162,417 | ) | |||||||||||||
| USD | 339,559 | NZD | 488,746 | 05/17 | BNP | (2,499 | ) | |||||||||||||
| USD | 286,170 | NZD | 407,302 | 05/17 | CIT | 1,113 | ||||||||||||||
| USD | 100,715 | NZD | 141,062 | 05/17 | DUB | 1,991 | ||||||||||||||
| USD | 1,565,319 | NZD | 2,228,378 | 05/17 | GSC | 5,538 | ||||||||||||||
| USD | 150,123 | NZD | 217,348 | 05/17 | JPM | (1,992 | ) | |||||||||||||
| USD | 342,565 | NZD | 490,502 | 05/17 | SCB | (722 | ) | |||||||||||||
| USD | 1,594,505 | NZD | 2,265,727 | 06/17 | JPM | 9,012 | ||||||||||||||
| USD | 1,459,873 | OMR | 573,000 | 05/17 | BNP | (28,462 | ) | |||||||||||||
| USD | 2,188,608 | OMR | 858,000 | 06/17 | BNP | (39,886 | ) | |||||||||||||
| USD | 6,251,590 | OMR | 2,453,000 | 08/17 | BNP | (115,898 | ) | |||||||||||||
| USD | 2,154,776 | OMR | 891,000 | 01/19 | BNP | (126,287 | ) | |||||||||||||
| USD | 1,450,633 | OMR | 573,000 | 04/19 | BNP | (12,969 | ) | |||||||||||||
| USD | 125,747 | PHP | 6,315,000 | 04/17 | BNP | (13 | ) | |||||||||||||
| USD | 303,495 | PHP | 15,240,000 | 04/17 | CIT | (2 | ) | |||||||||||||
| USD | 2,129,151 | RUB | 128,963,704 | 04/17 | DUB | (159,145 | ) | |||||||||||||
| USD | 6,008,463 | RUB | 340,800,000 | 05/17 | CIT | 161 | ||||||||||||||
| USD | 1,155,173 | RUB | 67,685,060 | 06/17 | CIT | (27,827 | ) | |||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-98
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| Currency Purchased |
Currency Sold |
Expiration | Counterparty | Unrealized Appreciation (Depreciation) |
||||||||||||||||
| USD | 1,530,206 | RUB | 90,400,000 | 06/17 | DUB | ($49,806 | ) | |||||||||||||
| USD | 617,816 | SGD | 860,000 | 04/17 | GSC | 2,891 | ||||||||||||||
| USD | 909,695 | SGD | 1,299,000 | 04/17 | SCB | (19,105 | ) | |||||||||||||
| USD | 1,434,630 | SGD | 1,994,591 | 04/17 | SCB | 8,457 | ||||||||||||||
| USD | 1,899,906 | SGD | 2,680,007 | 06/17 | GSC | (16,970 | ) | |||||||||||||
| USD | 536,981 | SGD | 748,000 | 06/17 | GSC | 1,885 | ||||||||||||||
| USD | 2,214,150 | SGD | 3,139,000 | 06/17 | SCB | (31,130 | ) | |||||||||||||
| USD | 348,857 | THB | 12,210,000 | 06/17 | MSC | (6,266 | ) | |||||||||||||
| USD | 317,456 | THB | 11,030,000 | 06/17 | SCB | (3,347 | ) | |||||||||||||
| USD | 209,286 | THB | 7,325,000 | 06/17 | UBS | (3,759 | ) | |||||||||||||
| USD | 148,855 | THB | 5,329,000 | 08/17 | JPM | (6,133 | ) | |||||||||||||
| USD | 393,823 | THB | 13,835,000 | 09/17 | BNP | (8,550 | ) | |||||||||||||
| USD | 388,272 | THB | 13,640,000 | 09/17 | GSC | (8,429 | ) | |||||||||||||
| USD | 902,904 | THB | 31,710,000 | 09/17 | SCB | (19,339 | ) | |||||||||||||
| USD | 910,189 | THB | 32,239,917 | 11/17 | DUB | (27,611 | ) | |||||||||||||
| USD | 122,066 | THB | 4,348,000 | 11/17 | JPM | (4,409 | ) | |||||||||||||
| USD | 253,517 | THB | 8,939,000 | 11/17 | SCB | (6,497 | ) | |||||||||||||
| USD | 77,553 | THB | 2,700,000 | 03/18 | CIT | (1,020 | ) | |||||||||||||
| USD | 412,109 | THB | 14,300,000 | 03/18 | DUB | (4,039 | ) | |||||||||||||
| USD | 150,681 | THB | 5,200,000 | 03/18 | JPM | (647 | ) | |||||||||||||
| USD | 256,267 | TWD | 7,780,000 | 04/17 | SCB | (291 | ) | |||||||||||||
| USD | 1,696,169 | ZAR | 23,122,000 | 05/17 | BNP | (15,924 | ) | |||||||||||||
| USD | 652,723 | ZAR | 8,910,000 | 07/17 | DUB | (417 | ) | |||||||||||||
| USD | 551,746 | ZAR | 7,507,000 | 07/17 | SCB | 1,451 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Total Forward Foreign Currency Contracts | ($408,913 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| (h) | Purchased options outstanding as of March 31, 2017 were as follows: |
| Foreign Currency Options | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Cost | Value | ||||||||||||||||
| Call - CNH versus USD |
CNH 6.82 | 04/19/17 | SCB | $2,500,000 | $39,500 | $22,445 | ||||||||||||||||
| Call - CNH versus USD |
6.47 | 06/15/17 | SCB | 3,668,000 | 82,232 | 236,347 | ||||||||||||||||
| Call - CNH versus USD |
6.89 | 08/03/17 | HSB | 18,736,000 | 414,066 | 272,459 | ||||||||||||||||
| Call - CNH versus USD |
6.90 | 11/02/17 | BNP | 600,000 | 17,040 | 12,746 | ||||||||||||||||
| Call - CNH versus USD |
7.12 | 03/08/18 | BNP | 800,000 | 20,160 | 13,906 | ||||||||||||||||
| Call - CNH versus USD |
7.12 | 03/08/18 | SCB | 875,000 | 21,800 | 15,271 | ||||||||||||||||
| Call - CNH versus USD |
7.15 | 03/12/18 | DUB | 415,000 | 10,673 | 6,748 | ||||||||||||||||
| Call - EUR versus USD |
$0.87 | 02/24/22 | GSC | 3,880,000 | 77,561 | 41,551 | ||||||||||||||||
| Call - EUR versus USD |
0.88 | 02/28/22 | BNP | 3,856,000 | 72,878 | 46,711 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 755,910 | 668,184 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - SEK versus EUR |
SEK 9.45 | 04/27/17 | GSC | EUR 1,209,000 | 8,113 | 2,306 | ||||||||||||||||
| Put - SEK versus EUR |
9.53 | 04/27/17 | CIT | 2,478,000 | 23,394 | 12,007 | ||||||||||||||||
| Put - SEK versus EUR |
9.44 | 05/01/17 | GSC | 2,458,000 | 16,994 | 4,641 | ||||||||||||||||
| Put - SEK versus EUR |
9.55 | 05/02/17 | BNP | 1,229,000 | 11,703 | 7,804 | ||||||||||||||||
| Put - SEK versus EUR |
9.49 | 05/16/17 | BNP | 1,230,000 | 11,825 | 7,023 | ||||||||||||||||
| Put - SEK versus EUR |
9.50 | 05/17/17 | GSC | 1,229,000 | 11,374 | 7,469 | ||||||||||||||||
| Put - SEK versus EUR |
9.45 | 05/23/17 | CIT | 1,858,000 | 16,669 | 8,337 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 100,072 | 49,587 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $855,982 | $717,771 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Options on Futures | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Exchange | Number of Contracts |
Cost | Value | ||||||||||||||||
| Put - S&P 500 E-Mini (06/17) |
$2,260.00 | 06/16/17 | CME | 20 | $71,614 | $20,250 | ||||||||||||||||
| Put - S&P 500 E-Mini (06/17) |
2,360.00 | 06/16/17 | CME | 15 | 43,478 | 34,875 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $115,092 | $55,125 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Options on Indices | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Number of Contracts |
Cost | Value | ||||||||||||||||
| Call - Nikkei 225 (03/21) |
21,000.00 | 03/12/21 | GSC | 16 | $173,150 | $218,272 | ||||||||||||||||
| Call - FTSE 100 (02/22) |
6,275.00 | 02/15/22 | GSC | 60 | 84,158 | 85,072 | ||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $257,308 | $303,344 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Purchased Options |
$1,228,382 | $1,076,240 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-99
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| (i) | Transactions in written options for the year ended March 31, 2017 were as follows: |
| Notional Amount in EUR |
Notional Amount in $ |
Premium | ||||||||||
| Outstanding, March 31, 2016 |
— | 21,578,000 | $1,421,192 | |||||||||
| Call Options Written |
— | 27,705,036 | 810,724 | |||||||||
| Put Options Written |
4,527,000 | — | 36,115 | |||||||||
| Call Options Expired |
— | (31,808,000 | ) | (1,597,472 | ) | |||||||
|
|
|
|
|
|
|
|||||||
| Outstanding, March 31, 2017 |
4,527,000 | 17,475,036 | $670,559 | |||||||||
|
|
|
|
|
|
|
|||||||
| (j) | Premiums received and value of written options outstanding as of March 31, 2017 were as follows: |
| Foreign Currency Options | ||||||||||||||||||||||
| Description | Exercise Price |
Expiration Date |
Counter- party |
Notional Amount |
Premium | Value | ||||||||||||||||
| Call - CNH versus USD |
CNH 6.82 | 04/19/17 | SCB | $2,500,183 | $69,220 | ($22,447 | ) | |||||||||||||||
| Call - CNH versus USD |
6.47 | 06/15/17 | SCB | 3,667,853 | 275,407 | (236,338 | ) | |||||||||||||||
| Call - CNH versus USD |
6.89 | 08/03/17 | GSC | 1,850,000 | 25,613 | (26,902 | ) | |||||||||||||||
| Call - CNH versus USD |
6.89 | 08/03/17 | HSB | 8,857,000 | 242,904 | (128,799 | ) | |||||||||||||||
| Call - CNH versus USD |
6.90 | 11/02/17 | CIT | 600,000 | 21,300 | (12,746 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 634,444 | (427,232 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Put - SEK versus EUR |
SEK 9.45 | 04/27/17 | JPM | EUR 1,209,000 | 7,633 | (2,306 | ) | |||||||||||||||
| Put - SEK versus EUR |
9.53 | 04/27/17 | CIT | 2,017,000 | 20,636 | (9,773 | ) | |||||||||||||||
| Put - SEK versus EUR |
9.53 | 04/27/17 | GSC | 461,000 | 3,695 | (2,234 | ) | |||||||||||||||
| Put - SEK versus EUR |
9.44 | 05/01/17 | GSC | 840,000 | 4,151 | (1,586 | ) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| 36,115 | (15,899 | ) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| Total Written Options |
$670,559 | ($443,131 | ) | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| (k) | Swap agreements outstanding as of March 31, 2017 were as follows: |
Credit Default Swaps on Sovereign Issues - Buy Protection (1)
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Counter- party |
Implied Credit |
Notional |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/18 | CIT | 0.230% | $1,200,000 | ($9,379 | ) | $83,000 | ($92,379 | ) | ||||||||||||||||||||||
| Thailand Government |
1.000% | 03/20/18 | CIT | 0.099% | 475,000 | (4,319 | ) | (2,363 | ) | (1,956 | ) | |||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/18 | HSB | 0.230% | 313,000 | (2,446 | ) | 29,014 | (31,460 | ) | ||||||||||||||||||||||
| China Government |
1.000% | 03/20/18 | JPM | 0.165% | 1,100,000 | (9,288 | ) | (17,333 | ) | 8,045 | ||||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/18 | MSC | 0.230% | 2,262,000 | (17,678 | ) | 194,313 | (211,991 | ) | ||||||||||||||||||||||
| Lebanon Government |
5.000% | 03/20/18 | JPM | 1.877% | 689,000 | (21,848 | ) | (29,026 | ) | 7,178 | ||||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/18 | CIT | 0.240% | 800,000 | (7,696 | ) | 76,719 | (84,415 | ) | ||||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/18 | MSC | 0.240% | 921,000 | (8,860 | ) | 92,071 | (100,931 | ) | ||||||||||||||||||||||
| Lebanon Government |
5.000% | 12/20/18 | GSC | 2.537% | 663,000 | (28,528 | ) | (39,103 | ) | 10,575 | ||||||||||||||||||||||
| Qatar Government |
1.000% | 03/20/19 | GSC | 0.130% | 490,000 | (8,516 | ) | (8,606 | ) | 90 | ||||||||||||||||||||||
| Croatia Government |
1.000% | 03/20/20 | BNP | 0.962% | 330,000 | (471 | ) | 23,005 | (23,476 | ) | ||||||||||||||||||||||
| Croatia Government |
1.000% | 06/20/20 | CIT | 1.045% | 143,000 | 154 | 10,929 | (10,775 | ) | |||||||||||||||||||||||
| Qatar Government |
1.000% | 12/20/20 | GSC | 0.352% | 1,120,000 | (26,707 | ) | 21,581 | (48,288 | ) | ||||||||||||||||||||||
| Qatar Government |
1.000% | 06/20/21 | BNP | 0.436% | 710,000 | (16,605 | ) | 3,456 | (20,061 | ) | ||||||||||||||||||||||
| Qatar Government |
1.000% | 06/20/21 | CIT | 0.436% | 937,457 | (21,925 | ) | 5,719 | (27,644 | ) | ||||||||||||||||||||||
| Qatar Government |
1.000% | 06/20/21 | GSC | 0.436% | 1,241,000 | (29,024 | ) | 5,274 | (34,298 | ) | ||||||||||||||||||||||
| Lebanon Government |
5.000% | 06/20/21 | GSC | 3.785% | 500,000 | (23,761 | ) | (3,949 | ) | (19,812 | ) | |||||||||||||||||||||
| Qatar Government |
1.000% | 12/20/22 | GSC | 0.710% | 350,000 | (5,609 | ) | (3,911 | ) | (1,698 | ) | |||||||||||||||||||||
| Qatar Government |
1.000% | 12/20/23 | GSC | 0.835% | 300,000 | (3,175 | ) | 284 | (3,459 | ) | ||||||||||||||||||||||
| Qatar Government |
1.000% | 09/20/24 | GSC | 0.906% | 290,000 | (1,951 | ) | (622 | ) | (1,329 | ) | |||||||||||||||||||||
| South Africa Government |
1.000% | 12/20/25 | BNP | 2.810% | 4,107,000 | 529,267 | 748,574 | (219,307 | ) | |||||||||||||||||||||||
| Colombia Government |
1.000% | 06/20/27 | BNP | 2.185% | 331,000 | 32,570 | 34,432 | (1,862 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 314,205 | 1,223,458 | (909,253 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||||||
| South Africa Government |
1.000% | 06/20/21 | ICE | 1.735% | 6,450,000 | 196,983 | 543,308 | (346,325 | ) | |||||||||||||||||||||||
| Spain Government |
1.000% | 06/20/21 | ICE | 0.694% | 1,000,000 | (13,875 | ) | (3,275 | ) | (10,600 | ) | |||||||||||||||||||||
| Chile Government |
1.000% | 06/20/22 | ICE | 0.716% | 2,370,027 | (33,108 | ) | (23,501 | ) | (9,607 | ) | |||||||||||||||||||||
| Italy Government |
1.000% | 06/20/22 | ICE | 1.705% | 2,357,000 | 78,462 | 105,803 | (27,341 | ) | |||||||||||||||||||||||
| Malaysia Government |
1.000% | 06/20/22 | ICE | 1.075% | 3,666,000 | 13,336 | 37,835 | (24,499 | ) | |||||||||||||||||||||||
| Qatar Government |
1.000% | 06/20/22 | ICE | 0.628% | 2,040,000 | (34,895 | ) | (30,210 | ) | (4,685 | ) | |||||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-100
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Exchange | Implied Credit |
Notional |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Colombia Government |
1.000% | 12/20/26 | ICE | 2.144% | $1,425,000 | $128,838 | $157,647 | ($28,809 | ) | |||||||||||||||||||||||
| Colombia Government |
1.000% | 06/20/27 | ICE | 2.185% | 544,000 | 53,560 | 58,642 | (5,082 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| 389,301 | 846,249 | (456,948 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| $703,506 | $2,069,707 | ($1,366,201 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Credit Default Swaps on Sovereign Issues - Sell Protection (2)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Counter- party |
Implied Credit Spread at 03/31/17 (3) |
Notional Amount (4) |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/18 | GSC | 0.750% | $1,300,000 | $5,195 | ($23,480 | ) | $28,675 | |||||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/18 | MSC | 0.750% | 2,940,000 | 11,748 | (54,511 | ) | 66,259 | |||||||||||||||||||||||
| Turkey Government |
1.000% | 06/20/20 | BNP | 1.529% | 2,488,000 | (39,974 | ) | (125,661 | ) | 85,687 | ||||||||||||||||||||||
| Turkey Government |
1.000% | 09/20/20 | BNP | 1.653% | 900,000 | (19,254 | ) | (68,295 | ) | 49,041 | ||||||||||||||||||||||
| Brazil Government |
1.000% | 06/20/22 | DUB | 2.233% | 2,413,000 | (141,433 | ) | (151,861 | ) | 10,428 | ||||||||||||||||||||||
| Turkey Government |
1.000% | 12/20/26 | BNP | 3.145% | 2,680,881 | (435,131 | ) | (455,547 | ) | 20,416 | ||||||||||||||||||||||
| Turkey Government |
1.000% | 12/20/26 | GSC | 3.145% | 547,119 | (88,803 | ) | (93,525 | ) | 4,722 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
| ($707,652 | ) | ($972,880 | ) | $265,228 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||
Credit Default Swaps on Credit Indices - Buy Protection (1)
| Referenced Obligation | Fixed Deal Pay Rate |
Expiration Date |
Exchange | Notional Amount (4) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
| iTraxx Europe |
1.000% | 06/20/22 | ICE | EUR 5,060,000 | ($31,532 | ) | ($22,409 | ) | ($9,123 | ) | ||||||||||||||||
| iTraxx Crossover |
5.000% | 06/20/22 | ICE | 5,006,000 | (528,055 | ) | (511,323 | ) | (16,732 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
| ($559,587 | ) | ($533,732 | ) | ($25,855 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||
Credit Default Swaps on Credit Indices - Sell Protection (2)
| Referenced Obligation | Fixed Deal Receive Rate |
Expiration Date |
Exchange | Notional Amount (4) |
Value (5) | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| CDX EM 25 5Y |
1.000% | 06/20/21 | ICE | $220,000 | ($8,796 | ) | ($19,906 | ) | $11,110 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($568,383 | ) | ($553,638 | ) | ($14,745 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($572,529 | ) | $543,189 | ($1,115,718 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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 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 (buy protection) or decreasing values (sell protection), 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. |
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-101
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
Cross Currency Swaps - Receive Floating Rate
| Notional Amount (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) |
||||||||||||||||||||||||||
| KRW 947,300,000 | $835,509 | 6-Month USD-LIBOR | BNP | 1.095% | 03/02/20 | ($8,592 | ) | $— | ($8,592 | ) | ||||||||||||||||||||||||
| 722,900,000 | 624,536 | 6-Month USD-LIBOR | BNP | 1.190% | 03/08/20 | (21,462 | ) | — | (21,462 | ) | ||||||||||||||||||||||||
| 933,500,000 | 838,197 | 6-Month USD-LIBOR | BNP | 1.230% | 03/31/20 | (347 | ) | — | (347 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
| ($30,401 | ) | $— | ($30,401 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||||||||
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) |
|||||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 6.000% | 02/22/19 | COP 4,855,500,000 | $19,066 | $— | $19,066 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 5.950% | 02/23/19 | 6,797,700,000 | 7,236 | — | 7,236 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
CIT | 5.880% | 02/24/19 | 1,958,900,000 | 6,217 | — | 6,217 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 5.820% | 02/27/19 | 4,000,000,000 | 11,355 | — | 11,355 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
CIT | 5.840% | 02/27/19 | 4,929,600,000 | 14,649 | — | 14,649 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 5.830% | 02/28/19 | 1,430,600,000 | 4,184 | — | 4,184 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
CIT | 5.620% | 03/01/19 | 1,959,300,000 | 3,026 | — | 3,026 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 5.650% | 03/01/19 | 4,952,000,000 | 8,634 | — | 8,634 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
CIT | 5.750% | 03/03/19 | 2,997,400,000 | 7,328 | — | 7,328 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
CIT | 5.740% | 03/06/19 | 2,997,400,000 | 7,299 | — | 7,299 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 5.485% | 03/21/19 | 5,023,100,000 | 5,215 | — | 5,215 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
DUB | 5.490% | 03/21/19 | 5,023,100,000 | 5,381 | — | 5,381 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
DUB | 5.410% | 03/22/19 | 992,000,000 | 556 | — | 556 | |||||||||||||||||||||
| 1-Day COP-IBRCOL |
DUB | 5.360% | 03/26/19 | 4,805,200,000 | 1,251 | — | 1,251 | |||||||||||||||||||||
| 3-Month RUB-MOSPRIME |
GSC | 10.160% | 03/18/20 | RUB 309,937,000 | 174,986 | — | 174,986 | |||||||||||||||||||||
| 3-Month NZD Bank Bills |
JPM | 4.060% | 06/04/23 | NZD 810,000 | 37,330 | — | 37,330 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 313,713 | — | 313,713 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.744% | 07/31/20 | $1,800,000 | (7,335 | ) | — | (7,335 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.750% | 07/31/20 | 535,000 | (2,180 | ) | — | (2,180 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.560% | 08/22/20 | 713,000 | (7,448 | ) | — | (7,448 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.545% | 09/23/20 | 80,000 | (937 | ) | — | (937 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.424% | 10/28/20 | 680,000 | (11,207 | ) | — | (11,207 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.426% | 10/28/20 | 680,000 | (11,147 | ) | — | (11,147 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.540% | 11/05/20 | 706,000 | (8,908 | ) | — | (8,908 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.555% | 11/09/20 | 683,000 | (8,302 | ) | — | (8,302 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.114% | 02/23/21 | 441,000 | (13,614 | ) | — | (13,614 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.272% | 03/07/21 | 1,072,000 | (27,077 | ) | — | (27,077 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.158% | 06/23/21 | 344,000 | (11,406 | ) | — | (11,406 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.170% | 06/24/21 | 230,000 | (7,516 | ) | — | (7,516 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.179% | 06/24/21 | 315,000 | (10,178 | ) | — | (10,178 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.189% | 06/27/21 | 315,000 | (10,085 | ) | — | (10,085 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.207% | 06/27/21 | 316,000 | (9,891 | ) | — | (9,891 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.209% | 06/27/21 | 315,000 | (9,827 | ) | — | (9,827 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 0.966% | 06/28/21 | 350,000 | (14,399 | ) | — | (14,399 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 0.959% | 06/29/21 | 316,000 | (13,099 | ) | — | (13,099 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 0.965% | 06/29/21 | 190,000 | (7,829 | ) | — | (7,829 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 0.968% | 06/29/21 | 315,000 | (12,935 | ) | — | (12,935 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.206% | 07/25/21 | 3,600,000 | (115,742 | ) | — | (115,742 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.199% | 09/01/21 | 1,503,000 | (50,544 | ) | — | (50,544 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.212% | 09/02/21 | 1,283,000 | (42,499 | ) | — | (42,499 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.410% | 12/13/21 | PLN 1,172,000 | 1,182 | — | 1,182 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.963% | 01/06/22 | $740,000 | (2,331 | ) | (259 | ) | (2,072 | ) | ||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.460% | 01/12/22 | PLN 2,113,000 | 3,105 | — | 3,105 | |||||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.435% | 01/13/22 | 2,185,000 | 2,584 | — | 2,584 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.100% | 07/27/22 | $737,000 | 948 | — | 948 | |||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 2.058% | 07/30/22 | 748,000 | (1,040 | ) | — | (1,040 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.606% | 05/10/26 | 1,913,000 | (118,011 | ) | — | (118,011 | ) | |||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.686% | 06/03/26 | 480,000 | (26,720 | ) | — | (26,720 | ) | |||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 1.000% | 06/15/26 | EUR 27 | 1 | (2 | ) | 3 | ||||||||||||||||||||
| 3-Month NZD Bank Bills |
LCH | 2.485% | 07/25/26 | NZD 1,000,000 | (51,628 | ) | — | (51,628 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.226% | 07/28/26 | PLN 1,850,000 | (20,615 | ) | — | (20,615 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.220% | 08/01/26 | 1,334,000 | (15,080 | ) | — | (15,080 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.280% | 09/21/26 | 483,000 | (5,021 | ) | — | (5,021 | ) | |||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-102
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.300% | 09/21/26 | PLN 1,787,000 | ( $ 17,827 | ) | $ | — | ( $ 17,827 | ) | ||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.490% | 10/13/26 | 510,000 | (3,114 | ) | — | (3,114 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.460% | 10/19/26 | 779,000 | (5,278 | ) | — | (5,278 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.470% | 10/19/26 | 519,000 | (3,407 | ) | — | (3,407 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.430% | 10/20/26 | 570,000 | (4,228 | ) | — | (4,228 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.443% | 10/20/26 | 778,000 | (5,557 | ) | — | (5,557 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.460% | 10/28/26 | 1,285,000 | (8,775 | ) | — | (8,775 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.470% | 10/28/26 | 514,000 | (3,401 | ) | — | (3,401 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.500% | 10/31/26 | 771,000 | (4,616 | ) | — | (4,616 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.560% | 11/02/26 | 514,000 | (2,434 | ) | — | (2,434 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.514% | 11/04/26 | 2,826,000 | (16,199 | ) | — | (16,199 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.540% | 11/07/26 | 514,000 | (2,672 | ) | — | (2,672 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.500% | 11/08/26 | 514,000 | (3,109 | ) | — | (3,109 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 2.516% | 11/10/26 | 1,419,000 | (8,100 | ) | — | (8,100 | ) | |||||||||||||||||||
| 6-Month PLN-WIBOR |
LCH | 3.000% | 02/08/27 | 1,524,000 | 6,542 | — | 6,542 | |||||||||||||||||||||
| 6-Month EUR-LIBOR |
CME | 0.500% | 06/21/27 | EUR 3,792,000 | (123,327 | ) | (161,075 | ) | 37,748 | |||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (852,233 | ) | (161,336 | ) | (690,897 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($538,520 | ) | ($161,336 | ) | ($377,184 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
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 |
GSC | 2.160% | 08/03/20 | SAR 3,990,000 | $15,116 | $— | $15,116 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.350% | 08/12/20 | 5,188,000 | 9,690 | — | 9,690 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 3.410% | 08/22/20 | 4,051,000 | (36,547 | ) | — | (36,547 | ) | |||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.560% | 11/05/20 | 5,460,000 | 12,892 | — | 12,892 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.645% | 02/23/21 | 2,118,000 | 9,208 | — | 9,208 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 2.760% | 03/07/21 | 4,235,000 | 13,881 | — | 13,881 | |||||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.500% | 06/13/21 | AED 360,000 | (192 | ) | — | (192 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.505% | 06/15/21 | 360,000 | (206 | ) | — | (206 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.590% | 06/16/21 | 359,000 | (583 | ) | — | (583 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.520% | 06/21/21 | 359,000 | (216 | ) | — | (216 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.755% | 06/23/21 | 1,350,000 | (5,588 | ) | — | (5,588 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.740% | 06/27/21 | 1,123,000 | (4,351 | ) | — | (4,351 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.760% | 06/27/21 | 1,123,000 | (4,644 | ) | — | (4,644 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.785% | 06/27/21 | 899,000 | (4,011 | ) | — | (4,011 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.795% | 06/27/21 | 1,123,000 | (5,157 | ) | — | (5,157 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
GSC | 2.795% | 06/27/21 | 899,000 | (4,129 | ) | — | (4,129 | ) | |||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.395% | 06/28/21 | 1,100,000 | 1,825 | — | 1,825 | |||||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.370% | 06/29/21 | 1,248,000 | 2,500 | — | 2,500 | |||||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.390% | 06/29/21 | 1,135,000 | 1,977 | — | 1,977 | |||||||||||||||||||||
| 3-Month AED-EIBOR |
DUB | 2.345% | 07/25/21 | 6,100,000 | 17,544 | — | 17,544 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
DUB | 3.435% | 07/25/21 | SAR 9,700,000 | (72,413 | ) | — | (72,413 | ) | |||||||||||||||||||
| 3-Month ILS-TELBOR |
GSC | 0.728% | 09/01/21 | ILS 5,597,000 | (587 | ) | — | (587 | ) | |||||||||||||||||||
| 3-Month ILS-TELBOR |
GSC | 0.761% | 09/02/21 | 4,900,000 | (2,658 | ) | — | (2,658 | ) | |||||||||||||||||||
| 3-Month KRW-KWCDC |
BNP | 1.311% | 10/07/21 | KRW 4,364,900,000 | 70,138 | — | 70,138 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.640% | 07/27/22 | SAR 2,892,000 | 20,682 | — | 20,682 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 2.613% | 07/30/22 | 2,868,000 | 21,867 | — | 21,867 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 3.380% | 05/10/26 | 8,945,000 | 46,355 | — | 46,355 | |||||||||||||||||||||
| 3-Month SAR-SAIBOR |
GSC | 3.710% | 06/06/26 | 1,540,000 | (3,251 | ) | — | (3,251 | ) | |||||||||||||||||||
| 3-Month KRW-KWCDC |
BNP | 1.830% | 01/17/27 | KRW 259,760,000 | 1,486 | — | 1,486 | |||||||||||||||||||||
| 3-Month KRW-KWCDC |
CIT | 1.835% | 01/17/27 | 384,240,000 | 2,040 | — | 2,040 | |||||||||||||||||||||
| 3-Month KRW-KWCDC |
BNP | 1.920% | 02/07/27 | 494,000,000 | (643 | ) | — | (643 | ) | |||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 6.385% | 02/27/27 | COP 964,000,000 | (6,661 | ) | — | (6,661 | ) | |||||||||||||||||||
| 1-Day COP-IBRCOL |
GSC | 6.420% | 02/28/27 | 344,800,000 | (2,703 | ) | — | (2,703 | ) | |||||||||||||||||||
| 3-Month KRW-KWCDC |
BNP | 1.785% | 01/17/37 | KRW 349,000,000 | 8,186 | — | 8,186 | |||||||||||||||||||||
| 3-Month KRW-KWCDC |
BNP | 1.845% | 02/07/37 | 269,000,000 | 3,974 | — | 3,974 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 104,821 | — | 104,821 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Exchange | ||||||||||||||||||||||||||||
| 3-Month USD-LIBOR |
LCH | 1.250% | 06/21/19 | $131,000 | 1,230 | 1,594 | (364 | ) | ||||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 0.000% | 06/21/20 | EUR 645,000 | 108 | 1,289 | (1,181 | ) | ||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.265% | 12/13/21 | HUF 80,325,000 | (894 | ) | — | (894 | ) | |||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.460% | 01/12/22 | 141,670,000 | (5,469 | ) | — | (5,469 | ) | |||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.435% | 01/13/22 | 130,330,000 | (4,499 | ) | — | (4,499 | ) | |||||||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-103
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| Floating Rate Index | Exchange | Fixed Rate |
Expiration Date |
Notional Amount |
Value | Upfront Premiums Paid (Received) |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
| U.S. CPI Urban Consumers NSA |
LCH | 2.223% | 01/26/22 | $8,515,000 | ( $ 38,788 | ) | $ | — | ( $ 38,788 | ) | ||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 0.000% | 06/21/22 | EUR 6,719,000 | 85,530 | 115,376 | (29,846 | ) | ||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.923% | 07/28/26 | HUF 131,000,000 | 18,820 | — | 18,820 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.940% | 08/01/26 | 92,200,000 | 12,898 | — | 12,898 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.888% | 09/21/26 | 89,324,000 | 14,806 | — | 14,806 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.930% | 09/21/26 | 36,212,000 | 5,546 | — | 5,546 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 1.935% | 09/21/26 | 35,307,000 | 5,355 | — | 5,355 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.140% | 10/13/26 | 35,971,000 | 3,386 | — | 3,386 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.090% | 10/19/26 | 91,497,000 | 10,137 | — | 10,137 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.040% | 10/20/26 | 94,781,000 | 11,953 | — | 11,953 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.060% | 10/28/26 | 88,749,000 | 10,825 | — | 10,825 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.075% | 10/28/26 | 35,850,000 | 4,210 | — | 4,210 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.085% | 11/02/26 | 53,716,000 | 6,214 | — | 6,214 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.180% | 11/03/26 | 35,967,000 | 3,132 | — | 3,132 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.134% | 11/04/26 | 193,963,000 | 19,663 | — | 19,663 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.150% | 11/07/26 | 35,266,000 | 3,442 | — | 3,442 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.120% | 11/08/26 | 35,033,000 | 3,738 | — | 3,738 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.145% | 11/10/26 | 96,456,000 | 9,594 | — | 9,594 | |||||||||||||||||||||
| 6-Month HUF-BUBOR |
LCH | 2.665% | 02/08/27 | 130,500,000 | (5,779 | ) | — | (5,779 | ) | |||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 0.750% | 03/15/27 | 411 | 4 | 4 | — | |||||||||||||||||||||
| 6-Month EUR-LIBOR |
LCH | 0.500% | 06/21/27 | EUR 2,254,000 | 75,786 | 96,598 | (20,812 | ) | ||||||||||||||||||||
| 6-Month JPY-LIBOR |
LCH | 0.609% | 12/19/46 | JPY 52,510,000 | 32,155 | — | 32,155 | |||||||||||||||||||||
| 6-Month JPY-LIBOR |
LCH | 0.618% | 12/19/46 | 43,490,000 | 25,698 | — | 25,698 | |||||||||||||||||||||
| 6-Month JPY-LIBOR |
LCH | 0.783% | 12/19/46 | 47,720,000 | 8,398 | — | 8,398 | |||||||||||||||||||||
| 6-Month JPY-LIBOR |
LCH | 0.813% | 12/19/46 | 45,572,000 | 4,581 | — | 4,581 | |||||||||||||||||||||
| 6-Month JPY-LIBOR |
LCH | 0.853% | 06/19/47 | 14,700,000 | 400 | — | 400 | |||||||||||||||||||||
| 6-Month JPY-LIBOR |
LCH | 0.856% | 06/19/47 | 14,700,000 | 288 | — | 288 | |||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| 322,468 | 214,861 | 107,607 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| $427,289 | $214,861 | $212,428 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| ($111,231 | ) | $53,525 | ($164,756 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| Total Swap Agreements |
($714,161 | ) | $596,714 | ($1,310,875 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||||||||
| (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, 2017:
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Assets |
Common Stocks |
|||||||||||||||||
| Cyprus |
$2,639 | $— | $2,639 | $— | ||||||||||||||
| Singapore |
662,197 | — | 662,197 | — | ||||||||||||||
| South Korea |
128,508 | 3,925 | 124,583 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Common Stocks |
793,344 | 3,925 | 789,419 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Corporate Bond & Notes |
1,133,641 | — | 1,133,641 | — | ||||||||||||||
| Senior Loan Notes |
687,242 | — | — | 687,242 | ||||||||||||||
| Mortgage-Backed Securities |
1,147,078 | — | 1,147,078 | — | ||||||||||||||
| Foreign Government Bonds & Notes |
57,440,039 | — | 57,440,039 | — | ||||||||||||||
| Short-Term Investments |
21,464,167 | 13,240,806 | 8,008,071 | 215,290 | ||||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
1,050,113 | — | 1,050,113 | — | ||||||||||||||
| Equity Contracts |
||||||||||||||||||
| Purchased Options |
358,469 | — | 358,469 | — | ||||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
1,285,536 | — | 1,284,876 | 660 | ||||||||||||||
| Purchased Options |
717,771 | — | 717,771 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
2,003,307 | — | 2,002,647 | 660 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Swaps |
965,333 | — | 965,333 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets - Derivatives |
4,377,222 | — | 4,376,562 | 660 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Assets |
87,042,733 | 13,244,731 | 72,894,810 | 903,192 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-104
PACIFIC FUNDS
PF GLOBAL ABSOLUTE RETURN FUND
Schedule of Investments (Continued)
March 31, 2017
| Total Value at March 31, 2017 |
Level 1 Quoted Price |
Level 2 Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
|||||||||||||||
| Liabilities |
Securities Sold Short: |
|||||||||||||||||
| Foreign Government Bonds & Notes |
($988,419 | ) | $— | ($988,419 | ) | $— | ||||||||||||
| Derivatives: |
||||||||||||||||||
| Credit Contracts |
||||||||||||||||||
| Swaps |
(1,622,642 | ) | — | (1,622,642 | ) | — | ||||||||||||
| Equity Contracts |
||||||||||||||||||
| Futures |
(142 | ) | (142 | ) | — | — | ||||||||||||
| Foreign Currency Contracts |
||||||||||||||||||
| Forward Foreign Currency Contracts |
(1,694,449 | ) | — | (1,694,449 | ) | — | ||||||||||||
| Written Options |
(443,131 | ) | — | (443,131 | ) | — | ||||||||||||
| Swaps |
(30,401 | ) | — | (30,401 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Foreign Currency Contracts |
(2,167,981 | ) | — | (2,167,981 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Interest Rate Contracts |
||||||||||||||||||
| Futures |
(67,624 | ) | (67,624 | ) | — | — | ||||||||||||
| Swaps |
(1,076,564 | ) | — | (1,076,564 | ) | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Interest Rate Contracts |
(1,144,188 | ) | (67,624 | ) | (1,076,564 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities - Derivatives |
(4,934,953 | ) | (67,766 | ) | (4,867,187 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total Liabilities |
(5,923,372 | ) | (67,766 | ) | (5,855,606 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| Total |
$81,119,361 | $13,176,965 | $67,039,204 | $903,192 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
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, 2017:
| Senior Loan Notes |
Foreign Government Bonds & Notes |
Short-Term Investment |
Forward Foreign Currency Contracts |
Total | ||||||||||||||||
| Value, Beginning of Year |
$— | $2,124,945 | $— | $— | $2,124,945 | |||||||||||||||
| Purchases |
— | 771,935 | 215,110 | — | 987,045 | |||||||||||||||
| Sales (Includes Paydowns) |
— | (1,359,521 | ) | — | — | (1,359,521 | ) | |||||||||||||
| Accrued Discounts (Premiums) |
— | (27,367 | ) | 180 | — | (27,187 | ) | |||||||||||||
| Net Realized Gains (Losses) |
— | (49,354 | ) | — | — | (49,354 | ) | |||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
— | (13,048 | ) | — | 660 | (12,388 | ) | |||||||||||||
| Transfers In |
687,242 | — | — | — | 687,242 | |||||||||||||||
| Transfers Out |
— | (1,447,590 | ) | — | — | (1,447,590 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Value, End of Year |
$687,242 | $— | $215,290 | $660 | $903,192 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
| Change in Net Unrealized Appreciation (Depreciation) on |
$— | $— | $— | $660 | $660 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Additional information about Level 3 fair value measurements as of March 31, 2017 was as follows:
| Value at 03/31/17 |
Valuation Technique | Unobservable Input | Range | Weighted Average |
||||||||||||
| Senior Loan Notes |
$687,242 | Demand Yield Model | Comparable spread to U.S. Treasury Bonds | 602.0 - 665.4 bps | 633.7 bps | |||||||||||
A significant increase in the discount in the spread to U.S. Treasuries could result in a decrease to the fair value measurement. Conversely, significant movements in the opposite direction of this unobservable input could have the inverse effect on the fair value measurement.
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 based on the performance of comparable credit quality senior loans of other companies. 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 value of $215,950 were provided by a single broker quote.
The table below shows transfers between levels. The Trust’s policy is to recognize transfers between levels as of the end of the reporting period.
| Amount Transferred |
Level Transfer | Change in Fair Valuation Measurement Inputs | ||||||||||||||||
| From | To | From | To | |||||||||||||||
| $687,242 | 2 | 3 | Methodology Approved By The Trustee Valuation Committee (observable inputs) |
Methodology Approved By The Trustee Valuation Committee (unobservable inputs) | ||||||||||||||
| 1,447,590 | 3 | 2 | Unobservable Single Broker Quote |
Vendor Price (observable inputs) | ||||||||||||||
| See Notes to Financial Statements | See explanation of symbols and terms, if any, on B-106 and B-107 |
B-105
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms
March 31, 2017
| See Notes to Financial Statements |
B-106
PACIFIC FUNDS
Schedule of Investments (Continued)
Explanation of Symbols and Terms (Continued)
March 31, 2017
| See Notes to Financial Statements |
B-107
STATEMENTS OF ASSETS AND LIABILITIES
March 31, 2017
| PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short
Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Comstock Fund |
PF Developing Growth Fund |
|||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||
| Investments, at cost |
$16,721,102 | $946,829,038 | $168,920,810 | $40,046,943 | $119,272,056 | $7,165,877 | ||||||||||||||||||||||||
| Investments, at value |
$16,651,502 | $945,462,495 | $168,866,212 | $41,133,480 | $183,491,141 | $8,823,194 | ||||||||||||||||||||||||
| Cash |
5,267 | 21,970 | — | 131,962 | 59,820 | — | ||||||||||||||||||||||||
| Cash (segregated for derivative instruments) |
190,929 | 5,496,217 | 57,300 | 778,274 | — | — | ||||||||||||||||||||||||
| Foreign currency held, at value (1), (2) |
60,927 | 2,848,712 | — | 189,503 | 57,907 | — | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividends and interest |
39,743 | 5,132,581 | 793,792 | 640,309 | 272,963 | 690 | ||||||||||||||||||||||||
| Fund shares sold |
8,577 | — | — | 17,154 | — | — | ||||||||||||||||||||||||
| Securities sold |
1,012,794 | 144,474,359 | 2,448,470 | 354,717 | 561,824 | 5,467 | ||||||||||||||||||||||||
| Variation margin |
— | 1,386,933 | 2,216 | 71,691 | — | — | ||||||||||||||||||||||||
| Swap agreements |
13,222 | 19,994 | — | 225 | — | — | ||||||||||||||||||||||||
| Due from adviser |
— | 70,805 | 15,643 | — | 11,496 | — | ||||||||||||||||||||||||
| Forward foreign currency contracts appreciation |
19,524 | 2,085,273 | — | 423,052 | — | — | ||||||||||||||||||||||||
| Swap agreements, at value |
— | 72,677 | — | 614,809 | — | — | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
140 | 9,439 | 726 | 556 | 1,785 | 111 | ||||||||||||||||||||||||
| Total Assets |
18,002,625 | 1,107,081,455 | 172,184,359 | 44,355,732 | 184,456,936 | 8,829,462 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
7,097 | 416,446 | 94,637 | 21,950 | 100,302 | 4,627 | ||||||||||||||||||||||||
| Securities purchased |
1,079,483 | 314,761,286 | 4,331,301 | 944,939 | 240,251 | 6,270 | ||||||||||||||||||||||||
| Sale-buyback financing transactions |
3,601,836 | 43,991,628 | — | — | — | — | ||||||||||||||||||||||||
| Due to custodian |
— | — | 2,057 | — | — | — | ||||||||||||||||||||||||
| Due to brokers (3) |
— | 1,960,000 | — | — | — | — | ||||||||||||||||||||||||
| Variation margin |
114,099 | — | — | — | — | — | ||||||||||||||||||||||||
| Accrued advisory fees |
15,097 | 260,239 | 52,903 | 39,332 | 116,535 | 4,838 | ||||||||||||||||||||||||
| Accrued administration fees |
1,629 | 97,590 | 19,839 | 5,658 | 23,783 | 1,124 | ||||||||||||||||||||||||
| Accrued support service expenses |
385 | 26,481 | 4,384 | 1,185 | 6,368 | 444 | ||||||||||||||||||||||||
| Accrued custodian fees and expenses |
1,882 | 17,912 | 2,165 | 10,763 | 2,247 | 181 | ||||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
267 | 18,341 | 3,036 | 821 | 4,411 | 308 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
1,482 | 102,795 | 16,798 | 4,624 | 24,596 | 1,705 | ||||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
2,129 | 10,917 | 1,546 | 19 | 3,636 | 1,855 | ||||||||||||||||||||||||
| Accrued foreign capital gains tax |
— | — | — | 3,335 | — | — | ||||||||||||||||||||||||
| Accrued other |
2,321 | 59,734 | 16,674 | 6,305 | 9,968 | 2,619 | ||||||||||||||||||||||||
| Forward foreign currency contracts depreciation |
20,635 | 2,610,662 | — | 703,016 | 204,775 | — | ||||||||||||||||||||||||
| Outstanding options written, at value (premiums received $59,961 and $674,565, respectively) |
13,148 | 526,782 | — | — | — | — | ||||||||||||||||||||||||
| Swap agreements, at value |
11,039 | 4,485 | — | 23 | — | — | ||||||||||||||||||||||||
| Total Liabilities |
4,872,529 | 364,865,298 | 4,545,340 | 1,741,970 | 736,872 | 23,971 | ||||||||||||||||||||||||
| NET ASSETS |
$13,130,096 | $742,216,157 | $167,639,019 | $42,613,762 | $183,720,064 | $8,805,491 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$22,447,738 | $746,915,951 | $169,430,672 | $49,938,084 | $118,365,205 | $9,562,357 | ||||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
(65,030 | ) | 5,511,453 | 444,150 | (466,021 | ) | 1,044,255 | (1,836 | ) | |||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(9,269,682 | ) | (11,146,070 | ) | (2,196,897 | ) | (7,836,642 | ) | 302,278 | (2,412,347 | ) | |||||||||||||||||||
| Net unrealized appreciation (depreciation) on
investments |
17,070 | 934,823 | (38,906 | ) | 978,341 | 64,008,326 | 1,657,317 | |||||||||||||||||||||||
| NET ASSETS |
$13,130,096 | $742,216,157 | $167,639,019 | $42,613,762 | $183,720,064 | $8,805,491 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
1,472,708 | 69,590,844 | 16,959,469 | 4,536,194 | 12,251,433 | 765,495 | ||||||||||||||||||||||||
| Net Asset Value Per Share |
$8.92 | $10.67 | $9.88 | $9.39 | $15.00 | $11.50 | ||||||||||||||||||||||||
| (1) | The cost of foreign currency for the PF Inflation Managed, PF Managed Bond, PF Emerging Markets Debt, and PF Comstock Funds was $60,827, $2,816,245, $186,920, and $58,121, respectively. |
| (2) | Includes $2,510 of restricted foreign cash in the PF Emerging Markets Debt Fund (See Note 4 in Notes to Financial Statements). |
| (3) | The PF Managed Bond Fund received cash collateral to mitigate risk of loss to certain counterparties, which will be repaid based on master netting arrangements between the Fund and the respective counterparties. The Fund invests 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, 2017
| 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 |
$92,038,652 | $63,220,888 | $277,850,446 | $229,871,648 | $52,888,614 | $11,275,248 | ||||||||||||||||||||||||
| Investments, at value |
$134,982,926 | $89,284,948 | $429,709,372 | $302,239,664 | $66,420,428 | $14,572,698 | ||||||||||||||||||||||||
| Cash |
— | 2,808 | — | 11,860 | — | 81 | ||||||||||||||||||||||||
| Foreign currency held, at value (1) |
— | 4 | — | — | — | — | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividends and interest |
56,474 | 23,959 | 856,951 | 394,923 | 46,653 | 3,344 | ||||||||||||||||||||||||
| Securities sold |
772,880 | — | 4,799,947 | 28,365 | 894,910 | — | ||||||||||||||||||||||||
| Due from adviser |
6,570 | 5,903 | 27,821 | 20,685 | — | — | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
1,181 | 1,321 | 4,154 | 3,126 | 823 | 217 | ||||||||||||||||||||||||
| Total Assets |
135,820,031 | 89,318,943 | 435,398,245 | 302,698,623 | 67,362,814 | 14,576,340 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
69,224 | 45,806 | 234,389 | 159,017 | 35,552 | 7,691 | ||||||||||||||||||||||||
| Securities purchased |
510,122 | — | 1,216,831 | 988,490 | 1,248,448 | 37,649 | ||||||||||||||||||||||||
| Due to custodian |
— | — | 928 | — | — | — | ||||||||||||||||||||||||
| Accrued advisory fees |
61,025 | 59,025 | 238,764 | 117,342 | 38,442 | 10,063 | ||||||||||||||||||||||||
| Accrued administration fees |
16,643 | 12,559 | 55,099 | 39,114 | 8,830 | 1,867 | ||||||||||||||||||||||||
| Accrued support service expenses |
3,554 | 3,554 | 13,033 | 9,627 | 2,370 | 592 | ||||||||||||||||||||||||
| Accrued custodian fees and expenses |
1,253 | 1,578 | 4,004 | 3,147 | 751 | 242 | ||||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
2,462 | 2,462 | 9,027 | 6,668 | 1,641 | 410 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
13,774 | 13,806 | 50,470 | 37,287 | 9,182 | 2,296 | ||||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
2,993 | 7,081 | 5,992 | 1,627 | 926 | 2,944 | ||||||||||||||||||||||||
| Accrued other |
7,124 | 5,870 | 18,453 | 14,064 | 5,821 | 2,082 | ||||||||||||||||||||||||
| Total Liabilities |
688,174 | 151,741 | 1,846,990 | 1,376,383 | 1,351,963 | 65,836 | ||||||||||||||||||||||||
| NET ASSETS |
$135,131,857 | $89,167,202 | $433,551,255 | $301,322,240 | $66,010,851 | $14,510,504 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$91,386,195 | $51,919,725 | $279,105,220 | $217,585,674 | $46,906,570 | $11,001,500 | ||||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
38,775 | (6,933 | ) | 1,494,081 | 776,828 | (828 | ) | 31,781 | ||||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
762,613 | 11,190,398 | 1,093,028 | 10,594,473 | 5,573,295 | 179,773 | ||||||||||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
42,944,274 | 26,064,012 | 151,858,926 | 72,365,265 | 13,531,814 | 3,297,450 | ||||||||||||||||||||||||
| NET ASSETS |
$135,131,857 | $89,167,202 | $433,551,255 | $301,322,240 | $66,010,851 | $14,510,504 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
6,454,007 | 8,820,993 | 26,114,055 | 21,473,510 | 6,002,658 | 2,036,727 | ||||||||||||||||||||||||
| Net Asset Value Per Share |
$20.94 | $10.11 | $16.60 | $14.03 | $11.00 | $7.12 | ||||||||||||||||||||||||
| (1) | The cost of foreign currency for the PF Large-Cap Growth Fund was $4. |
See Notes to Financial Statements
C-2
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
March 31, 2017
| PF Mid-Cap Value Fund |
PF Small-Cap Value Fund |
PF
Emerging Markets Fund |
PF
International Large-Cap Fund |
PF
International Small-Cap Fund |
PF
International Value Fund |
|||||||||||||||||||||||||
| ASSETS |
||||||||||||||||||||||||||||||
| Investments, at cost |
$169,515,455 | $94,069,856 | $152,543,790 | $114,382,589 | $36,641,896 | $147,929,565 | ||||||||||||||||||||||||
| Investments, at value |
$196,973,241 | $118,582,014 | $200,181,473 | $175,558,672 | $42,685,127 | $173,316,773 | ||||||||||||||||||||||||
| Cash |
8,303 | — | 397 | 18,187 | — | — | ||||||||||||||||||||||||
| Foreign currency held, at value (1) |
— | — | 60,370 | — | 53,781 | 86,560 | ||||||||||||||||||||||||
| Receivables: |
||||||||||||||||||||||||||||||
| Dividends and interest |
274,957 | 123,867 | 296,981 | 1,229,003 | 258,849 | 1,335,635 | ||||||||||||||||||||||||
| Fund shares sold |
— | — | 12,008 | — | 8,577 | — | ||||||||||||||||||||||||
| Securities sold |
364,228 | 748,433 | 684,678 | 616,472 | 88,086 | — | ||||||||||||||||||||||||
| Due from adviser |
— | 5,446 | 48,814 | 32,824 | — | 12,676 | ||||||||||||||||||||||||
| Forward foreign currency contracts appreciation |
— | — | — | — | — | 347,572 | ||||||||||||||||||||||||
| Prepaid expenses and other assets |
1,474 | 1,212 | 1,922 | 3,087 | 547 | 1,977 | ||||||||||||||||||||||||
| Total Assets |
197,622,203 | 119,460,972 | 201,286,643 | 177,458,245 | 43,094,967 | 175,101,193 | ||||||||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||||||||||
| Fund shares redeemed |
107,136 | 62,543 | 102,842 | 87,836 | 21,404 | 87,217 | ||||||||||||||||||||||||
| Securities purchased |
26,672 | 684,226 | 85,196 | 427,691 | 192,554 | — | ||||||||||||||||||||||||
| Due to custodian (1) |
— | — | — | 684 | — | — | ||||||||||||||||||||||||
| Accrued advisory fees |
111,398 | 76,447 | 130,030 | 140,139 | 54,537 | 96,041 | ||||||||||||||||||||||||
| Accrued administration fees |
23,871 | 15,289 | 24,381 | 24,730 | 5,388 | 22,163 | ||||||||||||||||||||||||
| Accrued support service expenses |
4,887 | 4,147 | 4,887 | 6,813 | 1,185 | 5,480 | ||||||||||||||||||||||||
| Accrued custodian fees and expenses |
1,466 | 1,197 | 113,146 | 43,506 | 12,419 | 19,184 | ||||||||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
3,385 | 2,872 | 3,385 | 4,719 | 821 | 3,795 | ||||||||||||||||||||||||
| Accrued legal, audit and tax service fees |
18,955 | 16,036 | 19,020 | 26,627 | 4,624 | 21,283 | ||||||||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
78 | 598 | 839 | 2,913 | 19 | 3,740 | ||||||||||||||||||||||||
| Accrued foreign capital gains tax |
— | — | 164,621 | — | — | — | ||||||||||||||||||||||||
| Accrued other |
7,714 | 7,513 | 18,040 | 22,818 | 4,238 | 18,425 | ||||||||||||||||||||||||
| Forward foreign currency contracts depreciation |
— | — | — | — | — | 193,404 | ||||||||||||||||||||||||
| Total Liabilities |
305,562 | 870,868 | 666,387 | 788,476 | 297,189 | 470,732 | ||||||||||||||||||||||||
| NET ASSETS |
$197,316,641 | $118,590,104 | $200,620,256 | $176,669,769 | $42,797,778 | $174,630,461 | ||||||||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||||||||||
| Paid-in capital |
$172,370,759 | $85,595,684 | $180,274,421 | $130,523,653 | $35,891,510 | $203,144,673 | ||||||||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
(382,378 | ) | (4,881 | ) | (1,597,852 | ) | 74,419 | 9,431 | 1,560,796 | |||||||||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
(2,129,526 | ) | 8,487,143 | (25,527,349 | ) | (15,048,444 | ) | 854,502 | (55,585,112 | ) | ||||||||||||||||||||
| Net unrealized appreciation (depreciation) on investments and assets and liabilities in foreign currencies |
27,457,786 | 24,512,158 | 47,471,036 | 61,120,141 | 6,042,335 | 25,510,104 | ||||||||||||||||||||||||
| NET ASSETS |
$197,316,641 | $118,590,104 | $200,620,256 | $176,669,769 | $42,797,778 | $174,630,461 | ||||||||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||||||||||
| Shares of beneficial interest outstanding |
17,063,123 | 9,809,324 | 14,528,350 | 9,714,684 | 4,077,754 | 18,760,037 | ||||||||||||||||||||||||
| Net Asset Value Per Share |
$11.56 | $12.09 | $13.81 | $18.19 | $10.50 | $9.31 | ||||||||||||||||||||||||
| (1) | The cost of foreign currency, including amounts due to custodian in foreign currency, for the PF Emerging Markets, PF International Large-Cap, PF International Small-Cap, and PF International Value Funds was $64,547, ($684), $53,859, and $86,552, respectively. |
See Notes to Financial Statements
C-3
PACIFIC FUNDS
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
March 31, 2017
| PF Real Estate Fund |
PF Currency Strategies Fund |
PF Equity Long/Short Fund |
PF Global
Absolute Return Fund |
|||||||||||||||||||
| ASSETS |
||||||||||||||||||||||
| Investments and repurchase agreements, at cost |
$22,908,535 | $87,681,955 | $52,967,170 | $83,999,604 | ||||||||||||||||||
| Investments, at value |
$38,955,486 | $86,471,446 | $52,961,758 | $82,727,210 | ||||||||||||||||||
| Repurchase agreements, at value |
— | — | — | 1,014,541 | ||||||||||||||||||
| Cash |
6,462 | 2,109 | — | 130,268 | ||||||||||||||||||
| Cash (segregated for derivative instruments) |
— | — | 4,795,000 | 469,000 | ||||||||||||||||||
| Foreign currency held, at value (1) |
— | 2,190 | 10,880 | 1,578,213 | ||||||||||||||||||
| Receivables: |
||||||||||||||||||||||
| Dividends and interest |
131,378 | 138,385 | — | 1,226,606 | ||||||||||||||||||
| Fund shares sold |
8,577 | 41,169 | 18,869 | 42,884 | ||||||||||||||||||
| Securities sold |
240,457 | — | — | — | ||||||||||||||||||
| Variation margin |
— | — | 1,632,948 | 2,621,914 | ||||||||||||||||||
| Due from adviser |
3,796 | — | — | — | ||||||||||||||||||
| Forward foreign currency contracts appreciation |
— | 8,342,441 | 122,418 | 1,285,536 | ||||||||||||||||||
| Swap agreements, at value |
— | — | 11,768,072 | 1,152,008 | ||||||||||||||||||
| Prepaid expenses and other assets |
685 | 900 | 796 | 903 | ||||||||||||||||||
| Total Assets |
39,346,841 | 94,998,640 | 71,310,741 | 92,249,083 | ||||||||||||||||||
| LIABILITIES |
||||||||||||||||||||||
| Payables: |
||||||||||||||||||||||
| Fund shares redeemed |
19,724 | 45,787 | 38,459 | 45,787 | ||||||||||||||||||
| Due to adviser |
— | 5,088 | — | 6,932 | ||||||||||||||||||
| Securities purchased |
232,305 | — | — | 365,972 | ||||||||||||||||||
| Securities sold short, at value (proceeds $988,401) |
— | — | — | 988,419 | ||||||||||||||||||
| Swap agreements |
— | — | — | 258,474 | ||||||||||||||||||
| Due to brokers (2) |
— | 1,180,000 | — | 129,000 | ||||||||||||||||||
| Accrued advisory fees |
35,438 | 47,568 | 62,270 | 58,541 | ||||||||||||||||||
| Accrued administration fees |
5,906 | 10,977 | 9,341 | 10,977 | ||||||||||||||||||
| Accrued support service expenses |
1,925 | 2,666 | 2,370 | 2,370 | ||||||||||||||||||
| Accrued custodian fees and expenses |
654 | 3,551 | 2,870 | 21,846 | ||||||||||||||||||
| Accrued transfer agency out-of-pocket expenses |
1,334 | 1,846 | 1,641 | 1,641 | ||||||||||||||||||
| Accrued legal, audit and tax service fees |
7,477 | 10,330 | 9,182 | 9,215 | ||||||||||||||||||
| Accrued trustees’ fees and expenses and deferred compensation |
380 | 43 | 38 | 38 | ||||||||||||||||||
| Accrued other |
3,694 | 3,770 | 15,619 | 10,494 | ||||||||||||||||||
| Forward foreign currency contracts depreciation |
— | 5,864,723 | 6,752 | 1,694,449 | ||||||||||||||||||
| Outstanding options written, at value (premiums received $670,559) |
— | — | — | 443,131 | ||||||||||||||||||
| Swap agreements, at value |
— | — | 80,741 | 1,157,322 | ||||||||||||||||||
| Total Liabilities |
308,837 | 7,176,349 | 229,283 | 5,204,608 | ||||||||||||||||||
| NET ASSETS |
$39,038,004 | $87,822,291 | $71,081,458 | $87,044,475 | ||||||||||||||||||
| NET ASSETS CONSIST OF: |
||||||||||||||||||||||
| Paid-in capital |
$20,948,489 | $86,580,118 | $68,932,509 | $93,965,038 | ||||||||||||||||||
| Undistributed/accumulated net investment income (loss) |
(301 | ) | (22,587 | ) | (12,290,745 | ) | (62,038 | ) | ||||||||||||||
| Undistributed/accumulated net realized gain (loss) |
2,042,865 | — | 2,630,446 | (5,070,749 | ) | |||||||||||||||||
| Net unrealized appreciation (depreciation) on
investments |
16,046,951 | 1,264,760 | 11,809,248 | (1,787,776 | ) | |||||||||||||||||
| NET ASSETS |
$39,038,004 | $87,822,291 | $71,081,458 | $87,044,475 | ||||||||||||||||||
| Class P Shares: |
||||||||||||||||||||||
| Shares of beneficial interest outstanding |
2,613,546 | 9,252,185 | 7,265,697 | 9,520,125 | ||||||||||||||||||
| Net Asset Value Per Share |
$14.94 | $9.49 | $9.78 | $9.14 | ||||||||||||||||||
| (1) | The cost of foreign currency for the PF Currency Strategies, PF Equity Long/Short, and PF Global Absolute Return Funds was $2,170, $10,891, and $1,578,419, respectively. |
| (2) | The PF Currency Strategies and PF Global Absolute Return 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, 2017
| PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
PF Comstock Fund |
PF
Developing Growth Fund |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$1,675 | $135,610 | $8,637 | $7,071 | $4,647,403 | $52,658 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
856,171 | 22,476,201 | 1,671,320 | 5,441,278 | — | — | ||||||||||||||||||||||||
| Other |
— | — | — | 2,587 | — | — | ||||||||||||||||||||||||
| Total Investment Income |
857,846 | 22,611,811 | 1,679,957 | 5,450,936 | 4,647,403 | 52,658 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
82,561 | 3,064,376 | 392,602 | 502,731 | 1,431,303 | 90,742 | ||||||||||||||||||||||||
| Administration fees |
30,960 | 1,149,141 | 147,226 | 96,063 | 286,260 | 22,685 | ||||||||||||||||||||||||
| Support services expenses |
6,391 | 122,642 | 17,011 | 13,688 | 38,336 | 4,285 | ||||||||||||||||||||||||
| Custodian fees and expenses |
7,753 | 49,474 | 5,556 | 50,751 | 6,032 | 280 | ||||||||||||||||||||||||
| Shareholder report expenses |
1,567 | 64,003 | 8,561 | 4,402 | 15,805 | 1,151 | ||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
2,366 | 55,108 | 7,745 | 5,337 | 16,048 | 1,623 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
2,538 | 117,985 | 18,790 | 6,858 | 30,235 | 2,378 | ||||||||||||||||||||||||
| Trustees’ fees and expenses |
1,876 | 34,010 | 5,014 | 3,867 | 10,902 | 1,241 | ||||||||||||||||||||||||
| Interest expense |
55,425 | 60,617 | — | — | — | — | ||||||||||||||||||||||||
| Other |
10,624 | 147,654 | 60,414 | 23,044 | 17,508 | 11,849 | ||||||||||||||||||||||||
| Total Expenses |
202,061 | 4,865,010 | 662,919 | 706,741 | 1,852,429 | 136,234 | ||||||||||||||||||||||||
| Advisory Fee Waiver (1) |
(3,096 | ) | — | — | — | (28,626 | ) | — | ||||||||||||||||||||||
| Adviser Expense Reimbursement (2) |
(33,114 | ) | (590,876 | ) | (123,091 | ) | (107,918 | ) | (134,866 | ) | (22,807 | ) | ||||||||||||||||||
| Net Expenses |
165,851 | 4,274,134 | 539,828 | 598,823 | 1,688,937 | 113,427 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
691,995 | 18,337,677 | 1,140,129 | 4,852,113 | 2,958,466 | (60,769 | ) | |||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions (3) |
1,294,083 | (9,976,327 | ) | 51,550 | 457,294 | 16,505,268 | 5,240,536 | |||||||||||||||||||||||
| Closed short positions |
(3,613 | ) | (51,901 | ) | — | — | — | — | ||||||||||||||||||||||
| Futures contract transactions |
40,312 | (474,161 | ) | (54,075 | ) | — | — | 405,914 | ||||||||||||||||||||||
| Swap transactions |
(378,695 | ) | (1,411,596 | ) | — | 382,009 | — | — | ||||||||||||||||||||||
| Written option transactions |
67,134 | 5,479,885 | — | — | — | — | ||||||||||||||||||||||||
| Foreign currency transactions |
(288,831 | ) | (1,738,324 | ) | — | 720,191 | 805,845 | — | ||||||||||||||||||||||
| Net Realized Gain (Loss) |
730,390 | (8,172,424 | ) | (2,525 | ) | 1,559,494 | 17,311,113 | 5,646,450 | ||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities |
(1,092,134 | ) | (2,284,962 | ) | 35,066 | 6,144,293 | 17,707,712 | (2,616,840 | ) | |||||||||||||||||||||
| Short positions |
— | (270 | ) | — | — | — | — | |||||||||||||||||||||||
| Futures contracts |
(43,496 | ) | 275,124 | 15,582 | — | — | — | |||||||||||||||||||||||
| Swaps |
183,817 | 9,085,456 | — | 197,499 | — | — | ||||||||||||||||||||||||
| Written options |
1,817 | (36,996 | ) | — | — | — | — | |||||||||||||||||||||||
| Foreign currencies |
190,842 | 14,140 | — | (2,100,142 | ) | 278,762 | — | |||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(759,154 | ) | 7,052,492 | 50,648 | 4,241,650 | 17,986,474 | (2,616,840 | ) | ||||||||||||||||||||||
| NET GAIN (LOSS) |
(28,764 | ) | (1,119,932 | ) | 48,123 | 5,801,144 | 35,297,587 | 3,029,610 | ||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
$663,231 | $17,217,745 | $1,188,252 | $10,653,257 | $38,256,053 | $2,968,841 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$— | $27,509 | $2,416 | $34,650 | $92,467 | $— | ||||||||||||||||||||||||
| (1) | See Note 6 in Notes to Financial Statements. |
| (2) | See Note 7B in Notes to Financial Statements. |
| (3) | Net realized gain (loss) on investment security transactions for the PF Emerging Markets Debt Fund is net of foreign capital gains tax withheld of $18,334. |
See Notes to Financial Statements
C-5
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2017
| 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 |
$964,510 | $910,168 | $8,708,793 | $5,682,251 | $1,164,342 | $198,637 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
1,261 | — | — | — | — | — | ||||||||||||||||||||||||
| Total Investment Income |
965,771 | 910,168 | 8,708,793 | 5,682,251 | 1,164,342 | 198,637 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
650,909 | 914,995 | 2,568,776 | 1,291,602 | 605,783 | 164,334 | ||||||||||||||||||||||||
| Administration fees |
177,521 | 182,999 | 592,794 | 430,534 | 139,796 | 35,214 | ||||||||||||||||||||||||
| Support services expenses |
22,283 | 25,216 | 67,250 | 48,372 | 23,438 | 6,541 | ||||||||||||||||||||||||
| Custodian fees and expenses |
3,809 | 5,108 | 11,206 | 9,124 | 2,642 | 854 | ||||||||||||||||||||||||
| Shareholder report expenses |
9,318 | 9,876 | 31,901 | 23,556 | 7,653 | 2,207 | ||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
9,333 | 10,339 | 29,337 | 21,282 | 9,203 | 2,610 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
17,029 | 17,593 | 59,659 | 43,755 | 13,107 | 3,423 | ||||||||||||||||||||||||
| Trustees’ fees and expenses |
6,281 | 7,087 | 18,983 | 13,682 | 6,802 | 2,033 | ||||||||||||||||||||||||
| Other |
14,255 | 11,082 | 24,665 | 20,041 | 17,112 | 7,704 | ||||||||||||||||||||||||
| Total Expenses |
910,738 | 1,184,295 | 3,404,571 | 1,901,948 | 825,536 | 224,920 | ||||||||||||||||||||||||
| Advisory Fee Waiver (1) |
— | (54,900 | ) | — | — | — | (9,288 | ) | ||||||||||||||||||||||
| Adviser Expense Reimbursement (2) |
(82,308 | ) | (86,301 | ) | (243,001 | ) | (179,812 | ) | (79,956 | ) | (25,372 | ) | ||||||||||||||||||
| Net Expenses |
828,430 | 1,043,094 | 3,161,570 | 1,722,136 | 745,580 | 190,260 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
137,341 | (132,926 | ) | 5,547,223 | 3,960,115 | 418,762 | 8,377 | |||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions |
4,023,389 | 18,997,628 | 7,968,281 | 12,613,304 | 25,510,523 | 2,296,345 | ||||||||||||||||||||||||
| Futures contract transactions |
— | — | — | — | 913,582 | 487,029 | ||||||||||||||||||||||||
| Written option transactions |
— | — | — | — | — | (12,133 | ) | |||||||||||||||||||||||
| Foreign currency transactions |
(105 | ) | (285 | ) | (2,194 | ) | 797 | — | (217 | ) | ||||||||||||||||||||
| Net Realized Gain (Loss) |
4,023,284 | 18,997,343 | 7,966,087 | 12,614,101 | 26,424,105 | 2,771,024 | ||||||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities |
11,550,079 | 410,030 | 43,755,041 | 28,241,550 | (4,846,412 | ) | 1,485,934 | |||||||||||||||||||||||
| Written options |
— | — | — | — | — | 2,972 | ||||||||||||||||||||||||
| Foreign currencies |
— | 13 | — | (1,295 | ) | — | — | |||||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
11,550,079 | 410,043 | 43,755,041 | 28,240,255 | (4,846,412 | ) | 1,488,906 | |||||||||||||||||||||||
| NET GAIN (LOSS) |
15,573,363 | 19,407,386 | 51,721,128 | 40,854,356 | 21,577,693 | 4,259,930 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
$15,710,704 | $19,274,460 | $57,268,351 | $44,814,471 | $21,996,455 | $4,268,307 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$8,675 | $17,938 | $167,150 | $33,263 | $491 | $— | ||||||||||||||||||||||||
| (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 ENDED MARCH 31, 2017
| PF Mid-Cap Value Fund |
PF Small-Cap Value Fund |
PF
Emerging Markets Fund |
PF
International Large-Cap Fund |
PF
International Small-Cap Fund |
PF
International Value Fund |
|||||||||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$2,300,168 | $1,399,561 | $2,732,430 | $6,426,106 | $1,885,881 | $5,610,684 | ||||||||||||||||||||||||
| Interest, net of foreign taxes withheld |
— | — | — | 5,262 | — | — | ||||||||||||||||||||||||
| Total Investment Income |
2,300,168 | 1,399,561 | 2,732,430 | 6,431,368 | 1,885,881 | 5,610,684 | ||||||||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||||||||||
| Advisory fees |
1,260,744 | 1,032,147 | 1,370,569 | 2,218,669 | 507,412 | 1,129,824 | ||||||||||||||||||||||||
| Administration fees |
270,159 | 206,429 | 256,982 | 391,530 | 89,543 | 260,729 | ||||||||||||||||||||||||
| Support services expenses |
38,706 | 30,480 | 26,570 | 52,442 | 15,031 | 30,829 | ||||||||||||||||||||||||
| Custodian fees and expenses |
4,582 | 3,790 | 298,634 | 147,232 | 59,300 | 63,544 | ||||||||||||||||||||||||
| Shareholder report expenses |
14,406 | 11,516 | 12,993 | 20,819 | 4,488 | 14,206 | ||||||||||||||||||||||||
| Transfer agency out-of-pocket expenses |
15,706 | 12,450 | 11,662 | 21,451 | 5,738 | 13,275 | ||||||||||||||||||||||||
| Legal, audit and tax service fees |
25,670 | 21,011 | 22,635 | 34,764 | 7,233 | 25,623 | ||||||||||||||||||||||||
| Trustees’ fees and expenses |
10,887 | 8,823 | 7,508 | 14,579 | 4,191 | 8,648 | ||||||||||||||||||||||||
| Offering expenses |
229 | — | — | — | — | — | ||||||||||||||||||||||||
| Other |
14,874 | 16,742 | 53,449 | 44,727 | 9,817 | 25,596 | ||||||||||||||||||||||||
| Total Expenses |
1,655,963 | 1,343,388 | 2,061,002 | 2,946,213 | 702,753 | 1,572,274 | ||||||||||||||||||||||||
| Advisory Fee Waiver (1) |
— | — | — | — | (6,371 | ) | — | |||||||||||||||||||||||
| Adviser Expense Reimbursement (2) |
— | (104,811 | ) | (433,451 | ) | (336,014 | ) | (46,102 | ) | (181,721 | ) | |||||||||||||||||||
| Net Expenses |
1,655,963 | 1,238,577 | 1,627,551 | 2,610,199 | 650,280 | 1,390,553 | ||||||||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
644,205 | 160,984 | 1,104,879 | 3,821,169 | 1,235,601 | 4,220,131 | ||||||||||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||||||||||
| Investment security transactions |
3,184,278 | 14,478,068 | (2,001,477 | ) | (3,486,279 | ) | 6,345,037 | (5,272,987 | ) | |||||||||||||||||||||
| Futures contract transactions |
891,868 | 907,755 | (737,603 | ) | — | 695,581 | (371,476 | ) | ||||||||||||||||||||||
| Foreign currency transactions |
48 | — | (449,614 | ) | (116,360 | ) | 200,797 | 1,906,343 | ||||||||||||||||||||||
| Net Realized Gain (Loss) |
4,076,194 | 15,385,823 | (3,188,694 | ) | (3,602,639 | ) | 7,241,415 | (3,738,120 | ) | |||||||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||||||||||
| Investment securities (3) |
30,096,291 | 14,017,983 | 27,248,772 | 23,965,507 | (712,920 | ) | 23,087,696 | |||||||||||||||||||||||
| Foreign currencies |
— | — | (12,074 | ) | (44,802 | ) | (10,435 | ) | (586,573 | ) | ||||||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
30,096,291 | 14,017,983 | 27,236,698 | 23,920,705 | (723,355 | ) | 22,501,123 | |||||||||||||||||||||||
| NET GAIN (LOSS) |
34,172,485 | 29,403,806 | 24,048,004 | 20,318,066 | 6,518,060 | 18,763,003 | ||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
$34,816,690 | $29,564,790 | $25,152,883 | $24,139,235 | $7,753,661 | $22,983,134 | ||||||||||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$1,519 | $3,391 | $257,432 | $677,473 | $212,314 | $693,556 | ||||||||||||||||||||||||
| (1) | See Note 6 in Notes to Financial Statements. |
| (2) | See Note 7B in Notes to Financial Statements. |
| (3) | Change in net unrealized appreciation (depreciation) on investment securities for the PF Emerging Markets Fund was net of increase in deferred foreign capital gains tax of $152,437. |
See Notes to Financial Statements
C-7
PACIFIC FUNDS
STATEMENTS OF OPERATIONS (Continued)
FOR THE YEAR ENDED MARCH 31, 2017
| PF Real Estate Fund |
PF Currency Strategies Fund |
PF Equity Long/Short Fund |
PF Global
Absolute Return Fund |
|||||||||||||||||||
| INVESTMENT INCOME |
||||||||||||||||||||||
| Dividends, net of foreign taxes withheld |
$1,368,629 | $97,940 | $39,335 | $34,235 | ||||||||||||||||||
| Interest, net of foreign taxes withheld |
— | 184,378 | 289,684 | 5,165,701 | ||||||||||||||||||
| Total Investment Income |
1,368,629 | 282,318 | 329,019 | 5,199,936 | ||||||||||||||||||
| EXPENSES |
||||||||||||||||||||||
| Advisory fees |
598,168 | 661,337 | 1,155,517 | 747,837 | ||||||||||||||||||
| Administration fees |
99,695 | 152,616 | 150,720 | 140,219 | ||||||||||||||||||
| Support services expenses |
12,377 | 21,234 | 23,556 | 20,945 | ||||||||||||||||||
| Custodian fees and expenses |
1,787 | 11,652 | 10,139 | 87,907 | ||||||||||||||||||
| Shareholder report expenses |
5,261 | 7,529 | 7,488 | 7,035 | ||||||||||||||||||
| Transfer agency out-of-pocket expenses |
5,193 | 8,501 | 9,132 | 8,230 | ||||||||||||||||||
| Legal, audit and tax service fees |
9,348 | 13,638 | 13,440 | 12,506 | ||||||||||||||||||
| Trustees’ fees and expenses |
3,497 | 5,793 | 6,780 | 5,627 | ||||||||||||||||||
| Offering expenses |
— | — | 2,749 | — | ||||||||||||||||||
| Interest expense |
— | — | — | 43,160 | ||||||||||||||||||
| Recoupment of adviser reimbursement |
— | 27,181 | — | 9,243 | ||||||||||||||||||
| Other |
8,573 | 6,217 | 55,157 | 33,265 | ||||||||||||||||||
| Total Expenses |
743,899 | 915,698 | 1,434,678 | 1,115,974 | ||||||||||||||||||
| Advisory Fee Waiver (1) |
— | — | (150,720 | ) | — | |||||||||||||||||
| Adviser Expense Reimbursement (2) |
(46,036 | ) | — | — | (91,278 | ) | ||||||||||||||||
| Net Expenses |
697,863 | 915,698 | 1,283,958 | 1,024,696 | ||||||||||||||||||
| NET INVESTMENT INCOME (LOSS) |
670,766 | (633,380 | ) | (954,939 | ) | 4,175,240 | ||||||||||||||||
| NET REALIZED AND UNREALIZED GAIN (LOSS) |
||||||||||||||||||||||
| Net Realized Gain (Loss) On: |
||||||||||||||||||||||
| Investment security transactions (3) |
5,374,002 | (1,440,847 | ) | (37,900 | ) | (1,487,811 | ) | |||||||||||||||
| Futures contract transactions |
— | — | 10,185,453 | 205,982 | ||||||||||||||||||
| Swap transactions |
— | — | 2,977,925 | 240,359 | ||||||||||||||||||
| Written options transactions |
— | — | — | 1,659,870 | ||||||||||||||||||
| Foreign currency transactions |
— | 6,376,862 | 62,842 | (5,204,489 | ) | |||||||||||||||||
| Net Realized Gain (Loss) |
5,374,002 | 4,936,015 | 13,188,320 | (4,586,089 | ) | |||||||||||||||||
| Change In Net Unrealized Appreciation (Depreciation) On: |
||||||||||||||||||||||
| Investment securities |
(6,722,381 | ) | (1,321,260 | ) | (5,412 | ) | 2,432,068 | |||||||||||||||
| Short positions |
— | — | — | 92,627 | ||||||||||||||||||
| Futures contracts |
— | — | (1,311,322 | ) | 98,230 | |||||||||||||||||
| Swaps |
— | — | (1,301,340 | ) | (1,241,278 | ) | ||||||||||||||||
| Written options |
— | — | — | (172,414 | ) | |||||||||||||||||
| Foreign currencies |
— | 7,740,177 | (989,781 | ) | 3,974,613 | |||||||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) |
(6,722,381 | ) | 6,418,917 | (3,607,855 | ) | 5,183,846 | ||||||||||||||||
| NET GAIN (LOSS) |
(1,348,379 | ) | 11,354,932 | 9,580,465 | 597,757 | |||||||||||||||||
| NET INCREASE (DECREASE) IN NET
ASSETS |
($677,613 | ) | $10,721,552 | $8,625,526 | $4,772,997 | |||||||||||||||||
| Foreign taxes withheld on dividends and interest |
$— | $— | $— | $3,065 | ||||||||||||||||||
| (1) | See Note 6 in Notes to Financial Statements. |
| (2) | See Note 7B in Notes to Financial Statements. |
| (3) | Net realized gain (loss) on investment security transactions for the PF Global Absolute Return Fund is net of foreign capital gains tax withheld of $44,585. |
See Notes to Financial Statements
C-8
STATEMENTS OF CHANGES IN NET ASSETS
| Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
|||||||||||||||||||||||||||||||||
| PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$691,995 | $1,760,338 | $18,337,677 | $12,156,640 | $1,140,129 | $1,257,465 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
730,390 | (3,680,024 | ) | (8,172,424 | ) | 6,996,383 | (2,525 | ) | (239,317 | ) | ||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(759,154 | ) | 331,051 | 7,052,492 | (14,782,041 | ) | 50,648 | (582,849 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
663,231 | (1,588,635 | ) | 17,217,745 | 4,370,982 | 1,188,252 | 435,299 | |||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
— | — | (12,139,381 | ) | (10,290,929 | ) | (1,142,148 | ) | (1,592,671 | ) | ||||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | (9,128,858 | ) | (14,324,419 | ) | — | — | ||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
— | — | (21,268,239 | ) | (24,615,348 | ) | (1,142,148 | ) | (1,592,671 | ) | ||||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
1,867,182 | 4,646,365 | 528,068,478 | 14,775,062 | 162,428,614 | 2,163,697 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
— | — | 21,268,239 | 24,615,348 | 1,142,148 | 1,592,671 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(41,590,601 | ) | (77,021,620 | ) | (224,447,161 | ) | (241,650,488 | ) | (71,877,097 | ) | (140,033,868 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(39,723,419 | ) | (72,375,255 | ) | 324,889,556 | (202,260,078 | ) | 91,693,665 | (136,277,500 | ) | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(39,060,188 | ) | (73,963,890 | ) | 320,839,062 | (222,504,444 | ) | 91,739,769 | (137,434,872 | ) | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
52,190,284 | 126,154,174 | 421,377,095 | 643,881,539 | 75,899,250 | 213,334,122 | ||||||||||||||||||||||||||||||||
| End of Year |
$13,130,096 | $52,190,284 | $742,216,157 | $421,377,095 | $167,639,019 | $75,899,250 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($65,030 | ) | $145,729 | $5,511,453 | $6,325,233 | $444,150 | $298,368 | |||||||||||||||||||||||||||||||
| PF Emerging Markets Debt Fund |
PF Comstock Fund |
PF Developing Growth Fund |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$4,852,113 | $8,053,702 | $2,958,466 | $4,071,430 | ($60,769 | ) | ($314,173 | ) | ||||||||||||||||||||||||||||||
| Net realized gain (loss) |
1,559,494 | (11,272,339 | ) | 17,311,113 | 17,201,693 | 5,646,450 | (1,063,878 | ) | ||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
4,241,650 | 7,718,086 | 17,986,474 | (39,078,900 | ) | (2,616,840 | ) | (11,180,886 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
10,653,257 | 4,499,449 | 38,256,053 | (17,805,777 | ) | 2,968,841 | (12,558,937 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(5,017,945 | ) | (112,217 | ) | (4,565,894 | ) | (5,679,637 | ) | — | — | ||||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | (15,229,937 | ) | (25,998,618 | ) | — | (6,615,823 | ) | |||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(5,017,945 | ) | (112,217 | ) | (19,795,831 | ) | (31,678,255 | ) | — | (6,615,823 | ) | |||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
3,780,533 | 9,943,024 | 15,922,053 | 17,178,131 | 478,278 | 13,539,783 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
5,017,945 | 112,217 | 19,795,831 | 31,678,255 | — | 6,615,823 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(79,981,311 | ) | (68,291,870 | ) | (85,229,473 | ) | (54,306,069 | ) | (36,837,521 | ) | (42,515,875 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(71,182,833 | ) | (58,236,629 | ) | (49,511,589 | ) | (5,449,683 | ) | (36,359,243 | ) | (22,360,269 | ) | ||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(65,547,521 | ) | (53,849,397 | ) | (31,051,367 | ) | (54,933,715 | ) | (33,390,402 | ) | (41,535,029 | ) | ||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
108,161,283 | 162,010,680 | 214,771,431 | 269,705,146 | 42,195,893 | 83,730,922 | ||||||||||||||||||||||||||||||||
| End of Year |
$42,613,762 | $108,161,283 | $183,720,064 | $214,771,431 | $8,805,491 | $42,195,893 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($466,021 | ) | ($2,357,046 | ) | $1,044,255 | $1,986,733 | ($1,836 | ) | ($32,484 | ) | ||||||||||||||||||||||||||||
See Notes to Financial Statements
C-9
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Year Ended March 31, 2016 |
|||||||||||||||||||||||||||||||||
| PF Growth Fund |
PF Large-Cap Growth Fund |
PF Large-Cap Value Fund |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$137,341 | $142,844 | ($132,926 | ) | ($262,408 | ) | $5,547,223 | $4,590,991 | ||||||||||||||||||||||||||||||
| Net realized gain (loss) |
4,023,284 | 4,804,267 | 18,997,343 | 9,571,072 | 7,966,087 | 19,732,624 | ||||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
11,550,079 | (1,773,022 | ) | 410,043 | (11,767,523 | ) | 43,755,041 | (28,077,857 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
15,710,704 | 3,174,089 | 19,274,460 | (2,458,859 | ) | 57,268,351 | (3,754,242 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(123,468 | ) | (616,981 | ) | — | — | (5,153,645 | ) | (4,585,247 | ) | ||||||||||||||||||||||||||||
| Net realized gains - Class P |
(2,855,020 | ) | (5,369,917 | ) | (7,234,883 | ) | (19,104,058 | ) | (8,128,566 | ) | (23,915,342 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(2,978,488 | ) | (5,986,898 | ) | (7,234,883 | ) | (19,104,058 | ) | (13,282,211 | ) | (28,500,589 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
36,603,565 | 12,728,671 | 15,561,817 | 17,679,799 | 163,777,327 | 24,816,651 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
2,978,488 | 5,986,898 | 7,234,883 | 19,104,058 | 13,282,211 | 28,500,589 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(39,879,937 | ) | (41,098,260 | ) | (96,607,788 | ) | (63,420,009 | ) | (87,465,047 | ) | (65,494,832 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(297,884 | ) | (22,382,691 | ) | (73,811,088 | ) | (26,636,152 | ) | 89,594,491 | (12,177,592 | ) | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
12,434,332 | (25,195,500 | ) | (61,771,511 | ) | (48,199,069 | ) | 133,580,631 | (44,432,423 | ) | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
122,697,525 | 147,893,025 | 150,938,713 | 199,137,782 | 299,970,624 | 344,403,047 | ||||||||||||||||||||||||||||||||
| End of Year |
$135,131,857 | $122,697,525 | $89,167,202 | $150,938,713 | $433,551,255 | $299,970,624 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$38,775 | $25,065 | ($6,933 | ) | ($6,808 | ) | $1,494,081 | $1,102,697 | ||||||||||||||||||||||||||||||
| PF Main Street Core Fund |
PF Mid-Cap Equity Fund |
PF Mid-Cap Growth Fund |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$3,960,115 | $2,884,671 | $418,762 | $2,470,031 | $8,377 | $216,736 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
12,614,101 | 21,947,862 | 26,424,105 | 1,480,965 | 2,771,024 | 2,172,665 | ||||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
28,240,255 | (17,196,188 | ) | (4,846,412 | ) | (11,504,888 | ) | 1,488,906 | (9,467,213 | ) | ||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
44,814,471 | 7,636,345 | 21,996,455 | (7,553,892 | ) | 4,268,307 | (7,077,812 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(3,737,963 | ) | (2,885,953 | ) | (1,195,977 | ) | (1,965,042 | ) | (197,631 | ) | (104,146 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
(1,319,560 | ) | (35,252,835 | ) | (11,955,102 | ) | (14,265,599 | ) | (1,592,480 | ) | (5,613,608 | ) | ||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(5,057,523 | ) | (38,138,788 | ) | (13,151,079 | ) | (16,230,641 | ) | (1,790,111 | ) | (5,717,754 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
102,856,519 | 22,398,161 | 491,250 | 2,030,218 | 388,894 | 1,758,665 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
5,057,523 | 38,138,788 | 13,151,079 | 16,230,641 | 1,790,111 | 5,717,754 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(58,023,374 | ) | (89,172,638 | ) | (126,071,438 | ) | (43,022,595 | ) | (48,913,308 | ) | (21,903,458 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
49,890,668 | (28,635,689 | ) | (112,429,109 | ) | (24,761,736 | ) | (46,734,303 | ) | (14,427,039 | ) | |||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
89,647,616 | (59,138,132 | ) | (103,583,733 | ) | (48,546,269 | ) | (44,256,107 | ) | (27,222,605 | ) | |||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
211,674,624 | 270,812,756 | 169,594,584 | 218,140,853 | 58,766,611 | 85,989,216 | ||||||||||||||||||||||||||||||||
| End of Year |
$301,322,240 | $211,674,624 | $66,010,851 | $169,594,584 | $14,510,504 | $58,766,611 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$776,828 | $428,645 | ($828 | ) | $684,289 | $31,781 | $277,598 | |||||||||||||||||||||||||||||||
See Notes to Financial Statements
C-10
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Year
Ended |
Year/Period Ended March 31, 2016 |
Year
Ended |
Year Ended March 31, 2016 |
Year
Ended |
Year Ended March 31, 2016 |
|||||||||||||||||||||||||||||||||
| PF Mid-Cap Value Fund (1) |
PF Small-Cap Value Fund |
PF Emerging Markets Fund |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$644,205 | $2,261,292 | $160,984 | $621,459 | $1,104,879 | $1,160,253 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
4,076,194 | (6,220,931 | ) | 15,385,823 | (2,241,069 | ) | (3,188,694 | ) | (18,678,978 | ) | ||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
30,096,291 | (2,638,505 | ) | 14,017,983 | (2,203,827 | ) | 27,236,698 | 611,815 | ||||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
34,816,690 | (6,598,144 | ) | 29,564,790 | (3,823,437 | ) | 25,152,883 | (16,906,910 | ) | |||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(1,924,546 | ) | (1,349,467 | ) | (735,591 | ) | (295,333 | ) | (855,663 | ) | (1,160,519 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | (4,442,493 | ) | (1,116,470 | ) | — | — | ||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(1,924,546 | ) | (1,349,467 | ) | (5,178,084 | ) | (1,411,803 | ) | (855,663 | ) | (1,160,519 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
46,317,335 | 273,457,147 | 4,938,117 | 72,068,525 | 135,052,663 | 52,300,891 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
1,924,546 | 1,349,467 | 5,178,084 | 1,411,803 | 855,663 | 1,160,519 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(134,785,344 | ) | (15,891,043 | ) | (115,237,202 | ) | (14,722,065 | ) | (77,634,759 | ) | (55,586,125 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(86,543,463 | ) | 258,915,571 | (105,121,001 | ) | 58,758,263 | 58,273,567 | (2,124,715 | ) | |||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(53,651,319 | ) | 250,967,960 | (80,734,295 | ) | 53,523,023 | 82,570,787 | (20,192,144 | ) | |||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
250,967,960 | — | 199,324,399 | 145,801,376 | 118,049,469 | 138,241,613 | ||||||||||||||||||||||||||||||||
| End of Year or Period |
$197,316,641 | $250,967,960 | $118,590,104 | $199,324,399 | $200,620,256 | $118,049,469 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($382,378 | ) | $906,035 | ($4,881 | ) | $574,162 | ($1,597,852 | ) | ($1,493,899 | ) | ||||||||||||||||||||||||||||
| PF International Large-Cap Fund |
PF International Small-Cap Fund |
PF International Value Fund |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$3,821,169 | $3,155,913 | $1,235,601 | $1,711,951 | $4,220,131 | $2,626,636 | ||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
(3,602,639 | ) | (3,609,384 | ) | 7,241,415 | (1,749,070 | ) | (3,738,120 | ) | (9,436,419 | ) | |||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
23,920,705 | (30,044,537 | ) | (723,355 | ) | 248,170 | 22,501,123 | (11,080,157 | ) | |||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
24,139,235 | (30,498,008 | ) | 7,753,661 | 211,051 | 22,983,134 | (17,889,940 | ) | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(4,537,465 | ) | (2,882,307 | ) | (1,650,584 | ) | (3,640,853 | ) | (5,468,588 | ) | (2,279,281 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | (2,548,172 | ) | (1,499,499 | ) | — | — | ||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(4,537,465 | ) | (2,882,307 | ) | (4,198,756 | ) | (5,140,352 | ) | (5,468,588 | ) | (2,279,281 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
20,480,420 | 146,247,322 | 5,877,107 | 9,639,231 | 79,341,742 | 40,520,023 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
4,537,465 | 2,882,307 | 4,198,756 | 5,140,352 | 5,468,588 | 2,279,281 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(157,813,108 | ) | (46,784,559 | ) | (89,391,227 | ) | (18,785,208 | ) | (68,454,441 | ) | (24,523,113 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(132,795,223 | ) | 102,345,070 | (79,315,364 | ) | (4,005,625 | ) | 16,355,889 | 18,276,191 | |||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(113,193,453 | ) | 68,964,755 | (75,760,459 | ) | (8,934,926 | ) | 33,870,435 | (1,893,030 | ) | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
289,863,222 | 220,898,467 | 118,558,237 | 127,493,163 | 140,760,026 | 142,653,056 | ||||||||||||||||||||||||||||||||
| End of Year |
$176,669,769 | $289,863,222 | $42,797,778 | $118,558,237 | $174,630,461 | $140,760,026 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
$74,419 | $677,925 | $9,431 | ($328,770 | ) | $1,560,796 | $896,960 | |||||||||||||||||||||||||||||||
| (1) | PF Mid-Cap Value Fund commenced operations on July 29, 2015. |
See Notes to Financial Statements
C-11
PACIFIC FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (Continued)
| Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Year
Ended |
Period
Ended |
|||||||||||||||||||||||||||||||||
| PF Real Estate Fund |
PF Currency Strategies Fund |
PF Equity Long/Short Fund (1) |
||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$670,766 | $1,417,277 | ($633,380 | ) | ($1,105,650 | ) | ($954,939 | ) | ($1,807,551 | ) | ||||||||||||||||||||||||||||
| Net realized gain (loss) |
5,374,002 | 2,180,037 | 4,936,015 | 3,855,282 | 13,188,320 | 15,979,567 | ||||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
(6,722,381 | ) | (343,299 | ) | 6,418,917 | (3,239,562 | ) | (3,607,855 | ) | 15,417,103 | ||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
(677,613 | ) | 3,254,015 | 10,721,552 | (489,930 | ) | 8,625,526 | 29,589,119 | ||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(1,644,503 | ) | (1,010,714 | ) | (9,020,580 | ) | (2,682,631 | ) | (12,227,818 | ) | (23,876,574 | ) | ||||||||||||||||||||||||||
| Net realized gains - Class P |
(2,630,689 | ) | (4,842,696 | ) | — | — | — | — | ||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(4,275,192 | ) | (5,853,410 | ) | (9,020,580 | ) | (2,682,631 | ) | (12,227,818 | ) | (23,876,574 | ) | ||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
11,536,965 | 23,253,133 | 28,511,621 | 6,782,211 | 4,528,597 | 166,889,425 | ||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
4,275,192 | 5,853,410 | 9,020,580 | 2,682,631 | 12,227,818 | 23,876,574 | ||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(42,537,880 | ) | (5,276,790 | ) | (78,661,680 | ) | (66,613,675 | ) | (109,659,401 | ) | (28,891,808 | ) | ||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(26,725,723 | ) | 23,829,753 | (41,129,479 | ) | (57,148,833 | ) | (92,902,986 | ) | 161,874,191 | ||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(31,678,528 | ) | 21,230,358 | (39,428,507 | ) | (60,321,394 | ) | (96,505,278 | ) | 167,586,736 | ||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year or Period |
70,716,532 | 49,486,174 | 127,250,798 | 187,572,192 | 167,586,736 | — | ||||||||||||||||||||||||||||||||
| End of Year or Period |
$39,038,004 | $70,716,532 | $87,822,291 | $127,250,798 | $71,081,458 | $167,586,736 | ||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($301 | ) | $406,313 | ($22,587 | ) | $4,697,211 | ($12,290,745 | ) | ($1,879,211 | ) | ||||||||||||||||||||||||||||
| PF Global Absolute Return Fund |
||||||||||||||||||||||||||||||||||||||
| OPERATIONS |
||||||||||||||||||||||||||||||||||||||
| Net investment income (loss) |
$4,175,240 | $6,649,125 | ||||||||||||||||||||||||||||||||||||
| Net realized gain (loss) |
(4,586,089 | ) | (2,373,213 | ) | ||||||||||||||||||||||||||||||||||
| Change in net unrealized appreciation (depreciation) |
5,183,846 | (6,028,971 | ) | |||||||||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net
Assets |
4,772,997 | (1,753,059 | ) | |||||||||||||||||||||||||||||||||||
| DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS |
||||||||||||||||||||||||||||||||||||||
| Net investment income - Class P |
(3,029,841 | ) | (11,762,214 | ) | ||||||||||||||||||||||||||||||||||
| Net realized gains - Class P |
— | — | ||||||||||||||||||||||||||||||||||||
| Net Decrease from Dividends
and |
(3,029,841 | ) | (11,762,214 | ) | ||||||||||||||||||||||||||||||||||
| CAPITAL SHARE TRANSACTIONS |
||||||||||||||||||||||||||||||||||||||
| Proceeds from sale of shares - Class P |
33,038,489 | 27,895,423 | ||||||||||||||||||||||||||||||||||||
| Dividends and distribution reinvestments - Class P |
3,029,841 | 11,762,214 | ||||||||||||||||||||||||||||||||||||
| Cost of shares repurchased - Class P |
(82,540,836 | ) | (72,024,048 | ) | ||||||||||||||||||||||||||||||||||
| Net Increase (Decrease) in Net Assets
from |
(46,472,506 | ) | (32,366,411 | ) | ||||||||||||||||||||||||||||||||||
| NET INCREASE (DECREASE) IN NET ASSETS |
(44,729,350 | ) | (45,881,684 | ) | ||||||||||||||||||||||||||||||||||
| NET ASSETS |
||||||||||||||||||||||||||||||||||||||
| Beginning of Year |
131,773,825 | 177,655,509 | ||||||||||||||||||||||||||||||||||||
| End of Year |
$87,044,475 | $131,773,825 | ||||||||||||||||||||||||||||||||||||
| Undistributed/Accumulated Net Investment Income (Loss) |
($62,038 | ) | $3,606,927 | |||||||||||||||||||||||||||||||||||
| (1) | PF Equity Long/Short Fund commenced operations on April 27, 2015. |
See Notes to Financial Statements
C-12
PACIFIC FUNDS
FOR THE YEAR ENDED MARCH 31, 2017
| PF Inflation Managed Fund |
||||||||||
| CASH FLOWS FROM OPERATING ACTIVITIES (2): |
||||||||||
| Net increase (decrease) in net assets from operations |
$663,231 | |||||||||
| 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 |
(59,413,772 | ) | ||||||||
| Proceeds from disposition of long-term securities |
114,035,241 | |||||||||
| Proceeds from securities sold short |
2,234,919 | |||||||||
| Purchases to cover securities sold short |
(2,238,532 | ) | ||||||||
| Proceeds (purchases) of short-term securities, net |
403,791 | |||||||||
| Proceeds (purchases) from foreign currency transactions |
129,604 | |||||||||
| (Increase) decrease in dividends and interest receivable |
102,334 | |||||||||
| (Increase) decrease in receivable for securities sold |
(568,668 | ) | ||||||||
| (Increase) decrease in receivable due from adviser |
1,280 | |||||||||
| (Increase) decrease in prepaid expenses and other assets |
4,502 | |||||||||
| (Increase) decrease in variation margin |
(149,761 | ) | ||||||||
| Increase (decrease) in swap premiums |
(14,996 | ) | ||||||||
| Increase (decrease) in payable for securities purchased |
(470,249 | ) | ||||||||
| Increase (decrease) in payable due to brokers |
(270,000 | ) | ||||||||
| Increase (decrease) in payable due to advisor |
10,753 | |||||||||
| Increase (decrease) in accrued advisory fees |
(12,291 | ) | ||||||||
| Increase (decrease) in accrued administration fees |
(4,938 | ) | ||||||||
| Increase (decrease) in accrued support services expenses |
(1,216 | ) | ||||||||
| Increase (decrease) in accrued custodian fees and expenses |
(209 | ) | ||||||||
| Increase (decrease) in accrued transfer agency out-of-pocket expenses |
(624 | ) | ||||||||
| Increase (decrease) in accrued legal, audit and tax service fees |
(5,353 | ) | ||||||||
| Increase (decrease) in accrued trustees’ fees and expenses and deferred compensation |
75 | |||||||||
| Increase (decrease) in accrued other payable |
(18,783 | ) | ||||||||
| Change in net unrealized (appreciation) depreciation on investment securities |
1,092,134 | |||||||||
| Change in net unrealized (appreciation) depreciation on swaps (3) |
109,025 | |||||||||
| Change in net unrealized (appreciation) depreciation on written options |
(1,817 | ) | ||||||||
| Change in net unrealized (appreciation) depreciation on foreign currencies |
(190,842 | ) | ||||||||
| Net realized (gain) loss on investment security transactions |
(1,294,083 | ) | ||||||||
| Net realized (gain) loss on closed short positions |
3,613 | |||||||||
| Net realized (gain) loss on written option transactions |
(67,134 | ) | ||||||||
| Net realized (gain) loss on foreign currency |
288,831 | |||||||||
| Net amortization on investments |
205,604 | |||||||||
| Net cash provided by (used in) operating activities |
54,561,669 | |||||||||
| CASH FLOWS FROM FINANCING ACTIVITIES: |
||||||||||
| Proceeds from shares sold |
1,858,710 | |||||||||
| Payment of shares redeemed |
(41,614,609 | ) | ||||||||
| Increase (decrease) in payable for sale-buyback financing transactions |
(15,238,893 | ) | ||||||||
| Net cash provided by (used in) financing activities |
(54,994,792 | ) | ||||||||
| NET INCREASE (DECREASE) IN CASH AND FOREIGN CURRENCY |
(433,123 | ) | ||||||||
| CASH AND FOREIGN CURRENCY (4): |
||||||||||
| Beginning of Year |
690,246 | |||||||||
| End of Year |
$257,123 | |||||||||
| (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 $55,425. |
| (3) | Excludes centrally cleared swaps included in variation margin. |
| (4) | Includes cash (segregated for derivative instruments) of $190,929. |
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 Inflation Managed Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $8.73 | $0.29 | ($0.10 | ) | $0.19 | $— | $— | $— | $8.92 | 0.98 | % | 0.80 | % | 3.35 | % | 2.18 | % | $13,130 | 194 | % | ||||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Managed Bond Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.57 | $0.26 | $0.10 | $0.36 | ($0.15 | ) | ($0.11 | ) | ($0.26 | ) | $10.67 | 0.64 | % | 0.56 | % | 2.39 | % | 3.42 | % | $742,216 | 372 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Short Duration Bond Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.84 | $0.12 | $0.01 | $0.13 | ($0.09 | ) | $— | ($0.09 | ) | $9.88 | 0.68 | % | 0.55 | % | 1.16 | % | 1.36 | % | $167,639 | 233 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | ||||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.14 | $0.72 | $0.58 | $1.30 | ($1.05 | ) | $— | ($1.05 | ) | $9.39 | 1.10 | % | 0.94 | % | 7.58 | % | 14.88 | % | $42,614 | 75 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $13.66 | $0.23 | $2.75 | $2.98 | ($0.36 | ) | ($1.28 | ) | ($1.64 | ) | $15.00 | 0.97 | % | 0.89 | % | 1.55 | % | 21.92 | % | $183,720 | 22 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Developing Growth Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.80 | ($0.04 | ) | $1.74 | $1.70 | $— | $— | $— | $11.50 | 0.90 | % | 0.75 | % | (0.40 | %) | 17.35 | % | $8,805 | 123 | % | ||||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||||
| PF Growth Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $18.82 | $0.02 | $2.61 | $2.63 | ($0.02 | ) | ($0.49 | ) | ($0.51 | ) | $20.94 | 0.77 | % | 0.70 | % | 0.12 | % | 14.25 | % | $135,132 | 43 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Large-Cap Growth Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.24 | ($0.01 | ) | $1.50 | $1.49 | $— | ($0.62 | ) | ($0.62 | ) | $10.11 | 0.97 | % | 0.86 | % | (0.11 | %) | 16.74 | % | $89,167 | 80 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Large-Cap Value Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $14.78 | $0.22 | $2.11 | $2.33 | ($0.20 | ) | ($0.31 | ) | ($0.51 | ) | $16.60 | 0.86 | % | 0.80 | % | 1.40 | % | 15.88 | % | $433,551 | 21 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $12.16 | $0.18 | $1.91 | $2.09 | ($0.16 | ) | ($0.06 | ) | ($0.22 | ) | $14.03 | 0.66 | % | 0.60 | % | 1.38 | % | 17.29 | % | $301,322 | 51 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Mid-Cap Equity Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.63 | $0.05 | $2.43 | $2.48 | ($0.17 | ) | ($1.94 | ) | ($2.11 | ) | $11.00 | 0.89 | % | 0.80 | % | 0.45 | % | 24.02 | % | $66,011 | 101 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Mid-Cap Growth Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $7.11 | $0.00 | (5) | $0.93 | $0.93 | ($0.09 | ) | ($0.83 | ) | ($0.92 | ) | $7.12 | 0.96 | % | 0.82 | % | 0.04 | % | 13.67 | % | $14,511 | 19 | % | |||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||
| PF Mid-Cap Value Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.72 | $0.04 | $1.93 | $1.97 | ($0.13 | ) | $— | ($0.13 | ) | $11.56 | 0.92 | % | 0.92 | % | 0.36 | % | 20.36 | % | $197,317 | 56 | % | |||||||||||||||||||||||||||||||||||
| 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 Value Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.14 | $0.01 | $2.44 | $2.45 | ($0.07 | ) | ($0.43 | ) | ($0.50 | ) | $12.09 | 0.98 | % | 0.90 | % | 0.12 | % | 23.99 | % | $118,590 | 49 | % | ||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Emerging Markets Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $12.09 | $0.08 | $1.71 | $1.79 | ($0.07 | ) | $— | ($0.07 | ) | $13.81 | 1.20 | % | 0.95 | % | 0.64 | % | 14.83 | % | $200,620 | 69 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF International Large-Cap Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $16.69 | $0.25 | $1.58 | $1.83 | ($0.33 | ) | $— | ($0.33 | ) | $18.19 | 1.13 | % | 1.00 | % | 1.46 | % | 11.17 | % | $176,670 | 16 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF International Small-Cap Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.27 | $0.21 | $1.10 | $1.31 | ($0.41 | ) | ($0.67 | ) | ($1.08 | ) | $10.50 | 1.18 | % | 1.09 | % | 2.07 | % | 13.85 | % | $42,798 | 53 | % | ||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $8.35 | $0.21 | $1.03 | $1.24 | ($0.28 | ) | $— | ($0.28 | ) | $9.31 | 0.90 | % | 0.80 | % | 2.43 | % | 15.15 | % | $174,630 | 67 | % | |||||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $15.99 | $0.16 | ($0.18 | ) | ($0.02) | ($0.39 | ) | ($0.64 | ) | ($1.03 | ) | $14.94 | 1.12 | % | 1.05 | % | 1.01 | % | (0.14 | %) | $39,038 | 27 | % | |||||||||||||||||||||||||||||||||
| 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 | % | |||||||||||||||||||||||||||||||||||
| PF Currency Strategies Fund |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.75 | ($0.06 | ) | $0.90 | $0.84 | ($1.10 | ) | $— | ($1.10 | ) | $9.49 | 0.90 | % | 0.90 | % | (0.62 | %) | 8.95 | % | $87,822 | 0 | % | ||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $10.31 | ($0.10 | ) | $1.38 | $1.28 | ($1.81 | ) | $— | ($1.81 | ) | $9.78 | 1.43 | % | 1.28 | % | (0.95 | %) | 13.10 | % | $71,081 | 0 | % | ||||||||||||||||||||||||||||||||||
| 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 |
||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| 4/1/2016 - 3/31/2017 | $9.04 | $0.41 | $0.02 | $0.43 | ($0.33 | ) | $— | ($0.33 | ) | $9.14 | 1.19 | % | 1.10 | % | 4.47 | % | 4.80 | % | $87,044 | 100 | % | |||||||||||||||||||||||||||||||||||
| 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 distribution, 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. |
| 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 the “Investment Adviser”) serves as investment adviser to the Trust. As of March 31, 2017, the Trust was comprised of forty separate funds, twenty-two of which are presented in these financial statements (each individually a “Fund”, and collectively the “Funds”). All of the Funds listed in the table below (collectively known as the “PF Underlying Funds”) offer Class P shares only, which are sold at net asset value:
| PF Underlying Funds | ||||
| PF Inflation Managed Fund | PF Large-Cap Value Fund | PF International Small-Cap Fund | ||
| PF Managed Bond Fund | PF Main Street® Core Fund | PF International Value Fund | ||
| PF Short Duration Bond Fund | PF Mid-Cap Equity Fund | PF Real Estate Fund | ||
| PF Emerging Markets Debt Fund | PF Mid-Cap Growth Fund | PF Currency Strategies Fund | ||
| PF Comstock Fund | PF Mid-Cap Value Fund | PF Equity Long/Short Fund | ||
| PF Developing Growth Fund (formerly named PF Small-Cap Growth Fund) | PF Small-Cap Value Fund | PF Global Absolute Return Fund | ||
| PF Growth Fund | PF Emerging Markets Fund | |||
| PF Large-Cap Growth Fund | PF International Large-Cap Fund | |||
Presently, only the following Fund of Funds, the Investment 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, Pacific FundsSM High Income, and Pacific FundsSM Small-Cap Growth.
| Fund of Funds | ||
| 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, Pacific Funds High Income and Pacific Funds Small-Cap Growth, which is available without charge. For information on how to obtain the annual report for these Funds, see the Where to Go for More Information section of this report on page F-21.
On August 3, 2016 and January 31, 2017, the PF Absolute Return and PF Floating Rate Loan Funds, respectively, were liquidated pursuant to plans of liquidation approved by the Trust’s Board of Trustees. Because the PF Absolute Return and PF Floating Rate Loan Funds were liquidated prior to March 31, 2017, 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 (“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 gain 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.
D-1
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
F. NEW PRONOUNCEMENTS
On October 13, 2016, the U.S. Securities and Exchange Commission (“SEC”) adopted new rules and amended existing rules intended to modernize reporting and enhance the disclosure of information for most registered investment companies (the “Reporting Rules”). The Reporting Rules include amendments relating to Regulation S-X, which will modify the form and content of the financial statements of the Trust. For the Trust, the effective date of the Reporting Rules is June 1, 2018. At this time, management is evaluating the implications of the Reporting Rules and determining its impact on the Trust’s financial statements and accompanying notes.
On November 17, 2016, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update (“ASU”) 2016-18, Statement of Cash Flows (Topic 230): Restricted Cash. This update intends to reduce diversity in the presentation of restricted cash and restricted cash equivalents in the statement. Any restricted cash and restricted cash equivalents will be included as components of cash and cash equivalents as presented on the statement of cash flows. For the Trust, the effective date of this update is for periods beginning after December 15, 2017. At this time, management is evaluating the implications of this ASU and its impact on the financial statements.
On December 14, 2016, the FASB issued ASU 2016-19, Technical Corrections and Improvements that made technical changes to various sections of the accounting standards codification (“ASC”), including modifications to Topic 820, Fair Value Measurement. The changes to Topic 820 are intended to clarify the difference between a valuation approach and a valuation technique. A reporting entity should disclose, for Level 2 and Level 3 fair value measurements, a change in either or both a valuation approach and a valuation technique and the reason(s) for the change. The changes to Topic 820 are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2016. At this time, management is evaluating the implications of this ASU and its impact on the financial statements of the Trust.
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.
D-2
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 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.
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 Contracts, Option Contracts, and Swap Agreements
Exchange traded futures contracts, option contracts, and swap agreements are generally valued using the settlement price determined by the relevant exchange. Exchange traded futures contracts, option contracts, and swap agreements 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 published 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, last reported sale/trade 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-3
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 (as described in Note 3C) and based on significant observable inputs 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, 2017, 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 published 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 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.
D-4
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
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 traded on securities exchanges are categorized as Level 2 if they are fair valued based on quoted prices from the applicable exchange, or when valuation adjustments are applied to exchange listed option contracts, or such valuation adjustments are observable and timely, 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 the mean between broker-dealer bid and ask quotations, and forward 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.
Swap Agreements
Interest Rate Swaps – Interest rate swaps that are 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 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 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.
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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. 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.
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NOTES TO FINANCIAL STATEMENTS (Continued)
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 Funds may face potential risks associated with the United Kingdom’s vote on June 23, 2016 to leave the European Union (the “EU”), commonly referred to as “Brexit.” There are considerable uncertainties about the repercussions resulting from Brexit, including the impact on trade agreements, regulations, and treaties. Brexit is expected to occur within the next two years, but the exact time frame is unknown and may change. Brexit may also increase the likelihood that other EU members may decide to leave the EU. These potential consequences may result in increased market volatility and illiquidity in the United Kingdom, the EU and other financial markets, as well as slower economic growth and fluctuations in exchange rates. Any of these events may have a significant adverse effect on global markets and economies, which in turn could negatively impact the value of the Funds’ investments.
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, 2017, the PF Emerging Markets Debt Fund held 38,624 Argentine Peso ($2,510 USD equivalent) restricted foreign cash, which represents cash deposits in financial institutions located 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, 2017, 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, 2017, no participation interest in Senior Loans was held by any of the Funds presented in these financial statements.
Unfunded loan commitments on senior loan participations and assignments, 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, 2017, none of the Funds presented in this report had any unfunded loan commitments.
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NOTES TO FINANCIAL STATEMENTS (Continued)
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 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
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NOTES TO FINANCIAL STATEMENTS (Continued)
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 Investment 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 the 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 the 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.
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.
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NOTES TO FINANCIAL STATEMENTS (Continued)
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 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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 is deposited with a futures broker upon entering into futures contracts and can be funded with either cash or securities, in accordance with the initial margin requirements of the broker or the exchange. 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, 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 exposure, as a substitute for cash bond exposure, and for purposes of liquidity. The PF Short Duration Bond Fund entered into interest rate futures to manage duration and yield curve exposure. The PF Developing Growth, PF Mid-Cap Equity, PF Mid-Cap Growth, PF Mid-Cap Value, PF Small-Cap Value, PF Emerging Markets, 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 Funds of Funds. The PF International Value Fund also used futures to gain exposure to the equity markets. 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 purchased and wrote 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 and PF Managed Bond Funds also held 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
D-11
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NOTES TO FINANCIAL STATEMENTS (Continued)
market risk on equity investments. 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. The market value of a Forward Contract fluctuates with changes in foreign currency 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 purchased and sold 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 the investment strategy of these Funds. 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 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 Funds’ returns against adverse currency movements and as a part of the investment strategy of these Funds. 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 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 are executed in a multilateral or other execution facility platform, such as a registered commodities exchange (“centrally cleared swaps”). In connection with these agreements, cash and 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 Fund 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
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NOTES TO FINANCIAL STATEMENTS (Continued)
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 utilized 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. 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.
As a seller of protection, a Fund generally receives an upfront payment and/or a fixed rate of 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.
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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
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, 2017 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, high yield or emerging market sectors. The PF Inflation Managed Fund also purchased credit protection through credit default swaps to reduce credit exposure to individual issuers, reduce broad credit risk, and to benefit from price differences between derivatives and cash bonds. The PF Managed Bond Fund entered into credit default swaps to obtain exposure to the credit risk of individual securities or to the broader investment grade, high yield, emerging markets or mortgage sectors through the use of credit default swaps on credit indices. 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 a basket of debt securities, and to enhance 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 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.
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PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2017.
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 | ||||
| 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, 2017:
| Asset Derivative Investments Value | ||||||||||||||||||||
| Fund | Total Value at March 31, 2017 |
Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed |
$148,078 | $— | $— | $19,524 | $128,554 | * | ||||||||||||||
| PF Managed Bond |
8,867,994 | 439,017 | * | — | 3,392,307 | * | 5,036,670 | * | ||||||||||||
| PF Short Duration Bond |
42,935 | — | — | — | 42,935 | * | ||||||||||||||
| PF Emerging Markets Debt |
1,057,237 | — | — | 423,052 | 634,185 | * | ||||||||||||||
| PF International Value |
347,572 | — | — | 347,572 | — | |||||||||||||||
| PF Currency Strategies |
8,676,518 | — | — | 8,676,518 | — | |||||||||||||||
| PF Equity Long/Short |
12,020,861 | — | 11,898,443 | * | 122,418 | — | ||||||||||||||
| PF Global Absolute Return |
4,377,222 | 1,050,113 | * | 358,469 | * | 2,003,307 | 965,333 | * | ||||||||||||
| Liability Derivative Investments Value | ||||||||||||||||||||
| Fund | Total Value at March 31, 2017 |
Credit Contracts |
Equity Contracts |
Foreign Currency Contracts |
Interest Rate Contracts |
|||||||||||||||
| PF Inflation Managed |
($118,109 | ) | ($607 | )* | $— | ($20,635 | ) | ($96,867 | )* | |||||||||||
| PF Managed Bond |
(6,961,608 | ) | (596,516 | )* | — | (3,271,006 | )* | (3,094,086 | )* | |||||||||||
| PF Short Duration Bond |
(27,243 | ) | — | — | — | (27,243 | )* | |||||||||||||
| PF Emerging Markets Debt |
(710,216 | ) | — | — | (703,016 | ) | (7,200 | )* | ||||||||||||
| PF Comstock |
(204,775 | ) | — | — | (204,775 | ) | — | |||||||||||||
| PF International Value |
(193,404 | ) | — | — | (193,404 | ) | — | |||||||||||||
| PF Currency Strategies |
(5,864,723 | ) | — | — | (5,864,723 | ) | — | |||||||||||||
| PF Equity Long/Short |
(206,778 | ) | — | (200,026 | )* | (6,752 | ) | — | ||||||||||||
| PF Global Absolute Return |
(4,934,953 | ) | (1,622,642 | )* | (142 | )* | (2,167,981 | ) | (1,144,188 | )* | ||||||||||
| * | Includes cumulative appreciation (depreciation) of futures contracts, centrally cleared options, and/or centrally cleared swaps as reported in the Notes to Schedules of Investments. |
D-15
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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 | ||||
| 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 | ||||
| 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 |
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, 2017:
| 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 | ($265,909 | ) | ($55,883 | ) | $— | $115,267 | ($325,293 | ) | ||||||||||||
| PF Managed Bond | 1,325,655 | (77,846 | ) | — | 2,246,600 | (843,099 | ) | |||||||||||||
| PF Short Duration Bond | (54,075 | ) | — | — | — | (54,075 | ) | |||||||||||||
| PF Emerging Markets Debt | 1,751,094 | — | — | 1,371,028 | 380,066 | |||||||||||||||
| PF Developing Growth | 405,914 | — | 405,914 | — | — | |||||||||||||||
| PF Mid-Cap Equity | 913,582 | — | 913,582 | — | — | |||||||||||||||
| PF Mid-Cap Growth | 338,510 | — | 338,510 | — | — | |||||||||||||||
| PF Mid-Cap Value | 891,868 | — | 891,868 | — | — | |||||||||||||||
| PF Small-Cap Value | 907,755 | — | 907,755 | — | — | |||||||||||||||
| PF Emerging Markets | (737,603 | ) | — | (737,603 | ) | — | — | |||||||||||||
| PF International Small-Cap | 695,581 | — | 695,581 | — | — | |||||||||||||||
| PF International Value | 2,129,049 | — | (371,476 | ) | 2,500,525 | — | ||||||||||||||
| PF Currency Strategies | 5,334,504 | — | — | 5,334,504 | — | |||||||||||||||
| PF Equity Long/Short | 12,999,367 | — | 13,163,378 | (164,011 | ) | — | ||||||||||||||
| PF Global Absolute Return | (3,121,524 | ) | (737,225 | ) | 92,365 | (3,588,865 | ) | 1,112,201 | ||||||||||||
| Change in Net Unrealized Appreciation (Depreciation) on Derivative Investments Recognized in the Statements of Operations |
||||||||||||||||||||
| Fund | Total | Credit Contracts |
Equity Contracts |
Foreign Currency |
Interest Rate |
|||||||||||||||
| PF Inflation Managed | $386,613 | $38,379 | $— | $189,590 | $158,644 | |||||||||||||||
| PF Managed Bond | 10,288,589 | 203,224 | — | 1,209,005 | 8,876,360 | |||||||||||||||
| PF Short Duration Bond | 15,582 | — | — | — | 15,582 | |||||||||||||||
| PF Emerging Markets Debt | (1,900,291 | ) | — | — | (2,081,186 | ) | 180,895 | |||||||||||||
| PF Comstock | 282,650 | — | — | 282,650 | — | |||||||||||||||
| PF Mid-Cap Growth | 92,907 | — | 92,907 | — | — | |||||||||||||||
| PF International Value | (566,579 | ) | — | — | (566,579 | ) | — | |||||||||||||
| PF Currency Strategies | 7,377,582 | — | — | 7,377,582 | — | |||||||||||||||
| PF Equity Long/Short | (3,602,917 | ) | — | (2,612,662 | ) | (990,255 | ) | — | ||||||||||||
| PF Global Absolute Return | 2,389,475 | (142,141 | ) | 45,503 | 3,780,963 | (1,294,850 | ) | |||||||||||||
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.
D-16
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2017:
| Average Positions and Values of Derivative Investments by Derivative Type | ||||||||||||||||||||||||||||||||||||||||||||
| Futures Contracts | 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 |
8 | $10,432 | 32 | ($14,662 | ) | 33 | $7,110 | 32 | ($90,692 | ) | ||||||||||||||||||||||||||||||||||
| PF Managed Bond |
32 | (13,819 | ) | 73 | 381,115 | 83 | (100,072 | ) | 49 | (4,814,506 | ) | |||||||||||||||||||||||||||||||||
| PF Short Duration Bond |
3 | 419 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt |
— | — | 117 | (24,831 | ) | — | — | 20 | 909,690 | |||||||||||||||||||||||||||||||||||
| PF Comstock |
— | — | 18 | (4,374 | ) | — | — | — | — | |||||||||||||||||||||||||||||||||||
| PF Mid-Cap Growth |
— | — | — | — | 4 | (55,455 | ) | — | — | |||||||||||||||||||||||||||||||||||
| PF International Value |
— | — | 41 | 379,959 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
| PF Currency Strategies |
— | — | 93 | 391,536 | 8 | 395,475 | — | — | ||||||||||||||||||||||||||||||||||||
| PF Equity Long/Short |
13 | 433,412 | 21 | 193,687 | — | — | 15 | 9,468,555 | ||||||||||||||||||||||||||||||||||||
| PF Global Absolute Return |
4 | (74,665 | ) | 155 | (1,410,836 | ) | 20 | 792,997 | 164 | 1,197,368 | ||||||||||||||||||||||||||||||||||
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, 2017. The realized gains and losses on futures contract transactions as disclosed in the Statements of Operations serve as indicators of volume of futures contracts activity for the PF Developing Growth, PF Mid-Cap Equity, PF Mid-Cap Growth, PF Mid-Cap Value, PF Small-Cap Value, PF Emerging Markets, PF International Small-Cap, and PF International Value Funds.
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.
D-17
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2017:
| 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 |
$— | $— | $— | $— | ($11,039 | ) | $— | $— | ($11,039 | ) | |||||||||||||||||||||||||||||||||||
| Option contracts |
30,520 | — | — | 30,520 | (8,710 | ) | — | — | (8,710 | ) | |||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
19,524 | (9,074 | ) | — | 10,450 | (20,635 | ) | 9,074 | — | (11,561 | ) | ||||||||||||||||||||||||||||||||||
| Sale-buyback financing transactions |
(3,601,836 | ) | 3,533,710 | — | (68,126 | ) | |||||||||||||||||||||||||||||||||||||||
| PF Managed Bond |
|||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements |
72,677 | (4,485 | ) | (31,106 | ) | 37,086 | (4,485 | ) | 4,485 | — | — | ||||||||||||||||||||||||||||||||||
| Option contracts |
1,019,881 | (45,968 | ) | — | 973,913 | (206,123 | ) | 45,968 | 119,146 | (41,009 | ) | ||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
2,085,273 | (928,281 | ) | (988,894 | ) | 168,098 | (2,610,662 | ) | 928,281 | 459,907 | (1,222,474 | ) | |||||||||||||||||||||||||||||||||
| Sale-buyback financing transactions |
(43,991,628 | ) | 43,620,606 | 240,000 | (131,022 | ) | |||||||||||||||||||||||||||||||||||||||
| PF Emerging Markets Debt |
|||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements |
614,809 | (23 | ) | — | 614,786 | (23 | ) | 23 | — | — | |||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
423,052 | (255,997 | ) | — | 167,055 | (703,016 | ) | 255,997 | 426,718 | (20,301 | ) | ||||||||||||||||||||||||||||||||||
| PF Comstock |
|||||||||||||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
— | — | — | — | (204,775 | ) | — | — | (204,775 | ) | |||||||||||||||||||||||||||||||||||
| PF International Value |
|||||||||||||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
347,572 | (72,806 | ) | — | 274,766 | (193,404 | ) | 72,806 | — | (120,598 | ) | ||||||||||||||||||||||||||||||||||
| PF Currency Strategies |
|||||||||||||||||||||||||||||||||||||||||||||
| Option contracts |
334,077 | — | — | 334,077 | — | — | — | — | |||||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
8,342,441 | (4,720,685 | ) | (1,941,244 | ) | 1,680,512 | (5,864,723 | ) | 4,720,685 | 269,245 | (874,793 | ) | |||||||||||||||||||||||||||||||||
| PF Equity Long/Short |
|||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements |
11,768,072 | (80,741 | ) | — | 11,687,331 | (80,741 | ) | 80,741 | — | — | |||||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
122,418 | (6,752 | ) | — | 115,666 | (6,752 | ) | 6,752 | — | — | |||||||||||||||||||||||||||||||||||
| PF Global Absolute Return |
|||||||||||||||||||||||||||||||||||||||||||||
| Swap agreements |
1,152,008 | (954,397 | ) | (48,827 | ) | 148,784 | (1,157,322 | ) | 954,397 | 14,790 | (188,135 | ) | |||||||||||||||||||||||||||||||||
| Option contracts |
1,021,115 | (438,650 | ) | (300,744 | ) | 281,721 | (443,131 | ) | 438,650 | — | (4,481 | ) | |||||||||||||||||||||||||||||||||
| Forward foreign currency contracts |
1,285,536 | (1,173,647 | ) | (55,470 | ) | 56,419 | (1,694,449 | ) | 1,173,647 | 25,747 | (495,055 | ) | |||||||||||||||||||||||||||||||||
As of March 31, 2017, 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, except for the PF Global Absolute Return Fund, exceeded the value of the repurchase agreements as of March 31, 2017. For the PF Global Absolute Return Fund (see page B-96), the value of the related collateral (Spain Government) of $995,217 held by the Fund for a repurchase agreement (JPMorgan Chase & Co), which was entered into by the Fund for the purpose of selling a security short, exceeded 95% of the value of the repurchase price of the repurchase agreement ($1,013,822) as of March 31, 2017. As discussed in Note 4 on page D-9, in the case of a repurchase agreement entered into by a Fund for the purposes of selling a security short, the value of the collateral delivered to a Fund must be equal to or exceed 95% of the value of the repurchase price during the term of the repurchase agreement.
D-18
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 which are based on the following annual percentages of the average daily net assets of each Fund:
| PF Inflation Managed (1) |
0.40% | PF Large-Cap Value |
0.65% |
PF International Small-Cap (3) |
0.85% | |||||
| PF Managed Bond |
0.40% | PF Main Street Core |
0.45% |
PF International Value |
0.65% | |||||
| PF Short Duration Bond |
0.40% | PF Mid-Cap Equity |
0.65% |
PF Real Estate |
0.90% | |||||
| PF Emerging Markets Debt |
0.785% | PF Mid-Cap Growth (2) |
0.70% |
PF Currency Strategies |
0.65% | |||||
| PF Comstock (2) |
0.75% | PF Mid-Cap Value |
0.70% |
PF Equity Long/Short (2) |
1.15% | |||||
| PF Developing Growth |
0.60% | PF Small-Cap Value |
0.75% |
PF Global Absolute Return |
0.80% | |||||
| PF Growth |
0.55% | PF Emerging Markets |
0.80% |
|||||||
| PF Large-Cap Growth (2) |
0.75% | PF International Large-Cap |
0.85% |
| (1) | PLFA waived advisory fees of 0.02% for the PF Inflation Managed Fund through October 31, 2016. |
| (2) | PLFA agreed to waive its advisory fees through July 31, 2017 for the following Funds: 0.015% for the PF Comstock Fund; 0.045% for the PF Large-Cap Growth Fund; 0.025% (0.05% prior to August 1, 2016) for the PF Mid-Cap Growth Fund; and 0.15% for the PF Equity Long/Short Fund. There is no guarantee that PLFA will continue such waivers after that date. |
| (3) | PLFA waived advisory fees of 0.02% for the PF International Small-Cap Fund through July 31, 2016. |
Pursuant to Sub-Advisory Agreements, the Trust and PLFA engage various investment management firms under PLFA’s supervision to sub-advise the PF Underlying Funds presented in these financial statements. PLFA, as Investment Adviser to each Fund of the Trust, pays related management fees to these sub-advisers as compensation for their sub-advisory services provided to the Trust. As of March 31, 2017, the following firms serve as sub-advisers for their respective Funds:
| Fund | Sub-Adviser |
Fund |
Sub-Adviser | |||
| PF Inflation Managed | Pacific Investment Management Company LLC (1) | PF Mid-Cap Equity | Scout Investments, Inc. | |||
| PF Managed Bond | Pacific Investment Management Company LLC and Western Asset Management Company (co-sub-advisers) | PF Mid-Cap Growth | Ivy Investment Management Company | |||
| PF Short Duration Bond | T. Rowe Price Associates, Inc. | PF Mid-Cap Value | Boston Partners Global Investors, Inc. | |||
| 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 Investors, LLC | |||
| PF Developing Growth | Lord, Abbett & Co. LLC | PF International Value (2) | J.P. Morgan Investment Management Inc. | |||
| PF Growth PF International Large-Cap |
MFS Investment Management | PF Real Estate | Morgan Stanley Investment Management Inc. | |||
| PF Large-Cap Growth | BlackRock Investment Management, LLC | PF Currency Strategies | Macro Currency Group and UBS Asset Management (Americas) Inc. (co-sub- advisers) | |||
| PF Large-Cap Value | ClearBridge Investments, LLC | PF Equity Long/Short | AQR Capital Management, LLC | |||
| PF Main Street Core PF Emerging Markets |
OppenheimerFunds, Inc. | PF Global Absolute Return | Eaton Vance Investment Managers |
(1) Western Asset Management Company was terminated as co-sub-adviser of the PF Inflation Managed Fund effective October 31, 2016.
(2) Effective May 1, 2017, Wellington Management Company LLP will serve as sub-advisor of the PF International Value Fund.
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.
D-19
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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.
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, 2017 are presented in the Statements of Operations. The amounts of each of these fees that remained payable as of March 31, 2017 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 Equity Long/Short 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 and expenses; 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; dividends on securities sold short; acquired fund fees and expenses; interest (including commitment fees); 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 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, 2017 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, 2017. There is no expense cap for the PF Equity Long/Short Fund.
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 not to exceed three years from the date on which the reimbursement took place, provided that the recoupment would be limited to the lesser of: (i) the expense cap in effect at the time of the reimbursement or (ii) the expense cap in effect at the time of recoupment). 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, 2017 are presented in the Statements of Operations. Any amounts that remained due from the Investment Adviser as of March 31, 2017 are presented in the Statements of Assets and Liabilities.
The cumulative expense reimbursement amounts, if any, as of March 31, 2017 that are subject to recoupment by PLFA from the Funds presented in these financial statements are as follows:
| Expiration Date | ||||||||||||
| Fund | 3/31/2018 | 3/31/2019 | 3/31/2020 | |||||||||
| PF Inflation Managed |
$150,774 | $95,880 | $33,114 | |||||||||
| PF Managed Bond |
512,975 | 415,627 | 590,876 | |||||||||
| PF Short Duration Bond |
214,257 | 108,855 | 123,091 | |||||||||
| PF Emerging Markets Debt |
219,179 | 154,900 | 107,918 | |||||||||
| PF Comstock |
174,160 | 145,785 | 134,866 | |||||||||
| PF Developing Growth |
50,330 | 45,591 | 22,807 | |||||||||
| PF Growth |
81,452 | 80,955 | 82,308 | |||||||||
| PF Large-Cap Growth |
113,036 | 100,786 | 86,301 | |||||||||
| PF Large-Cap Value |
211,881 | 188,396 | 243,001 | |||||||||
| PF Main Street Core |
154,305 | 134,981 | 179,812 | |||||||||
| PF Mid-Cap Equity |
116,418 | 116,181 | 79,956 | |||||||||
| PF Mid-Cap Growth |
53,935 | 42,669 | 25,372 | |||||||||
| PF Small-Cap Value |
90,161 | 120,806 | 104,811 | |||||||||
| PF Emerging Markets |
445,820 | 383,441 | 433,451 | |||||||||
| PF International Large-Cap |
253,588 | 282,785 | 336,014 | |||||||||
| PF International Small-Cap |
37,089 | 17,806 | 46,102 | |||||||||
| PF International Value |
182,705 | 181,062 | 181,721 | |||||||||
| PF Real Estate |
40,632 | 41,737 | 46,036 | |||||||||
| PF Currency Strategies |
4,400 | — | — | |||||||||
| PF Global Absolute Return |
210,688 | 117,298 | 91,278 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$3,317,785 | $2,775,541 | $2,948,835 | |||||||||
|
|
|
|
|
|
|
|||||||
D-20
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
During the year ended March 31, 2017, PLFA recouped from following Funds under the expense limitation agreement:
| Fund | Amount Recouped |
|||
| PF Currency Strategies |
$27,181 | |||
| PF Global Absolute Return |
9,243 | |||
There was no recoupment of expense reimbursement by PLFA from any other Funds presented in these financial statements for the year ended March 31, 2017.
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 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, Pacific Funds High Income, Pacific Funds Large-Cap, Pacific Funds Large-Cap Value, Pacific Funds Small/Mid-Cap, Pacific Funds Small-Cap, Pacific Funds Small-Cap Value, and/or Pacific Funds Small-Cap Growth, 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, 2017, such expenses increased by $4,132 for all applicable Funds presented in these financial statements as a result of the market value appreciation on such accounts. As of March 31, 2017, the total amount in the DCP Liability accounts was $48,477 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.
F. INTERFUND TRANSACTIONS
In accordance with Rule 17a-7 under the 1940 Act and applicable Trust policies and procedures, purchase and sale transactions may be conducted between a Fund of the Trust and another Fund of the Trust or certain affiliates of the Trust if conducted at the independent “current market price” (the last sales price, intra-day price, or average of highest bid/lowest offer, as applicable) on a commission-free basis with no remuneration paid in connection with the transaction (other than cash payment against prompt delivery). At the quarterly Board meeting subsequent to the purchase and sale transactions taking place, the Board will be asked to determine that the transactions were conducted in compliance with applicable Trust policies and procedures.
For the year ended March 31, 2017, the purchase and sale transactions with an affiliated Fund conducted in compliance with Rule 17a-7 under the 1940 Act are summarized in the following table:
| Fund | Purchases | Sales | Net Realized Gain (Loss) |
|||||||||
| PF Comstock | $— | $16,012,933 | $3,956,544 | |||||||||
| PF Large-Cap Growth | — | 9,891,140 | 1,177,055 | |||||||||
| PF Large-Cap Value | 19,463,531 | — | — | |||||||||
| PF Main Street Core | 18,274,416 | — | — | |||||||||
| PF Mid-Cap Equity | — | 2,818,425 | 431,066 | |||||||||
| PF Mid-Cap Growth | — | 1,583,685 | (51,666 | ) | ||||||||
| PF Mid-Cap Value | — | 7,635,397 | (14,662 | ) | ||||||||
| PF International Value | 203,633 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| $37,941,580 | $37,941,580 | $5,498,337 | ||||||||||
|
|
|
|
|
|
|
|||||||
D-21
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
8. 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, 2017, are summarized in the following table:
| U.S. Government Securities | Other Securities | |||||||||||||||
| Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
| PF Inflation Managed | $57,236,689 | $102,984,683 | $1,876,976 | $10,906,452 | ||||||||||||
| PF Managed Bond | 3,041,144,159 | 2,850,261,556 | 341,698,432 | 159,202,634 | ||||||||||||
| PF Short Duration Bond | 197,971,506 | 175,719,947 | 103,149,371 | 44,043,229 | ||||||||||||
| PF Emerging Markets Debt | — | — | 44,971,695 | 114,227,765 | ||||||||||||
| PF Comstock | — | — | 40,964,007 | 98,955,472 | ||||||||||||
| PF Developing Growth | — | — | 20,035,246 | 55,055,333 | ||||||||||||
| PF Growth | — | — | 50,777,805 | 55,291,648 | ||||||||||||
| PF Large-Cap Growth | — | — | 98,067,747 | 178,634,065 | ||||||||||||
| PF Large-Cap Value | — | — | 159,775,172 | 80,994,908 | ||||||||||||
| PF Main Street Core | — | — | 196,965,672 | 141,806,163 | ||||||||||||
| PF Mid-Cap Equity | — | — | 96,788,304 | 220,283,682 | ||||||||||||
| PF Mid-Cap Growth | — | — | 4,726,003 | 51,965,694 | ||||||||||||
| PF Mid-Cap Value | — | — | 102,104,165 | 187,497,766 | ||||||||||||
| PF Small-Cap Value | — | — | 67,592,913 | 175,857,045 | ||||||||||||
| PF Emerging Markets | — | — | 168,812,626 | 111,212,446 | ||||||||||||
| PF International Large-Cap | — | — | 42,144,088 | 174,181,705 | ||||||||||||
| PF International Small-Cap | — | — | 32,222,447 | 111,535,632 | ||||||||||||
| PF International Value | — | — | 128,542,888 | 112,728,789 | ||||||||||||
| PF Real Estate | — | — | 17,414,251 | 47,002,648 | ||||||||||||
| PF Currency Strategies | — | — | — | 5,574,662 | ||||||||||||
| PF Global Absolute Return | 842,720 | 271,396 | 72,711,451 | 125,000,904 | ||||||||||||
9. SECURED BORROWINGS
The contractual maturity of secured borrowings and type of collateral pledged as of March 31, 2017, 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 | $— | $3,601,836 | $— | $— | $3,601,836 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total borrowings | $— | $3,601,836 | $— | $— | $3,601,836 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| PF Managed Bond |
||||||||||||||||||||||||
| Sale-buyback financing transactions | U.S. Treasury Obligations | $— | $43,991,628 | $— | $— | $43,991,628 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total borrowings | $— | $43,991,628 | $— | $— | $43,991,628 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||
10. FEDERAL TAX INCOME 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, 2017, 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.
D-22
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
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, 2017:
| 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 Inflation Managed |
($8,928,246 | ) | $14,988 | $— | $— | $— | $— | $— | ||||||||||||||||||||||||
| PF Managed Bond |
— | 7,929,330 | — | — | 1,568,035 | 6,164,047 | 7,732,082 | |||||||||||||||||||||||||
| PF Short Duration Bond |
(2,149,747 | ) | 445,436 | — | — | — | — | — | ||||||||||||||||||||||||
| PF Emerging Markets Debt |
(7,398,100 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
| PF Comstock |
— | 830,246 | 2,991,960 | — | — | — | — | |||||||||||||||||||||||||
| PF Developing Growth |
(2,215,588 | ) | — | — | — | — | — | — | ||||||||||||||||||||||||
| PF Growth |
— | 29,174 | 1,153,051 | — | — | — | — | |||||||||||||||||||||||||
| PF Large-Cap Growth |
— | — | 11,509,956 | — | — | — | — | |||||||||||||||||||||||||
| PF Large-Cap Value |
— | 2,848,045 | 1,170,086 | — | — | — | — | |||||||||||||||||||||||||
| PF Main Street Core |
— | 1,922,252 | 10,268,098 | — | — | — | — | |||||||||||||||||||||||||
| PF Mid-Cap Equity |
— | 1,551,936 | 5,478,158 | — | — | — | — | |||||||||||||||||||||||||
| PF Mid-Cap Growth |
— | 23,135 | 388,038 | — | — | — | — | |||||||||||||||||||||||||
| PF Mid-Cap Value |
(620,529 | ) | — | — | 385,635 | — | — | 385,635 | ||||||||||||||||||||||||
| PF Small-Cap Value |
— | — | 9,380,696 | 13,655 | — | — | 13,655 | |||||||||||||||||||||||||
| PF Emerging Markets |
(22,986,989 | ) | 576,473 | — | — | — | — | — | ||||||||||||||||||||||||
| PF International Large-Cap |
(12,202,249 | ) | 503,272 | — | — | — | — | — | ||||||||||||||||||||||||
| PF International Small-Cap |
— | 246,303 | 868,470 | — | — | — | — | |||||||||||||||||||||||||
| PF International Value |
(52,761,603 | ) | 2,127,911 | — | — | — | — | — | ||||||||||||||||||||||||
| PF Real Estate |
— | — | 3,362,395 | — | 102,665 | — | 102,665 | |||||||||||||||||||||||||
| PF Currency Strategies |
— | 2,053,776 | — | — | — | — | — | |||||||||||||||||||||||||
| PF Equity Long/Short |
— | — | 2,616,453 | 491,043 | — | — | 491,043 | |||||||||||||||||||||||||
| PF Global Absolute Return |
(5,503,971 | ) | 221,729 | — | — | — | — | — | ||||||||||||||||||||||||
Accumulated capital losses represent net capital loss carryovers as of March 31, 2017 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, 2017 and capital loss carryover from prior years utilized during the year ended March 31, 2017:
| Accumulated Capital Loss Carryover |
Capital Loss Carryover Utilized or the Year Ended March 31, 2017 |
|||||||||||||||||||||||
| Net Capital Loss Carryover Expiring In |
Unlimited Period of Net Capital Loss Carryover |
|||||||||||||||||||||||
| Fund | 2018 | 2019 | Short-Term | Long-Term | ||||||||||||||||||||
| PF Inflation Managed |
$— | $— | ($936,985 | ) | ($7,991,261 | ) | ($8,928,246 | ) | $662,993 | |||||||||||||||
| PF Short Duration Bond |
— | — | (814,448 | ) | (1,335,299 | ) | (2,149,747 | ) | 64,293 | |||||||||||||||
| PF Emerging Markets Debt |
— | — | (2,742,221 | ) | (4,655,879 | ) | (7,398,100 | ) | 327,258 | |||||||||||||||
| PF Developing Growth |
— | — | (2,215,588 | ) | — | (2,215,588 | ) | — | ||||||||||||||||
| PF Mid-Cap Value |
— | — | (620,529 | ) | — | (620,529 | ) | 5,045,090 | ||||||||||||||||
| PF Small-Cap Value |
— | — | — | — | — | 2,068,574 | ||||||||||||||||||
| PF Emerging Markets |
— | — | (9,376,239 | ) | (13,610,750 | ) | (22,986,989 | ) | — | |||||||||||||||
| PF International Large-Cap |
— | (58,376 | ) | (6,013,461 | ) | (6,130,412 | ) | (12,202,249 | ) | — | ||||||||||||||
| PF International Value |
(38,541,418 | ) | — | (10,496,113 | ) | (3,724,072 | ) | (52,761,603 | ) | 5,634,042 | ||||||||||||||
| PF Currency Strategies |
— | — | — | — | — | 1,853 | ||||||||||||||||||
| PF Equity Long/Short |
— | — | — | — | — | 6,242,730 | ||||||||||||||||||
| PF Global Absolute Return |
— | — | (1,546,750 | ) | (3,957,221 | ) | (5,503,971 | ) | 1,941,299 | |||||||||||||||
D-23
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
The aggregate cost of investments and the composition of unrealized appreciation and depreciation on investments for Federal income tax purposes as of March 31, 2017, were as follows:
| Net | ||||||||||||||||
| Fund | Total Cost of Investments on Tax Basis (1) |
Gross Unrealized |
Gross Unrealized |
Unrealized Appreciation (Depreciation) on Investments |
||||||||||||
| PF Inflation Managed |
$17,068,865 | $238,184 | ($655,547 | ) | ($417,363 | ) | ||||||||||
| PF Managed Bond |
950,803,523 | 23,897,277 | (29,238,305 | ) | (5,341,028 | ) | ||||||||||
| PF Short Duration Bond |
168,952,268 | 385,042 | (471,098 | ) | (86,056 | ) | ||||||||||
| PF Emerging Markets Debt |
40,479,318 | 2,088,377 | (1,434,215 | ) | 654,162 | |||||||||||
| PF Comstock |
121,949,133 | 67,805,558 | (6,263,550 | ) | 61,542,008 | |||||||||||
| PF Developing Growth |
7,362,636 | 1,750,007 | (289,449 | ) | 1,460,558 | |||||||||||
| PF Growth |
92,416,644 | 43,368,801 | (802,519 | ) | 42,566,282 | |||||||||||
| PF Large-Cap Growth |
63,540,446 | 26,174,526 | (430,024 | ) | 25,744,502 | |||||||||||
| PF Large-Cap Value |
279,276,018 | 155,958,630 | (5,525,276 | ) | 150,433,354 | |||||||||||
| PF Main Street Core |
230,689,471 | 73,669,500 | (2,119,307 | ) | 71,550,193 | |||||||||||
| PF Mid-Cap Equity |
54,345,413 | 13,985,176 | (1,910,161 | ) | 12,075,015 | |||||||||||
| PF Mid-Cap Growth |
11,471,948 | 3,730,135 | (629,385 | ) | 3,100,750 | |||||||||||
| PF Mid-Cap Value |
171,021,195 | 29,029,381 | (3,077,335 | ) | 25,952,046 | |||||||||||
| PF Small-Cap Value |
94,954,210 | 26,954,000 | (3,326,196 | ) | 23,627,804 | |||||||||||
| PF Emerging Markets |
157,256,229 | 52,051,634 | (9,126,390 | ) | 42,925,244 | |||||||||||
| PF International Large-Cap |
117,655,007 | 73,701,926 | (15,798,261 | ) | 57,903,665 | |||||||||||
| PF International Small-Cap |
36,892,736 | 8,816,668 | (3,024,277 | ) | 5,792,391 | |||||||||||
| PF International Value |
151,147,541 | 36,337,174 | (14,167,942 | ) | 22,169,232 | |||||||||||
| PF Real Estate |
24,125,400 | 16,212,905 | (1,382,819 | ) | 14,830,086 | |||||||||||
| PF Currency Strategies |
87,681,955 | 63,901 | (1,274,410 | ) | (1,210,509 | ) | ||||||||||
| PF Equity Long/Short |
52,967,170 | — | (5,412 | ) | (5,412 | ) | ||||||||||
| PF Global Absolute Return |
84,017,526 | 5,031,329 | (5,307,104 | ) | (275,775 | ) | ||||||||||
| (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, 2013.
11. TAX CHARACTER OF DISTRIBUTIONS
The tax character of income and capital gain distributions to shareholders during the year or period ended March 31, 2017 and 2016, were as follows:
| For the Year Ended March 31, 2017 | For the Year or Period Ended March 31, 2016 | |||||||||||||||||||||||||||
| Funds | Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
Ordinary Income |
Long-Term Capital Gains |
Total Distributions |
||||||||||||||||||||||
| PF Managed Bond |
$18,708,744 | $2,559,495 | $21,268,239 | $20,008,630 | $4,606,718 | $24,615,348 | ||||||||||||||||||||||
| PF Short Duration Bond |
1,142,148 | — | 1,142,148 | 1,592,671 | — | 1,592,671 | ||||||||||||||||||||||
| PF Emerging Markets Debt |
5,017,945 | — | 5,017,945 | 112,217 | — | 112,217 | ||||||||||||||||||||||
| PF Comstock |
5,621,099 | 14,174,732 | 19,795,831 | 5,679,637 | 25,998,618 | 31,678,255 | ||||||||||||||||||||||
| PF Developing Growth |
— | — | — | — | 6,615,823 | 6,615,823 | ||||||||||||||||||||||
| PF Growth |
123,468 | 2,855,020 | 2,978,488 | 616,981 | 5,369,917 | 5,986,898 | ||||||||||||||||||||||
| PF Large-Cap Growth |
115,659 | 7,119,224 | 7,234,883 | 201,555 | 18,902,503 | 19,104,058 | ||||||||||||||||||||||
| PF Large-Cap Value |
5,153,645 | 8,128,566 | 13,282,211 | 5,763,319 | 22,737,270 | 28,500,589 | ||||||||||||||||||||||
| PF Main Street Core |
3,737,963 | 1,319,560 | 5,057,523 | 4,155,658 | 33,983,130 | 38,138,788 | ||||||||||||||||||||||
| PF Mid-Cap Equity |
1,195,977 | 11,955,102 | 13,151,079 | 2,181,564 | 14,049,077 | 16,230,641 | ||||||||||||||||||||||
| PF Mid-Cap Growth |
197,631 | 1,592,480 | 1,790,111 | 998,612 | 4,719,142 | 5,717,754 | ||||||||||||||||||||||
| PF Mid-Cap Value |
1,924,546 | — | 1,924,546 | 1,349,467 | — | 1,349,467 | ||||||||||||||||||||||
| PF Small Cap Value |
734,079 | 4,444,005 | 5,178,084 | 874,674 | 537,129 | 1,411,803 | ||||||||||||||||||||||
| PF Emerging Markets |
855,663 | — | 855,663 | 1,160,519 | — | 1,160,519 | ||||||||||||||||||||||
| PF International Large-Cap |
4,537,465 | — | 4,537,465 | 2,882,307 | — | 2,882,307 | ||||||||||||||||||||||
| PF International Small-Cap |
1,650,584 | 2,548,172 | 4,198,756 | 5,099,402 | 40,950 | 5,140,352 | ||||||||||||||||||||||
| PF International Value |
5,468,588 | — | 5,468,588 | 2,279,281 | — | 2,279,281 | ||||||||||||||||||||||
| PF Real Estate |
1,436,187 | 2,839,005 | 4,275,192 | 1,010,714 | 4,842,696 | 5,853,410 | ||||||||||||||||||||||
| PF Currency Strategies |
9,020,435 | 145 | 9,020,580 | 2,682,631 | — | 2,682,631 | ||||||||||||||||||||||
| PF Equity Long/Short |
12,227,818 | — | 12,227,818 | 23,876,574 | — | 23,876,574 | ||||||||||||||||||||||
| PF Global Absolute Return |
3,029,841 | — | 3,029,841 | 11,762,214 | — | 11,762,214 | ||||||||||||||||||||||
D-24
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
12. RECLASSIFICATION OF ACCOUNTS
During the year ended March 31, 2017, 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, 2017. 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, paydown gain/loss, partnership income, expiration of capital loss carryforwards, 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/ Net Investment |
Undistributed/ Accumulated |
|||||||||
| PF Inflation Managed |
($41 | ) | ($902,754 | ) | $902,795 | |||||||
| PF Managed Bond |
— | (7,012,076 | ) | 7,012,076 | ||||||||
| PF Short Duration Bond |
— | 147,801 | (147,801 | ) | ||||||||
| PF Emerging Markets Debt |
(910,135 | ) | 2,056,857 | (1,146,722 | ) | |||||||
| PF Comstock |
— | 664,950 | (664,950 | ) | ||||||||
| PF Developing Growth |
(91,417 | ) | 91,417 | — | ||||||||
| PF Growth |
— | (163 | ) | 163 | ||||||||
| PF Large-Cap Growth |
(133,086 | ) | 132,801 | 285 | ||||||||
| PF Large-Cap Value |
— | (2,194 | ) | 2,194 | ||||||||
| PF Main Street Core |
— | 126,031 | (126,031 | ) | ||||||||
| PF Mid-Cap Equity |
(1 | ) | 92,098 | (92,097 | ) | |||||||
| PF Mid-Cap Growth |
— | (56,563 | ) | 56,563 | ||||||||
| PF Mid-Cap Value |
— | (8,072 | ) | 8,072 | ||||||||
| PF Small-Cap Value |
— | (4,436 | ) | 4,436 | ||||||||
| PF Emerging Markets |
— | (353,169 | ) | 353,169 | ||||||||
| PF International Large-Cap |
— | 112,790 | (112,790 | ) | ||||||||
| PF International Small-Cap |
41 | 753,184 | (753,225 | ) | ||||||||
| PF International Value |
(5,634,042 | ) | 1,912,293 | 3,721,749 | ||||||||
| PF Real Estate |
— | 567,123 | (567,123 | ) | ||||||||
| PF Currency Strategies |
— | 4,934,162 | (4,934,162 | ) | ||||||||
| PF Equity Long/Short |
(2,749 | ) | 2,771,223 | (2,768,474 | ) | |||||||
| PF Global Absolute Return |
4 | (4,814,364 | ) | 4,814,360 | ||||||||
13. 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, 2017 and 2016, were as follows:
| Year ended 3/31/2017 |
Year ended 3/31/2016 |
Year ended 3/31/2017 |
Year ended 3/31/2016 |
Year ended 3/31/2017 |
Year ended 3/31/2016 |
Year ended 3/31/2017 |
Year ended 3/31/2016 |
|||||||||||||||||||||||||||||||||||||
| PF Inflation Managed Fund |
PF Managed Bond Fund |
PF Short Duration Bond Fund |
PF Emerging Markets Debt Fund |
|||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
212,291 | 529,328 | 48,765,280 | 1,353,242 | 16,371,096 | 216,521 | 397,378 | 1,121,307 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
— | — | 2,027,034 | 2,353,699 | 116,190 | 163,183 | 566,999 | 13,186 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(4,719,640 | ) | (8,881,939 | ) | (21,078,348 | ) | (22,053,308 | ) | (7,244,313 | ) | (13,983,370 | ) | (8,262,837 | ) | (7,522,550 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(4,507,349 | ) | (8,352,611 | ) | 29,713,966 | (18,346,367 | ) | 9,242,973 | (13,603,666 | ) | (7,298,460 | ) | (6,388,057 | ) | ||||||||||||||||||||||||||||||
| Beginning shares outstanding |
5,980,057 | 14,332,668 | 39,876,878 | 58,223,245 | 7,716,496 | 21,320,162 | 11,834,654 | 18,222,711 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
1,472,708 | 5,980,057 | 69,590,844 | 39,876,878 | 16,959,469 | 7,716,496 | 4,536,194 | 11,834,654 | ||||||||||||||||||||||||||||||||||||
| PF Comstock Fund |
PF Developing Growth Fund |
PF Growth Fund |
PF Large-Cap Growth Fund |
|||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
1,089,132 | 1,053,523 | 45,794 | 955,583 | 1,809,855 | 631,559 | 1,606,265 | 1,585,938 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
1,306,982 | 2,166,055 | — | 581,867 | 154,733 | 306,430 | 781,305 | 1,912,318 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(5,871,196 | ) | (3,289,789 | ) | (3,587,084 | ) | (2,886,893 | ) | (2,031,652 | ) | (2,078,022 | ) | (9,904,922 | ) | (5,760,996 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(3,475,082 | ) | (70,211 | ) | (3,541,290 | ) | (1,349,443 | ) | (67,064 | ) | (1,140,033 | ) | (7,517,352 | ) | (2,262,740 | ) | ||||||||||||||||||||||||||||
| Beginning shares outstanding |
15,726,515 | 15,796,726 | 4,306,785 | 5,656,228 | 6,521,071 | 7,661,104 | 16,338,345 | 18,601,085 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
12,251,433 | 15,726,515 | 765,495 | 4,306,785 | 6,454,007 | 6,521,071 | 8,820,993 | 16,338,345 | ||||||||||||||||||||||||||||||||||||
D-25
PACIFIC FUNDS
NOTES TO FINANCIAL STATEMENTS (Continued)
| Year ended 3/31/2017 |
Year/ Period ended 3/31/2016 |
Year ended 3/31/2017 |
Year ended 3/31/2016 |
Year ended 3/31/2017 |
Year ended 3/31/2016 |
Year ended 3/31/2017 |
Year ended 3/31/2016 |
|||||||||||||||||||||||||||||||||||||
| PF Large-Cap Value Fund |
PF Main Street Core Fund |
PF Mid-Cap Equity Fund |
PF Mid-Cap Growth Fund |
|||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
10,543,796 | 1,514,235 | 8,070,710 | 1,526,901 | 44,366 | 176,662 | 52,568 | 232,916 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
821,920 | 1,883,192 | 379,534 | 3,070,189 | 1,221,074 | 1,485,419 | 257,408 | 784,387 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(5,549,767 | ) | (4,029,243 | ) | (4,381,264 | ) | (6,181,220 | ) | (11,212,725 | ) | (3,668,440 | ) | (6,539,913 | ) | (2,620,937 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
5,815,949 | (631,816 | ) | 4,068,980 | (1,584,130 | ) | (9,947,285 | ) | (2,006,359 | ) | (6,229,937 | ) | (1,603,634 | ) | ||||||||||||||||||||||||||||||
| Beginning 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 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
26,114,055 | 20,298,106 | 21,473,510 | 17,404,530 | 6,002,658 | 15,949,943 | 2,036,727 | 8,266,664 | ||||||||||||||||||||||||||||||||||||
| PF Mid-Cap Value Fund (1) |
PF Small-Cap Value Fund |
PF Emerging Markets Fund |
PF International Large-Cap Fund |
|||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
4,079,687 | 27,356,653 | 441,887 | 7,078,218 | 10,860,424 | 3,973,956 | 1,191,261 | 7,804,302 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
172,915 | 136,724 | 414,942 | 139,247 | 69,509 | 98,017 | 271,867 | 165,080 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(13,002,500 | ) | (1,680,356 | ) | (10,701,711 | ) | (1,509,454 | ) | (6,169,058 | ) | (4,482,663 | ) | (9,111,650 | ) | (2,545,885 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(8,749,898 | ) | 25,813,021 | (9,844,882 | ) | 5,708,011 | 4,760,875 | (410,690 | ) | (7,648,522 | ) | 5,423,497 | ||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
25,813,021 | — | 19,654,206 | 13,946,195 | 9,767,475 | 10,178,165 | 17,363,206 | 11,939,709 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
17,063,123 | 25,813,021 | 9,809,324 | 19,654,206 | 14,528,350 | 9,767,475 | 9,714,684 | 17,363,206 | ||||||||||||||||||||||||||||||||||||
| PF International Small-Cap Fund |
PF International Value Fund |
PF Real Estate Fund |
PF Currency Strategies Fund |
|||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
555,237 | 859,937 | 9,099,961 | 4,197,745 | 719,019 | 1,443,867 | 2,855,605 | 700,085 | ||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
428,783 | 489,907 | 630,748 | 255,812 | 283,287 | 389,036 | 977,311 | 276,560 | ||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(8,453,326 | ) | (1,730,909 | ) | (7,837,956 | ) | (2,592,437 | ) | (2,810,469 | ) | (343,952 | ) | (7,628,910 | ) | (6,841,081 | ) | ||||||||||||||||||||||||||||
| Net increase (decrease) |
(7,469,306 | ) | (381,065 | ) | 1,892,753 | 1,861,120 | (1,808,163 | ) | 1,488,951 | (3,795,994 | ) | (5,864,436 | ) | |||||||||||||||||||||||||||||||
| Beginning shares outstanding |
11,547,060 | 11,928,125 | 16,867,284 | 15,006,164 | 4,421,709 | 2,932,758 | 13,048,179 | 18,912,615 | ||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
4,077,754 | 11,547,060 | 18,760,037 | 16,867,284 | 2,613,546 | 4,421,709 | 9,252,185 | 13,048,179 | ||||||||||||||||||||||||||||||||||||
| PF Equity Long/Short Fund (2) |
PF Global Absolute Return Fund |
|||||||||||||||||||||||||||||||||||||||||||
| Class P |
||||||||||||||||||||||||||||||||||||||||||||
| Shares sold |
446,920 | 16,656,601 | 3,568,009 | 2,777,907 | ||||||||||||||||||||||||||||||||||||||||
| Dividends and distributions reinvested |
1,289,854 | 2,359,345 | 331,130 | 1,285,488 | ||||||||||||||||||||||||||||||||||||||||
| Shares repurchased |
(10,718,954 | ) | (2,768,069 | ) | (8,963,140 | ) | (7,192,608 | ) | ||||||||||||||||||||||||||||||||||||
| Net increase (decrease) |
(8,982,180 | ) | 16,247,877 | (5,064,001 | ) | (3,129,213 | ) | |||||||||||||||||||||||||||||||||||||
| Beginning shares outstanding |
16,247,877 | — | 14,584,126 | 17,713,339 | ||||||||||||||||||||||||||||||||||||||||
| Ending shares outstanding |
7,265,697 | 16,247,877 | 9,520,125 | 14,584,126 | ||||||||||||||||||||||||||||||||||||||||
| (1) | PF Mid-Cap Value Fund commenced operations on July 29, 2015. |
| (2) | PF Equity Long/Short Fund commenced operations on April 27, 2015. |
D-26
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 Inflation Managed Fund, PF Managed Bond Fund, PF Short Duration Bond Fund, PF Emerging Markets Debt Fund, PF Comstock Fund, PF Developing Growth Fund (formerly PF Small-Cap Growth 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 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 Currency Strategies Fund, PF Equity Long/Short Fund, and PF Global Absolute Return Fund (collectively the “Funds”) (twenty-two of forty funds comprising Pacific Funds Series Trust) as of March 31, 2017, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended (as to PF Mid-Cap Value Fund, for the year ended March 31, 2017 and for the period from July 29, 2015 (commencement of operations) through March 31, 2016; as to PF Equity Long/Short Fund, for the year ended March 31, 2017 and 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, 2017, 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, 2017, 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 25, 2017
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, 2017 is as follows:
| Fund | Percentage | |||
| PF Comstock |
75.24% | |||
| PF Growth |
100.00% | |||
| PF Large-Cap Growth |
100.00% | |||
| PF Large-Cap Value |
100.00% | |||
| PF Main Street Core |
94.90% | |||
| PF Mid-Cap Equity |
80.01% | |||
| PF Mid-Cap Growth |
100.00% | |||
| PF Mid-Cap Value |
100.00% | |||
| PF Small-Cap Value |
100.00% | |||
| PF Emerging Markets |
7.54% | |||
| PF International Large-Cap |
3.67% | |||
| PF Real Estate |
4.15% | |||
For the year ended March 31, 2017 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 |
90.31% | |||
| PF Growth |
100.00% | |||
| PF Large-Cap Growth |
100.00% | |||
| PF Large-Cap Value |
100.00% | |||
| PF Main Street Core |
98.87% | |||
| PF Mid-Cap Equity |
80.71% | |||
| PF Mid-Cap Growth |
100.00% | |||
| PF Mid-Cap Value |
100.00% | |||
| PF Small-Cap Value |
100.00% | |||
| PF Emerging Markets |
100.00% | |||
| PF International Large-Cap |
100.00% | |||
| PF International Small-Cap |
96.96% | |||
| PF International Value |
100.00% | |||
| PF Real Estate |
5.30% | |||
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 2018. 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, 2017. 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 |
$2,559,495 | |||
| PF Comstock |
14,174,732 | |||
| PF Growth |
4,008,071 | |||
| PF Large-Cap Growth |
18,629,180 | |||
| PF Large-Cap Value |
8,128,566 | |||
| PF Main Street Core |
11,284,146 | |||
| PF Mid-Cap Equity |
17,433,260 | |||
| PF Mid-Cap Growth |
1,980,518 | |||
| PF Small-Cap Value |
13,824,701 | |||
| PF International Small-Cap |
3,416,642 | |||
| PF Real Estate |
5,018,644 | |||
| PF Equity Long/Short |
2,616,453 | |||
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
(Unaudited)
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; Former Director (2005 to 2016) 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); Former Member of Board of Trustees (2010 to 2016) 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) of Eastern Michigan University. | 97 | |||
| 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. | 97 | |||
| Paul A. Keller Year of birth 1954 |
Trustee since 6/20/16 | Trustee (6/16 to present) of Pacific Select Fund; Consultant to the Trust and Pacific Select Fund (11/15 to 6/16); Independent Trustee (2010 to present) of Fenimore Asset Management Trust (FAM Funds); Business Consultant (2010 to present) (sole proprietor); Certified Public Accountant in New York (1982 to present); Adjunct Professor of Accounting (2011 to 2015), SUNY College at Old Westbury; Interim Chief Financial Officer (2014 to 2015) of The Leon Levy Foundation; Former Partner (1986 to 1999) of McGladrey & Pullen LLP; and Former Partner (1999 to 2010) of PricewaterhouseCoopers LLP. | 97 | |||
| 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 the Board of Trustees (2014 to present) of Azusa Pacific University; Member of the Board of Trustees (2016 to present) of Pacifica Christian High School Orange County; 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; and Former Member of the Advisory Board (1993 to 2004) of Court Appointed Special Advocates (CASA) of Orange County. | 97 | |||
| 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. | 97 | |||
F-4
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
(Unaudited)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) 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 1/07 to 12/09) | 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; Director (4/16 to present) of Edison International (a public utility holding company); and Chairman of the Board and Trustee (1/07 to present) and Chief Executive Officer (1/07 to 12/09) of Pacific Select Fund. | 97 | |||||
| Mary Ann Brown Year of birth 1951 |
Chief Executive Officer since 1/01/10 (President 1/07 to 12/09) | 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. | 97 | |||||
| Howard T. Hirakawa Year of birth 1962 |
Senior Vice President since 12/10/14 (Vice President since 06/06 to 12/14) | Senior Vice President (4/14 to present) and 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. | 97 | |||||
| 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. | 97 | |||||
| Brian D. Klemens Year of birth 1956 |
Vice President and Treasurer since 12/31/16 (Vice President and Treasurer 6/01 to 9/15) |
Vice President and Controller (10/07 to present) of Pacific Mutual Holding Company and Pacific LifeCorp; Vice President and Controller (10/07 to present) of Pacific Life; Vice President and Controller (10/07 to present) of Pacific Life Fund Advisors LLC; Vice President (5/00 to present) and Controller (10/07 to present) of Pacific Select Distributors, LLC; and Vice President and Treasurer (4/96 to 9/15; 12/16 to present) of Pacific Select Fund. |
97 | |||||
| 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. | 97 | |||||
| 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 (5/07 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. | 97 | |||||
F-5
PACIFIC FUNDS
TRUSTEES AND OFFICERS INFORMATION (Continued)
(Unaudited)
| Name and Age |
Position(s) with the Fund and Length of Time Served* |
Current Directorship(s) Held and Principal Occupation(s) 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. | 97 | |||
| Carleton J. Muench Year of birth 1973 |
Vice President since 11/30/06 | Vice President (4/14 to present) and 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. | 97 | |||
| 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. | 97 | |||
| 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. | 97 | |||
| Trevor T. Smith Year of birth 1975 |
Vice President and Assistant Treasurer since 3/23/16 | Assistant Vice President (1/17 to present) and Director of Variable Products Accounting (4/09 to 12/16) of Pacific Life; and Assistant Vice President and Assistant Treasurer (3/16 to present) of Pacific Select Fund. | 97 | |||
| * | A trustee serves until he or she resigns, retires, or his or her successor is elected and qualified. |
| ** | As of March 31, 2017, the “Fund Complex” consisted of Pacific Select Fund (57 funds) and Pacific Funds (40 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 14, 2016.1
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 throughout the year, 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 14th meeting, the Board did not consider the continuance of the Advisory Agreement and Sub-Advisory Agreement relating to 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, 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)
and other personnel and the low turnover rates of its key personnel. The Trustees noted that the investment, legal, compliance, risk management 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, risk management and monitoring services for the Funds. The Trustees also considered the additional resources that PLFA has continued to invest in to enhance its management and oversight of the Funds, including additional tools to further enhance the asset allocation and Sub-Adviser research processes. In this regard, the Trustees also considered the role of PLFA’s internal conflicts review committee in considering and evaluating potential conflicts of interest with regard to Sub-Adviser selection and monitoring by PLFA.
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 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 Funds that serve as investment options for the Asset Allocation Funds (collectively, the “Underlying Funds”) and in developing an asset allocation that is appropriate for 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 its asset allocation models, including the role and costs of consultants engaged by PLFA for assistance in the construction of asset allocation models. The Trustees considered that PLFA had recently engaged an independent consultant to review PLFA’s asset allocation process. 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 all rebalancing of 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.
For both Directly Managed Funds and Sub-Advised Funds, 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.
F-8
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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’ performance records against various measures. The Board considered that PLFA also conducts various analyses 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 for both the PAM Managed Funds and Sub-Advised Funds. 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 both the PAM Managed Funds and Sub-Advised 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.
F-9
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 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, 2016, 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 a Fund that is 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. Where there had been a change in Sub-Adviser for a Fund, the Board took into account that the current Sub-Adviser was only responsible for certain portions of the performance record. 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.
PF 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 third quintile of its Selected Performance Peer Group for the one- and five-year periods and the fourth quintile for the three- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the three-year underperformance is primarily attributable to the Sub-Adviser’s investment style, that over longer periods of time the style has provided attractive returns, and that recent performance has improved. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
PF Equity Long/Short Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) outperformed its primary benchmark for the one-year period; and (3) is ranked in the first 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.
PF 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) underperformed its primary benchmark for the one-, 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-year period, the third quintile for the five-year period and the fourth 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.
PF 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) 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-, 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 the current Sub-Adviser has managed the Fund since 2013.
PF Large-Cap Value 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-, 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, the third quintile for the three- and ten-year periods and the second quintile for the five-year period.
F-10
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF Main Street Core Fund
The Fund: (1) outperformed 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 first quintile of its Selected Performance Peer Group for the one-, three- and five-year periods and the second quintile for the ten-year period.
PF Mid-Cap Equity 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) underperformed its primary benchmark for the one-, three-, five- and ten-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one- and three-year periods 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.
PF Mid-Cap Growth Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and ten-year periods and underperformed for the three- and five-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 fourth quintile for the three-year period, 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 three-year underperformance is primarily attributable to the Sub-Adviser’s investment style (particularly its focus on high quality companies with attractive valuations) and security selection in 2015, that performance in 2014 and 2016 has been competitive, and that PLFA will continue to monitor the Fund’s performance. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
PF Mid-Cap Value 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.
PF Developing Growth Fund (formerly named PF 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 fifth quintile of its Selected Performance Peer Group for the one-, 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 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- and three-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. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
PF Small-Cap Value Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods and performed in line for the five-year period; (2) outperformed its primary benchmark for the one- and three-year periods and underperformed for the five-year period; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one- and three-year periods and the third 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.
PF Emerging Markets Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, five- and ten-year periods and underperformed for the three-year period; (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- and five-year periods, the fourth quintile for the three-year period and the first quintile for the ten-year period.
PF Emerging Markets Debt Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period and underperformed for the three-year period; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-year period and the fourth quintile for the three-year period.
PF International Large-Cap 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-year period and outperformed for the 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, the fifth quintile for the three-year period and the third quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that PLFA had advised that the one- and three-year underperformance is primarily attributable to security selection in 2016 and that longer-term performance remains strong, that recent performance has significantly improved, and that PLFA will continue to closely monitor the Fund’s performance.
F-11
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF International Small-Cap 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.
PF 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 fifth quintile of its Selected Performance Peer Group for the one-, three- and ten-year periods 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 2011. The Board also considered that PLFA had advised that the one- and three-year underperformance is primarily attributable to the Sub-Adviser’s investment style and security selection. The Board considered that more recent performance has improved, but that in light of longer-term performance issues and the pending retirement of the Fund’s portfolio manager, PLFA will continue to closely monitor the Fund to determine if future remedial actions are necessary or appropriate.
PF Currency Strategies Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the second 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 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.
Pacific Funds Diversified Alternatives
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-year period; (2) outperformed its primary benchmark for the one-year period; and (3) is ranked in the first 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.
PF Global Absolute Return Fund
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the first 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 the Selected Performance Peer Group was of limited usefulness due to the diversity of investment approaches of funds in the peer group.
PF Real Estate 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 ten-year periods and the fourth quintile for the three- and five-year periods.
Pacific Funds Floating Rate Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and five-year periods and performed in line for the three-year period; (2) underperformed its primary benchmark for the one- and three-year periods and outperformed for the five-year period; and (3) is ranked in the third quintile of its Selected Performance Peer Group for the one- and three-year periods and the first quintile for the five-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 third quintile of its Selected Performance Peer Group for the one-year period 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 security selection in 2014 and 2015, that recent performance has materially improved and that PLFA has no material concerns regarding the performance of the Fund but will continue to closely monitor the Fund’s performance.
Pacific Funds Core Income
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- and five-year periods and the second quintile for the three-year period.
PF Inflation Managed 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-, 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, the third quintile for the three-year period and the first quintile for the five- and ten-year periods. In evaluating the performance of the Fund, the Board considered that the current Sub-Adviser co-managed the Fund with another firm from January 2015 to October 2016 and since October 2016 has been the sole Sub-Adviser.
F-12
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Limited Duration 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 fifth 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 underperformance is primarily attributable to the duration of the Fund’s portfolio as well as security and sector selection. The Board also took into account that the Fund’s investment strategy is somewhat unique, and that it is difficult to find an appropriate peer group of funds with similar investment styles. The Board considered that the Fund only has a three-year performance record and that PLFA will continue to closely monitor the Fund’s performance.
PF Managed Bond 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-, three-, five- and ten-year periods; and (3) is ranked in the first quintile of its Selected Performance Peer Group for the one-, five- and ten-year periods and the second quintile for the three-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.
PF Short Duration Bond Fund
The Fund: (1) underperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its primary benchmark for the one-, three- and five-year periods and underperformed for the ten-year period; and (3) is ranked in the fourth quintile of its Selected Performance Peer Group for the one-, 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 2011. In evaluating performance of the Fund, the Board considered that PLFA had advised that the one-, three- and five-year underperformance is primarily attributable to the Sub-Adviser’s investment style and that the strategy should outperform in a more “risk-off” environment. The Board further considered that PLFA does not have material concerns with the Fund but will continue to monitor the Fund’s performance. The Board also considered that PLFA believes that the style issues are transitory and are the result of particular market conditions, and that PLFA is still committed to the style for the long term.
Pacific Funds Short Duration Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed 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 second quintile for the three-year period.
Pacific Funds Strategic Income
The Fund: (1) outperformed its Selected Performance Peer Group median for the one- and three-year periods; (2) outperformed its primary benchmark for the one- and three-year periods; and (3) is ranked in the second quintile of its Selected Performance Peer Group for the one-year period and first quintile for the three-year period.
Pacific Funds Portfolio Optimization Conservative
The Fund: (1) outperformed its Selected Performance Peer Group median for the one-, three-, five- and ten-year periods; (2) outperformed its custom benchmark for the one-year period and underperformed for the 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 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 underperformance is primarily attributable to an allocation to alternative asset classes, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
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-year period and in 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 emerging markets, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
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 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 the three-, five- and ten-year underperformance is primarily attributable to an underweight to domestic equities and an allocation to alternative asset classes and emerging markets, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
F-13
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Pacific Funds Portfolio Optimization Growth
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 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 the five- and ten-year underperformance is primarily attributable to an allocation to alternative asset classes and emerging markets, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
Pacific Funds Portfolio Optimization Aggressive-Growth
The Fund: (1) performed in line with its Selected Performance Peer Group 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-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 the three- and five-year underperformance is primarily attributable to an underweight to domestic equities and an allocation to alternative asset classes, and that recent performance has significantly improved. The Board also considered that PLFA had made certain adjustments to the Fund’s asset allocations, which had contributed positively to performance, and noted that PLFA will continue to monitor the Fund’s performance.
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, which 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.
PF 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 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 PLFA currently has contractually agreed to waive 0.015% of its advisory fee.
PF Equity Long/Short 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 0.15% of its advisory fee.
F-14
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
PF 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.
PF Large-Cap Growth 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. The Trustees noted that PLFA currently has contractually agreed to waive 0.045% of its advisory fee.
PF 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 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.
PF 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.
PF 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.
PF 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 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. The Trustees noted that PLFA currently has contractually agreed to waive 0.025% of its advisory fee.
PF Mid-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 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.
PF Developing 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.
PF 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.
PF 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.
PF 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 second quintile of its Selected
F-15
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
Expense Peer Group. The Trustees noted that, while the Fund’s advisory fee is in the fourth quintile of its Selected Expense Peer Group, the fee is only slightly higher (by 0.04%) than the median advisory fee rate of the funds in this group.
PF International Large-Cap 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 second quintile of its Selected Expense Peer Group.
PF International Small-Cap 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.
PF 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.
PF 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.
Pacific Funds Diversified Alternatives
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 the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2017 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, but that the Fund has not yet reached the first breakpoint.
PF 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.
PF Real Estate 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 second quintile of its Selected Expense Peer Group.
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 third 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
Pacific Funds High Income
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. The Trustees noted that the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2017 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
F-16
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
higher asset levels, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
Pacific Funds Core 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 third 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
PF 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. The Trustees noted that PLFA had advised that Operating Expenses have increased due to a decrease in Fund assets, and that if Fund assets increase these expenses will decrease accordingly.
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 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 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
PF 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.
PF Short Duration 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 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.
Pacific Funds Short Duration Income
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 in line with 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 the Independent Trustees had negotiated a fee waiver agreement with PLFA, which is effective through July 31, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
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 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 third 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, 2017 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, but that the Fund has not yet reached the first breakpoint. The Trustees also considered that PLFA has determined to increase the Fund’s expense cap for certain share classes effective December 30, 2016 through July 31, 2018.
F-17
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 greater 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 less 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 less 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 greater 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
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 in line with 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, 2017 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, but that the Fund has not yet reached the first breakpoint.
During their review, the Trustees noted that all of the Funds, except for the Equity Long/Short Fund, 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.
F-18
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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 certain 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 fee schedules. 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, 2017 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. 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.
F-19
PACIFIC FUNDS
APPROVAL OF INVESTMENT ADVISORY
AND SUB-ADVISORY AGREEMENTS (Continued)
(Unaudited)
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-20
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-21
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 Paul A. Keller, 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. Keller 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, 2017 and 2016 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 $860,335 and $908,646, respectively. |
Audit-Related Fees
| (b) | There were no aggregate fees billed for the fiscal years ended March 31, 2017 and 2016 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, 2017 and 2016 for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $175,975 and $171,570, 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, 2017 and 2016 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: |
| A. | 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 hereby delegates 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. |
| B. | 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, if the nature of the services provided relate directly to the operations or financial reporting of the Registrant. Investment company complex means the Pacific Select Fund, the Pacific Funds Series Trust, the Adviser and any entity controlled by or under common control with the Adviser if such entity is an investment adviser or is engaged in the business of providing administrative, custodian, underwriting or transfer agent services to the Trusts or the Adviser. |
| (i) | De Minimis Exception: The De Minimis exceptions set forth above under Section (e)(1)A.(iii) apply to pre-approvals under this Section (e)(1)B. as well, except that the “total amount of revenues” calculation for this Section’s (e)(1)B. 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). |
| C. | Pre-Approval of Program and Subscription Services Provided to the Registrants 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. Any Programs that do not meet the above criteria require approval by the Audit Committee, its Chairperson or other delegates as provided in Section (e)(1)A.(iii). 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, 2017 and 2016 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 $527,219 and $1,019,822, 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 5, 2017 | ||
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 5, 2017 | ||
| By: | /s/ Brian D. Klemens | |
| Brian D. Klemens | ||
| Treasurer (Principal Financial and Accounting Officer) | ||
| Date: June 5, 2017 | ||